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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09599
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STATE STREET MASTER FUNDS
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
P.O. Box 5049
Boston, Massachusetts 02206
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(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) Copy to:
Nancy L. Conlin, Vice President and Timothy W. Diggins, Esq.
Managing Counsel Ropes & Gray
State Street Bank and Trust Company One International Place
2 Avenue de Lafayette, 6th Floor Boston, Massachusetts 02110-2624
Boston, Massachusetts 02111
Registrant's telephone number, including area code: (617) 662-3966
Date of fiscal year end: December 31
Date of reporting period: December 31, 2007
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ITEM 1. SHAREHOLDER REPORT.
STATE STREET EQUITY 500 INDEX PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2007
STATE STREET EQUITY 500 INDEX PORTFOLIO
Management Discussion of Fund Performance and Analysis, year ending 12/31/2007
Overview
After a burst of volatility slapped global markets at the end of February 2007,
chastened investors staggered a bit in March before finishing the first quarter
of 2007 with much improved composure. Although the outlook for US short-term
interest rates remained squarely unchanged throughout the quarter, moves to
tighter policy in the UK and Europe, and perhaps most notably in India and
China, heightened concerns that favorable financial conditions and the buoyant
markets they foster might have run their course. Reinforcing these worries was a
deepening gloom in the US housing market, where newly obvious payment risks in
subprime mortgages prompted fresh conservatism in lending practices that could
in turn offer a meaningful threat to consumer spending. But US employment trends
remained friendly, wage growth solid, and income resilient. As investors
considered the idea that mortgage dislocations alone might not be enough to
derail the US economy, equity averages snapped back nicely at the end of March
to achieve positive returns for the opening quarter of 2007
Signs of stress in the fixed income markets brought a cautious end to the first
half of 2007, with US stocks and bonds both slipping in June. Risk aversion
tended to increase in choppy fashion throughout the second quarter, especially
after hopes for an official rate cut eroded through May. But in contrast to
their less discriminating behavior during the panicky episodes of April 2005 and
May 2006, investors focused their dismay in spring 2007 on specific sectors and
instruments rather than on the broad market. With US 10-year bond yields
streaking to five-year highs in early June, interest-sensitive instruments fared
most poorly. Yield spreads on riskier bonds climbed noticeably, as dislocations
in the mortgage arena forced reduction of leverage by a number of hedge funds.
The second quarter did bring record highs for both the Dow Jones Industrial
Average and the S&P 500(R), but the underpinnings of the global liquidity that
has been buoying the capital markets began to creak.
With the broad averages for US stocks and bonds posting modestly positive
returns for the third quarter, one might view the summer of 2007 as a placid
vacation period after the mortgage markets began to unravel in June. But such a
perception would completely miss the rapid transfer of risk across asset
classes, the sharp rise and subsequent retreat in equity volatility, and the
signal adjustment in US monetary policy by the Federal Reserve. The growing
troubles in residential mortgages initially brought pressure to leveraged loans
and corporate bonds during July. In August, commercial paper investors stopped
rolling newly uncertain positions, and the stress spread quickly to interbank
lending. Equity investors grew worried that a dysfunctional money market would
crimp economic growth, but so too did the Fed, which dropped its discount rate
by 50 basis points (a basis point is l/l00th of 1% or .01%) on August 17, 2007.
This official response to the financial turmoil laid the groundwork for a
recovery from tumbling stock prices, an upswing that gathered steam when the fed
funds rate was lowered from 5.25% to 4.75% on September 18. The US dollar was a
notable casualty of this more accommodative stance, but the third quarter
finished on a firm note, with credit markets attempting to heal and equity
averages led higher by commodity-related issues.
After a tentative October and a nasty November, December brought little in the
way of seasonal cheer for the financial markets, and a challenging 2007 ended in
distinctly downbeat fashion. A tricky set of cross-currents kept US investors on
edge throughout the quarter. Boosting market sentiment were additional cuts in
short-term interest rates, solid earnings at several large growth companies, and
inflows of fresh capital from flush overseas investors. On the other hand, a
steady diet of bad news from the housing market, a wave of huge write-downs at
financial firms, and a renewed surge in commodity prices were all much more
troublesome. Lingering strains in the money markets and signs of softening
employment conditions reinforced a sense of increasing recession risks. As a
result, government bonds had another solid quarter. While defensive equities and
energy stocks finished the year relatively strong, shares tied to financial and
consumer activity suffered an ignominious end to 2007. The S&P 500 ended the
year with a gain of 5.49%.
1
STATE STREET EQUITY 500 INDEX PORTFOLIO
Management Discussion of Fund Performance and Analysis, year ending 12/31/2007
Fund
Eight of the ten economic sectors gained ground during 2007, with seven of those
eight posting double digit gains. Energy stocks were far and away the top
sector, rising 34.22%, led by strong commodity prices and higher company
earnings. Materials stocks gained 22.49% during the year and Utilities were the
third strongest performing sector, rising 22.49%. Much like energy stocks, the
materials sector benefited from strong commodity prices and company earnings.
Utilities companies appeared to benefit from strong results and a flight to
safety in the second part of the year.
On the other end of the spectrum, financial stocks were battered during the
year, falling 18.60%. These companies were hit hard by a crisis in the credit
markets, particularly in the area of sub-prime mortgages. Consumer discretionary
stocks fell 13.29% as investors appeared to fear a recession in the United
States. Healthcare was third "worst" performing sector, but the sector actually
posted a nice gain of 7.14%.
The top performing stocks for 2007 were National Oilwell Varco, Amazon.Com Inc.,
and Apple. National Oilwell benefited from improved margins and strong gains by
energy companies. Amazon posted a very strong return, especially compared to its
counterparts in the consumer discretionary sector. Apple posted excellent
results, boosted by i-Mac sales and the strong introduction of i-Phone.
Two of the bottom three performers came from Financials and both were hard hit
by the mortgage bond issues. E*Trade experienced significant losses from these
bonds in its portfolio, while Countrywide (a large mortgage originator)
struggled to keep afloat when its financing came under pressure. The third worst
performer was Circuit City Stores which experienced poor results during the
year, causing some to question the chain's long term viability.
The top contributors to the fund return were Exxon Mobil, Apple, and Google. The
three largest detractors from return were all large financial companies.
Citigroup, Bank of America and Merrill Lynch . All of three of these companies
were hit by the fixed income and mortgage crisis during the year, with Merrill
Lynch and Citigroup being hit particularly hard.
The views expressed in this statement reflect those of the portfolio manager
only through the end of the period of this report and do not necessarily
represent the views of the Adviser as a whole. Any such views are subject to
change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views.
2
STATE STREET EQUITY 500 INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
[PERFORMANCE GRAPH]
State Street
Equity 500 S&P 500 (R)
Index Portfolio * Index ** (b)
----------------- ------------
3/1/2000 10,000 10,000
6/30/2000 10,586 10,585
12/31/2000 9,671 9,662
6/30/2001 9,011 9,015
12/31/2001 8,510 8,514
6/30/2002 7,389 7,394
12/31/2002 6,624 6,633
6/30/2003 7,402 7,413
12/31/2003 8,519 8,535
6/30/2004 8,813 8,829
12/31/2004 9,444 9,464
6/31/2005 9,365 9,387
12/31/2005 9,904 9,930
6/31/2006 10,171 10,199
12/31/2006 11,464 11,498
6/31/2007 12,260 12,298
12/31/2007 12,093 12,129
INVESTMENT PERFORMANCE (A)
For the Year Ended December 31,2007
Total Return
Total Return Total Return Average Annualized Since
One Year Ended Five Years Ended Commencement of Operations
December 31, 2007 December 31, 2007 (March 1, 2000)
----------------- ----------------- --------------------------
State Street Equity 500
Index Portfolio 5.49% 12.79% 2.45%
S&P 500 (R) Index (b) 5.49% 12.83% 2.62%
(A) TOTAL RETURNS AND PERFORMANCE GRAPH INFORMATION REPRESENT PAST PERFORMANCE
AND ARE NOT INDICATIVE OF FUTURE RESULTS, WHICH MAY BE LOWER OR HIGHER
THAN PERFORMANCE DATA QUOTED. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT WILL FLUCTUATE SO THAT A PARTNER'S SHARE, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ITS ORIGINAL COST. THE GRAPH AND TABLE ABOVE DO
NOT REFLECT THE DEDUCTION OF TAXES.
(b) The Standard & Poor's 500 Composite Stock Price Index ("S&P 500 (R)
Index") is an unmanaged capitalization-weighted index of 500 widely held
stocks recognized by investors to be representative of the U.S. stock
market in general. It is not possible to invest directly in an index.
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Portfolio (the
"Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2007 to December 31,
2007.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the actual return of the Portfolio, and
the third column shows the dollar amount that would have been paid
by an investor who started with $ 1,000 in the Portfolio. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help
you compare your Portfolio's costs with those of other mutual funds.
It assumes that the Portfolio had a yearly return of 5% before
expenses, but that the expense ratio is unchanged. In this
case-because the return used is not the Portfolio's actual return-
the results do not apply to your investment. The example is useful
in making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5%
return. You can assess your Portfolio's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Six Months Ended December 31, 2007
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JULY 1, 2007 DECEMBER 31, 2007 DURING PERIOD*
------------- ----------------- --------------
BASED ON ACTUAL PORTFOLIO RETURN $ 1,000.00 $ 986.30 $ 0.23
BASED ON HYPOTHETICAL (5% RETURN
BEFORE EXPENSES) $ 1,000.00 $1,024.98 $ 0.23
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The annualized average weighted expense ratio as
of December 31,2007 was 0.045%. The dollar amounts shown as "Expenses
Paid" are equal to the annualized average weighted expense ratio
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period, then divided by the
number of days in the most recent 12-month period.
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ------------------------------------- -----------------
Common Stocks 98.1%
Money Market Funds 2.0
U.S. Government Securities 0.2
Liabilities less cash and other assets (0.3)
Total 100.0%
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* DECEMBER 31, 2007
- ---------------------------------------------------- -----------------
Financials 17.4%
Information Technology 15.9
Energy 12.3
Health Care 11.6
Industrials 11.4
Total 68.6%
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2007
MARKET
VALUE
SHARES (000)
------------- ------------
COMMON STOCKS - 98.1%
CONSUMER DISCRETIONARY - 8.7%
Abercrombie & Fitch Co. 15,846 $ 1,267
Amazon.Com, Inc. (a) 56,092 5,196
Apollo Group, Inc. Class A (a) 26,529 1,861
AutoNation, Inc. (a) 23,063 361
AutoZone, Inc. (a) 7,864 943
Bed Bath & Beyond, Inc. (a) 50,745 1,491
Best Buy Co., Inc. 64,119 3,376
Big Lots, Inc. (a) 17,227 275
Black & Decker Corp. 11,837 824
Brunswick Corp. 18,586 317
Carnival Corp. 80,250 3,570
CBS Corp. Class B 125,903 3,431
Centex Corp. 24,082 608
Circuit City Stores, Inc. 28,732 121
Clear Channel Communications, Inc. 92,847 3,205
Coach, Inc. (a) 68,028 2,080
Comcast Corp. Class A (a) 568,201 10,375
D.R. Horton, Inc. 53,476 704
Darden Restaurants, Inc. 25,688 712
Dillard's, Inc. Class A 12,294 231
DIRECTV Group, Inc. (a) 128,877 2,980
Eastman Kodak Co. 54,482 1,192
eBay, Inc. (a) 210,566 6,989
EW Scripps Co. Class A 16,835 758
Expedia, Inc. (a) 35,655 1,127
Family Dollar Stores, Inc. 27,158 522
Ford Motor Co. (a) 383,580 2,581
Fortune Brands, Inc. 27,745 2,008
GameStop Corp. (a) 29,000 1,801
Gannett Co., Inc. 42,074 1,641
Gap, Inc. 91,398 1,945
General Motors Corp. 103,845 2,585
Genuine Parts Co. 31,409 1,454
Goodyear Tire & Rubber Co. (a) 45,757 1,291
H&R Block, Inc. 58,415 1,085
Harley-Davidson, Inc. 46,901 2,191
Harman International Industries, Inc. 10,521 775
Harrah's Entertainment, Inc. 33,588 2,981
Hasbro, Inc. 25,825 661
Home Depot, Inc. 312,409 8,416
Host Hotels & Resorts, Inc. 92,665 1,579
International Game Technology 56,319 2,474
Interpublic Group of Cos., Inc. (a) 83,694 679
JC Penney & Co., Inc. 40,310 1,773
Johnson Controls, Inc. 109,486 3,946
Jones Apparel Group, Inc. 13,434 215
KB HOME 14,794 320
Kohl's Corp. (a) 56,933 2,608
Leggett & Platt, Inc. 34,398 600
Lennar Corp. Class A 27,931 500
Limited Brands 58,467 1,107
Liz Claiborne, Inc. 20,797 423
Lowe's Cos., Inc. 267,062 6,041
Macy's, Inc. 78,723 2,037
Marriot International, Inc. Class A 56,821 1,942
Mattel, Inc. 66,976 1,275
McDonald's Corp. 218,804 12,890
McGraw-Hill, Inc. 60,766 2,662
Meredith Corp. 7,889 434
New York Times Co. Class A 29,122 511
Newell Rubbermaid, Inc. 51,593 1,335
News Corp. Class A 428,209 8,774
NIKE, Inc. Class B 70,852 4,552
Nordstrom, Inc. 34,633 1,272
Office Depot, Inc. (a) 51,256 713
OfficeMax, Inc. 15,131 313
Omnicom Group, Inc. 59,941 2,849
Polo Ralph Lauren Corp. 10,615 656
Pulte Homes, Inc. 42,826 451
Radioshack Corp. 27,503 464
Sears Holdings Corp. (a) 14,174 1,446
Sherwin-Williams Co. 20,596 1,195
Snap-On, Inc. 9,512 459
Stanley Works 14,583 707
Staples, Inc. 130,833 3,018
Starbucks Corp. (a) 136,861 2,802
Starwood Hotels & Resorts Worldwide, Inc. 36,747 1,618
Target Corp. 153,204 7,660
Tiffany & Co. 25,080 1,154
Time Warner, Inc. 667,238 11,016
TJX Cos., Inc. 81,106 2,330
V.F. Corp. 16,893 1,160
Viacom, Inc. Class B (a) 123,909 5,442
Walt Disney Co. 356,571 11,510
Washington Post Co. 1,060 839
Wendy's International, Inc. 17,016 440
Whirlpool Corp. 13,761 1,123
Wyndham Worldwide Corp. 34,299 808
Yum! Brands, Inc. 95,392 3,651
------------
209,704
------------
CONSUMER STAPLES - 10.0%
Altria Group, Inc. 389,107 29,409
Anheuser-Busch Cos., Inc. 135,496 7,092
Archer-Daniels-Midland Co. 118,424 5,498
Avon Products, Inc. 80,660 3,188
Brown-Forman Corp. Class B 15,624 1,158
Campbell Soup Co. 41,465 1,482
Clorox Co. 25,743 1,678
Coca-Cola Co. 367,217 22,536
Coca-Cola Enterprises, Inc. 53,901 1,403
Colgate-Palmolive Co. 94,376 7,358
ConAgra Foods, Inc. 91,275 2,171
Constellation Brands, Inc. Class A (a) 37,226 880
Costco Wholesale Corp. 80,837 5,639
CVS Corp. 272,152 10,818
Dean Foods Co. 25,258 653
Estee Lauder Cos, Inc. Class A 20,552 896
General Mills, Inc. 62,732 3,576
See Notes to Financial Statements
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31,2007
MARKET
VALUE
SHARES (000)
------------- ------------
CONSUMER STAPLES - (CONTINUED)
H.J. Heinz Co. 58,369 $ 2,725
Hershey Foods Corp. 29,582 1,166
Kellogg Co. 48,435 2,539
Kimberly-Clark Corp. 76,800 5,325
Kraft Foods, Inc. 289,941 9,461
Kroger Co. 129,276 3,453
McCormick & Co., Inc. 22,353 847
Molson Coors Brewing Co., Class B 23,962 1,237
Pepsi Bottling Group, Inc. 26,453 1,044
PepsiCo, Inc. 296,067 22,471
Procter & Gamble Co. 573,613 42,115
Reynolds American, Inc. 31,887 2,103
Safeway, Inc. 80,264 2,746
Sara Lee Corp. 129,134 2,074
SuperValu, Inc. 37,648 1,413
Sysco Corp. 112,209 3,502
Tyson Foods, Inc., Class A 52,935 811
UST Corp. 28,137 1,542
Wal-Mart Stores, Inc. 439,955 20,911
Walgreen Co. 183,684 6,995
Whole Foods Market, Inc. 25,433 1,038
Wrigley Wm., Jr. Co. 39,748 2,327
------------
243,280
------------
ENERGY - 123%
Anadarko Petroleum Corp. 85,626 5,625
Apache Corp. 61,311 6,593
Baker Hughes, Inc. 57,578 4,670
BJ Services Co. 54,548 1,323
Chesapeake Energy Corp. 82,282 3,225
ChevronTexaco Corp. 390,310 36,428
ConocoPhillips 294,567 26,010
Devon Energy Corp. 82,412 7,327
El Paso Corp. 130,592 2,251
ENSCO International, Inc. 26,077 1,555
EOG Resources, Inc. 44,917 4,009
ExxonMobil Corp. 1,008,814 94,516
Halliburton Co. 160,734 6,093
Hess Corp. 51,487 5,193
Marathon Oil Corp. 130,790 7,960
Murphy Oil Corp. 35,241 2,990
Nabors Industries, Ltd. (a) 52,404 1,435
National Oilwell Varco, Inc. (a) 65,557 4,816
Noble Corp. 48,918 2,764
Noble Energy, Inc. 31,210 2,482
Occidental Petroleum Corp. 152,638 11,752
Range Resources Corp. 27,200 1,397
Rowan Cos., Inc. 19,520 770
Schlumberger, Ltd. 221,006 21,740
Smith International, Inc. 37,534 2,772
Sunoco, Inc. 21,584 1,564
Tesoro Corp. 26,365 1,258
Transocean, Inc. 58,799 8,417
Valero Energy Corp. 101,906 7,137
Weatherford International Ltd. (a) 62,555 4,291
Williams Cos., Inc. 110,168 3,942
XTO Energy, Inc. 89,221 4,582
------------
296,887
------------
FINANCIALS - 17.4%
ACE, Ltd. 60,483 3,737
AFLAC, Inc. 90,470 5,666
Allstate Corp. 105,579 5,514
Ambac Financial Group, Inc. 20,232 521
American Capital Strategies Ltd. 34,302 1,131
American Express Co. 217,379 11,308
American International Group, Inc. 469,749 27,386
Ameriprise Financial, Inc. 43,007 2,370
AON Corp. 54,747 2,611
Apartment Investment & Management Co. Class A 16,714 580
Assurant, Inc. 17,131 1,146
AvalonBay Communities, Inc. 14,753 1,389
Bank of America Corp. 819,839 33,827
Bank of New York Mellon Corp. 209,203 10,201
BB&T Corp. 101,370 3,109
Bear Stearns Cos., Inc. 21,168 1,868
Boston Properties, Inc. 21,667 1,989
Capital One Financial Corp. 70,163 3,316
CB Richard Ellis Group, Inc. Class A (a) 37,475 808
Charles Schwab Corp. 174,693 4,463
Chubb Corp. 72,375 3,950
Cincinnati Financial Corp. 31,514 1,246
CIT Group, Inc. 35,142 844
Citigroup, Inc. 919,107 27,059
CME Group, Inc. 10,141 6,957
Comerica, Inc. 27,144 1,182
Commerce Bancorp, Inc. 34,174 1,303
Countrywide Financial Corp. 100,246 896
Developers Diversified Realty Corp. 23,024 882
Discover Financial Services 85,605 1,291
E* Trade Financial Corp. (a) 81,315 289
Equity Residential 49,057 1,789
Fannie Mae 181,144 7,242
Federal Home Loan Mortgage Corp. 123,039 4,192
Federated Investors, Inc. Class B 15,270 629
Fidelity National Information Services, Inc. 30,977 1,288
Fifth Third Bancorp 95,716 2,405
First Horizon National Corp. 25,172 457
Franklin Resources, Inc. 29,680 3,396
General Growth Properties, Inc. 45,893 1,890
Genworth Financial, Inc. Class A 80,451 2,047
Goldman Sachs Group, Inc. 74,399 16,000
Hartford Financial Services Group, Inc. 57,297 4,996
Hudson City Bancorp, Inc. 95,292 1,431
Huntington Bancshares, Inc. 64,656 954
IntercontinentalExchange, Inc. (a) 12,680 2,441
J.P. Morgan Chase & Co. 619,837 27,056
See Notes to Financial Statements
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2007
MARKET
VALUE
SHARES (000)
------------- ------------
FINANCIALS - (CONTINUED)
Janus Capital Group, Inc. 29,407 $ 966
KeyCorp 70,475 1,653
Kimco Realty Corp. 45,869 1,670
Legg Mason, Inc. 25,142 1,839
Lehman Brothers Holdings, Inc. 98,213 6,427
Leucadia National Corp. 31,736 1,495
Lincoln National Corp. 49,592 2,887
Loews Corp. 81,290 4,092
M & T Bank Corp. 14,137 1,153
Marsh & McLennan Cos., Inc. 100,753 2,667
Marshall & Ilsley Corp. 49,593 1,313
MBIA, Inc. 21,584 402
Merrill Lynch & Co., Inc. 158,458 8,506
MetLife, Inc. 137,145 8,451
MGIC Investment Corp. 16,800 377
Moody's Corp. 38,966 1,391
Morgan Stanley 195,948 10,407
National City Corp. 115,554 1,902
Northern Trust Corp. 34,306 2,627
NYSE Euronext 48,600 4,266
Plum Creek Timber Co., Inc. 30,811 1,419
PNC Financial Services Group, Inc. 63,251 4,152
Principal Financial Group, Inc. 49,491 3,407
Progressive Corp. 135,501 2,596
ProLogis 47,891 3,035
Prudential Financial, Inc. 83,039 7,726
Public Storage, Inc. 23,087 1,695
Regions Financial Corp. 128,789 3,046
SAFECO Corp. 16,950 944
Simon Property Group, Inc. 41,100 3,570
SLM Corp. 73,899 1,488
Sovereign Bancorp, Inc. 65,974 752
State Street Corp. (b) 70,325 5,710
SunTrust Banks, Inc. 64,818 4,050
Synovus Financial Corp. 57,585 1,387
T. Rowe Price Group, Inc. 48,675 2,963
Torchmark Corp. 17,921 1,085
Travelers Cos, Inc. 118,604 6,381
U.S. Bancorp 317,331 10,072
Unum Group 63,629 1,514
Vornado Realty Trust 25,134 2,211
Wachovia Corp. 364,322 13,855
Washington Mutual, Inc. 159,441 2,170
Wells Fargo Co. 621,744 18,770
Western Union Co. 143,985 3,496
XL Capital, Ltd. Class A 33,044 1,662
Zions Bancorp 20,553 960
------------
421,659
------------
HEALTHCARE - 11.6%
Abbott Laboratories 285,708 16,043
Aetna, Inc. 94,397 5,450
Allergan, Inc. 56,592 3,635
AmerisourceBergen Corp. 29,493 1,323
Amgen, Inc. (a) 199,895 9,283
Applera Corp. - Applied Biosystems Group 33,273 $ 1,129
Barr Pharmaceuticals, Inc. (a) 18,923 1,005
Baxter International, Inc. 116,561 6,766
Becton, Dickinson & Co. 45,297 3,786
Biogen Idec, Inc. (a) 52,931 3,013
Boston Scientific Corp. (a) 244,634 2,845
Bristol-Myers Squibb Co. 363,616 9,643
C.R. Bard, Inc. 19,097 1,810
Cardinal Health, Inc. 66,957 3,867
Celgene Corp. (a) 70,418 3,254
CIGNA Corp. 51,496 2,767
Coventry Health Care, Inc. (a) 27,603 1,635
Covidien Ltd. 92,404 4,093
Eli Lilly & Co. 181,443 9,687
Express Scripts, Inc. (a) 47,299 3,453
Forest Laboratories, Inc. (a) 58,602 2,136
Genzyme Corp. (a) 48,492 3,610
Gilead Sciences, Inc. (a) 172,094 7,918
Hospira, Inc. (a) 28,503 1,215
Humana, Inc. (a) 30,047 2,263
IMS Health, Inc. 34,732 800
Johnson & Johnson 529,940 35,347
King Pharmaceuticals, Inc. (a) 49,292 505
Laboratory Corp. of America
Holdings (a) 21,122 1,595
McKesson Corp. 54,455 3,567
Medco Health Solutions, Inc. (a) 48,834 4,952
Medtronic, Inc. 208,511 10,482
Merck & Co., Inc. 402,238 23,374
Millipore Corp. (a) 9,535 698
Mylan Laboratories Inc. 58,709 825
Patterson Cos., Inc. (a) 25,094 852
Pfizer, Inc. 1,257,294 28,578
Quest Diagnostics, Inc. 28,100 1,486
Schering-Plough Corp. 299,884 7,989
St. Jude Medical, Inc. (a) 60,894 2,475
Stryker Corp. 43,489 3,250
Tenet Healthcare Corp. (a) 95,470 485
Thermo Fisher Scientific, Inc. (a) 76,824 4,431
UnitedHealth Group, Inc. 238,346 13,872
Varian Medical Systems, Inc. (a) 22,860 1,192
Watson Pharmaceuticals, Inc. (a) 17,346 471
Wellpoint, Inc. (a) 105,770 9,279
Wyeth 247,016 10,916
Zimmer Holdings, Inc. (a) 44,052 2,914
------------
281,964
------------
INDUSTRIALS - 11.4%
3M Co. 131,560 11,093
Allied Waste Industries, Inc. (a) 51,430 567
Avery Dennison Corp. 20,488 1,089
Boeing Co. 143,954 12,590
Burlington Northern Santa Fe Corp. 55,082 4,584
Caterpillar, Inc. 117,740 8,543
CH Robinson Worldwide, Inc. 30,461 1,649
See Notes to Financial Statements
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2007
MARKET
VALUE
SHARES (000)
------------- ------------
INDUSTRIALS - (CONTINUED)
Cintas Corp. 25,088 $ 843
Cooper Industries, Ltd. 34,434 1,821
CSX Corp. 80,738 3,551
Cummins, Inc. 18,529 2,360
Danaher Corp. 46,986 4,123
Deere & Co. 82,162 7,651
Domtar Corp. (a) (c) 11 0
Dover Corp. 36,195 1,668
Eaton Corp. 26,595 2,578
Emerson Electric Co. 145,740 8,258
Equifax, Inc. 23,683 861
Expeditors International Washington, Inc. 37,820 1,690
FedEx Corp. 57,339 5,113
Fluor Corp. 16,530 2,409
General Dynamics Corp. 74,748 6,652
General Electric Co. 1,866,192 69,180
Goodrich Co. 22,145 1,564
Honeywell International, Inc. 138,282 8,514
Illinois Tool Works, Inc. 75,471 4,041
Ingersoll-Rand Co. Class A 51,321 2,385
ITT Industries, Inc. 33,792 2,232
Jacobs Engineering Group, Inc. (a) 22,600 2,161
L-3 Communications Holdings, Inc. 22,503 2,384
Lockheed Martin Corp. 64,312 6,769
Manitowoc Co., Inc. 24,000 1,172
Masco Corp. 67,523 1,459
Monster Worldwide, Inc. (a) 22,609 733
Norfolk Southern Corp. 71,955 3,629
Northrop Grumman Corp. 63,511 4,995
PACCAR, Inc. 68,474 3,730
Pall Corp. 22,209 895
Parker-Hannifin Corp. 32,403 2,440
Pitney Bowes, Inc. 40,827 1,553
Precision Castparts Corp. 25,307 3,510
R.R. Donnelley & Sons Co. 40,209 1,517
Raytheon Co. 80,756 4,902
Robert Half International, Inc. 31,140 842
Rockwell Automation, Inc. 27,505 1,897
Rockwell Collins, Inc. 30,231 2,176
Ryder Systems, Inc. 9,821 462
Southwest Airlines Co. 138,886 1,694
Terex Corp. (a) 19,035 1,248
Textron, Inc. 45,639 3,254
Tyco Electronics Ltd. 91,104 3,383
Tyco International Ltd. 90,861 3,603
Union Pacific Corp. 48,084 6,040
United Parcel Service, Inc. Class B 192,650 13,624
United Technologies Corp. 182,024 13,932
W.W. Grainger, Inc. 12,169 1,065
Waste Management, Inc. 96,739 3,160
------------
275,838
------------
INFORMATION TECHNOLOGY - 15.9%
Adobe Systems, Inc. (a) 108,757 4,647
Advanced Micro Devices, Inc. (a) 114,986 862
Affiliated Computer Services, Inc. Class A (a) 19,337 872
Agilent Technologies, Inc. (a) 69,168 2,541
Akamai Technologies, Inc. (a) 29,424 1,018
Altera Corp. 59,454 1,149
Analog Devices, Inc. 57,869 1,835
Apple Computer, Inc. (a) 161,217 31,934
Applied Materials, Inc. 254,707 4,524
Autodesk, Inc. (a) 41,876 2,084
Automatic Data Processing, Inc. 97,217 4,329
BMC Software, Inc. (a) 35,721 1,273
Broadcom Corp. Class A (a) 85,359 2,231
CA, Inc. 68,899 1,719
CIENA Corp. (a) 14,529 496
Cisco Systems, Inc. (a) 1,120,801 30,340
Citrix Systems, Inc. (a) 33,467 1,272
Cognizant Technology Solutions Corp. Class A (a) 54,284 1,842
Computer Sciences Corp. (a) 30,744 1,521
Compuware Corp. (a) 54,650 485
Convergys Corp. (a) 27,935 460
Corning, Inc. 291,844 7,001
Dell, Inc. (a) 417,763 10,239
Electronic Arts, Inc. (a) 57,100 3,335
Electronic Data Systems Corp. 91,816 1,903
EMC Corp. (a) 388,642 7,202
Fiserv, Inc. (a) 29,952 1,662
Google, Inc. Class A (a) 42,771 29,575
Hewlett-Packard Co. 476,394 24,048
IAC (a) 34,889 939
Intel Corp. 1,080,236 28,799
International Business Machines Corp. 253,729 27,428
Intuit, Inc. (a) 61,163 1,933
Jabil Circuit, Inc. 39,951 610
Juniper Networks, Inc. (a) 94,093 3,124
KLA-Tencor Corp. 33,505 1,614
Lexmark International Group, Inc. Class A (a) 15,842 552
Linear Technology Corp. 40,863 1,301
LSI Logic Corp. (a) 138,462 735
MEMC Electronic Materials, Inc. (a) 42,578 3,768
Microchip Technology, Inc. 37,989 1,194
Micron Technology, Inc. (a) 142,362 1,032
Microsoft Corp. 1,485,833 52,896
Molex, Inc. 24,805 677
Motorola, Inc. 418,265 6,709
National Semiconductor Corp. 41,596 942
Network Appliance, Inc. (a) 66,057 1,649
Novell, Inc. (a) 68,720 472
Novellus Systems, Inc. (a) 20,030 552
NVIDIA Corp. (a) 100,756 3,428
Oracle Corp. (a) 728,972 16,460
Paychex, Inc. 61,738 2,236
PerkinElmer, Inc. 21,118 550
See Notes to Financial Statements
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2007
MARKET
VALUE
SHARES (000)
------------- ------------
INFORMATION TECHNOLOGY - (CONTINUED)
QLogic Corp. (a) 24,322 $ 345
QUALCOMM, Inc. 307,534 12,102
SanDisk Corp. (a) 40,167 1,332
Sun Microsystems, Inc. (a) 148,641 2,695
Symantec Corp. (a) 164,763 2,659
Tellabs, Inc. (a) 85,030 556
Teradata Corp. (a) 33,520 919
Teradyne, Inc. (a) 27,649 286
Texas Instruments, Inc. 258,656 8,639
Unisys Corp. (a) 69,807 330
VeriSign, Inc. (a) 40,321 1,517
Waters Corp. (a) 18,865 1,492
Xerox Corp. 171,534 2,777
Xilinx, Inc. 52,602 1,151
Yahoo!, Inc. (a) 243,219 5,657
------------
384,456
------------
MATERIALS - 3.5%
Air Products & Chemicals, Inc. 39,609 3,907
Alcoa, Inc. 159,562 5,832
Allegheny Technologies, Inc. 18,128 1,566
Ashland, Inc. 10,700 507
Ball Corp. 17,562 790
Bemis Co., Inc. 17,262 473
Consol Energy, Inc. 33,573 2,401
Dow Chemical Co. 174,930 6,896
E.I. Du Pont de Nemours & Co. 166,474 7,340
Eastman Chemical Co. 15,004 917
Ecolab, Inc. 30,766 1,575
Freeport-McMoRan Copper & Gold, Inc. Class B 70,723 7,245
Hercules, Inc. 23,050 446
International Flavors & Fragrances, Inc. 14,331 690
International Paper Co. 78,611 2,545
MeadWestvaco Corp. 32,320 1,012
Monsanto Co. 100,225 11,194
Newmont Mining Corp. 83,206 4,063
Nucor Corp. 52,454 3,106
Pactiv Corp. (a) 23,915 637
Peabody Energy Corp. 48,324 2,979
PPG Industries, Inc. 29,871 2,098
Praxair, Inc. 59,114 5,244
Rohm & Haas Co. 23,906 1,269
Sealed Air Corp. 28,492 659
Sigma-Aldrich Corp. 24,234 1,323
Titanium Metals Corp. 16,600 439
United States Steel Corp. 21,578 2,609
Vulcan Materials Co. 20,361 1,610
Weyerhaeuser Co. 39,537 2,915
------------
84,287
------------
TELECOMMUNICATION SERVICES - 3.6%
American Tower Corp. (a) 75,200 3,204
AT&T, Inc. 1,120,152 46,553
CenturyTel, Inc. 20,441 847
Citizens Communications Co. 60,384 $ 769
Embarq Corp. 27,597 1,367
JDS Uniphase Corp. (a) 42,723 568
Qwest Communications
International, Inc. (a) 283,890 1,990
Sprint Nextel Corp. 523,943 6,879
Verizon Communications, Inc. 531,829 23,236
Windstream Corp. 89,913 1,171
------------
86,584
------------
UTILITIES - 3.7%
AES Corp. (a) 124,995 2,674
Allegheny Energy, Inc. 30,759 1,957
Ameren Corp. 36,960 2,004
American Electric Power Co., Inc. 73,152 3,406
CenterPoint Energy, Inc. 57,611 987
CMS Energy Corp. 38,856 675
Consolidated Edison, Inc. 50,752 2,479
Constellation Energy Group, Inc. 33,014 3,385
Dominion Resources, Inc. 108,424 5,145
DTE Energy Co. 30,584 1,344
Duke Energy Corp. 233,920 4,718
Dynegy, Inc. (a) 95,490 682
Edison International 59,819 3,193
Entergy Corp. 35,998 4,302
Exelon Corp. 123,974 10,121
FirstEnergy Corp. 56,007 4,052
FPL Group, Inc. 75,121 5,092
Integrys Energy Group, Inc. 12,916 668
Nicor, Inc. 9,100 385
NiSource, Inc. 49,982 944
Pepco Holdings, Inc. 36,900 1,082
PG&E Corp. 64,726 2,789
Pinnacle West Capital Corp. 17,760 753
PPL Corp. 71,275 3,713
Progress Energy, Inc. 46,981 2,275
Public Service Enterprise Group, Inc. 47,212 4,638
Questar Corp. 32,468 1,756
Sempra Energy 49,286 3,050
Southern Co. 140,787 5,455
Spectra Energy Corp. 113,198 2,923
TECO Energy, Inc. 35,651 614
Trane, Inc. 31,030 1,449
Xcel Energy, Inc. 77,251 1,744
------------
90,454
------------
TOTAL COMMON STOCKS
(Cost $1,442,132,115) 2,375,113
------------
See Notes to Financial Statements
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31,2007
PAR MARKET
AMOUNT VALUE
(000) (000)
------------- ------------
U.S. GOVERNMENT SECURITIES - 0.2%
United States Treasury Bill
3.0% due 03/06/08 (d) (e) $ 4,299 $ 4,276
------------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $4,275,869) 4,276
------------
MARKET
SHARES VALUE
(000) (000)
------------- ------------
MONEY MARKET FUNDS - 2.0%
AIM Short Term Investment
Prime Portfolio 48,722 $ 48,722
Federated Money Market
Obligations Trust 554 554
------------
TOTAL MONEY MARKET FUNDS
(Cost $49,275,442) 49,276
------------
TOTAL INVESTMENTS - 100.3%
(identified cost $1,495,683,426) 2,428,665
LIABILITIES IN EXCESS OF ASSETS - (0.3)% (6,288)
------------
NET ASSETS - 100.0% $ 2,422,377
============
(a) Non-income producing security.
(b) Affiliated issuer. See table that follows for more information.
(c) Amount is less than $1,000.
(d) Rate represents annualized yield at date of purchase.
(e) Security held as collateral in relation to initial margin requirements on
futures contracts.
See Notes to Financial Statements
11
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
NUMBER UNREALIZED
OF APPRECIATION
CONTRACTS (000)
------------- ------------
Schedule of Futures Contracts
S&P 500 Financial Futures
Contracts (long) Expiration
Date 03/2008 677 $ 675
------------
Total unrealized depreciation
on open futures contracts
purchased $ 675
============
AFFILIATE TABLE
Realized
Income Earned Gain
Shares purchased for Shares sold for Value at for the year ended on shares
Security Number of shares held the year ended the year ended Number of shares held 12/31/07 12/31/07 sold
Description at 12/31/2006 12/31/07 12/31/07 at 12/31/07 (000) (000) (000)
- ------------- --------------------- -------------------- --------------- --------------------- -------- ------------------ ---------
State Street 69,744 18,900 18,319 70,325 5,710 $ 62 $ 573
Corp.
See Notes to Financial Statements
12
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2007
(Amounts in thousands)
ASSETS
Investments in unaffiliated issuers at market (identified cost $1,492,789) $2,422,955
Investments in non-controlled affiliates at market (identified cost $2,894) (Note 4) 5,710
----------
2,428,665
Cash 143
Receivables:
Investment securities sold 548
Dividends and interest 3,648
----------
Total assets 2,433,004
LIABILITIES
Payables:
Investment securities purchased 10,140
Daily variation margin on futures contracts 291
Management fees (Note 4) 196
----------
Total liabilities 10,627
----------
NET ASSETS $2,422,377
==========
See Notes to Financial Statements.
13
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2007
(Amounts in thousands)
INVESTMENT INCOME
Dividend income - unaffiliated issuers $ 51,567
Dividend income - non-controlled affiliated issuer 62
Interest 2,709
----------------
Total Investment Income 54,338
----------------
EXPENSES
Management fees (Note 4) $ 1,221
---------------
Total Expenses 1,221
----------------
NET INVESTMENT INCOME 53,117
----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments - unaffiliated issuers 169,491
Investments - non-controlled affiliated issuer 573
Futures contracts (853)
---------------
Net change in net unrealized appreciation (depreciation) on: 169,211
Investments (67,144)
Futures contracts 663
---------------
(66,481)
----------------
Net realized and unrealized gain 102,730
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 155,847
================
See Notes to Financial Statements.
14
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
For the Year For the Year
Ended Ended
December 31, 2007 December 31, 2006
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 53,117 $ 49,532
Net realized gain on investments and futures contracts 169,211 9,894
Net change in net unrealized appreciation (depreciation) (66,481) 318,596
---------------- ----------------
Net increase in net assets resulting from operations 155,847 378,022
---------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from contributions 328,812 310,574
Contributions in-kind - 8,054
Fair value of withdrawals (765,322) (383,063)
Withdrawals in-kind (63,656) -
---------------- ----------------
Net decrease in net assets from capital transactions (500,166) (64,435)
---------------- ----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS (344,319) 313,587
NET ASSETS
Beginning of period 2,766,696 2,453,109
---------------- ----------------
End of period $ 2,422,377 $ 2,766,696
================ ================
See Notes to Financial Statements.
15
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
Year Year Year Year year
Ended Ended Ended Ended Ended
12/31/07 12/31/06 12/31/05 12/31/04 12/31/03
-----------------------------------------------------------------------------------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in thousands) $ 2,422,377 2,766,696 $ 2,453,109 $ 2,767,467 $ 2,714,672
Ratios to average net assets:
Operating expenses 0.045 0.045% 0.045% 0.045% 0.045%
Net investment income 1.96% 1.94% 1.84% 1.97% 1.74%
Portfolio turnover rate* 12% 10% 8% 9% 12%
Total return (a) 5.49% 15.75% 4.87% 10.86% 28.62%
- ----------
* The portfolio turnover rate excludes in-kind security transactions.
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
16
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
1. ORGANIZATION
State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven
investment portfolios: the State Street Equity 500 Index Portfolio, the State
Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio,
the State Street Aggregate Bond Index Portfolio, the State Street Money Market
Portfolio, the State Street Tax Free Money Market Portfolio, the State Street
Tax Free Limited Duration Bond Portfolio, the State Street Limited Duration Bond
Portfolio, the State Street Treasury Money Market Portfolio, the State Street
Treasury Plus Money Market Portfolio and the State Street U.S. Government Money
Market Portfolio. Information presented in these financial statements pertains
only to the State Street Equity 500 Index Portfolio (the "Portfolio"). At
December 31, 2007, only the Portfolio, the State Street Money Market Portfolio,
the State Street Tax Free Money Market Portfolio, the State Street Tax Free
Limited Duration Bond Portfolio, the State Street Treasury Money Market
Portfolio, the State Street Treasury Plus Money Market Portfolio and the State
Street U.S. Government Money Market Portfolio were in operation. The Portfolio
is authorized to issue an unlimited number of non-transferable beneficial
interests.
The Portfolio's investment objective is to replicate, as closely as possible,
before expenses, the performance of the Standard & Poor's 500 Composite Stock
Price Index (the "S&P 500(R) Index"). The Portfolio uses a passive management
strategy designed to track the performance of the S&P 500(R) Index. The S&P
500(R) Index is a well-known, unmanaged, stock index that includes common stocks
of 500 companies from several industrial sectors representing a significant
portion of the market value of all stocks publicly traded in the United States.
There is no assurance that the Portfolio will achieve its objective.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: The Portfolio's investments are valued each business day by
independent pricing services. Equity securities for which market quotations are
available are valued at the last sale price or official closing price (closing
bid price if no sale has occurred) on the primary market or exchange on which
they trade. Investments in other mutual funds are valued at the net asset value
per share. Fixed-income securities and options are valued on the basis of the
closing bid price. Futures contracts are valued on the basis of the last sale
price. Money market instruments maturing within 60 days of the valuation date
are valued at amortized cost, a method by which each money market instrument is
initially valued at cost, and thereafter a constant accretion or amortization of
any discount or premium is recorded until maturity of the security. The
Portfolio may value securities for which market quotations are not readily
available at "fair value," as determined in good faith pursuant to procedures
established by the Board of Trustees.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities transactions
are recorded on a trade date basis for financial statement purposes. Dividend
income is recorded on the ex-dividend date. Interest income is recorded daily on
the accrual basis and includes amortization of premium and accretion of discount
on investments. Realized gains and losses from securities transactions are
recorded on the basis of identified cost. Expenses are accrued daily based on
average daily net assets.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
partners in the Portfolio based on each partner's daily ownership percentage.
FEDERAL INCOME TAXES: The Portfolio is not required to pay federal income taxes
on its net investment income and net capital gains because it is treated as a
partnership for federal income tax purposes. All interest, dividends, gains and
losses of the Portfolio are deemed to have been "passed through" to the
Portfolio's partners in proportion to their holdings in the Portfolio,
regardless of whether such items have been distributed by the Portfolio. Each
partner is responsible for tax liability based on its distributive share;
therefore, no provision has been made for federal income taxes.
17
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
The Portfolio adopted the provisions of Financial Accounting Standards Board
Interpretation No. 48 (FIN 48), "Accounting for Uncertainty in Income Taxes", on
June 29, 2007. As of and during the period ended December 31, 2007, the
Portfolio did not have a liability for any unrecognized tax expenses. The
Portfolio recognizes interest and penalties, if any, related to tax liabilities
as income tax expense in the Statement of Operations. As of December 31, 2007,
tax years 2004 through 2007 remain subject to examination by the portfolio's
major tax jurisdictions, which include the United States of America and the
Commonwealth of Massachusetts.
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the S&P 500(R) Index. Upon entering into a
futures contract, the Portfolio is required to deposit with the broker cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
depending on the daily fluctuations in the value of the underlying security or
index, and are recorded for financial statement purposes as unrealized gains or
losses by the Portfolio. The Portfolio recognizes a realized gain or loss when
the contract is closed. The Portfolio voluntarily segregates securities in an
amount equal to the outstanding value of the open futures contracts in
accordance with Securities and Exchange Commission requirements.
The primary risks associated with the use of futures contracts are an imperfect
correlation between the change in market value of the securities held by the
Portfolio and the prices of futures contracts and the possibility of an illiquid
market.
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles that require the
use of management estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2007, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and
contributions in-kind and fair value of withdrawals, aggregated to $312,810,297
and $728,958,796, respectively. The aggregate value of withdrawals in-kind was
$63,655,791. The realized gain associated with the withdrawal in-kind was
$19,063,455.
At December 31, 2007, the book cost of investments was $1,495,683,426 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $1,001,447,866 and
$68,465,885, respectively, resulting in net appreciation of $932,981,981 for all
securities as computed on a federal income tax basis.
The difference between book and tax cost amounts are primarily due to wash sale
loss deferrals.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
Corp. and an affiliate of State Street Bank and Trust Company ("State Street"),
under which SSgA FM directs the investments of the Portfolio in accordance with
its investment objective, policies, and limitations. The Trust has contracted
with State Street to provide custody, administration and transfer agent services
to the Portfolio. In compensation for SSgA FM's services as investment adviser
and for State Street's services as administrator, custodian and transfer agent
(and for assuming ordinary operating expenses of the Portfolio, including
ordinary legal, audit and trustees expense), State Street receives a unitary
fee, calculated daily, at the annual rate of 0.045% of the Portfolio's average
daily net assets.
Certain investments made by the Portfolio were made in securities affiliated
with State Street and SSgA FM. Investments in State Street Corp., the holding
company of State Street, were made according to its representative portion of
the S&P 500(R) Index. The market value of this investment at December 31, 2007
is listed in the Portfolio of Investments.
5. TRUSTEES' FEES
Pursuant to certain agreements with State Street and its affiliates, each
Independent Trustee receives for his or her services a $30,000 retainer in
addition to $2,500 for each in-person meeting and $500 for each telephonic
meeting from State Street or its affiliates.
18
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
6. INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements is
unknown as this could involve future claims against the Trust. Management does
not expect anything significant.
7. NEW ACCOUNTING PRONOUNCEMENTS
In September 2006, Statement of 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 has evaluated the application of SFAS 157 to the Portfolio and
believes the impact will be limited to expanded disclosures in the Portfolio's
Financial Statements resulting from adoption of this pronouncement.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of the
State Street Equity 500 Index Portfolio (one of the portfolios constituting
State Street Master Funds) (the Portfolio), including the portfolio of
investments, as of December 31, 2007, and the related statement of operations
for the year then ended, the statement of changes in net assets for each of the
two years in the period then ended and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolio's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2007, by correspondence with the
custodian and brokers or by other appropriate auditing where replies from
brokers were not received. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of State
Street Equity 500 Index Portfolio of State Street Master Funds at December 31,
2007, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with U.S. generally accepted accounting principles.
[ERNST & YOUNG LLP]
Boston, Massachusetts
February 25, 2008
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
DECEMBER 31, 2007
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures are
available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
available by August 31 (i) without charge, upon request, by (i) calling
(877) 521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling
(877) 521-4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on November 29, 2007 (the "Meeting") to
consider the renewal of the investment advisory agreement for the Portfolio (the
"Advisory Agreement"). In preparation for considering the Advisory Agreement,
the Trustees had reviewed the renewal materials provided by the Adviser, which
they had requested through independent counsel. In deciding whether to renew the
Advisory Agreement, the Trustees considered various factors, including (i) the
nature, extent and quality of the services provided by SSgA Funds Management,
Inc. (the "Adviser") under the Advisory Agreement, (ii) the investment
performance of the Portfolio, (iii) the costs to the Adviser of its services and
the profits realized by the Adviser and its affiliates from their relationship
with the Trust, (iv) the extent to which economies of scale would be realized if
and as the Trust grows and whether the fee levels in the Advisory Agreement
reflect these economies of scale, and (v) any additional benefits to the Adviser
from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the
Adviser, the Trustees relied on their prior direct experience as Trustees of the
Trust as well as on the materials provided at the Meeting. The Board reviewed
the Adviser's responsibilities under the Advisory Agreement and noted the
experience and expertise that would be appropriate to expect of an adviser to
the Portfolio, which is an index fund. The Trustees reviewed the background and
experience of the Adviser's senior management, including those individuals
responsible for the investment and compliance operations relating to the
investments of the Portfolio, and the responsibilities of the latter with
respect to the Portfolio. They also considered the resources, operational
structures and practices of the Adviser in managing the Portfolio's investments,
in monitoring and securing the Portfolio's compliance with its investment
objective and policies with respect to its investments and with applicable laws
and regulations, and in seeking best execution of portfolio transactions. The
Trustees also considered information about the Adviser's overall investment
management business, noting that the Adviser manages assets for a variety of
institutional investors and that the Adviser and its affiliates had over $1.99
trillion in assets under management as of September 30, 2007, including over
$140 billion managed by the Adviser. They reviewed information regarding State
Street's business continuity and disaster recovery program. Drawing upon the
materials provided and their general knowledge of the business of the Adviser,
the Trustees determined that they were satisfied with the experience, resources
and strength of the Adviser in the management of index products. As discussed
more fully below, they also determined that the advisory fee for the Portfolio
was fair and reasonable and that its performance and expense ratio was
satisfactory. On the basis of this review, the Trustees determined that the
nature and extent of the services provided by the Adviser to the Portfolio was
appropriate, had been of uniformly high quality, and could be expected to remain
so.
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
DECEMBER 31, 2007
The Trustees noted that, in view of the investment objective of the Portfolio,
the investment performance was satisfactory. The Trustees noted that the
performance of the Portfolio in absolute terms was not of the importance that
normally attaches to that of actively-managed funds. Of more importance to the
Trustees was the extent to which the Portfolio achieved its objective of
replicating, before expenses, the total return of the S&P 500 Index. Drawing
upon information provided at the Meeting and upon reports provided to the
Trustees by the Adviser throughout the preceding year, they determined that the
Portfolio had in fact tracked the index within an acceptable range of tracking
error. They concluded that the performance the Portfolio was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships with the Trust. The Trustees had
been provided with data regarding the profitability to the Adviser and its
affiliated service providers with respect to the Portfolio individually, and on
an aggregate basis, for the year ended June 30, 2007. Having discussed with
representatives of the Adviser the methodologies used in computing the costs
that formed the bases of the profitability calculations, they concluded that
these methodologies were reasonable and turned to the data provided. After
discussion and analysis they concluded that, to the extent that the Adviser's
and State Street's relationships with the Trust had been profitable during the
period for which information had been provided, the profitability was in no case
such as to render the advisory fee excessive.
In order better to evaluate the Portfolio's advisory fee, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that that the
Portfolio's advisory fee and total expense ratio were lower than the average for
its peer group. The Board determined that the Adviser's fees were fair and
reasonable.
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust' relationship with State Street as fund
administrator, custodian and transfer agent and the Portfolios' use of State
Street Global Markets to perform certain brokerage services. They noted that the
Adviser utilizes no soft-dollar arrangements in connection with the Portfolio's
brokerage transactions. The Trustees concluded that, to the extent that the
Adviser or its affiliates derive other benefits from their relationships with
the Trust, those benefits are not so significant as to render the Adviser's fees
excessive.
The Board also considered the extent to which economies of scale may be realized
by the Portfolio as assets grow and whether the Portfolio's fee levels reflect
such economies of scale, if any, for the benefit of investors. In considering
the matter, the Board determined that, to the extent economies of scale were in
fact realized, such economies of scale were shared with the Portfolio by virtue
of advisory fees of comparatively low levels that subsumed economies of scale in
the fees themselves. The Trustees also recognized, however, that should
sustained, substantial asset growth be realized in the future, it might be
necessary to consider additional measures.
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED).
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX
AND DATE OF HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY OTHER DIRECTORSHIPS
BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- -------------------- ----------- -------------- ---------------------- ------------- -------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Term: Chairman, Holland & 22 Trustee, State Street
Holland & Chairman of Indefinite Company L.L.C. (investment Institutional Investment
Company, LLC the Board Elected: 7/99 adviser) (1995 -present). Trust; Director, the
375 Park Avenue Holland Series Fund, Inc.;
New York,NY 10152 Director, The China Fund,
Inc.; Chairman and
DOB: July 7, 1944 Trustee, Scottish Widows
Investment Partnership
Trust; and Director,
Reaves Utility Income Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual 22 Trustee, State Street
State Street Master Elected: 7/99 South Africa Master Trust Institutional Investment Trust;
Funds (investments) (1995 and Trustee, Old Mutual South
P.O. Box 5049 -present); Chairman Africa Master Trust
Boston, MA 02206 emeritus, Children's Hospital
DOB: January 20, (1984 - present); Director,
1937 Boston Plan For Excellence
(non-profit) (1994 -
present); President and
Chief Operations Officer,
John Hancock Mutual Life
Insurance Company (1959 -
1999). Mr. Boyan retired in
1999.
Rina K. Spence Trustee Term: President of SpenceCare 22 Trustee, State Street
State Street Indefinite International LLC (1998 - Institutional Investment
Master Funds Elected: 7/99 present); Member of the Trust; Director, Berkshire
P.O. Box 5049 Advisory Board, Ingenium Life Insurance Company
Boston, MA 02206 Corp.(technology company) of America; and Director,
(2001 -present); Chief IEmily.com
Executive Officer,
DOB: October 24, IEmily.com (internet
1948 company) (2000 - 2001);
Chief Executive Officer of
Consensus Pharmaceutical,
Inc. (1998 - 1999); Founder,
President and Chief
Executive Officer of Spence
Center for Women's Health
(1994 - 1998); Trustee,
Eastern Enterprise
(utilities) (1988-2000).
Douglas T. Williams Trustee Term: Executive Vice President of 22 Trustee, State Street
State Street Master Indefinite Chase Manhattan Bank (1987 Institutional Investment
Funds Elected: 7/99 - 1999). Mr. Williams Trust
P.O. Box 5049 retired in 1999.
Boston, MA 02206
DOB: December 23,
1940
* The "Fund Complex" consists of eleven series of the Trust and eleven
series of State Street Institutional Investment Trust.
23
STATE STREET EQUITY 500 INDEX PORTFOLIO
Trustees and Executive Officers (Unaudited).
NUMBER OF
FUNDS IN
FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY OTHER DIRECTORSHIPS HELD
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS* TRUSTEE BY TRUSTEE
- ----------------- ----------- -------------- ----------------------- ----------- ------------------------
INTERESTED
TRUSTEES(1)
James E. Ross President, SSgA Funds 22 Trustee, State Street
SSgA Funds Trustee/ Term:Indefinite Management, Inc. (2005 - Institutional Investment
Management, Inc. President Elected present); Principal, SSgA Trust; Trustee, SPDR(R)
State Street Trustee: Funds Management, Inc. Trustee, SPDR(R) Index
Financial Center 2/07 (2001 2005); Senior Managing Shares Trust and Trustee,
Director, State Street Select Sector SPDR(R) Trust
One Lincoln Street Elected Global Advisors (March
Boston, MA 021 President:4/05 2006 -
11-2900 present); Principal, State
Street Global Adviserer
(2000-2006).
DOB: June 24, 1965
OFFICERS:
Gary L. French Treasurer Term: Senior Vice President of -- --
State Street Bank Indefinite State Street Bank and Trust
and Trust Company Elected: Company (2002 -present);
2 Avenue de 5/05 Managing Director, Deutsche
Lafayette Boston, Bank (including its
MA 02111 predecessor, Scudder
Investments), Fund
Operations Unit (2001 -
2002); President, UAM
Fund Services (1995 -2001).
DOB: July 4, 1951
Julie Piatelli Interim Term: Principal and Senior -- --
SSgA Funds Chief Indefinite Compliance and Risk
Management, Inc. Compliance Elected: Management Officer, SSgA
State Street Officer 7/07 Funds Management, Inc.
Financial Center (2004- present), Vice
President State Street
One Lincoln Street Global Advisors (2004-
Boston, MA 02111 present); Manager,
PricewaterhouseCoopers
LLP (1999-2004).
DOB: August 5, 1967
Nancy L. Conlin Secretary Term: Vice President and Managing -- --
State Street Bank Indefinite Counsel, State Street Bank
and Trust Company Elected: 9/07 and Trust Company (2007 -
2 Avenue de present); General Counsel to
Lafayette Plymouth Rock Companies (2004-
Boston, MA 02111 2007); and U.S. Chief
Counsel to Sun Life
Financial (2002-2004).
DOB: December 11,
1953
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
24
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02110
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET EQUITY 500 INDEX PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET MASTER FUNDS
ANNUAL REPORT
DECEMBER 31, 2007
STATE STREET MONEY MARKET PORTFOLIO
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATE STREET MASTER FUNDS
EXPENSE EXAMPLE
As a shareholder of the below listed Portfolios, you incur ongoing costs, which
include costs for portfolio management and administrative services, among
others. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2007* to December 31,
2007.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the Portfolio's actual return, and the third column
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the Portfolio. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result
by the number given for the Portfolio under the heading "Expenses Paid
During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case- because the return
used is not the Portfolio's actual return- the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended December 31, 2007
<Table>
<Caption>
- ----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JULY 1, 2007 DECEMBER 31, 2007 PERIOD*
- ----------------------------------------------------- ------------------- --------------
BASED ON ACTUAL PORTFOLIO RETURN
- ----------------------------------------------------- ------------------- --------------
Money Market Portfolio $1,000.00 $1,025.90 $0.51
- ----------------------------------------------------- ------------------- --------------
Tax Free Money Market Portfolio $1,000.00 $1,017.50 $0.51
- ----------------------------------------------------- ------------------- --------------
U.S. Government Money Market
Portfolio $1,000.00 $1,009.20 $0.29
- ----------------------------------------------------- ------------------- --------------
Treasury Money Market Portfolio $1,000.00 $1,006.10 $0.36
- ----------------------------------------------------- ------------------- --------------
Treasury Plus Money Market Portfolio $1,000.00 $1,007.50 $0.32
- ----------------------------------------------------- ------------------- --------------
</Table>
1
<Table>
<Caption>
- ----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JULY 1, 2007 DECEMBER 31, 2007 PERIOD*
- ----------------------------------------------------- ------------------- --------------
BASED ON HYPOTHETICAL (5% RETURN
BEFORE EXPENSES)
- ----------------------------------------------------- ------------------- --------------
Money Market Portfolio $1,000.00 $1,024.70 $0.51
- ----------------------------------------------------- ------------------- --------------
Tax Free Money Market Portfolio $1,000.00 $1,024.70 $0.51
- ----------------------------------------------------- ------------------- --------------
U.S. Government Money Market
Portfolio $1,000.00 $1,024.50 $0.71
- ----------------------------------------------------- ------------------- --------------
Treasury Money Market Portfolio $1,000.00 $1,024.25 $0.97
- ----------------------------------------------------- ------------------- --------------
Treasury Plus Money Market Portfolio $1,000.00 $1,024.35 $0.87
- ----------------------------------------------------- ------------------- --------------
</Table>
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted
expense ratio as of December 31, 2007 was as follows:
<Table>
Money Market Portfolio 0.10%
- --------------------------------------------------------
Tax Free Money Market Portfolio 0.10%
- --------------------------------------------------------
U.S. Government Money Market Portfolio 0.14%
- --------------------------------------------------------
Treasury Money Market Portfolio 0.19%
- --------------------------------------------------------
Treasury Plus Money Market Portfolio 0.17%
- --------------------------------------------------------
</Table>
"Actual" expense information for the Portfolio is for the period from date
of initial public investment to December 31, 2007. Actual expenses are equal
to the annualized expense ratio of the Portfolio, multiplied by actual days
in the period/365 (to reflect the period from initial public investment to
December 31, 2007).
<Table>
<Caption>
- --------------------------------------------------------------------------------------------
DATE OF INITIAL PUBLIC INVESTMENT ACTUAL DAYS
- --------------------------------------------------------------------- ----------------------
U.S. Government Money Market
Portfolio October 17, 2007 76
- --------------------------------------------------------------------- ----------------------
Treasury Money Market Portfolio October 25, 2007 68
- --------------------------------------------------------------------- ----------------------
Treasury Plus Money Market
Portfolio October 24, 2007 69
- --------------------------------------------------------------------- ----------------------
</Table>
"Hypothetical" expense information for the Portfolio is presented on the
basis of the full one-half year period to enable comparison to other funds.
It is based on assuming the same net expense ratio and average account value
over the period, but is multiplied by 184/365 (to reflect the full half-year
period).
2
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
Yankee Certificate of Deposit 36.2%
- ---------------------------------------------------------------------------------
Repurchase Agreements 20.2
- ---------------------------------------------------------------------------------
Commercial Paper 20.1
- ---------------------------------------------------------------------------------
Certificate of Deposit 8.7
- ---------------------------------------------------------------------------------
Medium Term Note 5.6
- ---------------------------------------------------------------------------------
Bank Notes 4.7
- ---------------------------------------------------------------------------------
U.S. Government Agency Obligations 2.0
- ---------------------------------------------------------------------------------
Promissory Note 1.2
- ---------------------------------------------------------------------------------
Euro Certificate of Deposit 0.7
- ---------------------------------------------------------------------------------
Time Deposits 0.0
- ---------------------------------------------------------------------------------
Other assets less liabilities 0.6
- ---------------------------------------------------------------------------------
Total 100.00%
- ---------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
0-3 Days 20.3%
- ---------------------------------------------------------------------------------
4-90 Days 55.8
- ---------------------------------------------------------------------------------
90+ Days 23.9
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
Average maturity 38 Days
- ---------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
3
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- ------------------ -------- ---------- ------------ --------------
COMMERCIAL PAPER - 20.1%
BANK DOMESTIC - 3.5%
Bank of America Corp. 5.400% 01/15/2008 $125,000,000 $ 124,737,500
Bank of America Corp. 4.705% 03/24/2008 60,000,000 59,349,141
Bank of America Corp. 4.665% 04/24/2008 60,000,000 59,113,650
--------------
243,200,291
--------------
BANK FOREIGN - 12.3%
Bank of Ireland(a) 4.820% 02/01/2008 234,500,000 233,526,695
CBA (Delaware) Finance 4.990% 02/29/2008 223,000,000 221,176,294
Dexia Delaware LLC 5.040% 01/16/2008 150,000,000 149,685,000
Societe Generale NY 4.860% 04/24/2008 50,000,000 49,230,500
Westpac Banking Corp. NY 4.970% 02/28/2008 200,000,000 198,398,555
--------------
852,017,044
--------------
FINANCE CAPTIVE CONSUMER - 4.3%
General Electric Capital Corp. 5.170% 01/25/2008 50,000,000 49,827,667
General Electric Capital Corp. 5.150% 04/04/2008 175,000,000 172,646,736
General Electric Capital Corp. 4.620% 04/21/2008 75,000,000 73,931,625
--------------
296,406,028
--------------
TOTAL COMMERCIAL PAPER 1,391,623,363
--------------
CERTIFICATES OF DEPOSIT - 8.7%
BANK DOMESTIC - 8.7%
Chase Bank USA NA 4.700% 05/06/2008 100,000,000 100,000,000
Chase Bank USA NA 5.150% 02/12/2008 200,000,000 200,000,000
Citibank 4.760% 01/29/2008 200,000,000 200,000,000
Citibank 4.900% 02/15/2008 100,000,000 100,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 600,000,000
--------------
YANKEE CERTIFICATES OF DEPOSIT - 36.2%
BANK FOREIGN - 36.2%
Bank of Nova Scotia NY 4.750% 02/08/2008 100,000,000 100,000,000
Bank Scotland NY 4.720% 04/30/2008 50,000,000 50,000,000
Bank Scotland NY 4.810% 04/28/2008 100,000,000 100,000,000
Barclays Bank PLC 4.950% 06/13/2008 100,000,000 100,000,000
Barclays Bank PLC 5.160% 02/19/2008 140,000,000 140,000,000
Barclays Bank PLC 5.355% 01/22/2008 60,000,000 60,000,000
Calyon NY 4.750% 03/26/2008 100,000,000 100,001,157
Deutsche Bank NY 4.680% 04/01/2008 75,000,000 75,000,000
Deutsche Bank NY(b) 5.025% 04/29/2008 200,000,000 200,000,000
Dexia Bank NY 4.850% 01/08/2008 150,000,000 150,000,000
HBOS Treasury Services NY(b) 5.340% 01/18/2008 150,000,000 150,000,000
ING Bank Amsterdam 5.170% 01/18/2008 100,000,000 100,000,000
</Table>
See Notes to Financial Statements
4
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- ------------------ -------- ---------- ------------ --------------
YANKEE CERTIFICATES OF DEPOSIT (CONTINUED)
BANK FOREIGN (CONTINUED)
Landesbank Baden-Wurtt NY 5.020% 01/25/2008 $150,000,000 $ 150,000,494
Rabobank Nederland NY 4.750% 02/08/2008 250,000,000 250,001,304
Societe Generale NY(b) 4.815% 03/26/2008 95,000,000 94,994,527
Societe Generale NY 5.150% 02/29/2008 100,000,000 100,000,000
Svenska Handelsbanken AB(a)(b) 5.110% 01/17/2008 160,000,000 160,000,000
UBS AG Stamford CT 5.095% 01/16/2008 125,000,000 125,000,000
UBS AG Stamford CT 5.095% 02/19/2008 125,000,000 125,000,000
Unicredito Italiano Spa NY 5.355% 01/14/2008 175,000,000 175,000,307
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 2,504,997,789
--------------
EURO CERTIFICATES OF DEPOSIT - 0.7%
BANK FOREIGN - 0.7%
Societe Generale 5.375% 04/14/2008 50,000,000 50,000,694
--------------
TOTAL EURO CERTIFICATES OF DEPOSIT 50,000,694
--------------
BANK NOTES - 4.7%
BANK DOMESTIC - 1.4%
Bank of America NA(a) 5.090% 01/17/2008 100,000,000 100,000,000
--------------
100,000,000
--------------
BANK FOREIGN - 3.3%
BNP Paribas(a)(b) 4.895% 08/19/2008 25,000,000 25,000,000
Lloyds TSB Group PLC(a)(b) 5.222% 09/06/2008 100,000,000 100,000,000
Svenska Handelsbanken(a)(b) 4.922% 09/19/2008 100,000,000 100,000,000
--------------
225,000,000
--------------
TOTAL BANK NOTES 325,000,000
--------------
MEDIUM TERM NOTES - 5.6%
BANK DOMESTIC - 2.1%
American Express Credit Corp.(b) 4.949% 08/19/2008 20,000,000 20,000,000
JPMorgan Chase & Co.(b) 5.215% 09/02/2008 50,000,000 50,000,000
Wells Fargo Company(b) 4.596% 08/15/2008 50,000,000 50,000,000
Wells Fargo Company(b) 5.076% 09/17/2008 30,000,000 30,000,000
--------------
150,000,000
--------------
BANK FOREIGN - 3.5%
Alliance & Leicester PLC(a)(b) 4.845% 08/29/2008 35,000,000 35,000,000
Bank of Scotland PLC(a)(b) 5.233% 09/08/2008 25,000,000 25,000,000
Caja de Ahorros y Monte de Piedad de
Madrid(a)(b) 5.349% 08/12/2008 30,000,000 30,000,000
National Australia Bank Ltd.(a)(b) 5.240% 09/05/2008 20,000,000 20,000,000
UniCredito Italiano Bank Ireland PLC(b) 5.048% 09/12/2008 15,000,000 15,000,000
</Table>
See Notes to Financial Statements
5
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- ------------------ -------- ---------- ------------ --------------
MEDIUM TERM NOTES (CONTINUED)
BANK FOREIGN (CONTINUED)
Westpac Banking Corp(.(a)(b)) 5.242% 09/05/2008 $100,000,000 $ 100,000,000
Westpac Banking Corp.(a)(b) 5.018% 09/15/2008 15,000,000 15,000,000
--------------
240,000,000
--------------
TOTAL MEDIUM TERM NOTES 390,000,000
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 2.0%
Federal Home Loan Bank Discount Notes(c) 4.360% 01/24/2008 41,500,000 41,384,400
Federal Home Loan Bank Discount Notes(c) 4.350% 01/30/2008 100,000,000 99,649,583
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 141,033,983
--------------
PROMISSORY NOTES - 1.2%
Goldman Sachs Group, Inc(.(b)(d)) 5.280% 01/15/2008 50,000,000 50,000,000
Goldman Sachs Group, Inc.(b)(d) 5.140% 01/25/2008 30,000,000 30,000,000
--------------
TOTAL PROMISSORY NOTES 80,000,000
--------------
REPURCHASE AGREEMENTS - 20.2%
ABN AMRO Inc. Tri Party Repo, dated
12/31/07 (collateralized by Corporate
Notes, 4.800% - 7.875% due 07/15/09 -
12/15/25 valued at $78,750,000);
proceeds $75,019,167 4.600% 01/02/2008 75,000,000 75,000,000
ABN AMRO Inc. Tri Party Repo, dated
12/31/07 (collateralized by Federal
National Mortgage Association, 5.000% -
6.000% due 08/01/33 - 02/01/37 and
Federal Home Loan Mortgage Corporation
5.000% - 5.500% due 12/01/19 - 12/01/35
valued at $612,000,000); proceeds
$600,158,333 4.750% 01/02/2008 600,000,000 600,000,000
Bank of America Tri Party Repo, dated
12/31/07 (collateralized by a Federal
National Mortgage Association, 5.000%
due 03/01/35 valued at $47,482,021);
proceeds $46,563,026 4.650% 01/02/2008 46,551,000 46,551,000
Credit Suisse First Boston Tri Party
Repo, dated 12/31/07 (collateralized by
Corporate Notes, 6.850% - 10.250% due
04/01/09 - 05/15/31 valued at
$78,752,792); proceeds $75,019,167 4.600% 01/02/2008 75,000,000 75,000,000
Deutsche Bank Tri Party Repo, dated
12/31/07 (collateralized by Federal
National Mortgage Association, 4.500% -
7.000% due 03/01/19 - 12/01/37 valued at
$612,000,000); proceeds $600,158,333 4.750% 01/02/2008 600,000,000 600,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,396,551,000
--------------
TOTAL INVESTMENTS - 99.4% 6,879,206,829
OTHER ASSETS IN EXCESS OF LIABILITIES -
0.6% 39,056,199
--------------
NET ASSETS - 100.0% $6,918,263,028
--------------
</Table>
See Notes to Financial Statements
6
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
(a) Security subject to restrictions on resale under federal securities laws,
which may only be resold upon registration under the Securities Act of
1933, as amended ("1933 Act") or in transactions exempt from
registration, including sales to qualified institutional buyers pursuant
to Rule 144A of the 1933 Act. The Portfolio does not have the right to
demand that this security be registered.
(b) Floating Rate Note - Interest rate shown is rate in effect at December
31, 2007.
(c) Discount rate at time of purchase.
(d) Security subject to restrictions on resale that has been deemed by the
Adviser to be illiquid. The Portfolio may not invest more than 10% of its
net assets in illiquid securities. At December 31, 2007, these securities
represented 1.2% of net assets.
+ See Note 2 to the Notes to Financial Statements.
See Notes to Financial Statements
7
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
Health 28.4%
- ---------------------------------------------------------------------------------
Education 17.4
- ---------------------------------------------------------------------------------
General Obligations 8.3
- ---------------------------------------------------------------------------------
Housing Revenue 7.9
- ---------------------------------------------------------------------------------
Electric Power 7.6
- ---------------------------------------------------------------------------------
Municipals 7.0
- ---------------------------------------------------------------------------------
Public Agency 5.0
- ---------------------------------------------------------------------------------
Utility 3.3
- ---------------------------------------------------------------------------------
Other Revenue 3.1
- ---------------------------------------------------------------------------------
Transportation 3.0
- ---------------------------------------------------------------------------------
Water Revenue 2.6
- ---------------------------------------------------------------------------------
Tax Revenue 2.2
- ---------------------------------------------------------------------------------
Water & Sewer 1.6
- ---------------------------------------------------------------------------------
Parking 1.3
- ---------------------------------------------------------------------------------
Industrial Revenue/Pollution Control Revenue 0.7
- ---------------------------------------------------------------------------------
Portfolio Revenue 0.4
- ---------------------------------------------------------------------------------
Pre Refunded/Escrow to Maturity 0.2
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
0-3 Days 92.3%
- ---------------------------------------------------------------------------------
4-90 Days 7.7%
- ---------------------------------------------------------------------------------
90+ Days 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
Average maturity 15
- ---------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
8
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 111.0%
ALABAMA - 3.1%
County of Jefferson Alabama Limited
Obligation Revenue Bonds, Series 1757 T,
INS: FSA-CR, LIQ: JP Morgan Chase Bank(a) 5,000,000 3.50 07/01/2012 5,000,000
Jefferson County Alabama Sewer Revenue
Bonds, Capital Improvement Waters, Series
A, INS: FGIC, SPA: JP Morgan Chase
Bank(a) 3,500,000 3.43 02/01/2042 3,500,000
Montgomery Alabama Waterworks & Sanitary
Sewer Board Revenue Bonds, Series 881,
INS: FSA, LIQ: JP Morgan Chase Bank(a) 5,245,000 3.51 03/01/2013 5,245,000
------------
13,745,000
------------
ALASKA - 4.1%
Alaska State Housing Finance Corp Revenue
Bonds, Series B, INS: MBIA GO of Corp(a) 18,525,000 3.44 12/01/2030 18,525,000
------------
CALIFORNIA - 2.7%
Bay Area Toll Authority California Revenue
Bonds, San Francisco Bay Area, Class C,
INS: AMBAC(a) 4,800,000 3.22 04/01/2045 4,800,000
Metropolitan Water District of Southern
California Waterworks Revenue Bonds,
Series A, SPA: Landesbank Baden-
Wuerttemberg(a) 2,165,000 3.30 07/01/2025 2,165,000
Northern California Gas Authority No 1 Gas
Project Revenue Bonds, ROCs RR II Series
R-11124, LIQ: FAC-Citibank N.A.(a) 5,000,000 3.48 07/01/2017 5,000,000
------------
11,965,000
------------
COLORADO - 14.5%
City of Colorado Springs Colorado Utilities
Revenue Bonds, Sub Lien Improvement,
Series A, SPA: Dexia Credit Local(a) 15,000,000 3.42 11/01/2025 15,000,000
Colorado State Education Loan Program, Tax
& Revenue Anticipation Notes, Series B 15,000,000 3.25 08/05/2008 15,030,427
Denver City & County Colorado Certificate
Participation, Wellington, Series E WEB-
C1, INS: AMBAC, SPA: JP Morgan Chase
Bank(a) 10,600,000 3.40 12/01/2029 10,600,000
Southern Ute Indian Tribe of Southern Ute
Indian Reservation Revenue Bonds(a) 8,200,000 3.43 11/01/2031 8,200,000
</Table>
See Notes to Financial Statements
9
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
COLORADO (CONTINUED)
University of Colorado Hospital Authority
Revenue Bonds, Series A, INS: AMBAC, SPA:
JP Morgan Chase Bank(a) 16,085,000 3.47 11/15/2031 16,085,000
------------
64,915,427
------------
CONNECTICUT - 2.4%
Connecticut State Health & Educational
Facility Authority Revenue Bonds, Yale
University, Series U2(a) 10,500,000 3.30 07/01/2033 10,500,000
------------
DELAWARE - 2.1%
Delaware State EDA Revenue Bonds, Hospital
Billing & Collection, Series B, LOC: JP
Morgan Chase Bank(a) 8,000,000 3.40 12/01/2015 8,000,000
Delaware State EDA, Hospital Billing,
Series A, LOC: JP Morgan Chase Bank(a) 1,500,000 3.40 12/01/2015 1,500,000
------------
9,500,000
------------
FLORIDA - 6.0%
County of Santa Rosa Florida Health
Facility Authority Revenue Bonds, Baptist
Hospital, Inc., LOC: Bank of American
N.A.(a) 10,000,000 3.48 10/01/2021 10,000,000
Florida State Board of Education, Capital
Outlay, Series A, GO 1,075,000 5.25 01/01/2009 1,085,750
JEA Florida Water & Sewer Systems Revenue
Bonds, Series B, INS: XLCA, SPA: Fortis
Bank SA/NV(a) 1,500,000 3.40 10/01/2041 1,500,000
Orange County Florida Industrial
Development Authority Revenue Bonds, Lake
Highland School, Inc., LOC: Bank of
America N.A.(a) 9,000,000 3.48 08/01/2032 9,000,000
Orlando Florida Utilities Commission Water
& Electric Revenue Bonds, Series B, SPA:
Suntrust Bank(a) 5,400,000 3.47 10/01/2022 5,400,000
------------
26,985,750
------------
</Table>
See Notes to Financial Statements
10
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
GEORGIA - 7.0%
Dalton Georgia Development Authority
Revenue Bonds, Hamilton Health Systems
Project, Class B, LOC: Bank of America
N.A.(a) 7,350,000 3.48 08/15/2033 7,350,000
Fulton DeKalb Georgia Hospital Authority
Revenue Bonds, INS: FSA 2,900,000 5.00 01/01/2008 2,900,000
Municipal Electric Authority Georgia, Gen C
Rmkt, INS: GO of Participants, LOC:
Bayerische Landesbank(a) 1,500,000 3.40 03/01/2020 1,500,000
Municipal Electric Authority of Georgia
Revenue Bonds, PJ One SUB D RMKT, INS:
FSA, SPA: Dexia Credit Local(a) 7,800,000 3.40 01/01/2022 7,800,000
Roswell Georgia Housing Authority
Multifamily Revenue Bonds, Chambrel
Roswell, INS: Fannie Mae, LIQ: Fannie
Mae(a) 11,980,000 3.46 11/15/2032 11,980,000
------------
31,530,000
------------
ILLINOIS - 11.7%
Bloomington Illinois Normal Airport
Authority, GO, SPA: Bank One N.A.(a) 3,815,000 3.46 01/01/2023 3,815,000
Chicago Illinois Board of Education, Series
C, GO, INS: FSA, SPA: Dexia Public
Finance(a) 1,950,000 3.48 03/01/2032 1,950,000
City of Chicago Illinois, Neighborhoods
Alive 21, Class B, INS: MBIA, SPA: Depfa
Bank PLC(a) 5,000,000 3.42 01/01/2037 5,000,000
Illinois Development Finance Authority
Revenue Bonds, Chicago Educational TV
Assignment, Series A, LOC: Lasalle Bank
N.A.(a) 1,900,000 3.40 11/01/2014 1,900,000
Illinois Development Finance Authority
Revenue Bonds, Chicago Symphony PJ, INS:
GO of Corp, LOC: Bank One N.A.(a) 8,500,000 3.43 12/01/2033 8,500,000
Illinois Development Finance Authority
Revenue Bonds, Evanston Northwestern,
Class C, SPA: Bank One N.A.(a) 975,000 3.43 05/01/2008 975,000
Illinois Development Finance Authority
Revenue Bonds, World Communications,
Inc., LOC: Lasalle Bank N.A.(a) 1,500,000 3.40 08/01/2015 1,500,000
Illinois Finance Authority Revenue Bonds,
Northwestern Member Hospital, Series B-1,
SPA: Bank of Nova Scotia(a) 6,000,000 3.75 08/15/2038 6,000,000
</Table>
See Notes to Financial Statements
11
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
ILLINOIS (CONTINUED)
Lake County Illinois Warren Township High
School District No 121-Gurnee, ROCS RR II
R 2157, GO, INS: FGIC, LIQ: Citigroup
Financial(a) 9,500,000 3.55 03/01/2024 9,500,000
University of Illinois Revenue Bonds, UIC
South Campus PJ, Class A, INS: FGIC, SPA:
Dexia Credit Local(a) 13,400,000 3.40 01/15/2022 13,400,000
------------
52,540,000
------------
INDIANA - 1.9%
Delaware County Hospital Authority Revenue
Bonds, Cardinal Health Systems
Obligation, INS: AMBAC, LIQ: FAC-Bank One
Indiana(a) 4,200,000 3.43 08/01/2018 4,200,000
Indiana State Development Finance Authority
Revenue Bonds, Educational Facilities,
Indiana Historical Society, LOC: Bank One
Indiana N.A.(a) 4,200,000 3.43 08/01/2031 4,200,000
------------
8,400,000
------------
LOUISIANA - 2.9%
Louisiana Local Government Environmental
Facilities & Community Development
Authority Revenue Bonds, Shreveport
Utilities Systems Project, INS: FSA
Municipal Government GTD, SPA: JP Morgan
Chase Bank(a) 11,500,000 3.43 10/01/2026 11,500,000
Louisiana State Offshore Terminal Authority
Deep Water Port Revenue Bond, Series B,
LOC: Bank One N.A.(a) 1,500,000 3.40 09/01/2014 1,500,000
------------
13,000,000
------------
MARYLAND - 4.8%
Anne Arundel County Medical, GO 1,270,000 6.00 02/01/2008 1,272,434
Maryland State Health & Higher Educational
Facilities Authority Revenue Bonds,
University of Maryland Medical System,
Class A, LOC: Wachovia Bank N.A.(a) 20,000,000 3.42 07/01/2034 20,000,000
------------
21,272,434
------------
</Table>
See Notes to Financial Statements
12
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
MASSACHUSETTS - 4.2%
Massachusetts State Health & Educational
Facilities Authority Revenue Bonds,
Partner Healthcare System, Series D-3,
INS: GO of Institution, SPA: JP Morgan
Chase Bank(a) 18,545,000 3.40 07/01/2038 18,545,000
Massachusetts State HEFA Revenue Bonds,
Wellesley College, Series G, LIQ:
Wellesley College(a) 400,000 3.50 07/01/2039 400,000
------------
18,945,000
------------
MICHIGAN - 0.6%
Michigan Municipal Bond Authority Revenue
Bonds, PUTTERS, Series 286, LIQ: FAC- JP
Morgan Chase(a) 2,600,000 3.51 10/01/2021 2,600,000
------------
MINNESOTA - 1.6%
Southern Minnesota Municipal Power Agency
Power Supply Systems Revenue Bonds, ROCS
RR II, Series R-10021Z, INS: MBIA, LIQ:
FAC- Citigroup Financial(a) 4,800,000 3.51 01/01/2027 4,800,000
State of Minnesota, GO 2,490,000 5.00 08/01/2008 2,512,422
------------
7,312,422
------------
MISSOURI - 0.5%
Missouri State HEFA Revenue Bonds, BJC
Health System, Series B(a) 2,000,000 3.75 05/15/2034 2,000,000
------------
NEW JERSEY - 0.4%
Essex County New Jersey Improvement
Authority Revenue Bonds, Pooled
Governmental Loan Program, LOC: First
Union National Bank(a) 1,700,000 3.43 07/01/2026 1,700,000
------------
NEW YORK - 6.0%
City of New York NY, Subseries J2-RMKT,
LOC: Westdeutsche Landesbank(a) 9,300,000 3.31 02/15/2016 9,300,000
Metropolitan Transportation Authority
Revenue Bonds, Series 2389, INS: AMBAC,
LIQ: JP Morgan Chase(a) 6,000,000 3.47 05/15/2013 6,000,000
Nassau County New York Industrial
Development Agency Revenue Bonds, Cold
Spring Harbor, SPA: Morgan Guaranty
Trust(a) 600,000 3.73 01/01/2034 600,000
</Table>
See Notes to Financial Statements
13
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
NEW YORK (CONTINUED)
New York State Local Government Assistant
Corp., Sub Lien, Series 3V, INS: FGIC GO
of Corp., SPA: Bandesbank Baden-
Wuerttemberg(a) 1,000,000 3.33 04/01/2022 1,000,000
Suffolk County New York Industrial
Development Agency Revenue Bonds, Touro
College Project, LOC: JP Morgan Chase
Bank(a) 10,000,000 3.35 06/01/2037 10,000,000
------------
26,900,000
------------
NORTH CAROLINA - 5.6%
Charlotte North Carolina COPS, Governmental
Facilities, Series F, SPA: Bank of
America N.A.(a) 2,000,000 3.48 06/01/2033 2,000,000
Charlotte-Mecklenburg Hospital Authority
North Carolina Health Care System Revenue
Bonds, Carolinas, Series L, INS: AMBAC,
SPA: Bayerische Landesbank(a) 11,065,000 3.45 01/15/2036 11,065,000
City of Winston-Salem North Carolina Water
and Sewer Systems Revenue Bonds, Series
C, SPA: Dexia Credit Local(a) 2,000,000 3.48 06/01/2028 2,000,000
North Carolina Eastern Municipal Power
Agency Revenue Bonds, Series A, INS:
MBIA, SPA: Wachovia Bank(a) 9,900,000 3.46 01/01/2024 9,900,000
------------
24,965,000
------------
OHIO - 6.8%
Butler County Ohio Healthcare Facilities
Revenue Bonds, IMPT-Lifesphere Project,
LOC: U.S. Bank NA(a) 1,400,000 3.42 05/01/2027 1,400,000
City of Columbus Ohio, SAN Sewer, Series 1,
GO Unlimited(a) 500,000 3.33 12/01/2026 500,000
Cleveland Cuyahoga County Ohio Port
Authority Revenue Bonds, Carnegie/89TH
Garage Project, LOC: JPMorgan Chase
Bank(a) 6,000,000 3.43 01/01/2037 6,000,000
Cleveland Cuyahoga County Ohio Port
Authority Revenue Bonds, Euclid/93rd
Garage Office, LOC: Fifth Third Bank(a) 1,030,000 3.43 01/01/2034 1,030,000
Cuyahoga County Ohio Revenue Bonds,
Cleveland Clinic, Subseries B1, SPA: JP
Morgan Chase Bank(a) 2,700,000 3.75 01/01/2039 2,700,000
</Table>
See Notes to Financial Statements
14
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
OHIO (CONTINUED)
Franklin County Ohio Hospital Revenue
Bonds, Childrens Hospital, Series A, INS:
FGIC, SPA: National City Bank(a) 4,225,000 3.43 05/01/2031 4,225,000
Montgomery County Ohio Revenue Bonds,
Catholic Health Initiatives, Series B-
2(a) 11,200,000 3.40 04/01/2037 11,200,000
Ohio State University General Receipts,
Series B(a) 3,500,000 3.37 06/01/2035 3,500,000
------------
30,555,000
------------
OKLAHOMA - 0.5%
Oklahoma State Industries Authority Revenue
Bonds, Integris Baptist, Series B, INS:
MBIA, SPA: JP Morgan Chase Bank(a) 2,130,000 3.75 08/15/2029 2,130,000
------------
OREGON - 0.3%
Oregon State, Series 73 G, SPA: JP Morgan
Chase Bank(a) 1,500,000 3.40 12/01/2018 1,500,000
------------
PENNSYLVANIA - 3.3%
City of Philadelphia Pennsylvania Gas Works
Revenue Bonds, Series B, INS: FSA 1,000,000 5.00 07/01/2028 1,011,472
City of Philadelphia Pennsylvania Gas Works
Revenue Bonds, Sixth Series, INS: FSA(a) 2,000,000 3.42 08/01/2031 2,000,000
Commonwealth of Pennsylvania, Second
Series, GO 3,320,000 5.50 06/01/2008 3,348,008
Erie Pennsylvania Water Authority Revenue
Bonds, Series A, INS: FSA, SPA: JP Morgan
Chase Bank(a) 1,000,000 3.42 12/01/2010 1,000,000
Pennsylvania State Turnpike Commission
Turnpike Revenue Bonds, Series A-2, SPA:
Landesbank Baden-Wuerttemberg(a) 1,400,000 3.40 12/01/2030 1,400,000
Philadelphia Pennsylvania Authority for
IDR, Fox Chase Cancer Center, Series A,
LOC: Citizens Bank of PA(a) 1,900,000 3.75 07/01/2031 1,900,000
Washington County Pennsylvania Authority
Revenue Bonds, University of
Pennsylvania(a) 4,000,000 3.33 07/01/2034 4,000,000
------------
14,659,480
------------
</Table>
See Notes to Financial Statements
15
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
PUERTO RICO - 3.0%
Puerto Rico Commonwealth Infrastructure
Financing Authority Special Tax Revenue
Bonds, ROCS RR II R-11248, INS: AMBAC,
LIQ: Citibank N.A.(a) 9,000,000 3.47 07/01/2024 9,000,000
Puerto Rico Electric Power Authority Power
Revenue Bonds, PUTTERS, Series 268, INS:
FSA, LIQ: JP Morgan Chase Bank(a) 4,595,000 3.44 07/01/2029 4,595,000
------------
13,595,000
------------
SOUTH CAROLINA - 3.7%
Greenville County South Carolina School
District Installment Revenue Bonds, Stars
2007-048, LIQ: BNP Paribas(a) 7,395,000 3.48 12/01/2024 7,395,000
South Carolina Transportation
Infrastructure Bank Revenue Bonds, Series
1283, INS: AMBAC, LIQ: JP Morgan Chase
Bank(a) 9,050,000 3.54 04/01/2012 9,050,000
------------
16,445,000
------------
TEXAS - 6.5%
Austin County Texas Industrial Development
Corp Revenue Bonds, Justin Industries,
Inc. Project, LOC: Bank One N.A.(a) 3,500,000 3.48 12/01/2014 3,500,000
City of Arlington Texas Special Obligations
Revenue Bonds, Tax-Dallas Cowboys, Class
B, INS: MBIA, SPA: Depfa Bank PLC(a) 1,400,000 3.43 08/15/2035 1,400,000
City of San Antonio Texas Water Revenue
Bonds, Securities Trust Receipts-SGB 66,
INS: FGIC, LIQ: Societe Generale(a) 7,100,000 3.54 05/15/2037 7,100,000
Denton Texas Independent School District,
School Building, Series B, INS: PSF-GTD,
SPA: Bank of America N.A.(a) 1,000,000 3.43 08/01/2023 1,000,000
Harris County Texas, GO 2,215,000 5.00 10/01/2008 2,240,176
Splendora Texas Higher Education Facilities
Corporate Revenue Bonds, Fellowship
Christian Project, LOC: Bank America
N.A.(a) 7,500,000 3.48 01/01/2017 7,500,000
State of Texas, Public Finance Authority,
Series B, GO 1,040,000 4.00 10/01/2008 1,046,060
State of Texas, Tax & Revenue Anticipation
Notes, GO Limited Notes 3,000,000 4.50 08/28/2008 3,015,563
</Table>
See Notes to Financial Statements
16
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
TEXAS (CONTINUED)
Texas State Transportation Commission
Revenue Bonds, First Tier 1,500,000 5.00 04/01/2008 1,505,865
University of Texas, University Revenue
Bonds, Financing Systems, Series A(a) 700,000 3.40 08/15/2013 700,000
------------
29,007,664
------------
UTAH - 1.0%
Murray City Utah Hospital Revenue Bonds,
IHC Health Services, Inc., Series A, INS:
J.P. Morgan Securities(a) 1,500,000 3.42 05/15/2036 1,500,000
Nebo Utah School District, School Building,
GO, INS: School Building Guaranty 3,125,000 4.50 07/01/2008 3,137,797
------------
4,637,797
------------
WASHINGTON - 3.8%
Energy Northwest Washington Electric
Revenue Bonds, Project Number 3, Series
E, LOC: JP Morgan Chase Bank(a) 3,600,000 3.40 07/01/2017 3,600,000
King County Washington, Series 1184, GO
Limited, INS: FGIC, LIQ: JP Morgan Chase
Bank(a) 3,100,000 3.54 01/01/2013 3,100,000
Port Vancouver Washington Revenue Bonds,
United Grain Corporation, Series 84A,
LOC: Bank of America N.A.(a) 2,000,000 3.48 12/01/2009 2,000,000
Seattle Washington Water Systems Revenue
Bonds, Series A, LOC: Bayerische
Landesbank(a) 400,000 3.40 03/01/2032 400,000
Washington State Higher Education
Facilities Authority Revenue Bonds,
Whitman College Project, SPA: JP Morgan
Chase Bank(a) 8,000,000 3.43 10/01/2029 8,000,000
------------
17,100,000
------------
Total Short-Term Tax-Exempt Obligations 496,930,974
------------
TOTAL INVESTMENTS - 111.0% 496,930,974
LIABILITIES IN EXCESS OF ASSETS - (11.0)% (49,252,469)
------------
NET ASSETS - 100.0% $447,678,505
============
</Table>
(a) Floating Rate Note- Interest rate shown is rate in effect at December 31,
2007.
See Notes to Financial Statements
17
STATE STREET TAX FREE MONEY MARKET PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
<Table>
<Caption>
ACRONYM NAME
- ------- ----
AMBAC American Municipal Bond Assurance Corporation
COPs Certificates of Participation
EDA Economic Development Authority
FGIC Financial Guaranty Insurance Company
FSA Financial Security Assurance
GO General Obligation
GTD Guaranteed
HEFA Health and Education Facilities Authority
INS Insured
LOC Letter of Credit
MBIA Municipal Bond Investors Assurance
PSF Permanent School Fund
PUTTERs Puttable Tax Exempt Receipts
ROCs Reset Option Certificates
SPA Standby Purchase Agreement
</Table>
See Notes to Financial Statements
18
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
U.S. Government Securities 72.3%
- ---------------------------------------------------------------------------------
Repurchase Agreements 27.7
- ---------------------------------------------------------------------------------
Liabilities less cash and other assets 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
0-3 Days 0%
- ---------------------------------------------------------------------------------
4-90 Days 100.0
- ---------------------------------------------------------------------------------
90+ Days 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
Average maturity 34
- ---------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
See Notes to Financial Statements
19
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- --------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 72.3%
Fannie Mae Discount Notes(a) 4.655% 01/16/2008 $25,000,000 $ 24,954,743
Fannie Mae Discount Notes(a) 4.340% 02/13/2008 10,000,000 9,949,367
Fannie Mae Discount Notes(a) 4.220% 02/15/2008 65,000,000 64,664,745
Fannie Mae Discount Notes(a) 4.210% 02/29/2008 80,000,000 79,457,378
Fannie Mae Discount Notes(a) 4.185% 03/05/2008 60,000,000 59,560,575
Fannie Mae Discount Notes(a) 4.270% 03/19/2008 20,000,000 19,817,339
Federal Home Loan Bank Discount Notes(a) 4.375% 01/18/2008 45,000,000 44,912,500
Federal Home Loan Bank Discount Notes(a) 4.350% 02/01/2008 75,000,000 74,728,125
Federal Home Loan Bank Discount Notes(a) 4.185% 03/05/2008 60,000,000 59,560,575
Federal Home Loan Bank Discount Notes(a) 4.265% 03/19/2008 35,000,000 34,680,717
Federal Home Loan Bank Discount Notes(a) 4.270% 03/19/2008 5,000,000 4,954,335
Federal Home Loan Bank System + 4.680% 11/07/2008 65,000,000 65,000,000
Freddie Mac + 4.715% 03/26/2008 25,000,000 25,001,162
Freddie Mac Discount Notes(a) 4.270% 01/29/2008 60,000,000 59,807,850
Freddie Mac Discount Notes(a) 4.340% 02/04/2008 50,000,000 49,801,083
Freddie Mac Discount Notes(a) 4.210% 02/19/2008 60,000,000 59,663,200
Freddie Mac Discount Notes(a) 4.170% 03/10/2008 42,000,000 41,669,180
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 778,182,874
--------------
REPURCHASE AGREEMENTS - 27.7%
ABN AMRO Inc. Tri Party Repo, dated
12/31/07 (collateralized by Federal
National Mortgage Association, 0.000% -
5.125% due 02/12/08 - 2/28/08 valued at
$30,600,960); proceeds $30,007,083 4.250% 01/02/2008 30,000,000 30,000,000
Bank of America Tri Party Repo, dated
12/31/07 (collateralized by a Federal
Home Loan Mortgage Corporation, 5.870%
due 08/21/17 valued at $30,600,401);
proceeds $30,007,167 4.300% 01/02/2008 30,000,000 30,000,000
Citigroup Tri Party Repo, dated 12/31/07
(collateralized by a Federal National
Mortgage Association, 5.600% due 02/01/17
valued at $30,600,441); proceeds
$30,006,833 4.100% 01/02/2008 30,000,000 30,000,000
Credit Suisse First Boston Tri Party
Repo, dated 12/31/07 (collateralized by a
Federal Home Loan Mortgage Corporation,
6.000% due 03/02/22 valued at
$30,602,057); proceeds $30,007,083 4.250% 01/02/2008 30,000,000 30,000,000
Deutsche Tri Party Repo, dated 12/31/07
(collateralized by a Federal Home Loan
Mortgage Corporation, 5.375% due 01/09/14
and a Federal National Mortgage
Association, 6.000% due 02/28/17 valued
at $59,525,402); proceeds $58,371,455 4.150% 01/02/2008 58,358,000 58,358,000
HSBC Tri Party Repo, dated 12/31/07
(collateralized by U.S. Treasury Notes,
4.625% - 4.875% due 08/15/16 - 11/15/16
valued at $30,604,953); proceeds
$30,007,083 4.250% 01/02/2008 30,000,000 30,000,000
Merrill Lynch Tri Party Repo, dated
12/31/07 (collateralized by Agency Bonds,
0.000% due 10/15/08 - 04/15/30 valued at
$30,600,348); proceeds $30,005,833 3.500% 01/02/2008 30,000,000 30,000,000
</Table>
See Notes to Financial Statements
20
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
Morgan Stanley Tri Party Repo, dated
12/31/07 (collateralized by a Federal
National Mortgage Association, 0.000% due
06/01/17 valued at $30,602,772); proceeds
$30,007,250 4.350% 01/02/2008 30,000,000 30,000,000
UBS Warburg Tri Party Repo, dated
12/31/07 (collateralized by a Agency
Bond, 0.000% due 01/15/18 valued at
$30,603,167); proceeds $30,007,167 4.300% 01/02/2008 30,000,000 30,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 298,358,000
--------------
TOTAL INVESTMENTS - 100.0% 1,076,540,874
OTHER ASSETS IN EXCESS OF LIABILITIES -
0.00% 253,443
--------------
NET ASSETS - 100.0% $1,076,794,317
==============
</Table>
(a) Discount rate at time of purchase.
+ Variable Rate Security - Interest Rate is in effect as of December 31,
2007.
See Notes to Financial Statements
21
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
U.S. Treasury Obligations 100.0%
- ---------------------------------------------------------------------------------
Liabilities less cash and other assets 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
0-3 Days 19.8%
- ---------------------------------------------------------------------------------
4-90 Days 80.2
- ---------------------------------------------------------------------------------
90+ Days 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
Average maturity 21
- ---------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
22
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
U.S. TREASURY OBLIGATIONS - 100.0%
United States Treasury Bill 2.590% 01/03/2008 $32,148,000 $ 32,143,374
United States Treasury Bill 2.510% 01/03/2008 19,624,000 19,621,264
United States Treasury Bill 2.650% 01/03/2008 24,178,000 24,174,440
United States Treasury Bill 2.845% 01/03/2008 3,559,000 3,558,437
United States Treasury Bill 2.960% 01/03/2008 5,453,000 5,452,103
United States Treasury Bill 3.110% 01/03/2008 20,000,000 19,996,544
United States Treasury Bill 2.250% 01/10/2008 5,616,000 5,612,841
United States Treasury Bill 2.400% 01/10/2008 23,148,000 23,134,111
United States Treasury Bill 2.550% 01/10/2008 16,342,000 16,331,562
United States Treasury Bill 2.750% 01/10/2008 25,000,000 24,982,813
United States Treasury Bill 3.000% 01/10/2008 40,160,000 40,129,880
United States Treasury Bill 2.500% 01/17/2008 12,352,000 12,338,276
United States Treasury Bill 2.790% 01/17/2008 17,752,000 17,729,988
United States Treasury Bill 2.820% 01/17/2008 5,524,000 5,517,077
United States Treasury Bill 2.850% 01/17/2008 25,000,000 24,968,333
United States Treasury Bill 2.865% 01/17/2008 10,000,000 9,987,267
United States Treasury Bill 2.905% 01/17/2008 4,610,000 4,604,048
United States Treasury Bill 3.032% 01/17/2008 30,000,000 29,959,573
United States Treasury Bill 2.580% 01/24/2008 20,000,000 19,967,033
United States Treasury Bill 2.795% 01/24/2008 20,000,000 19,964,286
United States Treasury Bill 2.350% 01/31/2008 10,000,000 9,979,260
United States Treasury Bill 2.581% 01/31/2008 15,000,000 14,968,900
United States Treasury Bill 2.750% 01/31/2008 20,000,000 19,954,167
United States Treasury Bill 2.500% 02/07/2008 15,000,000 14,961,458
United States Treasury Bill 2.800% 02/07/2008 25,000,000 24,928,043
United States Treasury Bill 2.720% 02/14/2008 12,317,000 12,276,053
United States Treasury Bill 2.800% 02/14/2008 25,000,000 24,914,444
United States Treasury Bill 2.695% 02/21/2008 45,000,000 44,828,194
United States Treasury Bill 2.800% 02/21/2008 3,221,000 3,208,223
------------
TOTAL U.S. TREASURY OBLIGATIONS 530,191,992
------------
TOTAL INVESTMENTS - 100.0% 530,191,992
LIABILITIES IN EXCESS OF ASSETS - 0.00% (88,058)
------------
NET ASSETS - 100.0% $530,103,934
============
</Table>
See Notes to Financial Statements
23
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
U.S. Treasury Obligations 17.3%
- ---------------------------------------------------------------------------------
U.S. Government Securities 12.6
- ---------------------------------------------------------------------------------
Repurchase Agreements 70.1
- ---------------------------------------------------------------------------------
Liabilities less cash and other assets 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER DECEMBER 31, 2007
- ---------------------------------------------------------------------------------
0-3 Days 78.7%
- ---------------------------------------------------------------------------------
4-90 Days 21.3
- ---------------------------------------------------------------------------------
90+ Days 0.0
- ---------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------
Average maturity 9
- ---------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
24
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 12.6%
Fannie Mae Discount Notes(a) 4.340% 02/13/2008 $ 10,000,000 $ 9,948,161
Fannie Mae Discount Notes(a) 4.220% 02/15/2008 5,000,000 4,973,625
Fannie Mae Discount Notes(a) 4.210% 02/29/2008 5,000,000 4,965,501
Federal Home Loan Bank Discount Notes(a) 4.375% 01/18/2008 5,000,000 4,989,670
Federal Home Loan Bank Discount Notes(a) 4.280% 03/26/2008 3,887,000 3,847,720
Federal Home Loan Bank Discount Notes(a) 4.280% 03/28/2008 10,000,000 9,896,567
Freddie Mac Discount Notes(a) 4.340% 02/04/2008 5,000,000 4,979,506
Freddie Mac Discount Notes(a) 4.330% 02/21/2008 5,000,000 4,969,329
Freddie Mac Discount Notes(a) 4.170% 03/10/2008 10,000,000 9,920,075
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 58,490,154
------------
U.S. TREASURY OBLIGATIONS - 17.3%
United States Treasury Bill 2.500% 01/03/2008 40,000,000 39,994,444
United States Treasury Bill 2.700% 01/10/2008 40,000,000 39,973,000
------------
TOTAL U.S. TREASURY OBLIGATIONS 79,967,444
------------
REPURCHASE AGREEMENTS - 70.1%
ABN AMRO Inc. Tri Party Repo, dated
12/31/07 (collateralized by Federal
National Mortgage Association, 6.005% due
05/08/17 valued at $15,300,290); proceeds
$15,001,042 1.250% 01/02/2008 15,000,000 15,000,000
Bank of America Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Note, 4.875% due 10/31/08 valued
at $15,300,384); proceeds $15,000,625 0.750% 01/02/2008 15,000,000 15,000,000
Bear Stearns Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Bond, 5.250% due 02/15/29 and
U.S. Treasury Notes, 4.125% - 4.250% due
11/15/14 - 05/15/15 valued at
$16,115,625); proceeds $15,001,167 1.400% 01/02/2008 15,000,000 15,000,000
Citigroup Tri Party Repo, dated 12/31/07
(collateralized by U.S. Treasury Notes,
3.875% - 4.250% due 07/15/10 - 08/15/14
valued at $15,300,964); proceeds
$15,000,417 0.500% 01/02/2008 15,000,000 15,000,000
Deutsche Tri Party Repo, dated 12/31/07
(collateralized by a U.S. Treasury Bond,
7.250% due 05/15/16 and a U.S. Treasury
Note, 3.625% due 10/31/09 valued at
$45,707,912); proceeds $44,814,734 1.500% 01/02/2008 44,811,000 44,811,000
Fortis Tri Party Repo, dated 12/31/07
(collateralized by Federal National
Mortgage Association, 0.000% due 01/02/08
valued at $15,300,939); proceeds
$15,001,250 1.500% 01/02/2008 15,000,000 15,000,000
Goldman Sacs Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Note, 4.000% due 09/30/09 valued
at $15,300,025); proceeds $15,000,917 1.100% 01/02/2008 15,000,000 15,000,000
Greenwich Tri Party Repo, dated 12/31/07
(collateralized by Agency Bonds, 0.000%
due 01/15/08 - 04/15/30 valued at
$15,300,102); proceeds 15,001,125 1.350% 01/02/2008 15,000,000 15,000,000
HSBC Tri Party Repo, dated 12/31/07
(collateralized by a U.S. Treasury Note,
4.000% due 06/15/09 valued at
$15,303,804); proceeds $15,001,250 1.500% 01/02/2008 15,000,000 15,000,000
</Table>
See Notes to Financial Statements
25
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2007
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ ------------
REPURCHASE AGREEMENTS (CONTINUED)
ING Tri Party Repo, dated 12/31/07
(collateralized by a U.S. Treasury Note,
5.000% due 08/15/11 valued at
$15,301,485); proceeds $15,001,250 1.500% 01/02/2008 15,000,000 15,000,000
Lehman Brothers Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Note, 4.125% due 08/31/12 valued
at $$15,304,604); proceeds 15,001,042 1.250% 01/02/2008 15,000,000 15,000,000
Merrill Lynch Tri Party Repo, dated
12/31/07 (collateralized by Agency Bonds,
0.000% due 04/15/08 - 07/15/27 valued at
$15,303,107); proceeds $15,000,833 1.000% 01/02/2008 15,000,000 15,000,000
Morgan Stanley Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Bond, 8.000% due 11/15/21 valued
at $102,758,818); proceeds $100,007,222 1.300% 01/02/2008 $100,000,000 $100,000,000
UBS Warburg Tri Party Repo, dated
12/31/07 (collateralized by a U.S.
Treasury Bill , 3.175% due 02/28/08
valued at $15,301,969); proceeds
$15,001,083 1.300% 01/02/2008 15,000,000 15,000,000
------------
TOTAL REPURCHASE AGREEMENTS 324,811,000
------------
TOTAL INVESTMENTS - 100.0% 463,268,598
LIABILITIES IN EXCESS OF ASSETS - 0.00% (78,555)
------------
NET ASSETS - 100.0% $463,190,043
============
</Table>
(a) Discount rate at time of purchase.
See Notes to Financial Statements
26
STATE STREET MASTER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2007
- --------------------------------------------------------------------------------
<Table>
<Caption>
TAX FREE U.S. GOVERNMENT TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ --------------- ------------ -------------
ASSETS
Investments in unaffiliated issuers, at
amortized cost (Note 2) $5,482,655,829 $496,930,974 $ 778,182,874 $530,191,992 $138,457,598
Repurchase Agreements (cost
$1,396,551,000, $0, $298,358,000, $0
and $324,811,000, respectively) (Note
2) 1,396,551,000 - 298,358,000 - 324,811,000
-------------- ------------ -------------- ------------ ------------
6,879,206,829 496,930,974 1,076,540,874 530,191,992 463,268,598
Cash 579 - 698 939 846
Receivables:
Interest receivable 39,784,833 2,307,789 555,050 - 11,478
Receivable from adviser (Note 3) 138,111 12,687 - - -
Prepaid expense 7 209 471 459 459
-------------- ------------ -------------- ------------ ------------
Total assets 6,919,130,359 499,251,659 1,077,097,093 530,193,390 463,281,381
-------------- ------------ -------------- ------------ ------------
LIABILITIES
Payables:
Management fee (Note 3) 606,497 38,905 105,816 39,764 40,681
Due to custodian - 51,499,965 - - -
Administration, custody and transfer
agent fees (Note 3) 240,657 11,688 28,709 9,352 10,287
Professional fees 14,934 18,112 35,449 35,907 35,907
Trustee's fees (Note 4) - - 1,029 669 693
Accrued expenses 5,243 4,484 131,773 3,764 3,770
-------------- ------------ -------------- ------------ ------------
Total liabilities 867,331 51,573,154 302,776 89,456 91,338
-------------- ------------ -------------- ------------ ------------
NET ASSETS $6,918,263,028 $447,678,505 $1,076,794,317 $530,103,934 $463,190,043
============== ============ ============== ============ ============
</Table>
See Notes to Financial Statements
27
STATE STREET MASTER FUNDS
STATEMENTS OF OPERATIONS
PERIOD ENDED DECEMBER 31, 2007
- --------------------------------------------------------------------------------
<Table>
<Caption>
TAX FREE U.S. GOVERNMENT TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------ ------------ --------------- ------------ -------------
INVESTMENT INCOME
Interest $300,172,406 $4,669,187 $11,153,388 $2,511,904 $3,950,271
------------ ---------- ----------- ---------- ----------
EXPENSES
Management fees (Note 3) 5,716,641 134,345 244,717 75,025 95,654
Administration, custody and transfer
agent fees (Note 3) 1,183,036 27,607 49,922 15,305 19,513
Professional fees 47,471 48,194 37,895 38,353 38,353
Trustee's fees (Note 4) 79,354 15,748 1,029 669 694
Printing fees - 4,255 4,175 4,226 4,226
Other expenses 48,622 845 7,529 7,543 7,541
------------ ---------- ----------- ---------- ----------
Total Expenses 7,075,124 230,994 345,267 141,121 165,981
Less: Fee waivers/reimbursements by
investment adivser (Note 3) (1,358,482) (96,648) - - -
------------ ---------- ----------- ---------- ----------
Total Net Expenses 5,716,642 134,346 345,267 141,121 165,981
------------ ---------- ----------- ---------- ----------
NET INVESTMENT INCOME $294,455,764 $4,534,841 $10,808,121 $2,370,783 $3,784,290
============ ========== =========== ========== ==========
REALIZED GAIN (LOSS)
Net realized gain (loss) on investments (6,953) 12,161 - 8,735 -
------------ ---------- ----------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $294,448,811 $4,547,002 $10,808,121 $2,379,518 $3,784,290
============ ========== =========== ========== ==========
</Table>
* The portfolios commenced operations on February 7, 2007, October 17, 2007,
October 25, 2007 and October 24, 2007, respectively.
See Notes to Financial Statements
28
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
TAX FREE U.S. GOVERNMENT
MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------- ------------------ ------------------
YEAR ENDED YEAR ENDED PERIOD ENDED PERIOD ENDED
DECEMBER 31, 2007 DECEMBER 31, 2006 DECEMBER 31, 2007* DECEMBER 31, 2007*
----------------- ----------------- ------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 294,455,764 $ 226,696,506 $ 4,534,841 $ 10,808,121
Net realized gain (loss) on investments (6,953) - 12,161 -
---------------- ---------------- ------------- --------------
Net increase in net assets from
operations 294,448,811 226,696,506 4,547,002 10,808,121
---------------- ---------------- ------------- --------------
CAPITAL TRANSACTIONS
Proceeds from contributions 14,082,546,440 16,774,127,323 743,338,878 1,801,532,181
Fair value of withdrawals (13,655,849,339) (12,443,577,980) (300,207,375) (735,545,985)
---------------- ---------------- ------------- --------------
Net increase in net assets from capital
transactions 426,697,101 4,330,549,343 443,131,503 1,065,986,196
---------------- ---------------- ------------- --------------
NET INCREASE IN NET ASSETS 721,145,912 4,557,245,849 447,678,505 1,076,794,317
NET ASSETS
Beginning of period 6,197,117,116 1,639,871,267 - -
---------------- ---------------- ------------- --------------
End of period $ 6,918,263,028 $ 6,197,117,116 $ 447,678,505 $1,076,794,317
================ ================ ============= ==============
</Table>
* The portfolios commenced operations on February 7, 2007 and October 17, 2007,
respectively.
See Notes to Financial Statements.
29
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------
<Table>
<Caption>
TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
------------- -------------
PERIOD ENDED PERIOD ENDED
DECEMBER 31, DECEMBER 31,
2007* 2007*
------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 2,370,783 $ 3,784,290
Net realized loss on investments 8,735 -
------------- -------------
Net increase in net assets from operations 2,379,518 3,784,290
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from contributions 652,230,533 934,443,802
Fair value of withdrawals (124,506,117) (475,038,049)
------------- -------------
Net increase in net assets from capital transactions 527,724,416 459,405,753
------------- -------------
NET INCREASE IN NET ASSETS 530,103,934 463,190,043
NET ASSETS
Beginning of period - -
------------- -------------
End of period $ 530,103,934 $ 463,190,043
============= =============
</Table>
* The portfolio commenced operations on October 25, 2007 and October 24, 2007,
respectively.
See Notes to Financial Statements
30
STATE STREET MASTER FUNDS
FINANCIAL HIGHLIGHTS
------------------------------------------------------------------------------
<Table>
<Caption>
RATIOS TO AVERAGE
NET ASSETS
-------------------------------------- NET ASSETS
GROSS NET NET END OF
TOTAL OPERATING OPERATING INVESTMENT PERIOD
PERIOD ENDED DECEMBER 31, RETURN (A) EXPENSES EXPENSES INCOME (000S OMITTED)
- ------------------------- ---------- --------- --------- ---------- --------------
MONEY MARKET PORTFOLIO
2007 5.30% 0.12% 0.10% 5.14% $6,918,263
2006 5.09% 0.13% 0.10% 5.08% 6,197,117
2005 3.31% 0.14% 0.10% 3.33% 1,639,871
2004* 0.68% 0.18% ** 0.10% ** 1.71% ** 381,716
TAX FREE MONEY MARKET PORTFOLIO
2007* 3.19% 0.17% ** 0.10% ** 3.42% ** 447,679
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
2007* 0.92% 0.14% ** 0.14% ** 4.39% ** 1,076,794
TREASURY PORTFOLIO
2007* 0.61% 0.19% ** 0.19% ** 3.21% ** 530,104
TREASURY PLUS PORTFOLIO
2007* 0.75% 0.17% ** 0.17% ** 3.95% ** 463,190
</Table>
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not
annualized.
* The portfolios commenced operations on August 12, 2004, February 7, 2007,
October 17, 2007, October 25, 2007 and October 24, 2007, respectively.
** Annualized.
See Notes to Financial Statements.
31
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2007
1. ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven
investment portfolios: the State Street Equity 500 Index Portfolio, the State
Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio,
the State Street Aggregate Bond Index Portfolio, the State Street Money Market
Portfolio, the State Street Tax Free Money Market Portfolio, the State Street
Limited Duration Bond Portfolio, the State Street Tax Free Limited Duration Bond
Portfolio, the State Street U.S. Government Money Market Portfolio, the State
Street Treasury Money Market Portfolio and the State Street Treasury Plus Money
Market Portfolio. At December 31, 2007, only the State Street Equity 500 Index
Portfolio, the State Street Money Market Portfolio, the State Street Tax Free
Money Market Portfolio, the State Street Tax Free Limited Duration Bond
Portfolio, the State Street U.S. Government Money Market Portfolio, the State
Street Treasury Money Market Portfolio and the State Street Treasury Plus Money
Market Portfolio were in operation. Information presented in these financial
statements pertains only to the State Street Money Market Portfolio, the State
Street Tax Free Money Market Portfolio, the State Street U.S. Government Money
Market Portfolio, the State Street Treasury Money Market Portfolio and the State
Street Treasury Plus Money Market Portfolio (the "Portfolios"). The Portfolios
commenced operations as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------
PORTFOLIO NAME COMMENCEMENT DATE
- -----------------------------------------------------------------------------------
State Street Money Market Portfolio August 12, 2004
- -----------------------------------------------------------------------------------
State Street Tax Free Money Market Portfolio February 7, 2007
- -----------------------------------------------------------------------------------
State Street U.S. Government Money Market Portfolio October 17, 2007
- -----------------------------------------------------------------------------------
State Street Treasury Money Market Portfolio October 25, 2007
- -----------------------------------------------------------------------------------
State Street Treasury Plus Money Market Portfolio October 24, 2007
- -----------------------------------------------------------------------------------
</Table>
The Portfolios are authorized to issue an unlimited number of non-transferable
beneficial interests.
32
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
The Portfolios' investment objectives are as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
PORTFOLIO NAME INVESTMENT OBJECTIVE
- ----------------------------------------------------------------------------------
State Street Money Market Portfolio To seek to maximize current income, to
the extent consistent with the
preservation of capital and liquidity by
investing in dollar denominated
securities.
- ----------------------------------------------------------------------------------
State Street Tax Free Money Market To seek to maximize current income,
Portfolio exempt from federal income taxes, to the
extent consistent with the preservation
of capital and liquidity.
- ----------------------------------------------------------------------------------
State Street U.S. Government Money To seek to maximize current income, to
Market Portfolio the extent consistent with the
preservation of capital and liquidity by
investing in U.S. government securities
with remaining maturities of one year or
less than in repurchase agreements
collateralized by U.S. government
securities.
- ----------------------------------------------------------------------------------
State Street Treasury Money Market To seek a high level of current income
Portfolio consistent with preserving principal and
liquidity.
- ----------------------------------------------------------------------------------
State Street Treasury Plus Money Market To seek a high level of current income
Portfolio consistent with preserving principal and
liquidity by investing in a portfolio
made up principally of U.S. Treasury
securities and repurchase agreements
collateralized by such securities.
- ----------------------------------------------------------------------------------
</Table>
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
SECURITY VALUATION: As permitted under Rule 2a-7 of the 1940 Act and certain
conditions therein, securities of the Portfolios are valued initially at cost
and thereafter assume a constant amortization to maturity of any discount or
premium.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities
transactions are recorded on a trade date basis for financial statement
purposes. Interest income is recorded daily on the accrual basis and includes
amortization of premium and accretion of discount on investments. Realized gains
and losses from securities transactions are recorded on the basis of identified
cost. Expenses are accrued daily.
All of the net investment income and realized gains and losses from the security
transactions of the Portfolios are allocated pro rata among the partners in the
Portfolios based on each partner's daily ownership percentage.
FEDERAL INCOME TAXES: The Portfolios are not required to pay federal income
taxes on their net investment income and net capital gains because they are
treated as partnerships for federal income tax purposes. All interest, gains and
losses of the Portfolios are deemed to have been "passed through" to the
Portfolios' partners in proportion to their holdings in the Portfolios,
regardless of whether such items
33
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
have been distributed by the Portfolios. Each partner is responsible for tax
liability based on its distributive share; therefore, no provision has been made
for federal income taxes.
The Portfolios adopted the provisions of Financial Accounting Standards Board
Interpretation No. 48 (FIN 48), "Accounting for Uncertainty in Income Taxes", on
June 29, 2007. As of and during the period ended December 31, 2007, the
Portfolios did not have a liability for any unrecognized tax expenses. The
Portfolios recognize interest and penalties, if any, related to tax liabilities
as income tax expense in the Statement of Operations. As of December 31, 2007,
tax years 2004 (or since inception, for Portfolios formed subsequent to 2004)
through 2007 remain subject to examination by the portfolio's major tax
jurisdictions, which include the United States of America and the Commonwealth
of Massachusetts.
At December 31, 2007, the cost of investments for federal income tax purposes
was the same as the cost for financial reporting purposes.
REPURCHASE AGREEMENTS: A repurchase agreement customarily obligates the seller
at the time it sells securities to a Portfolio to repurchase the securities at a
mutually agreed upon price and time which, in the case of the Portfolios'
transactions, is within seven days. The total amount received by a Portfolio on
repurchase is calculated to exceed the price paid by the Portfolio, reflecting
an agreed-upon market rate of interest for the period of time to the settlement
date, and is not necessarily related to the interest rate on the underlying
securities. The underlying securities are ordinarily United States Government
securities, but may consist of other securities in which a Portfolio is
permitted to invest. Repurchase agreements are fully collateralized at all
times. The use of repurchase agreements involves certain risks. For example, if
the seller of securities under a repurchase agreement defaults on its obligation
to repurchase the underlying securities (as a result of its bankruptcy or
otherwise) the Portfolio will seek to dispose of such securities; this action
could involve costs or delays. In addition, the proceeds of any such disposition
may be less than the amount the Portfolio is owed under the repurchase
agreement. A Portfolio may enter into repurchase agreements maturing within
seven days with domestic dealers, banks and other financial institutions deemed
to be creditworthy by SSgA Funds Management, Inc. ("SSgA FM" or the "Adviser"),
a subsidiary of State Street Corporation and an affiliate of State Street Bank
and Trust Company ("State Street").
EXPENSE ALLOCATION: Certain expenses are applicable to multiple Portfolios.
Expenses directly attributable to a Portfolio are charged to that Portfolio.
Expenses of the Trust that are not directly attributed to a Portfolio are
allocated among the Portfolios, on the basis of relative net assets, except
where a more appropriate allocation of expenses to each of the Portfolios can
otherwise be made fairly.
USE OF ESTIMATES: The Portfolios' financial statements are prepared in
accordance with U.S. generally accepted accounting principles that require the
use of management estimates. Actual results could differ from those estimates.
3. RELATED PARTY FEES
The Portfolios have entered into investment advisory agreements with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"). The Adviser directs the
investments of each Portfolio in accordance with its investment objective,
policies, and limitations. In compensation for the Adviser's services as
investment adviser, each Portfolio pays the Adviser an annual fee of 0.10% of
the respective Portfolio's average daily net assets. The Adviser has
contractually agreed to cap the total operating expenses of the State Street
Money Market Portfolio and the State Street Tax Free Money Market
34
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
Portfolio at 0.10% of the respective Portfolio's average daily net assets until
November 1, 2008. For the year ended December 31, 2007, SSgA FM reimbursed the
Portfolios under this agreement as follows:
<Table>
- -----------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------
State Street Money Market Portfolio $1,358,482
State Street Tax Free Money Market Portfolio $96,648
- -----------------------------------------------------------------------------------
</Table>
State Street is the administrator, custodian and transfer agent for the
Portfolios. In compensation for State Street's services as administrator,
custodian and transfer agent beginning February 1, 2007, the Trust pays State
Street an annual fee, which is accrued daily and payable monthly at the
applicable fee rate described below, of the following annual percentages of the
Trust's average aggregate daily net assets during the month as follows:
<Table>
<Caption>
Annual percentage of
Asset Levels average aggregate daily net assets
- ------------ ----------------------------------
First $400 Million 0.03%
Thereafter 0.02
Minimum annual fee per trust: $150,000
</Table>
The State Street Money Market Portfolio paid State Street, through January 31,
2007, an annual fee, which is accrued daily at the applicable fee rate described
below and payable monthly, of the following annual percentages of the
Portfolio's average daily net assets during the month as follows:
<Table>
<Caption>
Annual percentage of
Asset Levels average daily net assets
- ------------ ------------------------
First $200 Million 0.04%
Next $200 Million 0.03
Thereafter 0.02
Minimum annual fee:
Assets of $500 million and less $150,000
Assets of $500 million - $2 billion $200,000 with 0.01% waiver
</Table>
State Street contractually agreed to waive 0.01% of its fees on an annual basis
when the Portfolio's assets were between $500 million and $2 billion. For the
year ended December 31, 2007, State Street did not waive any fees under this
agreement.
4. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of SSgA FM or
State Street $2,500 for each meeting of the Board of Trustees and an additional
$500 for each telephonic meeting attended. The Trust also pays each trustee an
annual retainer of $30,000. Each trustee is reimbursed for out-of-pocket and
travel expenses.
5. INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its
35
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
principal service contracts and in the normal course of its business, the Trust
enters into contracts that provide indemnifications to other parties for certain
types of losses or liabilities. The Trust's maximum exposure under these
arrangements in unknown as this could involve future claims against the Trust.
Management does not expect anything significant.
6. NEW ACCOUNTING PRONOUNCEMENTS
In September 2006, Statement of 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 has evaluated the application of SFAS 157 to the Portfolios and
believes the impact will be limited to expanded disclosures in the Portfolios'
Financial Statements resulting from adoption of this pronouncement.
36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds:
We have audited the accompanying statement of assets and liabilities of the
State Street Money Market Portfolio, State Street Tax Free Money Market
Portfolio, State Street U.S. Government Money Market Portfolio, State Street
Treasury Money Market Portfolio and, State Street Treasury Plus Money Market
Portfolio (five of the portfolios constituting State Street Master Funds) (the
Portfolios), including the portfolios of investments, as of December 31, 2007,
and the related statements of operations, the statements of changes in net
assets and the financial highlights for each of the periods indicated therein.
These financial statements and financial highlights are the responsibility of
the Portfolios' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolios' internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2007, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of State
Street Money Market Portfolio, State Street Tax Free Money Market Portfolio,
State Street U.S. Government Money Market Portfolio, State Street Treasury Money
Market Portfolio and State Street Treasury Plus Money Market Portfolio of State
Street Master Funds at December 31, 2007, the results of their operations, the
changes in their net assets and the financial highlights for each of the periods
indicated therein, in conformity with U.S. generally accepted accounting
principles.
-s- Ernst & Young LLP
Boston, Massachusetts
February 25, 2008
37
STATE STREET MASTER FUNDS
DECEMBER 31, 2007
GENERAL INFORMATION
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures is available
(i) without charge, upon request, by calling (877) 521-4083 or (ii) on the
website of the Securities Exchange Commission (the "SEC") at www.sec.gov.
Information on how the Fund voted proxies relating to portfolio securities
during the most recent 12-month period ending June 30 is available by August 31
(i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC's
website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877) 521-
4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on September 17, 2007 (the "September
Meeting") to consider the approval of the investment advisory agreement (the
"Advisory Agreement") for the State Street Treasury Money Market Portfolio and
the State Street Treasury Plus Money Market Portfolio (together, the "Treasury
Portfolios"). The Board of Trustees of the Trust also met on November 29, 2007
(the "November Meeting") to consider the renewal of the Advisory Agreement for
the State Street Money Market Portfolio and the State Street U.S. Government
Money Market Portfolio (the "Money Market Portfolio" and the "U.S. Government
Portfolio", respectively, together, the "Money Market Portfolios" and
collectively with the Treasury Portfolios, the "Portfolios"). In preparation for
considering the Advisory Agreement, the Trustees had reviewed the initial
approval materials provided at the September Meeting with respect to the
Treasury Portfolios and the renewal materials provided at the November Meeting
with respect to the Money Market Portfolios. The materials had been provided by
the Adviser, which the Board had requested through independent counsel. 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 Advisory Agreement. In deciding
whether to approve the Advisory Agreement, the Trustees considered various
factors, including (i) the nature, extent and quality of the services to be
provided by SSgA Funds Management, Inc. (the "Adviser") under the Advisory
Agreements, (ii) the investment performance of the Money Market Portfolio, (iii)
the costs to the Adviser of its services, and profits realized by the Adviser
and its affiliates from their relationship with the Trust, (iv) the extent to
which economies of scale would be realized if and as the Trust grows and whether
the fee levels in the Advisory Agreements reflect these economies of scale, and
(v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services to be provided by
the Adviser with respect to the Treasury Portfolios and the nature, extent and
quality of the services currently provided with respect to the Money Market
Portfolios, the Trustees relied on their prior direct experience as Trustees of
the Trust as well as on the materials provided at the September and November
Meetings. The Board reviewed the Adviser's responsibilities under the Advisory
Agreements and noted the experience and expertise
38
STATE STREET MASTER FUNDS (CONTINUED)
DECEMBER 31, 2007
that would be appropriate to expect of an adviser to the Portfolios, which are
money market funds. The Trustees reviewed the background and experience of the
Adviser's senior management, including those individuals responsible for the
investment and compliance operations relating to the investments of the
Portfolios, and the responsibilities of the latter with respect to the
Portfolios. They also considered the resources, operational structures and
practices of the Adviser in managing the Portfolios' investments, in monitoring
and securing the Portfolios' compliance with their investment objectives and
policies with respect to their investments and with applicable laws and
regulations, and in seeking best execution of portfolio transactions. The
Trustees also considered information about the Adviser's overall investment
management business, noting that the Adviser manages assets for a variety of
institutional investors and that the Adviser and further noting the assets under
management of the Adviser. They reviewed information regarding State Street's
business continuity and disaster recovery program. Drawing upon the materials
provided and their general knowledge of the business of the Adviser, the
Trustees determined that they were satisfied with the experience, resources and
strength of the Adviser in the management of money market products. As discussed
more fully below, they also determined that the advisory fees for the Portfolios
were fair and that projected expenses of the Treasury Portfolios were
satisfactory and that, while the U.S. Government Portfolio had only recently
commenced operations, the performance of the Money Market Portfolio and its
expense ratio were satisfactory. Noting the similarity of the Treasury
Portfolios to an existing series of the Trust, the Money Market Portfolio, the
Trustees concluded that the nature and extent of the Adviser's services with
respect to the Treasury Portfolios could be expected to be comparable to those
provided for the Money Market Portfolio and therefore appropriate, satisfactory
and of high quality. On the basis of this review, the Trustees determined that
the nature and extent of the services to be provided by the Adviser to the
Treasury Portfolios were appropriate. The Trustees also determined that the
nature and extent of the services provided by the Adviser indirectly to the
Money Market Portfolio was appropriate, had been of uniformly high quality, and
could be expected to remain so.
The Trustees noted that, in view of the investment objective of the Money Market
Portfolio, the investment performance was satisfactory. The Trustees noted that
materials provided by Lipper Inc. at the November Meeting indicated that the
Money Market Portfolio's performance had been above average for its Lipper peer
group for the three- year, one-year and year-to-date periods ending September
30, 2007. They concluded that the performance of the Money Market Portfolio was
satisfactory.
The Trustees noted that, while profitability of the investment adviser is
typically a factor considered in evaluating an advisory agreement, because the
Treasury Portfolios had not commenced operations, profitability could not be
analyzed during the September Meeting with respect to the Treasury Portfolios.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships with the Trust as a result of the
Adviser's services provided to the Money Market Portfolios. The Trustees had
been provided with data regarding the profitability to the Adviser and its
affiliated service providers with respect to the Money Market Portfolios
individually, and on an aggregate basis, for the year ended June 30, 2007.
Having discussed with representatives of the Adviser the methodologies used in
computing the costs that formed the bases of the profitability calculations,
they concluded that these methodologies were reasonable and turned to the data
provided. After discussion and analysis they concluded that, to the extent that
the Adviser's and State Street's relationships with the Money Market Portfolios
had been profitable during the period for which information had been provided,
the profitability was in no case such as to render the advisory fees excessive.
39
STATE STREET MASTER FUNDS (CONTINUED)
DECEMBER 31, 2007
In order better to evaluate the Portfolios' advisory fees, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that the each of
Portfolios' advisory fees was low compared to those of comparable portfolios.
The Trustees also reviewed the estimated expense ratios of the Treasury
Portfolios. The Board determined that the estimated expense ratios were
reasonable in light of their peers. The Trustees found that the Money Market
Portfolios' advisory fees and total expense ratios were lower than the average
for the peer group. The Trustees concluded that the data available provided
confirmation of the reasonableness of the Adviser's fees. The Board determined
that the Adviser's fees were fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust's relationship with State Street as fund
administrator, transfer agent and custodian and the Money Market's use of State
Street Global Markets to perform certain brokerage services. They noted that the
Adviser utilizes no soft-dollar arrangements in connection with the Portfolios'
brokerage transactions. The Trustees concluded that, to the extent that the
Adviser or its affiliates derive other benefits from their relationships with
the Trust, those benefits are not so significant as to render the Adviser's fees
excessive.
At the September Meeting, the Trustees noted that, because the Treasury
Portfolios had not yet commenced operations, there was no record of performance
to review for each, no profitability to evaluate, and no occasion to consider
economies of scale. At the November Meeting, the Board considered the extent to
which economies of scale may be realized by the Money Market Portfolios as
assets grow and whether the Money Market Portfolios' fee levels reflect such
economies of scale, if any, for the benefit of investors. In considering the
matter, the Board determined that, to the extent economies of scale were in fact
realized, such economies of scale were shared with the Money Market Portfolios
by virtue of advisory fees of comparatively low levels that subsumed economies
of scale in the fees themselves. The Trustees also recognized, however, that
should sustained, substantial asset growth be realized in the future, it might
be necessary to consider additional measures.
On the basis of these considerations of the factors noted above, the Trustees
and the Independent Trustees acting separately, unanimously concluded that the
Advisory Agreement is fair and reasonable and that it should be approved.
40
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED).
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
<Table>
<Caption>
NUMBER OF FUNDS
NAME, ADDRESS, TERM OF OFFICE PRINCIPAL OCCUPATION IN FUND COMPLEX
AND DATE OF BIRTH POSITION(S) HELD AND LENGTH OF DURING PAST FIVE OVERSEEN BY
("DOB") WITH TRUST TIME SERVED YEARS TRUSTEE*
- ----------------- ----------------- --------------------- --------------------- ---------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Term: Indefinite Chairman, Holland & 22
Holland & Company, Chairman of Elected: 7/99 Company L.L.C.
LLC the Board (investment adviser)
375 Park Avenue (1995 - present).
New York, NY 10152
DOB: July 7, 1944
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual 22
State Street Master Elected: 7/99 South Africa Master
Funds Trust (investments)
P.O. Box 5049 (1995 - present);
Boston, MA 02206 Chairman emeritus,
DOB: January 20, 1937 Children's Hospital
(1984 - present);
Director, Boston Plan
For Excellence (non-
profit) (1994
- present); President
and Chief Operations
Officer, John Hancock
Mutual Life Insurance
Company (1959
- 1999). Mr. Boyan
retired in 1999.
Rina K. Spence Trustee Term: Indefinite President of 22
State Street Master Elected: 7/99 SpenceCare
Funds International LLC
P.O. Box 5049 (1998 - present);
Boston, MA 02206 Member of the
DOB: October 24, 1948 Advisory Board,
Ingenium Corp.
(technology company)
(2001 - present);
Chief Executive
Officer, IEmily.com
(internet company)
(2000 - 2001); Chief
Executive Officer of
Consensus
Pharmaceutical, Inc.
(1998 - 1999);
Founder, President
and Chief Executive
Officer of Spence
Center for Women's
Health (1994 - 1998);
Trustee, Eastern
Enterprise
(utilities) (1988
- 2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice 22
State Street Master Elected: 7/99 President of Chase
Funds Manhattan Bank (1987
P.O. Box 5049 - 1999). Mr.
Boston, MA 02206 Williams retired in
DOB: December 23, 1940 1999.
</Table>
* The "Fund Complex" consists of eleven series of the Trust and eleven series of
State Street Institutional Investment Trust.
41
<Table>
<Caption>
NUMBER OF FUNDS
NAME, ADDRESS, TERM OF OFFICE PRINCIPAL OCCUPATION IN FUND COMPLEX
AND DATE OF BIRTH POSITION(S) HELD AND LENGTH OF DURING PAST FIVE OVERSEEN BY
("DOB") WITH TRUST TIME SERVED YEARS TRUSTEE*
- ----------------- ----------------- --------------------- --------------------- ---------------
INTERESTED TRUSTEES(1)
James E. Ross Trustee/President Term: Indefinite President, SSgA Funds 22
SSgA Funds Elected Trustee: 2/07 Management,
Management, Inc. Inc. (2005
State Street Financial - present);
Center Elected Principal, SSgA
One Lincoln Street president: 4/05 Funds Management,
Boston, MA 02111- Inc. (2001 - 2005);
2900 Senior Managing
DOB: June 24, 1965 Director, State
Street Global
Advisors (March 2006
- present);
Principal, State
Street Global
Advisers
(2000 - 2006).
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President -
State Street Bank and Elected: 5/05 of State Street Bank
Trust Company and Trust Company
2 Avenue de (2002 - present);
Lafayette Managing Director,
Boston, MA 02111 Deutsche Bank
DOB: July 4, 1951 (including its
predecessor, Scudder
Investments), Fund
Operations Unit (2001
- 2002); President,
UAM Fund Services
(1995 - 2001).
Julie Piatelli Interim Chief Term: Indefinite Principal and Senior -
SSgA Funds Compliance Elected: 7/07 Compliance and Risk
Management, Inc. Officer Management Officer,
State Street Financial SSgA Funds
Center Management, Inc.
One Lincoln Street (2004 - present),
Boston, MA 02111 Vice President State
DOB: August 5, 1967 Street Global
Advisors (2004
- present); Manager,
PricewaterhouseCoop-
ers LLP (1999
- 2004).
Nancy L. Conlin Secretary Term: Indefinite Vice President and -
State Street Bank and Elected: 9/07 Managing Counsel,
Trust Company State Street Bank and
2 Avenue de Trust Company (2007
Lafayette - present); General
Boston, MA 02111 Counsel to Plymouth
DOB: December 11, 1953 Rock Companies (2004
- 2007); and U.S.
Chief Counsel to Sun
Life Financial (2002
- 2004).
<Caption>
NAME, ADDRESS,
AND DATE OF BIRTH OTHER DIRECTORSHIPS
("DOB") HELD BY TRUSTEE
- ----------------- --------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee, State
Holland & Company, Street Institutional
LLC Investment Trust;
375 Park Avenue Director, the
New York, NY 10152 Holland Series Fund,
DOB: July 7, 1944 Inc.; Director, The
China Fund, Inc.;
Chairman and
Trustee, Scottish
Widows Investment
Partnership Trust;
and Director, Reaves
Utility Income Fund
William L. Boyan Trustee, State
State Street Master Street Institutional
Funds Investment Trust;
P.O. Box 5049 and Trustee, Old
Boston, MA 02206 Mutual South Africa
DOB: January 20, 1937 Master Trust
Rina K. Spence Trustee, State
State Street Master Street Institutional
Funds Investment Trust;
P.O. Box 5049 Director, Berkshire
Boston, MA 02206 Life Insurance
DOB: October 24, 1948 Company of America;
and Director,
IEmily.com
Douglas T. Williams Trustee, State
State Street Master Street Institutional
Funds Investment Trust
P.O. Box 5049
Boston, MA 02206
DOB: December 23, 1940
INTERESTED TRUSTEES(1)
James E. Ross Trustee, State
SSgA Funds Street Institutional
Management, Inc. Investment Trust;
State Street Financial Trustee, SPDR(R)
Center Series Trust;
One Lincoln Street Trustee, SPDR(R)
Boston, MA 02111- Index Shares Trust
2900 and Trustee, Select
DOB: June 24, 1965 Sector SPDR(R) Trust
OFFICERS:
Gary L. French -
State Street Bank and
Trust Company
2 Avenue de
Lafayette
Boston, MA 02111
DOB: July 4, 1951
Julie Piatelli -
SSgA Funds
Management, Inc.
State Street Financial
Center
One Lincoln Street
Boston, MA 02111
DOB: August 5, 1967
Nancy L. Conlin -
State Street Bank and
Trust Company
2 Avenue de
Lafayette
Boston, MA 02111
DOB: December 11, 1953
</Table>
* The "Fund Complex" consists of eleven series of the Trust and eleven series of
State Street Institutional Investment Trust.
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
42
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2007
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
Management Discussion of Fund Performance and Analysis, year ending 12/31/2007
HOW DID THE FUNDS PERFORMANCE SINCE ITS INCEPTION (02/07/07) COMPARE TO ITS
BENCHMARK?
Since inception through December 31, 2007 the State Street Tax Free Limited
Duration Bond Portfolio (the "Portfolio") returned 3.33% net of fees and
expenses versus the 3.05% return of the IMoneyNet MFR Tax-Free (the "Index").
PLEASE EXPLAIN WHAT CONTRIBUTED MOST AND LEAST TO THE FUNDS PERFORMANCE SINCE
INCEPTION?
The reshaping of the short end of the municipal yield curve during 2007 was the
biggest contributor to the Portfolio's out-performance of the Index since
inception. For much of the year, market participants were mixed as to whether
the economy was tilting toward inflation or falling into recession. At the
outset of the year, we believed the yield curve tended to favor the recession
argument. The yield curve is the term structure of interest rates or the
relationship between interest rates and time to maturity. Indeed, for many
weeks, the curve exhibited a yield inversion between zero and three years,
meaning that longer term yields were below interest rates, which usually
indicates expectation of a worsening economic situation in the future.
Specifically, our outlook early in the year was for the Federal Reserve to be in
a holding pattern. This outlook led us to favor the excess yield offered in very
short maturities. As the year progressed, and economic statistics deteriorated,
we moved to expect a lowering of the Federal Funds target rate by 75 basis
points by year end (a basis point is l/lOOth of 1% or .01%). In fact, by year
end the Federal Reserve cut the Federal Funds target rate by 100 basis points.
Our changed outlook led us to extend the portfolio slightly in anticipation of a
steeper curve and capture some of the price performance of longer maturities.
While credit spreads widened in this environment, neither the Portfolio nor the
Index were negatively impacted because both the Portfolio and the Index contain
the highest quality investment grade holdings. .
How did the market conditions and the investment strategies and techniques
employed since inception impact the portfolio's performance?
The fixed income markets were very turbulent and volatile during 2007. Most
notable, securities in the housing sector, specifically those associated with
sub-prime mortgage debt experienced extreme negative absolute and relative
return. The municipal market to a certain degree benefited from its normally
safe haven status. However, as the effects of sub-prime exposure spread,
dealers, banks and insurance companies felt the effects. Fortunately the
Portfolio invests in those portions of the yield curve (3 years and less) and
credit spectrum (high quality) that has been minimally affected.
The views expressed in this statement reflect those of the portfolio manager
only through the end of the period of this report and do not necessarily
represent the views of the Adviser as a whole. Any such views are subject to
change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views.
1
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
[PERFORMANCE GRAPH]
State Street Tax iMoney Net Tax-Free
Free Limited Duration National Institutional
Bond Portfolio* Average** (b)
--------------------- ----------------------
2/7/07 10,000 10,000
3/31/07 10,053 10,027
4/30/07 10,081 10,055
5/31/07 10,113 10,085
6/30/07 10,143 10,112
7/31/07 10,174 10,140
8/31/07 10,205 10,168
9/30/07 10,240 10,196
10/31/07 10,271 10,224
11/30/07 10,301 10,251
12/31/07 10,333 10,278
INVESTMENT PERFORMANCE (A)
For the Fiscal Year Ended December 31,2007
Total Return Total Return
for the Period from Average Annualized Since
February 7, 2007 to Commencement of Operations
December 31, 2007 (February 7, 2007)
------------------- --------------------------
State Street
Institutional Tax Free
Limited Duration Bond Fund 3.33% 3.33%
iMoney Net tax-Free National
Institutional Average (b) 3.05% 3.05%
(A) TOTAL RETURNS AND PERFORMANCE GRAPH INFORMATION REPRESENT PAST PERFORMANCE
AND ARE NOT INDICATIVE OF FUTURE RESULTS, WHICH MAY BE LOWER OR HIGHER THAN
PERFORMANCE DATA QUOTED. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARE, WHEN REDEEMED, MAY
BE WORTH MORE OR LESS THAN ITS ORIGINAL COST. THE GRAPH AND TABLE ABOVE DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND
DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. INVESTMENT PERFORMANCE
REFLECTS FEE WAIVERS IN EFFECT. IN THE ABSENCE OF FEE WAIVERS, TOTAL RETURN
WOULD BE LOWER.
(b) The iMoney Net Tax-Free National Institutional Average is an average that
consists of all national tax-free and municipal institutional funds.
Portfolio Holdings of tax-free funds include rated and unrated demand
notes, rated and unrated general market notes, commercial paper, put bonds
- 6 months & less, put bonds - over 6 months, AMT paper, and other tax-free
holdings. It is not possible to invest directly in an average.
2
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Tax Free Limited Duration Bond Portfolio
(the "Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1,2007 to December 31,
2007.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Portfolio's actual return, and the
third column shows the dollar amount that would have been paid by an
investor who started with $ 1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $ 1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses,
but that the expense ratio is unchanged. In this case- because the
return used is not the Portfolio's actual return- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
Portfolio's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Six Months Ended December 31,2007
BEGINNING ENDING ACCOUNT EXPENSES PAID
ACCOUNT VALUE VALUE DECEMBER 31, DURING PERIOD*
JULY 1, 2007 2007
------------- ------------------ --------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $1,018.80 $0.51
BASED ON
HYPOTHETICAL (5%
RETURN BEFORE
EXPENSES) $1,000.00 $1,024.70 $0.51
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted expense
ratio as of December 31,2007 was 0.10%. The dollar amounts shown as "Expenses
Paid" are equal to the annualized average weighted expense ratio multiplied by
the average account value over the period, multiplied by the number of days in
the most recent six-month period, then divided by the number of days in the most
recent 12-month period.
3
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2007
- ---------------------- -----------------
Miscellaneous Revenue 21.5 %
Hospital Revenue 19.6
General Obligation State 12.0
Higher Education 9.2
Industrial Revenue/Pollution Control Revenue 9.0
General Obligations 5.9
Pre Refunded/Escrow to Maturity 4.8
Cash 4.0
Municipals 3.9
Electricity and Power Revenue 3.8
Water & Sewer 3.7
TRANS Revenue 2.6
Total 100.0 %
MATURITY LADDER DECEMBER 31 , 2007
- ---------------------- ------------------
0-3 Days 82.8 %
4-90 Days 3.0 %
90+ Days 14.2
Total 100.0 %
*The Portfolio's composition will vary over time.
4
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - DECEMBER 31,2007
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
--------- ----- --------- ----------
TAX-EXEMPT OBLIGATIONS -- 93.5%
ARIZONA -- 4.7%
Arizona Health Facilities Authority Revenue Bonds, Banner
Health, Series B, INS: FGIC, SPA: Bank of Nova Scotia (a) ...... 1,000,000 3.47 01/01/2035 1,000,000
Arizona School District, TAN, Financing Program COPs ........... 900,000 4.50 07/30/2008 908,037
----------
1,908,037
----------
COLORADO -- 7.4%
City of Colorado Springs Utilities Revenue Bonds, Sub Lien
Improvement, Series B, SPA: Bayerische Landesbank (a) .......... 1,500,000 3.42 11/01/2036 1,500,000
City of Colorado Springs Utilities Revenue Bonds, Sub Lien,
Series A, SPA: Dexia Credit Local (a) .......................... 1,500,000 5.20 11/01/2023 1,500,000
----------
3,000,000
----------
DELAWARE -- 3.7%
Delaware State Economic Development Authority Revenue Bonds,
Hospital Billing & Collection, Series B, LOC: JP Morgan Chase
Bank (a) ....................................................... 1,500,000 3.40 12/01/2015 1,500,000
----------
DISTRICT OF COLUMBIA -- 8.1%
District of Columbia Revenue Bonds, George Washington
University, Series B, INS: MBIA, SPA: Bank of America N. A.
(a) ............................................................ 1,500,000 3.40 09/15/2029 1,500,000
Washington DC Convention Center Authority Dedicated Tax
Revenue Bonds, Sr. Lien, INS: AMBAC ............................ 1,750,000 5.25 10/01/2011 1,796,620
----------
3,296,620
----------
GEORGIA -- 2.5%
Burke County Georgia Development Authority PCRBs, Oglethorpe
Power Corporation, Series A, INS: FGIC, SPA: Credit Local De
France (a) ..................................................... 1,000,000 3.43 01/01/2019 1,000,000
----------
ILLINOIS -- 9.3%
City of Chicago Illinois, Neighborhoods Alive 21, Class B,
INS: MBIA, SPA: Depfa Bank PLC (a) ............................. 1,300,000 3.42 01/01/2037 1,300,000
Illinois Development Finance Authority Revenue Bonds, Evanston
Northwestern, Class C, SPA: Bank One N. A. (a) ................. 1,460,000 3.43 05/01/2031 1,460,000
Illinois Finance Authority Revenue Bonds, Loyola University
Health, Series C, LOC: Charter One Bank FSB (a) ................ 1,000,000 3.40 04/01/2041 1,000,000
----------
3,760,000
----------
See Notes to Financial Statements
5
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
--------- ----- ---------- ----------
INDIANA -- 6.2%
Indiana State Development Finance Authority Revenue
Bonds, Educational Facilities, Indiana Historical
Society, LOC: Bank One Indiana N. A. (a) ....................... 1,500,000 3.43 08/01/2031 1,500,000
Petersburg Indiana PCRBs, Indiania Power & Light Co., Series B,
SPA: Lasalle National Bank (a) ................................. 1,000,000 3.53 01/01/2023 1,000,000
---------
2,500,000
----------
MARYLAND -- 3.7%
Maryland State Health & Higher Educational Facilities
Authority Revenue Bonds, Universal Medical System, Series E,
INS: FGIC, SPA: Dexia Credit Local (a) ........................ 1,500,000 3.42 07/01/2041 1,500,000
----------
MASSACHUSETTS -- 2.9%
Massachusetts State Health & Educational Facilities Authority
Revenue Bonds, New England Medical Center Hospital, Series H,
INS: FGIC ...................................................... 1,160,000 5.00 05/15/2009 1,189,011
----------
MISSOURI -- 3.1%
Missouri Development Finance Board Cultural Facilities
Revenue Bonds, Nelson Gallery Funding, Series B, INS: MBIA,
SPA: JP Morgan Chase Bank (a) .................................. 1,250,000 3.75 12/01/2031 1,250,000
----------
MONTANA -- 3.5%
Billings Montana IDRBs, CFS Continental, Inc. LOC: Toronto
Dominion Bank (a) .............................................. 1,400,000 3.48 12/01/2014 1,400,000
----------
NEW MEXICO -- 2.5%
New Mexico Finance Authority Revenue Bonds, Cigarette
Tax-UNM Health, Class B, INS: MBIA, SPA: Bank of America
N. A. (a) ..................................................... 1,000,000 3.43 04/01/2019 1,000,000
----------
NEW YORK -- 2.5%
New York State Local Government Assistant Corp., Sub Lien,
Series 3V, INS: FGIC GO of Corp., SPA: Bandesbank Baden-
Wuerttemberg (a) ............................................... 1,000,000 3.33 04/01/2024 1,000,000
----------
OHIO -- 5.9%
City of Columbus Ohio, SAN Sewer, Series 1, GO Unlimited (a) ... 1,400,000 3.33 12/01/2026 1,400,000
----------
Ohio State Higher Education Facility Community Revenue Bonds.
Kenyon College Project, LIQ: Harris Bank (a) ................... 1,000,000 3.43 04/01/2022 1,000,000
----------
2,400,000
----------
OKLAHOMA -- 3.2%
Oklahoma State Industries Authority Revenue Bonds,
Integris Baptist, Series B, INS: MBIA, SPA: JP Morgan
Chase Bank (a) ................................................. 1,285,000 3.75 08/15/2029 1,285,000
----------
See Notes to Financial Statements
6
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
Date
Principal Rate of VALUE
Amount % Maturity $
----------- ------ ---------- ------------
OREGON -- 3.7%
State of Oregon, TAN, GO Unlimited Notes, Series A 1,500,000 4.50 06/30/2008 1,511,340
------------
PENNSYLVANIA -- 6.2%
Pennsylvania State Turnpike Community Revenue Bonds,
Series A 1, SPA: Westdeutsche Lanesbank (a) 1,000,000 3.40 12/01/2030 1,000,000
Washington County Pennsylvania Authority Revenue Bonds,
University of Pennsylvania (a) 1,500,000 3.33 07/01/2034 1,500,000
------------
2,500,000
------------
PUERTO RICO -- 3.5%
Puerto Rico Electric Power Authority Revenue Bonds, Series
815, INS: FSA/FGIC, LIQ: JP Morgan Chase Bank (a) 1,440,000 3.44 01/01/2013 1,440,000
------------
TEXAS -- 7.2%
City of Arlington Texas Special Obligations Revenue Bonds,
Tax-Dallas Cowboys, Class B, INS: MBIA, SPA: Depfa Bank PLC(a) 1,400,000 3.43 08/15/2035 1,400,000
State of Texas, Tax & Revenue Anticipation Notes, GO Limited
Notes 1,500,000 4.50 08/28/2008 1,515,030
------------
2,915,030
------------
WASHINGTON -- 3.7%
Washington State, PUTTERs, Series 1422, INS: FSA, LIQ: JP
Morgan Chase Bank (a) 1,495,000 3.50 07/01/2014 1,495,000
------------
TOTAL TAX-EXEMPT OBLIGATIONS
(COST $37,824,720) 37,850,038
------------
MONEY MARKET FUND -- 6.0%
State Street Institutional Investment Trust Tax Free Money
Market Fund (b) (at net asset value) 2,410,373 3.29 01/01/2050 2,410,373
------------
TOTAL INVESTMENTS(c) -- 99.5%
(COST $40,235,093) 40,260,411
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.5% 206,965
------------
NET ASSETS -- 100.0% $ 40,467,376
============
(a) Floating Rate Note- Interest rate shown is rate in effect at December 31,
2007.
(b) Affiliated issuer. See table that follows for more information.
(c) Cost of investments shown approximates cost for federal income tax
purposes.
Acronym Name
- ------- ----------------------------------------------------------------------
AMBAC American Municipal Bond Assurance Corporation
COPs Certificates of Participation
FGIC Financial Guaranty Insurance Company
See Notes to Financial Statements
7
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - DECEMBER 31, 2007
FSA Financial Security Assurance
GO Genera] Obligation
IDRBs Industrial Development Revenue Bonds
INS Insured
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Municipal Bond Investors Assurance
PCRBs Pollution Control Revenue Bonds
PUTTERs Puttable Tax Exempt Receipts
SPA Standby Purchase Agreement
TAN Tax Anticipation Note
AFFILIATE TABLE
Certain investments made by the Portfolio were made in mutual funds affiliated
with State Street and SSgA FM. The market value of this investment at December
31, 2007 is listed in the Portfolio of Investments.
Shares purchased for Shares sold for Income Earned for
Security Number of shares held at the year ended the year ended Number of shares Value at the year ended
Description 12/31/2006 12/31/07 12/31/07 held at 12/31/07 12/31/07 12/31/07
- ----------- ------------------------ --------------------- --------------- ---------------- ---------- -----------------
State Street
Institutional
Trust
Tax Free Money
Market Fund -- 7,017,967 4,607,594 2,410,373 $2,410,373 $52,247
See Notes to Financial Statements
8
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2007
ASSETS
Investments in unaffiliated issuers at market (identified cost $37,824,720) $ 37,850,038
Investments in non-controlted affiliates at market (net asset value
$2,410,373) (Note 4) 2,410,373
------------
40,260,411
Receivables:
Interest receivable 227.601
Receivable from adviser (Note 4) 6,032
Prepaid expenses 224
------------
Total assets 40,494,268
LIABILITIES
Payables:
Management fee (Note 4) 3,432
Administration, custody and transfer agent fees (Note 4) 1,406
Professional fees 20,113
Accrued expenses and other liabilities 1,941
------------
Total Liabilities 26,892
------------
NET ASSETS $ 40,467,376
============
See Notes to Financial Statements.
9
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD FROM FEBRUARY 7, 2007 TO DECEMBER 31, 2007*
INVESTMENT INCOME
Interest income - unaffiliated issuers $ 1,129,371
Interest income - non-controlled affiliated issuer 52,247
-----------
Total Investment Income 1,181,618
EXPENSES
Professional fees 52,194
Management fees (Note 4) 32,094
Trustees' fees (Note 5) 15,493
Printing fees 4,255
Administration, custody and transfer agent fees (Note 4) 6,636
Other expenses 730
-----------
Total Expenses 111,402
Less: Fee waivers/reimbursements by investment adviser (Note 4) (79,309)
-----------
Total Net Expenses 32,093
-----------
NET INVESTMENT INCOME $ 1,149,525
REALIZED AND UNREALIZED GAIN (LOSS)
Net change in net unrealized appreciation (depreciation) on Investments 25,318
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,174,843
===========
* The portfolio commenced operations on February 7, 2007.
Sea Notes to Financial Statements.
10
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
For the
Period Ended
December 31,
2007*
------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 1,149,525
Change in net unrealized appreciation (depreciation) of investments 25,318
------------
Net increase in net assets resulting from operations 1,174,843
------------
CAPITAL TRANSACTIONS
Proceeds from contributions 39,422,181
Fair value of withdrawals (129,648)
------------
Net increase in net assets from capital transactions 39,292,533
------------
TOTAL NET INCREASE IN NET ASSETS 40,467,376
NET ASSETS
Beginning of period -
------------
End of period $ 40,467,376
============
* The portfolio commenced operations on February 7,2007.
See Notes to Financial Statements.
11
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
The Following table includes selected supplemental data and ratios to average
net assets:
PERIOD
ENDED
12/3/2007*
----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (000s) $ 40,467
Ratios to average net assets:
Gross operating expenses 0.35%**
Net operating expenses 0.10%**
Net investment Income 3.58%**
Portfolio turnover rate 31.18%***
Total return (a) 3.33%
- ----------
* The Portfolio commenced operations on February 7,2007.
** Annualized.
*** Not annuilized
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not annualized.
See Notes to Financial Statements.
12
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
1.ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven
investment portfolios: the State Street Equity 500 Index Portfolio, the State
Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio,
the State Street Aggregate Bond Index Portfolio, the State Street Money Market
Portfolio, the State Street Tax Free Money Market Portfolio, the State Street
Tax Free Limited Duration Bond Portfolio, the State Street Limited Duration Bond
Portfolio, the State Street Treasury Money Market Portfolio, the State Street
Treasury Plus Money Market Portfolio and the State Street U.S. Government Money
Market Portfolio. Information presented in these financial statements pertains
only to the State Street Tax Free Limited Duration Bond Portfolio (the
"Portfolio"). The Portfolio commenced operations on February 7, 2007. At
December 31, 2007, only the Portfolio, the State Street Equity 500 Index
Portfolio, the State Street Money Market Portfolio, the State Street Tax Free
Money Market Portfolio, the State Street Treasury Money Market Portfolio, the
State Street Treasury Plus Portfolio and the State Street U.S. Government Money
Market Portfolio were in operation. The Portfolio is authorized to issue an
unlimited number of non-transferable beneficial interests.
2.SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: The Portfolio's investments are valued each business day by
independent pricing services. Fixed-income securities are valued on the basis of
the closing bid price. Investments in other mutual funds are valued at the net
asset value per share. Money market instruments maturing within 60 days of the
valuation date are valued at amortized cost, a method by which each money market
instrument is initially valued at cost, and thereafter a constant accretion or
amortization of any discount or premium is recorded until maturity of the
security. The Portfolio may value securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities transactions
are recorded on a trade date basis for financial statement purposes. Interest
income is recorded daily on the accrual basis and includes amortization of
premium and accretion of discount on investments. Realized gains and losses from
securities transactions are recorded on the basis of identified cost. Expenses
are accrued daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
partners in the Portfolio based on each partner's daily ownership percentage.
FEDERAL INCOME TAXES: The Portfolio is not required to pay federal income taxes
on its net investment income and net capital gains because it is treated as a
partnership for federal income tax purposes. All interest, dividends, gains and
losses of the Portfolio are deemed to have been "passed through" to the
Portfolio's partners in proportion to their holdings in the Portfolio,
regardless of whether such items have been distributed by the Portfolio. Each
partner is responsible for tax liability based on its distributive share;
therefore, no provision has been made for federal income taxes.
The Portfolio adopted the provisions of Financial Accounting Standards Board
Interpretation No. 48 (FIN 48), "Accounting for Uncertainty in Income Taxes", on
June 29, 2007. As of and during the period ended December 31, 2007, the
Portfolio did not have a liability for any unrecognized tax expenses. The
Portfolio recognizes interest and penalties, if any, related to tax liabilities
as income tax expense in the Statement of Operations. As of December 31, 2007,
tax years since inception through 2007 remain subject to examination by the
portfolio's major tax jurisdictions, which include the United States of America
and the Commonwealth of Massachusetts.
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles which require the
use of management estimates. Actual results could differ from those estimates.
13
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2007, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
contributions and withdrawals, aggregated to $48,600,836 and $10,745,000,
respectively.
At December 31, 2007, the book cost of investments was $40,235,093 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $26,350 and
$1,032, respectively, resulting in net depreciation of $25,318 for all
securities as computed on a federal income tax basis.
4. RELATED PARTY FEES
The Portfolio has entered into an investment advisory agreement with SSgA FM.
The Adviser directs the investments of the Portfolio in accordance with its
investment objective, policies, and limitations. In compensation for the
Adviser's services as investment adviser, the Portfolio pays the Adviser an
annual fee of 0.10% of the Portfolio's average daily net assets. The Adviser has
contractually agreed to cap the total operating expenses of the Portfolio at
0.10% of the Portfolio's average daily net assets until November 1, 2008. For
the year ended December 31, 2007, SSgA FM reimbursed the Portfolio $79,309 under
this agreement.
State Street is the administrator, custodian and transfer agent for the
Portfolio. In compensation for State Street's services as administrator,
custodian and transfer agent, the Trust pays State Street an annual fee, which
is accrued daily at the applicable fee rate described below and payable monthly,
of the following annual percentages of the Trust's average aggregate daily net
assets during the month as follows:
Annual percentage of
Asset Levels average aggregate daily net assets
- ------------------------------- ----------------------------------
First $400 Million 0.03%
Thereafter 0.02
Minimum annual fee per trust: $ 150,000
5.TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of SSgA FM or
State Street $2,500 for each meeting of the Board of Trustees and an additional
$500 for each telephonic meeting attended. The Trust also pays each trustee an
annual retainer of $30,000. Each trustee is reimbursed for out-of-pocket and
travel expenses.
6.INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements is
unknown as this could involve future claims against the Trust. Management does
not expect anything significant.
7. NEW ACCOUNTING PRONOUNCEMENTS
In September 2006, Statement of 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 has evaluated the application of SFAS 157 to the Portfolio and
believes the impact will be limited to expanded disclosures in the Portfolio's
Financial Statements resulting from adoption of this pronouncement.
14
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and Owners of Beneficial
Interest of State Street Tax Free Limited Duration Bond Portfolio:
We have audited the accompanying statement of assets and liabilities of the
State Street Tax Free Limited Duration Bond Portfolio (one of the portfolios
constituting State Street Master Funds) (the Portfolio), including the
portfolio of investments, as of December 31, 2007, and the related statement
of operations, the statement of changes in net assets and the financial
highlights for the period from February 7, 2007 (commencement of operations)
through December 31, 2007. These financial statements and financial highlights
are the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights
based on our audit.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. We were not engaged to perform an audit of the Portfolio's
internal control over financial reporting. Our audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose
of expressing an opinion on the effectiveness of the Portfolio's internal
control over financial reporting. Accordingly, we express no such opinion. An
audit also includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements and financial highlights,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. Our
procedures included confirmation of securities owned as of December 31, 2007,
by correspondence with the custodian and brokers. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of State
Street Tax Free Limited Duration Bond Portfolio of State Street Master Funds at
December 31, 2007, the results of its operations, the changes in its net assets
and the financial highlights for the period from February 7, 2007 (commencement
of operations) through December 31, 2007, in conformity with U.S. generally
accepted accounting principles.
[ERNST & YOUNG LLP]
Boston, Massachusetts
February 25, 2008
15
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
DECEMBER 31, 2007
GENERAL INFORMATION
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures is
available (i) without charge, upon request, by calling (877) 521-4083 or (ii)
on the website of the Securities Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Fund voted proxies relating to portfolio
securities during the most recent 12-month period ending June 30 is available
by August 31 (i) without charge, upon request, by calling (877) 521-4083 or
(ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC for
the first and third quarters of its fiscal year (as of March and September of
each year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's
website at www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. and information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330. The most recent Form N-Q is available without charge, upon
request, by calling (877) 521-4083.
16
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED).
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(s) TERM OF OFFICE COMPLEX OTHER DIRECTORSHIPS
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE* BY TRUSTEE
- ---------------------- --------------- ---------------- ----------------------------- ------------- ----------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Term: Indefinite Chairman, Holland & Company 22 Trustee, State Street
Holland & Company, Chairman of the Elected: 7/99 L.L.C. (investment adviser) Institutional
LLC Board (1995-present). Investment Trust;
375 Park Avenue Director, the Holland
New York, NY 10152 Series Fund, Inc.;
Director, The China
Fund, Inc.;
Chairman and Trustee,
DOB: July 7, 1944 Scottish Widows
Investment
Partnership Trust; and
Director, Reaves
Utility
Income Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual South 22 Trustee, State Street
State Street Master Elected: 7/99 Africa Master Trust Institutional
Funds (investments) (1995 Investment Trust; and
P.O. Box 5049 -present); Chairman Trustee, Old Mutual
Boston, MA 02206 emeritus, Children's South Africa Master
Hospital (1984 - present); Trust
Director, Boston Plan For
Excellence (non-profit)
DOB: January 20, 1937 (1994 - present); President
and Chief Operations Officer,
John Hancock Mutual Life
Insurance Company (1959 -
1999). Mr. Boyan retired in
1999.
Rina K. Spence Trustee Term: Indefinite President of SpenceCare 22 Trustee, State Street
State Street Master Funds Elected: 7/99 International LLC (1998 - Institutional
P.O. Box 5049 present); Member of the Investment Trust;
Boston, MA 02206 Advisory Board, Ingenium Director, Berkshire
Corp. (technology company) Life Insurance Company
(2001 - present); Chief of America; and
Executive Officer, Director,
IEmily.com (internet company) IEmily.com
(2000 - 2001);
Chief Executive
DOB: October 24, 1948 Officer of Consensus
Pharmaceutical, Inc. (1998
- 1999); Founder, President
and Chief Executive Officer
of Spence Center
for Women's Health
(1994 - 1998);
Trustee, Eastern Enterprise
(utilities) (1988-2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice President of 22 Trustee, State Street
State Street Elected: 7/99 Chase Manhattan Bank (1987- Institutional
Master Funds 1999). Mr. Williams retired Investment Trust
P.O. Box 5049 in 1999.
Boston, MA 02206
DOB: December 23, 1940
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
17
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX OTHER
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY DIRECTORSHIPS HELD
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS* TRUSTEE BY TRUSTEE
- ---------------------- ------------- ---------------- -------------------------- ------------- -------------------------
INTERESTED TRUSTEES(1)
James E. Ross Trustee/ Term: Indefinite President, SSgA Funds 22 Trustee, State Street
SSgA Funds President Management, Inc. (2005 - Institutional
Management, Inc. Elected Trustee: present); Principal, SSgA Investment Trust;
State Street Financial 2/07 Funds Management, Inc. Trustee, SPDR(R)
Center (2001 -2005); Senior Series Trust;
One Lincoln Street Managing Director, State Trustee, SPDR(R)
Boston, MA 02111- Elected Street Global Advisors Index Shares Trust
2900 President: 4/05 (March 2006 - present); and Trustee,
Principal, State Street Select Sector
DOB: June 24, 1965 Global Advisers (2000 SPDR(R) Trust
-2006).
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President of ______ _____
State Street Bank Elected: 5/05 State Street Bank and
and Trust Company Trust Company (2002
2 Avenue de Lafayette -present); Managing
Boston, MA 02111 Director, Deutsche Bank
(including its
predecessor, Scudder
Investments), Fund
Operations Unit (2001-
2002); President, UAM Fund
Services (1995-2001).
DOB: July 4, 1951
Julie Piatelli Interim Chief Term: Indefinite Principal and Senior ______ _____
SSgA Funds Compliance Elected: 7/07 Compliance and Risk
Management, Inc. Officer Management Officer, SSgA
State Street Funds Management, Inc.
Financial Center (2004-present), Vice
One Lincoln Street President State Street
Boston, MA 02111 Global Advisors
(2004-present); Manager,
DOB: August 5, 1967 PricewaterhouseCoopers LLP
(1999-2004).
Nancy L. Conlin Secretary Term: Indefinite Vice President and ______ _____
State Street Bank and Managing Counsel, State
Trust Company 2 Elected: 9/07 Street Bank and Trust
Avenue de Lafayette Company (2007 - present);
Boston, MA 02111 General Counsel to
DOB: December 11, 1953 Plymouth Rock Companies
(2004-2007); and U.S.
Chief Counsel to Sun Life
Financial (2002-2004).
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
18
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR AND CUSTODIAN
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
ITEM 2. CODE OF ETHICS.
As of the end of the period, December 31, 2007, State Street Master Funds (the
"Trust" or "Registrant") has adopted a code of ethics, as defined in Item 2(b)
of Form N-CSR, that applies to the Trust's principal executive officer and
principal financial officer. The Trust has not made any amendments to its code
of ethics during the covered period. The Trust has not granted any waivers from
any provisions of the code of ethics during the covered period. A copy of the
Trust's code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Trust's Board of Trustees (the "Board") has determined that the Trust has
the following "audit committee financial experts" as defined in Item 3 of Form
N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L.
Boyan and Douglas T. Williams and Ms. Rina K. Spence. Each of the audit
committee financial experts is "independent" for purposes of this Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
For the fiscal years ended December 31, 2007 and December 31, 2006,
the aggregate audit fees billed for professional services rendered by
Ernst & Young LLP ("E&Y"), the Trust's principal accountant, for the
audit of the Trust's annual financial statements and services normally
provided by E&Y in connection with the Trust's statutory and
regulatory filings or engagement were $211,000 and $66,000,
respectively.
(b) Audit-Related Fees
For the fiscal years ended December 31, 2007 and December 31, 2006,
there were no fees for assurance and related services by E&Y
reasonably related to the performance of the audit of the Trust's
financial statements that were not reported under (a) of this Item.
(c) Tax Fees
For the fiscal years ended December 31, 2007 and December 31, 2006,
the aggregate tax fees billed for professional services rendered by
E&Y for tax compliance, tax advice, and tax planning were $37,000 and
$10,000, respectively. Such tax services included the review of income
and excise tax returns for the Trust.
(d) All Other Fees
For the fiscal years ended December 31, 2007 and December 31, 2006,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to the Trust, other than the
services reported in (a) through (c).
For the fiscal years ended December 31, 2007 and December 31, 2006,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to SSgA Funds Management,
Inc. (the "Adviser") and any entity controlling, controlled by, or
under common control with the Adviser that provides ongoing services
to the Trust that (i) relate directly to the operations and financial
reporting of the Trust and (ii) were pre-approved by the Trust's audit
committee.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The Trust's Audit Committee Charter states the following with respect
to pre-approval procedures:
Pre-Approval Requirements. Before the independent accountants are
engaged by the Trust to render audit or non-audit services,
either:
1. The Audit Committee shall pre-approve all auditing
services and permissible non-audit services (e.g., tax
services) provided to the Trust. The Audit Committee
may delegate to one or more of its members the
authority to grant pre-approvals. Any decision of any
member to whom authority is delegated under this
section shall be presented to the full Audit Committee
at its next regularly scheduled meeting; or
2. The engagement to render the auditing service or
permissible non-audit service is entered into pursuant
to pre-approval policies and procedures established by
the Audit Committee. Any such policies and procedures
must (1) be detailed as to the particular service and
(2) not involve any delegation of the Audit Committee's
responsibilities to the investment adviser. The Audit
Committee must be informed of each service entered into
pursuant to the policies and procedures. A copy of any
such policies and procedures shall be attached as an
exhibit to the Audit Committee Charter.
De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval
for a service provided to the Trust other than audit, review or
attest services is not required if: (1) the aggregate amount of
all such non-audit services provided to the Trust constitutes not
more than 5 percent of the total amount of revenues paid by the
Trust to the independent accountants during the fiscal year in
which the non-audit services are provided; (2) such services were
not
recognized by the Trust at the time of the engagement to be
non-audit services; and (3) such services are promptly brought to
the attention of the Audit Committee and are approved by the
Audit Committee or by one or more members of the Audit Committee
to whom authority to grant such approvals has been delegated by
the Audit Committee prior to the completion of the audit.
Pre-Approval of Non-Audit Services Provided to the Adviser and
Certain Control Persons. The Audit Committee shall pre-approve
any non-audit services proposed to be provided by the independent
accountants to (a) the investment adviser and (b) any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Trust,
if the independent accountants' engagement with the investment
adviser or any such control persons relates directly to the
operations and financial reporting of the Trust. It shall be the
responsibility of the independent accountants to notify the Audit
Committee of any non-audit services that need to be pre-approved.
Application of De Minimis Exception: The De Minimis exception set
forth above applies to pre-approvals under this Section as well,
except that the "total amount of revenues" calculation is based
on the total amount of revenues paid to the independent
accountants by the Trust and any other entity that has its
services approved under this Section (i.e., the investment
adviser or any control person)."
(e)(2) Percentages of Services
None of the services described in paragraphs (b) through (d) of
this Item were performed in reliance on paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X during the period of time for which
such rule was effective.
(f) Not applicable.
(g) Total Fees Paid By Adviser and Certain Affiliates
For the fiscal years ended December 31, 2007 and December 31,
2006, the aggregate non-audit fees billed by E&Y for services
rendered to the Trust and the Adviser and any entity controlling,
controlled by, or under common control with the Adviser that
provided ongoing services to the Trust were $16,600,000, and
$4,500,000, respectively.
(h) E&Y notified the Trust's Audit Committee of all non-audit
services that were rendered by E&Y to the Adviser and any entity
controlling, controlled by, or under common control with the
Adviser that provides services to the Trust, which services were
not required to be pre-approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X, allowing the Trust's Audit
Committee to consider whether such services were compatible with
maintaining E&Y's independence.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as part of Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Registrant does not have procedures by which shareholders may recommend
nominees to the Registrant's Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")) are effective, as of a date within 90 days of the filing date of this
report, based on their evaluation of these controls and procedures required by
Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the Trust's second fiscal quarter covered by this Form N-CSR filing that has
materially affected, or is reasonably likely to materially affect, the Trust's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(a)(2) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are
attached hereto.
(a)(3) Not applicable to the Registrant.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: STATE STREET MASTER FUNDS
By: /s/ James E. Ross
----------------------------------
James E. Ross
President (Principal Executive Officer)
Date: February 28, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ James E. Ross
----------------------------------
James E. Ross
President (Principal Executive Officer)
Date: February 28, 2008
By: /s/ Gary L. French
--------------------------------------
Gary L. French
Treasurer (Principal Financial Officer)
Date: February 28, 2008