UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09599
STATE STREET MASTER FUNDS
(Exact name of registrant as specified in charter)
P.O. Box 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 Timothy W. Diggins, Esq.
Managing Counsel Ropes & Gray
State Street Bank and Trust Company One International Place
4 Copley Place, 5th Floor 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: December 31, 2008
ITEM 1. SHAREHOLDER REPORT.
STATE STREET MASTER FUNDS
ANNUAL REPORT
DECEMBER 31, 2008
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 Portfolios and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2008 to December 31,
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 December 31, 2008
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID
JULY DECEMBER DURING
1, 2008 31, 2008 PERIOD *
--------- --------- --------
BASED ON ACTUAL PORTFOLIO RETURN
Money Market Portfolio $1,000.00 $1,010.70 $0.51
Tax Free Money Market Portfolio $1,000.00 $1,011.00 $0.51
U.S. Government Money Market Portfolio $1,000.00 $1,008.00 $0.61
Treasury Money Market Portfolio $1,000.00 $1,004.20 $0.60
Treasury Plus Money Market Portfolio $1,000.00 $1,004.60 $0.60
2
STATE STREET MASTER FUNDS
EXPENSE EXAMPLE (CONTINUED)
ENDING EXPENSES
BEGINNING ACCOUNT VALUE PAID
ACCOUNT VALUE DECEMBER DURING
JULY 1, 2008 31, 2008 PERIOD *
------------- ------------- --------
BASED ON HYPOTHETICAL (5% RETURN BEFORE
EXPENSES)
Money Market Portfolio $1,000.00 $1,024.63 $0.51
Tax Free Money Market Portfolio $1,000.00 $1,024.63 $0.51
U.S. Government Money Market Portfolio $1,000.00 $1,024.53 $0.61
Treasury Money Market Portfolio $1,000.00 $1,024.53 $0.61
Treasury Plus Money Market Portfolio $1,000.00 $1,024.53 $0.61
* The calculations are based on expenses incurred in the most recent
six-month period of the Portfolios. Each Portfolio's annualized average
weighted expense ratio as of December 31, 2008 was as follows:
Money Market Portfolio 0.10%
Tax Free Money Market Portfolio 0.10%
U.S. Government Money Market Portfolio 0.12%
Treasury Money Market Portfolio 0.12%
Treasury Plus Money Market Portfolio 0.12%
The dollar amounts shown as "Expenses Paid" are equal to the annualized average
weighted expense ratio multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period, then
divided by the number of days in the most recent 12-month period.
3
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- --------------------- -----------------
Repurchase Agreements 42.2%
Yankee Certificates of Deposit 27.3
Commercial Paper 20.4
Eurodollar Certificates of Deposit 4.1
U.S. Government Agency Obligations 1.7
Bank Notes 1.2
Certificates of Deposit 1.2
Master Notes 1.2
Medium Term Notes 0.6
Other Assets in Excess of Liabilities 0.1
-----
TOTAL 100.0%
=====
MATURITY LADDER* DECEMBER 31, 2008
- ---------------- -----------------
0-3 Days 42.3%
4-90 Days 54.2
90+ Days 3.5
-----
TOTAL 100.0%
=====
Average days to maturity 33
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
4
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- --------------
COMMERCIAL PAPER -- 20.4%
ASSET BACKED COMMERCIAL PAPER CREDIT
ARBITRAGE -- 1.2%
Aspen Funding Corp.(a) 1.950% 01/12/2009 $ 100,000,000 $ 99,940,417
--------------
ASSET BACKED COMMERCIAL PAPER HYBRID -- 3.5%
Cancara Asset Securitization LLC(a) 2.050% 01/26/2009 200,000,000 199,715,278
Cancara Asset Securitization LLC(a) 2.100% 01/29/2009 100,000,000 99,836,666
--------------
299,551,944
--------------
ASSET BACKED COMMERCIAL PAPER RECEIVABLES AND
SECURITIES -- 4.3%
Alpine Securitization(a) 1.400% 01/13/2009 100,000,000 99,953,333
Gemini Security Corp. LLC(a) 1.950% 01/20/2009 75,000,000 74,922,813
Gemini Security Corp. LLC(a) 1.950% 02/23/2009 100,000,000 99,712,917
Ranger Funding Co. LLC(a) 0.500% 04/02/2009 100,000,000 99,873,611
--------------
374,462,674
--------------
ASSET BACKED SECURITIES OTHER -- 2.9%
Solitaire Funding LLC(a) 2.150% 02/18/2009 250,000,000 249,283,333
--------------
BANK DOMESTIC -- 1.1%
JPMorgan Chase & Co. 2.910% 03/10/2009 100,000,000 99,450,333
--------------
BANK FOREIGN -- 3.9%
Australia & New Zealand Banking Group(a) 1.990% 03/18/2009 20,000,000 19,915,978
Australia & New Zealand Banking Group(a) 1.990% 03/23/2009 20,000,000 19,910,450
National Australia Funding (Delaware)(a) 1.770% 02/02/2009 100,000,000 99,842,667
National Australia Funding (Delaware)(a) 1.750% 03/06/2009 36,000,000 35,888,000
Nordea North America, Inc. 2.020% 02/04/2009 36,000,000 35,931,320
Nordea North America, Inc. 2.020% 02/05/2009 36,000,000 35,929,300
Westpac Banking Corp.(a) 1.940% 03/04/2009 30,000,000 29,899,767
Westpac Banking Corp.(a) 1.940% 03/05/2009 30,000,000 29,898,150
Westpac Banking Corp.(a) 1.940% 03/06/2009 30,000,000 29,896,533
--------------
337,112,165
--------------
DIVERSIFIED FINANCIAL SERVICES -- 3.5%
GE Capital Temporary Liquidity Guarantee Program 1.500% 01/26/2009 75,000,000 74,921,875
GE Capital Temporary Liquidity Guarantee Program 1.500% 02/02/2009 100,000,000 99,866,667
GE Capital Temporary Liquidity Guarantee Program 1.450% 03/04/2009 50,000,000 49,875,139
GE Capital Temporary Liquidity Guarantee Program 1.350% 04/10/2009 75,000,000 74,721,562
299,385,243
--------------
TOTAL COMMERCIAL PAPER 1,759,186,109
--------------
See Notes to Financial Statements.
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- --------------
CERTIFICATES OF DEPOSIT -- 1.2%
BANK DOMESTIC -- 1.2%
Bank of America NA(b) 2.150% 03/17/2009 $ 100,000,000 $ 100,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 100,000,000
--------------
EURO CERTIFICATES OF DEPOSIT -- 4.1%
BANK FOREIGN -- 4.1%
Commonwealth Bank of Australia 1.950% 02/04/2009 100,000,000 100,000,941
ING Bank Amsterdam 1.680% 02/18/2009 50,000,000 50,000,000
ING Bank Amsterdam 1.680% 02/19/2009 50,000,000 50,000,000
ING Bank Amsterdam 1.490% 03/16/2009 150,000,000 150,000,000
--------------
TOTAL EURO CERTIFICATES OF DEPOSIT 350,000,941
--------------
YANKEE CERTIFICATES OF DEPOSIT -- 27.3%
BANK FOREIGN -- 27.3%
Banco Bilbao Vizcaya 0.530% 01/22/2009 100,000,000 100,000,583
Banco Bilbao Vizcaya 2.215% 03/05/2009 200,000,000 200,000,000
Barclays Bank PLC NY(b) 1.730% 01/15/2009 125,000,000 125,000,000
BNP Paribas 1.200% 03/24/2009 200,000,000 200,000,000
BNP Paribas 1.250% 04/20/2009 100,000,000 100,000,000
Calyon NY 3.030% 02/17/2009 300,000,000 300,000,000
National Australia Bank 2.900% 01/13/2009 150,000,000 150,000,000
Nordea Bank PLC 2.935% 02/12/2009 200,000,000 200,003,153
Raboban Nederland 1.700% 03/02/2009 150,000,000 150,000,000
Royal Bank of Canada NY 1.610% 01/20/2009 250,000,000 250,001,316
Societe Generale NY 2.100% 02/02/2009 250,000,000 250,000,000
Svenska Handelsbanken NY 1.980% 01/28/2009 200,000,000 200,001,495
Toronto Dominion Bank NY 1.750% 01/14/2009 100,000,000 100,000,000
Toronto Dominion Bank NY 2.130% 04/03/2009 28,000,000 28,000,000
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 2,353,006,547
--------------
BANK NOTES -- 1.2%
BANK DOMESTIC -- 1.2%
Bank of America NA(b) 2.358% 02/15/2009 100,000,000 100,000,000
--------------
TOTAL BANK NOTES 100,000,000
--------------
MASTER NOTE -- 1.2%
Goldman Sachs Group, Inc.(b)(c) 1.208% 01/20/2009 100,000,000 100,000,000
--------------
TOTAL MASTER NOTE 100,000,000
--------------
See Notes to Financial Statements.
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- --------------
MEDIUM TERM NOTES -- 0.6%
CONSUMER NON-CYCLICAL -- 0.6%
Procter & Gamble Co.(b) 2.216% 03/09/2009 $ 28,000,000 $ 28,000,000
Procter & Gamble International Funding SCA(b) 2.309% 02/19/2009 24,000,000 24,000,000
--------------
TOTAL MEDIUM TERM NOTES 52,000,000
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.7%
SOVEREIGN -- 1.7%
Fannie Mae Discount Notes 2.500% 02/09/2009 75,000,000 74,796,875
Freddie Mac Discount Notes 2.600% 02/17/2009 75,000,000 74,745,417
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 149,542,292
--------------
REPURCHASE AGREEMENTS -- 42.2%
Bank of America Tri Party Repo, dated 12/31/08
(collateralized by Federal National Mortgage
Association, 4.625% -- 5.000% due 10/15/14 --
03/15/16 and Federal Home Loan Mortgages,
0.000% due 09/15/09 -- 09/30/09 valued at
$128,520,724); proceeds $126,000,070 0.010% 01/02/2009 126,000,000 126,000,000
Bank of America Tri Party Repo, dated 12/31/08
(collateralized by U.S. Treasury Bond, 4.500%
due 05/15/38 valued at $25,500,065); proceeds
$25,000,014 0.010% 01/02/2009 25,000,000 25,000,000
Bank of America Tri Party Repo, dated 12/31/08
(collateralized by Federal National Mortgage
Association, 5.000% due 12/01/38 and
Government National Mortgage Association,
6.000% due 09/20/38 valued at
$1,249,500,001); proceeds $1,225,005,444 0.080% 01/02/2009 1,225,000,000 1,225,000,000
Barclays Capital Tri Party Repo, dated 12/31/08
(collateralized by Federal Home Loan
Mortgage, 0.000% -- 7.000% due 07/15/14 -
05/15/38 Federal National Mortgage
Association, 0.000% -- 6.500%
due 05/25/15 -- 09/01/38 and Government
National Mortgage Association, 4.000% --
6.000% due 03/20/38 -- 10/20/38 valued at
$357,000,000); proceeds $350,001,167 0.060% 01/02/2009 350,000,000 350,000,000
Deutsche Bank Tri Party Repo, dated 12/31/08
(collateralized by a Federal Home Loan Bank,
4.500% due 11/15/12 Federal Home Loan
Mortgage, 0.000% -- 5.500% due 03/10/09 --
06/15/37 and Federal National Mortgage
Association, 4.060% -- 6.625% due 03/19/13 --
11/01/37 valued at $29,580,000); proceeds
$29,000,081 0.050% 01/02/2009 29,000,000 29,000,000
Deutsche Bank Tri Party Repo, dated 12/31/08
(collateralized by a Federal Home Loan Bank,
4.500% due 11/15/12 Federal Home Loan
Mortgage, 0.000% -- 5.500% due 03/10/09 --
06/15/37 and Federal National Mortgage
Association, 4.060% -- 6.625% due 03/19/13 --
11/01/37 valued at $357,000,000); proceeds
$350,001,944 0.100% 01/02/2009 350,000,000 350,000,000
See Notes to Financial Statements.
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
ING Tri Party Repo, dated 12/31/08
(collateralized by various U.S. Government
Obligations, 0.000% -- 7.000% due 04/15/16 --
10/01/38 valued at $1,020,000,039); proceeds
$1,000,002,222 0.040% 01/02/2009 $1,000,000,000 $1,000,000,000
UBS Warburg Tri Party Repo, dated 12/31/08
(collateralized by Federal National Mortgage
Association, 0.000% -- 15.500% due 01/01/09 --
05/01/47 valued at $539,176,695); proceeds
$528,603,056 0.070% 01/02/2009 528,601,000 528,601,000
--------------
TOTAL REPURCHASE AGREEMENTS 3,633,601,000
--------------
TOTAL INVESTMENTS -- 99.9% 8,597,336,889
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% 8,568,250
--------------
NET ASSETS -- 100.0% $8,605,905,139
==============
- ----------
(a) Security subject to restrictions on resale under federal
securities laws, which may only be resold upon registration under the
Securities Act of 1933, as amended ("1933 Act") or in transactions exempt
from registration, including sales to qualified institutional buyers
pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the
right to demand that this security be registered.
(b) Variable Rate Security -- Interest Rate is in effect as of December 31,
2008.
(c) Security subject to restrictions on resale and deemed by the Adviser to be
illiquid. The Portfolio may not invest more than 10% of its net assets in
illiquid securities. At December 31, 2008, this security represents 1.16%
of net assets.
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- ---------------------- -----------------
Cash/Money Market Fund 25.4%
Education 16.6
Health 11.0
General Obligations 7.6
Transportation 6.7
Electric Power 6.1
Utility 5.6
Pre Refunded/Escrow to Maturity 4.7
Water & Sewer 4.6
Tax Revenue 3.9
Housing Revenue 3.1
Industrial Revenue/Pollution Control Revenue 1.9
Portfolio Revenue 1.5
Water Revenue 0.6
Public Agency 0.4
Transportation Revenue 0.3
TOTAL 100.0%
MATURITY LADDER* DECEMBER 31, 2008
- ---------------- -----------------
0-3 Days 63.9%
4-90 Days 27.5
90+ Days 8.6
TOTAL 100.0%
Average days to maturity 16
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS -- 74.2%
ALABAMA -- 1.0%
Lower Alabama Gas District Supply Revenue Bonds, Series A, LIQ:
Societe Generale(a) 3,796,000 1.200 01/01/2009 3,796,000
------------
ARIZONA -- 2.1%
Arizona School District, COP 5,000,000 3.000 07/30/2009 5,038,886
City of Scottsdale Arizona, GO Unlimited(b) 3,000,000 5.500 07/01/2009 3,055,052
------------
8,093,938
------------
CALIFORNIA -- 1.6%
California School Cash Reserve Program Authority, COPs, Series A,
LOC: Bank NA 2,000,000 3.000 07/06/2009 2,013,583
California Statewide Communities Development Authority, Revenue
Bonds, Corporation Funding for Housing, Series A(b) 1,850,000 6.500 12/01/2009 1,992,891
Metropolitan Water District of Southern California Waterworks
Revenue Bonds, Series A, SPA: Landesbank Baden-
Wuerttemberg(a) 2,055,000 0.800 01/01/2009 2,055,000
------------
6,061,474
------------
COLORADO -- 2.5%
City of Colorado Springs Colorado Utilities Revenue Bonds, Sub
Lien Improvement, Series A, SPA: Dexia Credit Local(a) 3,925,000 2.250 01/01/2009 3,925,000
Colorado Department of Transportation, Revenue Bonds, Antic
Notes 1,000,000 5.250 06/15/2009 1,018,011
University of Colorado Hospital Authority Revenue Bonds, Series A,
SPA: Wachovia Bank N.A.(a) 4,700,000 3.500 01/07/2009 4,700,000
------------
9,643,011
------------
DELAWARE -- 0.4%
Delaware State EDA, Hospital Billing, Series A, LOC: JP Morgan
Chase Bank(a) 1,500,000 0.870 01/07/2009 1,500,000
------------
DISTRICT OF COLUMBIA -- 2.4%
District of Columbia Revenue Bonds, ROCs RR II R-11247, INS:
BHAC-CR MBIA, LIQ: Citibank N.A.(a) 9,480,000 1.380 01/01/2009 9,480,000
------------
FLORIDA -- 1.4%
Orlando Florida Utilities Commission Water & Electric Revenue
Bonds, Series B, SPA: Suntrust Bank(a) 5,400,000 0.750 01/07/2009 5,400,000
------------
GEORGIA -- 14.3%
De Kalb County Georgia, Revenue Bonds, Series 2008-072, LIQ:
Dexia Credit Local(a) 15,750,000 4.000 01/01/2009 15,750,000
Georgia Local Government Certificate of Participation, Series O
LIQ: Bank of America N.A.(a) 5,420,000 4.250 01/01/2009 5,420,000
Georgia Municipal Gas Authority, Revenue Bonds, Series B, LOC:
Wachovia Bank, and JP Morgan Chase Bank(a) 12,000,000 1.400 01/01/2009 12,000,000
Municipal Electric Authority Georgia, Gen C Rmkt, INS: GO of
Participants, LOC: Bayerische Landesbank(a) 1,500,000 0.800 01/07/2009 1,500,000
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
GEORGIA (CONTINUED)
Municipal Electric Authority of Georgia Revenue Bonds, PJ One
SUB D RMKT, INS: FSA, SPA: Dexia Credit Local(a) 7,800,000 3.750 01/07/2009 7,800,000
Roswell Georgia Housing Authority Multifamily Revenue Bonds,
Chambrel Roswell, INS: Fannie Mae, LIQ: Fannie Mae(a) 11,980,000 1.150 01/01/2009 11,980,000
State of Georgia, GO, Series B 1,000,000 6.250 04/01/2009 1,011,078
------------
55,461,078
------------
ILLINOIS -- 7.8%
Chicago Illinois Board of Education, GO Unlimited, Series D, INS:
FSA, SPA:
Dexia Credit Local(a) 2,000,000 5.000 01/01/2009 2,000,000
Chicago Illinois Board of Education, Series C, GO, INS: FSA, SPA:
Dexia Public Finance(a) 1,950,000 3.400 01/01/2009 1,950,000
Illinois Development Finance Authority Revenue Bonds, Chicago
Educational TV Assignment, Series A, LOC: Lasalle Bank N.A.(a) 1,900,000 0.800 01/07/2009 1,900,000
Illinois Development Finance Authority Revenue Bonds, World
Communications, Inc., LOC: Lasalle Bank N.A.(a) 1,500,000 0.800 01/07/2009 1,500,000
Illinois Finance Authority Revenue Bonds, Northwestern University,
Series B(a) 9,800,000 0.400 01/07/2009 9,800,000
Illinois State Toll Highway Authority, Revenue Bonds, Series A-1,
SPA: Dexia Credit Local(a) 13,000,000 2.250 01/01/2009 13,000,000
------------
30,150,000
------------
INDIANA -- 3.0%
Indiana Finance Authority Revenue Bonds, Clarian Health Partners,
Series D, LOC: Northern Trust Company(a) 7,500,000 0.680 01/07/2009 7,500,000
Indiana State Development Finance Authority Revenue Bonds,
Educational Facilities, Indiana Historical Society, LOC: Bank One
Indiana N.A.(a) 4,200,000 0.800 01/07/2009 4,200,000
------------
11,700,000
------------
IOWA -- 0.3%
Iowa Finance Authority, Revenue Bonds, Mercy Medical Center,
INS: FSA MBIA - IBC(b) 1,000,000 5.750 08/15/2009 1,037,283
------------
KANSAS -- 0.8%
Kansas State Department of Transportation Highway Revenue
Bonds(b) 3,000,000 5.750 09/01/2009 3,082,278
------------
LOUISIANA -- 0.4%
Louisiana State Offshore Terminal Authority Deep Water Port
Revenue Bond, Series B, LOC: Bank One N.A.(a) 1,500,000 0.800 01/07/2009 1,500,000
------------
MARYLAND -- 2.3%
Maryland State Economic Development Corporation Revenue
Bonds, Howard Hughes Medical Institution, Series B(a) 3,000,000 0.600 01/07/2009 3,000,000
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
MARYLAND (CONTINUED)
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 1.900 01/01/2009 6,000,000
------------
9,000,000
------------
MASSACHUSETTS -- 4.5%
Commonwealth of Massachusetts, GO Unlimited, Series C, INS:
AMBAC, SPA: Bank of America N.A.(a) 3,900,000 2.250 01/01/2009 3,900,000
Macon Trust Pooled Variable Rate Certificates Various Issuers,
Revenue Bonds, Series I, INS: MBIA, SPA: Bank of America
N.A.(a) 10,890,000 2.250 01/01/2009 10,890,000
Massachusetts State HEFA Revenue Bonds, Havard University,
Series GG-1(a) 2,700,000 0.750 01/01/2009 2,700,000
------------
17,490,000
------------
MINNESOTA -- 1.5%
County of Washington Minnesota, Series A, GO Unlimited 1,080,000 5.000 02/01/2009 1,082,700
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 1.400 01/01/2009 4,800,000
------------
5,882,700
------------
MISSOURI -- 2.2%
Kansas City Industrial Development Authority Revenue Bonds, Oak
Street West Student, LOC: Bank of America(a) 8,550,000 0.710 01/07/2009 8,550,000
------------
NEW JERSEY -- 0.4%
Essex County New Jersey Improvement Authority Revenue Bonds,
Pooled Governmental Loan Program, LOC: First Union National
Bank(a) 1,700,000 1.280 01/07/2009 1,700,000
------------
NEW YORK -- 4.5%
City of New York, New York, Subseries J2-RMKT, LOC:
Westdeutsche Landesbank(a) 7,800,000 0.700 01/07/2009 7,800,000
New York City Transitional Finance Authority Revenue Bonds,
Future Tax Secd, Series C(b) 1,865,000 5.250 05/01/2009 1,904,745
New York State Local Government Assistance Corporation Revenue
Bonds, Sub Lien, Series A-2, INS: GO of Corporation 1,250,000 5.000 04/01/2009 1,259,869
Triborough Bridge & Tunnel Authority Revenue Bonds, Series CD
RMK 06/20/07, SPA: Lloyds TSB Bank PLC(a) 6,630,000 1.650 01/07/2009 6,630,000
------------
17,594,614
------------
NORTH CAROLINA -- 1.0%
Charlotte North Carolina COPs, Governmental Facilities, Series F,
SPA: Bank of America N.A.(a) 965,000 1.200 01/01/2009 965,000
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
NORTH CAROLINA (CONTINUED)
City of Winston-Salem North Carolina Water and Sewer Systems
Revenue Bonds, Series C, SPA: Dexia Credit Local(a) 1,970,000 1.500 01/07/2009 1,970,000
Mecklenburg County North Carolina, GO Unlimited, Series C 950,000 5.000 02/01/2009 952,606
------------
3,887,606
------------
OHIO -- 0.9%
Butler County Ohio Healthcare Facilities Revenue Bonds,
Improvement-Lifesphere Project, LOC: U.S. Bank NA(a) 1,400,000 1.050 01/01/2009 1,400,000
Cleveland Cuyahoga County Ohio Port Authority Revenue Bonds,
Euclid/93rd Garage Office, LOC: Fifth Third Bank(a) 995,000 4.250 01/07/2009 995,000
Ohio State Higher Educational Facility Commission Revenue Bonds,
University Hospitals Health System, Series C, LOC: Wells Fargo
Bank N.A.(a) 1,000,000 0.650 01/07/2009 1,000,000
------------
3,395,000
------------
OREGON -- 0.4%
Oregon State, Series 73 G, SPA:
JP Morgan Chase Bank(a) 1,500,000 0.600 01/07/2009 1,500,000
------------
PENNSYLVANIA -- 2.1%
City of Philadelphia Pennsylvania Gas Works Revenue Bonds, Sixth
Series, INS: FSA(a) 1,990,000 4.000 01/01/2009 1,990,000
Erie Pennsylvania Water Authority Revenue Bonds, Series A, INS:
FSA, SPA:
JP Morgan Chase Bank(a) 920,000 3.000 01/01/2009 920,000
Pennsylvania State Turnpike Commission Turnpike Revenue Bonds,
Series A-2, SPA: Landesbank Baden-Wuerttemberg(a) 1,400,000 0.750 01/07/2009 1,400,000
Washington County Pennsylvania Authority Revenue Bonds,
University of Pennsylvania(a) 3,965,000 0.750 01/01/2009 3,965,000
------------
8,275,000
------------
PUERTO RICO -- 1.3%
Puerto Rico Highway & Transportation Authority, Revenue Bonds,
Series R, INS: MBIA, SPA: Bank of America N.A.(a) 5,000,000 4.100 01/01/2009 5,000,000
------------
SOUTH CAROLINA -- 2.0%
City of Rock Hill SC, Revenue Bonds Series B, INS: FSA, SPA:
First Union National Bank(a) 7,755,000 0.800 01/07/2009 7,755,000
South Carolina Transportation Infrastructure Bank Revenue Bonds,
Series 1283, INS: AMBAC, LIQ: JP Morgan Chase Bank(a) 25,000 1.330 01/01/2009 25,000
------------
7,780,000
------------
TENNESSEE -- 1.3%
Shelby County Health Educational & Housing Facilities Board,
Revenue Bonds, PUTTERS Series 254, LIQ: JP Morgan Chase
Bank(a) 4,995,000 1.280 01/01/2009 4,995,000
------------
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
PRINCIPAL DATE
AMOUNT RATE OF VALUE
OR SHARES % MATURITY $
---------- ----- ---------- ------------
TEXAS -- 7.5%
Austin County Texas Industrial Development Corp Revenue Bonds,
Justin Industries, Inc. Project, LOC: Bank One N.A.(a) 3,500,000 0.750 01/07/2009 3,500,000
City of Austin, Revenue Bonds, Series B, LOC: Dexia Credit
Local(a) 10,000,000 3.400 01/01/2009 10,000,000
City of Garland Texas, GO Limited(b) 5,000,000 5.750 02/15/2009 5,024,663
Denton Texas Independent School District, School Building,
Series B, INS:
PSF-GTD, SPA: Bank of America N.A.(a) 1,000,000 1.150 01/01/2009 1,000,000
Odessa Texas Water & Sewer Revenue Bonds, INS: FSA(b) 1,585,000 5.375 04/01/2009 1,599,494
Texas A&M University Revenue Bonds, Financing Systems(b) 4,000,000 5.375 05/15/2009 4,052,218
University of Texas, University Revenue Bonds, Financing Systems,
Series A(a) 3,800,000 0.400 01/07/2009 3,800,000
------------
28,976,375
------------
UTAH -- 0.4%
Murray City Utah Hospital Revenue Bonds, IHC Health Services,
Inc., Series A, INS: J.P. Morgan Securities(a) 1,500,000 0.800 01/01/2009 1,500,000
------------
VIRGINIA -- 0.5%
County of Chesterfield Virginia, Public Improvements, GO
Unlimited 2,160,000 4.000 01/01/2009 2,160,000
------------
WASHINGTON -- 0.6%
Port Vancouver Washington Revenue Bonds, United Grain
Corporation, Series 84A, LOC: Bank of America N.A.(a) 2,000,000 0.800 01/07/2009 2,000,000
Seattle Washington Water Systems Revenue Bonds, Series A, LOC:
Bayerische Landesbank(a) 400,000 0.780 01/07/2009 400,000
------------
2,400,000
------------
WISCONSIN -- 2.8%
Wisconsin State HEFA Revenue Bonds, Ascension Health,
Series D(a) 6,040,000 1.750 04/01/2009 6,040,000
Wisconsin State HEFA Revenue Bonds, Gundersen Lutheran,
Series A, LOC: Wells Fargo Bank N.A.(a) 5,000,000 1.080 01/01/2009 5,000,000
------------
11,040,000
------------
Total Short-Term Tax-Exempt Obligations 288,031,357
------------
MONEY MARKET FUND -- 25.4%
Dreyfus Tax Exempt Cash Management Fund 98,799,778 98,799,778
------------
Total Money Market Fund (at net asset value) 98,799,778
------------
TOTAL INVESTMENTS+ -- 99.6%
(COST $386,831,135) 386,831,135
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% 1,615,661
------------
NET ASSETS -- 100.0% $388,446,796
============
See Notes to Financial Statements.
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
- ----------
(a) Floating Rate Note- Interest rate shown is rate in effect at December 31,
2008.
(b) Date shown is the pre-refunded date.
+ See Note 2 of the Notes to Financial Statements
ACRONYM NAME
- ------- ----
AMBAC American Municipal Bond Assurance Corporation
BHAC Berkshire Hathaway Assurance Corporation
COP Certificates of Participation
CR Custodial Receipts
EDA Economic Development Authority
FAC Facilities
FSA Financial Security Assurance
GO General Obligation
GTD Guaranteed
HEFA Health and Educational Facilities Authority
IBC Insured Bond Certificates
INS Insured
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Municipal Bond Investors Assurance
PSF Permanent School Fund
PUTTER Puttable Tax Exempt Receipts
ROC Reset Option Certificates
SPA Standby Purchase Agreement
See Notes to Financial Statements.
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- ---------------------- -----------------
Repurchase Agreements 65.0%
U.S. Government Agency Securities 35.0
Liabilities in Excess of Assets 0.0
-----
TOTAL 100.0%
=====
MATURITY LADDER* DECEMBER 31, 2008
- ---------------- -----------------
0-3 Days 65.0%
4-90 Days 30.3
90+ Days 4.7
TOTAL 100.0%
-----
Average days to maturity 24
=====
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 35.0%
Fannie Mae Discount Notes(a) 1.100% 02/03/2009 $ 75,000,000 $ 74,924,375
Fannie Mae Discount Notes(a) 1.100% 02/04/2009 75,000,000 74,922,083
Fannie Mae Discount Notes(a) 0.850% 02/17/2009 59,705,000 59,638,744
Fannie Mae Discount Notes(a) 2.320% 02/17/2009 86,000,000 85,739,515
Fannie Mae Discount Notes(a) 0.750% 03/27/2009 85,000,000 84,849,479
Fannie Mae Discount Notes(a) 1.150% 05/01/2009 50,000,000 49,808,333
Fannie Mae Discount Notes(a) 0.600% 06/11/2009 21,000,000 20,943,650
Federal Home Loan Bank Discount Notes(a) 2.240% 01/20/2009 100,000,000 99,881,778
Federal Home Loan Bank Discount Notes(a) 0.750% 03/04/2009 125,000,000 124,838,542
Federal Home Loan Bank Discount Notes(a) 1.600% 05/26/2009 70,000,000 69,548,889
Freddie Mac Discount Notes(a) 1.050% 02/06/2009 50,000,000 49,947,500
Freddie Mac Discount Notes(a) 2.050% 02/11/2009 20,000,000 19,953,306
Freddie Mac Discount Notes(a) 2.300% 02/24/2009 57,000,000 56,803,350
Freddie Mac Discount Notes(a) 2.000% 03/10/2009 50,000,000 49,811,111
Freddie Mac Discount Notes(a) 1.270% 03/24/2009 75,000,000 74,783,042
Freddie Mac Discount Notes(a) 1.200% 03/25/2009 40,000,000 39,889,333
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 1,036,283,030
--------------
REPURCHASE AGREEMENTS -- 65.0%
Bank of America Tri Party Repo, dated 12/31/08
(collateralized by Federal National Mortgage
Association, 4.250% -- 6.375% due
06/15/09 -- 04/24/13 valued at
$115,301,395); proceeds $113,040,063 0.010% 01/02/2009 113,040,000 113,040,000
Barclays Capital Tri Party Repo, dated 12/31/08
(collateralized by U.S. Treasury Strip, 0.000% due
08/15/17 valued at $117,300,000);
proceeds $115,000,128 0.020% 01/02/2009 115,000,000 115,000,000
BNP Tri Party Repo dated 12/31/08 (collateralized by
Federal Home Loan Bank, 0.000% -- 5.250% due
01/14/09 -- 02/13/23, Federal Home Loan Mortgage,
0.000% -- 6.070% due 07/14/11 -- 01/19/27 and
Federal National Mortgage Association, 4.750% --
5.867% due 11/19/12 -- 08/21/17 valued at
$688,500,366); proceeds $675,000,750 0.020% 01/02/2009 675,000,000 675,000,000
Deutsche Tri Party Repo, dated 12/31/08
(collateralized by Federal National Mortgage
Association, 4.750% due 03/12/10 and Federal Home
Loan Mortgage Corp., 5.680% due 09/14/17 valued at
$117,300,136); proceeds $115,000,319 0.050% 01/02/2009 115,000,000 115,000,000
HSBC Tri Party Repo, dated 12/31/08 (collateralized
by Resolution Funding Strips, 0.000% due 01/15/13
-- 04/15/17 valued at $117,303,407); proceeds
$115,000,192 0.030% 01/02/2009 115,000,000 115,000,000
ING Tri Party Repo, dated 12/31/08 (collateralized by
Federal Home Loan Discount Note, 0.000% due
02/26/09 valued at $117,305,000); proceeds
$115,000,192 0.030% 01/02/2009 115,000,000 115,000,000
See Notes to Financial Statements.
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
REPURCHASE AGREEMENTS (CONTINUED)
UBS Warburg Tri Party Repo, dated 12/31/08
(collateralized by Resolution Funding
Strips, 0.000% due 01/15/14 -- 07/15/18 and
Resolution Funding Strip Principals,
8.625% -- 9.375%, due 10/15/20 -- 01/15/21 valued
at $688,501,234); proceeds $675,001,500 0.040% 01/02/2009 675,000,000 675,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,923,040,000
--------------
TOTAL INVESTMENTS+ -- 100.0% 2,959,323,030
LIABILITIES IN EXCESS OF ASSETS -- 0.00% (287,470)
--------------
NET ASSETS -- 100.0% $2,959,035,560
==============
(a) Discount rate at time of purchase.
+ See Note 2 of the Notes to Financial Statements
See Notes to Financial Statements.
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- ---------------------- -----------------
U.S. Treasury Obligations 129.5%
Liabilities in Excess of Assets (29.5)
TOTAL 100.0%
MATURITY LADDER* DECEMBER 31, 2008
- ---------------- -----------------
0-3 Days 26.3%
4-90 Days 103.2
90+ Days 0.0
TOTAL 129.5%
Average days to maturity 20
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. TREASURY OBLIGATIONS -- 129.5%
United States Treasury Bill 0.003% 01/02/2009 $ 17,870,000 $ 17,869,999
United States Treasury Bill 0.005% 01/02/2009 78,000,000 77,999,989
United States Treasury Bill 0.020% 01/02/2009 297,035,000 297,034,835
United States Treasury Bill 0.025% 01/02/2009 25,000,000 24,999,983
United States Treasury Bill 0.030% 01/02/2009 50,000,000 49,999,958
United States Treasury Bill 0.040% 01/02/2009 65,000,000 64,999,928
United States Treasury Bill 0.805% 01/02/2009 24,721,000 24,720,447
United States Treasury Bill 0.000% 01/08/2009 360,000,000 360,000,000
United States Treasury Bill 0.003% 01/08/2009 85,000,000 84,999,959
United States Treasury Bill 0.010% 01/08/2009 104,466,000 104,465,797
United States Treasury Bill 0.000% 01/15/2009 200,000,000 200,000,000
United States Treasury Bill 0.003% 01/22/2009 450,000,000 449,999,344
United States Treasury Bill 0.100% 01/22/2009 108,883,000 108,876,648
United States Treasury Bill 0.003% 01/29/2009 625,000,000 624,998,828
United States Treasury Bill 0.003% 02/12/2009 95,000,000 94,999,723
United States Treasury Bill 0.005% 03/12/2009 140,000,000 139,998,639
United States Treasury Bill 0.050% 03/19/2009 20,000,000 19,997,861
--------------
TOTAL U.S. TREASURY OBLIGATIONS 2,745,961,938
--------------
TOTAL INVESTMENTS -- 129.5% 2,745,961,938
LIABILITIES IN EXCESS OF ASSETS -- (29.5)% (625,266,898)
--------------
NET ASSETS -- 100.0% $2,120,695,040
==============
+ See Note 2 of the Notes to Financial Statements
See Notes to Financial Statements.
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- ---------------------- -----------------
U.S. Treasury Obligations 82.7%
Repurchase Agreements 17.3
Liabilities in Excess of Assets 0.0
TOTAL 100.0%
MATURITY LADDER* DECEMBER 31, 2008
- ---------------- -----------------
0-3 Days 54.1%
4-90 Days 45.9
90+ Days 0.0
TOTAL 100.0%
Average days to maturity 10
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ ------------
U.S. TREASURY OBLIGATIONS - 82.7%
United States Treasury Bill 0.020% 01/02/2009 $305,000,000 $304,999,830
United States Treasury Bill 0.041% 01/02/2009 45,000,000 44,999,950
United States Treasury Bill 0.000% 01/08/2009 230,000,000 230,000,000
United States Treasury Bill 0.003% 01/08/2009 55,000,000 54,999,973
United States Treasury Bill 0.000% 01/15/2009 75,000,000 75,000,000
United States Treasury Bill 0.005% 03/12/2009 78,000,000 77,999,242
------------
TOTAL U.S. TREASURY OBLIGATIONS 787,998,995
------------
REPURCHASE AGREEMENTS - 17.3%
BNP Tri Party Repo, dated 12/31/08 (collateralized by U.S.
Treasury Strips, 0.000% due 02/15/12 - 08/15/12 valued at
$40,800,001); proceeds $40,000,022 0.010% 01/02/2009 40,000,000 40,000,000
Deutsche Tri Party Repo, dated 12/31/08 (collateralized by
U.S. Treasury Notes, 4.500% - 4.750% due 01/31/12 -
05/15/17 and a U.S. Treasury Strip, 0.000% due 11/15/15
valued at $40,800,001); proceeds $40,000,044 0.020% 01/02/2009 40,000,000 40,000,000
HSBC Tri Party Repo, dated 12/31/08 (collateralized by U.S.
Treasury Bill, 0.000% due 06/24/09, valued at
40,804,375); proceeds $40,000,044 0.020% 01/02/2009 40,000,000 40,000,000
ING Tri Party Repo, dated 12/31/08 (collateralized by a
U.S. Treasury Bond, 4.500% due 05/15/38, valued at
$40,802,064); proceeds $40,000,067 0.030% 01/02/2009 40,000,000 40,000,000
UBS Warburg Tri Party Repo, dated 12/31/08 (collateralized
by a U.S. Treasury Note 0.875% due 06/30/09 valued at
$5,443,575); proceeds $5,333,009 0.030% 01/02/2009 5,333,000 5,333,000
------------
TOTAL REPURCHASE AGREEMENTS 165,333,000
------------
TOTAL INVESTMENTS+ - 100.0% 953,331,995
LIABILITIES IN EXCESS OF ASSETS - 0.00% (162,478)
------------
NET ASSETS - 100.0% $953,169,517
============
+ See Note 2 of the Notes to Financial Statements
See Notes to Financial Statements.
STATE STREET MASTER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2008
TAX FREE U.S. GOVERNMENT TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ --------------- -------------- -------------
ASSETS
Investments, at amortized cost
(Note 2) $4,963,735,889 $386,831,135 $1,036,283,030 $2,745,961,938 $787,998,995
Repurchase Agreements, at
amortized cost (Note 2) 3,633,601,000 -- 1,923,040,000 -- 165,333,000
-------------- ------------ -------------- -------------- ------------
Total investments 8,597,336,889 386,831,135 2,959,323,030 2,745,961,938 953,331,995
Cash -- -- 277 575 658
Receivables:
Interest receivable 9,196,323 1,666,574 1,570 -- 93
Receivable from adviser (Note 3) 133,361 13,768 -- -- --
Prepaid expense 11,068 2,596 13,455 7,341 5,245
-------------- ------------ -------------- -------------- ------------
Total assets 8,606,677,641 388,514,073 2,959,338,332 2,745,969,854 953,337,991
LIABILITIES
Payables:
Investment securities purchased -- -- -- 624,998,828 --
Management fee (Note 3) 585,358 29,326 226,218 203,632 114,171
Due to custodian 34,217 -- -- -- --
Administration and custody fees
(Note 3) 119,898 5,908 45,253 40,892 22,785
Professional fees 30,291 29,885 29,665 29,824 29,881
Accrued expenses and other
liabilities 2,738 2,158 1,636 1,638 1,637
-------------- ------------ -------------- -------------- ------------
Total liabilities 772,502 67,277 302,772 625,274,814 168,474
-------------- ------------ -------------- -------------- ------------
NET ASSETS $8,605,905,139 $388,446,796 $2,959,035,560 $2,120,695,040 $953,169,517
============== ============ ============== ============== ============
See Notes to Financial Statements.
STATE STREET MASTER FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 2008
TAX FREE U.S. GOVERNMENT TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ --------------- ------------ -------------
INVESTMENT INCOME
Interest $ 234,837,818 $ 11,265,227 $39,092,247 $13,487,118 $10,025,171
------------- ------------ ----------- ----------- -----------
EXPENSES
Management fees (Note 3) 8,133,507 466,525 1,864,309 1,275,863 834,761
Administration and custody fees
(Note 3) 1,652,937 94,711 378,087 258,877 169,186
Professional fees 49,529 45,965 44,077 43,618 43,618
Trustee's fees (Note 4) 58,885 14,450 18,772 15,377 14,050
Printing fees 4,108 2,798 786 736 736
Other expenses 48,474 16,979 19,761 17,600 17,226
------------- ------------ ----------- ----------- -----------
Total Expenses 9,947,440 641,428 2,325,792 1,612,071 1,079,577
Less: Fee waivers/reimbursements by
Investment Adviser (Note 3) (1,813,933) (174,903) -- -- --
------------- ------------ ----------- ----------- -----------
Total Net Expenses 8,133,507 466,525 2,325,792 1,612,071 1,079,577
------------- ------------ ----------- ----------- -----------
NET INVESTMENT INCOME $ 226,704,311 $ 10,798,702 $36,766,455 $11,875,047 $ 8,945,594
============= ============ =========== =========== ===========
REALIZED GAIN (LOSS)
Net realized gain (loss) on investments 126,859 (5,787) -- 251,491 12,040
------------- ------------ ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 226,831,170 $ 10,792,915 $36,766,455 $12,126,538 $ 8,957,634
============= ============ =========== =========== ===========
See Notes to Financial Statements.
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TAX FREE
MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
----------------------------------- -------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2008 2007 2008 2007*
---------------- ---------------- --------------- -------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 226,704,311 $ 294,455,764 $ 10,798,702 $ 4,534,841
Net realized gain (loss) on investments 126,859 (6,953) (5,787) 12,161
---------------- ---------------- --------------- -------------
Net increase in net assets from operations 226,831,170 294,448,811 10,792,915 4,547,002
---------------- ---------------- --------------- -------------
CAPITAL TRANSACTIONS
Proceeds from contributions 23,607,267,075 14,082,546,440 1,639,452,798 743,338,878
Fair value of withdrawals (22,146,456,134) (13,655,849,339) (1,709,477,422) (300,207,375)
---------------- ---------------- --------------- -------------
Net increase (decrease) in net assets from
capital transactions 1,460,810,941 426,697,101 (70,024,624) 443,131,503
---------------- ---------------- --------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 1,687,642,111 721,145,912 (59,231,709) 447,678,505
NET ASSETS
Beginning of period 6,918,263,028 6,197,117,116 447,678,505 --
---------------- ---------------- --------------- -------------
End of period $ 8,605,905,139 $ 6,918,263,028 $ 388,446,796 $ 447,678,505
================ ================ =============== =============
U.S. GOVERNMENT
MONEY MARKET
PORTFOLIO
--------------------------------
YEAR ENDED PERIOD ENDED
DECEMBER 31, DECEMBER 31,
2008 2007*
--------------- --------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 36,766,455 $ 10,808,121
Net realized gain (loss) on investments -- --
--------------- --------------
Net increase in net assets from operations 36,766,455 10,808,121
--------------- --------------
CAPITAL TRANSACTIONS
Proceeds from contributions 6,186,760,689 1,801,532,181
Fair value of withdrawals (4,341,285,901) (735,545,985)
--------------- --------------
Net increase (decrease) in net assets from
capital transactions 1,845,474,788 1,065,986,196
--------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 1,882,241,243 1,076,794,317
NET ASSETS
Beginning of period 1,076,794,317 --
--------------- --------------
End of period $ 2,959,035,560 $1,076,794,317
=============== ==============
* The portfolios commenced operations on February 7, 2007 and October 17,
2007, respectively.
See Notes to Financial Statements.
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO
------------------------------- -------------------------------
YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2008 2007* 2008 2007*
--------------- ------------- --------------- -------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 11,875,047 $ 2,370,783 $ 8,945,594 $ 3,784,290
Net realized gain on investments 251,491 8,735 12,040 --
--------------- ------------- --------------- -------------
Net increase in net assets from operations 12,126,538 2,379,518 8,957,634 3,784,290
--------------- ------------- --------------- -------------
CAPITAL TRANSACTIONS
Proceeds from contributions 6,954,182,584 652,230,533 3,572,872,637 934,443,802
Fair value of withdrawals (5,375,718,016) (124,506,117) (3,091,850,797) (475,038,049)
--------------- ------------- --------------- -------------
Net increase in net assets from
capital transactions 1,578,464,568 527,724,416 481,021,840 459,405,753
--------------- ------------- --------------- -------------
NET INCREASE IN NET ASSETS 1,590,591,106 530,103,934 489,979,474 463,190,043
NET ASSETS
Beginning of period 530,103,934 -- 463,190,043 --
--------------- ------------- --------------- -------------
End of period $ 2,120,695,040 $ 530,103,934 $ 953,169,517 $ 463,190,043
=============== ============= =============== =============
* The portfolios commenced operations on October 25, 2007 and October 24,
2007, respectively.
See Notes to Financial Statements.
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 2.75% 0.12% 0.10% 2.79% $8,605,905
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(b) 0.68% 0.18% * 0.10% * 1.71% * 381,716
TAX FREE MONEY MARKET PORTFOLIO
2008 2.35% 0.14% 0.10% 2.32% 388,447
2007(b) 3.19% 0.17% * 0.10% * 3.42% * 447,679
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
2008 2.19% 0.13% 0.13% 1.97% 2,959,036
2007(b) 0.92% 0.14% * 0.14% * 4.39% * 1,076,794
TREASURY MONEY MARKET PORTFOLIO
2008 1.28% 0.13% 0.13% 0.93% 2,120,695
2007(b) 0.61% 0.19% * 0.19% * 3.21% * 530,104
TREASURY PLUS MONEY MARKET PORTFOLIO
2008 1.57% 0.13% 0.13% 1.07% 953,170
2007(b) 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.
(b) The portfolios commenced operations on August 12, 2004, February 7, 2007,
October 17, 2007, October 25, 2007 and October 24, 2007, respectively.
* Annualized.
See Notes to Financial Statements.
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
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, the State Street U.S. Government Money Market Portfolio, the State
Street Treasury Money Market Portfolio and the State Street Treasury Plus Money
Market Portfolio. At December 31, 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 Free 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.
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
The Portfolios' investment objectives are as follows:
PORTFOLIO NAME INVESTMENT OBJECTIVE
- -------------- --------------------
State Street Money Market Portfolio To seek to maximize current income, to the
extent consistent with the preservation of
capital and liquidity by investing in
dollar denominated securities.
State Street Tax Free Money Market To seek to maximize current income, exempt
Portfolio from federal income taxes, to the extent
consistent with the preservation of
capital and liquidity.
State Street U.S. Government Money To seek to maximize current income, to the
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 Market To seek a high level of current income
Portfolio consistent with preserving principal and
liquidity.
State Street Treasury Plus Money To seek a high level of current income
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 Portfolio'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 Portfolio's
own assumptions in determining the fair value of investments)
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
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 December 31, 2008, in
valuing the Portfolio'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 $ -- $ 98,799,778 $ -- $ -- $ --
Level 2 -- Other
Significant Observable
Inputs 8,597,336,889 288,031,357 2,959,323,030 2,745,961,938 953,331,995
Level 3 -- Significant
Unobservable Inputs -- -- -- -- --
Total $8,597,336,889 $386,831,135 $2,959,323,030 $2,745,961,938 $953,331,995
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities transactions
are recorded on a trade date basis for financial statement purposes. Interest
income is recorded daily on the accrual basis and includes amortization of
premium and accretion of discount on investments. Realized gains and losses from
securities transactions are recorded on the basis of identified cost. Expenses
are accrued daily.
All of the net investment income and realized gains and losses from the security
transactions of the Portfolios are allocated pro rata among the partners in the
Portfolios based on each partner's daily ownership percentage.
FEDERAL INCOME TAXES: The Portfolios are not required to pay federal income
taxes on their net investment income and net capital gains because they are
treated as partnerships for federal income tax purposes. All interest, gains and
losses of the Portfolios are deemed to have been "passed through" to the
Portfolios' partners in proportion to their holdings in the respective
Portfolio, regardless of whether such items have been distributed by the
Portfolios. Each partner is responsible for tax liability based on its
distributive share; therefore, no provision has been made for federal income
taxes.
The Portfolio has reviewed the tax positions for open years as of December 31,
2008, and determined the Portfolios did not have a liability for any
unrecognized tax expenses. The Portfolios recognize interest and penalties, if
any, related to tax liabilities as income tax expense in the Statement of
Operations. As of December 31, 2008, tax years 2005 (or since inception, for
Portfolios formed subsequent to 2005) through 2008 remain subject to examination
by the Portfolios' major tax jurisdictions, which include the United State of
America and the Commonwealth of Massachusetts.
At December 31, 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 generally within seven days. The total amount received by a
Portfolio on repurchase is calculated to exceed the price paid by the Portfolio,
reflecting an agreed-upon market rate of interest for the period of time to the
settlement date, and is not necessarily related to the
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
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 the Portfolios in accordance with their
investment objectives, policies, and limitations. In compensation for the
Adviser's services as investment adviser, each Portfolio pays the Adviser an
annual fee of 0.10% of the respective Portfolio's average daily net assets. The
Adviser has contractually agreed to cap the total operating expenses of the
State Street Money Market Portfolio and the State Street Tax Free Money Market
Portfolio at 0.10% of the respective Portfolio's average daily net assets until
April 30, 2009. For the year ended December 31, 2008, SSgA FM reimbursed the
Portfolios under this agreement as follows:
FUND AMOUNT
- ---- ----------
State Street Money Market Portfolio $1,813,933
State Street Tax Free Money Market Portfolio 174,903
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 at and payable monthly at the
applicable fee rate
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
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 for the trust: $150,000
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.
6. NEW ACCOUNTING PRONOUNCEMENTS
On March 19, 2008, the FASB released Statement of Financial Accounting Standards
No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS
161"). FAS 161 requires qualitative disclosures about objectives and strategies
for using derivatives, quantitative disclosures about fair value amounts of and
gains and losses on derivative instruments, and disclosures about credit-risk
related contingent features in derivative agreements. The application of FAS 161
is required for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. At this time, management is evaluating the
implications of FAS 161 and believes the impact of adopting FAS 161 will be
limited to additional disclosures.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds:
We have audited the accompanying statements of assets and liabilities of the
State Street Money Market Portfolio, State Street Tax Free Money Market
Portfolio, State Street U.S. Government Money Market Portfolio, State Street
Treasury Money Market Portfolio, and State Street Treasury Plus Money Market
Portfolio (five of the portfolios constituting State Street Master Funds) (the
"Portfolios"), including the portfolios of investments, as of December 31, 2008,
and the related statements of operations for the year then ended, and the
statements of changes in net assets and financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Portfolios' management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolios' internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolios' internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2008, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Money Market Portfolio, State Street Tax Free Money Market
Portfolio, State Street U.S. Government Money Market Portfolio, State Street
Treasury Money Market Portfolio, and State Street Treasury Plus Money Market
Portfolio of State Street Master Funds at December 31, 2008, the results of
their operations for the year then ended, and the changes in their net assets
and the financial highlights for each of the periods indicated therein, in
conformity with U.S. generally accepted accounting principles.
ERNST & YOUNG LLP
Boston, Massachusetts
February 23, 2009
STATE STREET MASTER FUNDS
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolios. 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 Portfolios voted proxies relating to portfolio securities
during the most recent 12-month period ending December 31 is available by
February 28 (i) without charge, upon request, by calling (877) 521-4083 or (ii)
on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on November 20, 2008 (the "Meeting") to
consider the approval of the investment advisory agreements (the "Advisory
Agreements") for State Street Money Market Portfolio (the "Money Market
Portfolio"), State Street Tax Free Money Market Portfolio (the "Tax Free
Portfolio"), State Street U.S. Government Money Market Portfolio (the "U.S.
Government Portfolio"), State Street Treasury Money Market Fund (the "Treasury
Portfolio") and State Street Treasury Plus Money Market Portfolio (the "Treasury
Plus Portfolio") (collectively, the "Portfolios"). In preparation for
considering the Advisory Agreements, the Trustees had thoroughly reviewed the
renewal materials provided by the investment adviser, which they had requested
through independent counsel. In deciding whether to renew the Advisory
Agreements, the Trustees considered various factors, including (i) the nature,
extent and quality of the services provided by the SSgA Funds Management, Inc.
(the "Adviser") under the Advisory Agreements, (ii) the investment performance
of the Portfolios, (iii) the costs to the Adviser of its services and profits
realized by the Adviser and its affiliates from their relationship with the
Trust, (iv) the extent to which economies of scale would be realized if and as
the Trust grows and whether the fee levels in the Advisory Agreements reflect
these economies of scale, and (v) any additional benefits to the Adviser from
its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the
Adviser, the Trustees relied on their prior direct experience as Trustees of the
Trust as well as on the materials provided at the Meeting. The Board reviewed
the Adviser's responsibilities under the Advisory Agreements and noted the
experience and expertise that would be appropriate to expect of an adviser to
the Portfolios, which are money market funds. The Trustees reviewed the
background and experience of the Adviser's senior management, including those
individuals responsible for the investment and compliance operations relating to
the investments of the Portfolios, and the responsibilities of the latter with
respect to the Portfolios. They also considered the resources, operational
structures and practices of the Adviser in managing the Portfolios' investments,
in monitoring and securing the Portfolios' compliance with their investment
objectives and policies with respect to their investments and with applicable
laws and regulations, and in seeking best execution of portfolio transactions.
The Trustees also considered
STATE STREET MASTER FUNDS
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008 (CONTINUED)
information about the Adviser's overall investment management business, noting
that the Adviser manages assets for a variety of institutional investors and
that the Adviser and its affiliates had over $1.69 trillion in assets under
management as of September 30, 2008, including over $157 billion managed by the
Adviser. They reviewed information regarding State Street's business continuity
and disaster recovery program. Drawing upon the materials provided and their
general knowledge of the business of the Adviser, the Trustees determined that
the experience, resources and strength of the Adviser in the management of money
market products are exceptional. As discussed more fully below, they also
determined that the advisory fees for the Portfolios were fair and reasonable
and that their performance and expense ratios were satisfactory. On the basis of
this review, the Trustees determined that the nature and extent of the services
provided by the Adviser to the Portfolios were appropriate, had been of
uniformly high quality, and could be expected to remain so.
The Trustees noted that, in view of the investment objectives of the Portfolios,
the investment performance was satisfactory. The Trustees noted that, for the
Money Market Portfolio and the Tax Free Portfolio, materials provided by Lipper
Inc. at the Meeting indicated that the Portfolios' performance had been above
average for their respective Lipper peer groups for the reported (three-year,
one-year and year-to-date, as applicable) periods ending September 30, 2008. For
the U.S. Government Portfolio, the Treasury Portfolio and the Treasury Plus
Portfolio, none of which had yet posted one-year performance data, the Board
determined that there was not yet sufficient information to draw meaningful
conclusions about their performance. The Board concluded that, to the extent
that meaningful performance data were available, the performance of the
Portfolios was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships to the Trust. The Trustees had been
provided with data regarding the profitability to the Adviser and its affiliated
service providers with respect to the Portfolios individually, and on an
aggregate basis, for the year ended June 30, 2008. Having discussed with
representatives of the Adviser the methodologies used in computing the costs
that formed the bases of the profitability calculations, they concluded that
these methodologies were reasonable and turned to the data provided. After
discussion and analysis they concluded that, to the extent that the Adviser's
and State Street's relationships with the Trust had been profitable to either or
both those entities, the profitability was in no case such as to render the
advisory fees excessive.
In order better to evaluate the Portfolios' advisory fees, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that the Portfolios'
advisory fees and total expense ratios were lower than the average for their
peer groups; after discussion, they concluded that the data available provided
confirmation of the reasonableness of the Adviser's fees. The Board also
considered that to help limit expenses of the Money Market Portfolio and the Tax
Free Portfolio, the Adviser had reduced its advisory fee or otherwise reimbursed
expenses for those Portfolios. The Board determined that the Adviser's fees were
fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust's relationship with State Street as fund
administrator and custodian. They noted that the Adviser utilizes no soft-dollar
arrangements in connection with the Portfolios' brokerage transactions. The
Trustees concluded that, to
STATE STREET MASTER FUNDS
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008 (CONTINUED)
the extent that the Adviser or its affiliates derive other benefits from their
relationships with the Trust, those benefits are not so significant as to render
the Adviser's fees excessive.
The Board also considered the extent to which economies of scale may be realized
by the Portfolios as assets grow and whether the Portfolios' fee levels reflect
such economies of scale, if any, for the benefit of investors. In considering
the matter, the Board determined that, to the extent economies of scale were in
fact realized, such economies of scale were shared with the Portfolios by virtue
of advisory fees of comparatively low levels that subsumed economies of scale in
the fees themselves. The Trustees also recognized, however, that should
sustained, substantial asset growth be realized in the future, it might be
necessary to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one
factor being dispositive, the Board decided to approve the continuance of the
Advisory Agreements.
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED)
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS
IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- -------------------- ---------------- -------------------------- ----------- -------------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Chairman Term: Indefinite Chairman, Holland & 22 Trustee, State Street
Holland & Company, of the Board Elected: 7/99 Company L.L.C. Institutional Investment
LLC 375 Park Avenue (investment adviser) Trust; Director, the
New York, NY 10152 (1995 - present). Holland Series Fund,
Inc.; Director, The China
DOB: 1944 Fund, Inc.; Chairman
and Trustee, Scottish
Widows Investment
Partnership Trust; and
Director, Reaves Utility
Income Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual 22 Trustee, State Street
State Street Master Elected: 7/99 South Africa Master Institutional Investment
Funds P.O. Box 5049 Trust (investments) Trust; and Trustee, Old
Boston, MA 02206 (1995 - present); Mutual South Africa
Chairman emeritus, Master Trust
DOB: 1937 Children's Hospital
(1984 - present);
Director, Boston Plan
For Excellence (non-
profit) (1994 - present);
President and Chief
Operations Officer, John
Hancock Mutual Life
Insurance Company
(1959 - 1999). Mr.
Boyan retired in 1999.
Rina K. Spence Trustee Term: Indefinite President of SpenceCare 22 Trustee, State Street
State Street Master Elected: 7/99 International LLC Institutional Investment
Funds P.O. Box 5049 (1998 - present); Trust; Director,
Boston, MA 02206 Member of the Advisory Berkshire Life Insurance
Board, Ingenium Corp. Company of America;
DOB: 1948 (technology company) and Director,
(2001 - present); Chief IEmily.com
Executive Officer,
IEmily.com (internet
company) (2000 - 2001);
Chief Executive Officer
of Consensus
Pharmaceutical, Inc.
(1998 - 1999); Founder,
President and Chief
Executive Officer of
Spence Center for Women's
Health (1994 - 1998);
Trustee, Eastern
Enterprise (utilities)
(1988 - 2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice President 22 Trustee, State Street
State Street Master Elected: 7/99 of Chase Manhattan Institutional Investment
Funds Bank (1987 - 1999). Trust
P.O. Box 5049 Boston, Mr. Williams retired in
MA 02206 1999.
DOB: 1940
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
NUMBER OF
FUNDS
IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- -------------------- ---------------- -------------------------- ----------- -------------------------
INTERESTED TRUSTEES(1)
James E. Ross Trustee President Term: Indefinite President, SSgA Funds 22 Trustee, State Street
SSgA Funds Elected Trustee: Management, Inc. Institutional Investment
Management, Inc. 2/07 Elected (2005 - present); Trust; Trustee, SPDR(R)
State Street Financial President: 4/05 Principal, SSgA Funds Series Trust; Trustee,
Center Management, Inc. SPDR(R) Index Shares
One Lincoln Street (2001 - 2005); Senior Trust and Trustee,
Boston, MA 02111-2900 Managing Director, Select Sector SPDR(R)
State Street Global Trust
DOB: 1965 Advisors (March 2006 -
present); Principal, State
Street Global Advisers
(2000 - 2006).
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President of -- --
State Street Bank and Elected: 5/05 State Street Bank and
Trust Company 2 Trust Company (2002 -
Avenue de Lafayette present).
Boston, MA 02111
DOB: 1951
Laura F. Healy Assistant Treasurer Term: Indefinite Vice President of State -- --
State Street Bank and Elected: 11/08 Street Bank and Trust
Trust Company 2 Company (prior to
Avenue de Lafayette July 2, 2008, Investors
Boston, MA 02111 Financial Corporation)
since 2002.
DOB: 1964
Brian D. O'Sullivan Assistant Treasurer Term: Indefinite Vice President of State -- --
State Street Bank and Elected: 11/08 Street Bank and Trust
Trust Company Company (2007 -
801 Pennsylvania present) with which he
Avenue Kansas City, has been affiliated with
MO 64105 since 1997.
DOB: 1975
Peter T. Sattelmair Assistant Treasurer Term: Indefinite Director of Fund -- --
State Street Bank and Elected: 11/08 Administration of State
Trust Company 801 Street Bank and Trust
Pennsylvania Avenue Company (2007 -
Kansas City, MO 64105 present) with which he
has been affiliated with
DOB: 1977 since 1999.
- ----------
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
NUMBER OF
FUNDS
IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE PRINCIPAL COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- -------------------- ---------------- -------------------------- ----------- -------------------------
OFFICERS: (CONTINUED)
Julie Piatelli Chief Compliance Term: Indefinite Principal and Senior -- --
SSgA Funds Officer Elected: 7/07 Compliance and Risk
Management, Inc. Management Officer,
State Street Financial SSgA Funds
Center Management, Inc.
One Lincoln Street (2004-present), Vice
Boston, MA 02111 President State Street
DOB: 1967 Global Advisors
(2004 - present).
Nancy L. Conlin Secretary Term: Indefinite Vice President and -- --
State Street Bank and Elected: 2/09 Managing Counsel,
Trust Company State Street Bank and
2 Avenue de Lafayette Trust Company (2007 -
Boston MA 02111 present); General
Counsel, Plymouth
DOB: 1953 Rock Companies
(2004 - 2007).
Brian C. Poole Assistant Secretary Term: Indefinite Vice President and -- --
State Street Bank and Elected 9/08 Counsel (2008 -
Trust Company 4 Copley present) and Associate
Place, 5th Floor Boston, Counsel (2004 - 2007),
MA 02116 State Street Bank and
Trust Company
DOB: 1971 (formerly Investors
Bank and Trust
Company); Legal
Product Manager,
Fidelity Investments
(2000 - 2004).
- ----------
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
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
CUSTODIAN
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET EQUITY 500 INDEX PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2008
STATE STREET EQUITY 500 INDEX PORTFOLIO
The State Street Equity 500 Index Portfolio (the "Portfolio") seeks to match as
closely as possible, before expenses, the performance of the Standard & Poor's
500 Composite Stock Price Index (the "Index"). In seeking this objective, the
Portfolio utilizes a passive management strategy designed to track the
performance of the Index.
For the 12-month period ended December 31, 2008 (the "Reporting Period"), the
total return for the Portfolio was -37.02%, and the total return for the Index
was -37.00%. The Portfolio and Index returns reflect the reinvestment of
dividends and other income. The Portfolio's performance reflects the expenses of
managing the Portfolio, including brokerage and advisory expenses. The Index is
unmanaged and Index returns do not reflect fees and expenses of any kind, which
would have a negative impact on returns.
Equity markets in 2008 will be reviewed and studied for years to come. The S&P
500 fell 37% during the year. It was the worst showing in U.S equity markets
since the 1930s. There were many headlines during the year and much of the news
concerning the stock market was not positive. The year started with a futures
position that cost Societe Generale billions of dollars in losses. Stress in the
debt markets created ripple effects into the stock market and the broad economy.
In March, Bear Stearns was rescued from the brink of bankruptcy when the
government arranged a takeover by JP Morgan Chase.
As summer approached, commodity prices continued to rise. Oil hovered near $140
per barrel at the end of June and inflation and recession fears were widespread
in the market. Liquidity in fixed income and money markets was poor throughout
the period, but the worst was yet to come. In early September, the markets began
one of the wildest periods in history. In the span of a few weeks: Lehman
Brothers filed for bankruptcy; Merrill Lynch entered a merger with Bank of
America; Fannie Mae and Freddie Mac were nationalized; Morgan Stanley and
Goldman Sachs became bank holding companies; AIG received a government loan ($85
billion at announcement, later increasing to over $100 billion;) and Washington
Mutual one of the country's largest banks was taken over by the Federal Deposit
Insurance Corporation (the "FDIC"). During the same period, money markets
effectively froze and the flight to quality was such a rush that T-Bills traded
with negative yields.
Governments across the globe responded with multiple policies to restore
confidence in the markets. Capital was invested into banks, money market funds
were temporarily guaranteed, FDIC insurance was increased, short term debt
facilities were created to increase liquidity and confidence, interest rates
were cut to historical lows, money supplies were dramatically increased, and
fiscal stimulus plans were launched.
December had some bright spots as equity markets improved off their November
lows and conditions in the credit markets showed some improvement. While it is
too early to tell if the markets have turned, the extreme volatility seems to
have subsided for the moment. Markets ended the year with news of an alleged
Ponzi scheme involving a very large hedge fund. While this news did not directly
impact capital markets, it was another blow to already weary investors.
Equity markets were hit hard across every size, sector and region during 2008.
Large and small, value and growth, EAFE and Emerging, all took significant
losses during the year. The Index fell 37.00%, Russell 2000 Index fell 33.79%,
MSCI EAFE Index fell 43.38%, and MSCI Emerging Markets Index fell 53.33%.
Russell 1000 Value Index fell 37.60% while Russell 1000 Growth fell 38.44%.
Within the Index, all 10 sectors lost value during the year. Consumer Staples,
historically known as a defensive sector, was the top performing sector Two
other "defensive" sectors, Healthcare and Utilities, although they lost value
during the year, performed well in comparison to the remaining seven sectors.
Given some of the headlines mentioned above, it is no surprise that Financials
took the biggest losses during the year. The Financials sector was the poorest
performer during the year, as once mighty institutions took huge losses and a
number of
2
bankruptcies hit the sector. Materials and Information Technology also suffered
greatly during the year. These sectors have historically been more sensitive to
economic cycles, and the Materials sector was also hit by crashing commodity
prices in the second half of the year.
There were some individual bright spots during the year: discount retailers
Family Dollar Stores and Wal-Mart recorded gains. These companies benefited from
a shift in consumer preferences toward low cost retailers. Amgen and Barr
Pharmaceuticals fared well as the Healthcare sector is less vulnerable to
changes in economic conditions.
Financial institutions placed in the bottom five of six spots on the return
scale for the year. Lehman Brothers, Washington Mutual, Fannie Mae, Freddie Mac
and AIG posted some of the worst returns in 2008. There were many other
companies posting significant losses on equity value as the pain was widespread,
but losses were particularly acute in the Financials sector.
The views expressed above reflect those of the Fund's portfolio manager only
through the Reporting Period, and do not necessarily represent the views of the
Adviser as a whole.
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (a)
(PERFORMANCE GRAPH)
State Street
Equity 500
Index Portfolio S&P 500 (R) Index
--------------- ---------------
3/1/2000 10,000 10,000
12/31/2000 9,671 9,662
12/31/2001 8,510 8,514
12/31/2002 6,623 6,633
12/31/2003 8,519 8,535
12/31/2004 9,444 9,464
12/31/2005 9,904 9,930
12/31/2006 11,465 11,498
12/31/2007 12,094 12,130
12/31/2008 7,617 7,642
INVESTMENT PERFORMANCE (a)
For the Year Ended December 31, 2008
Total Return
Total Return Total Return Average Annualized Since
One Year Ended Five Years Ended Commencement of Operations
December 31, 2008 December 31, 2008 (March 1, 2000)
----------------- ----------------- --------------------------
State Street Equity 500
Index Portfolio -37.02% -2.21% -2.90%
S&P 500 (R) Index (b) -37.00% -2.19% -2.90%
(a) Total returns and performance graph information represent past performance
and are not indicative of future results, which may be lower or higher than
performance data quoted. Investment return and principal value of an
investment will fluctuate so that a partner's share, when redeemed, may be
worth more or less than its original cost. The graph and table above do not
reflect the deduction of taxes.
(b) The Standard & Poor's 500 Composite Stock Price Index ("S&P 500 (R) Index")
is an unmanaged capitalization-weighted index of 500 widely held stocks
recognized by investors to be representative of the U.S. stock market in
general. It is not possible to invest directly in an index.
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Portfolio (the
"Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2008 to December 31,
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 December 31, 2008
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JULY 1, 2008 DECEMBER 31, 2008 DURING PERIOD *
------------- ----------------- ---------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $ 715.60 $0.19
BASED ON HYPOTHETICAL
(5% RETURN BEFORE
EXPENSES) $1,000.00 $1,024.91 $0.23
* The calculations are based on expenses incurred in the most recent six
month period of the Portfolio. The annualized average weighted expense
ratio as of December 31, 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.
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2008
- ---------------------- -----------------
Common Stocks 97.3%
Money Market Funds 2.3
U.S. Government Securities 0.3
Other Assets in Excess of Liabilities 0.1
-----
TOTAL 100.0%
-----
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* DECEMBER 31, 2008
- ---------------------------------------------------- -----------------
Information Technology 14.4%
Health Care 14.3
Financials 13.1
Energy 12.6
Consumer Staples 12.5
----
TOTAL 66.9%
----
* As a percentage of net assets as of the date indicated. The Portfolio's
composition may vary over time.
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS -- 97.3%
CONSUMER DISCRETIONARY -- 8.4%
Abercrombie & Fitch Co. Class A 15,846 $ 366
Amazon.Com, Inc. (a) 59,892 3,071
Apollo Group, Inc. Class A (a) 20,329 1,558
AutoNation, Inc. (a) 23,063 228
AutoZone, Inc. (a) 7,864 1,097
Bed Bath & Beyond, Inc. (a) 49,845 1,267
Best Buy Co., Inc. 62,919 1,769
Big Lots, Inc. (a) 16,227 235
Black & Decker Corp. 11,937 499
Carnival Corp. 80,550 1,959
CBS Corp. Class B 130,703 1,070
Centex Corp. 24,082 256
Coach, Inc. (a) 63,228 1,313
Comcast Corp. Class A 547,948 9,249
D.R. Horton, Inc. 52,876 374
Darden Restaurants, Inc. 25,688 724
DIRECTV Group, Inc. (a) 104,377 2,391
Eastman Kodak Co. 54,482 358
eBay, Inc. (a) 206,503 2,883
Expedia, Inc. (a) 39,215 323
Family Dollar Stores, Inc. 26,858 700
Ford Motor Co. (a) 462,398 1,059
Fortune Brands, Inc. 27,745 1,145
GameStop Corp. (a) 29,000 628
Gannett Co., Inc. 42,074 337
Gap, Inc. 87,698 1,174
General Motors Corp. 122,645 392
Genuine Parts Co. 30,509 1,155
Goodyear Tire & Rubber Co. (a) 45,257 270
H&R Block, Inc. 62,615 1,423
Harley-Davidson, Inc. 43,201 733
Harman International Industries, Inc. 10,521 176
Hasbro, Inc. 24,425 712
Home Depot, Inc. 318,512 7,332
Host Hotels & Resorts, Inc. 100,665 762
International Game Technology 55,119 655
Interpublic Group of Cos., Inc. (a) 83,694 331
JC Penney Co., Inc. 40,310 794
Johnson Controls, Inc. 110,886 2,014
Jones Apparel Group, Inc. 13,434 79
KB HOME 14,794 202
Kohl's Corp. (a) 56,033 2,028
Leggett & Platt, Inc. 27,898 424
Lennar Corp. Class A 27,931 242
Limited Brands 48,767 490
Lowe's Cos., Inc. 274,062 5,898
Macy's, Inc. 76,523 792
Marriot International, Inc. Class A 57,321 1,115
Mattel, Inc. 66,976 1,072
McDonald's Corp. 210,525 13,093
McGraw-Hill, Inc. 60,266 1,398
Meredith Corp. 7,889 135
New York Times Co. Class A 22,922 168
Newell Rubbermaid, Inc. 51,593 505
MARKET
VALUE
SHARES (000)
--------- ----------
News Corp. Class A 431,009 $ 3,918
NIKE, Inc. Class B 73,252 3,736
Nordstrom, Inc. 27,033 360
Office Depot, Inc. (a) 51,256 153
Omnicom Group, Inc. 59,741 1,608
Polo Ralph Lauren Corp. 10,615 482
Pulte Homes, Inc. 41,426 453
Radioshack Corp. 26,203 313
Scripps Networks Interactive, Inc.
Class A 16,835 370
Sears Holdings Corp. (a) 10,274 399
Sherwin-Williams Co. 18,396 1,099
Snap-On, Inc. 11,612 457
Stanley Works 14,583 497
Staples, Inc. 132,933 2,382
Starbucks Corp. (a) 136,061 1,287
Starwood Hotels & Resorts
Worldwide, Inc. 33,647 602
Target Corp. 141,816 4,897
Tiffany & Co. 22,280 526
Time Warner, Inc. 672,173 6,762
TJX Cos., Inc. 77,406 1,592
V.F. Corp. 16,793 920
Viacom, Inc. Class B (a) 115,622 2,204
Walt Disney Co. 349,345 7,927
Washington Post Co. Class B 1,060 414
Whirlpool Corp. 13,761 569
Wyndham Worldwide Corp. 34,299 225
Wynn Resorts, Ltd. (a) 12,200 516
Yum! Brands, Inc. 87,192 2,747
----------
127,838
----------
CONSUMER STAPLES -- 12.5%
Altria Group, Inc. 385,299 5,803
Archer-Daniels-Midland Co. 121,724 3,509
Avon Products, Inc. 80,660 1,938
Brown-Forman Corp. Class B 18,655 961
Campbell Soup Co. 39,265 1,178
Clorox Co. 25,643 1,425
Coca-Cola Co. 375,311 16,990
Coca-Cola Enterprises, Inc. 62,501 752
Colgate-Palmolive Co. 95,001 6,512
ConAgra Foods, Inc. 84,075 1,387
Constellation Brands, Inc. Class A (a) 37,426 590
Costco Wholesale Corp. 81,089 4,257
CVS Corp. 269,032 7,732
Dean Foods Co. (a) 29,658 533
Dr Pepper Snapple Group, Inc. (a) 45,800 744
Estee Lauder Cos, Inc. Class A 20,552 636
General Mills, Inc. 62,932 3,823
H.J. Heinz Co. 57,769 2,172
Kellogg Co. 45,935 2,014
Kimberly-Clark Corp. 77,200 4,072
Kraft Foods, Inc. 277,909 7,462
Kroger Co. 121,476 3,208
Lorillard, Inc. 32,461 1,829
See Notes to Financial Statements
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
MARKET
VALUE
SHARES (000)
--------- ----------
CONSUMER STAPLES -- (CONTINUED)
McCormick & Co., Inc. 24,853 $ 792
Molson Coors Brewing Co., Class B 28,562 1,397
Pepsi Bottling Group, Inc. 26,753 602
PepsiCo, Inc. 292,856 16,040
Philip Morris International, Inc. 381,699 16,608
Procter & Gamble Co. 562,619 34,781
Reynolds American, Inc. 31,387 1,265
Safeway, Inc. 80,364 1,910
Sara Lee Corp. 130,834 1,281
SuperValu, Inc. 37,648 550
Sysco Corp. 111,909 2,567
The Hershey Company 31,782 1,104
The J.M. Smucker Co. 22,760 987
Tyson Foods, Inc., Class A 57,835 507
UST Corp. 27,837 1,931
Wal-Mart Stores, Inc. 421,502 23,630
Walgreen Co. 184,018 4,540
Whole Foods Market, Inc. 25,433 240
----------
190,259
----------
ENERGY -- 12.6%
Anadarko Petroleum Corp. 88,126 3,397
Apache Corp. 62,325 4,645
Baker Hughes, Inc. 57,578 1,847
BJ Services Co. 52,248 610
Cabot Oil & Gas Corp. 20,300 528
Cameron International Corp. (a) 41,400 849
Chesapeake Energy Corp. 97,582 1,578
Chevron Corp. (e) 383,846 28,393
ConocoPhillips 281,330 14,573
Devon Energy Corp. 82,951 5,451
El Paso Corp. 132,492 1,037
ENSCO International, Inc. 26,077 740
EOG Resources, Inc. 46,717 3,110
Equitable Resources, Inc. 24,300 815
ExxonMobil Corp. (e) 957,872 76,467
Halliburton Co. 170,334 3,097
Hess Corp. 52,501 2,816
Marathon Oil Corp. 133,077 3,641
Murphy Oil Corp. 35,641 1,581
Nabors Industries, Ltd. (a) 51,604 618
National Oilwell Varco, Inc. (a) 78,157 1,910
Noble Corp. 50,818 1,123
Noble Energy, Inc. 31,510 1,551
Occidental Petroleum Corp. 152,144 9,127
Pioneer Natural Resources Co. 21,600 349
Range Resources Corp. 29,400 1,011
Rowan Cos., Inc. 19,520 310
Schlumberger, Ltd. 224,675 9,511
Smith International, Inc. 39,634 907
Sunoco, Inc. 21,584 938
Tesoro Corp. 26,365 347
Valero Energy Corp. 99,109 2,145
Weatherford International Ltd. (a) 127,010 1,374
Williams Cos., Inc. 109,968 1,592
MARKET
VALUE
SHARES (000)
--------- ----------
XTO Energy, Inc. 109,552 $ 3,864
----------
191,852
----------
FINANCIALS -- 13.1%
AFLAC, Inc. 88,890 4,075
Allstate Corp. 102,006 3,342
American Capital Ltd. 39,402 128
American Express Co. 216,164 4,010
American International Group, Inc. 483,466 759
Ameriprise Financial, Inc. 39,907 932
AON Corp. 52,147 2,382
Apartment Investment & Management Co. Class A 24,281 280
Assurant, Inc. 21,431 643
AvalonBay Communities, Inc. 14,653 888
Bank of America Corp. 947,062 13,335
Bank of New York Mellon Corp. 214,285 6,071
BB&T Corp. 102,870 2,825
Boston Properties, Inc. 22,967 1,263
Capital One Financial Corp. 74,963 2,391
CB Richard Ellis Group, Inc. Class A (a) 47,275 204
Charles Schwab Corp. 175,393 2,836
Chubb Corp. 67,475 3,441
Cincinnati Financial Corp. 31,214 907
CIT Group, Inc. 54,842 249
Citigroup, Inc. 1,030,602 6,915
CME Group, Inc. 12,391 2,579
Comerica, Inc. 27,144 539
Developers Diversified Realty Corp. 22,824 111
Discover Financial Services 85,605 816
E*Trade Financial Corp. (a) 81,315 94
Equity Residential 51,457 1,534
Federated Investors, Inc. Class B 15,270 259
Fidelity National Information Services, Inc. 36,777 598
Fifth Third Bancorp 107,116 885
First Horizon National Corp. 40,272 426
Franklin Resources, Inc. 28,180 1,797
Genworth Financial, Inc. Class A 79,351 225
Goldman Sachs Group, Inc. 83,700 7,063
Hartford Financial Services Group, Inc. 58,297 957
HCP, Inc. 46,700 1,297
Hudson City Bancorp, Inc. 95,992 1,532
Huntington Bancshares, Inc. 64,656 495
IntercontinentalExchange, Inc. (a) 13,980 1,152
Invesco Ltd. 69,400 1,002
J.P. Morgan Chase & Co. 703,715 22,188
Janus Capital Group, Inc. 26,407 212
KeyCorp 93,575 797
Kimco Realty Corp. 41,069 751
Legg Mason, Inc. 26,342 577
Leucadia National Corp. (a) 31,136 616
Lincoln National Corp. 46,692 880
Loews Corp. 69,031 1,950
See Notes to Financial Statements
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
MARKET
VALUE
SHARES (000)
--------- ----------
FINANCIALS -- (CONTINUED)
M & T Bank Corp. 14,137 $ 812
Marsh & McLennan Cos., Inc. 94,753 2,300
Marshall & Ilsley Corp. 45,493 621
Mastercard, Inc. Class A 13,600 1,944
MBIA, Inc. (a) 31,984 130
Merrill Lynch & Co., Inc. 304,490 3,544
MetLife, Inc. 150,396 5,243
Moody's Corp. 35,466 712
Morgan Stanley 205,330 3,293
NASDAQ OMX Group, Inc. (a) 24,600 608
National City Corp. 384,354 696
Northern Trust Corp. 41,706 2,175
NYSE Euronext 48,800 1,336
People's United Financial Inc. 63,600 1,134
Plum Creek Timber Co., Inc. 33,011 1,147
PNC Financial Services Group, Inc. 64,051 3,138
Principal Financial Group, Inc. 46,591 1,052
Progressive Corp. 127,401 1,887
ProLogis 48,091 668
Prudential Financial, Inc. 81,039 2,452
Public Storage, Inc. 23,887 1,899
Regions Financial Corp. 129,789 1,033
Simon Property Group, Inc. 42,400 2,253
SLM Corp. (a) 83,254 741
Sovereign Bancorp, Inc. (a) 105,974 316
State Street Corp. (b) 81,725 3,214
SunTrust Banks, Inc. 66,618 1,968
T. Rowe Price Group, Inc. 48,075 1,704
Torchmark Corp. 15,621 698
Travelers Cos, Inc. 110,204 4,981
U.S. Bancorp 331,752 8,297
Unum Group 66,529 1,237
Vornado Realty Trust 26,034 1,571
Wachovia Corp. 399,078 2,211
Wells Fargo Co. 714,593 21,066
Western Union Co. 134,085 1,923
XL Capital, Ltd. Class A 54,468 202
Zions Bancorp 21,753 533
----------
199,947
----------
HEALTH CARE -- 14.3%
Abbott Laboratories 292,706 15,622
Aetna, Inc. 89,650 2,555
Allergan, Inc. 58,392 2,354
AmerisourceBergen Corp. 29,893 1,066
Amgen, Inc. (a) 200,036 11,552
Baxter International, Inc. 117,361 6,289
Becton, Dickinson & Co. 45,197 3,091
Biogen Idec, Inc. (a) 55,031 2,621
Boston Scientific Corp. (a) 283,034 2,191
Bristol-Myers Squibb Co. 369,638 8,594
C.R. Bard, Inc. 18,697 1,575
Cardinal Health, Inc. 67,557 2,329
Celgene Corp. (a) 85,618 4,733
Cephalon, Inc. (a) 12,400 955
MARKET
VALUE
SHARES (000)
--------- ----------
CIGNA Corp. 53,596 $ 903
Coventry Health Care, Inc. (a) 27,603 411
Covidien Ltd. 95,704 3,468
DaVita, Inc. (a) 20,300 1,006
Dentsply International Inc. 27,200 768
Eli Lilly & Co. 187,675 7,558
Express Scripts, Inc. (a) 46,299 2,546
Forest Laboratories, Inc. (a) 58,202 1,482
Genzyme Corp. (a) 49,892 3,311
Gilead Sciences, Inc. (a) 173,899 8,893
Hospira, Inc. (a) 28,503 765
Humana, Inc. (a) 32,007 1,193
IMS Health, Inc. 34,832 528
Intuitive Surgical, Inc. (a) 7,500 953
Johnson & Johnson 522,149 31,240
King Pharmaceuticals, Inc. (a) 48,592 516
Laboratory Corp. of America Holdings (a) 20,622 1,328
Life Technologies Corp. (a) 31,287 729
McKesson Corp. 50,655 1,962
Medco Health Solutions, Inc. (a) 94,468 3,959
Medtronic, Inc. 210,278 6,607
Merck & Co., Inc. 401,219 12,197
Millipore Corp. (a) 9,535 491
Mylan Laboratories Inc. (a) 60,109 595
Patterson Cos., Inc. (a) 18,294 343
Pfizer, Inc. 1,271,271 22,514
Quest Diagnostics, Inc. 29,800 1,547
Schering-Plough Corp. 306,055 5,212
St. Jude Medical, Inc. (a) 63,126 2,081
Stryker Corp. 46,089 1,841
Tenet Healthcare Corp. (a) 66,670 77
Thermo Fisher Scientific, Inc. (a) 78,524 2,675
UnitedHealth Group, Inc. 226,996 6,038
Varian Medical Systems, Inc. (a) 22,860 801
Watson Pharmaceuticals, Inc. (a) 20,646 549
Wellpoint, Inc. (a) 95,838 4,038
Wyeth 248,887 9,336
Zimmer Holdings, Inc. (a) 41,652 1,684
----------
217,672
----------
INDUSTRIALS -- 10.9%
3M Co. 130,572 7,513
Avery Dennison Corp. 18,988 621
Boeing Co. 138,988 5,931
Burlington Northern Santa Fe Corp. 52,982 4,011
Caterpillar, Inc. 114,479 5,114
CH Robinson Worldwide, Inc. 31,961 1,759
Cintas Corp. 25,088 583
Cooper Industries, Ltd. Class A 32,034 936
CSX Corp. 75,538 2,453
Cummins, Inc. 37,258 996
Danaher Corp. 47,386 2,683
Deere & Co. 80,637 3,090
Domtar Corp. (a),(c) 11 --
Dover Corp. 34,295 1,129
See Notes to Financial Statements
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
MARKET
VALUE
SHARES (000)
--------- ----------
INDUSTRIALS -- (CONTINUED)
Eaton Corp. 30,295 $ 1,506
Emerson Electric Co. 144,148 5,277
Equifax, Inc. 23,683 628
Expeditors International Washington, Inc. 40,120 1,335
Fastenal Co. 23,200 809
FedEx Corp. 58,100 3,727
Flir Systems, Inc. (a) 26,100 803
Flowserve Corp. 10,300 530
Fluor Corp. 33,460 1,501
General Dynamics Corp. 74,961 4,317
General Electric Co. (e) 1,979,233 32,064
Goodrich Co. 24,445 905
Honeywell International, Inc. 140,381 4,609
Illinois Tool Works, Inc. 75,071 2,631
Ingersoll-Rand Co. Class A 58,457 1,014
ITT Industries, Inc. 33,492 1,540
Jacobs Engineering Group, Inc. (a) 23,400 1,126
L-3 Communications Holdings, Inc. 22,303 1,646
Lockheed Martin Corp. 62,652 5,268
Manitowoc Co., Inc. 24,000 208
Masco Corp. 67,523 752
Monster Worldwide, Inc. (a) 22,609 273
Norfolk Southern Corp. 69,355 3,263
Northrop Grumman Corp. 62,811 2,829
PACCAR, Inc. 67,874 1,941
Pall Corp. 22,209 631
Parker-Hannifin Corp. 31,803 1,353
Pitney Bowes, Inc. 40,027 1,020
Precision Castparts Corp. 25,507 1,517
R.R. Donnelley & Sons Co. 38,309 520
Raytheon Co. 77,482 3,955
Republic Services, Inc. 61,603 1,527
Robert Half International, Inc. 30,640 638
Rockwell Automation, Inc. 27,505 887
Rockwell Collins, Inc. 30,231 1,182
Ryder Systems, Inc. 9,821 381
Southwest Airlines Co. 136,186 1,174
Stericycle, Inc. (a) 15,600 812
Textron, Inc. 45,239 627
Total System Services, Inc. 37,775 529
Tyco Electronics Ltd. 86,204 1,397
Tyco International Ltd. 87,961 1,900
Union Pacific Corp. 94,368 4,511
United Parcel Service, Inc. Class B 189,246 10,439
United Technologies Corp. 181,078 9,706
W.W. Grainger, Inc. 12,169 959
Waste Management, Inc. 92,139 3,053
----------
166,039
----------
INFORMATION TECHNOLOGY -- 14.4%
Adobe Systems, Inc. (a) 99,657 2,122
Advanced Micro Devices, Inc. (a) 114,986 248
Affiliated Computer Services, Inc. Class A (a) 18,737 861
MARKET
VALUE
SHARES (000)
--------- ----------
Agilent Technologies, Inc. (a) 68,068 $ 1,064
Akamai Technologies, Inc. (a) 29,424 444
Altera Corp. 58,354 975
Amphenol Corp. Class A 31,900 765
Analog Devices, Inc. 54,669 1,040
Apple Computer, Inc. (a) 167,684 14,312
Applied Materials, Inc. 248,807 2,520
Autodesk, Inc. (a) 41,676 819
Automatic Data Processing, Inc. 94,317 3,710
BMC Software, Inc. (a) 35,621 959
Broadcom Corp. Class A (a) 83,259 1,413
CA, Inc. 73,599 1,364
CIENA Corp. (a) 14,529 97
Cisco Systems, Inc. (a) 1,106,619 18,038
Citrix Systems, Inc. (a) 33,467 789
Cognizant Technology Solutions Corp. Class A (a) 54,884 991
Computer Sciences Corp. (a) 28,244 992
Compuware Corp. (a) 51,350 347
Convergys Corp. (a) 20,035 128
Corning, Inc. 297,476 2,835
Dell, Inc. (a) 322,450 3,302
Dun & Bradstreet Corp. 9,900 764
Electronic Arts, Inc. (a) 58,200 934
EMC Corp. (a) 388,384 4,066
Fiserv, Inc. (a) 29,952 1,089
Google, Inc. Class A (a) 45,190 13,903
Harris Corp. 24,100 917
Hewlett-Packard Co. 462,016 16,767
Intel Corp. 1,053,556 15,445
International Business Machines Corp. 253,242 21,313
Intuit, Inc. (a) 58,463 1,391
Jabil Circuit, Inc. 39,951 270
Juniper Networks, Inc. (a) 100,793 1,765
KLA-Tencor Corp. 34,105 743
Lexmark International Group, Inc. Class A (a) 15,842 426
Linear Technology Corp. 40,863 904
LSI Corp. (a) 112,662 371
McAfee, Inc. (a) 28,700 992
MEMC Electronic Materials, Inc. (a) 40,878 584
Microchip Technology, Inc. 33,189 648
Micron Technology, Inc. (a) 142,362 376
Microsoft Corp. (e) 1,441,835 28,029
Molex, Inc. 24,805 359
Motorola, Inc. 417,065 1,848
National Semiconductor Corp. 39,396 397
NetApp, Inc. (a) 61,157 854
Novell, Inc. (a) 68,720 267
Novellus Systems, Inc. (a) 20,030 247
NVIDIA Corp. (a) 100,756 813
Oracle Corp. (a) 733,462 13,004
Paychex, Inc. 61,038 1,604
PerkinElmer, Inc. 21,118 294
QLogic Corp. (a) 24,322 327
See Notes to Financial Statements
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
MARKET
VALUE
SHARES (000)
--------- ----------
INFORMATION TECHNOLOGY -- (CONTINUED)
QUALCOMM, Inc. 312,711 $ 11,204
Salesforce.com, Inc. (a) 18,600 595
SanDisk Corp. (a) 40,167 386
Sun Microsystems, Inc. (a) 142,341 544
Symantec Corp. (a) 159,663 2,159
Tellabs, Inc. (a) 73,830 304
Teradata Corp. (a) 33,520 497
Teradyne, Inc. (a) 27,649 117
Texas Instruments, Inc. 247,399 3,840
VeriSign, Inc. (a) 37,521 716
Waters Corp. (a) 18,665 684
Xerox Corp. 161,834 1,290
Xilinx, Inc. 53,002 944
Yahoo!, Inc. (a) 260,319 3,176
----------
218,302
----------
MATERIALS -- 3.1%
Air Products & Chemicals, Inc. 40,009 2,011
AK Steel Holding Corp. 20,000 186
Alcoa, Inc. 152,249 1,714
Allegheny Technologies, Inc. 17,528 447
Ball Corp. 17,562 730
Bemis Co., Inc. 17,262 409
CF Industries Holdings, Inc. 10,150 499
Consol Energy, Inc. 33,273 951
Dow Chemical Co. 173,228 2,614
E.I. Du Pont de Nemours & Co. 168,412 4,261
Eastman Chemical Co. 14,204 450
Ecolab, Inc. 33,566 1,180
Freeport-McMoRan Copper & Gold, Inc. Class B 70,752 1,729
International Flavors & Fragrances, Inc. 14,331 426
International Paper Co. 82,811 977
Massey Energy Co. 14,300 197
MeadWestvaco Corp. 32,320 362
Monsanto Co. 103,355 7,271
Newmont Mining Corp. 86,206 3,509
Nucor Corp. 58,554 2,705
Owens-Illinois, Inc. (a) 31,400 858
Pactiv Corp. (a) 23,915 595
Peabody Energy Corp. 50,924 1,159
PPG Industries, Inc. 29,871 1,267
Praxair, Inc. 59,011 3,503
Rohm & Haas Co. 23,006 1,422
Sealed Air Corp. 28,492 426
Sigma-Aldrich Corp. 23,934 1,011
Titanium Metals Corp. 16,600 146
United States Steel Corp. 20,978 780
Vulcan Materials Co. 20,861 1,452
Weyerhaeuser Co. 38,837 1,189
----------
46,436
----------
TELECOMMUNICATION SERVICES -- 3.7%
American Tower Corp. Class A (a) 74,300 2,179
AT&T, Inc. 1,110,550 31,651
MARKET
VALUE
SHARES (000)
--------- ----------
CenturyTel, Inc. 19,441 $ 531
Embarq Corp. 27,397 985
Fairpoint Communications, Inc. (c) 8 --
Frontier Communications Corp. 60,384 528
JDS Uniphase Corp. (a) 42,723 156
Qwest Communications International, Inc. 283,890 1,033
Sprint Nextel Corp. (a) 517,465 947
Verizon Communications, Inc. 532,566 18,054
Windstream Corp. 79,613 732
----------
56,796
----------
UTILITIES -- 4.3%
AES Corp. (a) 128,395 1,058
Allegheny Energy, Inc. 30,759 1,042
Ameren Corp. 38,360 1,276
American Electric Power Co., Inc. 75,952 2,528
CenterPoint Energy, Inc. 65,611 828
CMS Energy Corp. 38,856 393
Consolidated Edison, Inc. 50,152 1,952
Constellation Energy Group, Inc. 34,414 863
Dominion Resources, Inc. 108,262 3,880
DTE Energy Co. 30,484 1,087
Duke Energy Corp. 236,920 3,556
Dynegy, Inc. (a) 82,690 165
Edison International 62,119 1,995
Entergy Corp. 36,198 3,009
Exelon Corp. 123,321 6,858
FirstEnergy Corp. 56,507 2,745
FPL Group, Inc. 76,721 3,861
Integrys Energy Group, Inc. 14,716 633
Nicor, Inc. 7,400 257
NiSource, Inc. 49,982 548
Pepco Holdings, Inc. 41,700 741
PG&E Corp. 67,626 2,618
Pinnacle West Capital Corp. 17,760 571
PPL Corp. 69,075 2,120
Progress Energy, Inc. 49,081 1,956
Public Service Enterprise Group, Inc. 96,324 2,810
Questar Corp. 32,968 1,078
SCANA Corp. 22,200 789
Sempra Energy 45,686 1,948
Southern Co. 144,743 5,355
Southwestern Energy Co. (a) 64,000 1,854
Spectra Energy Corp. 113,398 1,785
TECO Energy, Inc. 42,151 521
Wisconsin Energy Corp. 21,200 890
Xcel Energy, Inc. 83,951 1,557
----------
65,127
----------
TOTAL COMMON STOCKS
(Cost $1,445,363,525) 1,480,268
----------
See Notes to Financial Statements
11
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
PAR MARKET
AMOUNT VALUE
(000) (000)
--------- ----------
U.S. GOVERNMENT SECURITIES -- 0.3%
United States Treasury
Bill(d)(e) 0.2% due 06/11/09 $ 195 $ 195
United States Treasury
Bill(d)(e) 0.2% due 06/11/09 4,620 4,616
----------
TOTAL U.S. GOVERNMENT
SECURITIES
(Cost $4,810,926) 4,811
----------
MARKET
SHARES VALUE
(000) (000)
--------- ----------
MONEY MARKET FUNDS -- 2.3%
AIM Short Term Investment
Prime Portfolio 35,121 $ 35,121
Federated Money Market
Obligations Trust 571 571
----------
TOTAL MONEY MARKET FUNDS
(Cost $35,692,807) 35,692
----------
TOTAL INVESTMENTS+ -- 99.9%
(identified cost $1,485,867) 1,520,771
OTHER ASSETS IN EXCESS OF LIABILITIES --
0.1% 1,437
----------
NET ASSETS -- 100.0% $1,522,208
==========
NUMBER UNREALIZED
OF APPRECIATION
CONTRACTS (000)
--------- ------------
Schedule of Futures
Contracts
S&P 500 Financial Futures
Contracts (long) Expiration
Date 03/2009 924 $ 951
------------
Total unrealized depreciation
on open futures contracts
purchased $ 951
============
(a) Non-income producing security.
(b) Affiliated issuer. See table that follows for more information.
(c) Amount is less than $1,000.
(d) Rate represents annualized yield at date of purchase.
(e) All or part of this security has been designated as collateral for futures
contracts.
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements
12
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
AFFILIATE TABLE
Certain investments made by the Portfolio were made in securities affiliated
with State Street and SSgA FM. Investments in State Street Corp., the holding
company of State Street, were made according to its representative portion of
the S&P 500(R) Index. The market value of this investment at December 31, 2008
is listed in the Portfolio of Investments.
Shares
purchased Income earned Realized
for the 12 for the 12 loss
Number of months Shares sold for Number of Value at months ended on shares
Security shares held ended the 12 months shares held at 12/31/08 12/31/08 sold
Description at 12/31/07 12/31/08 ended 12/31/08 12/31/08 (000) (000) (000)
- ------------------ ----------- ---------- --------------- -------------- -------- ------------- ---------
State Street Corp. 70,325 19,000 7,600 81,725 $3,214 $72 $(8)
See Notes to Financial Statements
13
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2008
(Amounts in thousands)
ASSETS
Investments in unaffiliated issuers at market
(identified cost $1,482,293) $1,517,557
Investments in non-controlled affiliates at market
(identified cost $3,574) (Note 4) 3,214
----------
Total investments at market (identified cost $1,485,867) 1,520,771
Cash 8
Receivables:
Daily variation margin on futures contracts 545
Dividends and interest 3,390
----------
Total assets 1,524,714
LIABILITIES
Payables:
Investment securities purchased 2,450
Management fees (Note 4) 56
----------
Total liabilities 2,506
----------
NET ASSETS $1,522,208
==========
See Notes to Financial Statements.
14
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2008
(Amounts in thousands)
INVESTMENT INCOME
Dividend income - unaffiliated issuers $ 45,238
Dividend income - non-controlled affiliated issuer 72
Interest 1,146
---------
Total Investment Income 46,456
---------
EXPENSES
Management fees (Note 4) $ 893
---------
Total Expenses 893
---------
NET INVESTMENT INCOME 45,563
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments - unaffiliated issuers 1,264
Investments - non-controlled affiliated issuer (8)
Futures contracts (21,109)
---------
(19,853)
Net change in net unrealized appreciation
(depreciation) on:
Investments (898,078)
Futures contracts 276
---------
(897,802)
---------
Net realized and unrealized loss (917,655)
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(872,092)
=========
See Notes to Financial Statements.
15
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
For the Year For the Year
Ended Ended
December 31, 2008 December 31, 2007
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 45,563 $ 53,117
Net realized gain (loss) on investments and futures contracts (19,853) 169,211
Net change in net unrealized appreciation (depreciation) (897,802) (66,481)
---------- ----------
Net increase (decrease) in net assets resulting from operations (872,092) 155,847
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions 288,497 328,812
Fair value of withdrawals (316,574) (765,322)
Withdrawals in-kind -- (63,656)
---------- ----------
Net decrease in net assets from capital transactions (28,077) (500,166)
---------- ----------
TOTAL NET DECREASE IN NET ASSETS (900,169) (344,319)
NET ASSETS
Beginning of Year 2,422,377 2,766,696
---------- ----------
End of Year $1,522,208 $2,422,377
========== ==========
See Notes to Financial Statements.
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
Year Year Year Year Year
Ended Ended Ended Ended Ended
12/31/08 12/31/07 12/31/06 12/31/05 12/31/04
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of year (in thousands) $1,522,208 $2,422,377 $2,766,696 $2,453,109 $2,767,467
Ratios to average net assets:
Operating expenses 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income 2.30% 1.96% 1.94% 1.84% 1.97%
Portfolio turnover rate* 14% 12% 10% 8% 9%
Total return (a) (37.02)% 5.49% 15.75% 4.87% 10.86%
- ----------
* The portfolio turnover rate excludes in-kind security transactions.
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2008
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
December 31, 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 Portfolio'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.) o
- Level 3 - significant unobservable inputs (including the Portfolio's
own assumptions in determining the fair value of investments)
18
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
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 December 31, 2008, in
valuing the Portfolio's assets carried at fair value:
INVESTMENTS IN OTHER FINANCIAL
VALUATION INPUTS SECURITIES INSTRUMENTS*
- ---------------- -------------- ---------------
Level 1 - Quoted Prices $1,515,960,091 $950,935
Level 2 - Other Significant
Observable Inputs 4,810,926 --
Level 3 - Significant
Unobservable Inputs -- --
-------------- --------
TOTAL $1,520,771,017 $950,935
-------------- --------
* 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 has reviewed the tax positions for open years as of and during the
year ended December 31, 2008, and determined it did not have a liability for any
unrecognized tax expenses. The Portfolio recognizes interest and penalties, if
any, related to tax liabilities as income tax expense in the Statement of
Operations. As of December 31, 2008, tax years 2005 through 2008 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.
19
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2008, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and
contributions in-kind and fair value of withdrawals, aggregated to $307,643,773
and $281,597,781, respectively.
At December 31, 2008, the book cost of investments was $1,485,867,258 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $357,487,087 and
$322,583,328, respectively, resulting in net appreciation of $34,903,759 for all
securities as computed on a federal income tax basis.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
Corporation 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 Corporation, the
holding company of State Street, were made according to its representative
portion of the S&P 500(R) Index. The market value of this investment at December
31, 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
On March 19, 2008, the FASB released Statement of Financial Accounting Standards
No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS
161"). FAS 161 requires qualitative disclosures about objectives and strategies
for using derivatives, quantitative disclosures about fair value amounts of and
gains and losses on derivative instruments, and disclosures about credit-risk
related contingent features in derivative agreements. The application of FAS 161
is required for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. At this time, management is evaluating the
implications of FAS 161 and believes the impact of adopting FAS 161 will be
limited to additional disclosures.
20
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and Owners of Beneficial
Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of the
State Street Equity 500 Index Portfolio (one of the portfolios constituting
State Street Master Funds) (the "Portfolio"), including the portfolio of
investments, as of December 31, 2008, and the related statement of operations
for the year then ended, the statement of changes in net assets for each of the
two years in the period then ended and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolio's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2008, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of State
Street Equity 500 Index Portfolio of State Street Master Funds at December 31,
2008, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with U.S. generally accepted accounting principles.
(ERNST & YOUNG LLP)
Boston, Massachusetts
February 23, 2009
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures are
available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12 month period ended June 30 is
available by August 31 (i) without charge, upon request, by (i) calling (877)
521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on November 20, 2008 (the "Meeting") to
consider the renewal of the investment advisory agreement for the Portfolio (the
"Advisory Agreement"). In preparation for considering the Advisory Agreement,
the Trustees had thoroughly reviewed the renewal materials provided by the
investment adviser, which they had requested through independent counsel. In
deciding whether to renew the Advisory Agreement, the Trustees considered
various factors, including (i) the nature, extent and quality of the services
provided by the SSgA Funds Management, Inc. (the "Adviser") under the Advisory
Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to
the Adviser of its services and the profits realized by the Adviser and its
affiliates from their relationship with the Trust, (iv) the extent to which
economies of scale would be realized if and as the Trust grows and whether the
fee levels in the Advisory Agreement reflect these economies of scale, and (v)
any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the
Adviser, the Trustees relied on their prior direct experience as Trustees of the
Trust as well as on the materials provided at the Meeting. The Board reviewed
the Adviser's responsibilities under the Advisory Agreement and noted the
experience and expertise that would be appropriate to expect of an adviser to
the Portfolio, which is an index fund. The Trustees reviewed the background and
experience of the Adviser's senior management, including those individuals
responsible for the investment and compliance operations relating to the
investments of the Portfolio, and the responsibilities of the latter with
respect to the Portfolio. They also considered the resources, operational
structures and practices of the Adviser in managing the Portfolio's investments,
in monitoring and securing the Portfolio's compliance with its investment
objective and policies with respect to its investments and with applicable laws
and regulations, and in seeking best execution of portfolio transactions. The
Trustees also considered information about the Adviser's overall investment
management business, noting that the Adviser manages assets for a variety of
institutional investors and that the Adviser and its affiliates had over $1.69
trillion in assets under management as of September 30, 2008, including over
$157 billion managed by the Adviser. They reviewed information regarding State
Street's business continuity and disaster recovery program. Drawing upon the
materials provided and their general knowledge of the business of the Adviser,
the Trustees determined that the experience, resources and strength of the
Adviser in the management of index products are exceptional. As discussed more
fully below, they also determined that the advisory fee for the Portfolio was
fair and reasonable and that its performance and expense ratio were
satisfactory. On the basis of this review, the Trustees determined that the
nature and extent of the services provided by the Adviser to the Portfolio was
appropriate, had been of uniformly high quality, and could be expected to remain
so.
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008 (CONTINUED)
The Trustees noted that, in view of the investment objective of the Portfolio,
the investment performance was satisfactory. The Trustees noted that the
performance of the Portfolio in absolute terms was not of the importance that
normally attaches to that of actively-managed funds. Of more importance to the
Trustees was the extent to which the Portfolio achieved its objective of
replicating, before expenses, the total return of the S&P 500 Index. Drawing
upon information provided at the Meeting and upon reports provided to the
Trustees by the Adviser throughout the preceding year, they determined that the
Portfolio had in fact tracked the index within an acceptable range of tracking
error. They concluded that the performance the Portfolio was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships with the Trust. The Trustees had
been provided with data regarding the profitability to the Adviser and its
affiliated service providers with respect to the Portfolio individually, and on
an aggregate basis, for the year ended June 30, 2008. Having discussed with
representatives of the Adviser the methodologies used in computing the costs
that formed the bases of the profitability calculations, they concluded that
these methodologies were reasonable and turned to the data provided. After
discussion and analysis they concluded that, to the extent that the Adviser's
and State Street's relationships with the Trust had been profitable during the
period for which information had been provided, the profitability was in no case
such as to render the advisory fee excessive.
In order better to evaluate the Portfolio's advisory fee, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that the Portfolio's
advisory fee and total expense ratio were lower than the average for its peer
group; after discussion, they concluded that the data available provided
confirmation of the reasonableness of the Adviser's fee. The Board determined
that the Adviser's fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust's relationship with State Street as fund
administrator, custodian and transfer agent. They noted that the Adviser
utilizes no soft-dollar arrangements in connection with the Portfolio's
brokerage transactions. The Trustees concluded that, to the extent that the
Adviser or its affiliates derive other benefits from their relationships with
the Trust, those benefits are not so significant as to render the Adviser's fee
excessive.
The Board also considered the extent to which economies of scale may be realized
by the Portfolio as assets grow and whether the Portfolio's fee levels reflect
such economies of scale, if any, for the benefit of investors. In considering
the matter, the Board determined that, to the extent economies of scale were in
fact realized, such economies of scale were shared with the Portfolio by virtue
of an advisory fee of a comparatively low level that subsumed economies of scale
in the fee itself. The Trustees also recognized, however, that should sustained,
substantial asset growth be realized in the future, it might be necessary to
consider additional measures.
On the basis of the foregoing discussions and determinations, without any one
factor being dispositive, the Board decided to approve the continuance of the
Advisory Agreement.
23
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED).
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- ----------- ------------------ ------------------------------- ------------- -----------------------
INDEPENDENT TRUSTEES
Michael F. Holland Trustee and Term: Indefinite Chairman, Holland & Company 22 Trustee, State Street
Holland & Company, Chairman of Elected: 7/99 L.L.C. (investment adviser) Institutional
LLC 375 the Board (1995 - present). Investment Trust;
Park Avenue New Director, the Holland
York, NY 10152 Series Fund, Inc.;
Director, The China
DOB: 1944 Fund, Inc.; Chairman
and Trustee, Scottish
Widows Investment
Partnership Trust; and
Director, Reaves
Utility Income Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual South 22 Trustee, State Street
State Street Elected: 7/99 Africa Master Trust Institutional
Master Funds P.O. (investments) (1995 - present); Investment Trust; and
Box 5049 Boston, Chairman emeritus, Children's Trustee, Old Mutual
MA 02206 Hospital (1984 - present); South Africa Master
Director, Boston Plan For Trust
DOB: 1937 Excellence (non-profit) (1994 -
present); President and Chief
Operations Officer, John
Hancock Mutual Life Insurance
Company (1959 - 1999).
Mr. Boyan retired in 1999.
Rina K. Spence Trustee Term: Indefinite President of SpenceCare 22 Trustee, State Street
State Street Elected: 7/99 International LLC (1998 - Institutional
Master Funds P.O. present); Member of the Investment Trust;
Box 5049 Boston, Advisory Board, Ingenium Corp. Director, Berkshire
MA 02206 (technology company) (2001 - Life Insurance Company
present); Chief Executive of America; and
DOB: 1948 Officer, IEmily.com (internet Director, IEmily.com
company) (2000 - 2001); Chief
Executive Officer of Consensus
Pharmaceutical, Inc. (1998 -
1999); Founder, President and
Chief Executive Officer of
Spence Center for Women's
Health (1994 - 1998); Trustee,
Eastern Enterprise (utilities)
(1988 - 2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice President of 22 Trustee, State Street
State Street Master Elected: 7/99 Chase Manhattan Bank (1987 - Institutional
Funds P.O. Box 1999). Mr. Williams retired in Investment Trust
5049 Boston, MA 02206 1999.
DOB: 1940
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
24
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION DURING OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- ----------- ------------------ ------------------------------- ------------- -----------------------
INTERESTED TRUSTEES(1)
James E. Ross Trustee Term: Indefinite President, SSgA Funds 22 Trustee, State Street
SSgA Funds President Elected Trustee: Management, Inc. (2005 - Institutional
Management, Inc. 2/07 present); Principal, SSgA Investment Trust;
State Street Funds Management, Inc. (2001 Trustee, SPDR(R) Series
Financial Center Elected President: - 2005); Senior Managing Trust; Trustee, SPDR(R)
One Lincoln 4/05 Director, State Street Global Index Shares Trust and
Street Boston, MA Advisors (March 2006 - Trustee, Select Sector
02111- 2900 present); Principal, State SPDR(R) Trust
Street Global Advisers (2000
DOB: 1965 - 2006).
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President of State -- --
State Street Bank Elected: 5/05 Street Bank and Trust Company
and Trust Company (2002 - present).
2 Avenue de
Lafayette Boston,
MA 02111
DOB: 1951
Laura F. Healy Assistant Term: Indefinite Vice President of State Street -- --
State Street Bank Treasurer Elected: 11/08 Bank and Trust Company (prior
and Trust Company to July 2, 2008, Investors
2 Avenue de Financial Corporation) since
Lafayette Boston, 2002.
MA 02111
DOB: 1964
Brian D. O'Sullivan Assistant Term: Indefinite Vice President of State -- --
State Street Bank Treasurer Elected: 11/08 Street Bank and Trust Company
and Trust Company (2007-present) with which he
801 Pennsylvania has been affiliated with
Avenue Kansas since 1997.
City, MO 64105
DOB: 1975
Peter T. Sattelmair Assistant Term: Indefinite Director of Fund Administration -- --
State Street Bank and Treasurer Elected: 11/08 of State Street Bank and Trust
Trust Company Company (2007 - present) with
801 Pennsylvania which he has been affiliated
Avenue with since 1999.
Kansas City, MO 64105
DOB: 1977
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
(1) Mr. Ross is an Interested Trustee because of his employment by SSgA Funds
Management, Inc., an affiliate of the Trust.
25
NUMBER OF
FUNDS IN FUND
NAME, ADDRESS, POSITION(S) TERM OF OFFICE COMPLEX
AND DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE* HELD BY TRUSTEE
- ----------------- ----------- ------------------ ------------------------------- ------------- -----------------------
OFFICERS: (CONTINUED)
Julie Piatelli Chief Term: Indefinite Principal and Senior -- --
SSgA Funds Compliance Elected: 7/07 Compliance and Risk Management
Management, Inc. Officer Officer, SSgA Funds Management,
State Street Inc. (2004-present), Vice
Financial Center President State Street Global
One Lincoln Advisors (2004-present).
Street Boston,
MA 02111
DOB: 1967
Nancy L. Conlin Secretary Term: Indefinite Vice President and Managing -- --
State Street Bank Elected: 2/09 Counsel, State Street Bank and
and Trust Company Trust Company (2007-present);
2 Avenue de General Counsel, Plymouth Rock
Lafayette Boston, Companies (2004- 2007).
MA 02111
DOB: 1953
Brian C. Poole Assistant Term: Indefinite Vice President and Counsel -- --
State Street Bank Secretary Elected 9/08 (2008 - present) and Associate
and Trust Company Counsel (2004 - 2007), State
4 Copley Place, Street Bank and Trust Company
5th Floor Boston, (formerly Investors Bank and
MA 02116 Trust Company); Legal Product
Manager, Fidelity Investments
DOB: 1971 (2000 - 2004).
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
26
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
CUSTODIAN
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET EQUITY 500 INDEX PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET SHORT-TERM TAX EXEMPT
BOND PORTFOLIO
(FORMERLY STATE STREET TAX FREE LIMITED DURATION BOND PORTFOLIO)
ANNUAL REPORT
DECEMBER 31, 2008
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
The State Street Short-Term Tax Exempt Bond Portfolio (the "Portfolio") seeks to
provide federally tax-exempt current income and liquidity. The Portfolio is
benchmarked to the Barclays Capital Municipal 1 Year Index ("the "Index").
For the 12-month period ended December 31, 2008 (the "Reporting Period"), the
total return for the Portfolio was 2.93%, and the total return for the Index was
4.56%. The Portfolio and Index returns reflect the reinvestment of dividends and
other income. The Portfolio's performance reflects the expenses of managing the
Portfolio, including brokerage and advisory expenses. The Index is unmanaged and
Index returns do not reflect fees and expenses of any kind, which would have a
negative impact on returns.
Calendar year 2008 proved to be one like no other for the municipal market. The
market faced and endured numerous shocks and volatility spikes. Annualized
volatility for high grade municipals of 10 year maturity doubled in 2008. The
result was similar for longer bonds and even more pronounced on the short end of
the yield curve. The first shock to hit the market was the fallout from the
deterioration of the monoline bond insurers. When it first became questionable
whether the major insurers could maintain their AAA ratings and some of the
smaller insurers experienced downgrades, the auction mechanism for auction rate
securities ("ARSs") began to fail. The resulting supply of ARS overwhelmed
dealer desks and their interest rates spiked to attract buyers. Shortly
thereafter, variable rate demand notes ("VRDNs") experienced a similar fate.
Many VRDNs are derivatives of longer bonds, which are put into a trust wrapped
with bond insurance. When insurance became questionable, the short rates on the
VRDNs spiked and the long coupons were not adequate to cover the new rate. The
VRDNs with the weakest insurance "wraps" were shunned by money funds. When money
funds would not buy the short bonds, many of the derivative structures
collapsed, thereby forcing large volumes of long bonds into the market causing
their prices to decline as these structures were unwound.. The stress first
experienced on the short end of the curve migrated to longer bonds and yields
pushed higher. This was devastating for investors who had leveraged long
positions in municipals. Massive unwinds of these positions caused many hedge
funds and arbitrageurs to fold.
The savior of the market this year has been the retail investor. Individuals
have filled the buying void as well as they possibly could. Enticed by the high
yields, individuals entered during periods of stress to pick up bargains. Retail
investors provided much needed demand and the municipal market fluctuated
between periods of intense sell-offs followed by strong rallies. The second
major shock that took out the lows experienced during February was the Lehman
Brothers bankruptcy and the government takeover of AIG. These shocks caused a
major taxable money market fund to "break the buck," triggering a flight to
quality in the Treasury market and taking most non-Treasury markets down.
Municipals were no exception, and forced selling from leveraged accounts and
mutual funds ensued. Finally, the biggest event of the fourth quarter was
collateral calls received by the mutual funds, which forced many funds to
liquidate positions.
The market exhibited a similar pattern all year-an event would trigger a big
sell off, retail investors would gradually provide support, and then markets
would rally and stabilize. A new triggering event would occur, and the process
would repeat itself. Another pattern experienced in 2008 was the movement toward
a progressively steeper yield curve as the year wore on. January opened with
spreads between 2 and 30 year maturities of 134 basis points. This spread
widened during much of the year, peaking in mid-December at 371 basis points and
closing the year at 317 basis points. A third consistent trend was the widening
of credit spreads. As investors were burned by ARSs, the credit of monoline bond
insurers deteriorated, and markets became more illiquid, investor confidence
faded. The lack of confidence stimulated demand for only the highest of quality
bonds. Ten-year spreads between AAA and BBB debt widened from 87 basis points in
January to 312 basis points by year end.
2
The returns of the underlying components of the Barclay's Capital Municipal 1
Year Index*, which reflects the overall municipal bond market, demonstrated the
volatility and disparity of returns due to sector, yield curve and credit
quality over the course of the year:
Municipal Bond Index -2.47%
5 Year Index 5.78%
Long Bond Index -14.68%
General Obligation Index 1.50%
Revenue Bond Index -6.31%
Pre-refunded Index 6.78%
Industrial Development/Pollution Control (includes tobacco) -23.51%
Water and Sewer Index -0.86%
Hospital Index -12.34%
AAA Rated Index 1.61%
BBB Rated Index -21.33%
* The Portfolio changed it's benchmark during the year from the IMoneyNet MFR
Tax-Free Index to the Barclay's Capital Municipal 1 Year Index. The
Portfolio believes that the Barclays Capital Municipal 1 Year Index (1)
provides a better comparison against the broad market of securities in
which the Portfolio investments, and (2) contains securities with an
average duration that more closely reflected the Portfolio's shift toward a
longer-duration portfolio.
In 2008 individual credit, or what you owned, and maturity, or what portion of
the curve you owned it, had a tremendous impact on total return. Effects of the
slowing economy are beginning to be felt by municipalities. Deficit projections
are widening for States. While only a few municipalities have entered or are
close to bankruptcy, the credit pressures are building on all municipalities and
will likely be the central theme of 2009. States are lining up for federal
government relief and the municipal credit story is evolving.
With the flatness of the municipal yield curve through much of 2007, the
Portfolio maintained a very short duration. In 2008, the Portfolio used
opportunities in the markets to extend duration, pick up yield, and become more
closely aligned with characteristics of the Index. The best performing
sub-sector of the municipal market was pre-refunded bonds. The Portfolio was
underweight in this sub-sector. General obligation bonds were the next best
performing sub-sector, where the Portfolio held an overweighting thereby
contributing to Portfolio returns. At year end the Portfolio is of similar
credit quality and duration to its benchmark.
The views expressed above reflect those of the Portfolio's portfolio manager
only through the Reporting Period, and do not necessarily represent the views of
the Adviser as a whole. Investment decisions for any mutual fund are made based
upon a variety of factors; therefore this discussion should not be relied on as
an indication of the investment decisions for any fund managed by the Adviser.
3
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (a)
(PERFORMANCE GRAPH)
State Street iMoney Net Barclays
Short-Term Tax Tax-Free National Capital 1-Year
Exempt Bond Institutional Municipal
x Portfolio Average Bond Index
- --------- -------------- ----------------- --------------
2/7/07 10,000 10,000 10,000
3/31/07 10,053 10,053 10,072
6/30/07 10,143 10,138 10,138
9/30/07 10,240 10,224 10,274
12/31/07 10,333 10,305 10,418
3/31/08 10,421 10,367 10,597
6/30/08 10,425 10,414 10,639
9/30/08 10,482 10,467 10,705
12/31/08 10,648 10,512 10,892
INVESTMENT PERFORMANCE (a)
For the Fiscal Year Ended December 31, 2008
Total Return
Total Return Average Annualized Since
for the Year Ended Commencement of Operations
December 31, 2008 (February 7, 2007)
------------------ --------------------------
State Street Short-Term Tax Exempt
Bond Portfolio 3.04% 3.36%
iMoney Net Tax-Free National Institutional 2.01% 2.64%
Average (b)
Barclays Capital 1-Year Municipal 4.56% 4.62%
Bond Index (c)
(a) Total returns and performance graph information represent past performance
and are not indicative of future results, which may be lower or higher than
performance data quoted. Investment return and principal value of an
investment will fluctuate so that an investor's share, when redeemed, may
be worth more or less than its original cost. The graph and table above do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. Investment performance
reflects fee waivers in effect. In the absence of fee waivers, total return
would be lower.
(b) The iMoney Net Tax-Free National Institutional Average is an aveage that
consists of all national tax-free and municipal institutional funds.
Portfolio Holdings of tax-free funds include rated and unrated demand
notes, rated and unrated general market notes, commercial paper, put bonds
- 6 months & less, put bonds - over 6 months, AMT paper, and other tax-free
holdings. It is not possible to invest directly in an average.
(c) Barclays Capital 1-Year Municipal Bond Index: A total return benchmark
designed for tax-exempt assets. The index includes bonds with a minimum
credit rating of BAA3, are issued as part of a deal of at least $50
million, have an amount outstanding of at least $5 million, have maturities
of 1 to 2-years, and have been issued after December 31, 1990.
The Portfolio changed it's benchmark during the year from the iMoney Net
Tax-Free Index to the Barclay's Capital Municipal 1 Year Index. The Portfolio
believes that the Barclays Capital Municipal 1 Year Index (1) provides a better
comparison against the broad market of securities in which the Portfolio
invests, and (2) contains securities with an average duration that more closely
reflected the Portfolio's shift toward a longer-duration portfolio.
4
STATE STREET INSTITUTIONAL 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 July 1, 2008 to December 31,
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 December 31, 2008
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JULY 1, 2008 DECEMBER 31, 2008 PERIOD *
------------- ----------------- -------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $1,021.30 $0.51
BASED ON
HYPOTHETICAL (5% RETURN BEFORE
EXPENSES) $1,000.00 $1,024.63 $0.51
* The calculations are based on expenses incurred in the most recent six
month period of the Portfolio. The Portfolio's annualized average weighted
expense ratio as of December 31, 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.
5
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO PORTFOLIO STATISTICS
(UNAUDITED)
DECEMBER 31,
PORTFOLIO COMPOSITION* 2008
- ------------------------------- ------------
General Obligations 36.8%
General Obligation State 14.2
Pre Refunded/Escrow to Maturity 14.0
Miscellaneous Revenue 11.8
Money Market Fund 10.0
Lease 3.6
Water & Sewer 3.5
Hospital 2.1
Higher Education 2.0
Water Revenue 1.2
Transportation Revenue 0.8
-----
TOTAL 100.0%
=====
DECEMBER 31,
MATURITY LADDER* 2008
- ---------------- ------------
Less than 1 year 22.4%
1-2 years 53.6
2-3 years 24.0
-----
TOTAL 100.0%
=====
* The Portfolio's composition will vary over time.
6
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
TAX-EXEMPT OBLIGATIONS -- 88.8%
ALABAMA -- 1.4%
City of Huntsville GO Unlimited, Ref-WTS,
Series A, INS: FSA 1,000,000 5.400 02/01/2010 1,038,490
State of Alabama, Parks System Improvement
Corp., Series C, GO Unlimited 350,000 5.250 06/01/2009 355,961
------------
1,394,451
------------
ALASKA -- 7.8%
City of Anchorage GO Unlimited, Series B,
INS: MBIA 3,000,000 5.250 07/01/2010 3,137,550
Juneau City & Boro GO Unlimited, Sch,
Series A 2,660,000 4.000 06/01/2011 2,762,543
North Slope Boro GO Unlimited, Cap
Appreciation, Series B, INS: MBIA (a) 2,000,000 5.110 06/30/2009 1,978,960
------------
7,879,053
------------
ARIZONA -- 7.0%
City of Casa Grande Arizona, GO Unlimited,
INS: FSA 1,000,000 3.500 07/01/2010 1,015,230
Maricopa County Arizona School District
No 11, Peoria, GO Unlimited, INS: FSA 2,250,000 3.000 07/01/2010 2,271,240
Maricopa County Arizona School District
No 66, Roosevelt Elementary, Series A,
GO Unlimited, INS: FSA 2,380,000 4.000 07/01/2010 2,428,266
Pinal County Union High School District
No 82 Casa Grande GO Unlimited, School
Improvement - Project of 2006, Series B 1,300,000 4.000 07/01/2010 1,326,741
------------
7,041,477
------------
CALIFORNIA -- 2.5%
California State Economic Recovery,
Series A, GO Unlimited 1,000,000 5.000 01/01/2011 1,045,370
Golden Empire Schools Financing Authority
California Lease Revenue Bonds, Kern
High School District 1,500,000 4.000 05/01/2010 1,524,285
------------
2,569,655
------------
COLORADO -- 1.1%
Central Platte Valley Metropolitan
District, Series A, GO Unlimited,
LOC: BNP Paribas (b) 1,110,000 5.000 12/01/2009 1,138,005
------------
DELAWARE -- 1.1%
Delaware River & Bay Authority Revenue
Bonds, Series A, INS: AMBAC (c) 1,000,000 5.750 01/01/2010 1,057,620
------------
GEORGIA -- 4.1%
Macon Water Authority & Sewage Revenue
Bonds, REF 980,000 4.000 10/01/2010 1,013,428
State of Georgia, Series B, GO Unlimited 3,000,000 5.000 07/01/2010 3,152,820
------------
4,166,248
------------
ILLINOIS -- 2.5%
Chicago Illinois Park District, Personal
Property Replacement, Series D,
GO Unlimited 1,000,000 5.000 01/01/2011 1,055,720
State of Illinois, First Series,
GO Unlimited, INS: FSA 400,000 5.250 04/01/2009 403,460
State of Illinois, First Series,
GO Unlimited, INS: FSA 1,075,000 5.250 05/01/2010 1,115,947
------------
2,575,127
------------
INDIANA -- 1.1%
Indiana Bond Bank Revenue Bonds, SPL
Program, Series A, INS: AMBAC (c) 1,000,000 6.125 02/01/2010 1,061,710
------------
7
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
MARYLAND -- 4.0%
Baltimore County Maryland, Construction
Public Improvement, GO Unlimited 1,170,000 5.250 09/01/2010 1,238,176
Maryland Health & Higher Educational
Facilities Authority Revenue Bonds,
University of Maryland Medical Systems,
Series F 310,000 4.000 07/01/2010 310,043
Washington Suburban Sanitation District
Maryland, Sewage Disposal, GO Unlimited 2,400,000 5.000 06/01/2010 2,517,504
------------
4,065,723
------------
MASSACHUSETTS -- 2.4%
Commonwealth of Massachusetts, Series E,
GO Limited 1,230,000 5.500 01/01/2010 1,282,312
Massachusetts State HEFA Revenue Bonds,
New England Medical Center Hospital,
Series H, INS: FGIC 1,160,000 5.000 05/15/2009 1,174,338
------------
2,456,650
------------
MICHIGAN -- 1.2%
Grand Rapids Michigan Community College,
GO Limited, INS: FSA 1,225,000 5.000 05/01/2009 1,240,166
------------
NEVADA -- 7.3%
Clark County Nevada, Bond Bank, GO
Limited, INS: FGIC (c) 2,000,000 5.000 06/01/2011 2,157,660
Clark County School District GO Limited,
Limited Tax-Building, Series A 2,700,000 5.000 06/15/2010 2,808,621
State of Nevada, Capital Improvement and
Cultural Affairs, Series A,
GO Limited (c) 1,180,000 5.500 03/01/2010 1,238,174
Truckee Meadows Nevada Water Authority
Revenue Bonds, Series A, INS: FSA 1,180,000 5.500 07/01/2009 1,201,960
------------
7,406,415
------------
NEW JERSEY -- 2.8%
New Jersey EDA Revenue Bonds, School
Facilities Construction, Series Y 850,000 5.000 09/01/2010 881,085
New Jersey State Educational Facilities
Authority Revenue Bonds, Higher
Education Cap Improvement, Series B (c) 1,850,000 5.000 09/01/2010 1,951,213
------------
2,832,298
------------
NEW MEXICO -- 1.5%
State of New Mexico Severance Tax Revenue
Bonds, Series A-2 1,500,000 3.000 07/01/2010 1,518,105
------------
NEW YORK -- 9.2%
City of New York GO Unlimited,
Subseries B-1 2,000,000 4.000 09/01/2011 2,051,600
City of New York, Series F, GO Unlimited 1,000,000 5.000 08/01/2010 1,036,810
Nassau County GO Unlimited, Improvement,
Series F, INS: FSA 500,000 6.500 03/01/2019 528,275
Nassau County GO Unlimited, Improvement,
Series F, INS: FSA 500,000 6.500 03/01/2020 528,275
New York City Transitional Finance
Authority Aid Revenue Bonds, Series
S-2, INS: State Aid Withholding 1,500,000 5.000 01/15/2011 1,573,890
New York State Thruway Authority Service
Contract Revenue Bonds, Bridge Service
Contract 750,000 3.000 04/01/2010 760,297
New York State Urban Development
Corporation Revenue Bonds, State
Personal Income Tax, Series A1 500,000 5.000 12/15/2009 519,560
Tobacco Settlement Financing Authority
Revenue Bonds, Asset Backed, Series B 2,290,000 5.000 06/01/2010 2,349,838
------------
9,348,545
------------
See Notes to Financial Statements.
8
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
NORTH CAROLINA -- 3.9%
Mecklenburg County North Carolina, Public
Improvement, Series A, GO Unlimited 2,305,000 4.500 04/01/2011 2,433,965
State of North Carolina, Public
Improvement, Series B, GO Unlimited 1,500,000 4.000 04/01/2010 1,549,110
------------
3,983,075
------------
OHIO -- 2.1%
Ohio State Building Authority Revenue
Bonds, State Facilities Administration
Building, Series A, INS: FSA 1,020,000 5.250 10/01/2009 1,050,620
State of Ohio Revenue Bonds, Higher
Education Facilities, Series II-A 1,000,000 5.000 12/01/2010 1,053,990
------------
2,104,610
------------
OKLAHOMA -- 1.0%
Oklahoma State Capital Improvement
Authority State Facilities Revenue
Bonds, Higher Education Projects,
Series F, INS: AMBAC 1,000,000 3.750 07/01/2009 1,009,300
------------
OREGON -- 1.5%
Portland Oregon Community College
District, GO Unlimited 1,545,000 3.000 07/01/2009 1,559,569
------------
PENNSYLVANIA -- 3.2%
Allegheny County Pennsylvania HDA Revenue
Bonds, University of Pittsburgh Medical
Center, Series B 1,000,000 5.000 06/15/2011 1,018,590
Lehigh County Pennsylvania General Purpose
Hospital Revenue Bonds, Lehigh Valley
Health Network, Series A, INS: FSA 800,000 4.000 07/01/2010 818,928
Pennsylvania State, GO Unlimited 1,325,000 5.250 02/01/2010 1,381,842
------------
3,219,360
------------
TENNESSEE -- 1.0%
Metropolitan Government Nashville &
Davidson County Tennessee, Series A,
GO Unlimited 1,000,000 5.000 01/01/2010 1,036,640
------------
TEXAS -- 4.1%
City of Austin Texas, Public Property
Financial Contractual, GO Limited 1,000,000 5.000 09/01/2010 1,050,180
Texas A&M University Revenue Bonds,
Financing System 1,000,000 3.700 05/15/2011 1,036,370
Texas State Public Finance Authority
Revenue Bonds, INS: FGIC 1,955,000 4.000 02/01/2011 2,027,804
------------
4,114,354
------------
VIRGINIA -- 6.9%
Chesterfield County Virginia, Public
Improvement, GO Unlimited 2,255,000 4.000 01/01/2010 2,324,161
Commonwealth of Virginia, Series B,
GO Unlimited 1,655,000 5.000 06/01/2011 1,772,902
Virginia College Building Authority
Virginia Educational Facilities
Revenue Bonds, 21st Century College,
Series B 1,450,000 5.000 02/01/2010 1,509,001
Virginia State Public School Authority
Revenue Bonds, Series VII 1,290,000 5.000 04/15/2011 1,374,714
------------
6,980,778
------------
WASHINGTON -- 2.4%
Tacoma Washington Electrical Systems
Revenue Bonds, Series A, INS: FSA (c) 1,500,000 5.750 01/01/2011 1,634,505
Whatcom County Washington School District
No 506 Nooksack Valley, GO Unlimited,
INS: School Building Guaranty 815,000 4.000 12/01/2009 836,915
------------
2,471,420
------------
See Notes to Financial Statements.
9
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2008
DATE
PRINCIPAL RATE OF VALUE
AMOUNT % MATURITY $
---------- ----- ---------- ------------
WISCONSIN -- 5.7%
City of Milwaukee GO Unlimited, Corp
Purpose, Series R (c) 2,500,000 5.625 09/01/2010 2,662,150
South Milwaukee Wisconsin Promissory
Notes, GO Unlimited, INS: MBIA 1,000,000 4.375 06/01/2010 1,027,760
State of Wisconsin GO Unlimited, Series C 2,000,000 4.000 05/01/2011 2,075,400
------------
5,765,310
------------
TOTAL TAX-EXEMPT OBLIGATIONS
(Cost $89,392,641) 89,995,664
------------
SHARES
----------
MONEY MARKET FUND -- 10.0%
State Street Institutional Tax Free Money
Market Fund (at net asset value) (d) 10,110,420 10,110,420
------------
Total MONEY MARKET FUND
(Cost $10,110,420) 10,110,420
------------
TOTAL INVESTMENTS+ -- 98.8%
(COST $99,503,061) 100,106,084
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.2% 1,223,812
------------
NET ASSETS -- 100.0% $101,329,896
============
(a) Zero-coupon bond - Interest rate represents current yield to maturity.
(b) Floating Rate Note- Interest rate shown is rate in effect at December 31,
2008.
(c) Date shown is pre-refunded date.
(d) Affiliated issuer. See table that follows for more information.
+ See Note 2 of the Notes to Financial Statements
ACRONYM NAME
- ------- ----
AMBAC American Municipal Bond Assurance Corporation
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
INS Insured
MBIA Municipal Bond Investors Assurance
AFFILIATE TABLE
Certain investments made by the Portfolio were made in mutual funds affiliated
with State Street and SSgA FM. The market value of this investment at December
31, 2008 is listed in the Portfolio of Investments.
Shares
Number of purchased Shares Income earned
shares for the 12 sold for for the 12
Security held at months ended the 12 months Number of shares Value at months ended
Description 12/31/2007 12/31/08 ended 12/31/08 held at 12/31/08 12/31/08 12/31/08
- ----------- ---------- ------------ -------------- ---------------- ----------- -------------
State Street
Institutional
Tax Free
Money Market
Fund 2,410,373 75,596,884 67,896,837 10,110,420 $10,110,420 $121,990
See Notes to Financial Statements.
10
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2008
ASSETS
Investments in unaffiliated issuers, at market
(identified cost $89,392,641) $ 89,995,664
Investments in non-controlled affiliates at market
(cost $10,110,420) (Note 4) 10,110,420
------------
Total investmenst at market (identified cost
$99,503,061) 100,106,084
Receivables:
Interest receivable 1,248,277
Dividend receivable from non- controlled
affiliates (Note 4) 11,052
Receivable from adviser (Note 4) 7,819
Prepaid expenses 2,068
------------
Total assets 101,375,300
LIABILITIES
Payables:
Management fee (Note 4) 8,595
Administration and custody fees (Note 4) 1,743
Professional fees 32,759
Accrued expenses and other liabilities 2,307
------------
Total Liabilities 45,404
------------
NET ASSETS $101,329,896
============
See Notes to Financial Statements.
30
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2008
INVESTMENT INCOME
Interest $1,618,815
Dividends - non-controlled affiliated issuer 121,990
----------
Total Investment Income 1,740,805
EXPENSES
Management fees (Note 4) 68,643
Professional fees 49,595
Administration and custody fees (Note 4) 13,936
Trustees' fees (Note 5) 11,927
Printing fees 2,913
Other expenses 7,660
----------
Total Expenses 154,674
Less: Fee waivers/reimbursements by investment
adviser (Note 4) (86,031)
----------
Total Net Expenses 68,643
----------
NET INVESTMENT INCOME $1,672,162
REALIZED AND UNREALIZED GAIN
Net change in net unrealized appreciation
(depreciation) on investments 577,705
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,249,867
==========
See Notes to Financial Statements.
31
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
For the For the
Year Ended Period Ended
December 31, 2008 December 31, 2007*
----------------- ------------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 1,672,162 $ 1,149,525
Change in net unrealized appreciation (depreciation)
of investments 577,705 25,318
------------ -----------
Net increase in net assets resulting from
operations 2,249,867 1,174,843
------------ -----------
CAPITAL TRANSACTIONS
Proceeds from contributions 60,026,469 39,422,181
Fair value of withdrawals (1,413,816) (129,648)
------------ -----------
Net increase in net assets from capital
transactions 58,612,653 39,292,533
------------ -----------
TOTAL NET INCREASE IN NET ASSETS 60,862,520 40,467,376
NET ASSETS
Beginning of period 40,467,376 --
------------ -----------
End of period $101,329,896 $40,467,376
============ ===========
* The Portfolio commenced operations on February 7, 2007.
See Notes to Financial Statements.
32
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
YEAR PERIOD
ENDED ENDED
12/31/2008 12/31/2007*
---------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (000s) $101,330 $40,467
Ratios to average net assets:
Gross operating expenses 0.23% 0.35%**
Net operating expenses 0.10% 0.10%**
Net investment income 2.44% 3.58%**
Portfolio turnover rate 88.99% 31.18%***
Total return (a) 3.04% 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.
33
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2008
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 (formerly State Street Tax Free Limited
Duration Bond Portfolio), the State Street Limited Duration Bond Portfolio, the
State Street Treasury Money Market Portfolio, the State Street Treasury Plus
Money Market Portfolio and the State Street U.S. Government Money Market
Portfolio. Information presented in these financial statements pertains only to
the State Street Short-Term Tax Exempt Bond Portfolio (the "Portfolio"). The
Portfolio commenced operations on February 7, 2007. At December 31, 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.
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 Portfolio'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 Portfolio'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 December 31, 2008, in
valuing the Portfolio's assets carried at fair value:
15
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
INVESTMENTS IN
VALUATION INPUTS SECURITIES
--------------
Level 1 - Quoted Prices $ --
Level 2 - Other Significant
Observable Inputs 100,106,084
------------
Level 3 - Significant
Unobservable Inputs --
------------
TOTAL $100,106,084
------------
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 has reviewed the tax positions for open years as of December 31,
2008, and determined did not have a liability for any unrecognized tax expenses.
The Portfolio recognizes interest and penalties, if any, related to tax
liabilities as income tax expense in the Statement of Operations. As of December
31, 2008, tax years since inception through 2008 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 year ended December 31, 2008, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
contributions and withdrawals, aggregated to $108,465,044 and $55,907,500,
respectively.
At December 31, 2008, the book cost of investments was $99,503,061 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $673,255 and
$70,232, respectively, resulting in net appreciation of $603,023 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 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"). The Adviser directs the investments of the Portfolio in accordance
with its investment objective, policies, and limitations. In compensation for
the Adviser's services as investment adviser, the Portfolio pays the Adviser an
annual fee of 0.10% of the Portfolio's average daily net assets. The Adviser has
contractually agreed to cap the total operating expenses of the Portfolio at
0.10% of the Portfolio's average daily net assets until April 30, 2009. For the
year ended December 31, 2008, SSgA FM reimbursed the Portfolio $86,031 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
16
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008
fee rate described below and payable monthly, of the following annual
percentages of the Trust's average aggregate daily net assets during the month
as follows:
Annual percentage of
Asset Levels average aggregate daily net assets
- ------------ ----------------------------------
First $400 Million 0.03%
Thereafter 0.02
Minimum annual fee for the 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
On March 19, 2008, the FASB released Statement of Financial Accounting Standards
No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS
161"). FAS 161 requires qualitative disclosures about objectives and strategies
for using derivatives, quantitative disclosures about fair value amounts of and
gains and losses on derivative instruments, and disclosures about credit-risk
related contingent features in derivative agreements. The application of FAS 161
is required for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. At this time, management is evaluating the
implications of FAS 161 and believes the impact of adopting FAS 161 will be
limited to additional disclosures.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Tax Short-Term Tax Exempt Bond
Portfolio:
We have audited the accompanying statement of assets and liabilities of the
State Street Short-Term Tax Exempt Bond Portfolio (formerly State Street Tax
Free Limited Duration Bond Portfolio (one of the portfolios constituting State
Street Master Funds) (the "Portfolio"), including the portfolio of investments,
as of December 31, 2008, and the related statement of operations for the year
then ended, and the statements of changes in net assets and financial highlights
for each of the periods indicated therein. These financial statements and
financial highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolio's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2008, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Short-Term Tax Exempt Bond Portfolio of State Street Master Funds
at December 31, 2008, and the results of its operations for the year then ended,
and the changes in its net assets and the financial highlights for each of the
periods indicated therein, in conformity with U.S. generally accepted accounting
principles.
(Ernst & Young LLP)
Boston, Massachusetts
February 23, 2009
18
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008
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 Portfolio voted proxies relating to portfolio securities
during the most recent 12-month period ending June 30 is available by August 31
(i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC's
website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
ADVISORY AGREEMENT RENEWAL
The Board of Trustees of the Trust met on November 20, 2008 (the "Meeting") to
consider the approval of the investment advisory agreement (the "Advisory
Agreement") for the Portfolio. In preparation for considering the Advisory
Agreement, the Trustees had thoroughly reviewed the renewal materials provided
by the investment adviser, which they had requested through independent counsel.
In deciding whether to renew the Advisory Agreement, the Trustees considered
various factors, including (i) the nature, extent and quality of the services
provided by the SSgA Funds Management, Inc. (the "Adviser") under the Advisory
Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to
the Adviser of its services and profits realized by the Adviser and its
affiliates from their relationship with the Trust, (iv) the extent to which
economies of scale would be realized if and as the Trust grows and whether the
fee levels in the Advisory Agreement reflect these economies of scale, and (v)
any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the
Adviser, the Trustees relied on their prior direct experience as Trustees of the
Trust as well as on the materials provided at the Meeting. The Board reviewed
the Adviser's responsibilities under the Advisory Agreement and noted the
experience and expertise that would be appropriate to expect of an adviser to
the Portfolio, which is a short-term bond fund. The Trustees reviewed the
background and experience of the Adviser's senior management, including those
individuals responsible for the investment and compliance operations relating to
the investments of the Portfolio, and the responsibilities of the latter with
respect to the Portfolio. They also considered the resources, operational
structures and
19
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008 (CONTINUED)
practices of the Adviser in managing the Portfolio's investments, in monitoring
and securing the Portfolio's compliance with its investment objective and
policies with respect to its investments and with applicable laws and
regulations, and in seeking best execution of portfolio transactions. The
Trustees also considered information about the Adviser's overall investment
management business, noting that the Adviser manages assets for a variety of
institutional investors and that the Adviser and its affiliates had over $1.69
trillion in assets under management as of September 30, 2008, including over
$157 billion managed by the Adviser. They reviewed information regarding State
Street's business continuity and disaster recovery program. Drawing upon the
materials provided and their general knowledge of the business of the Adviser,
the Trustees determined that the experience, resources and strength of the
Adviser in the management of short-term bond products are exceptional. As
discussed more fully below, they also determined that the advisory fee for the
Portfolio was fair and reasonable and that its performance and expense ratio
were satisfactory. On the basis of this review, the Trustees determined that the
nature and extent of the services provided by the Adviser to the Portfolio were
appropriate, had been of uniformly high quality, and could be expected to remain
so.
The Trustees noted that, in view of the investment objectives of the Portfolio,
the investment performance was satisfactory. The Trustees noted that materials
provided by Lipper Inc. at the Meeting indicated that the Portfolio's
performance had been above average for the Lipper peer group for the reported
(one-year and year-to-date) periods ending September 30, 2008. The Board
concluded that the performance of the Portfolio was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate,
State Street, of the advisory relationships to the Trust. The Trustees had been
provided with data regarding the profitability to the Adviser and its affiliated
service providers with respect to the Portfolio individually, and on an
aggregate basis, for the year ended June 30, 2008. Having discussed with
representatives of the Adviser the methodologies used in computing the costs
that formed the bases of the profitability calculations, they concluded that
these methodologies were reasonable and turned to the data provided. After
discussion and analysis they concluded that, to the extent that the Adviser's
and State Street's relationships with the Trust had been profitable to either or
both those entities, the profitability was in no case such as to render the
advisory fees excessive.
In order better to evaluate the Portfolio's advisory fees, the Trustees had
requested comparative information from Lipper Inc. with respect to fees paid by,
and expense ratios of, similar funds. The Trustees found that the Portfolio's
advisory fees and total expense ratios were lower than the average for its peer
group; after discussion, they concluded that the data available provided
confirmation of the reasonableness of the Adviser's fee. The Board also
considered that to help limit expenses of the Portfolio, the Adviser had reduced
its advisory fee or otherwise reimbursed expenses. The Board determined that the
Adviser's fees were fair and reasonable.
20
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
DECEMBER 31, 2008 (CONTINUED)
In considering whether the Adviser benefits in other ways from its relationship
with the Trust, the Trustees also considered whether the Adviser's affiliates
may benefit from the Trust's relationship with State Street as fund
administrator and custodian. They noted that the Adviser utilizes no soft-dollar
arrangements in connection with the Portfolio's brokerage transactions. The
Trustees concluded that, to the extent that the Adviser or its affiliates derive
other benefits from their relationships with the Trust, those benefits are not
so significant as to render the Adviser's fees excessive.
The Board also considered the extent to which economies of scale may be realized
by the Portfolio as assets grow and whether the Portfolio's fee levels reflect
such economies of scale, if any, for the benefit of investors. In considering
the matter, the Board determined that, to the extent economies of scale were in
fact realized, such economies of scale were shared with the Portfolio by virtue
of an advisory fee of a comparatively low level that subsumed economies of scale
in the fees itself. The Trustees also recognized, however, that should
sustained, substantial asset growth be realized in the future, it might be
necessary to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one
factor being dispositive, the Board decided to approve the continuance of the
Advisory Agreement.
21
TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED).
The table below includes information about the Trustees and Executive Officers
of the State Street Master Funds, including their:
- business addresses and ages;
- principal occupations during the past five years; and
- other directorships of publicly traded companies or funds.
NUMBER OF
FUNDS IN
FUND
NAME, ADDRESS, AND POSITION(S) TERM OF OFFICE COMPLEX
DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS BY TRUSTEE* HELD BY TRUSTEE
- ---------------------- ------------ ---------------- ---------------------------------------- ----------- ---------------------
INDEPENDENT TRUSTEES Trustee and Term: Indefinite Chairman, Holland & Company L.L.C. 22 Trustee, State Street
Michael F. Holland Chairman Elected: 7/99 (investment adviser) (1995 - present). Institutional
Holland & Company, of the Board Investment Trust;
LLC Director, the Holland
375 Park Avenue Series Fund, Inc.;
New York, NY 10152 Director, The China
Fund, Inc.; Chairman
DOB: 1944 and Trustee, Scottish
Widows Investment
Partnership Trust;
and Director, Reaves
Utility Income Fund
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual South Africa 22 Trustee, State Street
State Street Master Elected: 7/99 Master Trust (investments) (1995 - Institutional
Funds present); Chairman emeritus, Investment Trust; and
P.O. Box 5049 Children's Hospital (1984 - present); Trustee, Old Mutual
Boston, MA 02206 Director, Boston Plan For Excellence South Africa Master
(non-profit) (1994 - present); President Trust
DOB: 1937 and Chief Operations Officer, John
Hancock Mutual Life Insurance
Company (1959 - 1999). Mr. Boyan
retired in 1999.
Rina K. Spence Trustee Term: Indefinite President of SpenceCare International 22 Trustee, State Street
State Street Master Elected: 7/99 LLC (1998 - present); Member of the Institutional
Funds Advisory Board, Ingenium Corp. Investment Trust;
P.O. Box 5049 (technology company) (2001 - present); Director, Berkshire
Boston, MA 02206 Chief Executive Officer, IEmily.com Life Insurance
(internet company) (2000 - 2001); Company of America;
DOB: 1948 Chief Executive Officer of Consensus and Director,
Pharmaceutical, Inc. (1998 - 1999); IEmily.com
Founder, President and Chief Executive
Officer of Spence Center for Women's
Health (1994 - 1998); Trustee, Eastern
Enterprise (utilities) (1988 - 2000).
Douglas T. Williams Trustee Term: Indefinite Executive Vice President of Chase 22 Trustee, State Street
State Street Master Elected: 7/99 Manhattan Bank (1987 - 1999). Mr. Institutional
Funds Williams retired in 1999. Investment Trust
P.O. Box 5049
Boston, MA 02206
DOB: 1940
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
22
NUMBER OF
FUNDS IN
FUND
NAME, ADDRESS, AND POSITION(S) TERM OF OFFICE COMPLEX
DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS BY TRUSTEE* HELD BY TRUSTEE
- ---------------------- ------------ ---------------- ---------------------------------------- ----------- ---------------------
INTERESTED TRUSTEES(1) Trustee Term: Indefinite President, SSgA Funds Management, 22 Trustee, State Street
James E. Ross President Elected Trustee: Inc. (2005 - present); Principal, SSgA Institutional
SSgA Funds 2/07 Funds Management, Inc. (2001 - Investment Trust;
Management, Inc. 2005); Senior Managing Director, State Trustee, SPDR(R)
State Street Financial Elected Street Global Advisors (March 2006 - Series Trust;
Center President: 4/05 present); Principal, State Street Global Trustee, SPDR(R)
One Lincoln Street Advisers (2000 - 2006). Index Shares Trust
Boston, MA 02111- and Trustee, Select
2900 Sector SPDR(R) Trust
DOB: 1965
OFFICERS:
Gary L. French Treasurer Term: Indefinite Senior Vice President of State Street -- --
State Street Bank and Elected: 5/05 Bank and Trust Company (2002 -
Trust Company present).
2 Avenue de Lafayette
Boston, MA 02111
DOB: 1951
Laura F. Healy Assistant Term: Indefinite Vice President of State Street Bank and -- --
State Street Bank and Treasurer Elected: 11/08 Trust Company (prior to July 2, 2008,
Trust Company Investors Financial Corporation) since
2 Avenue de Lafayette 2002.
Boston, MA 02111
DOB: 1964
Brian D. O'Sullivan Assistant Term: Indefinite Vice President of State Street Bank and -- --
State Street Bank and Treasurer Elected: 11/08 Trust Company (2007-present) with
Trust Company which he has been affiliated with since
801 Pennsylvania 1997.
Avenue
Kansas City, MO 64105
DOB: 1975
Peter T. Sattelmair Assistant Term: Indefinite Director of Fund Administration of -- --
State Street Bank and Treasurer Elected: 11/08 State Street Bank and Trust Company
Trust Company (2007 - present) with which he has
801 Pennsylvania been affiliated with since 1999.
Avenue
Kansas City,
MO 64105
DOB: 1977
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust. (1) Mr. Ross is an
Interested Trustee because of his employment by SSgA Funds Management,
Inc., an affiliate of the Trust.
23
NUMBER OF
FUNDS IN
FUND
NAME, ADDRESS, AND POSITION(S) TERM OF OFFICE COMPLEX
DATE OF BIRTH HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN OTHER DIRECTORSHIPS
("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS BY TRUSTEE* HELD BY TRUSTEE
- ---------------------- ------------ ---------------- ---------------------------------------- ----------- ---------------------
OFFICERS: (CONTINUED)
Julie Piatelli Chief Term: Indefinite Principal and Senior Compliance and -- --
SSgA Funds Compliance Elected: 7/07 Risk Management Officer, SSgA
Management, Inc. Officer Funds Management, Inc. (2004-
State Street Financial present), Vice President State Street
Center Global Advisors (2004-present).
One Lincoln Street
Boston, MA 02111
DOB: 1967
Nancy L. Conlin Secretary Term: Indefinite Vice President and Managing Counsel, -- --
State Street Bank and Elected: 2/09 State Street Bank and Trust Company
Trust Company (2007-present); General Counsel,
2 Avenue de Lafayette Plymouth Rock Companies (2004-
Boston, MA 02111 2007).
DOB: 1953
Brian C. Poole Assistant Term: Indefinite Vice President and Counsel (2008 - -- --
State Street Bank and Secretary Elected 9/08 present) and Associate Counsel (2004 -
Trust Company 2007), State Street Bank and Trust
4 Copley Place, Company (formerly Investors Bank
5th Floor and Trust Company); Legal Product
Boston, MA 02116 Manager, Fidelity Investments (2000 -
2004).
DOB: 1971
* The "Fund Complex" consists of eleven series of the Trust and eleven series
of State Street Institutional Investment Trust.
The Statement of Additional Information includes additional information about
the Trustees and is available, without charge, upon request, by calling (toll
free) 877-521-4083.
24
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
CUSTODIAN
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
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
ITEM 2. CODE OF ETHICS.
As of the end of the period, December 31, 2008, State Street Master Funds (the
"Trust" or "Registrant") has adopted a code of ethics, as defined in Item 2(b)
of Form N-CSR, that applies to the Trust's principal executive officer and
principal financial officer. The Trust has not made any amendments to its code
of ethics during the covered period. The Trust has not granted any waivers from
any provisions of the code of ethics during the covered period. A copy of the
Trust's code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Trust's Board of Trustees (the "Board") has determined that the Trust has
the following "audit committee financial experts" as defined in Item 3 of Form
N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L.
Boyan and Douglas T. Williams and Ms. Rina K. Spence. Each of the audit
committee financial experts is "independent" for purposes of this Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
For the fiscal years ended December 31, 2008 and December 31, 2007,
the aggregate audit fees billed for professional services rendered
by Ernst & Young LLP ("E&Y"), the Trust's principal accountant, for
the audit of the Trust's annual financial statements and services
normally provided by E&Y in connection with the Trust's statutory
and regulatory filings or engagement were $195,600 and $211,000,
respectively.
(b) Audit-Related Fees
For the fiscal years ended December 31, 2008 and December 31, 2007,
there were no fees for assurance and related services by E&Y
reasonably related to the performance of the audit of the Trust's
financial statements that were not reported under (a) of this Item.
(c) Tax Fees
For the fiscal years ended December 31, 2008 and December 31, 2007,
the aggregate tax fees billed for professional services rendered by
E&Y for tax compliance, tax advice, and tax planning were $42,260
and $37,000, respectively. Such tax services included the review of
income and excise tax returns for the Trust.
(d) All Other Fees
For the fiscal years ended December 31, 2008 and December 31, 2007,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to the Trust, other than
the services reported in (a) through (c).
For the fiscal years ended December 31, 2008 and December 31, 2007,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to SSgA Funds Management,
Inc. (the "Adviser") and any entity controlling, controlled by, or
under common control with the Adviser that provides ongoing services
to the Trust that (i) relate directly to the operations and
financial reporting of the Trust and (ii) were pre-approved by the
Trust's audit committee.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The Trust's Audit Committee Charter states the following with
respect to pre-approval procedures:
Pre-Approval Requirements. Before the independent accountants are
engaged by the Trust to render audit or non-audit services,
either:
1. The Audit Committee shall pre-approve all auditing
services and permissible non-audit services (e.g., tax
services) provided to the Trust. The Audit Committee
may delegate to one or more of its members the
authority to grant pre-approvals. Any decision of any
member to whom authority is delegated under this
section shall be presented to the full Audit Committee
at its next regularly scheduled meeting; or
2. The engagement to render the auditing service or
permissible non-audit service is entered into pursuant
to pre-approval policies and procedures established by
the Audit Committee. Any such policies and procedures
must (1) be detailed as to the particular service and
(2) not involve any delegation of the Audit Committee's
responsibilities to the investment adviser. The Audit
Committee must be informed of each service entered into
pursuant to the policies and procedures. A copy of any
such policies and procedures shall be attached as an
exhibit to the Audit Committee Charter.
De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval
for a service provided to the Trust other than audit, review or
attest services is not required if: (1) the aggregate amount of
all such non-audit services provided to the Trust constitutes not
more than 5 percent of the total amount of revenues paid by the
Trust to the independent accountants during the fiscal year in
which the non-audit services are provided; (2) such services were
not
recognized by the Trust at the time of the engagement to be
non-audit services; and (3) such services are promptly brought to
the attention of the Audit Committee and are approved by the
Audit Committee or by one or more members of the Audit Committee
to whom authority to grant such approvals has been delegated by
the Audit Committee prior to the completion of the audit.
Pre-Approval of Non-Audit Services Provided to the Adviser and
Certain Control Persons. The Audit Committee shall pre-approve
any non-audit services proposed to be provided by the independent
accountants to (a) the investment adviser and (b) any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Trust,
if the independent accountants' engagement with the investment
adviser or any such control persons relates directly to the
operations and financial reporting of the Trust. It shall be the
responsibility of the independent accountants to notify the Audit
Committee of any non-audit services that need to be pre-approved.
Application of De Minimis Exception: The De Minimis exception set
forth above applies to pre-approvals under this Section as well,
except that the "total amount of revenues" calculation is based
on the total amount of revenues paid to the independent
accountants by the Trust and any other entity that has its
services approved under this Section (i.e., the investment
adviser or any control person)."
(e)(2) Percentages of Services
None of the services described in paragraphs (b) through (d) of this
Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule
2-01 of Regulation S-X during the period of time for which such rule
was effective.
(f) Not applicable.
(g) Total Fees Paid By Adviser and Certain Affiliates
For the fiscal years ended December 31, 2008 and December 31, 2007,
the aggregate non-audit fees billed by E&Y for services rendered to
the Trust and the Adviser and any entity controlling, controlled by,
or under common control with the Adviser that provided ongoing
services to the Trust were $5,600,000 and $5,400,000, respectively.
(h) E&Y notified the Trust's Audit Committee of all non-audit services
that were rendered by E&Y to the Adviser and any entity controlling,
controlled by, or under common control with the Adviser that
provides services to the Trust, which services were not required to
be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X, allowing the Trust's Audit Committee to consider
whether such services were compatible with maintaining E&Y's
independence.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments is included as part of Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Registrant does not have procedures by which shareholders may recommend
nominees to the Registrant's Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")) are effective, as of a date within 90 days of the filing date of this
report, based on their evaluation of these controls and procedures required by
Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the Trust's second fiscal quarter covered by this Form N-CSR filing that has
materially affected, or is reasonably likely to materially affect, the Trust's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(a)(2) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are
attached hereto.
(a)(3) Not applicable to the Registrant.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: STATE STREET MASTER FUNDS
By: /s/ James E. Ross
---------------------------------------
James E. Ross
President (Principal Executive Officer)
Date: March 6, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ James E. Ross
---------------------------------------
James E. Ross
President (Principal Executive Officer)
Date: March 6, 2009
By: /s/ Gary L. French
---------------------------------------
Gary L. French
Treasurer (Principal Financial Officer)
Date: March 6, 2009