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 5501
Boston, Massachusetts 02206
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) Copy to:
Nancy L. Conlin, Vice President and Counsel Timothy W. Diggins, Esq.
State Street Bank and Trust Company Ropes & Gray LLP
4 Copley Place One International Place
Tower II- floor 3 Legal Division Boston, Massachusetts 02110-2624
Boston, Massachusetts 02116
Registrant's telephone number, including area code: (617) 662-3966
Date of fiscal year end: December 31
Date of reporting period: June 30, 2008
ITEM 1: SHAREHOLDER REPORT
STATE STREET EQUITY 500 INDEX PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2008
(UNAUDITED)
STATE STREET EQUITY 500 INDEX PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Portfolio (the
"Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from January 1, 2008 to June 30,
2008.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the actual return of the Portfolio, and
the third column shows the dollar amount that would have been paid by
an investor who started with $1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses,
but that the expense ratio is unchanged. In this case-because the
return used is not the Portfolio's actual return- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
Portfolio's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Six Months Ended June 30, 2008
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JANUARY 1, 2008 JUNE 30, 2008 DURING PERIOD *
--------------- ------------- ---------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $ 880.20 $0.21
BASED ON HYPOTHETICAL
(5% RETURN BEFORE
EXPENSES) $1,000.00 $1,024.64 $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 June 30, 2008 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.
1
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ---------------------- -------------
Common Stocks 97.6%
Money Market Funds 1.8
U.S. Government Securities 0.1
Liabilities less cash and other assets 0.5
-----
Total 100.0%
=====
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* JUNE 30, 2008
- ---------------------------------------------------- -------------
Information Technology 15.5%
Energy 15.0
Financials 14.0
Health Care 11.5
Industrials 11.1
----
Total 67.1%
====
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
2
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
COMMON STOCKS -- 97.6%
CONSUMER DISCRETIONARY -- 8.2%
Abercrombie & Fitch Co. 15,846 $ 993
Amazon.Com, Inc. (a) 54,892 4,025
Apollo Group, Inc. Class A (a) 24,529 1,086
AutoNation, Inc. (a) 23,063 231
AutoZone, Inc. (a) 7,864 952
Bed Bath & Beyond, Inc. (a) 46,645 1,311
Best Buy Co., Inc. 60,719 2,404
Big Lots, Inc. (a) 12,827 401
Black & Decker Corp. 10,037 577
Carnival Corp. 77,250 2,546
CBS Corp. Class B 120,203 2,343
Centex Corp. 24,082 322
Clear Channel Communications, Inc. 88,647 3,120
Coach, Inc. (a) 63,128 1,823
Comcast Corp. Class A 527,348 10,004
D.R. Horton, Inc. 45,576 495
Darden Restaurants, Inc. 25,688 820
Dillard's, Inc. Class A 12,294 142
DIRECTV Group, Inc. (a) 128,877 3,339
Eastman Kodak Co. 54,482 786
eBay, Inc. (a) 198,703 5,431
EW Scripps Co. Class A 16,835 699
Expedia, Inc. (a) 39,215 721
Family Dollar Stores, Inc. 27,158 542
Ford Motor Co. (a) 387,098 1,862
Fortune Brands, Inc. 27,745 1,732
GameStop Corp. (a) 29,000 1,172
Gannett Co., Inc. 42,074 912
Gap, Inc. 81,298 1,355
General Motors Corp. 98,645 1,134
Genuine Parts Co. 30,809 1,223
Goodyear Tire & Rubber Co. (a) 45,257 807
H&R Block, Inc. 58,415 1,250
Harley-Davidson, Inc. 43,201 1,566
Harman International Industries, Inc. 10,521 435
Hasbro, Inc. 25,825 922
Home Depot, Inc. 301,112 7,052
Host Hotels & Resorts, Inc. 91,365 1,247
International Game Technology 55,119 1,377
Interpublic Group of Cos., Inc. (a) 83,694 720
JC Penney & Co., Inc. 40,310 1,463
Johnson Controls, Inc. 105,286 3,020
Jones Apparel Group, Inc. 13,434 185
KB HOME 14,794 250
Kohl's Corp. (a) 53,533 2,143
Leggett & Platt, Inc. 32,898 552
Lennar Corp. Class A 27,931 345
Limited Brands 50,567 852
Liz Claiborne, Inc. 20,797 294
Lowe's Cos., Inc. 259,262 5,380
Macy's, Inc. 78,723 1,529
Marriot International, Inc. Class A 52,821 1,386
Mattel, Inc. 66,976 1,147
McDonald's Corp. 202,025 11,358
MARKET
VALUE
SHARES (000)
---------- ----------
McGraw-Hill, Inc. 56,766 $ 2,277
Meredith Corp. 7,889 223
New York Times Co. Class A 22,922 353
Newell Rubbermaid, Inc. 51,593 866
News Corp. Class A 410,409 6,173
NIKE, Inc. Class B 68,052 4,057
Nordstrom, Inc. 30,833 934
Office Depot, Inc. (a) 51,256 561
Omnicom Group, Inc. 56,541 2,538
Polo Ralph Lauren Corp. 10,615 666
Pulte Homes, Inc. 34,526 332
Radioshack Corp. 20,203 248
Sears Holdings Corp. (a) 12,674 934
Sherwin-Williams Co. 18,396 845
Snap-On, Inc. 9,512 495
Stanley Works 14,583 654
Staples, Inc. 123,933 2,943
Starbucks Corp. (a) 128,561 2,024
Starwood Hotels & Resorts Worldwide, Inc. 33,647 1,348
Target Corp. 139,316 6,477
Tiffany & Co. 22,280 908
Time Warner, Inc. 638,473 9,449
TJX Cos., Inc. 77,106 2,427
V.F. Corp. 15,193 1,081
Viacom, Inc. Class B (a) 113,922 3,479
Walt Disney Co. 338,745 10,569
Washington Post Co. 1,060 622
Wendy's International, Inc. 17,016 463
Whirlpool Corp. 13,761 849
Wyndham Worldwide Corp. 34,299 614
Yum! Brands, Inc. 84,192 2,954
----------
168,146
----------
CONSUMER STAPLES -- 10.5%
Altria Group, Inc. 376,299 7,737
Anheuser-Busch Cos., Inc. 127,403 7,914
Archer-Daniels-Midland Co. 114,424 3,862
Avon Products, Inc. 77,160 2,779
Brown-Forman Corp. Class B 15,624 1,181
Campbell Soup Co. 39,265 1,314
Clorox Co. 25,743 1,344
Coca-Cola Co. 357,511 18,583
Coca-Cola Enterprises, Inc. 53,901 932
Colgate-Palmolive Co. 90,901 6,281
ConAgra Foods, Inc. 85,775 1,654
Constellation Brands, Inc. Class A (a) 37,226 739
Costco Wholesale Corp. 77,289 5,421
CVS Corp. 255,832 10,123
Dean Foods Co. (a) 25,258 496
Estee Lauder Cos, Inc. Class A 20,552 955
General Mills, Inc. 60,132 3,654
H.J. Heinz Co. 55,669 2,664
Hershey Foods Corp. 29,582 970
Kellogg Co. 45,935 2,206
Kimberly-Clark Corp. 75,900 4,537
See Notes to Financial Statements
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
CONSUMER STAPLES -- (CONTINUED)
Kraft Foods, Inc. 269,122 $ 7,657
Kroger Co. 116,676 3,368
Lorillard, Inc. (a) 30,860 2,134
McCormick & Co., Inc. 22,353 797
Molson Coors Brewing Co., Class B 23,862 1,296
Pepsi Bottling Group, Inc. 22,953 641
PepsiCo, Inc. 283,156 18,006
Philip Morris International, Inc. 377,099 18,625
Procter & Gamble Co. 545,612 33,179
Reynolds American, Inc. 31,387 1,465
Safeway, Inc. 80,264 2,292
Sara Lee Corp. 129,634 1,588
SuperValu, Inc. 37,648 1,163
Sysco Corp. 106,809 2,938
Tyson Foods, Inc., Class A 46,035 688
UST Corp. 26,637 1,455
Wal-Mart Stores, Inc. 416,502 23,407
Walgreen Co. 176,718 5,745
Whole Foods Market, Inc. 25,433 602
Wrigley Wm., Jr. Co. 38,648 3,006
----------
215,398
----------
ENERGY -- 15.0%
Anadarko Petroleum Corp. 83,326 6,236
Apache Corp. 59,425 8,260
Baker Hughes, Inc. 54,878 4,793
BJ Services Co. 52,248 1,669
Cabot Oil & Gas Corp. 17,400 1,179
Cameron International Corp. (a) 38,000 2,103
Chesapeake Energy Corp. 85,982 5,671
ChevronTexaco Corp. 368,946 36,574
ConocoPhillips 276,030 26,054
Devon Energy Corp. 79,351 9,535
El Paso Corp. 123,192 2,678
ENSCO International, Inc. 26,077 2,105
EOG Resources, Inc. 44,317 5,814
ExxonMobil Corp. 943,272 83,131
Halliburton Co. 156,234 8,291
Hess Corp. 49,801 6,284
Marathon Oil Corp. 126,277 6,550
Murphy Oil Corp. 33,841 3,318
Nabors Industries, Ltd. (a) 48,904 2,408
National Oilwell Varco, Inc. (a) 73,557 6,526
Noble Corp. 47,918 3,113
Noble Energy, Inc. 31,210 3,139
Occidental Petroleum Corp. 146,944 13,204
Range Resources Corp. 27,200 1,783
Rowan Cos., Inc. 19,520 913
Schlumberger, Ltd. 212,675 22,848
Smith International, Inc. 35,334 2,938
Sunoco, Inc. 21,584 878
Tesoro Corp. 26,365 521
Transocean, Inc. (a) 56,635 8,631
Valero Energy Corp. 95,009 3,912
Weatherford International Ltd. (a) 120,910 5,996
MARKET
VALUE
SHARES (000)
---------- ----------
Williams Cos., Inc. 104,468 $ 4,211
XTO Energy, Inc. 90,821 6,222
----------
307,488
----------
FINANCIALS -- 14.0%
ACE, Ltd. 59,783 3,293
AFLAC, Inc. 84,490 5,306
Allstate Corp. 97,306 4,436
American Capital Strategies Ltd. 34,302 815
American Express Co. 206,364 7,774
American International Group, Inc. 479,966 12,700
Ameriprise Financial, Inc. 39,907 1,623
AON Corp. 54,747 2,515
Apartment Investment & Management Co. Class A 17,797 606
Assurant, Inc. 17,131 1,130
AvalonBay Communities, Inc. 13,353 1,191
Bank of America Corp. 795,098 18,979
Bank of New York Mellon Corp. 203,085 7,683
BB&T Corp. 96,670 2,201
Boston Properties, Inc. 21,667 1,955
Capital One Financial Corp. 66,063 2,511
CB Richard Ellis Group, Inc. Class A (a) 29,875 574
Charles Schwab Corp. 166,093 3,412
Chubb Corp. 65,575 3,214
Cincinnati Financial Corp. 28,114 714
CIT Group, Inc. 54,842 374
Citigroup, Inc. 974,402 16,331
CME Group, Inc. 9,641 3,694
Comerica, Inc. 27,144 696
Countrywide Financial Corp. 100,246 426
Developers Diversified Realty Corp. 20,024 695
Discover Financial Services 85,605 1,127
E*Trade Financial Corp. (a) 81,315 255
Equity Residential 49,057 1,877
Fannie Mae 189,550 3,698
Federal Home Loan Mortgage Corp. 117,439 1,926
Federated Investors, Inc. Class B 15,270 526
Fidelity National Information Services, Inc. 30,977 1,143
Fifth Third Bancorp 108,216 1,102
First Horizon National Corp. 38,372 285
Franklin Resources, Inc. 28,380 2,601
General Growth Properties, Inc. 48,893 1,713
Genworth Financial, Inc. Class A 79,351 1,413
Goldman Sachs Group, Inc. 70,570 12,343
Hartford Financial Services Group, Inc. 56,197 3,629
HCP, Inc. 43,100 1,371
Hudson City Bancorp, Inc. 95,292 1,590
Huntington Bancshares, Inc. 64,656 373
IntercontinentalExchange, Inc. (a) 12,680 1,446
J.P. Morgan Chase & Co. 618,015 21,204
Janus Capital Group, Inc. 26,407 699
KeyCorp 86,875 954
See Notes to Financial Statements
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
FINANCIALS -- (CONTINUED)
Kimco Realty Corp. 45,869 $ 1,583
Legg Mason, Inc. 26,342 1,148
Lehman Brothers Holdings, Inc. 127,128 2,518
Leucadia National Corp. 31,136 1,462
Lincoln National Corp. 46,692 2,116
Loews Corp. 63,731 2,989
M & T Bank Corp. 14,137 997
Marsh & McLennan Cos., Inc. 91,753 2,436
Marshall & Ilsley Corp. 45,493 697
MBIA, Inc. 41,484 182
Merrill Lynch & Co., Inc. 174,490 5,533
MetLife, Inc. 126,456 6,673
MGIC Investment Corp. 18,100 111
Moody's Corp. 35,466 1,221
Morgan Stanley 197,230 7,114
National City Corp. 145,254 693
Northern Trust Corp. 33,806 2,318
NYSE Euronext 48,100 2,437
Plum Creek Timber Co., Inc. 30,811 1,316
PNC Financial Services Group, Inc. 62,951 3,595
Principal Financial Group, Inc. 46,591 1,955
Progressive Corp. 121,701 2,278
ProLogis 45,591 2,478
Prudential Financial, Inc. 77,239 4,614
Public Storage, Inc. 22,787 1,841
Regions Financial Corp. 122,289 1,334
SAFECO Corp. 15,250 1,024
Simon Property Group, Inc. 39,600 3,560
SLM Corp. (a) 83,254 1,611
Sovereign Bancorp, Inc. 85,574 630
State Street Corp. (b) 75,725 4,846
SunTrust Banks, Inc. 62,218 2,254
T. Rowe Price Group, Inc. 47,075 2,658
Torchmark Corp. 15,621 916
Travelers Cos, Inc. 107,104 4,648
U.S. Bancorp 309,152 8,622
Unum Group 61,629 1,260
Vornado Realty Trust 23,734 2,089
Wachovia Corp. 379,778 5,898
Washington Mutual, Inc. 184,441 909
Wells Fargo Co. 589,093 13,991
Western Union Co. 130,185 3,218
XL Capital, Ltd. Class A 33,044 679
Zions Bancorp 17,953 565
----------
287,140
----------
HEALTH CARE -- 11.5%
Abbott Laboratories 276,406 14,641
Aetna, Inc. 88,050 3,569
Allergan, Inc. 54,092 2,816
AmerisourceBergen Corp. 29,893 1,195
Amgen, Inc. (a) 194,036 9,151
Applera Corp. - Applied Biosystems Group 29,573 990
Barr Pharmaceuticals, Inc. (a) 18,923 853
MARKET
VALUE
SHARES (000)
---------- ----------
Baxter International, Inc. 112,561 $ 7,197
Becton, Dickinson & Co. 43,597 3,544
Biogen Idec, Inc. (a) 51,431 2,875
Boston Scientific Corp. (a) 243,834 2,997
Bristol-Myers Squibb Co. 351,338 7,213
C.R. Bard, Inc. 17,597 1,548
Cardinal Health, Inc. 64,557 3,330
Celgene Corp. (a) 77,318 4,938
CIGNA Corp. 48,796 1,727
Coventry Health Care, Inc. (a) 27,603 840
Covidien Ltd. 88,504 4,239
Eli Lilly & Co. 175,675 8,109
Express Scripts, Inc. (a) 44,699 2,804
Forest Laboratories, Inc. (a) 54,802 1,904
Genzyme Corp. (a) 48,492 3,492
Gilead Sciences, Inc. (a) 165,799 8,779
Hospira, Inc. (a) 28,503 1,143
Humana, Inc. (a) 31,507 1,253
IMS Health, Inc. 34,732 809
Intuitive Surgical, Inc. (a) 6,900 1,859
Johnson & Johnson 502,649 32,340
King Pharmaceuticals, Inc. (a) 39,792 417
Laboratory Corp. of America Holdings (a) 19,222 1,338
McKesson Corp. 48,655 2,720
Medco Health Solutions, Inc. (a) 89,568 4,228
Medtronic, Inc. 200,578 10,380
Merck & Co., Inc. 382,019 14,398
Millipore Corp. (a) 9,535 647
Mylan Laboratories Inc. (a) 51,709 624
Patterson Cos., Inc. (a) 21,594 635
Pfizer, Inc. 1,209,271 21,126
Quest Diagnostics, Inc. 28,100 1,362
Schering-Plough Corp. 288,655 5,684
St. Jude Medical, Inc. (a) 60,726 2,483
Stryker Corp. 43,389 2,728
Tenet Healthcare Corp. (a) 76,270 424
Thermo Fisher Scientific, Inc. (a) 75,524 4,209
UnitedHealth Group, Inc. 217,996 5,722
Varian Medical Systems, Inc. (a) 22,860 1,185
Watson Pharmaceuticals, Inc. (a) 17,346 471
Wellpoint, Inc. (a) 93,138 4,439
Wyeth 238,987 11,462
Zimmer Holdings, Inc. (a) 42,152 2,868
----------
235,705
----------
INDUSTRIALS -- 11.1%
3M Co. 126,372 8,794
Allied Waste Industries, Inc. (a) 60,230 760
Avery Dennison Corp. 18,988 834
Boeing Co. 133,788 8,793
Burlington Northern Santa Fe Corp. 52,382 5,232
Caterpillar, Inc. 109,379 8,074
CH Robinson Worldwide, Inc. 30,461 1,671
Cintas Corp. 25,088 665
Cooper Industries, Ltd. 32,034 1,265
See Notes to Financial Statements
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
INDUSTRIALS -- (CONTINUED)
CSX Corp. 71,638 $ 4,500
Cummins, Inc. 35,358 2,317
Danaher Corp. 45,086 3,485
Deere & Co. 77,737 5,607
Domtar Corp. (a) (c) 11 --
Dover Corp. 34,295 1,659
Eaton Corp. 28,795 2,447
Emerson Electric Co. 140,348 6,940
Equifax, Inc. 23,683 796
Expeditors International Washington, Inc. 37,320 1,605
FedEx Corp. 55,100 4,341
Fluor Corp. (a) 15,630 2,908
General Dynamics Corp. 71,661 6,034
General Electric Co. 1,782,233 47,568
Goodrich Co. 22,145 1,051
Honeywell International, Inc. 132,781 6,676
Illinois Tool Works, Inc. 72,471 3,443
Ingersoll-Rand Co. Class A 55,057 2,061
ITT Industries, Inc. 33,292 2,108
Jacobs Engineering Group, Inc. (a) 21,700 1,751
L-3 Communications Holdings, Inc. 22,303 2,027
Lockheed Martin Corp. 59,852 5,905
Manitowoc Co., Inc. 24,000 781
Masco Corp. 67,523 1,062
Monster Worldwide, Inc. (a) 22,609 466
Norfolk Southern Corp. 66,755 4,184
Northrop Grumman Corp. 60,811 4,068
PACCAR, Inc. 64,874 2,714
Pall Corp. 22,209 881
Parker-Hannifin Corp. 29,603 2,111
Pitney Bowes, Inc. 36,727 1,252
Precision Castparts Corp. 25,307 2,439
R.R. Donnelley & Sons Co. 38,309 1,137
Raytheon Co. 75,882 4,271
Robert Half International, Inc. 26,240 629
Rockwell Automation, Inc. 27,505 1,203
Rockwell Collins, Inc. 29,731 1,426
Ryder Systems, Inc. 9,821 677
Southwest Airlines Co. 128,486 1,675
Terex Corp. (a) 17,435 896
Textron, Inc. 45,239 2,168
Total System Services, Inc. 37,575 835
Tyco Electronics Ltd. 86,204 3,088
Tyco International Ltd. 87,761 3,514
Union Pacific Corp. 92,568 6,989
United Parcel Service, Inc. Class B 181,846 11,178
United Technologies Corp. 173,078 10,679
W.W. Grainger, Inc. 12,169 995
Waste Management, Inc. 88,439 3,335
----------
225,970
----------
INFORMATION TECHNOLOGY -- 15.5%
Adobe Systems, Inc. (a) 93,857 3,697
Advanced Micro Devices, Inc. (a) 114,986 670
MARKET
VALUE
SHARES (000)
---------- ----------
Affiliated Computer Services, Inc. Class A (a) 16,737 $ 895
Agilent Technologies, Inc. (a) 63,768 2,266
Akamai Technologies, Inc. (a) 29,424 1,024
Altera Corp. 52,854 1,094
Analog Devices, Inc. 50,269 1,597
Apple Computer, Inc. (a) 157,484 26,369
Applied Materials, Inc. 240,707 4,595
Autodesk, Inc. (a) 41,876 1,416
Automatic Data Processing, Inc. 92,817 3,889
BMC Software, Inc. (a) 35,721 1,286
Broadcom Corp. Class A (a) 78,159 2,133
CA, Inc. 68,199 1,575
CIENA Corp. (a) 14,529 337
Cisco Systems, Inc. (a) 1,055,219 24,544
Citrix Systems, Inc. (a) 33,467 984
Cognizant Technology Solutions Corp. Class A (a) 50,084 1,628
Computer Sciences Corp. (a) 25,944 1,215
Compuware Corp. (a) 41,450 395
Convergys Corp. (a) 20,035 298
Corning, Inc. 280,676 6,470
Dell, Inc. (a) 363,550 7,954
Electronic Arts, Inc. (a) 55,800 2,479
Electronic Data Systems Corp. 91,816 2,262
EMC Corp. (a) 366,084 5,378
Fiserv, Inc. (a) 29,952 1,359
Google, Inc. Class A (a) 41,490 21,841
Hewlett-Packard Co. 440,316 19,466
IAC (a) 34,889 673
Intel Corp. 1,022,956 21,973
International Business Machines Corp. 245,442 29,092
Intuit, Inc. (a) 58,463 1,612
Jabil Circuit, Inc. 39,951 656
Juniper Networks, Inc. (a) 92,093 2,043
KLA-Tencor Corp. 30,405 1,238
Lexmark International Group, Inc. Class A (a) 15,842 530
Linear Technology Corp. 40,863 1,331
LSI Logic Corp. (a) 112,662 692
MEMC Electronic Materials, Inc. (a) 40,878 2,516
Microchip Technology, Inc. 33,189 1,014
Micron Technology, Inc. (a) 142,362 854
Microsoft Corp. 1,431,835 39,390
Molex, Inc. 24,805 606
Motorola, Inc. 399,965 2,936
National Semiconductor Corp. 41,596 854
NetApp, Inc. (a) 61,157 1,325
Novell, Inc. (a) 68,720 405
Novellus Systems, Inc. (a) 20,030 424
NVIDIA Corp. (a) 100,756 1,886
Oracle Corp. (a) 707,762 14,863
Paychex, Inc. 58,038 1,815
PerkinElmer, Inc. 21,118 588
QLogic Corp. (a) 24,322 355
See Notes to Financial Statements
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
MARKET
VALUE
SHARES (000)
---------- ----------
INFORMATION TECHNOLOGY -- (CONTINUED)
QUALCOMM, Inc. 288,011 $ 12,779
SanDisk Corp. (a) 40,167 751
Sun Microsystems, Inc. (a) 144,741 1,575
Symantec Corp. (a) 152,663 2,954
Tellabs, Inc. (a) 73,830 343
Teradata Corp. (a) 33,520 776
Teradyne, Inc. (a) 27,649 306
Texas Instruments, Inc. 236,399 6,657
Unisys Corp. (a) 69,807 276
VeriSign, Inc. (a) 33,421 1,263
Waters Corp. (a) 16,965 1,094
Xerox Corp. 161,834 2,194
Xilinx, Inc. 52,602 1,328
Yahoo!, Inc. (a) 246,219 5,087
----------
316,170
----------
MATERIALS -- 4.3%
Air Products & Chemicals, Inc. 38,009 3,758
AK Steel Holding Corp. 20,000 1,380
Alcoa, Inc. 144,949 5,163
Allegheny Technologies, Inc. 17,528 1,039
Ashland, Inc. 10,700 516
Ball Corp. 17,562 838
Bemis Co., Inc. 17,262 387
Consol Energy, Inc. 32,073 3,604
Dow Chemical Co. 167,428 5,845
E.I. Du Pont de Nemours & Co. 160,412 6,880
Eastman Chemical Co. 14,204 978
Ecolab, Inc. 31,366 1,348
Freeport-McMoRan Copper & Gold, Inc. Class B 68,252 7,998
Hercules, Inc. 23,050 390
International Flavors & Fragrances, Inc. 14,331 560
International Paper Co. 76,311 1,778
Massey Energy Co. 14,300 1,341
MeadWestvaco Corp. 32,320 771
Monsanto Co. 97,955 12,385
Newmont Mining Corp. 80,406 4,194
Nucor Corp. 55,954 4,178
Pactiv Corp. (a) 23,915 508
Peabody Energy Corp. 48,324 4,255
PPG Industries, Inc. 29,871 1,714
Praxair, Inc. 55,711 5,250
Rohm & Haas Co. 21,706 1,008
Sealed Air Corp. 28,492 542
Sigma-Aldrich Corp. 23,834 1,284
Titanium Metals Corp. 16,600 232
United States Steel Corp. 20,978 3,876
Vulcan Materials Co. 19,361 1,157
Weyerhaeuser Co. 36,937 1,889
----------
87,046
----------
TELECOMMUNICATION SERVICES -- 3.3%
American Tower Corp. (a) 71,500 3,021
AT&T, Inc. 1,061,950 35,777
MARKET
VALUE
SHARES (000)
---------- ----------
CenturyTel, Inc. 20,441 $ 728
Citizens Communications Co. 60,384 685
Embarq Corp. 27,597 1,305
Fairpoint Communications, Inc. (c) 8 --
JDS Uniphase Corp. (a) 42,723 485
Qwest Communications International, Inc. 283,890 1,116
Sprint Nextel Corp. 504,565 4,793
Verizon Communications, Inc. 508,766 18,010
Windstream Corp. 79,613 982
----------
66,902
----------
UTILITIES -- 4.2%
AES Corp. (a) 117,495 2,257
Allegheny Energy, Inc. 30,759 1,541
Ameren Corp. 38,360 1,620
American Electric Power Co., Inc. 72,652 2,923
CenterPoint Energy, Inc. 57,611 925
CMS Energy Corp. 38,856 579
Consolidated Edison, Inc. 47,752 1,867
Constellation Energy Group, Inc. 31,414 2,579
Dominion Resources, Inc. 102,562 4,871
DTE Energy Co. 27,984 1,188
Duke Energy Corp. 224,120 3,895
Dynegy, Inc. (a) 82,690 707
Edison International 59,219 3,043
Entergy Corp. 34,098 4,108
Exelon Corp. 116,621 10,491
FirstEnergy Corp. 54,107 4,455
FPL Group, Inc. 72,421 4,749
Integrys Energy Group, Inc. 12,916 657
Nicor, Inc. 9,100 388
NiSource, Inc. 49,982 896
Pepco Holdings, Inc. 36,900 946
PG&E Corp. 64,726 2,569
Pinnacle West Capital Corp. 17,760 546
PPL Corp. 66,075 3,454
Progress Energy, Inc. 46,981 1,965
Public Service Enterprise Group, Inc. 90,124 4,139
Questar Corp. 30,268 2,150
Sempra Energy 43,786 2,472
Southern Co. 135,943 4,747
Southwestern Energy Co. (a) 61,200 2,914
Spectra Energy Corp. 111,598 3,207
TECO Energy, Inc. 35,651 766
Xcel Energy, Inc. 77,251 1,550
----------
85,164
----------
TOTAL COMMON STOCKS
(Cost $1,381,101,228) 1,995,129
----------
See Notes to Financial Statements
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
PAR MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
U.S. GOVERNMENT SECURITIES -- 0.1%
United States Treasury Bill
1.9% due 09/11/08 (d) (e) $ 2,936 $ 2,925
----------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $2,924,843) 2,925
----------
MARKET
SHARES VALUE
(000) (000)
---------- ----------
MONEY MARKET FUNDS -- 1.8%
AIM Short Term Investment Prime Portfolio 36,185 $ 36,185
Federated Money Market Obligations Trust 564 564
----------
TOTAL MONEY MARKET FUNDS
(Cost $36,749,196) 36,749
----------
TOTAL INVESTMENTS -- 99.5%
(identified cost $1,420,775,267)(f) 2,034,803
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.5% 10,846
----------
NET ASSETS -- 100.0% $2,045,649
==========
(a) Non-income producing security.
(b) Affiliated issuer. See table that follows for more information.
(c) Amount is less than $1,000.
(d) Security held as collateral in relation to initial margin requirements on
futures contracts.
(e) Rate represents annualized yield at date of purchase.
(f) Cost of investments shown approximates cost for federal income tax
purposes.
See Notes to Financial Statements
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
UNREALIZED
NUMBER OF DEPRECIATION
CONTRACTS (000)
--------- ------------
Schedule of Futures Contracts
S&P 500 Financial Futures Contracts (long) Expiration
Date 09/2008 791 $(2,706)
-------
Total unrealized depreciation on open futures
contracts purchased $(2,706)
=======
AFFILIATE TABLE
Income Earned Realized
Shares sold for the Gain on
Shares purchased for the Value at 6 months shares
Security Number of shares for the 6 months 6 months Number of shares 6/30/08 ended 6/30/08 sold
Description held at 12/31/07 ended 6/30/08 ended 6/30/08 held at 6/30/08 (000) (000) (000)
- ----------- ---------------- ---------------- ------------- ---------------- -------- ------------- --------
State Street Corp. 70,325 9,100 3,700 75,725 $4,846 $34 $59
See Notes to Financial Statements
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2008 (UNAUDITED)
(Amounts in thousands)
ASSETS
Investments in unaffiliated issuers at market (identified cost $1,417,431) $2,029,957
Investments in non-controlled affiliates at market (identified cost $3,344) (Note 4) 4,846
----------
Receivables: 2,034,803
Investment securities sold 9,502
Daily variation margin on futures contracts 40
Dividends and interest 2,763
----------
Total assets 2,047,108
LIABILITIES
Payables:
Investment securities purchased 1,380
Management fees (Note 4) 79
----------
Total liabilities 1,459
----------
NET ASSETS $2,045,649
==========
See Notes to Financial Statements.
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
(Amounts in thousands)
INVESTMENT INCOME
Dividend income - unaffiliated issuers $ 22,512
Dividend income - non-controlled affiliated issuer 34
Interest 700
---------
Total Investment Income 23,246
---------
EXPENSES
Management fees (Note 4) $ 495
---------
Total Expenses 495
---------
NET INVESTMENT INCOME 22,751
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments - unaffiliated issuers 16,145
Investments - non-controlled affiliated issuer 59
Futures contracts (3,936)
---------
12,268
Net change in net unrealized depreciation on:
Investments (318,954)
Futures contracts (3,381)
---------
(322,335)
---------
Net realized and unrealized loss (310,067)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $(287,316)
=========
See Notes to Financial Statements.
11
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
For the
Six Months Ended For the Year
June 30, 2008 Ended
(Unaudited) December 31, 2007
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 22,751 $ 53,117
Net realized gain on investments and futures contracts 12,268 169,211
Net change in net unrealized appreciation (depreciation) (322,335) (66,481)
---------- ----------
Net increase in net assets resulting from operations (287,316) 155,847
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions 159,368 328,812
Fair value of withdrawals (248,780) (765,322)
Withdrawals in-kind -- (63,656)
---------- ----------
Net decrease in net assets from capital transactions (89,412) (500,166)
---------- ----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS (376,728) (344,319)
NET ASSETS
Beginning of period 2,422,377 2,766,696
---------- ----------
End of period $2,045,649 $2,422,377
========== ==========
See Notes to Financial Statements.
12
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
Six Months
Ended Year Year Year Year Year
6/30/08 Ended Ended Ended Ended Ended
(Unaudited) 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) $2,045,649 $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% 0.045%
Net investment income 2.07%+ 1.96% 1.94% 1.84% 1.97% 1.74%
Portfolio turnover rate* 6%++ 12% 10% 8% 9% 12%
Total return (a) (11.98)%++ 5.49% 15.75% 4.87% 10.86% 28.62%
- ----------
* The portfolio turnover rate excludes in-kind security transactions.
+ Annualized
++ Not Annualized
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
13
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2008 (UNAUDITED)
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
Short-Term Tax Exempt 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 June
30, 2008, only the Portfolio, the State Street Money Market Portfolio, the State
Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt
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.
The Portfolio adopted Financial Accounting Standards Board Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, fair value is defined as the price that the portfolio would
receive upon selling an investment in a timely transaction to an independent
buyer in the principal or most advantageous market of the investment. Various
inputs are used in determining the value of the Fund's investments. FAS 157
established a three tier hierarchy of inputs to establish a classification of
fair value measurements and disclosure. The three tier hierarchy of inputs is
summarized below:
- Level 1 - quoted prices in active markets for identical securities
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit
risk, etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
14
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2008, in valuing
the Fund's assets carried at fair value:
INVESTMENTS IN OTHER FINANCIAL
VALUATION INPUTS SECURITIES INSTRUMENTS*
- ---------------- -------------- ---------------
Level 1 - Quoted Prices $1,995,129,310 $(2,705,707)
Level 2 - Other Significant Observable Inputs 39,674,039 --
Level 3 - Significant Unobservable Inputs -- --
-------------- -----------
TOTAL $2,034,803,349 $(2,705,707)
============== ===========
* Other financial instruments include futures contracts.
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.
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 June 30, 2008, 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 June 30, 2008, 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.
15
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
3. SECURITIES TRANSACTIONS
For the six months June 30, 2008, purchases and sales of investment securities,
excluding short-term investments, futures contracts, and contributions in-kind
and fair value of withdrawals, aggregated to $126,676,195 and $203,832,247,
respectively.
At June 30, 2008, the book cost of investments was $1,420,775,267 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $761,630,535 and
$147,602,453, respectively, resulting in net appreciation of $614,028,082 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 June 30, 2008 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.
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 any significant claims.
7. NEW ACCOUNTING PRONOUNCEMENTS
In March 2008, the Financial Accounting Standards board ("FASB") issued
Statement of Financial Accounting Standards No. 161, "Disclosures about
Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is
effective for fiscal years and interim periods beginning after November 15,
2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging
activities. Management is currently evaluating the impact the adoption of SFAS
161 will have on the Funds' financial statement disclosures.
16
STATE STREET EQUITY 500 INDEX PORTFOLIO
JUNE 30, 2008
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.
17
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
18
STATE STREET MASTER FUNDS
SEMI-ANNUAL REPORT
JUNE 30, 2008
(UNAUDITED)
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 January 1, 2008 to June 30,
2008.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Portfolio's actual return, and the
third column shows the dollar amount that would have been paid by an
investor who started with $1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses,
but that the expense ratio is unchanged. In this case- because the
return used is not the Portfolio's actual return- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
Portfolio's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Six Months Ended June 30, 2008
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2008 JUNE 30, 2008 PERIOD*
--------------- ------------- -------------
BASED ON ACTUAL PORTFOLIO RETURN
Money Market Portfolio $1,000.00 $1,016.60 $0.50
Tax Free Money Market Portfolio $1,000.00 $1,012.40 $0.50
U.S. Government Money Market Portfolio $1,000.00 $1,013.80 $0.65
Treasury Money Market Portfolio $1,000.00 $1,008.50 $0.65
Treasury Plus Money Market Portfolio $1,000.00 $1,011.10 $0.70
1
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2008 JUNE 30, 2008 PERIOD*
--------------- ------------- -------------
BASED ON HYPOTHETICAL (5% RETURN
BEFORE EXPENSES)
Money Market Portfolio $1,000.00 $1,024.37 $0.50
Tax Free Money Market Portfolio $1,000.00 $1,024.37 $0.50
U.S. Government Money Market Portfolio $1,000.00 $1,024.22 $0.65
Treasury Money Market Portfolio $1,000.00 $1,024.22 $0.65
Treasury Plus Money Market Portfolio $1,000.00 $1,024.17 $0.70
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted
expense ratio as of June 30, 2008 was as follows:
Money Market Portfolio 0.10%
Tax Free Money Market Portfolio 0.10%
U.S. Government Money Market Portfolio 0.13%
Treasury Money Market Portfolio 0.13%
Treasury Plus Money Market Portfolio 0.14%
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.
2
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ---------------------- -------------
Yankee Certificates of Deposit 45.4%
Repurchase Agreements 19.7
Commercial Paper 10.3
Euro Certificates of Deposit 9.6
Bank Notes 6.1
Medium Term Notes 4.8
Certificates of Deposit 2.0
Master Note 1.2
Promissory Notes 0.6
Other assets less liabilities 0.3
------
Total 100.00%
======
MATURITY LADDER JUNE 30, 2008
- --------------- -------------
0-3 Days 26.0%
4-90 Days 65.3
90+ Days 8.7
-----
Total 100.0%
=====
Average maturity 40 Days
* 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
JUNE 30, 2008 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- --------------------------------- -------- ---------- -------------- --------------
COMMERCIAL PAPER - 10.3%
BANK DOMESTIC - 4.7%
Bank of America Corp. 2.615% 10/02/2008 $ 100,000,000 $ 99,324,458
JPMorgan Chase & Co. 2.500% 08/12/2008 300,000,000 299,125,000
--------------
398,449,458
--------------
BANK FOREIGN - 1.6%
CBA (Delaware) Finance, Inc. 2.730% 07/03/2008 37,488,000 37,482,314
CBA (Delaware) Finance, Inc. 2.730% 07/07/2008 100,000,000 99,954,500
--------------
137,436,814
--------------
FINANCE CAPTIVE CONSUMER - 4.0%
General Electric Capital Corp. 2.830% 12/18/2008 350,000,000 345,322,639
--------------
TOTAL COMMERCIAL PAPER 881,208,911
--------------
CERTIFICATES OF DEPOSIT - 2.0%
BANK DOMESTIC - 2.0%
Citibank 2.980% 07/23/2008 175,000,000 175,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 175,000,000
--------------
YANKEE CERTIFICATES OF DEPOSIT - 45.4%
BANK FOREIGN - 45.4%
ABN AMRO Bank 2.640% 08/15/2008 250,000,000 250,001,552
Australia New Zealand Cayman 2.700% 07/17/2008 120,000,000 120,000,000
Banco Santander 2.750% 07/17/2008 100,000,000 100,000,000
Banco Santander 2.770% 08/12/2008 250,000,000 250,000,000
Bank of Nova Scotia 2.550% 07/15/2008 150,000,000 150,000,000
Bank of Nova Scotia 2.710% 07/03/2008 200,000,000 200,000,000
Barclays Bank PLC(a) 2.805% 07/14/2008 125,000,000 125,000,000
Barclays Bank PLC 3.150% 07/30/2008 100,000,000 100,000,000
BNP Paribas 2.710% 09/12/2008 300,000,000 300,000,000
BNP Paribas 2.710% 10/27/2008 100,000,000 100,000,000
Calyon NY 2.920% 07/07/2008 100,000,000 99,999,959
Dexia Credit Local NY 2.755% 07/14/2008 250,000,000 250,000,448
Fortis Bank New York 2.700% 09/12/2008 150,000,000 150,000,000
Lloyds Bank 2.610% 08/19/2008 100,000,000 100,001,352
Rabobank Nederland 2.630% 08/18/2008 350,000,000 350,000,000
Royal Bank of Scotland 2.690% 09/22/2008 300,000,000 300,003,427
Societe Generale NY 2.750% 10/22/2008 200,000,000 200,000,000
Societe Generale NY 2.850% 09/10/2008 100,000,000 100,000,000
Svenska Handelsbanken AB 2.705% 07/17/2008 100,000,000 100,000,221
Toronto Dominion Bank 2.740% 09/23/2008 200,000,000 200,000,000
UBS AG Stamford CT 2.810% 07/11/2008 100,000,000 100,000,000
See Notes to Financial Statements
4
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- --------------------------------- -------- ---------- -------------- --------------
YANKEE CERTIFICATES OF DEPOSIT (CONTINUED)
BANK FOREIGN (CONTINUED)
UBS AG Stamford CT 2.940% 07/03/2008 $ 250,000,000 $ 250,000,034
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 3,895,006,993
--------------
EURO CERTIFICATES OF DEPOSIT - 9.6%
BANK FOREIGN - 9.6%
Australia New Zealand Cayman 2.750% 09/16/2008 200,000,000 200,000,000
Credit Agricole SA 2.710% 09/02/2008 250,000,000 250,000,000
ING Bank Amsterdam 2.800% 07/14/2008 75,000,000 75,000,000
ING Bank Amsterdam 2.900% 07/07/2008 300,000,000 300,000,000
--------------
TOTAL EURO CERTIFICATES OF DEPOSIT 825,000,000
--------------
BANK NOTES - 6.1%
BANK DOMESTIC - 3.5%
Bank of America(b) 2.750% 09/15/2008 300,000,000 300,000,000
--------------
300,000,000
--------------
BANK FOREIGN - 2.6%
BNP Paribas(a)(b) 2.719% 08/19/2008 25,000,000 25,000,000
Lloyds TSB Group PLC(a)(b) 2.440% 07/07/2008 100,000,000 100,000,000
Svenska Handelsbanken(a)(b) 2.471% 07/21/2008 100,000,000 100,000,000
--------------
225,000,000
--------------
TOTAL BANK NOTES 525,000,000
--------------
MASTER NOTE - 1.2%
Goldman Sachs Group, Inc.(a)(c) 3.182% 07/21/2008 100,000,000 100,000,000
--------------
Total MASTER NOTE 100,000,000
--------------
MEDIUM TERM NOTES - 4.8%
BANK DOMESTIC - 2.0%
American Express Credit Corp.(a) 2.492% 07/21/2008 20,000,000 20,000,000
JPMorgan Chase & Co.(a) 2.449% 07/02/2008 50,000,000 50,000,000
Procter & Gamble International Funding SCA(a) 2.789% 08/19/2008 24,000,000 24,000,000
Wells Fargo Company(a) 2.631% 07/18/2008 50,000,000 50,000,000
Wells Fargo Company(a) 2.631% 07/18/2008 30,000,000 30,000,000
--------------
174,000,000
--------------
BANK FOREIGN - 2.8%
Alliance & Leicester PLC(a)(b) 2.493% 07/31/2008 35,000,000 35,000,000
Bank of Scotland PLC(a)(b) 2.448% 07/09/2008 25,000,000 25,000,000
Caja de Ahorros y Monte de Piedad de Madrid(a)(b) 2.968% 07/21/2008 30,000,000 30,000,000
National Australia Bank Ltd.(a)(b) 2.448% 07/07/2008 20,000,000 20,000,000
UniCredito Italiano Bank Ireland PLC(a)(b) 2.501% 07/15/2008 15,000,000 15,000,000
See Notes to Financial Statements
5
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST+
- --------------------------------- -------- ---------- -------------- --------------
MEDIUM TERM NOTES (CONTINUED)
BANK FOREIGN (CONTINUED)
Westpac Banking Corp.(a)(b) 2.440% 07/07/2008 $ 100,000,000 $ 100,000,000
Westpac Banking Corp.(a)(b) 2.471% 07/16/2008 15,000,000 15,000,000
--------------
240,000,000
--------------
TOTAL MEDIUM TERM NOTES 414,000,000
--------------
PROMISSORY NOTE - 0.6%
Goldman Sachs Group, Inc.(a)(c) 4.100% 07/15/2008 50,000,000 50,000,000
--------------
Total PROMISSORY NOTE 50,000,000
--------------
REPURCHASE AGREEMENTS - 19.7%
Bank of America Tri Party Repo, dated 06/30/08
(collateralized by Federal Home Loan Mortgage
Corporation, 0.000% due 12/05/08 valued at
$16,039,958); proceeds $15,726,005 2.300% 07/01/2008 15,725,000 15,725,000
Bank of America Tri Party Repo, dated 06/30/08
(collateralized by Federal National Mortgage
Associations, 5.500% due 06/01/33 valued at
$408,000,000); proceeds $400,027,778 2.500% 07/01/2008 400,000,000 400,000,000
Credit Suisse First Boston Tri Party Repo, dated
06/30/08 (collateralized by Corporate Notes, 5.250%
- 8.812% due 05/15/09 - 05/23/37 valued at
$78,520,429); proceeds $75,005,521 2.650% 07/01/2008 75,000,000 75,000,000
JP Morgan Chase Tri Party Repo, dated 06/30/08
(collateralized by Government National Mortgage
Association, 4.500% - 6.000% due 07/20/31 -
11/20/35, Federal National Mortgage Association,
2.983% - 7.000% due 07/01/16 - 05/01/38, and
Federal Home Loan Mortgage Corporation 3.021% -
22.120% due 11/01/10 - 04/01/38 valued at
$408,000,000); proceeds $400,030,000 2.700% 07/01/2008 400,000,000 400,000,000
Salomon Brothers Tri Party Repo, dated 06/30/08
(collateralized by Federal National Mortgage
Association, 6.000% due 11/01/36 -10/01/37 valued
at $408,003,280); proceeds $400,030,000 2.700% 07/01/2008 400,000,000 400,000,000
UBS Warburg Tri Party Repo, dated 06/30/08
(collateralized by Federal National Mortgage
Association, 3.500% - 12.500% due 07/01/08 -
06/01/48 valued at $408,004,734);
proceeds $400,030,556 2.750% 07/01/2008 400,000,000 400,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,690,725,000
--------------
TOTAL INVESTMENTS(d) - 99.7% 8,555,940,904
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% 26,863,984
--------------
NET ASSETS - 100.0% $8,582,804,888
==============
- ----------
(a) Floating Rate Note- Interest rate shown is rate in effect at June 30, 2008
with next reset date.
See Notes to Financial Statements
6
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
(b) 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.
(c) Security subject to restrictions on resale that has been deemed by the
Adviser to be illiquid. The Portfolio may not invest more than 10% of its
net assets in illiquid securities. At June 30, 2008, this security
represents 1.7% of net assets.
(d) Also represents the cost for federal tax purposes.
+ 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)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ---------------------- -------------
Health 22.3%
Education 21.7
General Obligations 17.2
Pre Refunded/Escrow to Maturity 6.0
Transportation 5.6
Utility 5.3
Electric Power 4.8
Housing Revenue 3.5
Industrial Revenue/Pollution Control Revenue 3.5
Portfolio Revenue 2.0
Public Agency 2.0
Airport 1.8
Water Revenue 1.6
Water & Sewer 1.5
Other Revenue 1.0
Municipals 0.2
-----
Total 100.0%
=====
MATURITY LADDER JUNE 30, 2008
- --------------- -------------
0-3 Days 77.3%
4-90 Days 1.3%
90+ Days 21.4
-----
Total 100.0%
=====
Average maturity 39 Days
* The Portfolio's composition will vary over time.
See Notes to Financial Statements
8
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 93.3%
ALABAMA - 1.7%
Lower Alabama Gas District Supply Revenue
Bonds, Series A, LIQ: Societe Generale(a) 3,800,000 1.40 07/03/2008 3,800,000
Montgomery Alabama Waterworks & Sanitary
Sewer Board Revenue Bonds, Series 881, INS:
FSA, LIQ: JP Morgan Chase Bank(a) 5,230,000 1.63 07/03/2008 5,230,000
------------
9,030,000
------------
ARIZONA - 3.3%
Austin Trust Various States Revenue Bonds,
Series 2008-1151, LIQ: Bank of America N.A.(a) 8,990,000 1.60 07/03/2008 8,990,000
City of Scottsdale Arizona, GO Unlimited(b) 3,000,000 5.50 07/01/2009 3,118,043
Salt Verde Financial Corporation Gas Revenue
Bonds, PUTTERS, Series 2267, LIQ: JP Morgan
Chase Bank(a) 5,200,000 1.60 07/03/2008 5,200,000
------------
17,308,043
------------
CALIFORNIA - 0.8%
California School Cash Reserve Program
Authority, COPs, Series A, LOC: Bank NA 2,000,000 3.00 07/06/2009 2,027,020
Metropolitan Water District of Southern California
Waterworks Revenue Bonds, Series A, SPA:
Landesbank Baden-Wuerttemberg(a) 2,165,000 1.28 07/03/2008 2,165,000
------------
4,192,020
------------
COLORADO - 5.9%
City of Colorado Springs Colorado Utilities
Revenue Bonds, Sub Lien Improvement,
Series A, SPA: Dexia Credit Local(a) 18,500,000 1.50 07/03/2008 18,500,000
City of Colorado Springs Colorado Utilities
Revenue Bonds, Sub Lien, Series A, SPA: Dexia
Credit Local(a) 3,925,000 1.50 07/03/2008 3,925,000
Southern Ute Indian Tribe of Southern Ute Indian
Reservation Revenue Bonds(a) 8,200,000 1.55 07/03/2008 8,200,000
------------
30,625,000
------------
CONNECTICUT - 4.0%
Connecticut State HEFA Revenue Bonds, Yale
University, Series U2(a) 10,500,000 1.27 07/02/2008 10,500,000
State of Connecticut, GO Unlimited, Series A 10,000,000 2.25 04/15/2009 10,047,476
------------
20,547,476
------------
See Notes to Financial Statements
9
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
DELAWARE - 0.3%
Delaware State EDA, Hospital Billing, Series A,
LOC: JP Morgan Chase Bank(a) 1,500,000 1.62 07/02/2008 1,500,000
------------
DISTRICT OF COLUMBIA - 1.8%
District of Columbia Revenue Bonds, ROCs RR II
R-11247, INS: BHAC-CR MBIA, LIQ: Citibank
N.A.(a) 9,500,000 1.58 07/03/2008 9,500,000
------------
FLORIDA - 3.6%
Austin Trust Various States, COPs,
Series 2007-138, INS: Assured Guaranty
AMBAC, LIQ: Bank of America N.A.(a) 9,900,000 1.60 07/03/2008 9,900,000
Jacksonville Florida Health Facilities Authority
Hospital Revenue Bonds, Baptist Medical -
RNKT, LOC: Bank of America N.A.(a) 3,500,000 2.50 07/01/2008 3,500,000
Orlando Florida Utilities Commission Water &
Electric Revenue Bonds, Series B, SPA: Suntrust
Bank(a) 5,400,000 1.52 07/02/2008 5,400,000
------------
18,800,000
------------
GEORGIA - 6.0%
Hall County Gainesville Georgia Hospital
Authority Revenue Bonds, ANTIC Certificates,
Northeast Health, Series B, INS: MBIA, SPA:
Landesbank Baden-Wuerttemberg(a) 10,000,000 8.75 07/02/2008 10,000,000
Municipal Electric Authority Georgia, Gen C
Rmkt, INS: GO of Participants, LOC:
Bayerische Landesbank(a) 1,500,000 1.50 07/02/2008 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 1.50 07/02/2008 7,800,000
Roswell Georgia Housing Authority Multifamily
Revenue Bonds, Chambrel Roswell, INS: Fannie
Mae, LIQ: Fannie Mae(a) 11,980,000 1.56 07/03/2008 11,980,000
------------
31,280,000
------------
ILLINOIS - 6.4%
Chicago Illinois Board of Education, GO
Unlimited, Series D, INS: FSA, SPA: Dexia
Credit Local(a) 2,000,000 1.50 07/03/2008 2,000,000
Chicago Illinois Board of Education, Series C, GO,
INS: FSA, SPA: Dexia Public Finance(a) 1,950,000 1.53 07/03/2008 1,950,000
See Notes to Financial Statements
10
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
ILLINOIS (CONTINUED)
City of Chicago Illinois, Neighborhoods Alive 21,
Class B, INS: MBIA, SPA: Depfa Bank PLC(a) 5,000,000 7.65 07/03/2008 5,000,000
Illinois Development Finance Authority Revenue
Bonds, Chicago Educational TV Assignment,
Series A, LOC: Lasalle Bank N.A.(a) 1,900,000 1.80 07/02/2008 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 1.55 07/02/2008 8,500,000
Illinois Development Finance Authority Revenue
Bonds, Evanston Northwestern, Class C, SPA:
Bank One N.A.(a) 830,000 1.55 07/03/2008 830,000
Illinois Development Finance Authority Revenue
Bonds, World Communications, Inc., LOC:
Lasalle Bank N.A.(a) 1,500,000 1.55 07/02/2008 1,500,000
Illinois Finance Authority Revenue Bonds,
Northwestern University, Series B(a) 9,800,000 1.42 07/02/2008 9,800,000
Lake County Illinois Community Consolidated
School District No 50-Woodland, Series A, GO
Unlimited, INS: FGIC(b) 1,760,000 6.00 12/01/2008 1,807,608
------------
33,287,608
------------
INDIANA - 1.6%
Delaware County Hospital Authority Revenue
Bonds, Cardinal Health Systems Obligation,
INS: AMBAC, LIQ: FAC-Bank One Indiana(a) 4,200,000 7.75 07/02/2008 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 1.55 07/02/2008 4,200,000
------------
8,400,000
------------
LOUISIANA - 2.6%
City of New Orleans Louisiana, ROCs RR II,
Series R-12151, GO Unlimited, INS: AGC-ICC-
FGIC, LIQ: Citibank N.A.(a) 11,880,000 1.57 07/03/2008 11,880,000
Louisiana State Offshore Terminal Authority Deep
Water Port Revenue Bond, Series B, LOC: Bank
One N.A.(a) 1,500,000 1.55 07/02/2008 1,500,000
------------
13,380,000
------------
See Notes to Financial Statements
11
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
MAINE - 1.2%
State of Maine, GO Unlimited 6,000,000 4.00 05/15/2009 6,119,698
------------
MARYLAND - 1.7%
Maryland State Economic Development
Corporation Revenue Bonds, Howard Hughes
Medical Institution, Series B(a) 3,000,000 1.30 07/02/2008 3,000,000
Maryland State Health & Higher Educational
Facilities Authority Revenue Bonds, University
of Maryland Medical System, Class A, LOC:
Wachovia Bank N.A.(a) 6,000,000 1.47 07/03/2008 6,000,000
------------
9,000,000
------------
MASSACHUSETTS - 14.3%
Austin Trust Various States Revenue Bonds,
Series 2007-1040, INS: FSA, LIQ: Bank of
America N.A.(a) 5,000,000 1.57 07/03/2008 5,000,000
Commonwealth of Massachusetts, GO Unlimited,
Series C, INS: AMBAC, SPA: Bank of America
N. A.(a) 7,900,000 1.90 07/03/2008 7,900,000
Massachusetts Bay Transportation Authority
Revenue Bonds, Series A, INS: FGIC(b) 14,520,000 5.88 03/01/2009 15,063,950
Massachusetts State HEFA Revenue Bonds, Havard
University, Series GG-1(a) 2,700,000 1.18 07/03/2008 2,700,000
Massachusetts State HEFA Revenue Bonds,
Museum of Fine Arts, Series A1, SPA: Bank of
America N.A.(a) 23,000,000 2.45 07/01/2008 23,000,000
Massachusetts State HEFA Revenue Bonds, Partner
Healthcare System, Series D-3, INS: GO of
Institution, SPA: JP Morgan Chase Bank(a) 18,545,000 1.46 07/03/2008 18,545,000
Massachusetts State Water Resources Authority
Revenue Bonds, Series A, INS: FSA(b) 2,400,000 4.75 08/01/2008 2,429,137
------------
74,638,087
------------
MICHIGAN - 1.8%
Michigan State Building Authority Revenue
Bonds, ROCs RR-II-R-717PB, INS: FSA, LIQ:
PB Capital Corporation(a) 9,430,000 1.60 07/03/2008 9,430,000
------------
MINNESOTA - 1.6%
County of Washington Minnesota, Series A, GO
Unlimited 1,080,000 5.00 02/01/2009 1,098,726
See Notes to Financial Statements
12
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
MINNESOTA (CONTINUED)
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 2.62 07/03/2008 4,800,000
State of Minnesota, GO 2,490,000 5.00 08/01/2008 2,493,263
------------
8,391,989
------------
MISSOURI - 1.6%
Kansas City Industrial Development Authority
Revenue Bonds, Oak Street West Student, LOC:
Bank of America(a) 8,550,000 1.54 07/02/2008 8,550,000
------------
NEW JERSEY - 0.3%
Essex County New Jersey Improvement Authority
Revenue Bonds, Pooled Governmental Loan
Program, LOC: First Union National Bank(a) 1,700,000 1.50 07/02/2008 1,700,000
------------
NEW YORK - 1.7%
City of New York New York, Subseries J2-RMKT,
LOC: Westdeutsche Landesbank(a) 7,800,000 1.48 07/02/2008 7,800,000
New York State Local Government Assistance
Corporation Revenue Bonds, Sub Lien,
Series A-2, INS: GO of Corporation 1,250,000 5.00 04/01/2009 1,280,045
------------
9,080,045
------------
NORTH CAROLINA - 1.0%
Charlotte North Carolina COPs, Governmental
Facilities, Series F, SPA: Bank of America
N.A.(a) 2,000,000 1.55 07/03/2008 2,000,000
City of Winston-Salem North Carolina Water and
Sewer Systems Revenue Bonds, Series C, SPA:
Dexia Credit Local(a) 1,970,000 1.55 07/02/2008 1,970,000
Mecklenburg County North Carolina, GO
Unlimited, Series C 950,000 5.00 02/01/2009 968,071
------------
4,938,071
------------
OHIO - 4.0%
Allen County Ohio Hospital Facilities Revenue
Bonds, Catholic Healthcare Partners, Series C,
LOC: Wachovia Bank N. A.(a) 2,680,000 1.70 07/01/2008 2,680,000
See Notes to Financial Statements
13
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
OHIO (CONTINUED)
Butler County Ohio Healthcare Facilities Revenue
Bonds, IMPT-Lifesphere Project, LOC: U.S.
Bank NA(a) 1,400,000 1.48 07/03/2008 1,400,000
Cleveland Cuyahoga County Ohio Port Authority
Revenue Bonds, Euclid/93rd Garage Office,
LOC: Fifth Third Bank(a) 995,000 1.51 07/02/2008 995,000
Cuyahoga County Ohio Revenue Bonds, Cleveland
Clinic, Subseries B1, SPA: JP Morgan Chase
Bank(a) 11,200,000 1.70 07/01/2008 11,200,000
Ohio State Higher Educational Facility
Commission Revenue Bonds, University
Hospitals Health System, Series C, LOC: Wells
Fargo Bank N.A.(a) 1,000,000 1.43 07/02/2008 1,000,000
Ohio State University General Receipts, Series B(a) 3,500,000 1.37 07/02/2008 3,500,000
------------
20,775,000
------------
OREGON - 0.3%
Oregon State, Series 73 G, SPA: JP Morgan Chase
Bank(a) 1,500,000 1.40 07/02/2008 1,500,000
------------
PENNSYLVANIA - 5.3%
Adams County Pennsylvania Industrial
Development Authority Revenue Bonds,
Wellspan Properties INC, INS: AMBAC, SPA:
Dexia Credit Local(a)(c) 9,555,000 8.25 07/03/2008 9,555,000
City of Philadelphia Pennsylvania Gas Works
Revenue Bonds, Series B, INS: FSA(b) 1,000,000 5.00 07/01/2008 1,011,193
City of Philadelphia Pennsylvania Gas Works
Revenue Bonds, Sixth Series, INS: FSA(a) 2,000,000 1.50 07/03/2008 2,000,000
Erie Pennsylvania Water Authority Revenue
Bonds, Series A, INS: FSA, SPA: JP Morgan
Chase Bank(a) 1,000,000 1.50 07/03/2008 1,000,000
Geisinger Authority Pennsylvania Health System
Revenue Bonds, Series C, SPA: PNC Bank
N.A.(a) 8,500,000 1.65 07/01/2008 8,500,000
Pennsylvania State Turnpike Commission Turnpike
Revenue Bonds, Series A-2, SPA: Landesbank
Baden-Wuerttemberg(a) 1,400,000 1.55 07/02/2008 1,400,000
Washington County Pennsylvania Authority
Revenue Bonds, University of Pennsylvania(a) 4,000,000 1.35 07/03/2008 4,000,000
------------
27,466,193
------------
See Notes to Financial Statements
14
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
PUERTO RICO - 0.6%
Puerto Rico Highway & Transportation Authority
Revenue Bonds, Series H, INS: AMBAC, SPA:
Bank of America N. A.(a) 3,000,000 4.00 07/03/2008 3,000,000
------------
SOUTH CAROLINA - 3.3%
Greenville County South Carolina School District
Installment Revenue Bonds, Stars 2007-048,
LIQ: BNP Paribas(a) 7,375,000 1.53 07/03/2008 7,375,000
South Carolina Transportation Infrastructure Bank
Revenue Bonds, Series 1283, INS: AMBAC,
LIQ: JP Morgan Chase Bank(a) 9,525,000 1.63 07/03/2008 9,525,000
------------
16,900,000
------------
TENNESSEE - 1.0%
Shelby County Tennessee Health Educational &
Housing Facilities Board Hospital Revenue
Bonds, PUTTERs, Series 254, LIQ: JP Morgan
Chase Bank(a) 4,995,000 1.60 07/03/2008 4,995,000
------------
TEXAS - 9.1%
ABN AMRO Munitops Certificate Trust Revenue
Bonds, Series 2006-6, INS: AMBAC, SPA: Bank
of America N. A.(a)(c) 10,015,000 3.05 07/03/2008 10,015,000
Austin County Texas Industrial Development Corp
Revenue Bonds, Justin Industries, Inc. Project,
LOC: Bank One N.A.(a) 3,500,000 1.58 07/02/2008 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 7.75 07/03/2008 1,400,000
City of Garland Texas, GO Limited(b) 5,000,000 5.75 02/15/2009 5,140,441
Denton Texas Independent School District, School
Building, Series B, INS: PSF-GTD, SPA: Bank
of America N.A.(a) 1,000,000 1.55 07/03/2008 1,000,000
Harris County Texas, GO 2,215,000 5.00 10/01/2008 2,223,453
State of Texas, Public Finance Authority, Series B,
GO 1,040,000 4.00 10/01/2008 1,042,035
Texas A&M University Revenue Bonds, Fing
Systems(b) 4,000,000 5.38 05/15/2009 4,135,905
Texas State Transportation Commission Revenue
Bonds, First Tier 13,000,000 5.00 04/01/2009 13,319,341
University of Texas Permanent University
Fund Revenue Bonds, INS: PUFG(b) 1,000,000 5.25 07/01/2008 1,012,394
See Notes to Financial Statements
15
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
------------ ---- ---------- ------------
TEXAS (CONTINUED)
University of Texas, University Revenue Bonds,
Financing Systems, Series A(a) 4,500,000 1.25 07/02/2008 4,500,000
------------
47,288,569
------------
UTAH - 0.3%
Murray City Utah Hospital Revenue Bonds, IHC
Health Services, Inc., Series A, INS: J.P. Morgan
Securities(a) 1,500,000 1.45 07/03/2008 1,500,000
------------
VIRGINIA - 1.9%
County of Chesterfield Virginia, Public
Improvements, GO Unlimited 2,160,000 4.00 01/01/2009 2,184,566
Norfolk Virginia Economic Development Authority
Revenue Bonds, Bon Secours Heath, Series A,
INS: MBIA, SPA: Landesbank Baden-
Wuerttemberg(a) 6,600,000 8.75 07/02/2008 6,600,000
Virginia College Building Authority Educational
Facilities Revenue Bonds, 21st Century College
and Equipment, Series B 1,000,000 5.00 02/01/2009 1,018,153
------------
9,802,719
------------
WASHINGTON - 2.0%
Port Vancouver Washington Revenue Bonds,
United Grain Corporation, Series 84A, LOC:
Bank of America N.A.(a) 2,000,000 1.55 07/02/2008 2,000,000
Seattle Washington Water Systems Revenue Bonds,
Series A, LOC: Bayerische Landesbank(a) 400,000 1.53 07/02/2008 400,000
Washington State Higher Education Facilities
Authority Revenue Bonds, Whitman College
Project, SPA: JP Morgan Chase Bank(a) 8,000,000 1.55 07/03/2008 8,000,000
------------
10,400,000
------------
WISCONSIN - 2.3%
University Hospitals & Clinics Authority Revenue
Bonds, Series B, INS: GO of Authority, LOC:
U.S. Bank N.A.(a) 1,000,000 1.70 07/01/2008 1,000,000
Wisconsin State HEFA Revenue Bonds, Ascension
Health, Series D 6,200,000 1.75 11/15/2008 6,200,000
See Notes to Financial Statements
16
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
PRINCIPAL DATE
AMOUNT/ RATE OF VALUE
SHARES % MATURITY $
------------ ---- ---------- ------------
WISCONSIN (CONTINUED)
Wisconsin State HEFA Revenue Bonds, Gundersen
Lutheran, Series A, LOC: Wells Fargo Bank
N.A.(a) 5,000,000 1.53 07/03/2008 5,000,000
------------
12,200,000
------------
Total Short-Term Tax-Exempt Obligations 485,525,518
------------
MONEY MARKET FUNDS - 6.6%
Clark County Nevada Money Market Fund 4,000,000 4,000,000
Dreyfus Tax Exempt Cash Management Fund 30,237,280 30,237,280
------------
Total Money Market Funds (at net asset value) 34,237,280
------------
TOTAL INVESTMENTS(d) - 99.9% 519,762,798
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% 624,277
------------
NET ASSETS - 100.0% $520,387,075
============
(a) Floating Rate Note- Interest rate shown is rate in effect at June 30, 2008
with next reset date.
(b) Date shown is pre refunded date.
(c) Security subject to restrictions on resale under federal securities laws,
which may only be resold upon registration under the 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.
(d) Also represents the cost for federal tax purposes.
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 Educational 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
See Notes to Financial Statements
17
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ----------------------- -------------
U.S. Government Securities 66.4%
Repurchase Agreements 33.6
Liabilities less cash and other assets 0.0
-----
Total 100.0%
=====
MATURITY LADDER JUNE 30, 2008
- --------------- -------------
0-3 Days 33.6%
4-90 Days 66.4%
90+ Days 0.0
-----
Total 100.0%
=====
Average maturity 31 Days
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
See Notes to Financial Statements
18
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ --------- ---------- ------------ ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 66.4%
Fannie Mae Discount Notes(a) 2.055% 07/09/2008 $ 79,000,000 $ 78,963,923
Fannie Mae Discount Notes(a) 2.000% 07/30/2008 80,000,000 79,871,111
Fannie Mae Discount Notes(a) 2.030% 07/30/2008 20,005,000 19,972,286
Fannie Mae Discount Notes(a) 2.060% 08/01/2008 45,000,000 44,920,175
Fannie Mae Discount Notes(a) 2.070% 08/01/2008 25,000,000 24,955,438
Fannie Mae Discount Notes(a) 2.105% 08/08/2008 23,800,000 23,747,495
Fannie Mae Discount Notes(a) 2.350% 09/10/2008 70,483,000 70,156,331
Federal Home Loan Bank(b) 2.664% 09/17/2008 50,000,000 50,011,660
Federal Home Loan Bank(b) 2.575% 08/07/2008 65,000,000 65,000,000
Federal Home Loan Bank Discount Notes(a) 2.000% 08/01/2008 50,000,000 49,913,889
Federal Home Loan Bank Discount Notes(a) 2.220% 08/27/2008 19,220,000 19,152,442
Federal Home Loan Bank Discount Notes(a) 2.260% 08/29/2008 44,000,000 43,837,029
Federal Home Loan Bank Discount Notes(a) 2.330% 08/29/2008 33,000,000 32,873,986
Federal Home Loan Bank Discount Notes(a) 2.090% 09/03/2008 42,201,000 42,044,200
Freddie Mac(b) 2.639% 09/26/2008 70,000,000 70,057,222
Freddie Mac Discount Notes(a) 2.060% 07/14/2008 40,000,000 39,970,244
Freddie Mac Discount Notes(a) 2.070% 07/14/2008 61,000,000 60,954,402
Freddie Mac Discount Notes(a) 2.060% 08/08/2008 31,000,000 30,932,592
Freddie Mac Discount Notes(a) 2.130% 08/18/2008 92,500,000 92,237,300
Freddie Mac Discount Notes(a) 2.410% 09/15/2008 30,000,000 29,847,367
Freddie Mac Discount Notes(a) 2.470% 09/22/2008 16,700,000 16,604,898
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 986,023,990
------------
REPURCHASE AGREEMENTS - 33.6%
ABN AMRO Inc. Tri Party Repo, dated 06/30/08
(collateralized by a Federal National Mortgage
Association, 3.150% due 05/06/10, a Federal
Home Loan Bank, 5.250% due 05/21/09 and a
Federal Home Loan Mortgage Corporation,
0.000% due 07/02/08 valued at $178,500,124);
proceeds $175,012,639 2.600% 07/01/2008 175,000,000 175,000,000
Bank of America Tri Party Repo, dated 06/30/08
(collateralized by a Federal Home Loan Bank,
1.900% due 03/20/09 valued at $49,866,471);
proceeds $48,888,123 2.300% 07/01/2008 48,885,000 48,885,000
Credit Suisse First Boston Tri Party Repo, dated
06/30/08 (collateralized by a Federal National
Mortgage Association, 0.000% due 05/01/09 and
Strip Principals, 0.000% - 6.000% due 08/15/08
- 05/15/14 valued at $51,002,831); proceeds
$50,003,472 2.500% 07/01/2008 50,000,000 50,000,000
Goldman Sacs Tri Party Repo, dated 06/30/08
(collateralized by a U.S. Treasury Note,
7.250% due 08/15/22 valued at
$178,500,043); proceeds $175,011,667 2.400% 07/01/2008 175,000,000 175,000,000
UBS Warburg Tri Party Repo, dated 06/30/08
(collateralized by Resolution Funding Strips,
0.000% due 07/15/12 - 10/15/16 valued at
$51,002,342); proceeds $50,003,681 2.650% 07/01/2008 50,000,000 50,000,000
------------
See Notes to Financial Statements
19
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- -------- --------- --------------
TOTAL REPURCHASE AGREEMENTS 498,885,000
--------------
TOTAL INVESTMENTS(C) - 100.0% 1,484,908,990
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.00% 175,386
--------------
NET ASSETS - 100.0% $1,485,084,376
==============
(a) Discount rate at time of purchase.
(b) Variable Rate Security - Interest Rate is in effect as of June 30, 2008
with next reset date.
(c) Also represents the cost for federal tax purposes.
See Notes to Financial Statements
20
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ---------------------- -------------
U.S. Treasury Obligations 100.0%
Liabilities less cash and other assets 0.0
-----
Total 100.0%
=====
MATURITY LADDER JUNE 30, 2008
- --------------- -------------
0-3 Days 13.0%
4-90 Days 87.0%
90+ Days 0.0
-----
Total 100.0%
=====
Average maturity 26 Days
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
21
STATE STREET TREASURY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST
- --------------------------------- -------- ---------- ----------- ------------
U.S. TREASURY OBLIGATIONS - 100.0%
United States Treasury Bill 1.735% 07/03/2008 $25,103,000 $ 25,100,580
United States Treasury Bill 1.760% 07/03/2008 60,000,000 59,994,133
United States Treasury Bill 1.860% 07/03/2008 31,242,000 31,238,772
United States Treasury Bill 1.550% 07/10/2008 30,205,000 30,193,295
United States Treasury Bill 1.685% 07/10/2008 25,000,000 24,989,469
United States Treasury Bill 1.880% 07/10/2008 50,000,000 49,976,500
United States Treasury Bill 1.880% 07/10/2008 50,000,000 49,983,688
United States Treasury Bill 1.895% 07/10/2008 25,000,000 24,988,156
United States Treasury Bill 1.445% 07/17/2008 15,095,000 15,085,473
United States Treasury Bill 1.220% 07/17/2008 34,129,000 34,110,495
United States Treasury Bill 1.710% 07/17/2008 45,000,000 44,965,800
United States Treasury Bill 1.720% 07/17/2008 75,000,000 74,942,667
United States Treasury Bill 1.820% 07/17/2008 25,000,000 24,979,778
United States Treasury Bill 1.700% 07/24/2008 30,000,000 29,967,417
United States Treasury Bill 1.730% 07/24/2008 25,000,000 24,972,368
United States Treasury Bill 1.740% 07/24/2008 16,555,000 16,536,596
United States Treasury Bill 1.770% 07/24/2008 30,000,000 29,966,075
United States Treasury Bill 1.810% 07/24/2008 25,000,000 24,971,090
United States Treasury Bill 1.848% 08/07/2008 25,000,000 24,954,264
United States Treasury Bill 1.720% 08/07/2008 20,000,000 19,964,644
United States Treasury Bill 1.762% 08/14/2008 20,000,000 19,956,538
United States Treasury Bill 1.600% 08/21/2008 25,000,000 24,943,333
United States Treasury Bill 1.640% 08/28/2008 25,000,000 24,933,944
United States Treasury Bill 1.660% 09/04/2008 20,000,000 19,940,056
United States Treasury Bill 1.815% 09/04/2008 15,000,000 14,950,844
United States Treasury Bill 1.736% 09/18/2008 16,490,000 16,428,302
United States Treasury Bill 1.750% 09/18/2008 20,000,000 19,923,194
United States Treasury Bill 1.720% 09/25/2008 20,000,000 19,917,822
United States Treasury Bill- When Issued 1.840% 07/31/2008 25,000,000 24,962,865
United States Treasury Bill- When Issued 1.700% 07/31/2008 20,000,000 19,971,667
United States Treasury Bill- When Issued 1.805% 07/31/2008 25,000,000 24,962,396
------------
TOTAL U.S. TREASURY OBLIGATIONS 892,772,221
------------
TOTAL INVESTMENTS(a) - 100.0% 892,772,221
LIABILITIES IN EXCESS OF ASSETS - 0.00% (143,974)
------------
NET ASSETS - 100.0% $892,628,247
============
(a) Also represents the cost for federal tax purposes.
See Notes to Financial Statements
22
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
JUNE 30,
PORTFOLIO COMPOSITION* 2008
- ---------------------- --------
U.S. Treasury Obligations 51.9%
U.S. Government Securities 0.0
Repurchase Agreements 48.1
Liabilities less cash and other assets 0.0
-----
Total 100.0%
=====
JUNE 30,
MATURITY LADDER 2008
- --------------- --------
0-3 Days 63.1%
4-90 Days 36.9%
90+ Days 0.0
-----
Total 100.0%
=====
Average maturity 7 Days
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
23
STATE STREET TREASURY PLUS PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2008 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST
- --------------------------------- -------- ---------- ------------ ------------
U.S. TREASURY OBLIGATIONS - 51.9%
United States Treasury Bill 1.155% 07/03/2008 $ 75,000,000 $ 74,995,187
United States Treasury Bill 1.380% 07/10/2008 55,000,000 54,981,025
United States Treasury Bill 1.500% 07/10/2008 20,000,000 19,992,500
United States Treasury Bill 1.450% 07/17/2008 75,000,000 74,951,667
United States Treasury Bill 1.495% 07/24/2008 35,000,000 34,966,570
------------
TOTAL U.S. TREASURY OBLIGATIONS 259,886,949
------------
REPURCHASE AGREEMENTS - 48.1%
Deutsche Tri Party Repo, dated 06/30/08
(collateralized by a U.S. Treasury
Bill, 0.000% due 07/03/08 and a U.S.
Treasury Strip, 0.000% due 02/15/16
valued at $102,000,001); proceeds
$100,004,861 1.750% 07/01/2008 100,000,000 100,000,000
Fortis Tri Party Repo, dated 06/30/08
(collateralized by a U.S. Treasury
Note, 8.000% due 11/15/20 valued at
$15,300,074); proceeds $15,000,750 1.800% 07/01/2008 15,000,000 15,000,000
HSBC Tri Party Repo, dated 06/30/08
(collateralized by a Resolution
Funding Strip, 0.000% due 01/15/13
valued at $15,300,285);
proceeds $15,000,708 1.700% 07/01/2008 15,000,000 15,000,000
ING Tri Party Repo, dated 06/30/08
(collateralized by a U.S. Treasury
Bond, 8.000% due 11/15/21 valued at
$15,302,670); proceeds $15,000,771 1.850% 07/01/2008 15,000,000 15,000,000
Morgan Stanley Tri Party Repo, dated
06/30/08 (collateralized by U.S.
Treasury Notes, 4.250% due 08/15/14 -
11/15/14 valued at $102,928,203);
proceeds 95,969,585 1.720% 07/01/2008 95,965,000 95,965,000
------------
TOTAL REPURCHASE AGREEMENTS 240,965,000
------------
TOTAL INVESTMENTS(a) - 100.0% 500,851,949
LIABILITIES IN EXCESS OF ASSETS - 0.00% (80,221)
------------
NET ASSETS - 100.0% $500,771,728
============
(a) Also represents the cost for federal tax purposes.
See Notes to Financial Statements
24
STATE STREET MASTER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2008 (UNAUDITED)
U.S.
TAX FREE GOVERNMENT TREASURY MONEY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ -------------- -------------- -------------
ASSETS
Investments in unaffiliated
issuers, at amortized cost
(Note 2) $6,865,215,904 $519,762,798 $ 986,023,990 $892,772,221 $259,886,949
Repurchase Agreements (cost
$1,690,725,000, $0,
$498,885,000, $0 and
$240,965,000, respectively)
(Note 2) 1,690,725,000 -- 498,885,000 -- 240,965,000
-------------- ------------ -------------- ------------ ------------
8,555,940,904 519,762,798 1,484,908,990 892,772,221 500,851,949
Cash 288 -- 279 1,142 282
Receivables:
Investments sold -- 277,762 -- -- --
Interest receivable 27,087,888 2,418,473 367,754 -- 11,675
Receivable from adviser (Note 3) 162,265 14,901 -- -- --
Miscellaneous assets 512,367 816 -- -- --
Prepaid expense 21,052 14,192 9,077 7,183 7,012
-------------- ------------ -------------- ------------ ------------
Total assets 8,583,724,764 522,488,942 1,485,286,100 892,780,546 500,870,918
-------------- ------------ -------------- ------------ ------------
LIABILITIES
Payables:
Investments purchased -- 2,027,020 -- -- --
Management fee (Note 3) 731,948 40,106 126,944 86,461 42,367
Administration, custody and
transfer agent fees (Note 3) 150,737 7,941 27,410 17,881 9,041
Professional fees 24,331 24,609 34,083 34,600 34,447
Trustee's fees (Note 4) 95 -- -- -- --
Accrued expenses 12,765 2,191 13,287 13,357 13,335
-------------- ------------ -------------- ------------ ------------
Total liabilities 919,876 2,101,867 201,724 152,299 99,190
-------------- ------------ -------------- ------------ ------------
NET ASSETS $8,582,804,888 $520,387,075 $1,485,084,376 $892,628,247 $500,771,728
============== ============ ============== ============ ============
See Notes to Financial Statements
25
STATE STREET MASTER FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
U.S.
TAX FREE GOVERNMENT TREASURY MONEY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ -------------- -------------- -------------
INVESTMENT INCOME
Interest $ 136,803,834 $ 6,472,991 $ 21,534,149 $ 7,899,752 $ 6,096,588
-------------- ------------ -------------- ------------ ------------
EXPENSES
Management fees (Note 3) 4,079,283 244,924 765,172 490,851 263,981
Administration, custody and
transfer agent fees (Note 3) 831,046 49,572 157,296 100,134 54,137
Professional fees 31,042 28,141 35,695 35,755 35,602
Trustee's fees (Note 4) 29,091 7,018 6,607 5,309 5,041
Printing fees 78 807 1,510 1,515 1,498
Other expenses 21,868 2,769 13,062 12,093 11,975
-------------- ------------ -------------- ------------ ------------
Total Expenses 4,992,408 333,231 979,342 645,657 372,234
Less: Fee waivers/reimbursements by
investment adviser (Note 3) (913,126) (88,307) -- -- --
-------------- ------------ -------------- ------------ ------------
Total Net Expenses 4,079,282 244,924 979,342 645,657 372,234
-------------- ------------ -------------- ------------ ------------
NET INVESTMENT INCOME $ 132,724,552 $ 6,228,067 $ 20,554,807 $ 7,254,095 $ 5,724,354
============== ============ ============== ============ ============
REALIZED GAIN (LOSS)
Net realized gain (loss) on
investments 235,064 (98,854) -- 122,457 --
-------------- ------------ -------------- ------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 132,959,616 $ 6,129,213 $ 20,554,807 $ 7,376,552 $ 5,724,354
============== ============ ============== ============ ============
See Notes to Financial Statements
26
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TAX FREE U.S. GOVERNMENT
MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------- ---------------------------- -------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED ENDED PERIOD ENDED
JUNE 30, 2008 DECEMBER 31, JUNE 30, 2008 DECEMBER 31, JUNE 30, 2008 DECEMBER 31,
(UNAUDITED) 2007 (UNAUDITED) 2007* (UNAUDITED) 2007*
--------------- ---------------- ------------- ------------- --------------- --------------
INCREASE (DECREASE) IN NET
ASSETS FROM:
OPERATIONS
Net investment income $ 132,724,552 $ 294,455,764 $ 6,228,067 $ 4,534,841 $ 20,554,807 $ 10,808,121
Net realized gain (loss) on
investments 235,064 (6,953) (98,854) 12,161 -- --
--------------- ---------------- ------------- ------------- --------------- --------------
Net increase in net
assets from
operations 132,959,616 294,448,811 6,129,213 4,547,002 20,554,807 10,808,121
--------------- ---------------- ------------- ------------- --------------- --------------
CAPITAL TRANSACTIONS
Proceeds from contributions 11,362,497,990 14,082,546,440 951,398,348 743,338,878 2,148,915,493 1,801,532,181
Fair value of withdrawals (9,830,915,746) (13,655,849,339) (884,818,991) (300,207,375) (1,761,180,241) (735,545,985)
--------------- ---------------- ------------- ------------- --------------- --------------
Net increase in net
assets from capital
transactions 1,531,582,244 426,697,101 66,579,357 443,131,503 387,735,252 1,065,986,196
--------------- ---------------- ------------- ------------- --------------- --------------
NET INCREASE IN NET ASSETS 1,664,541,860 721,145,912 72,708,570 447,678,505 408,290,059 1,076,794,317
NET ASSETS
Beginning of period 6,918,263,028 6,197,117,116 447,678,505 -- 1,076,794,317 --
--------------- ---------------- ------------- ------------- --------------- --------------
End of period $ 8,582,804,888 $ 6,918,263,028 $ 520,387,075 $ 447,678,505 $ 1,485,084,376 $1,076,794,317
=============== ================ ============= ============= =============== ==============
* The portfolios commenced operations on February 7, 2007 and October 17,
2007, respectively.
See Notes to Financial Statements
27
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
-------------------------------- --------------------------------
SIX MONTHS ENDED PERIOD ENDED SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 2008 DECEMBER 31, JUNE 30, DECEMBER 31,
(UNAUDITED) 2007* 2008 (UNAUDITED) 2007*
---------------- ------------- ---------------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM:
OPERATIONS
Net investment income $ 7,254,095 $ 2,370,783 $ 5,724,354 $ 3,784,290
Net realized gain on
investments 122,457 8,735 -- --
--------------- ------------- ------------- -------------
Net increase in net
assets from operations 7,376,552 2,379,518 5,724,354 3,784,290
--------------- ------------- ------------- -------------
CAPITAL TRANSACTIONS
Proceeds from
contributions 4,300,698,974 652,230,533 679,708,358 934,443,802
Fair value of withdrawals (3,945,551,213) (124,506,117) (647,851,027) (475,038,049)
--------------- ------------- ------------- -------------
Net increase in net
assets from capital
transactions 355,147,761 527,724,416 31,857,331 459,405,753
--------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS 362,524,313 530,103,934 37,581,685 463,190,043
NET ASSETS
Beginning of period 530,103,934 -- 463,190,043 --
--------------- ------------- ------------- -------------
End of period $ 892,628,247 $ 530,103,934 $ 500,771,728 $ 463,190,043
=============== ============= ============= =============
* The portfolio commenced operations on October 25, 2007 and October 24,
2007, respectively.
See Notes to Financial Statements
28
STATE STREET MASTER FUNDS
FINANCIAL HIGHLIGHTS
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
2008* 1.66% 0.12%** 0.10%** 3.26%** $8,582,805
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
2008* 1.24% 0.14%** 0.10%** 2.53%** 520,387
2007 *** 3.19% 0.17%** 0.10%** 3.42%** 447,679
U.S. GOVERNMENT MONEY
MARKET PORTFOLIO
2008* 1.38% 0.13%** 0.13%** 2.69%** 1,485,084
2007 *** 0.92% 0.14%** 0.14%** 4.39%** 1,076,794
TREASURY PORTFOLIO
2008* 0.85% 0.13%** 0.13%** 1.48%** 892,628
2007 *** 0.61% 0.19%** 0.19%** 3.21%** 530,104
TREASURY PLUS PORTFOLIO
2008* 1.11% 0.14%** 0.14%** 2.16%** 500,772
2007 *** 0.75% 0.17%** 0.17%** 3.95%** 463,190
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not annualized.
* For the six months ended June 30, 2008 (unaudited).
** Annualized.
*** The portfolios commenced operations on August 12, 2004, February 7, 2007,
October 17, 2007, October 25, 2007 and October 24, 2007, respectively.
See Notes to Financial Statements
29
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2008 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises 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 Short-Term Tax Exempt Bond
Portfolio (formerly 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 June 30, 2008, 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 Short-Term Tax Exempt Bond Portfolio (formerly 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:
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
The Portfolios are authorized to issue an unlimited number of non-transferable
beneficial interests.
30
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
The Portfolios' investment objectives are as follows:
PORTFOLIO NAME INVESTMENT OBJECTIVE
- -------------- --------------------
State Street Money Market To seek to maximize current income, to the
Portfolio extent consistent with the preservation of
capital and liquidity by investing in dollar
denominated securities.
State Street Tax Free Money To seek to maximize current income, exempt from
Market Portfolio federal income taxes, to the extent consistent
with the preservation of capital and liquidity.
State Street U.S. Government To seek to maximize current income, to the
Money Market Portfolio extent consistent with the preservation of
capital and liquidity by investing in U.S.
government securities with remaining maturities
of one year or less an in repurchase agreements
collateralized by U.S. government securities.
State Street Treasury Money To seek a high level of current income
Market Portfolio consistent with preserving principal and
liquidity.
State Street Treasury Plus To seek a high level of current income
Money Market 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.
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.
The Portfolios adopted Financial Accounting Standards Board Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, fair value is defined as the price that the portfolio would
receive upon selling an investment in a timely transaction to an independent
buyer in the principal or most advantageous market of the investment. Various
inputs are used in determining the value of the Fund's investments. FAS 157
established a three tier hierarchy of inputs to establish a classification of
fair value measurements and disclosure. The three tier hierarchy of inputs is
summarized below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
31
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2008, in valuing
the Fund's assets carried at fair value:
INVESTMENTS IN
SECURITIES
--------------------------------------------------------------------------------------------------
STATE STREET TAX STATE STREET U.S. STATE STREET STATE STREET
STATE STREET MONEY FREE MONEY GOVERNMENT MONEY TREASURY MONEY TREASURY PLUS MONEY
VALUATION INPUTS MARKET PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO
- ---------------- ------------------ ---------------- ----------------- ---------------- -------------------
Level 1 -- Quoted Prices $ -- $ -- $ -- $ -- $ --
Level 2 -- Other
Significant Observable
Inputs 8,555,940,904 519,762,798 1,484,908,990 892,772,221 500,851,949
Level 3 -- Significant
Unobservable Inputs -- -- -- -- --
-------------- ------------ -------------- ------------ ------------
Total $8,555,940,904 $519,762,798 $1,484,908,990 $892,772,221 $500,851,949
============== ============ ============== ============ ============
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 it is treated
as a partnership 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 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 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 six months ended June 30, 2008, the
Portfolios did not have a liability for any unrecognized tax expenses. The
Portfolios recognize interest and penalties, if any, relate to tax liabilities
as income tax expense in the Statement of Operations. As of June 30, 2008, 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 State of America and the Commonwealth of
Massachusetts.
At June 30, 2008, 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
32
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
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 FM.
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, the Portfolios pay 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
Portfolio at 0.10% of the respective Portfolio's average daily net assets until
April 30, 2009. For the six months ended June 30, 2008, SSgA FM reimbursed the
Portfolios under this agreement as follows:
State Street Money Market Portfolio $913,126
State Street Tax Free Money Market Portfolio $ 88,307
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:
Annual percentage of
Asset Levels average aggregate daily net assets
- ------------ ----------------------------------
First $400 Million 0.03%
Thereafter 0.02
Minimum annual fee per portfolio: $150,000
33
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
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 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 any significant claims.
34
STATE STREET MASTER FUNDS
JUNE 30, 2008 (UNAUDITED)
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.
35
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
36
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
(FORMERLY STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO)
SEMI-ANNUAL REPORT
JUNE 30, 2008
(UNAUDITED)
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Short-Term Tax Exempt 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 January 1, 2008 to June 30,
2008.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Portfolio's actual return, and the
third column shows the dollar amount that would have been paid by an
investor who started with $1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses,
but that the expense ratio is unchanged. In this case- because the
return used is not the Portfolio's actual return- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
Portfolio's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Six Months Ended June 30, 2008
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2008 JUNE 30, 2008 PERIOD *
--------------- -------------- -------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $1,018.90 $0.50
BASED ON
HYPOTHETICAL (5%
RETURN BEFORE
EXPENSES) $1,000.00 $1,024.37 $0.50
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted
expense ratio as of June 30, 2008 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.
1
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2008
- ---------------------- -------------
General Obligations 34.5%
General Obligations State 20.8
Miscellaneous Revenue 14.3
Pre Refunded/Escrow to Maturity 12.1
Lease 5.5
Water & Sewer 3.8
Higher Education 3.1
Hospital Revenue 2.8
Water Revenue 1.9
TRANS Revenue 1.2
-----
Total 100.0%
=====
MATURITY LADDER JUNE 30, 2008
- --------------- -------------
< 6 months 2.9%
6 months - 1 year 3.9%
1 year + 93.2%
-----
Total 100.0%
=====
* The Portfolio's composition will vary over time.
2
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED)
PRINCIPAL RATE DATE OF
AMOUNT % MATURITY VALUE $
---------- ---- ---------- -----------
TAX-EXEMPT OBLIGATIONS -- 80.9%
ALABAMA -- 0.4%
State of Alabama, Parks System Improvement Corp., Series C, GO
Unlimited 350,000 5.25 06/01/2009 360,696
-----------
ARIZONA -- 8.2%
Arizona School District, TAN, Financing Program COPs 900,000 4.50 07/30/2008 901,998
City of Casa Grande Arizona, GO Unlimited, INS: FSA 1,000,000 3.50 07/01/2010 1,014,260
Maricopa County Arizona School District No 11, Peoria, GO
Unlimited, INS: FSA 2,250,000 3.00 07/01/2010 2,260,417
Maricopa County Arizona School District No 66, Roosevelt
Elementary, Series A, GO Unlimited, INS: FSA 2,380,000 4.00 07/01/2010 2,436,882
-----------
6,613,557
-----------
CALIFORNIA -- 3.2%
California State Economic Recovery, Series A, GO Unlimited 1,000,000 5.00 01/01/2011 1,046,250
Golden Empire Schools Financing Authority California Lease
Revenue Bonds, Kern High School District 1,500,000 4.00 05/01/2010 1,519,215
-----------
2,565,465
-----------
COLORADO -- 1.4%
Central Platte Valley Metropolitan District, Series A, GO
Unlimited, LOC: BNP Paribas 1,110,000 5.00 12/01/2031 1,136,862
-----------
DISTRICT OF COLUMBIA -- 2.2%
Washington DC Convention Center Authority Dedicated Tax Revenue
Bonds, Sr. Lien, INS: AMBAC 1,750,000 5.25 10/01/2011 1,781,570
-----------
GEORGIA -- 3.9%
State of Georgia, Series B, GO Unlimited 3,000,000 5.00 07/01/2010 3,132,510
-----------
ILLINOIS -- 3.2%
Chicago Illinois Park District, Personal Property Replacement,
Series D, GO Unlimited 1,000,000 5.00 01/01/2011 1,043,800
State of Illinois, First Series, GO Unlimited, INS: FSA 1,075,000 5.25 05/01/2010 1,122,354
State of Illinois, First Series, GO Unlimited, INS: FSA 400,000 5.25 04/01/2009 410,056
-----------
2,576,210
-----------
MARYLAND -- 4.6%
Baltimore County Maryland, Constrution Public Improvement, GO
Unlimited 1,170,000 5.25 09/01/2010 1,232,431
See Notes to Financial Statements
3
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED) (CONTINUED)
PRINCIPAL RATE DATE OF
AMOUNT % MATURITY VALUE $
---------- ---- ---------- -----------
MARYLAND -- (CONTINUED)
Washington Suburban Sanitation District Maryland, Sewage
Disposal, GO Unlimited 2,400,000 5.00 06/01/2010 2,503,920
-----------
3,736,351
-----------
MASSACHUSETTS -- 3.0%
Commonwealth of Massachusetts, Series E, GO Limited 1,230,000 5.50 01/01/2010 1,281,032
Massachusetts State HEFA Revenue Bonds, New England Medical
Center Hospital, Series H, INS: FGIC 1,160,000 5.00 05/15/2009 1,185,381
-----------
2,466,413
-----------
MICHIGAN -- 1.6%
Grand Rapids Michigan Community College, GO Limited, INS: FSA 1,225,000 5.00 05/01/2009 1,257,034
-----------
NEVADA -- 5.6%
Clark County Nevada, Bond Bank, GO Limited, INS: FGIC 2,000,000 5.00 06/01/2031 2,102,660
State of Nevada, Capital Improvement and Cultural Affairs,
Series A, GO Limited 1,180,000 5.50 03/01/2017 1,233,666
Truckee Meadows Nevada Water Authority Revenue Bonds, Series A,
INS: FSA 1,180,000 5.50 07/01/2009 1,222,008
-----------
4,558,334
-----------
NEW JERSEY -- 1.1%
New Jersey EDA Revenue Bonds, School Facilities Construction,
Series Y 850,000 5.00 09/01/2010 882,750
-----------
NEW MEXICO -- 1.9%
State of New Mexico Severance Tax Revenue Bonds, Series A-2 1,500,000 3.00 07/01/2010 1,506,645
-----------
NEW YORK -- 4.8%
City of New York New York, Series F, GO Unlimited 1,000,000 5.00 08/01/2010 1,040,790
New York City Transitional Finance Authority Aid Revenue
Bonds, Series S-2, INS: State Aid Withholding 1,500,000 5.00 01/15/2011 1,567,785
New York State Thruway Authority Service Contract Revenue
Bonds, Bridge Service Contract 750,000 3.00 04/01/2010 752,265
New York State Urban Development Corporation Revenue Bonds,
State Personal Income Tax, Series Al 500,000 5.00 12/15/2009 519,140
-----------
3,879,980
-----------
NORTH CAROLINA -- 4.9%
See Notes to Financial Statements
4
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED) (CONTINUED)
PRINCIPAL RATE DATE OF
AMOUNT % MATURITY VALUE $
---------- ---- ---------- -----------
NORTH CAROLINA -- (CONTINUED)
Mecklenburg County North Carolina, Public Improvement, Series
A, GO Unlimited 2,305,000 4.50 04/01/2011 2,395,955
State of North Carolina, Public Improvement, Series B, GO
Unlimited 1,500,000 4.00 04/01/2010 1,535,280
-----------
3,931,235
-----------
OHIO -- 2.6%
Ohio State Building Authority Revenue Bonds, State Facilities
Administration Building, Series A, INS: FSA 1,020,000 5.25 10/01/2009 1,056,414
State of Ohio Revenue Bonds, Higher Education Facilities,
Series II-A 1,000,000 5.00 12/01/2010 1,050,920
-----------
2,107,334
-----------
OKLAHOMA -- 1.3%
Oklahoma State Capital Improvement Authority State Facilities
Revenue Bonds, Higher Education Projects, Series F,
INS: AMBAC 1,000,000 3.75 07/01/2009 1,016,350
-----------
OREGON -- 1.9%
Portland Oregon Community College District, GO Unlimited 1,545,000 3.00 07/01/2009 1,562,428
-----------
PENNSYLVANIA -- 4.0%
Allegheny County Pennsylvania HDA Revenue Bonds, University of
Pittsburgh Medical Center, Series B 1,000,000 5.00 06/15/2011 1,038,550
Lehigh County Pennsylvania General Purpose Hospital Revenue
Bonds, Lehigh Valley Health Network, Series A, INS: FSA 800,000 4.00 07/01/2010 818,024
Pennsylvania State, GO Unlimited 1,325,000 5.25 02/01/2010 1,376,821
Washington County Pennsylvania Authority Revenue Bonds,
University of Pennsylvania (a) 15,000 1.35 07/03/2008 15,000
-----------
3,248,395
-----------
TENNESSEE -- 1.3%
Metropolitan Government Nashville & Davidson County Tennessee,
Series A, GO Unlimited 1,000,000 5.00 01/01/2010 1,033,760
-----------
TEXAS -- 6.9%
City of Austin Texas, Public Property Financial Contractual, GO
Limited 1,000,000 5.00 09/01/2010 1,045,360
State of Texas, Tax & Revenue Anticipation Notes, GO Limited
Notes 1,500,000 4.50 08/28/2008 1,506,480
Texas A&M University Revenue Bonds, Fing System 1,000,000 3.70 05/15/2011 1,015,760
Texas State Public Finance Authority Revenue Bonds, INS: FGIC 1,955,000 4.00 02/01/2011 1,987,551
-----------
5,555,151
-----------
See Notes to Financial Statements
5
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED) (CONTINUED)
PRINCIPAL
AMOUNT/ RATE DATE OF
SHARES % MATURITY VALUE $
---------- ---- ---------- -----------
VIRGINIA -- 8.6%
Chesterfield County Virginia, Public Improvement, GO Unlimited 2,255,000 4.00 01/01/2010 2,301,972
Commonwealth of Virginia, Series B, GO Unlimited 1,655,000 5.00 06/01/2011 1,746,571
Virginia College Building Authority Virginia Educational
Facilities Revenue Bonds, 21st Century College, Series B 1,450,000 5.00 02/01/2010 1,502,969
Virginia State Public School Authority Revenue Bonds, Series VII 1,290,000 5.00 04/15/2011 1,355,880
-----------
6,907,392
-----------
WASHINGTON -- 3.0%
Tacoma Washington Electrical Systems Revenue Bonds, Series A,
INS: FSA 1,500,000 5.75 01/01/2017 1,608,975
Whatcom County Washington School District No 506 Nooksack
Valley, GO Unlimited, INS: School Building Guaranty 815,000 4.00 12/01/2009 832,743
-----------
2,441,718
-----------
WISCONSIN -- 1.3%
South Milwaukee Wisonsin Promisory Notes, GO Unlimited, INS:
MBIA 1,000,000 4.38 06/01/2010 1,024,210
-----------
Total Tax-Exempt Obligations
(Cost $65,606,787) 65,282,350
-----------
MONEY MARKET FUND -- 22.1%
State Street Institutional Tax Free Money Market Fund (b) (at
net asset value) 17,817,244 17,817,244
TOTAL INVESTMENTS(c) -- 103.0%
(COST $83,424,031) 83,099,594
LIABILITIES IN EXCESS OF ASSETS -- (3.0)% (2,418,368)
-----------
NET ASSETS -- 100.0% $80,681,226
===========
(a) Floating Rate Note- Interest rate shown is rate in effect at June 30, 2008
with next reset date.
(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
EDA Economic Development Authority
FGIC Financial Guaranty Insurance Company
FSA Financial Security Assurance
GO General Obligation
HDA Hospital Development Authority
HEFA Health and Educational Facilities Authority
See Notes to Financial Statements
6
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2008 (UNAUDITED) (CONTINUED)
INS Insured
MBIA Municipal Bond Investors Assurance
TAN Tax Anticipation Note
AFFILIATE TABLE
Certain investments made by the Portfolio were made in mutual funds affiliated
with State Street Bank and Trust Company and SSgA Fund Management, Inc. ("SSgA
FM or "the Adviser"). The market value of this investment at June 30, 2008 is
listed in the Portfolio of Investments.
Shares sold Income Earned
Shares purchased for the Number of for the
Number of shares for the 6 months 6 months shares held Value at 6 months
Security Description held at 12/31/2007 ended 6/30/08 ended 6/30/08 at 6/30/08 6/30/08 ended 6/30/08
- -------------------- ------------------ ---------------- ------------- ----------- ----------- -------------
State Street
Institutional Tax
Free Money Market
Fund 2,410,373 60,034,045 44,627,174 17,817,244 $17,817,244 $47,047
See Notes to Financial Statements
7
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2008 (UNAUDITED)
ASSETS
Investments in unaffiliated issuers at market (identified cost $65,606,787) $65,282,350
Investments in non-controlled affiliates at market (net asset value $17,817,244)
(Note 4) 17,817,244
-----------
83,099,594
Receivables:
Interest receivable 752,029
Receivable from adviser (Note 4) 12,251
Prepaid expenses 5,151
-----------
Total assets 83,869,025
LIABILITIES
Payables:
Investment securities purchased 3,151,237
Due to custodian 937
Management fee (Note 4) 5,584
Administration, custody and transfer agent fees (Note 4) 1,141
Professional fees 26,780
Accrued expenses and other liabilities 2,120
-----------
Total Liabilities 3,187,799
-----------
NET ASSETS $80,681,226
===========
See Notes to Financial Statements.
8
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
INVESTMENT INCOME
Interest income - unaffiliated issuers $ 576,105
Interest income - non-controlled affiliated issuer 47,047
---------
Total Investment Income 623,152
EXPENSES
Professional fees 30,312
Management fees (Note 4) 22,502
Trustees' fees (Note 5) 5,784
Printing fees 850
Administration, custody and transfer agent fees (Note 4) 4,578
Other expenses 2,242
---------
Total Expenses 66,268
Less: Fee waivers/reimbursements by investment adviser (Note 4) (43,766)
---------
Total Net Expenses 22,502
---------
NET INVESTMENT INCOME $ 600,650
REALIZED AND UNREALIZED GAIN (LOSS)
Net change in net unrealized appreciation (depreciation) on investments (349,755)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 250,895
=========
See Notes to Financial Statements.
9
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
For the Six
Months Ended For the
June 30, 2008 Year Ended
(Unaudited) December 31, 2007*
------------- ------------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 600,650 $ 1,149,525
Change in net unrealized appreciation (depreciation) of investments (349,755) 25,318
----------- -----------
Net increase in net assets resulting from operations 250,895 1,174,843
----------- -----------
CAPITAL TRANSACTIONS
Proceeds from contributions 40,011,942 39,422,181
Fair value of withdrawals (48,987) (129,648)
----------- -----------
Net increase in net assets from capital transactions 39,962,955 39,292,533
----------- -----------
TOTAL NET INCREASE IN NET ASSETS 40,213,850 40,467,376
NET ASSETS
Beginning of period 40,467,376 --
----------- -----------
End of period $80,681,226 $40,467,376
=========== ===========
* The Portfolio commenced operations on February 7, 2007.
See Notes to Financial Statements.
10
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
Six Months
Ended Year
6/30/2008 Ended
(Unaudited) 12/31/2007*
----------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (000s) $80,681 $40.467
Ratios to average net assets:
Gross operating expenses 0.29%** 0.35%**
Net operating expenses 0.10%** 0.10%**
Net investment income 2.67%** 3.58%**
Portfolio turnover rate 121.29%*** 31.18%***
Total return(a) 0.89% 3.33%
- ----------
* The Portfolio commenced operations on February 7, 2007.
** Annualized.
*** Not annualized
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not annualized.
See Notes to Financial Statements.
11
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2008 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises 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
Short-Term Tax Exempt 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 Short-Term Tax Exempt Bond Portfolio (the "Portfolio").
The Portfolio commenced operations on February 7, 2007. At June 30, 2008, 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.
At a meeting of the Board of Trustees of the State Street Master Funds held on
February 21, 2008, the Board of Trustees of the State Street Master Funds
approved the change in designation of the State Street Tax Free Limited Duration
Bond Portfolio, a series of the State Street Master Funds into which the Fund
invests substantially all of its assets. Therefore all references to the State
Street Tax Free Limited Duration Bond Portfolio in the Semi-annual are hereby
deleted and replaced with the designation: "State Street Short-Term Tax Exempt
Bond Portfolio."
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.
The Portfolio adopted Financial Accounting Standards Board Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, fair value is defined as the price that the portfolio would
receive upon selling an investment in a timely transaction to an independent
buyer in the principal or most advantageous market of the investment. Various
inputs are used in determining the value of the Fund's investments. FAS 157
established a three tier hierarchy of inputs to establish a classification of
fair value measurements and disclosure. The three tier hierarchy of inputs is
summarized below:
- Level 1 - quoted prices in active markets for identical securities
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit
risk, etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2008, in valuing
the Fund's assets carried at fair value:
12
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
INVESTMENTS IN
VALUATION INPUTS SECURITIES
- ---------------- --------------
Level 1 - Quoted Prices --
Level 2 - Other Significant
Observable Inputs $83,099,594
Level 3 - Significant
Unobservable Inputs --
-----------
TOTAL $83,099,594
===========
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 six months ended June 30, 2008, 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 June 30, 2008, 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.
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.
3. SECURITIES TRANSACTIONS
For the six months ended June 30, 2008, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
contributions and withdrawals, aggregated to $79,690,900 and $51,725,000,
respectively.
At June 30, 2008, the book cost of investments was $83,424,031 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $52,432 and
$376,869, respectively, resulting in net depreciation of $324,437 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 six months ended June 30, 2008, SSgA FM reimbursed the Portfolio $43,766
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
13
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
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 average
Asset Levels 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 any significant claims.
7. NEW ACCOUNTING PRONOUNCEMENTS
In March 2008, the Financial Accounting Standards board ("FASB") issued
Statement of Financial Accounting Standards No.161, "Disclosures about
Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is
effective for fiscal years and interim periods beginning after November 15,
2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging
activities. Management is currently evaluating the impact the adoption of SFAS
161 will have on the Funds' financial statement disclosures.
14
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
JUNE 30, 2008
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Fund. 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 ended 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 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.
15
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 SHORT-TERM TAX EXEMPT BOND PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
16
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedules of Investments are included as part of the reports to shareholders
filed under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable to the Registrant.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")) are effective, as of a date within 90 days of the filing date of the
report that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b) under the
1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of
1934.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the Trust's second fiscal quarter covered by this Form N-CSR filing that has
materially affected, or is reasonably likely to materially affect, the Trust's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(REGISTRANT): State Street Master Funds
By: /s/ James E. Ross
---------------------------------
James E. Ross
President
Date: August 20, 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
By: /s/ Gary L. French
---------------------------------
Gary L. French
Treasurer
Date: August 20, 2008