Financial Statements
Report of Independent Auditors To the Trustee of We have audited the accompanying financial statements of (the "Fund"), which comprise the statement of assets and liabilities, including the schedule of investments, as of and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of State Street Short Term Investment Fund as of, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 9, 2018 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210 T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us
Statement of Assets and Liabilities Assets Investments in securities, at amortized cost $ 55,834,900,309 Cash 543 Interest receivable 48,194,205 Total assets 55,883,095,057 Liabilities Distributions payable 68,588,954 Administration fee payable 497,519 Other accrued expenses 13,999 Total liabilities 69,100,472 Net Assets (55,810,203,797 units outstanding, at $1.000 per unit net asset value) $ 55,813,994,585 2
Statement of Operations Year Ended Investment income Interest $ 748,316,584 Expenses Administration 6,801,182 Audit 47,000 Other 44,025 Total expenses 6,892,207 Net investment income (loss) 741,424,377 Net realized gain (loss): Investments 47,581 Net realized gain (loss) 47,581 Net increase (decrease) in net assets resulting from operations $ 741,471,958 3
Statement of Changes in Net Assets Year Ended From operations Net investment income (loss) $ 741,424,377 Net realized gain (loss) 47,581 Net increase (decrease) in net assets resulting from operations 741,471,958 Distributions to participants from net investment income (loss) (741,424,377) From participant transactions (at $1.000 per unit) Proceeds from units issued 661,088,712,929 Cost of units redeemed (676,033,213,847) Net increase (decrease) in net assets resulting from participant transactions (14,944,500,918) Net increase (decrease) in net assets (14,944,453,337) Net Assets Beginning of year 70,758,447,922 End of year $ 55,813,994,585 4
Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ 1.000 Net investment income (loss) 1 0.011 Net realized gain (loss) 2 0.000 Total from investment operations 0.011 Distributions (0.011) Net asset value, end of year $ 1.000 Total return (%) 3 1.11 Ratios to Average Net Assets 4 Ratio of expenses (%) 5 0.010 Ratio of net investment income (loss) (%) 1.090 1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Zero amounts represent those which are between $(0.0005) and $0.0005. 3 Calculation is based on the value of a single unit of participation outstanding throughout the year. It assumes reinvestment of distributions and includes only those expenses charged directly to the Fund. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 4 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 5
Schedule of Investments (showing percentage of total value of investments) Corporate Bonds & Notes - 6.8% Interest Rate Maturity Date Principal Amortized Cost ($) Banks - 6.8% Canadian Imperial Bank of 1.63% 02/16/2018 USD 445,000,000 445,000,000 Commerce 1 Canadian Imperial Bank of 1.82% 03/20/2018 250,000,000 250,000,000 Commerce 1 Canadian Imperial Bank of 1.72% 05/22/2018 300,000,000 300,000,000 Commerce 1 Canadian Imperial Bank of 1.72% 09/17/2018 200,000,000 200,000,000 Commerce 1 Credit Suisse AG 1 1.62% 05/01/2018 150,000,000 150,000,000 Lloyds Bank PLC 1 1.52% 03/05/2018 125,000,000 125,000,000 Lloyds Bank PLC 1 1.68% 04/20/2018 100,000,000 100,000,000 Royal Bank of Canada 1 1.49% 03/01/2018 150,000,000 150,000,000 Royal Bank of Canada 1 1.82% 03/20/2018 101,250,000 101,250,000 Sumitomo Mitsui Banking Corp. 1 1.74% 02/28/2018 300,000,000 300,000,000 Sumitomo Mitsui Banking Corp. 1 1.77% 03/29/2018 153,000,000 153,000,000 Svenska Handelsbanken 1 1.50% 04/03/2018 200,000,000 200,000,000 Toronto-Dominion Bank 1 1.71% 03/05/2018 203,000,000 203,000,000 Toronto-Dominion Bank 1 1.58% 04/10/2018 200,000,000 200,000,000 Toronto-Dominion Bank 1 1.69% 08/17/2018 202,000,000 202,000,000 Wells Fargo Bank NA 1 1.52% 02/07/2018 150,000,000 150,000,000 Wells Fargo Bank NA 1 1.73% 03/06/2018 350,000,000 350,000,000 Wells Fargo Bank NA 1 1.56% 03/09/2018 200,000,000 200,000,000 Total Corporate Bonds & Notes (Cost $3,779,250,000) 3,779,250,000 3,779,250,000 U.S. Treasury Obligations - 8.9% Interest Rate Maturity Date Principal Amortized Cost ($) Treasury Bill 2 0.00% 01/25/2018 USD 748,000,000 747,379,160 Treasury Bill 2 0.00% 02/08/2018 500,000,000 499,374,583 Treasury Bill 2 0.00% 02/15/2018 500,000,000 499,225,000 Treasury Bill 2 0.00% 02/22/2018 400,000,000 399,256,591 Treasury Bill 2 0.00% 03/01/2018 600,000,000 598,735,724 Treasury Bill 2 0.00% 03/08/2018 745,000,000 743,236,868 Treasury Bill 2 0.00% 03/15/2018 500,000,000 498,665,992 Treasury Bill 2 0.00% 03/22/2018 500,000,000 498,503,991 6
Schedule of Investments (showing percentage of total value of investments) U.S. Treasury Obligations - 8.9% Interest Rate Maturity Date Principal Amortized Cost ($) Treasury Bill 2 0.00% 03/29/2018 500,000,000 498,275,249 Total U.S. Treasury Obligations (Cost $4,982,653,158) 4,982,653,158 Short Term Instruments - 81.8% Interest Rate Maturity Date Principal Amortized Cost ($) Bank Notes - 3.4% Bank of America N.A. 1 1.55% 05/10/2018 USD 250,000,000 250,000,000 Bank of America N.A. 1 1.63% 05/18/2018 125,000,000 125,000,000 Bank of America N.A. 1 1.65% 05/21/2018 234,000,000 234,000,000 Bank of America N.A. 1 1.58% 06/12/2018 108,000,000 108,000,000 Bank of America N.A. 1 1.60% 07/12/2018 232,500,000 232,500,000 Bank of America N.A. 1 1.65% 07/16/2018 145,000,000 145,000,000 Bank of America N.A. 1.51% 01/02/2018 85,000,000 85,000,000 Bank of America N.A. 1.51% 01/04/2018 145,000,000 145,000,000 Bank of America N.A. 1.52% 01/08/2018 118,500,000 118,500,000 Bank of America N.A. 1.63% 01/16/2018 87,000,000 87,000,000 Bank of America N.A. 1.56% 02/12/2018 127,000,000 127,000,000 Bank of America N.A. 1.64% 02/20/2018 144,000,000 144,000,000 Bank of America N.A. 1.51% 03/05/2018 125,000,000 125,000,000 1,926,000,000 Certificate Of Deposit - 41.2% Bank of Montreal 1.32% 01/02/2018 USD 145,000,000 145,000,000 Bank of Montreal 1.34% 01/09/2018 200,000,000 200,000,000 Bank of Montreal 1.35% 01/10/2018 200,000,000 200,000,000 Bank of Montreal 1.35% 01/18/2018 300,000,000 300,000,000 Bank of Montreal 1.38% 01/29/2018 390,000,000 390,000,000 Bank of Montreal 1.40% 02/01/2018 300,000,000 300,000,000 Bank of Montreal 1.53% 03/01/2018 400,000,000 400,000,000 Bank of Montreal 1 1.52% 06/04/2018 400,000,000 400,000,000 Bank of Nova Scotia 1.55% 03/15/2018 400,000,000 400,000,000 Bank of Nova Scotia 1.76% 03/19/2018 250,000,000 250,000,000 Bank of Nova Scotia 1.75% 08/28/2018 200,000,000 200,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.33% 01/02/2018 150,000,000 150,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.34% 01/04/2018 200,000,000 200,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.30% 01/08/2018 200,000,000 200,000,000 7
Schedule of Investments (showing percentage of total value of investments) Short Term Instruments - 81.8% Interest Rate Maturity Date Principal Amortized Cost ($) Bank of Tokyo-Mitsubishi UFJ Ltd. 1.35% 01/08/2018 150,000,000 150,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.33% 01/10/2018 250,000,000 250,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.35% 01/12/2018 200,000,000 200,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.35% 01/18/2018 200,000,000 200,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.38% 01/22/2018 300,000,000 300,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.40% 01/24/2018 275,000,000 275,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.42% 01/29/2018 250,000,000 250,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 1.38% 01/31/2018 345,000,000 345,000,000 BNP Paribas 1.32% 01/02/2018 150,000,000 150,000,000 BNP Paribas 1.34% 01/16/2018 150,000,000 150,000,000 BNP Paribas 1.34% 01/18/2018 200,000,000 200,000,000 BNP Paribas 1.39% 02/01/2018 200,000,000 200,000,000 BNP Paribas 1.42% 02/01/2018 250,000,000 250,000,000 BNP Paribas 1.37% 02/02/2018 150,000,000 150,000,000 BNP Paribas 1.41% 02/08/2018 250,000,000 250,000,000 BNP Paribas 1.50% 02/12/2018 300,000,000 300,000,000 BNP Paribas 1.43% 02/13/2018 250,000,000 250,000,000 Canadian Imperial Bank of 1.76% 08/31/2018 275,000,000 275,000,000 Commerce 1 Citibank N.A. 1.35% 01/11/2018 106,000,000 106,000,000 Citibank N.A. 1.35% 01/16/2018 500,000,000 500,000,000 Citibank N.A. 1.40% 02/16/2018 350,000,000 350,000,000 Credit Agricole Corporate and 1.39% 02/01/2018 500,000,000 500,000,000 Investment Bank Credit Agricole Corporate and 1.42% 02/14/2018 300,000,000 300,000,000 Investment Bank Credit Agricole Corporate and 1.42% 02/15/2018 289,000,000 289,000,000 Investment Bank Credit Agricole Corporate and 1.51% 03/01/2018 252,000,000 252,000,000 Investment Bank Credit Suisse 1.39% 02/01/2018 500,000,000 500,000,000 Credit Suisse 1 1.81% 04/26/2018 105,000,000 105,020,234 KBC Bank NV 1.46% 01/03/2018 497,500,000 497,500,000 KBC Bank NV 1.44% 01/05/2018 500,000,000 500,000,000 Mizuho Bank Ltd. 1.37% 01/02/2018 500,000,000 500,000,000 Mizuho Bank Ltd. 1.29% 01/03/2018 500,000,000 500,000,000 Nordea Bank AB 1.38% 01/02/2018 400,000,000 400,000,000 Nordea Bank AB 1.30% 01/04/2018 400,000,000 400,000,000 Norinchukin Bank 1.38% 01/05/2018 300,000,000 300,000,000 8
Schedule of Investments (showing percentage of total value of investments) Short Term Instruments - 81.8% Interest Rate Maturity Date Principal Amortized Cost ($) Norinchukin Bank 1.43% 01/11/2018 400,000,000 400,000,000 Norinchukin Bank 1.33% 01/12/2018 450,000,000 450,000,000 Norinchukin Bank 1.50% 01/18/2018 400,000,000 400,000,000 Royal Bank of Canada 1.35% 01/02/2018 1,901,661,000 1,901,661,000 Royal Bank of Canada 1 1.61% 07/10/2018 200,000,000 200,000,000 Societe Generale 1.36% 01/31/2018 300,000,000 300,000,000 Societe Generale 1.40% 01/31/2018 443,000,000 443,000,000 Standard Chartered Bank 1.38% 01/17/2018 250,000,000 250,000,000 Sumitomo Mitsui Banking Corp. 1.30% 01/02/2018 649,000,000 649,000,000 Sumitomo Mitsui Banking Corp. 1 1.51% 03/01/2018 300,000,000 300,000,000 Sumitomo Mitsui Banking Corp. 1 1.65% 05/11/2018 250,000,000 250,000,000 Svenska Handelsbanken 1.54% 03/15/2018 300,000,000 300,003,030 Svenska Handelsbanken 1 1.53% 04/10/2018 150,000,000 150,000,000 Swedbank AB 1.33% 01/02/2018 400,000,000 400,000,000 Swedbank AB 1.33% 01/03/2018 150,000,000 150,000,000 Swedbank AB 1.36% 02/02/2018 250,000,000 250,000,000 Swedbank AB 1 1.47% 05/02/2018 245,000,000 245,000,000 The Toronto-Dominion Bank 1.35% 01/04/2018 300,000,000 300,000,000 The Toronto-Dominion Bank 1.35% 01/11/2018 265,000,000 265,000,000 The Toronto-Dominion Bank 1.40% 01/31/2018 253,000,000 253,000,000 The Toronto-Dominion Bank 1.49% 03/14/2018 150,000,000 150,000,000 The Toronto-Dominion Bank 1 1.59% 12/03/2018 300,000,000 300,000,000 US Bank NA 1.58% 03/20/2018 240,000,000 240,000,000 Wells Fargo Bank N.A. 1 1.66% 07/18/2018 300,000,000 300,000,000 Wells Fargo Bank N.A. 1 1.78% 12/19/2018 250,000,000 250,000,000 22,976,184,264 Commercial Paper - 25.5% Australia & New Zealand Banking 0.00% 03/15/2018 USD 350,000,000 348,885,736 Group Ltd. 2 Australia & New Zealand Banking 1.73% 08/24/2018 350,000,000 349,988,545 Group Ltd. 1 Bank of Nova Scotia 2 0.00% 02/06/2018 200,000,000 199,716,000 Bank of Nova Scotia 2 0.00% 02/07/2018 250,000,000 249,635,139 Bank of Nova Scotia 1 1.62% 02/16/2018 188,000,000 188,000,000 Bank of Nova Scotia 1 1.64% 02/16/2018 225,000,000 225,000,000 Bank of Nova Scotia 1 1.66% 02/23/2018 73,000,000 73,000,000 BNP Paribas 2 0.00% 01/05/2018 500,000,000 499,920,556 BPCE 2 0.00% 02/05/2018 490,000,000 489,323,528 9
Schedule of Investments (showing percentage of total value of investments) Short Term Instruments - 81.8% Interest Rate Maturity Date Principal Amortized Cost ($) Caisse des Depots et Consignations 2 0.00% 02/15/2018 330,000,000 329,412,188 Caisse des Depots et Consignations 2 0.00% 02/23/2018 202,500,000 202,052,813 Caisse des Depots et Consignations 2 0.00% 02/26/2018 202,500,000 202,027,500 Caisse des Depots et Consignations 2 0.00% 02/28/2018 375,000,000 374,081,667 Caisse des Depots et Consignations 2 0.00% 03/01/2018 100,000,000 99,750,889 Commonwealth Bank of Australia 1 1.82% 02/05/2018 120,000,000 120,000,000 Commonwealth Bank of Australia 1 1.83% 03/29/2018 45,000,000 45,000,000 Commonwealth Bank of Australia 1 1.48% 04/05/2018 45,000,000 45,000,000 Danske Corp. 2 0.00% 02/07/2018 103,000,000 102,848,619 Danske Corp. 2 0.00% 02/08/2018 68,000,000 67,897,358 DBS Bank Ltd. 2 0.00% 01/03/2018 125,000,000 124,990,556 DBS Bank Ltd. 2 0.00% 01/04/2018 89,000,000 88,990,062 DBS Bank Ltd. 2 0.00% 01/11/2018 250,000,000 249,904,861 DBS Bank Ltd. 2 0.00% 01/17/2018 165,000,000 164,899,533 DBS Bank Ltd. 2 0.00% 01/18/2018 127,000,000 126,918,438 DBS Bank Ltd. 2 0.00% 01/22/2018 100,000,000 99,916,000 DBS Bank Ltd. 2 0.00% 02/01/2018 100,000,000 99,879,444 DBS Bank Ltd. 2 0.00% 02/05/2018 130,000,000 129,823,056 DBS Bank Ltd. 2 0.00% 03/01/2018 365,000,000 364,078,781 DnB Bank ASA 2 0.00% 01/02/2018 500,000,000 499,979,722 Federation des Caisses Desjardins du 0.00% 02/09/2018 150,000,000 149,764,375 Quebec 2 Federation des Caisses Desjardins du 0.00% 02/13/2018 150,000,000 149,740,208 Quebec 2 General Electric Co. 2 0.00% 01/02/2018 169,000,000 168,993,334 General Electric Co. 1 1.64% 03/29/2018 209,000,000 209,000,000 HSBC Bank PLC 1 1.71% 07/25/2018 135,000,000 135,000,000 ING US Funding LLC 1 1.61% 05/04/2018 192,000,000 192,000,000 Kreditanstalt fuer Wiederaufbau 2 0.00% 01/11/2018 499,700,000 499,518,512 Kreditanstalt fuer Wiederaufbau 2 0.00% 01/19/2018 100,000,000 99,933,500 Kreditanstalt fuer Wiederaufbau 2 0.00% 01/22/2018 300,000,000 299,767,250 Kreditanstalt fuer Wiederaufbau 2 0.00% 01/26/2018 140,000,000 139,869,236 Kreditanstalt fuer Wiederaufbau 2 0.00% 01/30/2018 100,000,000 99,890,444 Kreditanstalt fuer Wiederaufbau 2 0.00% 02/01/2018 150,000,000 149,823,042 Microsoft 2 0.00% 01/10/2018 250,000,000 249,921,250 Microsoft 2 0.00% 01/16/2018 500,000,000 499,737,500 Microsoft 2 0.00% 01/24/2018 225,000,000 224,813,125 National Australia Bank Ltd. 1 1.91% 02/21/2018 159,000,000 159,000,000 National Bank Of Canada 2 0.00% 02/05/2018 402,000,000 401,425,475 10
Schedule of Investments (showing percentage of total value of investments) Short Term Instruments - 81.8% Interest Rate Maturity Date Principal Amortized Cost ($) Nestle Capital Corp. 2 0.00% 01/16/2018 177,000,000 176,904,863 Nestle Capital Corp. 2 0.00% 01/17/2018 100,000,000 99,942,667 NRW.BANK 2 0.00% 01/10/2018 245,250,000 245,165,695 NRW.BANK 2 0.00% 01/12/2018 100,000,000 99,957,833 NRW.BANK 2 0.00% 01/17/2018 473,000,000 472,721,174 Sumitomo Mitsui Banking Corp. 2 0.00% 01/05/2018 300,000,000 299,956,667 Sumitomo Mitsui Banking Corp. 2 0.00% 01/16/2018 295,000,000 294,837,135 The Toronto-Dominion Bank 2 0.00% 01/24/2018 200,000,000 199,821,111 The Toronto-Dominion Bank 2 0.00% 01/31/2018 300,000,000 299,650,000 The Toronto-Dominion Bank 2 0.00% 03/21/2018 300,000,000 299,012,500 Toyota Motor Credit Corp. 1 1.67% 01/23/2018 140,500,000 140,500,000 Toyota Motor Credit Corp. 1 1.68% 02/14/2018 50,000,000 50,000,000 Toyota Motor Credit Corp. 1 1.68% 02/15/2018 150,000,000 150,000,000 Toyota Motor Credit Corp. 1 1.52% 02/27/2018 55,000,000 55,000,000 UBS AG 1 1.59% 04/06/2018 250,000,000 250,000,000 UBS AG 1 1.64% 04/12/2018 300,000,000 300,000,000 UBS AG 1 1.58% 05/02/2018 200,000,000 200,000,000 UBS AG 1 1.73% 07/11/2018 200,000,000 200,000,000 UBS AG 1 1.64% 08/01/2018 200,000,000 200,000,000 Westpac Banking Corp. 1 1.64% 08/13/2018 200,000,000 200,000,000 14,222,587,887 Time Deposit - 11.7% Canadian Imperial Bank of 1.33% 01/02/2018 USD 1,200,000,000 1,200,000,000 Commerce Citibank N.A. 1.36% 01/02/2018 1,004,482,000 1,004,482,000 Credit Agricole Corporate & 1.33% 01/02/2018 325,000,000 325,000,000 Investment Bank DnB Bank ASA 1.30% 01/02/2018 235,000,000 235,000,000 Lloyds Bank PLC 1.30% 01/02/2018 536,743,000 536,743,000 National Bank Of Canada 1.43% 01/03/2018 1,500,000,000 1,500,000,000 Natixis 1.31% 01/02/2018 240,000,000 240,000,000 Nordea Bank AB 1.30% 01/02/2018 1,450,000,000 1,450,000,000 Skandinaviska Enskilda Banken AB 1.30% 01/02/2018 35,000,000 35,000,000 Total Short Term Instruments (Cost $45,650,997,151) 6,526,225,000 45,650,997,151 11
Schedule of Investments (showing percentage of total value of investments) Repurchase Agreements - 2.5% Principal Amortized Cost ($) Barclays Capital Tri Party Repurchase Agreement, 1.37%, dated 12/29/2017, to be purchased at $30,004,567 on 01/02/2018 (collateralized by a U.S. Treasury Note, 2.00% due 04/30/2024, valued at $30,600,097) Citigroup Global Markets Inc. Tri Party Repurchase Agreement, 1.40%, dated 12/29/2017, to be purchased at $280,043,556 on 01/02/2018 (collateralized by various U.S. Government Agency Securities and a U.S. Treasury Note, 0.88% - 10.00% due 01/25/2018-01/01/2048, valued at $285,600,098) HSBC Tri Party Repurchase Agreement, 1.30%, dated 12/29/2017, to be purchased at $400,057,778 on 01/02/2018 (collateralized by various U.S. Treasury Obligations, 0.51% - 3.13% due 04/30/2018-02/15/2047, valued at $408,003,743) JP Morgan Tri Party Repurchase Agreement, 1.35%, dated 12/29/2017, to be purchased at $300,045,000 on 01/02/2018 (collateralized by various U.S. Government Agency Securities, 3.50% - 4.00% due 05/01/2032-08/01/2047, valued at $306,000,359) JP Morgan Tri Party Repurchase Agreement, 1.43%, dated 12/29/2017, to be purchased at $46,007,309 on 01/02/2018 (collateralized by various U.S. Government Agency Securities, 4.00% due 08/01/2047, valued at $46,923,695) Nomura Tri Party Repurchase Agreement, 1.42%, dated 12/29/2017, to be purchased at $316,049,858 on 01/02/2018 (collateralized by various U.S. Government Agency Securities, 2.87% - 5.00% due 12/01/2022-09/15/2047, valued at $322,320,001) TD Securities USA Tri Party Repurchase Agreement, 1.41%, dated 12/29/2017, to be purchased at $50,007,833 on 01/02/2018 (collateralized by various U.S. Treasury Obligations, 0.00% due 08/15/2042-11/15/2042, valued at $51,008,024) Total Repurchase Agreements (Cost $1,422,000,000) USD 30,000,000 30,000,000 280,000,000 280,000,000 400,000,000 400,000,000 300,000,000 300,000,000 46,000,000 46,000,000 316,000,000 316,000,000 50,000,000 50,000,000 1,422,000,000 TOTAL INVESTMENTS - 100.0% (Cost $55,834,900,309) 55,834,900,309 1 Variable rate security. Interest rate shown is rate in effect at. 2 Denotes a zero coupon investment. USD : United States Dollar 12
Notes to Financial Statements 1. Fund Organization and Investment Objective (the "Fund") was formed under the State Street Global Advisors Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). State Street Global Advisors Trust Company ( SSGA ), a limited purpose trust company established under the laws of the Commonwealth of Massachusetts, is a wholly owned subsidiary of State Street Bank and Trust Company ( State Street Bank ). SSGA is Trustee and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. SSGA is the Fund's Investment Manager. State Street Bank is the Fund's custodian. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee. The investment objective of the Fund is to provide safety of principal, daily liquidity, and a competitive yield over the long term. The Trustee has the authority to establish unlimited classes of units of the Fund (each a "Class") and issue an unlimited number of units of any such Class of the Fund. 2. Summary of Significant Accounting Policies The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The policies described below are followed consistently in the preparation of the financial statements. A. Valuation Governance and Oversight The Trustee assigns valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These regional valuation committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to: Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments for which market quotations are not readily available, including where available market quotations are deemed unreliable; Determining appropriate pricing services and sources for various securities or instruments, including secondary and tertiary source options; Recommending changes to approved pricing sources, and monitoring pricing services' overall performance, including evaluating the pricing methodologies these pricing services employ; Escalating valuation challenges; Reviewing results of fair value determinations; and Maintaining valuation records. The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA s North America Valuation Committee is responsible for valuation oversight of the Fund. The Trustee regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to identify potential fair valuation considerations. These procedures and the results of these controls are reviewed periodically by SSGA s North America Valuation Committee. 13
Notes to Financial Statements B. Security Valuation The Fund s investments, including derivative instruments, are valued at fair value each business day. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The Fund s investments are valued pursuant to the policy and procedures approved by the Trustee. Fixed income investments (including short-term investments) are valued on the basis of valuations furnished by independent pricing services. These independent pricing services determine valuations for normal institutional-size trading units of such securities using valuation models or matrix pricing; which incorporates yield and/or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date and quotations from securities dealers to determine current value. To the extent the inputs are observable, timely and/or consistent with other valuation inputs; these investments are classified within Level 2 of the fair value hierarchy. Investments in registered investment companies (other than those that are exchange traded), if any, are valued at their respective net asset value and are classified within Level 1 of the fair value hierarchy. Investments in collective investment funds, if any, are valued at their respective net asset value and are not classified within the fair value hierarchy. In the event current market prices or quotations are not readily available or are deemed unreliable by the Trustee, such as the occurrence of a significant event, the fair value will be determined in good faith by the Trustee using alternative fair valuation methods. A "significant event" is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund's portfolio securities to no longer reflect their value at the time of the Fund's net asset value calculation. If the aggregate value of fixed income investments approximates amortized cost, such investments are valued at amortized cost. Under the amortized cost method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and the expected maturity value of the investment, as an adjustment to interest income. The Trustee evaluates the difference between the Fund net asset value per unit based upon the amortized cost of the Fund's securities and the net asset value per unit based upon market quotations (or permitted substitutes) at least once a week pursuant to procedures and tolerances established by the Trustee. Please refer to the Repurchase Agreements note for further details on the valuation policy for repurchase agreements. Fair Value Hierarchy The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy are described below: Level 1 Level 2 Unadjusted quoted prices in active markets for identical assets or liabilities. Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical assets or liabilities in markets that are not active, or observable inputs other than quoted prices (such as interest rates, yield curves, foreign exchange rates, volatilities, prepayment speeds, and credit risk) or other market corroborated inputs. 14
Notes to Financial Statements Level 3 Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trustee's own assumptions about the factors market participants would use in valuing a portfolio instrument, and would be based on the best information available. The following is a summary of the inputs used, as of, involving the Fund's assets and liabilities. The inputs or methodologies used for valuing investments and other financial instruments may not be an indication of the risk associated with investing in those securities. Level 1 Level 2 Level 3 Total Investments in securities, long - Assets Corporate Bonds & Notes $ - $ 3,779,250,000 $ - $ 3,779,250,000 U.S. Treasury Obligations - 4,982,653,158-4,982,653,158 Short Term Instruments - 45,650,997,151-45,650,997,151 Repurchase Agreements - 1,422,000,000-1,422,000,000 $ - $ 55,834,900,309 $ - $ 55,834,900,309 Please refer to the Schedule of Investments for additional information regarding composition of amounts listed above. Collective Investment Funds, if any, have been measured at fair value using the net asset value per unit practical expedient and accordingly have not been classified in the fair value hierarchy. The fair value total amount presented for the aforementioned category in the table above, if applicable, is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. The Fund had no significant transfers between levels for the period ended. C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from an underlying fund, if any, are recorded on the ex-dividend date and retain the character of income as earned by the underlying fund. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income earned on securities, if any, is recorded on the accrual basis from settlement date. Interest income includes accretion of discounts and amortization of premiums, if any. D. Taxes It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no federal or state tax provision is required. The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has determined that no provision for income taxes is required in the Fund's financial statements. E. Issuances and Redemptions of Units of Participation Issuances and redemptions of participant units are made on each business day. Participant units are typically issued and redeemed at a constant net asset value of $1.000 per unit. In the event that a significant disparity develops between the constant net asset value and the fair value-based net asset value of the Fund, the Trustee may determine that continued 15
Notes to Financial Statements issuance or redemption at a constant $1.000 net asset value would create inequitable results for the Fund's participants. In these circumstances, the Trustee, in its sole discretion and acting on behalf of the Fund's participants, may direct that units be issued or redeemed at the fair value-based net asset value until such time as the disparity between the fair valuebased and the constant net asset value per unit is deemed to be immaterial. Additional terms of participation are detailed in the Trust and the Fund's other governing documents. Such terms may be implemented pursuant to the Trustee's prudent determination. F. Expenses Under the Trust, the Fund may be charged an annual audit fee and such other fees and expenses as are permitted by the Declaration of Trust. The Fund indirectly bears the expenses incurred by the underlying fund(s), if any. Management Fee SSGA receives investment management fees from the participating accounts and therefore, the Fund makes no payment for these services. Administration Fee The Fund is charged by the Trustee an annual administration fee equal to 0.010% of the average daily net asset value of the Fund. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate. Please refer to the Additional Expense Information footnote for further disclosures regarding expenses. G. Treatment of Net Investment Income and Net Realized Gains Distributions from net investment income are declared on each valuation date and paid monthly. Distributions of net capital gains, if any, are made periodically. H. Repurchase Agreements The Fund may enter into repurchase agreements under the terms and conditions of a Master Repurchase Agreement and/ or a Global Master Repurchase Agreement (collectively, MRA ) with dealers, banks and other financial institutions deemed to be creditworthy by the Investment Manager. Upon entering into a repurchase agreement, whereby the Fund receives delivery of underlying securities as collateral, and the seller of such securities agrees to repurchase the securities at an agreed-upon price and time. The Fund values the underlying collateral securities daily on a marked-to-market basis to determine that the value, including accrued interest is at least equal to the repurchase price. The underlying collateral securities consist of securities in which the Fund is permitted to invest. Collateral for certain tri-party repurchase agreements is held at a custodian in a segregated account for the benefit of the Fund and the counterparty. The use of repurchase agreements involves certain risks. If the seller defaults as a result of its bankruptcy or otherwise, and the value of the collateral declines, realization of the collateral by the Fund may be delayed or limited. Upon an event of default, all transactions traded under the MRA, including any collateral, may be offset to create a single net payment. 16
Notes to Financial Statements For financial reporting purposes, the Fund does not offset repurchase agreements, including those that may be subject to an enforceable MRA, on the Statement of Assets and Liabilities. Repurchase agreements are included in investments in securities on the Statement of Assets and Liabilities. The following table sets forth the Fund s net exposure to repurchase agreements available for offset and net of collateral at : Gross Assets Gross Liabilities Collateral (Received) Collateral Pledged Net Exposure Repurchase Agreements $ 1,422,000,000 $ - $ (1,422,000,000) $ - $ - The actual value of collateral may be more than the amount presented. 3. Concentration of Ownership No participants hold in excess of 10% of the Fund s units outstanding at. At, 14% of the Fund s total units outstanding were held by other State Street Bank Collective Investment Funds. 4. Risks and Uncertainties A. Market and Credit Risk In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The Fund may be exposed to interest rate risk, which is the risk that fixed income securities held by the Fund will decline in value because of increases in market interest rates. A substantial increase in interest rates may also have an adverse impact on the liquidity of a security, especially those with longer durations. The Fund may be exposed to credit risk, which is the risk that an issuer, guarantor or liquidity provider of a fixed-income security held by the Fund may be unable or unwilling, or may be perceived as unable or unwilling, to make timely principal and/or interest payments, or to otherwise honor its obligations. The Fund may be exposed to additional credit risk that an institution or other entity with which the Fund has unsettled or open transactions will default, or otherwise fail to perform on its obligations as counterparty. Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery. 5. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee expects the risk of loss to be remote. 6. Recent Accounting Pronouncements In March 2017, the Financial Accounting Standards Board ( FASB ) issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium to the amount repayable at the next call date. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the security. Debt securities purchased at a discount will continue to have such discount amortized to the maturity date, consistent with current U.S. GAAP. The amendment is effective for fiscal years beginning after December 15, 2019. The Trustee is currently evaluating the impact, if any, of this guidance on the Fund s financial statements and disclosures. 17
Notes to Financial Statements 7. Other SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements. 8. Subsequent Events The Trustee has evaluated subsequent events after through March 9, 2018, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in the financial statements. 18
Notes to Financial Statements 9. Additional Expense Information During the period ended, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying fund(s), if any. As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Fund to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Fund may exceed the Fund s total direct expenses incurred. Ratios of expense classifications as a % of average daily net assets TAOER DE IE TAGOE W/R TANOE Fund N/A 0.010-0.010-0.010 Total Annual Operating Expense Ratio ("TAOER") Direct Expenses ("DE") Indirect Expenses ("IE") Total Annual Gross Operating Expense ("TAGOE") Waivers and/or Reimbursements ("W/R") Total Annual Net Operating Expense ("TANOE") Total direct and indirect expenses the Fund or Class, as applicable, may incur, as set forth in the Fund s governing documents. Fees and expenses directly incurred by the Fund or Class, as applicable, which may include administration, audit, legal and management fees, if any. Proportionate amount of fees and expenses indirectly incurred by the Fund or Class, as applicable, as a result of its investment in underlying fund(s) which may include administration, audit and legal fees, if any. Total direct and indirect expenses incurred, prior to the application of any waivers and/or reimbursements, if any. Amounts waived and/or reimbursed by the Trustee to the extent the total direct and indirect expenses of the Fund or Class, as applicable, exceeded the total annual operating expense ratio, as described in the Fund s governing documents. Total direct and indirect expenses incurred, net of waivers and/or reimbursements, if any. The total annual net operating expense ratio presented above may not correlate to the Fund's ratio of expenses to average daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any. The ratios presented above do not include the Fund s allocable share of indirect expenses from investment of securities lending collateral or investments in money market funds, if any. 19