<PAGE>
1940 Act File No. 811-09599
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT
OF 1940 [X]
Amendment No. 1 [X]
STATE STREET MASTER FUNDS
(FORMERLY STATE STREET MASTER TRUST)
(Exact Name of Registrant as Specified in Charter)
PO BOX 1713, BOSTON, MASSACHUSETTS 02105-1713
(Address of Principal Executive Offices)
(617) 662-3968
(Registrant's Telephone Number)
Julie A. Tedesco
PO Box 1713
Boston, Massachusetts 02105-1713
(Name and Address of Agent for Service)
Copy to:
Timothy W. Diggins
Ropes & Gray
One International Place
Boston, Massachusetts 02110-2624
EXPLANATORY NOTE
This Registration Statement on Form N-1A has been filed by the Registrant
pursuant to Section 8(b) of the Investment Company Act of 1940, as amended (the
"1940 Act"). However, beneficial interests in the Registrant are not being
registered under the Securities Act of 1933 (the "1933 Act") because such
interests will be issued solely in private placement transactions that do not
involve any "public offering" within the meaning of Section 4(2) of the 1933
Act. Investments in the Registrant may only be made by domestic investment
companies, institutional client separate accounts, 401(k) plan assets, common or
commingled trust funds or collective investment trusts or similar organizations
or entities that are "accredited investors" within the meaning of Regulation
<PAGE>
D under the 1933 Act. This Registration Statement does not constitute an offer
to sell, or the solicitation of an offer to buy, within the meaning of the 1933
Act, any beneficial interests in the Registrant.
PART A--STATE STREET EQUITY 500 INDEX PORTFOLIO
We have omitted responses to Items 1, 2, 3, 5 and 9 pursuant to paragraph
2(b) of General Instruction B to Form N-1A.
INTRODUCTION
State Street Master Funds (the "Trust") is a no-load, open-end management
investment company. It was organized as a trust under the laws of The
Commonwealth of Massachusetts on July 27, 1999. The Trust issues beneficial
interests solely in private placement transactions that do not involve any
"public offering" within the meaning of Section 4(2) of the Securities Act of
1933, as amended (the "1933 Act"). Only investment companies, institutional
client separate accounts, 401(k) plan assets, common or commingled trust funds
or collective investment trusts or similar organizations or entities that are
"accredited investors" within the meaning of Regulation D under the 1933 Act may
invest in the Trust. This Registration Statement does not constitute an offer to
sell, or the solicitation of an offer to buy, any "security" within the meaning
of the 1933 Act. The State Street Equity 500 Index Portfolio, the State Street
Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the
State Street MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the State Street Aggregate Bond Index Portfolio (the "Equity 500
Index Portfolio," the "Equity 400 Index Portfolio," "Equity 2000 Index
Portfolio," the "MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio" and the "Aggregate Bond Index Portfolio" respectively) are each a
diversified separate series of the Trust.
ITEM 4. INVESTMENT OBJECTIVE, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED RISKS
The investment objective, principal strategies and risks of the Equity 500
Index Portfolio are described below; the investment objectives, principal
strategies and risks of the Equity 400 Index Portfolio, the Equity 2000 Index
Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are described separately. See
Part B for a description of certain fundamental investment restrictions for the
Equity 500 Index Portfolio.
SUMMARY
INVESTMENT OBJECTIVE. The Equity 500 Index 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 Index" or the
"Index"). There is no assurance that the Equity 500 Index Portfolio will achieve
its investment objective.
2
<PAGE>
PRINCIPAL INVESTMENT STRATEGIES. The Equity 500 Index Portfolio uses a
passive management strategy designed to track the performance of the S&P 500
Index. The S&P 500 Index is a well-known stock market 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.
The Equity 500 Index Portfolio is not managed according to traditional
methods of "active" investment management, which involve the buying and selling
of securities based upon economic, financial and market analysis and investment
judgment. Instead, the Portfolio, using a "passive" or "indexing" investment
approach, attempts to replicate, before expenses, the performance of the S&P 500
Index. State Street Bank and Trust Company, through its State Street Global
Advisors division (the "Adviser"), seeks a correlation of 0.95 or better between
the Portfolio's performance and the performance of the Index; a figure of 1.00
would represent perfect correlation.
The Equity 500 Index Portfolio intends to invest in all 500 stocks
comprising the Index in proportion to their weightings in the Index. However,
under various circumstances, it may not be possible or practicable to purchase
all 500 stocks in those weightings. In those circumstances, the Portfolio may
purchase a sample of the stocks in the Index in proportions expected by the
Adviser to replicate generally the performance of the Index as a whole. In
addition, from time to time stocks are added to or removed from the Index. The
Equity 500 Index Portfolio may sell stocks that are represented in the Index, or
purchase stocks that are not yet represented in the Index, in anticipation of
their removal from or addition to the Index.
In addition, the Equity 500 Index Portfolio may at times purchase or
sell futures contracts on the Index, or options on those futures, in lieu of
investment directly in the stocks making up the Index. The Portfolio might do
so, for example, in order to increase its investment exposure pending investment
of cash in the stocks comprising the Index. Alternatively, the Portfolio might
use futures or options on futures to reduce its investment exposure in
situations where it intends to sell a portion of the stocks in its portfolio but
the sale has not yet been completed. The Equity 500 Index Portfolio may also, to
the extent permitted by applicable law, invest in shares of other mutual funds
whose investment objectives and policies are similar to those of the Equity 500
Index Portfolio. The Equity 500 Index Portfolio may also enter into other
derivatives transactions, including the purchase or sale of options or enter
into swap transactions, to assist in replicating the performance of the Index.
PRINCIPAL RISKS OF INVESTING IN THE EQUITY 500 INDEX PORTFOLIO
- - Stock values could decline generally or could underperform other
investments.
- - Returns on investments in stocks of large U.S. companies could trail the
returns on investments in stocks of smaller companies.
3
<PAGE>
- - The Equity 500 Index Portfolio's return may not match the return of the
Index for a number of reasons. For example, the Equity 500 Index Portfolio
incurs a number of operating expenses not applicable to the Index, and
incurs costs in buying and selling securities. The Equity 500 Index
Portfolio may not be fully invested at times, either as a result of cash
flows into the Portfolio or reserves of cash held by the Portfolio to meet
redemptions. The return on the sample of stocks purchased by the Adviser,
or futures or other derivative positions taken by the Adviser, to replicate
the performance of the Index may not correlate precisely with the return on
the Index.
THE EQUITY 500 INDEX PORTFOLIO'S BENEFICIAL INTERESTS WILL CHANGE IN VALUE, AND
YOU COULD LOSE MONEY BY INVESTING IN THE PORTFOLIO. THE EQUITY 500 INDEX
PORTFOLIO MAY NOT ACHIEVE ITS OBJECTIVE. AN INVESTMENT IN THE EQUITY 500 INDEX
PORTFOLIO IS NOT A DEPOSIT WITH A BANK AND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
OTHER INVESTMENT CONSIDERATIONS AND RISKS
THE S&P 500 INDEX. The S&P 500 Index is a well-known stock market index
that includes common stocks of 500 companies from several industrial sectors
representing a significant portion of the market value of all common stocks
publicly traded in the United States, most of which are listed on the New York
Stock Exchange, Inc. (the "NYSE"). Stocks in the S&P 500 Index are weighted
according to their market capitalizations (I.E., the number of shares
outstanding multiplied by the stock's current price). The composition of the S&P
500 Index is determined by Standard & Poor's and is based on such factors as the
market capitalization and trading activity of each stock and its adequacy as a
representation of stocks in a particular industry group, and may be changed from
time to time. "Standard & Poor's-Registered Trademark-," "S&P," "S&P 500,"
"Standard & Poor's 500" and "500" are trademarks of The McGraw-Hill Companies,
Inc. and have been licensed for use by the Equity 500 Index Portfolio. The
Equity 500 Index Portfolio is not sponsored, endorsed, sold or promoted by S&P,
and S&P makes no representation regarding the advisability of investing in the
Portfolio.
INDEX FUTURES CONTRACTS AND RELATED OPTIONS. The Equity 500 Index Portfolio
may buy and sell futures contracts on the Index and options on those futures
contracts. An "index futures" contract is a contract to buy or sell units of an
index at an agreed price on a specified future date. Depending on the change in
value of the index between the time when the Equity 500 Index Portfolio enters
into and terminates an index future or option transaction, the Portfolio
realizes a gain or loss. Options and futures transactions involve risks. For
example, it is possible that changes in the prices of futures contracts on the
Index will not correlate precisely with changes in the value of the Index. In
those cases, use of futures contracts and related options might decrease the
correlation between the return of the Equity 500 Index Portfolio and the return
of the Index. In addition, the Equity 500 Index Portfolio incurs transaction
costs in entering into, and closing out, positions in futures contracts and
related options. These costs typically have the effect of
4
<PAGE>
reducing the correlation between the return of the Equity 500 Index Portfolio
and the return of the Index.
OTHER DERIVATIVE TRANSACTIONS. The Equity 500 Index Portfolio may enter
into derivatives transactions involving options and swaps. These transactions
involve many of the same risks as those described above under "Index Futures
Contracts and Related Options." In addition, since many of such transactions are
conducted directly with counterparties, and not on an exchange or board of
trade, the Equity 500 Index Portfolio's ability to realize any investment return
on such transactions may be dependent on the counterparty's ability or
willingness to meet its obligations.
REPURCHASE AGREEMENTS AND SECURITIES LOANS. The Equity 500 Index Portfolio
may enter into repurchase agreements and securities loans. Under a repurchase
agreement, the Equity 500 Index Portfolio purchases a debt instrument for a
relatively short period (usually not more than one week), which the seller
agrees to repurchase at a fixed time and price, representing the Portfolio's
cost plus interest. Under a securities loan, the Equity 500 Index Portfolio
lends portfolio securities. The Equity 500 Index Portfolio will enter into
repurchase agreements and securities loans only with commercial banks and with
registered broker-dealers who are members of a national securities exchange or
market makers in government securities, and in the case of repurchase
agreements, only if the debt instrument is a U.S. government security. Although
the Adviser will monitor these transactions to ensure that they will be fully
collateralized at all times, the Equity 500 Index Portfolio bears a risk of loss
if the other party defaults on its obligation and the Portfolio is delayed or
prevented from exercising its rights to dispose of the collateral. If the other
party should become involved in bankruptcy or insolvency proceedings, it is
possible that the Equity 500 Index Portfolio may be treated as an unsecured
creditor and be required to return the underlying collateral to the other
party's estate.
CHANGES IN POLICIES. The Trust's Trustees may change the Equity 500 Index
Portfolio's investment strategies and other policies without interestholder
approval, except as otherwise indicated. The Trustees will not materially change
the Equity 500
5
<PAGE>
Index Portfolio's investment objective without interestholder approval.
ITEM 6. MANAGEMENT, ORGANIZATION AND CAPITAL STRUCTURE
The Trustees of the Trust are responsible for generally overseeing the
conduct of the Trust's business. Subject to such policies as the Trustees may
determine, the Adviser furnishes a continuing investment program for the Equity
500 Index Portfolio and makes investment decisions on its behalf.
The Adviser places all orders for purchases and sales of the Equity 500
Index Portfolio's investments. In selecting broker-dealers, the Adviser may
consider research and brokerage services furnished to it and its affiliates.
Affiliates of the Adviser may receive brokerage commissions from the Equity 500
Index Portfolio in accordance with procedures adopted by the Trustees under the
1940 Act, which require periodic review of these transactions.
State Street Bank and Trust Company ("State Street"), through its State
Street Global Advisors division, serves as Adviser to the Equity 500 Index
Portfolio and, subject to the supervision of the Board of Trustees, will be
responsible for the investment management of the Portfolio. As of December 31,
1999, the Adviser managed approximately $672 billion in assets. The Adviser's
principal address is Two International Place, Boston, Massachusetts 02110.
ADMINISTRATOR, CUSTODIAN, TRANSFER AND DIVIDEND DISBURSING AGENT
State Street is the Administrator for the Equity 500 Index Portfolio and
the Custodian for the Portfolio's assets, and serves as the Transfer Agent to
the Portfolio.
ADVISORY FEE
As compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent (and for assuming ordinary operating expenses of the Equity 500
Index Portfolio, including ordinary legal and audit expenses), State Street
receives an advisory fee at an annual rate of 0.045% of the average daily net
assets of the Portfolio.
LENDING AGENT
State Street is expected to be designated as the lending agent for the
Trust. In such capacity, it would cause the delivery of loaned securities from
the Equity 500 Index Portfolio to borrowers, arrange for the return of loaned
securities to the Portfolio at the termination of loans, request deposit of
collateral, monitor daily the value of the loaned securities and collateral,
request that borrowers add to the collateral when required by the loan
agreements, and provide recordkeeping and accounting services necessary for the
operation of the program. For its services, the lending agent would typically
receive a
6
<PAGE>
portion of the net investment income, if any, earned on the collateral for the
securities loaned.
ITEM 7. INTERESTHOLDER INFORMATION
DETERMINATION OF NET ASSET VALUE
The Equity 500 Index Portfolio's net asset value is calculated on each day
the New York Stock Exchange (the "NYSE") is open for trading at the close of
regular trading on the NYSE. The net asset value is based on the market value of
the securities held in the Portfolio. The net asset value per beneficial
interest is calculated by dividing the value of the net asset value of the
Portfolio by the number of interests outstanding. If quotations are not readily
available, the portfolio securities will be valued by methods approved by the
Board of Trustees intended to reflect fair value.
PURCHASING BENEFICIAL INTERESTS
The Equity 500 Index Portfolio issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the 1933 Act. Investment companies, institutional
client separate accounts, 401(k) plan assets, common and commingled trust funds
or collective investment trusts or similar organizations that are "accredited
investors" within the meaning of Regulation D of the 1933 Act are the only
investors currently permitted to invest in the Equity 500 Index Portfolio.
Investors pay no sales load to invest in this Portfolio. The price for
Equity 500 Index Portfolio beneficial interests is the net asset value per
beneficial interest. Orders will be priced at the net asset value next
calculated after the order is accepted by the Portfolio.
The minimum initial investment in the Equity 500 Index Portfolio is $25
million, although the Adviser may waive the minimum in its discretion. There is
no minimum subsequent investment. The Equity 500 Index Portfolio intends to be
as fully invested as is practicable; therefore, investments must be made either
in Federal Funds (i.e., monies credited to the account of the Portfolio's
custodian bank by a Federal Reserve Bank) or securities acceptable to the
Adviser. (Please consult your tax adviser regarding in-kind transactions.) The
Equity 500 Index Portfolio reserves the right to cease accepting investments at
any time or to reject any investment order.
REDEEMING BENEFICIAL INTERESTS
An investor may withdraw all or any portion of its investment at the net
asset value next determined after it submits a withdrawal request, in proper
form, to the Equity 500 Index Portfolio. The Equity 500 Index Portfolio will pay
the proceeds of the
7
<PAGE>
withdrawal either in Federal Funds or in securities ("in-kind") at the
discretion of the Adviser, normally on the next Portfolio business day after the
withdrawal, but in any event no more than seven days after the withdrawal.
(Please consult your tax adviser regarding in-kind transactions.) At the request
of an investor, the Equity 500 Index Portfolio will normally redeem in-kind to
the investor. Investments in the Equity 500 Index Portfolio may not be
transferred. The right of any investor to receive payment with respect to any
withdrawal may be suspended or the payment of the withdrawal proceeds postponed
during any period in which the NYSE is closed (other than weekends or holidays)
or trading on the NYSE is restricted or, to the extent otherwise permitted by
the 1940 Act, if an emergency exists.
TAX CONSIDERATIONS
The Equity 500 Index Portfolio does not expect to be subject to any income
tax, as it has been determined that it will be properly treated as a partnership
for federal and state income tax purposes. Each investor in the Equity 500 Index
Portfolio, however, will be taxable on its allocable share (as determined in
accordance with the governing instruments of the Trust) of the Portfolio's
ordinary income and capital gain in determining its income tax liability. The
determination of such share will be made in accordance with the Internal Revenue
Code of 1986, as amended (the "Code"), and regulations promulgated thereunder.
The Equity 500 Index Portfolio expects to manage its assets and income in
such a way that an investment company investing in the Portfolio will be able to
satisfy the requirements of Subchapter M of the Code, assuming that it invests
all of its assets in the Portfolio.
ITEM 8. DISTRIBUTION ARRANGEMENTS
Not applicable.
8
<PAGE>
PART A--STATE STREET EQUITY 400 INDEX PORTFOLIO
We have omitted responses to Items 1, 2, 3, 5 and 9 pursuant to paragraph
2(b) of General Instruction B to Form N-1A.
INTRODUCTION
State Street Master Funds is a no-load, open-end management investment
company. It was organized as a trust under the laws of The Commonwealth of
Massachusetts on July 27, 1999. The Trust issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933
Act"). Only investment companies, institutional client separate accounts, 401(k)
plan assets, common or commingled trust funds or collective investment trusts or
similar organizations or entities that are "accredited investors" within the
meaning of Regulation D under the 1933 Act may invest in the Trust. This
Registration Statement does not constitute an offer to sell, or the solicitation
of an offer to buy, any "security" within the meaning of the 1933 Act. The
Equity 500 Index Portfolio, the Equity 400 Index Portfolio, the Equity 2000
Index Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are each a diversified separate
series of the Trust.
ITEM 4. INVESTMENT OBJECTIVE, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED RISKS
The investment objective, principal strategies and risks of the Equity 400
Index Portfolio are described below; the investment objectives, principal
strategies and risks of the Equity 500 Index Portfolio, the Equity 2000 Index
Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are described separately. See
Part B for a description of certain fundamental investment restrictions for the
Equity 400 Index Portfolio.
SUMMARY
INVESTMENT OBJECTIVE. The Equity 400 Index Portfolio's investment objective
is to replicate as closely as possible, before expenses, the performance of the
Standard & Poor's MidCap 400 Composite Stock Price Index (the "S&P 400 Index" or
the "Index"). There is no assurance that the Equity 400 Index Portfolio will
achieve its investment objective.
PRINCIPAL INVESTMENT STRATEGIES. The Equity 400 Index Portfolio uses a
passive management strategy designed to track the performance of the S&P 400
Index. The
9
<PAGE>
S&P 400 Index is a well-known stock market index that includes common stocks of
400 companies from several industrial sectors representing a large cross-section
of mid-cap stocks publicly traded in the United States.
The Equity 400 Index Portfolio is not managed according to traditional
methods of "active" investment management, which involve the buying and selling
of securities based upon economic, financial and market analysis and investment
judgment. Instead, the Portfolio, using a "passive" or "indexing" investment
approach, attempts to replicate, before expenses, the performance of the S&P 400
Index. State Street Bank and Trust Company, through its State Street Global
Advisors division, seeks a correlation of 0.95 or better between the Portfolio's
performance and the performance of the Index; a figure of 1.00 would represent
perfect correlation.
The Equity 400 Index Portfolio intends to invest in all of the stocks
comprising the Index in proportion to their weightings in the Index. However,
under various circumstances, it may not be possible or practicable to purchase
all 400 stocks in those weightings. In those circumstances, the Portfolio may
purchase a sample of the stocks in the Index in proportions expected by the
Adviser to replicate generally the performance of the Index as a whole. In
addition, from time to time stocks are added to or removed from the Index. The
Equity 400 Index Portfolio may sell stocks that are represented in the Index, or
purchase stocks that are not yet represented in the Index, in anticipation of
their removal from or addition to the Index.
In addition, the Equity 400 Index Portfolio may at times purchase or sell
futures contracts on the Index, or options on those futures, in lieu of
investment directly in the stocks making up the Index. The Portfolio might do
so, for example, in order to increase its investment exposure pending investment
of cash in the stocks comprising the Index. Alternatively, the Portfolio might
use futures or options on futures to reduce its investment exposure in
situations where it intends to sell a portion of the stocks in its portfolio but
the sale has not yet been completed. The Equity 400 Index Portfolio may also, to
the extent permitted by applicable law, invest in shares of other mutual funds
whose investment objectives and policies are similar to those of the Equity 400
Index Portfolio. The Equity 400 Index Portfolio may also enter into other
derivatives transactions, including the purchase or sale of options or enter
into swap transactions, to assist in replicating the performance of the Index.
PRINCIPAL RISKS OF INVESTING IN THE EQUITY 400 INDEX PORTFOLIO
- - Stock values could decline generally or could underperform other
investments.
- - Returns on investments in mid-cap stocks could be more volatile than, or
trail the returns on, investments in larger or smaller cap U.S. stocks.
- - Mid-cap companies may be more likely than large-cap companies to have
relatively limited product lines, markets or financial resources, or depend
on a few key employees.
10
<PAGE>
- - The Equity 400 Index Portfolio's return may not match the return of the
Index for a number of reasons. For example, the Portfolio incurs a number
of operating expenses not applicable to the Index, and incurs costs in
buying and selling securities. The Equity 400 Index Portfolio may not be
fully invested at times, either as a result of cash flows into the
Portfolio or reserves of cash held by the Portfolio to meet redemptions.
The return on the sample of stocks purchased by the Adviser, or futures or
other derivative positions taken by the Adviser, to replicate the
performance of the Index may not correlate precisely with the return on the
Index.
THE EQUITY 400 INDEX PORTFOLIO'S BENEFICIAL INTERESTS WILL CHANGE IN VALUE, AND
YOU COULD LOSE MONEY BY INVESTING IN THE PORTFOLIO. THE EQUITY 400 INDEX
PORTFOLIO MAY NOT ACHIEVE ITS OBJECTIVE. AN INVESTMENT IN THE EQUITY 400 INDEX
PORTFOLIO IS NOT A DEPOSIT WITH A BANK AND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
OTHER INVESTMENT CONSIDERATIONS AND RISKS
THE S&P 400 INDEX. The S&P 400 Index is a well-known stock market index
that includes common stocks of 400 companies from several industrial sectors
representing a large cross-section of mid-cap stocks publicly traded in the
United States, most of which are listed on the New York Stock Exchange, Inc.
(the "NYSE"). Stocks in the S&P 400 Index are weighted according to their market
capitalizations (I.E., the number of shares outstanding multiplied by the
stock's current price). The composition of the S&P 400 Index is determined by
Standard and Poor's and is based on such factors as the market capitalization
and trading activity of each stock and its adequacy as a representation of
stocks in a particular industry group, and may be changed from time to time.
"Standard & Poor's-Registered Trademark-," "S&P," "S&P 400," "Standard & Poor's
400" and "400" are trademarks of The McGraw-Hill Companies, Inc. and have been
licensed for use by the Equity 400 Index Portfolio. The Equity 400 Index
Portfolio is not sponsored, endorsed, sold or promoted by S&P, and S&P makes no
representation regarding the advisability of investing in the Portfolio.
INDEX FUTURES CONTRACTS AND RELATED OPTIONS. The Equity 400 Index Portfolio
may buy and sell futures contracts on the Index and options on those futures
contracts An "index futures" contract is a contract to buy or sell units of an
index at an agreed price on a specified future date. Depending on the change in
value of the index between the time when the Portfolio enters into and
terminates an index future or option transaction, the Portfolio realizes a gain
or loss. Options and futures transactions involve risks. For example, it is
possible that changes in the prices of futures contracts on the Index will not
correlate precisely with changes in the value of the Index. In those cases, use
of futures contracts and related options might decrease the correlation between
the return of the Equity 400 Index Portfolio and the return of the Index. In
11
<PAGE>
addition, the Equity 400 Index Portfolio incurs transaction costs in entering
into, and closing out, positions in futures contracts and related options. These
costs typically have the effect of reducing the correlation between the return
of the Portfolio and the return of the Index.
OTHER DERIVATIVE TRANSACTIONS. The Equity 400 Index Portfolio may enter
into derivatives transactions involving options and swaps. These transactions
involve many of the same risks as those described above under "Index Futures
Contracts and Related Options." In addition, since many of such transactions are
conducted directly with counterparties, and not on an exchange or board of
trade, the Equity 400 Index Portfolio's ability to realize any investment return
on such transactions may be dependent on the counterparty's ability or
willingness to meet its obligations.
REPURCHASE AGREEMENTS AND SECURITIES LOANS. The Equity 400 Index Portfolio
may enter into repurchase agreements and securities loans. Under a repurchase
agreement, the Portfolio purchases a debt instrument for a relatively short
period (usually not more than one week), which the seller agrees to repurchase
at a fixed time and price, representing the Portfolio's cost plus interest.
Under a securities loan, the Portfolio lends portfolio securities. The Equity
400 Index Portfolio will enter into repurchase agreements and securities loans
only with commercial banks and with registered broker-dealers who are members of
a national securities exchange or market makers in government securities, and in
the case of repurchase agreements, only if the debt instrument is a U.S.
government security. Although the Adviser will monitor these transactions to
ensure that they will be fully collateralized at all times, the Equity 400 Index
Portfolio bears a risk of loss if the other party defaults on its obligation and
the Portfolio is delayed or prevented from exercising its rights to dispose of
the collateral. If the other party should become involved in bankruptcy or
insolvency proceedings, it is possible that the Equity 400 Index Portfolio may
be treated as an unsecured creditor and be required to return the underlying
collateral to the other party's estate.
12
<PAGE>
CHANGES IN POLICIES. The Trust's Trustees may change the Equity 400 Index
Portfolio's investment strategies and other policies without interestholder
approval, except as otherwise indicated. The Trustees will not materially change
the Equity 400 Index Portfolio's investment objective without interestholder
approval.
ITEM 6. MANAGEMENT, ORGANIZATION AND CAPITAL STRUCTURE
The Trustees of the Trust are responsible for generally overseeing the
conduct of the Trust's business. Subject to such policies as the Trustees may
determine, the Adviser furnishes a continuing investment program for the Equity
400 Index Portfolio and makes investment decisions on its behalf.
The Adviser places all orders for purchases and sales of the Equity 400
Index Portfolio's investments. In selecting broker-dealers, the Adviser may
consider research and brokerage services furnished to it and its affiliates.
Affiliates of the Adviser may receive brokerage commissions from the Equity 400
Index Portfolio in accordance with procedures adopted by the Trustees under the
1940 Act, which require periodic review of these transactions.
State Street, through its State Street Global Advisors division, serves as
Adviser to the Equity 400 Index Portfolio and, subject to the supervision of the
Board of Trustees, will be responsible for the investment management of the
Portfolio. As of December 31, 1999, the Adviser managed approximately $672
billion in assets. The Adviser's principal address is Two International Place,
Boston, Massachusetts 02110.
ADMINISTRATOR, CUSTODIAN, TRANSFER AND DIVIDEND DISBURSING AGENT
State Street is the Administrator for the Equity 400 Index Portfolio and
the Custodian for the Portfolio's assets, and serves as the Transfer Agent to
the Equity 400 Index Portfolio.
ADVISORY FEE
As compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent (and for assuming ordinary operating expenses of the Equity 400
Index Portfolio, including ordinary legal and audit expenses), State Street
receives an advisory fee at an annual rate of 0.08% of the average daily net
assets of the Portfolio.
LENDING AGENT
State Street is expected to be designated as the lending agent for the
Trust. In such capacity, it would cause the delivery of loaned securities from
the Equity 400 Index
13
<PAGE>
Portfolio to borrowers, arrange for the return of loaned securities to the
Portfolio at the termination of loans, request deposit of collateral, monitor
daily the value of the loaned securities and collateral, request that borrowers
add to the collateral when required by the loan agreements, and provide
recordkeeping and accounting services necessary for the operation of the
program. For its services, the lending agent would typically receive a portion
of the net investment income, if any, earned on the collateral for the
securities loaned.
ITEM 7. INTERESTHOLDER INFORMATION
DETERMINATION OF NET ASSET VALUE
The Equity 400 Index Portfolio's net asset value is calculated on each day
the NYSE is open for trading at the close of regular trading on the NYSE. The
net asset value is based on the market value of the securities held in the
Equity 400 Index Portfolio. The net asset value per beneficial interest is
calculated by dividing the value of the net asset value of the Portfolio by the
number of interests outstanding. If quotations are not readily available, the
portfolio securities will be valued by methods approved by the Board of Trustees
intended to reflect fair value.
PURCHASING BENEFICIAL INTERESTS
The Equity 400 Index Portfolio issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the 1933 Act. Investment companies, institutional
client separate accounts, 401(k) plan assets, common and commingled trust funds
or collective investment trusts or similar organizations that are "accredited
investors" within the meaning of Regulation D of the 1933 Act are the only
investors currently permitted to invest in the Equity 400 Index Portfolio.
Investors pay no sales load to invest in this Portfolio. The price for
Equity 400 Index Portfolio beneficial interests is the net asset value per
beneficial interest. Orders will be priced at the net asset value next
calculated after the order is accepted by the Portfolio.
The minimum initial investment in the Equity 400 Index Portfolio is $25
million, although the Adviser may waive the minimum in its discretion. There is
no minimum subsequent investment. The Equity 400 Index Portfolio intends to be
as fully invested as is practicable; therefore, investments must be made either
in Federal Funds (i.e., monies credited to the account of the Portfolio's
custodian bank by a Federal Reserve Bank) or securities acceptable to the
Adviser. (Please consult your tax adviser regarding in-kind transactions.) The
Equity 400 Index Portfolio reserves the right to cease accepting investments at
any time or to reject any investment order.
14
<PAGE>
REDEEMING BENEFICIAL INTERESTS
An investor may withdraw all or any portion of its investment at the net
asset value next determined after it submits a withdrawal request, in proper
form, to the Equity 400 Index Portfolio. The Portfolio will pay the proceeds of
the withdrawal either in Federal Funds or in securities at the discretion of the
Adviser, normally on the next Portfolio business day after the withdrawal, but
in any event no more than seven days after the withdrawal. (Please consult your
tax adviser regarding in-kind transactions.) At the request of an investor, the
Equity 400 Index Portfolio will normally redeem in-kind to the investor.
Investments in the Equity 400 Index Portfolio may not be transferred. The right
of any investor to receive payment with respect to any withdrawal may be
suspended or the payment of the withdrawal proceeds postponed during any period
in which the NYSE is closed (other than weekends or holidays) or trading on the
NYSE is restricted or, to the extent otherwise permitted by the 1940 Act, if an
emergency exists.
TAX CONSIDERATIONS
The Equity 400 Index Portfolio does not expect to be subject to any income
tax as it has been determined that it will be properly treated as a partnership
for federal and state income tax purposes. Each investor in the Equity 400 Index
Portfolio, however, will be taxable on its allocable share (as determined in
accordance with the governing instruments of the Trust) of the Portfolio's
ordinary income and capital gain in determining its income tax liability. The
determination of such share will be made in accordance with the Internal Revenue
Code of 1986, as amended, and regulations promulgated thereunder.
The Equity 400 Index Portfolio expects to manage its assets and income in
such a way that an investment company investing in the Portfolio will be able to
satisfy the requirements of Subchapter M of the Code, assuming that it invests
all of its assets in the Equity 400 Index Portfolio.
ITEM 8. DISTRIBUTION ARRANGEMENTS
Not applicable.
15
<PAGE>
PART A--STATE STREET EQUITY 2000 INDEX PORTFOLIO
We have omitted responses to Items 1, 2, 3, 5 and 9 pursuant to paragraph
2(b) of General Instruction B to Form N-1A.
INTRODUCTION
State Street Master Funds is a no-load, open-end management investment
company. It was organized as a trust under the laws of The Commonwealth of
Massachusetts on July 27, 1999. The Trust issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933
Act"). Only investment companies, institutional client separate accounts, 401(k)
plan assets, common or commingled trust funds or collective investment trusts or
similar organizations or entities that are "accredited investors" within the
meaning of Regulation D under the 1933 Act may invest in the Trust. This
Registration Statement does not constitute an offer to sell, or the solicitation
of an offer to buy, any "security" within the meaning of the 1933 Act. The
Equity 500 Index Portfolio, the Equity 400 Index Portfolio, the Equity 2000
Index Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are each a diversified separate
series of the Trust.
ITEM 4. INVESTMENT OBJECTIVE, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED RISKS
The investment objective, principal strategies and risks of the Equity 2000
Index Portfolio are described below; the investment objectives, principal
strategies and risks of the Equity 500 Index Portfolio, the Equity 400 Index
Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are described separately. See
Part B for a description of certain fundamental investment restrictions for the
Equity 2000 Index Portfolio.
SUMMARY
INVESTMENT OBJECTIVE. The Equity 2000 Index Portfolio's investment
objective is to replicate as closely as possible, before expenses, the
performance of the Russell 2000 Index. There is no assurance that the Equity
2000 Index Portfolio will achieve its investment objective.
PRINCIPAL INVESTMENT STRATEGIES. The Equity 2000 Index Portfolio uses a
management strategy designed to track the performance of the Russell 2000 Index.
The Russell 2000 Index is one of the most widely accepted benchmarks of U.S.
small
16
<PAGE>
capitalization stock market total return. It includes the 2,000 smallest
capitalization stocks of the 3,000 largest capitalization U.S. stocks.
The Equity 2000 Index Portfolio, using an "indexing" investment approach,
attempts to replicate, before expenses, the performance of the Russell 2000
Index. State Street Bank and Trust Company, through its State Street Global
Advisors division, seeks a correlation of 0.95 or better between the Equity 2000
Index Portfolio's performance and the performance of the Index; a figure of 1.00
would represent perfect correlation.
The Equity 2000 Index Portfolio may invest in all of the stocks comprising
the Index in proportion to their weightings in the Index. However, under various
circumstances, it may not be possible or practicable to purchase all of those
stocks in those weightings. In those circumstances, the Portfolio may purchase a
sample of the stocks in the Index in proportions expected by the Adviser to
replicate generally the performance of the Index as a whole. In addition, from
time to time stocks are added to or removed from the Index. The Equity 2000
Index Portfolio may sell stocks that are represented in the Index, or purchase
stocks that are not yet represented in the Index, in anticipation of their
removal from or addition to the Index.
In addition, the Equity 2000 Index Portfolio may at times purchase or sell
futures contracts on the Index or on securities, or options on those futures, in
lieu of investment directly in debt securities. The Portfolio might do so, for
example, in order to increase its investment exposure pending investment in debt
securities. Alternatively, the Portfolio might use futures or options on futures
to reduce its investment exposure in situations where it intends to sell a
portion of the securities in its portfolio but the sale has not yet been
completed. The Equity 2000 Index Portfolio may also, to the extent permitted by
applicable law, invest in shares of other mutual funds whose investment
objectives and policies are similar to those of the Portfolio. The Equity 2000
Index Portfolio may also enter into other derivatives transactions, including
the purchase or sale of options or entering into swap transactions, to assist in
replicating the performance of the Index.
PRINCIPAL RISKS OF INVESTING IN THE EQUITY 2000 INDEX PORTFOLIO
- - Stock values could decline generally, or could underperform other
investments.
- - Returns on investments in stocks of small U.S. companies could trail the
returns on investments in stocks of larger companies.
- - Small companies may be more likely than mid-cap and large-cap companies to
have relatively limited product lines, markets or financial resources, or
depend on a few key employees.
- - The Equity 2000 Index Portfolio's return may not match the return of the
Index for a number of reasons. For example, the return on the securities
and other investments selected by the Adviser may not correlate precisely
with the return
17
<PAGE>
on the Index. The Equity 2000 Index Portfolio incurs a number of operating
expenses not applicable to the Index, and incurs costs in buying and
selling securities. The Equity 2000 Index Portfolio may not be fully
invested at times, either as a result of cash flows into the Portfolio or
reserves of cash held by the Portfolio to meet redemptions. The return on
the sample of stocks purchased by the Adviser, or futures or other
derivative positions taken by the Adviser, to replicate the performance of
the Index may not correlate precisely with the return on the Index.
THE EQUITY 2000 INDEX PORTFOLIO'S SHARES WILL CHANGE IN VALUE, AND YOU COULD
LOSE MONEY BY INVESTING IN THE PORTFOLIO. THE EQUITY 2000 INDEX PORTFOLIO MAY
NOT ACHIEVE ITS OBJECTIVE. AN INVESTMENT IN THE EQUITY 2000 INDEX PORTFOLIO IS
NOT A DEPOSIT WITH A BANK AND IS NOT INSURED OR GUARANTEED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
OTHER INVESTMENT CONSIDERATIONS AND RISKS
THE RUSSELL 2000 INDEX. The Russell 2000 Index is composed of 2000 common
stocks, which are chosen by Frank Russell Company ("Russell"), based upon market
capitalization. Each year on May 31st, Russell ranks the 3,000 largest U.S.
stocks by market capitalization in order to create the Russell 3000 Index, which
represents approximately 98% of the total U.S. equity market. After the initial
list of 3,000 eligible stocks is determined, the shares outstanding for each
company are adjusted for corporate cross-ownership and large private holdings.
The Russell 2000 Index is a subset of the Russell 3000 Index, representing the
smallest 2000 stocks of the Russell 3000 Index. The purpose of the Russell 2000
Index is to provide a comprehensive representation of the investable U.S.
small-capitalization equity market. The inclusion of a stock in the Russell 2000
Index in no way implies that Russell believes the stock to be an attractive
investment, nor is Russell a sponsor or in any way affiliated with the
Portfolio. The 2000 securities, most of which trade on the New York Stock
Exchange and NASDAQ, represent approximately 8% of the market value of all U.S.
common stocks. Russell indices only include common stocks domiciled in the
United States and its territories.
INDEX FUTURES CONTRACTS AND RELATED OPTIONS. The Equity 2000 Index
Portfolio may buy and sell futures contracts on the Russell 2000 Index and
options on those futures contracts. An "index futures" is a contract to buy or
sell units of an index at an agreed price on a specified future date. Depending
on the change in value of the index between the time when the Portfolio enters
into and terminates an index future or option transaction, the Portfolio
realizes a gain or loss. Options and futures transactions involve risks. For
example, it is possible that changes in the prices of futures contracts on the
Index will not correlate precisely with changes in the value of the Index. In
those cases, use of futures contracts and related options might decrease the
correlation between the return of the Equity 2000 Index Portfolio and the return
of
18
<PAGE>
the Index. In addition, the Equity 2000 Index Portfolio incurs transaction costs
in entering into, and closing out, positions in futures contracts and related
options. These costs typically have the effect of reducing the correlation
between the return of the Portfolio and the return of the Index.
OTHER DERIVATIVE TRANSACTIONS. The Equity 2000 Index Portfolio may enter
into derivatives transactions involving options and swaps. These transactions
involve many of the same risks as those described above under "Index Futures
Contracts and Related Options." In addition, since many of such transactions are
conducted directly with counterparties, and not on an exchange or board of
trade, the Equity 2000 Index Portfolio's ability to realize any investment
return on such transactions may be dependent on the counterparty's ability or
willingness to meet its obligations.
REITS. The Equity 2000 Index Portfolio may invest in real estate investment
trusts, known as "REITs." REITs involve certain special risks in addition to
those risks associated with investing in the real estate industry in general
(such as possible declines in the value of real estate, lack of availability of
mortgage funds or extended vacancies of property). Equity REITs may be affected
by changes in the value of the underlying property owned by the REITs, while
mortgage REITs may be affected by the quality of any credit extended. REITs are
dependent upon management skills, are subject to heavy cash flow dependency,
risks of default by borrowers, and self-liquidation. REITs are also subject to
the possibilities of failing to qualify for tax-free pass-through of income
under the Internal Revenue Code, and failing to maintain their exemptions from
registration under the 1940 Act. Investing in REITs involves risks similar to
those associated with investing in small capitalization companies. REITs may
have limited financial resources, may trade less frequently and in limited
volume and may be subject to more volatility than other investments.
REPURCHASE AGREEMENTS AND SECURITIES LOANS. The Equity 2000 Index Portfolio
may enter into repurchase agreements and securities loans. Under a repurchase
agreement, the Portfolio purchases a debt instrument for a relatively short
period (usually not more than one week), which the seller agrees to repurchase
at a fixed time and price, representing the Portfolio's cost plus interest.
Under a securities loan, the Portfolio lends portfolio securities. The Equity
2000 Index Portfolio will enter into repurchase agreements and securities loans
only with commercial banks and with registered broker-dealers who are members of
a national securities exchange or market makers in government securities, and in
the case of repurchase agreements, only if the debt instrument is a U.S.
government security. Although the Adviser will monitor these transactions to
ensure that they will be fully collateralized at all times, the Equity 2000
Index Portfolio bears a risk of loss if the other party defaults on its
obligation and the Portfolio is delayed or prevented from exercising its rights
to dispose of the collateral. If the other party should become involved in
bankruptcy or insolvency proceedings, it is possible that the Equity 2000 Index
Portfolio may be treated as an
19
<PAGE>
unsecured creditor and be required to return the underlying collateral to the
other party's estate.
CHANGES IN POLICIES. The Trust's Trustees may change the Equity 2000 Index
Portfolio's investment strategies and other policies without interestholder
approval, except as otherwise indicated. The Trustees will not materially change
the Equity 2000 Index Portfolio's investment objective without interestholder
approval.
ITEM 6. MANAGEMENT, ORGANIZATION AND CAPITAL STRUCTURE
The Trustees of the Trust are responsible for generally overseeing the
conduct of the Trust's business. Subject to such policies as the Trustees may
determine, the Adviser furnishes a continuing investment program for the Equity
2000 Index Portfolio and makes investment decisions on its behalf.
The Adviser places all orders for purchases and sales of the Equity 2000
Index Portfolio's investments. In selecting broker-dealers, the Adviser may
consider research and brokerage services furnished to it and its affiliates.
Affiliates of the Adviser may receive brokerage commissions from the Equity 2000
Index Portfolio in accordance with procedures adopted by the Trustees under the
1940 Act, which require periodic review of these transactions.
State Street, through its State Street Global Advisors division, serves as
Adviser to the Equity 2000 Index Portfolio and, subject to the supervision of
the Board of Trustees, will be responsible for the investment management of the
Portfolio. As of December 31, 1999, the Adviser managed approximately $672
billion in assets. The Adviser's principal address is Two International Place,
Boston, Massachusetts 02110.
20
<PAGE>
ADMINISTRATOR, CUSTODIAN, TRANSFER AND DIVIDEND DISBURSING AGENT
State Street is the Administrator for the Equity 2000 Index Portfolio and
the Custodian for the Portfolio's assets, and serves as the Transfer Agent to
the Equity 2000 Index Portfolio.
ADVISORY FEE
As compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent (and for assuming ordinary operating expenses of the Portfolio,
including ordinary legal and audit expenses), State Street receives an advisory
fee at an annual rate of 0.10% of the average daily net assets of the Equity
2000 Index Portfolio.
LENDING AGENT
State Street is expected to be designated as the lending agent for the
Trust. In such capacity, it would cause the delivery of loaned securities from
the Equity 2000 Index Portfolio to borrowers, arrange for the return of loaned
securities to the Portfolio at the termination of loans, request deposit of
collateral, monitor daily the value of the loaned securities and collateral,
request that borrowers add to the collateral when required by the loan
agreements, and provide recordkeeping and accounting services necessary for the
operation of the program. For its services, the lending agent would typically
receive a portion of the net investment income, if any, earned on the collateral
for the securities loaned.
ITEM 7. INTERESTHOLDER INFORMATION
DETERMINATION OF NET ASSET VALUE
The Equity 2000 Index Portfolio's net asset value is calculated on each day
the NYSE is open for trading at the close of regular trading on the NYSE. The
net asset value is based on the market value of the securities held in the
Equity 2000 Index Portfolio. The net asset value per beneficial interest is
calculated by dividing the value of the net asset value of the Portfolio by the
number of interests outstanding. If quotations are not readily available, the
portfolio securities will be valued by methods approved by the Board of Trustees
intended to reflect fair value.
PURCHASING BENEFICIAL INTERESTS
The Equity 2000 Index Portfolio issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the 1933 Act. Investment companies, institutional
client separate accounts, 401(k) plan assets, common and commingled trust funds
or collective investment trusts or similar organizations that are "accredited
investors" within the meaning of Regulation D of the 1933 Act are the only
investors currently permitted to
21
<PAGE>
invest in the Equity 2000 Index Portfolio.
Investors pay no sales load to invest in this Portfolio. The price for
Portfolio beneficial interests is the net asset value per beneficial interest.
Orders will be priced at the net asset value next calculated after the order is
accepted by the Portfolio.
The minimum initial investment in the Equity 2000 Index Portfolio is $25
million, although the Adviser may waive the minimum in its discretion. There is
no minimum subsequent investment. The Equity 2000 Index Portfolio intends to be
as fully invested as is practicable; therefore, investments must be made either
in Federal Funds (i.e., monies credited to the account of the Portfolio's
custodian bank by a Federal Reserve Bank) or securities acceptable to the
Adviser. (Please consult your tax adviser regarding in-kind transactions.) The
Equity 2000 Index Portfolio reserves the right to cease accepting investments at
any time or to reject any investment order.
REDEEMING BENEFICIAL INTERESTS
An investor may withdraw all or any portion of its investment at the net
asset value next determined after it submits a withdrawal request, in proper
form, to the Equity 2000 Index Portfolio. The Portfolio will pay the proceeds of
the withdrawal either in Federal Funds or in securities at the discretion of the
Adviser, normally on the next Portfolio business day after the withdrawal, but
in any event no more than seven days after the withdrawal. (Please consult your
tax adviser regarding in-kind transactions.) At the request of an investor, the
Equity 2000 Index Portfolio will normally redeem in-kind to the investor.
Investments in the Portfolio may not be transferred. The right of any investor
to receive payment with respect to any withdrawal may be suspended or the
payment of the withdrawal proceeds postponed during any period in which the NYSE
is closed (other than weekends or holidays) or trading on the NYSE is restricted
or, to the extent otherwise permitted by the 1940 Act, if an emergency exists.
TAX CONSIDERATIONS
The Equity 2000 Index Portfolio does not expect to be subject to any income
tax as it has been determined that it will be properly treated as a partnership
for federal and state income tax purposes. Each investor in the Equity 2000
Index Portfolio, however, will be taxable on its allocable share (as determined
in accordance with the governing instruments of the Trust) of the Portfolio's
ordinary income and capital gain in determining its income tax liability. The
determination of such share will be made in accordance with the Internal Revenue
Code of 1986, as amended, and regulations promulgated thereunder.
The Equity 2000 Index Portfolio expects to manage its assets and income in
such a way that an investment company investing in the Portfolio will be able to
satisfy the
22
<PAGE>
requirements of Subchapter M of the Code, assuming that it invests all of its
assets in the Equity 2000 Index Portfolio.
ITEM 8. DISTRIBUTION ARRANGEMENTS
Not applicable.
23
<PAGE>
PART A--STATE STREET MSCI-Registered Trademark- EAFE-Registered Trademark- INDEX
PORTFOLIO
We have omitted responses to Items 1, 2, 3, 5 and 9 pursuant to paragraph
2(b) of General Instruction B to Form N-1A.
INTRODUCTION
State Street Master Funds is a no-load, open-end management investment
company. It was organized as a trust under the laws of The Commonwealth of
Massachusetts on July 27, 1999. The Trust issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933
Act"). Only investment companies, institutional client separate accounts, 401(k)
plan assets, common or commingled trust funds or collective investment trusts or
similar organizations or entities that are "accredited investors" within the
meaning of Regulation D under the 1933 Act may invest in the Trust. This
Registration Statement does not constitute an offer to sell, or the solicitation
of an offer to buy, any "security" within the meaning of the 1933 Act. The
Equity 500 Index Portfolio, the Equity 400 Index Portfolio, the Equity 2000
Index Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are each a diversified separate
series of the Trust.
ITEM 4. INVESTMENT OBJECTIVE, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED RISKS
The investment objective, principal strategies and risks of the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio are
described below; the investment objectives, principal strategies and risks of
the Equity 500 Index Portfolio, the Equity 400 Index Portfolio, the Equity 2000
Portfolio and the Aggregate Bond Index Portfolio are described separately. See
Part B for a description of certain fundamental investment restrictions for the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio.
SUMMARY
INVESTMENT OBJECTIVE. The MSCI-Registered Trademark- EAFE-Registered
Trademark- Index Portfolio's investment objective is to replicate as closely as
possible, before expenses, the performance of the Morgan Stanley Capital
International Europe, Australasia, Far East Index (the "MSCI-Registered
Trademark- EAFE-Registered Trademark- Index"). There is no assurance that the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio will
achieve its investment objective.
PRINCIPAL INVESTMENT STRATEGIES. The MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio uses a passive management strategy
designed to track the performance of the
24
<PAGE>
MSCI-Registered Trademark- EAFE-Registered Trademark- Index. The MSCI-Registered
Trademark- EAFE-Registered Trademark- Index is a well-known international stock
market index that includes over 1,000 securities listed on the stock exchanges
of 20 developed market countries (but not the United States).
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio
is not managed according to traditional methods of "active" investment
management, which involve the buying and selling of securities based upon
economic, financial and market analysis and investment judgment. Instead, the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio, using a
"passive" or "indexing" investment approach, attempts to replicate, before
expenses, the performance of the MSCI-Registered Trademark- EAFE-Registered
Trademark- Index. State Street Bank and Trust Company, through its State Street
Global Advisors division, seeks a correlation of 0.95 or better between the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio's
performance and the performance of the Index; a figure of 1.00 would represent
perfect correlation.
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio
may invest in all of the stocks comprising the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index in proportion to their weightings in the Index.
However, under various circumstances, it may not be possible or practicable to
purchase all of those stocks in those weightings. In those circumstances, the
Portfolio may purchase a sample of the stocks in the Index in proportions
expected by the Adviser to replicate generally the performance of the Index as a
whole. In addition, from time to time stocks are added to or removed from the
Index. The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio
may sell stocks that are represented in the Index, or purchase stocks that are
not yet represented in the Index, in anticipation of their removal from or
addition to the Index.
In addition, the MSCI-Registered Trademark- EAFE-Registered Trademark-
Index Portfolio may at times purchase or sell futures contracts on the Index, or
options on those futures, in lieu of investment directly in the stocks making up
the Index. The Portfolio might do so, for example, in order to increase its
investment exposure pending investment of cash in the stocks comprising the
Index. Alternatively, the Portfolio might use futures or options on futures to
reduce its investment exposure to the Index in situations where it intends to
sell a portion of the stocks in its portfolio but the sale has not yet been
completed. The Portfolio may also, to the extent permitted by applicable law,
invest in shares of other mutual funds whose investment objectives and policies
are similar to those of the MSCI-Registered Trademark- EAFE-Registered
Trademark- Index Portfolio. The MSCI-Registered Trademark- EAFE-Registered
Trademark- Index Portfolio may also enter into other derivatives transactions,
including the purchase or sale of options or entering into swap transactions, to
assist in replicating the performance of the Index.
PRINCIPAL RISKS OF INVESTING IN THE MSCI-Registered Trademark- EAFE-Registered
Trademark- INDEX PORTFOLIO
- - Stock values could decline generally or could underperform other
investments.
- - Returns on investments in foreign stocks could be more volatile than, or
trail the returns on, investments in U.S. stocks.
- - Foreign investments are subject to a variety of risks not associated with
25
<PAGE>
investing in the United States, including currency fluctuations, economic
or financial instability, lack of timely or reliable information, and
unfavorable political or legal developments.
- - The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio's
return may not match the return of the Index for a number of reasons. For
example, the Portfolio incurs a number of operating expenses not applicable
to the Index, and incurs costs in buying and selling securities. The
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio may
not be fully invested at times, either as a result of cash flows into the
Portfolio or reserves of cash held by the Portfolio to meet redemptions.
The return on the sample of stocks purchased by the Adviser, or futures or
other derivative positions taken by the Adviser, to replicate the
performance of the Index may not correlate precisely with the return of the
Index.
THE MSCI-Registered Trademark- EAFE-Registered Trademark- INDEX PORTFOLIO'S
SHARES WILL CHANGE IN VALUE, AND YOU COULD LOSE MONEY BY INVESTING IN THE
PORTFOLIO. THE MSCI-Registered Trademark- EAFE-Registered Trademark- INDEX
PORTFOLIO MAY NOT ACHIEVE ITS OBJECTIVE. AN INVESTMENT IN THE MSCI-Registered
Trademark- EAFE-Registered Trademark- Index PORTFOLIO IS NOT A DEPOSIT WITH A
BANK AND IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
OTHER INVESTMENT CONSIDERATIONS AND RISKS
THE MSCI-Registered Trademark- EAFE-Registered Trademark- Index. The
MSCI-Registered Trademark- EAFE-Registered Trademark- Index is an arithmetic,
market value-weighted average of the performance of over 1,000 securities listed
on the stock exchanges of the of countries determined by MSCI-Registered
Trademark- to be "developed." Although the list of developed markets may change
over time, at the date of this prospectus, these included: Australia, Austria,
Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan,
Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,
Switzerland, and the United Kingdom. The designation of a market as "developed",
by MSCI-Registered Trademark-, arises from several factors, the most common of
which is minimum GDP per capita. The MSCI-Registered Trademark- EAFE-Registered
Trademark- Index is structured to represent the opportunities available to an
international investor in developed markets. MSCI-Registered Trademark- targets
60% of the available market capitalization of each country for inclusion in the
index. Securities selected by MSCI-Registered Trademark- for inclusion in the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index must have acceptable
levels of liquidity and free float. MSCI-Registered Trademark- also avoids
inclusion of companies which have a significant ownership stake in another
company since substantial cross-ownership can skew industry weights, distort
country-level valuations and overstate a country's true market size. The
inclusion of a stock in the MSCI-Registered Trademark- EAFE-Registered
Trademark- Index in no way implies that MSCI-Registered Trademark- believes the
stock to be an attractive investment, nor is MSCI-Registered Trademark- a
sponsor or in any way affiliated with the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio. The MSCI-Registered Trademark-
EAFE-Registered Trademark- Index is the exclusive property of MSCI-Registered
Trademark-. Morgan Stanley Capital International is a service mark of
MSCI-Registered Trademark- and has been licensed for use by the Trust.
26
<PAGE>
INDEX FUTURES CONTRACTS AND RELATED OPTIONS. The MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio may buy and sell futures contracts on the
Index and options on those futures contracts. An "index future" is a contract to
buy or sell units of an index at an agreed price on a specified future date.
Depending on the change in value of the index between the time when the
Portfolio enters into and terminates an index future or option transaction, the
Portfolio realizes a gain or loss. Options and futures transactions involve
risks. For example, it is possible that changes in the prices of futures
contracts on the Index will not correlate precisely with changes in the value of
the Index. In those cases, use of futures contracts and related options might
decrease the correlation between the return of the MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio and the return of the Index. In addition,
the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio incurs
transaction costs in entering into, and closing out, positions in futures
contracts and related options. These costs typically have the effect of reducing
the correlation between the return of the Portfolio and the return of the Index.
OTHER DERIVATIVE TRANSACTIONS. The MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio may enter into derivatives transactions
involving options and swaps. These transactions involve many of the same risks
as those described above under "Index Futures Contracts and Related Options." In
addition, since many of such transactions are conducted directly with
counterparties, and not on an exchange or board of trade, the MSCI-Registered
Trademark- EAFE-Registered Trademark- Portfolio's ability to realize any
investment return on such transactions may be dependent on the counterparty's
ability or willingness to meet its obligations.
REPURCHASE AGREEMENTS AND SECURITIES LOANS. The MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio may enter into repurchase agreements and
securities loans. Under a repurchase agreement, the Portfolio purchases a debt
instrument for a relatively short period (usually not more than one week), which
the seller agrees to repurchase at a fixed time and price, representing the
Portfolio's cost plus interest. Under a securities loan, the Portfolio lends
portfolio securities. The MSCI-Registered Trademark- EAFE-Registered Trademark-
Portfolio will enter into repurchase agreements and securities loans only with
commercial banks and with registered broker-dealers who are members of a
national securities exchange or market makers in government securities, and in
the case of repurchase agreements, only if the debt instrument is a U.S.
government security. Although the Adviser will monitor these transactions to
ensure that they will be fully collateralized at all times, the MSCI-Registered
Trademark- EAFE-Registered Trademark- Portfolio bears a risk of loss if the
other party defaults on its obligation and the Portfolio is delayed or prevented
from exercising its rights to dispose of the collateral. If the other party
should become involved in bankruptcy or insolvency proceedings, it is possible
that the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio may be
treated as an unsecured creditor and be required to return the underlying
collateral to the other party's estate.
27
<PAGE>
CHANGES IN POLICIES. The Trust's Trustees may change the MSCI-Registered
Trademark- EAFE-Registered Trademark- Portfolio's investment strategies and
other policies without interestholder approval, except as otherwise indicated.
The Trustees will not materially change the MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio's investment objective without
interestholder approval.
ITEM 6. MANAGEMENT, ORGANIZATION AND CAPITAL STRUCTURE
The Trustees of the Trust are responsible for generally overseeing the
conduct of the Trust's business. Subject to such policies as the Trustees may
determine, the Adviser furnishes a continuing investment program for the
MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio and makes
investment decisions on its behalf.
The Adviser places all orders for purchases and sales of the
MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio's investments.
In selecting broker-dealers, the Adviser may consider research and brokerage
services furnished to it and its affiliates. Affiliates of the Adviser may
receive brokerage commissions from the MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio in accordance with procedures adopted by
the Trustees under the 1940 Act, which require periodic review of these
transactions.
State Street, through its State Street Global Advisors division, serves as
Adviser to the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio
and, subject to the supervision of the Board of Trustees, will be responsible
for the investment management of the Portfolio. As of December 31, 1999, the
Adviser managed approximately $672 billion in assets. The Adviser's principal
address is Two International Place, Boston, Massachusetts 02110.
ADMINISTRATOR, CUSTODIAN, TRANSFER AND DIVIDEND DISBURSING AGENT
State Street is the Administrator for the MSCI EAFE-Registered Trademark-
Portfolio and the Custodian for the Portfolio's assets, and serves as the
Transfer Agent to the Portfolio.
28
<PAGE>
ADVISORY FEE
As compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent (and for assuming ordinary operating expenses of the Portfolio,
including ordinary legal and audit expenses), State Street receives an advisory
fee at an annual rate of 0.15% of the average daily net assets of the
MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio.
LENDING AGENT
State Street is expected to be designated as the lending agent for the
Trust. In such capacity, it would cause the delivery of loaned securities from
the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio to
borrowers, arrange for the return of loaned securities to the Portfolio at the
termination of loans, request deposit of collateral, monitor daily the value of
the loaned securities and collateral, request that borrowers add to the
collateral when required by the loan agreements, and provide recordkeeping and
accounting services necessary for the operation of the program. For its
services, the lending agent would typically receive a portion of the net
investment income, if any, earned on the collateral for the securities loaned.
ITEM 7. INTERESTHOLDER INFORMATION
DETERMINATION OF NET ASSET VALUE
The MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio's net
asset value is calculated on each day the NYSE is open for trading at the close
of trading on the NYSE. The net asset value is based on the market value of the
securities held in the Portfolio. The net asset value per beneficial interest
is calculated by dividing the value of the net asset value of the Portfolio by
the number of interests outstanding. If quotations are not readily available,
the portfolio securities will be valued by methods approved by the Board of
Trustees intended to reflect fair value.
PURCHASING BENEFICIAL INTERESTS
The MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio issues
beneficial interests solely in private placement transactions that do not
involve any "public offering" within the meaning of Section 4(2) of the 1933
Act. Investment companies, institutional client separate accounts, 401(k) plan
assets, common and commingled trust funds or collective investment trusts or
similar organizations that are "accredited investors" within the meaning of
Regulation D of the 1933 Act are the only investors currently permitted to
invest in the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio.
Investors pay no sales load to invest in this Portfolio. The price for
MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio beneficial
interests is the net asset value per beneficial interest. Orders
29
<PAGE>
will be priced at the net asset value next calculated after the order is
accepted by the Portfolio.
The minimum initial investment in the MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio is $25 million, although the Adviser may
waive the minimum in its discretion. There is no minimum subsequent investment.
The MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio intends to
be as fully invested as is practicable; therefore, investments must be made
either in Federal Funds (i.e., monies credited to the account of the Portfolio's
custodian bank by a Federal Reserve Bank) or securities acceptable to the
Adviser. (Please consult your tax adviser regarding in-kind transactions.) The
MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio reserves the
right to cease accepting investments at any time or to reject any investment
order.
REDEEMING BENEFICIAL INTERESTS
An investor may withdraw all or any portion of its investment at the net
asset value next determined after it submits a withdrawal request, in proper
form, to the MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio.
The Portfolio will pay the proceeds of the withdrawal either in Federal Funds or
in securities at the discretion of the Adviser, normally on the next Portfolio
business day after the withdrawal, but in any event no more than seven days
after the withdrawal. (Please consult your tax adviser regarding in-kind
transactions.) At the request of an investor, the MSCI-Registered Trademark-
EAFE-Registered Trademark- Portfolio will normally redemption in-kind to the
investor. Investments in the MSCI-Registered Trademark- EAFE-Registered
Trademark- Portfolio may not be transferred. The right of any investor to
receive payment with respect to any withdrawal may be suspended or the payment
of the withdrawal proceeds postponed during any period in which the NYSE is
closed (other than weekends or holidays) or trading on the NYSE is restricted
or, to the extent otherwise permitted by the 1940 Act, if an emergency exists.
TAX CONSIDERATIONS
The MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio does
not expect to be subject to any income tax as it has been determined that it
will be properly treated as a partnership for federal and state income tax
purposes. Each investor in the MSCI-Registered Trademark- EAFE-Registered
Trademark- Portfolio, however, will be taxable on its allocable share (as
determined in accordance with the governing instruments of the Trust) of the
Portfolio's ordinary income and capital gain in determining its income tax
liability. The determination of such share will be made in accordance with the
Internal Revenue Code of 1986, as amended, and regulations promulgated
thereunder.
The MSCI-Registered Trademark- EAFE-Registered Trademark- Portfolio expects
to manage its assets and income in such a way that an investment company
investing in the Portfolio will be able to satisfy the requirements of
Subchapter M of the Code, assuming that it invests all of its assets in the
Portfolio.
30
<PAGE>
ITEM 8. DISTRIBUTION ARRANGEMENTS
Not applicable.
31
<PAGE>
PART A--STATE STREET AGGREGATE BOND INDEX PORTFOLIO
We have omitted responses to Items 1, 2, 3, 5 and 9 pursuant to paragraph
2(b) of General Instruction B to Form N-1A.
INTRODUCTION
State Street Master Funds is a no-load, open-end management investment
company. It was organized as a trust under the laws of The Commonwealth of
Massachusetts on July 27, 1999. The Trust issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933
Act"). Only investment companies, institutional client separate accounts, 401(k)
plan assets, common or commingled trust funds or collective investment trusts or
similar organizations or entities that are "accredited investors" within the
meaning of Regulation D under the 1933 Act may invest in the Trust. This
Registration Statement does not constitute an offer to sell, or the solicitation
of an offer to buy, any "security" within the meaning of the 1933 Act. The
Equity 500 Index Portfolio, the Equity 400 Index Portfolio, the Equity 2000
Index Portfolio, the MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio and the Aggregate Bond Index Portfolio are each a diversified separate
series of the Trust.
ITEM 4. INVESTMENT OBJECTIVE, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED RISKS
The investment objective, principal strategies and risks of the Aggregate
Bond Index Portfolio are described below; the investment objectives, principal
strategies and risks of the Equity 500 Index Portfolio, the Equity 400 Index
Portfolio, the Equity 2000 Index Portfolio and the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio are described separately. See Part B
for a description of certain fundamental investment restrictions for the
Aggregate Bond Index Portfolio.
SUMMARY
INVESTMENT OBJECTIVE. The Aggregate Bond Index Portfolio's investment
objective is to replicate, as closely as possible, before expenses, the
performance of the Lehman Brothers Aggregate Bond Index (the "LBAB Index").
There is no assurance that the Portfolio will achieve its investment objective.
PRINCIPAL INVESTMENT STRATEGIES. The Aggregate Bond Index Portfolio uses a
management strategy designed to track the performance of the LBAB Index. The
LBAB Index is a well-known fixed-income securities index, which emphasizes
32
<PAGE>
government securities, mortgage-backed securities and corporate investment grade
debt securities.
State Street Bank and Trust Company, through its State Street Global
Advisors division, seeks to track the performance of the LBAB Index by investing
in debt securities and other investments that are representative of the LBAB
Index as a whole. Due to the large number of securities in the LBAB Index and
the fact that certain Index securities are unavailable for purchase, complete
replication is not possible. Rather, the Aggregate Bond Index Portfolio intends
to select securities that the Adviser believes will track the LBAB Index in
terms of industry weightings, market capitalization and other characteristics.
The Aggregate Bond Index Portfolio may make direct investments in U.S.
government securities; corporate debt securities; mortgage-backed and other
asset-backed securities; commercial paper, notes, and bonds issued by domestic
and foreign corporations; instruments of U.S. and foreign banks, including
certificates of deposit, time deposits, letters of credit, and banker's
acceptances; and swap agreements. Securities in which the Aggregate Bond Index
Portfolio invests may be fixed-income securities, zero-coupon securities, or
variable rate securities.
In addition, the Aggregate Bond Index Portfolio may at times purchase or
sell futures contracts on fixed-income securities, or options on those futures,
in lieu of investment directly in fixed-income securities themselves. It may
also purchase or sell futures contracts and options on the LBAB Index (or other
fixed-income securities indices), if and when they become available. The
Portfolio might do so, for example, in order to adjust the interest-rate
sensitivity of the Portfolio to bring it more closely in line with that of the
Index. It might also do so to increase its investment exposure pending
investment of cash in the bonds comprising the Index or to reduce its investment
exposure in situations where it intends to sell a portion of the securities in
its portfolio but the sale has not yet been completed. The Aggregate Bond Index
Portfolio may also, to the extent permitted by applicable law, invest in shares
of other mutual funds whose investment objectives and policies are similar to
those of the Portfolio. The Aggregate Bond Index Portfolio may also enter into
other derivatives transactions, including the purchase or sale of options or
entering into swap transactions, to assist in replicating the performance of the
Index.
PRINCIPAL RISKS OF INVESTING IN THE AGGREGATE BOND INDEX PORTFOLIO
- - Values of fixed-income securities could decline generally in response to
changes in interest rates or other factors.
- - Returns on investments in fixed-income securities could trail the returns
on other investment options, including investments in equity securities.
- - Issuers of the Aggregate Bond Index Portfolio's investments may not make
timely payments of interest and principal or may fail to make such payments
at
33
<PAGE>
all.
- - The Aggregate Bond Index Portfolio's return may not match the return of the
Index for a number of reasons. For example, the return on the securities
and other investments selected by the Adviser may not correlate precisely
with the return on the Index. The Aggregate Bond Index Portfolio incurs a
number of operating expenses not applicable to the Index, and incurs costs
in buying and selling securities. The Aggregate Bond Index Portfolio may
not be fully invested at times, either as a result of cash flows into the
Portfolio or reserves of cash held by the Portfolio to meet redemptions.
The return on the sample of stocks purchased by the Adviser, or futures or
other derivative positions taken by the Adviser, to replicate the
performance of the Index may not correlate precisely with the return on the
Index.
THE AGGREGATE BOND INDEX PORTFOLIO'S SHARES WILL CHANGE IN VALUE, AND YOU COULD
LOSE MONEY BY INVESTING IN THE PORTFOLIO. THE AGGREGATE BOND INDEX PORTFOLIO MAY
NOT ACHIEVE ITS OBJECTIVE. AN INVESTMENT IN THE AGGREGATE BOND INDEX PORTFOLIO
IS NOT A DEPOSIT WITH A BANK AND IS NOT INSURED OR GUARANTEED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
OTHER INVESTMENT CONSIDERATIONS AND RISKS
THE LBAB INDEX. The LBAB Index is a well-known bond market index that
covers the U.S. investment-grade fixed-income bond market, including government,
corporate, mortgage-backed and asset-backed bonds, all with maturities of over
one year. Bonds in the LBAB Index are weighted according to their market
capitalizations. The composition of the Index is determined by Lehman Brothers
and is based on such factors as the market capitalization of each bond, its
remaining time to maturity and quality ratings as determined by Moody's Investor
Services, as outside ratings agency, and may be changed from time to time. The
Aggregate Bond Index Portfolio is not sponsored, endorsed, sold, or promoted by
Lehman Brothers, and Lehman Brothers makes no representation regarding the
advisability of investing in the Portfolio.
DEBT SECURITIES. The values of debt securities generally rise and fall
inversely with changes in interest rates. Interest rate risk is usually greater
for debt securities with longer maturities. The Aggregate Bond Index Portfolio's
investments will normally include debt securities with longer maturities,
although the Adviser will seek to ensure that the maturity characteristics of
the Portfolio as a whole will generally be similar to those of the LBAB Index.
Mortgage-backed and asset-backed securities are also subject to increased
interest rate risk, because prepayment rates on such securities typically
increase as interest rates decline and decrease as interest rates rise. Changes
in prepayment rates on mortgage-backed and asset-backed securities effectively
increase and decrease the Aggregate Bond Index Portfolio's average maturity when
that is least desirable. The Aggregate Bond Index Portfolio will also be subject
to credit risk (the risk that the issuer of a security will fail to make timely
payments of
34
<PAGE>
interest and principal).
FUTURES CONTRACTS AND RELATED OPTIONS. The Aggregate Bond Index Portfolio
may buy and sell futures contracts on securities contained in the LBAB Index and
options on those futures contracts. A "futures contract" on debt securities
(such as U.S. Treasury securities) is a contract to buy or sell the securities
at an agreed price on a specified future date. Depending on the change in value
of the futures contract between the time when the Portfolio enters into and
terminates an future or option transaction, the Portfolio realizes a gain or
loss. Options and futures transactions involve risks. For example, it is
possible that changes in the prices of futures contracts will not correlate
precisely with changes in the value of the underlying security. In those cases,
use of futures contracts and related options might decrease the correlation
between the return of the Aggregate Bond Index Portfolio and the return of the
LBAB Index. In addition, the Aggregate Bond Index Portfolio incurs transaction
costs in entering into, and closing out, positions in futures contracts and
related options. These costs typically have the effect of reducing the
correlation between the return of the Portfolio and the return of the LBAB
Index.
OTHER DERIVATIVE TRANSACTIONS. The Aggregate Bond Index Portfolio may enter
into derivatives transactions involving options and swaps. These transactions
involve many of the same risks as those described above under "Futures Contracts
and Related Options." In addition, since many of such transactions are conducted
directly with counterparties, and not on an exchange or board of trade, the
Aggregate Bond Index Portfolio's ability to realize any investment return on
such transactions may be dependent on the counterparty's ability or willingness
to meet its obligations.
REPURCHASE AGREEMENTS AND SECURITIES LOANS. The Aggregate Bond Index
Portfolio may enter into repurchase agreements and securities loans. Under a
repurchase agreement, the Portfolio purchases a debt instrument for a relatively
short period (usually not more than one week), which the seller agrees to
repurchase at a fixed time and price, representing the Portfolio's cost plus
interest. Under a securities loan, the Portfolio lends portfolio securities. The
Aggregate Bond Index Portfolio will enter into repurchase agreements and
securities loans only with commercial banks and with registered broker-dealers
who are members of a national securities exchange or market makers in government
securities, and in the case of repurchase agreements, only if the debt
instrument is a U.S. government security. Although the Adviser will monitor
these transactions to ensure that they will be fully collateralized at all
times, the Aggregate Bond Index Portfolio bears a risk of loss if the other
party defaults on its obligation and the Portfolio is delayed or prevented from
exercising its rights to dispose of the collateral. If the other party should
become involved in bankruptcy or insolvency proceedings, it is possible that the
Aggregate Bond Index Portfolio may be treated as an unsecured creditor and be
required to return the underlying collateral to the other party's estate.
35
<PAGE>
CHANGES IN POLICIES. The Trust's Trustees may change the Aggregate Bond
Index Portfolio's investment strategies and other policies without
interestholder approval, except as otherwise indicated. The Trustees will not
materially change the Aggregate Bond Index Portfolio's investment objective
without interestholder approval.
ITEM 6. MANAGEMENT, ORGANIZATION AND CAPITAL STRUCTURE
The Trustees of the Trust are responsible for generally overseeing the
conduct of the Trust's business. Subject to such policies as the Trustees may
determine, the Adviser furnishes a continuing investment program for the
Aggregate Bond Index Portfolio and makes investment decisions on its behalf.
The Adviser places all orders for purchases and sales of the Aggregate Bond
Index Portfolio's investments. In selecting broker-dealers, the Adviser may
consider research and brokerage services furnished to it and its affiliates.
Affiliates of the Adviser may receive brokerage commissions from the Aggregate
Bond Index Portfolio in accordance with procedures adopted by the Trustees under
the 1940 Act, which require periodic review of these transactions.
State Street, through its State Street Global Advisors division, serves as
Adviser to the Aggregate Bond Index Portfolio and, subject to the supervision of
the Board of Trustees, will be responsible for the investment management of the
Portfolio. As of December 31, 1999, the Adviser managed approximately $672
billion in assets. The Adviser's principal address is Two International Place,
Boston, Massachusetts 02110.
ADMINISTRATOR, CUSTODIAN, TRANSFER AND DIVIDEND DISBURSING AGENT
State Street is the Administrator for the Aggregate Bond Index
Portfolio and the
36
<PAGE>
Custodian for the Portfolio's assets, and serves as the
Transfer Agent to the Portfolio.
ADVISORY FEE
As compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent (and for assuming ordinary operating expenses of the Portfolio,
including ordinary legal and audit expenses), State Street receives an advisory
fee at an annual rate of 0.10% of the average daily net assets of the Aggregate
Bond Index Portfolio.
LENDING AGENT
State Street is expected to be designated as the lending agent for the
Trust. In such capacity, it would cause the delivery of loaned securities from
the Aggregate Bond Index Portfolio to borrowers, arrange for the return of
loaned securities to the Portfolio at the termination of loans, request deposit
of collateral, monitor daily the value of the loaned securities and collateral,
request that borrowers add to the collateral when required by the loan
agreements, and provide recordkeeping and accounting services necessary for the
operation of the program. For its services, the lending agent would typically
receive a portion of the net investment income, if any, earned on the collateral
for the securities loaned.
ITEM 7. INTERESTHOLDER INFORMATION
DETERMINATION OF NET ASSET VALUE
The Aggregate Bond Index Portfolio's net asset value is calculated on each
day the NYSE is open for trading at the close of regular trading on the NYSE.
The net asset value is based on the market value of the securities held in the
Aggregate Bond Index Portfolio. The net asset value per beneficial interest is
calculated by dividing the value of the net asset value of the Portfolio by the
number of interests outstanding. If quotations are not readily available, the
portfolio securities will be valued by methods approved by the Board of Trustees
intended to reflect fair value.
PURCHASING BENEFICIAL INTERESTS
The Aggregate Bond Index Portfolio issues beneficial interests solely in
private placement transactions that do not involve any "public offering" within
the meaning of Section 4(2) of the 1933 Act. Investment companies, institutional
client separate accounts, 401(k) plan assets, common and commingled trust funds
or collective investment trusts or similar organizations that are "accredited
investors" within the meaning of Regulation D of the 1933 Act are the only
investors currently permitted to invest in the Aggregate Bond Index Portfolio.
37
<PAGE>
Investors pay no sales load to invest in this Portfolio. The price for
Aggregate Bond Index Portfolio beneficial interests is the net asset value per
beneficial interest. Orders will be priced at the net asset value next
calculated after the order is accepted by the Aggregate Bond Index Portfolio.
The minimum initial investment in the Aggregate Bond Index Portfolio is $25
million, although the Adviser may waive the minimum in its discretion. There is
no minimum subsequent investment. The Aggregate Bond Index Portfolio intends to
be as fully invested as is practicable; therefore, investments must be made
either in Federal Funds (i.e., monies credited to the account of the Portfolio's
custodian bank by a Federal Reserve Bank) or securities acceptable to the
Adviser. (Please consult your tax adviser regarding in-kind transactions.) The
Aggregate Bond Index Portfolio reserves the right to cease accepting investments
at any time or to reject any investment order.
REDEEMING BENEFICIAL INTERESTS
An investor may withdraw all or any portion of its investment at the net
asset value next determined after it submits a withdrawal request, in proper
form, to the Aggregate Bond Index Portfolio. The Portfolio will pay the proceeds
of the withdrawal either in Federal Funds or in securities at the discretion of
the Adviser, normally on the next Portfolio business day after the withdrawal,
but in any event no more than seven days after the withdrawal. (Please consult
your tax adviser regarding in-kind transactions.) At the request of an investor,
the Aggregate Bond Index Portfolio will normally redeem in-kind to the investor.
Investments in the Aggregate Bond Index Portfolio may not be transferred. The
right of any investor to receive payment with respect to any withdrawal may be
suspended or the payment of the withdrawal proceeds postponed during any period
in which the NYSE is closed (other than weekends or holidays) or trading on the
NYSE is restricted or, to the extent otherwise permitted by the 1940 Act, if an
emergency exists.
TAX CONSIDERATIONS
The Aggregate Bond Index Portfolio does not expect to be subject to any
income tax as it has been determined that it will be properly treated as a
partnership for federal and state income tax purposes. Each investor in the
Aggregate Bond Index Portfolio, however, will be taxable on its allocable share
(as determined in accordance with the governing instruments of the Trust) of the
Portfolio's ordinary income and capital gain in determining its income tax
liability. The determination of such share will be made in accordance with the
Internal Revenue Code of 1986, as amended, and regulations promulgated
thereunder.
The Aggregate Bond Index Portfolio expects to manage its assets and income
in such a way that an investment company investing in the Portfolio will be able
to satisfy the requirements of Subchapter M of the Code, assuming that it
invests all of its assets in the Portfolio.
38
<PAGE>
ITEM 8. DISTRIBUTION ARRANGEMENTS
Not applicable.
39
<PAGE>
PART B
ITEM 10. COVER PAGE AND TABLE OF CONTENTS
Trust History
Description of the Portfolio and its Investments and Risks
Management of the Portfolio
Control Persons and Principal Holders of Securities
Investment Advisory and Other Services
Brokerage Allocation and Other Practices
Capital Stock and Other Securities
Purchase, Redemption and Pricing of Beneficial Interests
Taxation of the Portfolio
Underwriters
Calculation of Performance Data
Financial Statements
ITEM 11. TRUST HISTORY
The Trust was organized as a trust under the laws of The Commonwealth of
Massachusetts on July 27, 1999.
ITEM 12. DESCRIPTION OF PORTFOLIO AND ITS INVESTMENTS AND RISKS
Each Part A contains information about the investment objective and policies of
the respective Portfolio of State Street Master Funds (the "Trust"). This Part B
should only be read in conjunction with the Part A of the Portfolio or
Portfolios in which you intend to invest. In addition to the principal
investment strategies and the principal risks of the Portfolio described in Part
A, the Portfolio may employ other investment practices and may be subject to
additional risks, which are described below.
ADDITIONAL INFORMATION CONCERNING THE S&P 500 INDEX
The State Street Equity 500 Index Portfolio (the "Equity 500 Index Portfolio")
is not sponsored, endorsed, sold or promoted by Standard & Poor's, a division of
The McGraw-Hill Companies, Inc. ("S&P"). S&P makes no representation or
warranty, express or implied, to the owners of beneficial interests of the
Equity 500 Index Portfolio or any member of the public regarding the
advisability of investing in securities generally or in the Portfolio
particularly or the ability of the S&P 500 Index to track general stock market
performance. S&P's only relationship to the Equity 500 Index Portfolio is the
licensing of certain trademarks and trade names of S&P and of the S&P 500 Index
which is determined, composed and calculated by S&P without regard to the
Portfolio. S&P has no obligation to take the needs of the Equity 500 Index
Portfolio or the owners of beneficial interests of the Equity 500 Index
Portfolio into consideration in determining, composing or calculating the S&P
500 Index. S&P is not responsible for and has not
40
<PAGE>
participated in the determination of the price and number of interests of the
Equity 500 Index Portfolio or the timing of the issuance or sale of beneficial
interests of the Equity 500 Index Portfolio, or calculation of the equation by
which interests of the Equity 500 Index Portfolio are redeemable for cash. S&P
has no obligation or liability in connection with the administration, marketing
or trading of interests of the Equity 500 Index Portfolio.
S&P does not guarantee the accuracy or the completeness of the S&P 500 Index or
any data included therein and S&P shall have no liability for any errors,
omissions or interruptions therein. S&P makes no warranty, express or implied,
as to results to be obtained by the Equity 500 Index Portfolio, owners of
beneficial interests of the Equity 500 Index Portfolio or any other person or
entity from the use of the S&P 500 Index or any data included therein. S&P makes
no express or implied warranties, and expressly disclaims all warranties of
merchantability or fitness for a particular purpose or use with respect to the
S&P 500 Index or any data included therein. Without limiting any of the
foregoing, in no event shall S&P have any liability for any special, punitive,
indirect or consequential damages (including lost profits), even if notified of
the possibility of such damages.
ADDITIONAL INFORMATION CONCERNING THE S&P 400 INDEX
The State Street Equity 400 Index Portfolio (the "Equity 400 Index Portfolio")
is not sponsored, endorsed, sold or promoted by Standard & Poor's, a division of
The McGraw-Hill Companies, Inc. ("S&P"). S&P makes no representation or
warranty, express or implied, to the owners of beneficial interests of the
Equity 400 Index Portfolio or any member of the public regarding the
advisability of investing in securities generally or in the Portfolio
particularly or the ability of the S&P 400 Index to track general stock market
performance. S&P's only relationship to the Equity 400 Index Portfolio is the
licensing of certain trademarks and trade names of S&P and of the S&P 400 Index
which is determined, composed and calculated by S&P without regard to the Equity
400 Index Portfolio. S&P has no obligation to take the needs of the Equity 400
Index Portfolio or the owners of beneficial interests of the Equity 400 Index
Portfolio into consideration in determining, composing or calculating the S&P
400 Index. S&P is not responsible for and has not participated in the
determination of the price and number of interests of the Equity 400 Index
Portfolio or the timing of the issuance or sale of beneficial interests of the
Equity 400 Index Portfolio, or calculation of the equation by which interests of
the Equity 400 Index Portfolio are redeemable for cash. S&P has no obligation or
liability in connection with the administration, marketing or trading of
interests of the Equity 400 Index Portfolio.
S&P does not guarantee the accuracy or the completeness of the S&P 400 Index or
any data included therein and S&P shall have no liability for any errors,
omissions or interruptions therein. S&P makes no warranty, express or implied,
as to results to be obtained by the Equity 400 Index Portfolio, owners of
beneficial interests of the Equity 400 Index Portfolio or any other person or
entity from the use of the S&P 400 Index or
41
<PAGE>
any data included therein. S&P makes no express or implied warranties, and
expressly disclaims all warranties of merchantability or fitness for a
particular purpose or use with respect to the S&P 400 Index or any data included
therein. Without limiting any of the foregoing, in no event shall S&P have any
liability for any special, punitive, indirect or consequential damages
(including lost profits), even if notified of the possibility of such damages.
ADDITIONAL INFORMATION CONCERNING THE RUSSELL 2000 INDEX
The State Street Equity 2000 Index Portfolio (the "Equity 2000 Index Portfolio")
is not sponsored, endorsed, promoted by, or in any way affiliated with Frank
Russell Company ("Russell"). Russell is not responsible for and has not reviewed
the State Street Equity 2000 Index Fund or any associated literature or
publications, and Russell makes no representation or warranty, express or
implied, as to their accuracy or completeness, or otherwise. Russell reserves
the right, at any time and without notice, to alter, amend, terminate or in any
way change the Russell 2000 Index. Russell has no obligation to take the needs
of any particular fund or its participants or any other product or person into
consideration in determining, composing or calculating the Russell 2000 Index.
Russell's publication of the Index in no way suggests or implies an opinion by
Russell as to the attractiveness or appropriateness of investment in any or all
securities upon which the Index is based. Russell makes no representation,
warranty or guarantee as to the accuracy, completeness, reliability, or
otherwise of the Russell 2000 Index or any data included in the Index. Russell
makes no representation or warranty regarding the use, or the results of use, of
the Russell 2000 Index or any data included therein, or any security (or
combination thereof) comprising the Index.
Russell makes no express or implied warranties, and expressly disclaims all
warranties of merchantability or fitness for a particular purpose with respect
to the Russell 2000 Index or any data or any security (or combination thereof)
included therein.
ADDITIONAL INFORMATION CONCERNING THE MSCI-Registered Trademark- EAFE-Registered
Trademark- INDEX
The State Street MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio (the "MSCI-Registered Trademark- EAFE-Registered Trademark- Index
Portfolio") is not sponsored, endorsed, sold or promoted by MSCI-Registered
Trademark- or any affiliate of MSCI-Registered Trademark-. Neither
MSCI-Registered Trademark- nor any other party makes any representation or
warranty, express or implied, to the owners of interests of the MSCI-Registered
Trademark- EAFE-Registered Trademark- Index Portfolio or any member of the
public regarding the advisability of investing in funds generally or in this
fund particularly or the ability of the MSCI-Registered Trademark-
EAFE-Registered Trademark- index to track general stock market performance. MSCI
is
42
<PAGE>
the licensor of certain trademarks, service marks and trade names of
MSCI-Registered Trademark- and of the MSCI-Registered Trademark- EAFE-Registered
Trademark- Index which is determined, composed and calculated by MSCI-Registered
Trademark- without regard to the issuer of the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio or the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio. MSCI-Registered Trademark- has no
obligation to take the needs of the issuer of the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio or the owners of interests of the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio into
consideration in determining, composing or calculating the MSCI-Registered
Trademark- EAFE-Registered Trademark- Index. MSCI-Registered Trademark- is not
responsible for and has not participated in the determination of the timing of,
prices at, or quantities of interests of the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio to be issued or in the determination
or calculation of the equation by which interests of the MSCI-Registered
Trademark- EAFE-Registered Trademark- Index Portfolio are redeemable for cash.
Neither MSCI-Registered Trademark- nor any other party has any obligation or
liability to owners of interests of the MSCI-Registered Trademark-
EAFE-Registered Trademark- Index Portfolio in connection with the
administration, marketing or trading of interests of the MSCI-Registered
Trademark- EAFE-Registered Trademark- Index Portfolio.
Although MSCI-Registered Trademark- shall obtain information for inclusion in or
for use in the calculation of the indexes from sources which MSCI-Registered
Trademark- considers reliable, neither MSCI-Registered Trademark- nor any other
party guarantees the accuracy and/or the completeness of the indexes or any data
included therein. Neither MSCI-Registered Trademark- nor any other party makes
any warranty, express or implied, as to results to be obtained by licensee,
licensee's customers and counterparties, owners of interests of the
MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio, or any
other person or entity from the use of the Index or any data included therein in
connection with the rights licensed hereunder or for any other use. Neither
MSCI-Registered Trademark- nor any other party makes any express or implied
warranties, and MSCI-Registered Trademark- hereby expressly disclaims all
warranties of merchantability or fitness for a particular purpose with respect
to the indexes or any data included therein. Without limiting any of the
foregoing, in no event shall MSCI-Registered Trademark- or any other party have
any liability for any direct, indirect, special, punitive, consequential or any
other damages (including lost profits) even if notified of the possibility of
such damages.
ADDITIONAL INFORMATION CONCERNING THE LBAB INDEX
The Aggregate Bond Index Portfolio is not sponsored, endorsed, sold or promoted
by Lehman Brothers. Lehman Brothers makes no representation or warranty, express
or implied, to the owners of beneficial interests of the Aggregate Bond Index
Portfolio or any member of the public regarding the advisability of investing in
securities generally or in the Aggregate Bond Index Portfolio particularly or
the ability of the LBAB Index to track general performance. Lehman Brother's
only relationship to the Aggregate Bond Index Portfolio is the licensing of
certain trademarks and trade names of Lehman Brothers and of the LBAB Index
which is determined, composed and calculated by Lehman Brothers without regard
to the Aggregate Bond Index Portfolio. Lehman
43
<PAGE>
Brothers has no obligation to take the needs of the Aggregate Bond Index
Portfolio or the owners of beneficial interests of the Aggregate Bond Index
Portfolio into consideration in determining, composing or calculating the LBAB
Index. Lehman Brothers is not responsible for and has not participated in the
determination of the price and number of beneficial interests of the Aggregate
Bond Index Portfolio or the timing of the issuance of sale of beneficial
interests of the Aggregate Bond Index Portfolio. Lehman Brothers has no
obligation or liability in connection with the administration, marketing or
trading of the Aggregate Bond Index Portfolio.
Lehman Brothers does not guarantee the accuracy or the completeness of the LBAB
Index or any data included therein and Lehman Brothers shall have no liability
for any errors, omissions or interruptions therein. Lehman Brothers makes no
warranty, express or implied, as to results to be obtained by the Aggregate Bond
Index Portfolio, owners of beneficial interests of the Aggregate Bond Index
Portfolio or any other person or entity from the use of the LBAB Index or any
data included therein. Lehman Brothers makes no express or implied warranties,
and expressly disclaims all warranties of merchantability or fitness for a
particular purpose or use with respect to the LBAB Index or any data included
therein. Without limiting any of the foregoing, in no event shall Lehman
Brothers have any liability for any special, punitive, indirect or consequential
damages (including lost profits), even if notified of the possibility of such
damages.
ADDITIONAL INVESTMENTS AND RISKS
CASH RESERVES
Each Portfolio may hold portions of its assets in short-term debt instruments
with remaining maturities of 397 days or less pending investment or to meet
anticipated redemptions and day-to-day operating expenses. Short-term debt
instruments consist of: (i) short-term obligations of the U.S. government, its
agencies, instrumentalities, authorities or political subdivisions; (ii) other
short-term debt securities rated at the time of purchase Aa or higher by Moody's
Investors Service, Inc. ("Moody's") or AA or higher by Standard & Poor's Rating
Group ("S&P") or, if unrated, of comparable quality in the opinion of the
Adviser; (iii) commercial paper; (iv) bank obligations, including negotiable
certificates of deposit, time deposits and bankers' acceptances; and (v)
repurchase agreements. At the time a Portfolio invests in commercial paper, bank
obligations or repurchase agreements, the issuer or the issuer's parent must
have outstanding debt rated Aa or higher by Moody's or AA or higher by S&P or
outstanding commercial paper or bank obligations rated Prime-1 by Moody's or A-1
by S&P; or, if no such ratings are available, the instrument must be of
comparable quality in the opinion of the Adviser. To the extent that a Portfolio
holds the foregoing instruments its ability to track its corresponding Index may
be adversely effected.
FUTURES CONTRACTS AND OPTIONS ON FUTURES
Each Portfolio may enter into futures contracts on securities in which it may
invest or on
44
<PAGE>
indices comprised of such securities and may purchase and write
call and put options on such contracts.
A financial futures contract is a contract to buy or sell a specified quantity
of financial instruments such as U.S. Treasury bills, notes and bonds at a
specified future date at a price agreed upon when the contract is made. An index
futures contract is a contract to buy or sell specified units of an index at a
specified future date at a price agreed upon when the contract is made. The
value of a unit is based on the current value of the index. Under such contracts
no delivery of the actual securities making up the index takes place. Rather,
upon expiration of the contract, settlement is made by exchanging cash in an
amount equal to the difference between the contract price and the closing price
of the index at expiration, net of variation margin previously paid.
Substantially all futures contracts are closed out before settlement date or
called for cash settlement. A futures contract is closed out by buying or
selling an identical offsetting futures contract. Upon entering into a futures
contract, a Portfolio is required to deposit an initial margin with the
Custodian for the benefit of the futures broker. The initial margin serves as a
"good faith" deposit that a Portfolio will honor their futures commitments.
Subsequent payments (called "variation margin") to and from the broker are made
on a daily basis as the price of the underlying investment fluctuates.
Options on futures contracts give the purchaser the right to assume a position
in a futures contract at a specified price at any time before expiration of the
option. A Portfolio will not commit more than 5% of the market value of its
total assets to initial margin deposits on futures and premiums paid for options
on futures.
ILLIQUID SECURITIES
Each Portfolio may invest in illiquid securities. A Portfolio will invest no
more than 15% of its net assets in illiquid securities or securities that are
not readily marketable, including repurchase agreements and time deposits of
more than seven days' duration. The absence of a regular trading market for
illiquid securities imposes additional risks on investments in these securities.
Illiquid securities may be difficult to value and may often be disposed of only
after considerable expense and delay.
LENDING OF PORTFOLIO SECURITIES
Each Portfolio has the authority to lend portfolio securities to brokers,
dealers and other financial organizations in amounts up to 33 1/3% of the total
value of its assets. Any such loan must be continuously secured by collateral in
cash or cash equivalents maintained on a current basis in an amount at least
equal to the market value of the securities loaned by a Portfolio. The Portfolio
would continue to receive the equivalent of the interest or dividends paid by
the issuer on the securities loaned, and would receive an additional return that
may be in the form of a fixed fee or a percentage of the collateral. The
Portfolio would have the right to call the loan and obtain the securities
45
<PAGE>
loaned at any time on notice of not more than five business days. In the event
of bankruptcy or other default of the borrower, the Portfolio could experience
both delays in liquidating the loan collateral or recovering the loaned
securities and losses including (a) possible decline in the value of collateral
or in the value of the securities loaned during the period while the Portfolio
seeks to enforce its rights thereto, (b) possible subnormal levels of income and
lack of access to income during this period, and (c) expenses of enforcing its
rights.
OPTIONS ON SECURITIES AND SECURITIES INDICES
Each Portfolio may purchase or sell options on securities in which it may invest
and on indices that are comprised of securities in which it may invest, subject
to the limitations set forth above and provided such options are traded on a
national securities exchange or in the over-the-counter market. Options on
securities indices are similar to options on securities except there is no
transfer of a security and settlement is in cash. A call option on a securities
index grants the purchaser of the call, for a premium paid to the seller, the
right to receive in cash an amount equal to the difference between the closing
value of the index and the exercise price of the option times a multiplier
established by the exchange upon which the option is traded. Typically, a call
option will be profitable to the holder of the option if the value of the
security or the index increases during the term of the option; a put option will
be valuable if the value of the security or the index decreases during the term
of the option. The Portfolios may also invest in warrants which entitle the
holder to buy equity securities at a specific price for a specific period of
time.
PURCHASE OF OTHER INVESTMENT COMPANY FUNDS
Each Portfolio may, to the extent permitted under the 1940 Act and exemptive
rules and orders thereunder, invest in shares of other investment companies
which invest exclusively in money market instruments or in investment companies
with investment policies and objectives which are substantially similar to the
Portfolio's. These investments may be made temporarily, for example, to invest
uncommitted cash balances or, in limited circumstances, to assist in meeting
interestholder redemptions.
REPURCHASE AGREEMENTS
Each Portfolio may enter into repurchase agreements with banks and other
financial institutions, such as broker-dealers. In substance, a repurchase
agreement is a loan for which the Portfolio receives securities as collateral.
Under a repurchase agreement, the Portfolio purchases securities from a
financial institution that agrees to repurchase the securities at the
Portfolio's original purchase price plus interest within a specified time
(normally one business day). The Portfolio will limit repurchase transactions to
those member banks of the Federal Reserve System and broker-dealers whose
creditworthiness the Adviser considers satisfactory. Should the counterparty to
a transaction fail financially, the Portfolio may encounter delay and incur
costs before being able to sell the securities, or may be prevented from
realizing on the securities. Further, the amount
46
<PAGE>
realized upon the sale of the securities may be less than that necessary to
fully compensate the Portfolio.
US GOVERNMENT SECURITIES
Each Portfolio may purchase US government securities. US government securities
include US Treasury bills, notes, and bonds and other obligations issued or
guaranteed as to interest and principal by the US government and its agencies or
instrumentalities. Obligations issued or guaranteed as to interest and principal
by the US government, its agencies or instrumentalities include securities that
are supported by the full faith and credit of the United States Treasury,
securities that are supported by the right of the issuer to borrow from the
United States Treasury, discretionary authority of the US government agency or
instrumentality, and securities supported solely by the creditworthiness of the
issuer.
WHEN-ISSUED SECURITIES
Each Portfolio may purchase securities on a when-issued basis. Delivery of and
payment for these securities may take place as long as a month or more after the
date of the purchase commitment. The value of these securities is subject to
market fluctuation during this period, and no income accrues to the Portfolio
until settlement takes place. The Portfolio segregates liquid securities in an
amount at least equal to these commitments. When entering into a when-issued
transaction, the Portfolio will rely on the other party to consummate the
transaction; if the other party fails to do so, the Portfolio may be
disadvantaged.
ADDITIONAL INVESTMENTS AND RISKS FOR THE MSCI-Registered Trademark-
EAFE-Registered Trademark- INDEX PORTFOLIO AND THE AGGREGATE BOND INDEX
PORTFOLIO
REVERSE REPURCHASE AGREEMENTS
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio and
the Aggregate Bond Index Portfolio may enter into reverse repurchase agreements
under the circumstances described in "Investment Restrictions." In substance, a
reverse repurchase agreement is a borrowing for which the Portfolio provides
securities as collateral. Under a reverse repurchase agreement, the Portfolio
sells portfolio securities to a financial institution in return for cash in an
amount equal to a percentage of the portfolio securities' market value and
agrees to repurchase the securities at a future date at a prescribed repurchase
price equal to the amount of cash originally received plus interest on such
amount. A Portfolio retains the right to receive interest and principal
payments with respect to the securities while they are in the possession of the
financial institutions. Reverse repurchase agreements involve the risk of
default by the counterparty, which may adversely affect a Portfolio's ability
to reacquire the underlying securities.
TOTAL RETURN SWAPS
47
<PAGE>
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio and
the Aggregate Bond Index Portfolio may contract with a counterparty to pay a
stream of cash flows and receive the total return of an index or a security for
purposes of attempting to obtain a particular desired return at a lower cost to
the Portfolio than if the Portfolio had invested directly in an instrument that
yielded that desired return. A Portfolio's return on a swap will depend on the
ability of its counterparty to perform its obligations under the swap. The
Adviser will cause the Portfolio to enter into swap agreements only with
counterparties that would be eligible for consideration as repurchase agreement
counterparties under the Portfolio's repurchase agreement guidelines.
ADDITIONAL INVESTMENTS AND RISKS FOR THE EAFE INDEX PORTFOLIO
AMERICAN DEPOSITARY RECEIPTS (ADRS) AND EUROPEAN DEPOSITARY RECEIPTS (EDRS)
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio may
purchase American Depository Receipts and European Depository Receipts of
foreign corporations represented in the Portfolio's Index.
Generally, ADRs, in registered form, are designed for use in the US securities
markets and EDRs are issued for trading primarily in European securities
markets. ADRs are receipts typically issued by a US bank or trust company
evidencing ownership of the underlying securities. ADRs represent the right to
receive securities of foreign issuers deposited in a domestic bank or a
correspondent bank. ADRs do not eliminate the risk inherent in investing in the
securities of foreign issuers. However, by investing in ADRs rather than
directly in a foreign issuer's stock, the Portfolio can avoid currency risks
during the settlement period for either purchases or sales. In general, there is
a large liquid market in the US for many ADRs. The information available for
ADRs is subject to the accounting, auditing and financial reporting standards of
the domestic market or exchange on which they are traded, which standards are
more uniform and more exacting than those to which many foreign issuers are
subject. For purposes of the Portfolio's investment policies, the Portfolio's
investments in ADRs, EDRs, and similar instruments will be deemed to be
investments in the equity securities representing securities of foreign issuers
to which they relate.
FOREIGN CURRENCY EXCHANGE CONTRACTS
The MSCI-Registered Trademark- EAFE-Registered Trademark- Index Portfolio may
invest in foreign currency exchange contracts. The Portfolio has the authority
to deal in forward foreign currency exchange contracts (including those
involving the US dollar). This is accomplished through individually negotiated
contractual agreements to purchase or to sell a specified currency at a
specified future date and price set at the time of the contract. The
Portfolio's dealings in forward foreign currency exchange contracts may be with
respect to a specific purchase or sale of a security or with respect to its
portfolio positions generally.
48
<PAGE>
ADDITIONAL INVESTMENTS AND RISKS FOR THE AGGREGATE BOND INDEX PORTFOLIO
ASSET-BACKED SECURITIES
The Aggregate Bond Index Portfolio may invest in asset-backed securities.
Asset-backed securities represent undivided fractional interests in pools of
instruments, such as consumer loans, and are similar in structure to
mortgage-related securities described below. Payments of principal and interest
are passed through to holders of the securities and are typically supported by
some form of credit enhancement, such as a letter of credit, surety bond,
limited guarantee by another entity or by priority to certain of the borrower's
other securities. The degree of credit enhancement varies, generally applying
only until exhausted and covering only a fraction of the security's par value.
If the credit enhancement of an asset-backed security held by the Portfolio has
been exhausted, and if any required payments of principal and interest are not
made with respect to the underlying loans, the Portfolio may experience loss or
delay in receiving payment and a decrease in the value of the security.
EURODOLLAR CERTIFICATES OF DEPOSIT (ECDS), EURODOLLAR TIME DEPOSITS (ETDS) AND
YANKEE CERTIFICATES OF DEPOSIT (YCDS)
The Aggregate Bond Index Portfolio may invest in ECDs, ETDs and YCDs. ECDs are
US dollar denominated certificates of deposit issued by foreign branches of
domestic banks. ETDs are US dollar denominated deposits in foreign branches of
US banks and foreign banks. YCDs are US dollar denominated certificates of
deposit issued by US branches of foreign banks.
Different risks than those associated with the obligations of domestic banks may
exist for ECDs, ETDs and YCDs because the banks issuing these instruments, or
their domestic or foreign branches, are not necessarily subject to the same
regulatory requirements that apply to domestic banks, such as loan limitations,
examinations and reserve, accounting, auditing, recordkeeping and public
reporting requirements.
FORWARD COMMITMENTS
The Aggregate Bond Index Portfolio may contract to purchase securities for a
fixed price at a future date beyond customary settlement time. When effecting
such transactions, cash or marketable securities held by a Portfolio of a dollar
amount sufficient to make payment for the portfolio securities to be purchased
will be segregated on a Portfolio's records at the trade date and maintained
until the transaction is settled. The failure of the other party to complete the
transaction may cause the Portfolio to miss an advantageous price or yield.
Forward commitments involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date, or if the other party fails to
complete the transaction.
49
<PAGE>
INTEREST RATE SWAPS
The Aggregate Bond Index Portfolio may enter into interest rate swap
transactions with respect to any security it is entitled to hold. Interest rate
swaps involve the exchange by the Portfolio with another party of their
respective rights to receive interest, E.G., an exchange of floating rate
payments for fixed rate payments. The Portfolio expects to enter into these
transactions primarily to preserve a return or spread on a particular investment
or portion of its portfolio or to protect against any increase in the price of
securities it anticipates purchasing at a later date. The Portfolio intends to
use these transactions as a hedge and not as a speculative investment.
INVESTMENT-GRADE BONDS
The Aggregate Bond Index Portfolio may invest in corporate notes and bonds which
are rated investment-grade by a Nationally Recognized Statistical Rating
Organization ("NRSRO") or, if unrated, are determined by the Adviser to be of
comparable quality. Investment-grade securities include securities rated Baa by
Moody's or BBB- by S&P (and securities of comparable quality), which securities
have speculative characteristics.
MORTGAGE-RELATED SECURITIES
The Aggregate Bond Index Portfolio may invest in mortgage-related securities,
including Government National Mortgage Association ("GNMA") Certificates
("Ginnie Maes"), Federal Home Loan Mortgage Corporation ("FHLMC") Mortgage
Participation Certificates ("Freddie Macs") and Federal National Mortgage
Association ("FNMA") Guaranteed Mortgage Certificates ("Fannie Maes") and
commercial mortgage backed securities which are in the Index. Mortgage
certificates are mortgage-backed securities representing undivided fractional
interests in pools of mortgage-backed loans. These loans are made by mortgage
bankers, commercial banks, savings and loan associations and other lenders.
Ginnie Maes are guaranteed by the full faith and credit of the US Government,
but Freddie Macs and Fannie Maes are not.
MORTGAGE-BACKED SECURITY ROLLS
The Aggregate Bond Index Portfolio may enter into "forward roll" transactions
with respect to mortgage-backed securities issued by GNMA, FNMA or FHLMC. In a
forward roll transaction, the Portfolio will sell a mortgage security to a
dealer or other permitted entity and simultaneously agree to repurchase a
similar security from the institution at a later date at an agreed upon price.
The mortgage securities that are repurchased will bear the same interest rate as
those sold, but generally will be collateralized by different pools of mortgages
with different prepayment histories than those sold. There are two primary risks
associated with the roll market for mortgage-backed securities. First, the value
and safety of the roll depends entirely upon the counterparty's ability to
redeliver the security at the termination of the roll. Therefore,
50
<PAGE>
the counterparty to a roll must meet the same credit criteria as the Portfolio's
repurchase agreement counterparties. Second, the security which is redelivered
at the end of the roll period must be substantially the same as the initial
security, i.e., it must have the same coupon, be issued by the same agency and
be of the same type, have the same original stated term to maturity, be priced
to result in similar market yields and must be "good delivery." Within these
parameters, however, the actual pools that are redelivered could be less
desirable than those originally rolled, especially with respect to prepayment
characteristics.
SECTION 4(2) COMMERCIAL PAPER
The Aggregate Bond Index Portfolio may also invest in commercial paper issued in
reliance on the so-called private placement exemption from registration afforded
by Section 4(2) of the Securities Act of 1933 ("Section 4(2) paper"). Section
4(2) paper is restricted as to disposition under the federal securities laws and
generally is sold to institutional investors that agree that they are purchasing
the paper for investment and not with a view to public distribution. Any resale
by the purchaser must be in an exempt transaction. Section 4(2) paper normally
is resold to other institutional investors like the Portfolio through or with
the assistance of the issuer or investment dealers that make a market in Section
4(2) paper. Section 4(2) paper will not be subject to the Portfolio's percentage
limitations on illiquid securities where the Adviser (pursuant to guidelines
adopted by the Board) determines that a liquid trading market exists.
VARIABLE AND FLOATING RATE SECURITIES
The Aggregate Bond Index Portfolio may invest in variable and floating rate
securities. A variable rate security provides for the automatic establishment of
a new interest rate on set dates. Interest rates on these securities are
ordinarily tied to, and are a percentage of, a widely recognized interest rate,
such as the yield on 90-day US Treasury bills or the prime rate of a specified
bank. These rates may change as often as twice daily. Generally, changes in
interest rates will have a smaller effect on the market value of variable and
floating rate securities than on the market value of comparable fixed income
obligations. Thus, investing in variable and floating rate securities generally
allows less opportunity for capital appreciation and depreciation than investing
in comparable fixed income securities.
ZERO COUPON SECURITIES
The Aggregate Bond Index Portfolio may invest in zero coupon securities. Zero
coupon securities are notes, bonds and debentures that: (1) do not pay current
interest and are issued at a substantial discount from par value; (2) have been
stripped of their unmatured interest coupons and receipts; or (3) pay no
interest until a stated date one or more years into the future. These securities
also include certificates representing interests in such stripped coupons and
receipts. Generally, changes in interest rates will have a greater impact on the
market value of a zero coupon security than on the market value of
51
<PAGE>
comparable securities that pay interest periodically during the life of the
instrument.
INVESTMENT RESTRICTIONS
The Trust has adopted the following restrictions applicable to all of the
Portfolios, which may not be changed without the affirmative vote of a "majority
of the outstanding voting securities" of a Portfolio, which is defined in the
Investment Company Act of 1940, as amended (the "1940 Act"), to mean the
affirmative vote of the lesser of (1) more than 50% of the outstanding interests
of the Portfolio and (2) 67% or more of the interests present at a meeting if
more than 50% of the outstanding interests are present at the meeting in person
or by proxy.
A Portfolio may not:
(1) Borrow more than 33 1/3% of the value of its total assets less all
liabilities and indebtedness (other than such borrowings).
(2) Underwrite securities issued by other persons except to the extent
that, in connection with the disposition of its portfolio investments, it may be
deemed to be an underwriter under certain federal securities laws.
(3) Purchase or sell real estate, although it may purchase securities of
issuers which deal in real estate, securities which are secured by interests in
real estate, and securities which represent interests in real estate, and it may
acquire and dispose of real estate or interests in real estate acquired through
the exercise of its rights as a holder of debt obligations secured by real
estate or interests therein.
(4) Purchase or sell commodities or commodity contracts, except that it may
purchase and sell financial futures contracts and options and may enter into
foreign exchange contracts and other financial transactions not involving the
direct purchase or sale of physical commodities.
(5) Make loans, except by purchase of debt obligations in which the
Portfolio may invest consistent with its investment policies, by entering into
repurchase agreements, or by lending its portfolio securities.
(6) With respect to 75% of its total assets, invest in the securities of
any issuer if, immediately after such investment, more than 5% of the total
assets of the Portfolio (taken at current value) would be invested in the
securities of such issuer; provided that this limitation does not apply to
obligations issued or guaranteed as to interest or principal by the U.S.
government or its agencies or instrumentalities.
(7) With respect to 75% of its total assets, acquire more than 10% of the
outstanding voting securities of any issuer.
52
<PAGE>
(8) Purchase securities (other than securities of the U.S. government, its
agencies or instrumentalities) if, as a result of such purchase, more than 25%
of the Portfolio's total assets would be invested in any one industry.
(9) Issue any class of securities which is senior to the Portfolio's
beneficial interests, to the extent prohibited by the Investment Company Act of
1940, as amended.
In addition, it is contrary to each Portfolio's present policy, which may be
changed without interestholder approval, to invest in (a) securities which are
not readily marketable, (b) securities restricted as to resale (excluding
securities determined by the Trustees of the Trust (or the person designated by
the Trustees of the Trust to make such determinations) to be readily
marketable), and (c) repurchase agreements maturing in more than seven days, if,
as a result, more than 15% of the Portfolio's net assets (taken at current
value) would be invested in securities described in (a), (b) and (c) above.
All percentage limitations on investments will apply at the time of the making
of an investment and shall not be considered violated unless an excess or
deficiency occurs or exists immediately after and as a result of such
investment. Except for the investment restrictions listed above as fundamental
or to the extent designated as such in the Prospectus with respect to a
Portfolio, the other investment policies described in this Statement or in the
Prospectus are not fundamental and may be changed by approval of the Trustees.
ITEM 13. MANAGEMENT OF THE PORTFOLIO
The Trustees are responsible for generally overseeing the Trust's business. The
following table provides biographical information with respect to each Trustee
and officer of the Trust. Each Trustee who is an "interested person" of the
Trust, as defined in the 1940 Act, is indicated by an asterisk.
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
William L. Boyan Trustee, 9/99 - present; Director of John
Age 61 Hancock Mutual Life Insurance Company,
John Hancock Mutual Life Insurance 1983 -1998; President and Chief
Company Operations Officer of John Hancock
200 Clarendon St. Mutual Life Insurance Company, 1992 -
Boston, Massachusetts 02117 1998.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Michael F. Holland Trustee, 9/99 - present; Director and
Age 54 President Holland & Company LLC,
375 Park Ave. Chairman, 6/95 - present; The Blackstone
New York, New York 10152 Group, general partner, 1/94 - 5/95;
Oppenheimer & Company Inc., Vice
Chairman, 3/92 - 1/94; Salomon Brothers
Asset Management Inc., Chairman and
- --------------------------------------------------------------------------------
</TABLE>
53
<PAGE>
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
Chief Executive Officer, 5/89 - 3/92;
Salomon Brothers Inc., Managing Director
5/89 - 3/92.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Rina K. Spence Trustee, 7/99 - present; Founder, President
Age 50 and CEO Spence Center for Women's
7 Acacia Street Health, 1994 - 1998; President and CEO
Cambridge, MA 02138 Emerson Hospital and Emerson Health
Systems, Inc., 1984 - 1994.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Douglas T. Williams Trustee, 10/99 - present; Executive/Senior
Age 59 Vice President of Chase Manhattan Bank,
P.O. Box 779 1987 - 1999; Vice President of Chase
Nantucket, MA 02554 Manhattan Bank, 1986 - 1987.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
James Little President and Treasurer, 9/99 - present;
Age 64 CFO, John Hancock Funds, 1986-1999.
695 Adams Street
Dorchester, MA 02212-1905
- -------------------------------------------------------------------------------
</TABLE>
The By-Laws of the Trust provide that the Trust shall indemnify each person who
is or was a Trustee of the Trust against all expenses, judgements, fines
settlements and other amounts actually and reasonable incurred in connection
with any proceeding if the person in good faith and reasonably believes that his
or her conduct was in the Trust's best interest. The Trust, at its expense,
provides liability insurance for the benefit of its Trustees and officers.
Each Trustee receives for his or her services a $20,000 retainer in addition to
$2,500 for each in-person meeting and $500 for each telephonic meeting. The
Trustees periodically review their fees to assure that such fees continue to be
appropriate in light of their responsibilities as well as in relation to fees
paid to trustees of other mutual funds.
The following table sets forth the total (estimated) remuneration of Trustees
and officers of the Trust for the fiscal year ended December 31, 2000 based on
an estimated four in-person meetings:
<TABLE>
<CAPTION>
- ----------------------- --------------------- -------------------- --------------------- --------------------
NAME/POSITION AGGREGATE PENSION OR ESTIMATED ANNUAL TOTAL COMPENSATION
COMPENSATION FROM RETIREMENT BENEFITS UPON FROM TRUST & TRUST
TRUST BENEFITS ACCRUED RETIREMENT COMPLEX PAID TO
AS PART OF TRUST TRUSTEES
EXPENSES
- ----------------------- --------------------- -------------------- --------------------- --------------------
<S> <C> <C> <C> <C>
William L. Boyan, $30,000 $0 $0 $0
Trustee
- ----------------------- --------------------- -------------------- --------------------- --------------------
Michael F. $30,000 $0 $0 $0
</TABLE>
54
<PAGE>
<TABLE>
- ----------------------- --------------------- -------------------- --------------------- --------------------
Holland
Trustee
- ----------------------- --------------------- -------------------- --------------------- --------------------
<S> <C> <C> <C> <C>
Rina K. Spence, $30,000 $0 $0 $0
Trustee
- ----------------------- --------------------- -------------------- --------------------- --------------------
Douglas T. Williams, $30,000 $0 $0 $0
Trustee
- ----------------------- --------------------- -------------------- --------------------- --------------------
</TABLE>
ITEM 14. CONTROL PERSONS AND PRINCIPAL HOLDERS OF SECURITIES
As of March 2, 2000, the following person held 5 percent or more of the
outstanding interests of the State Street Equity 500 Index Portfolio: American
AAdvantage S&P 500 Index Fund -- 99.23%.
ITEM 15. INVESTMENT ADVISORY AND OTHER SERVICES
Under the terms of the Investment Advisory Agreement with the Adviser (the
"Advisory Agreement"), the Adviser manages each Portfolio subject to the
supervision and direction of the Board of Trustees of the Trust.
State Street is a wholly owned subsidiary of State Street Corporation, a
publicly held bank holding company.
State Street may have deposit, loan and other commercial banking relationships
with the issuers of obligations that may be purchased on behalf of one or more
Portfolio of the Trust, including outstanding loans to such issuers, which could
be repaid in whole or in part with the proceeds of securities so purchased. Such
affiliates deal, trade and invest for their own accounts in such obligations and
are among the leading dealers of various types of such obligations. The Adviser
has informed the Trust that, in making its investment decisions, it does not
obtain or use material inside information in its possession or in the possession
of any of its affiliates. In making investment recommendations for any
Portfolio, the Adviser will not inquire or take into consideration whether an
issuer of securities proposed for purchase or sale by the Portfolio is a
customer of State Street, its parent or its subsidiaries or affiliates and, in
dealing with its customers, the Adviser, its parent, subsidiaries and affiliates
will not inquire or take into consideration whether securities of such customers
are held by any Portfolio managed by the Adviser or any such affiliate.
In certain instances there may be securities that are suitable for a Portfolio
of the Trust as well as for one or more of State Street's other clients.
Investment decisions for the Trust and for State Street's other clients are made
with a view to achieving their respective investment objectives. It may develop
that a particular security is bought or sold for only one client even though it
might be held by, or bought or sold for, other clients. Likewise, a particular
security may be bought for one or more clients when one or
55
<PAGE>
more clients are selling that same security. Some simultaneous transactions are
inevitable when several clients receive investment advice from the same
investment adviser, particularly when the same security is suitable for the
investment objectives of more than one client. When two or more clients are
simultaneously engaged in the purchase or sale of the same security, the
securities are allocated among clients in a manner believed to be equitable to
each. It is recognized that in some cases this system could have a detrimental
effect on the price or volume of the security as far as the Portfolio is
concerned. However, it is believed that the ability of each Portfolio to
participate in volume transactions will produce better executions for the
Portfolio.
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
Under the Administrative Services Agreement (the "Administration Agreement"),
State Street is obligated on a continuous basis to provide such administrative
services as the Board of Trustees of the Trust reasonably deems necessary for
the proper administration of the Trust and the Portfolio. State Street will
generally assist in all aspects of the Trust's and the Portfolios' operations;
supply and maintain office facilities (which may be in State Street's own
offices); provide statistical and research data, data processing services,
clerical, accounting, bookkeeping and record keeping services (including without
limitation the maintenance of such books and records as are required under the
1940 Act and the rules thereunder, except as maintained by other agents),
internal auditing, executive and administrative services, and stationery and
office supplies; prepare reports to interestholders or investors; prepare and
file tax returns; supply financial information and supporting data for reports
to and filings with the SEC and various state Blue Sky authorities; supply
supporting documentation for meetings of the Board of Trustees; provide
monitoring reports and assistance regarding compliance with Declarations of
Trust, by-laws, investment objectives and policies and with Federal and state
securities laws; arrange for appropriate insurance coverage; calculate NAVs, net
income and realized capital gains or losses; and negotiate arrangements with,
and supervise and coordinate the activities of, agents and others to supply
services. Pursuant to the Administration Agreement, the Trust has agreed to
indemnify the Administrator for certain liabilities, including certain
liabilities arising under federal securities laws, unless such loss or liability
results from the Administrator's gross negligence or willful misconduct in the
performance of its duties.
State Street serves as Custodian for the Portfolio pursuant to the Custody
Agreement. As Custodian, it holds the Portfolio's assets. State Street also
serves as transfer agent of the Portfolios pursuant to the Transfer Agency
Agreement.
ADVISORY FEE
Under the Advisory Agreement, the Administration Agreement, the Custody
Agreement and the Transfer Agency Agreement, State Street is paid an advisory
fee as compensation for its services as Adviser, Administrator, Custodian and
Transfer Agent, and the assumption of certain expenses. See Item 6 in Part A for
a description of
56
<PAGE>
the advisory fee.
COUNSEL AND INDEPENDENT ACCOUNTS
Ropes & Gray, One International Place, Boston, Massachusetts 02110, serves as
counsel to the Trust. Ernst & Young LLP are the independent accountants for the
Portfolios, providing audit services, tax return preparation, and assistance and
consultation with respect to the preparation of filings with the Securities and
Exchange Commission. The principal business address of Ernst & Young LLP is 200
Clarendon St., Boston, Massachusetts 02116.
ITEM 16. BROKERAGE ALLOCATION AND OTHER PRACTICES
The policy of the Trust regarding purchases and sales of securities for the
Portfolios is that primary consideration will be given to obtaining the most
favorable prices and efficient executions of transactions. Consistent with this
policy, when securities transactions are effected on a stock exchange, the
Trust's policy is to pay commissions which are considered fair and reasonable
without necessarily determining that the lowest possible commissions are paid in
all circumstances. The Trust believes that a requirement always to seek the
lowest possible commission cost could impede effective portfolio management and
preclude the Portfolio and the Adviser from obtaining a high quality of
brokerage and research services.
In seeking to determine the reasonableness of brokerage commissions paid in any
transaction, the Adviser relies upon its experience and knowledge regarding
commissions generally charged by various brokers and on its judgment in
evaluating the brokerage and research services received from the broker
effecting the transaction. Such determinations are necessarily subjective and
imprecise, as in most cases an exact dollar value for those services is not
ascertainable. In seeking to implement the Trust's policies, the Adviser effects
transactions with those brokers and dealers who the Adviser believes provides
the most favorable prices and are capable of providing efficient executions. If
the Adviser believes such price and execution are obtainable from more than one
broker or dealer, it may give consideration to placing portfolio transactions
with those brokers and dealers who also furnish research and other services to
the Portfolios or the Adviser. Such services may include, but are not limited
to, information as to the availability of securities for purchase or sale and
statistical information pertaining to corporate actions affecting stocks,
including but not limited to, stocks within the index whose performance the
Portfolio in question seeks to replicate. The fee paid by the Portfolios is not
reduced because the Adviser and its affiliates receive these services even
though the Adviser might otherwise have been required to purchase some of these
services for cash.
The Adviser assumes general supervision over placing orders on behalf of the
Trust for the purchase or sale of portfolio securities. If purchases or sales of
portfolio securities of the Trust and one or more other investment companies or
clients supervised by the Adviser are considered at or about the same time,
transactions in such securities are
57
<PAGE>
allocated among the several investment companies and clients in a manner deemed
equitable to all by the Adviser. In some cases, this procedure could have a
detrimental effect on the price or volume of the security so far as the Trust is
concerned. However, in other cases, it is possible that the ability to
participate in volume transactions and to negotiate lower brokerage commissions
will be beneficial to the Trust. The primary consideration is prompt execution
of orders at the most favorable net price.
ITEM 17. CAPITAL STOCK AND OTHER SECURITIES
Under the Declaration of Trust, the Trustees are authorized to issue an
unlimited number of beneficial interests in each Portfolio. Upon liquidation or
dissolution of a Portfolio, investors are entitled to share pro rata in the
Portfolio's net assets available for distribution to its investors. Investments
in a Portfolio have no preference, preemptive, conversion or similar rights and
are fully paid and nonassessable, except as set forth below. Investments in a
Portfolio may not be transferred.
Each investor is entitled to a vote in proportion to the amount of its
investment in the Portfolio. Investors do not have cumulative voting rights, and
investors holding more than 50% of the aggregate beneficial interest in the
Trust may elect all of the Trustees if they choose to do so. The Trust is not
required and has no current intention to hold annual meetings of investors but
the Trust will hold special meetings of investors when in the judgment of the
Trustees it is necessary or desirable to submit matters for an investor vote.
Under Massachusetts law, interestholders in a Massachusetts trust could, under
certain circumstances, be held personally liable for the obligations of the
trust. However, the Declaration of Trust disclaims interestholder liability for
acts or obligations of the Trust and provides for indemnification out of the
Trust's or Portfolio's property for any claim or liability to which the
interestholder may become subject by reason of being or having been an
interestholder and for reimbursement of the interestholder for all legal and
other expenses reasonably incurred by the interestholder in connection with any
such claim or liability. Thus the risk of an interestholder's incurring
financial loss on account of interestholder liability is limited to
circumstances in which the Trust would be unable to meet its obligations.
ITEM 18. PURCHASE, REDEMPTION AND PRICING OF BENEFICIAL INTERESTS
Beneficial interests of the Portfolio are issued solely in private placement
transactions that do not involve any "public offering" within the meaning of
Section 4(2) of the 1933 Act. See "Purchase of Securities Being Offered" and
"Redemption or Repurchase" in Part A.
Each Portfolio determines the net asset value per interest in the Portfolio on
each day on which the NYSE is open for trading ("Portfolio Business Day"). This
determination is
58
<PAGE>
made each Portfolio Business Day at the close of regular trading on the NYSE
(the "Valuation Time") by dividing the value of the Portfolio's net assets
(I.E., the value of its securities and other assets less its liabilities,
including expenses payable or accrued) by the number of interests outstanding at
the time the determination is made. (As of the date of this Part B, the NYSE is
open for trading every weekday except for: (a) the following holidays: New
Year's Day, Martin Luther King, Jr.'s Birthday, Presidents' Day, Good Friday,
Memorial Day, Independence Day, Labor Day, Thanksgiving Day and Christmas; and
(b) the preceding Friday or the subsequent Monday when one of the
calendar-determined holidays falls on a Saturday or Sunday, respectively).
Purchases and withdrawals will be effected at the time of determination of net
asset value next following the receipt of any purchase or withdrawal order.
Equity and debt securities (other than short-term debt obligations maturing in
60 days or less), including listed securities and securities for which price
quotations are available, will normally be valued on the basis of market value.
This generally means that equity securities and fixed income securities listed
and traded principally on any national securities exchange, including securities
traded on the NASDAQ NMS System, are valued on the basis of the last sale price
or, lacking any sales, at the closing bid price, on the primary exchange on
which the security is traded. U.S. equity and fixed-income securities traded
principally over-the-counter and options are valued on the basis of the last
reported bid price prior to the Valuation Time. Futures contracts are valued on
the basis of the last reported sale price prior to the Valuation Time.
Short-term debt obligations and money market securities maturing in 60 days or
less are valued at amortized cost, which approximates market. Other assets are
valued at fair value using methods determined in good faith by the Board of
Trustees.
ITEM 19. TAXATION OF THE PORTFOLIO
The Trust is organized as a trust under Massachusetts Law. It is intended that
each Portfolio operate and be treated as a partnership for federal income tax
purposes and not as a "publicly traded partnership". As a result, a Portfolio
should not be subject to federal income tax; instead, each investor in a
Portfolio is required to take into account in determining its federal income
tax liability its allocable share of the Portfolio's income, gains, losses,
deductions, credits and tax preference items, without regard to whether it has
received any cash or property distributions from the Portfolio. The
determination of such share will be made in accordance with the Internal
Revenue Code of 1986, as amended (the "Code"), and the regulations promulgated
thereunder. Although the partnership is not subject to federal income tax, the
Trust will file the appropriate income tax returns.
It is intended that each Portfolio's assets, and the income generated therefrom,
will be managed in such a way that an investor in the Portfolio desiring to
qualify as a regulated investment company ("RIC") will satisfy the requirements
of Subchapter M of the Code, assuming that the investor invests all of its
assets in the Portfolio.
59
<PAGE>
An investor's adjusted tax basis in a Portfolio will generally be the aggregate
price paid therefor, increased by the amounts of its distributive shares of
items of realized net income and gain, and reduced, but not below zero, by the
amounts of its distributive shares of items of net loss and the amounts of any
distributions received by the investor. To the extent the cash proceeds of any
withdrawal or distribution exceed an investor's adjusted tax basis in the
Portfolio, the investor will generally realize gain for federal income tax
purposes. If, upon complete withdrawal, (i.e., redemption of entire interest in
the Portfolio) the investor's adjusted tax basis in its interest in the
Portfolio exceeds the proceeds of the withdrawal, the investor will generally
realize a loss for federal income tax purposes.
Taxation of Certain Financial Instruments. A Portfolio may enter into futures
contracts, options on futures contracts and options on securities indices. Such
contracts held by the Portfolio at the close of its taxable year will generally
be treated for federal income tax purposes as sold for their fair market value
on the last business day of such year, a process known as "marking-to-market".
Forty percent of any gain or loss resulting from this constructive sale will be
treated as short-term capital gain or loss and 60 percent of such gain or loss
will be treated as long-term capital gain or loss without regard to the period
the Portfolio actually held the instruments. The amount of any capital gain or
loss actually realized by the Portfolio in a subsequent sale or other
disposition of the instruments is adjusted to reflect any capital gain or loss
taken into account in a prior year as a result of the constructive sale of the
instruments. The hedging transactions undertaken by the Portfolio may result in
"straddles" for federal income tax purposes. The straddle rules may affect the
character of gains or losses realized by the Portfolio. In addition, losses
realized by a Portfolio on positions that are part of a straddle may be deferred
under the straddle rules, rather than being taken into account in calculating
the taxable income for the taxable year in which the losses are realized.
A Portfolio may make one or more of the elections available under the Code which
are applicable to straddles. If a Portfolio makes any of the elections, the
amount, character and timing of the recognition of gains and losses from the
affected straddle positions will be determined under the rules that vary
according to the election(s) made. The rules applicable under certain of the
elections may operate to accelerate the recognition of gains or losses from the
affected straddle positions. Because the straddle rules may affect the character
of gains or losses, defer losses and/or accelerate the recognition of gains or
losses from the affected straddle positions, the amount which may be reported to
investors and which will be taxable to them as ordinary income or long-term
capital gain, may be increased or decreased as compared to a Portfolio that did
not engage in such hedging transactions.
Foreign Income. Income received by a Portfolio from sources within foreign
countries may be subject to withholding and other foreign taxes. Tax conventions
between certain countries and the United States may reduce or eliminate such
taxes. It is impossible to determine the effective rate of foreign tax in
advance since the amount of a Portfolio's
60
<PAGE>
assets to be invested in various countries will vary. If a Portfolio is liable
for foreign taxes, and if more than 50% of the value of the Portfolio's total
assets at the close of its taxable year consists of stocks or securities of
foreign corporations, an investor in the Portfolio that is a RIC may make an
election pursuant to which certain foreign taxes paid by it would be treated as
having been paid directly by its shareholders. Pursuant to such election, the
RIC's share of the amount of foreign taxes paid by the Portfolio will be
included in the income of the RIC's shareholders, and such shareholders (except
tax-exempt shareholders) may, subject to certain limitations, claim either a
credit or deduction for the taxes. Each RIC investor will be notified after the
close of the Portfolio's taxable year whether the foreign taxes paid will "pass
through" for that year and, if so, such notification will designate (a) the RIC
investor's portion of the foreign taxes paid to each such country and (b) the
portion which represents income derived from sources within each such country.
The amount of foreign taxes for which an investor may claim a credit in any year
will generally be subject to a separate limitation for "passive income," which
includes, among other items of income, dividends, interest and certain foreign
currency gains. Because capital gains realized by a Portfolio on the sale of
foreign securities will be treated as U.S.-source income, the available credit
of foreign taxes paid with respect to such gains may be restricted by this
limitation.
The foregoing discussion summarizes some of the consequences under the current
federal tax law of an investment in the Portfolios. It is not a substitute for
personal tax advice. Consult your personal tax adviser about the potential tax
consequences of an investment in the Portfolio including in-kind transactions
under all applicable tax laws.
Non-U.S. investors in the Portfolio should consult their tax advisers concerning
the tax consequences of ownership of an interest in the Portfolio, including the
possibility that distributions may be subject to a 30 percent United States
withholding tax (or a reduced rate of withholding provided by treaty).
ITEM 20. UNDERWRITERS
Investment companies, common and commingled trust funds and similar
organizations and entities may continuously invest in the Portfolio.
ITEM 21. CALCULATION OF PERFORMANCE DATA
Not applicable.
ITEM 22. FINANCIAL STATEMENTS
Not applicable.
61
<PAGE>
PART C
We have omitted responses to Items 23(e) and (i)-(k) pursuant to paragraph 2(b)
of General Instruction B to Form N-1A.
ITEM 23. EXHIBITS
(a) Second Amended and Restated Declaration of Trust is filed herewith.
(b) By-laws of the Trust filed as Exhibit (b) to Registrant's Registration
Statement on Form N-1A and is incorporated by reference herein.
(c) Not applicable.
(d) Form of Investment Advisory Contract filed as Exhibit (d) to Registrant's
Registration Statement on Form N-1A and is incorporated by reference
herein.
(f) Not applicable.
(g) Form of Custodian Agreement filed as Exhibit (g) to Registrant's
Registration Statement on Form N-1A and is incorporated by reference
herein.
(h)(1) Transfer Agent and Services Agreement is filed herewith.
(h)(2) Form of Administration Agreement filed as Exhibit (h)(2) to Registrant's
Registration Statement on Form N-1A and is incorporated by reference
herein.
(h)(3) Form of License Agreement to use S&P 500 Composite Stock Price Index
filed as Exhibit (h)(3) to Registrant's Registration Statement on Form
N-1A and is incorporated by reference herein.
(h)(4) Form of License Agreement to use S&P MidCap 400 Index filed as
Exhibit(h)(4) to Registrant's Registration Statement on Form N-1A and is
incorporated by reference herein.
(h)(5) Form of License Agreement to use Russell 2000 Index to be filed by
amendment.
(l) Not applicable.
62
<PAGE>
(m) Not applicable.
(n) Not applicable.
(Other) Powers of Attorney are filed herewith.
ITEM 24. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH THE PORTFOLIO
See Item 14 in Part B for information regarding ownership of the State Street
Equity 500 Index Portfolio.
ITEM 25. INDEMNIFICATION
Pursuant to Section 5.3 of the Registrant's Second Amended and Restated
Declaration of Trust and under Section 4.8 of the Registrant's By-Laws, the
Trust will indemnify any person who is, or has been, a Trustee, officer,
employee or agent of the Trust against all expenses reasonably incurred or paid
by him/her in connection with any claim, action, suit or proceeding in which
he/she becomes involved as a party or otherwise by virtue of his/her being or
having been a Trustee, officer, employee or agent and against amounts paid or
incurred by him/her in the settlement thereof, if he/she acted in good faith
and in a manner he/she reasonably believed to be in or not opposed to the best
interests of the Trust, and, with respect to any criminal action or proceeding,
had no reasonable cause to believe his/her conduct was unlawful. In addition,
indemnification is permitted only if it is determined that the actions in
question did not render him/her liable by reason of willful misfeasance, bad
faith or gross negligence in the performance of his/her duties or by reason of
reckless disregard of his/her obligations and duties to the Registrant. The
Registrant may also advance money for litigation expenses provided that
Trustees, officers, employees and/or agents give their undertakings to repay
the Registrant unless their conduct is later determined to permit
indemnification.
Pursuant to Section 5.2 of the Registrant's Second Amended and Restated
Declaration of Trust, no Trustee, officer, employee or agent of the Registrant
shall be liable for any action or failure to act, except in the case of willful
misfeasance, bad faith or gross negligence or reckless disregard of duties to
the Registrant. Pursuant to paragraph 9 of the Registrant's Investment Advisory
Agreement, the Adviser shall not be liable for any action or failure to act,
except in the case of willful misfeasance, bad faith or gross negligence or
reckless disregard of duties to the Registrant.
Insofar as indemnification for liability arising under the Securities Act of
1933 may be permitted to Trustees, officers and controlling persons of the
registrant pursuant to the provisions of Rule 484 under the Act, or otherwise,
the registrant has been advised that in the opinion of the Securities and
Exchange Commission such indemnification is against public policy as expressed
in the Act and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
63
<PAGE>
registrant of expenses incurred or paid by a Trustee, officer or controlling
person of the registrant in the successful defense of any action, suit or
proceeding) is asserted by such Trustee, officer or controlling person in
connection with the securities being registered, the registrant will, unless in
the opinion of its counsel the matter has been settled by controlling precedent,
submit to a court of appropriate jurisdiction the question whether such
indemnification by it is against public policy as expressed in the Act and will
be governed by the final adjudication of such issue.
The Registrant maintains insurance on behalf of any person who is or was a
Trustee, officer, employee or agent of Registrant, or who is or was serving at
the request of Registrant as a trustee, director, officer, employee or agent of
another trust or corporation, against any liability asserted against him/her and
incurred by him/her or arising out of his/her position. However, in no event
will Registrant maintain insurance to indemnify any such person for any act for
which Registrant itself is not permitted to indemnify him/her.
ITEM 26. BUSINESS AND OTHER CONNECTIONS OF THE INVESTMENT ADVISER
See "Management" in Part B. Information as to the directors and officers of the
Adviser is included in its Form ADV filed with the SEC and is incorporated
herein by reference thereto.
ITEM 27. PRINCIPAL UNDERWRITERS
Not applicable.
ITEM 28. LOCATION OF ACCOUNTS AND RECORDS
The accounts and records of the Registrant are located, in whole or in part, at
the office of the Registrant and the following locations:
STATE STREET MASTER FUNDS PO Box 1713
("Registrant") Boston, MA 02105-1713
STATE STREET BANK AND TRUST COMPANY ("Adviser") Two International Place
Boston, MA 02110
STATE STREET BANK AND TRUST COMPANY
("Custodian, Administrator, PO Box 1713
Transfer Agent and Dividend Disbursing Boston, MA 02105-1713
Agent")
64
<PAGE>
ITEM 29. MANAGEMENT SERVICES
Not applicable.
ITEM 30. UNDERTAKINGS
Not applicable.
65
<PAGE>
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, the
Registrant, State Street Master Funds, has duly caused this Registration
Statement to be signed on its behalf by the undersigned, thereto duly
authorized, in the City of Boston and Commonwealth of Massachusetts on the 1st
day of March, 2000.
STATE STREET MASTER FUNDS
By: /s/James B. Little
- ---------------------------------------
James B. Little**
President (Principal Executive Officer)
and Treasurer (Principal Accounting Officer)
**By Jennifer S. Fromm pursuant to Power of Attorney filed herewith.
66
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT LIST
- -------------------- ----------------------------------------------------------------------------------------
EXHIBIT NO. DESCRIPTION
- -------------------- ----------------------------------------------------------------------------------------
<S> <C>
(a) Second Amended and Restated Declaration of Trust
- -------------------- ----------------------------------------------------------------------------------------
(h)(1) Transfer Agency and Service Agreement
- -------------------- ----------------------------------------------------------------------------------------
(Other) Powers of Attorney
- -------------------- ----------------------------------------------------------------------------------------
</TABLE>
67
<PAGE>
SECOND AMENDED AND RESTATED
DECLARATION OF TRUST OF
STATE STREET MASTER FUNDS
THE DECLARATION OF TRUST of State Street Master Funds made the 28th of
February, 2000, by the signatories hereto, as trustees (such persons, so long as
they shall continue in office in accordance with the terms of this Declaration
of Trust, being hereinafter called the "TRUSTEES")
WITNESSETH:
WHEREAS, it is the intention that the Trust constitute a trust fund
under the laws of The Commonwealth of Massachusetts for the investment and
reinvestment of funds contributed thereto; and
WHEREAS, it is proposed that the trust assets be composed of money and
property contributed thereto by the holders of beneficial interests in the Trust
entitled to ownership rights in the Trust;
NOW, THEREFORE, the Trustees hereby declare that they will hold in
trust, all money and property contributed to the trust fund to manage and
dispose of the same for the benefit of the holders of beneficial interests in
the Trust and subject to the provisions hereof, to wit:
ARTICLE I
NAME AND DEFINITIONS
SECTION I.1 NAME. The name of the trust created hereby is State Street
Master Funds and so far as may be practicable the Trustees shall conduct the
Trust's activities, execute all documents and sue or be sued under that name,
which name (and the word "TRUST" wherever herein used) shall refer to the
Trustees as Trustees, and not as individuals, or personally, and shall not refer
to the officers, agents, employees or holders of beneficial interests in the
Trust. Should the Trustees determine that the use of such name is not advisable,
they may use such other name for the Trust as they deem proper and the Trust may
hold its property and conduct its activities under such other name.
SECTION I.2 DEFINITIONS. Wherever they are used herein, the following
terms have the following respective meanings:
(a) "BOOK CAPITAL ACCOUNT" means for any Holder at any time the
Book Capital Account of the Holder for such day is determined
in accordance with Section VIII.1 hereof.
(b) "BYLAWS" means the Bylaws referred to in Section III.10
hereof, as from time to time amended.
1
<PAGE>
(c) "CODE" means the United States Internal Revenue Code of 1986,
as amended from time to time.
(d) The terms "COMMISSION," "AFFILIATED PERSON" and "INTERESTED
PERSON" have the meanings given them in the 1940 Act.
(e) "DECLARATION" means this Declaration of Trust, as amended from
time to time. Reference in this Declaration of Trust to
"DECLARATION," "HEREOF," "HEREIN," and "HEREUNDER" shall be
deemed to refer to this Declaration rather than the article or
section in which such words appear.
(f) "FUNDAMENTAL POLICIES" shall mean the investment policies and
restrictions set forth in the Registration Statement and
designated as fundamental policies therein.
(g) "HOLDERS" shall mean as of any particular time all holders of
record of interests in the Trust or applicable Series.
(h) "INSTITUTIONAL INVESTOR(S)" shall mean any regulated
investment company, segregated asset account, foreign
investment company, common or commingled trust fund,
institutional client accounts, 401k plan assets, group trust,
collective investment trusts or similar organizations or
entities that are "Accredited Investors" within the meaning of
Regulation D of the 1933 Act.
(i) "INTEREST(S)" shall mean the beneficial interest of a Holder
in the Trust or applicable Series, including all rights,
powers and privileges accorded to Holders by this Declaration,
which interest may be expressed as a percentage, determined by
calculating, at such times and on such basis as the Trustees
shall from time to time determine, the ratio of each Holder's
Book Capital Account balance to the total of all Holders' Book
Capital Account balances. Reference herein to a specified
percentage of, or fraction of, Interests means Holders whose
combined Book Capital Account balances represent such
specified percentage or fraction of the combined Book Capital
Account balances of all, or a specified group of, Holders.
(j) "INVESTMENT ADVISER" means any party, other than the Trust, to
an investment advisory contract described in Section IV.1
hereof.
(k) "MAJORITY INTERESTS VOTE" means the vote of the Holders of a
majority of Interests which shall consist of: (i) a majority
of Interests voted on the matter at a meeting of Holders at
which a quorum, as determined in accordance with the Bylaws is
present; (ii) a majority of Interests voted when action is
taken by written consent of the Holders; and (iii) when any
action is required by the 1940 Act: (A) 67% or more of the
Interests present or represented by proxy at a meeting of
Holders, or (B) more than 50% of all Interests, whichever is
less;
(l) "MANAGER" means any party, other than the Trust, to a
management contract described in Section IV.1 hereof.
2
<PAGE>
(m) "1940 ACT" means the Investment Company Act of 1940 and the
rules and regulations thereunder, as amended from time to
time.
(n) "PERSON" means and includes individuals, corporations,
partnerships, trusts, associations, joint ventures and other
entities, whether or not legal entities, and governments and
agencies and political subdivisions thereof.
(o) "REDEMPTION" shall mean the complete withdrawal of an Interest
of a Holder, the result of which is to reduce the Book Capital
Account Balance of that Holder to zero, and the term "redeem"
shall mean to effect a Redemption.
(p) "REGISTRATION STATEMENT" means the Trust's Registration
Statement under the 1940 Act as such Registration Statement
may be amended or supplemented from time to time.
(q) "SERIES" means one of the separately managed components of the
Trust (or, if the Trust shall have only one such component,
then that one) as set forth in Section VI.1 hereof or as may
be established and designated from time to time by the
Trustees pursuant to that section.
(r) "TRANSFER AGENT" means the party, other than the Trust, to the
contract described in Section IV.4 hereof.
(s) "TRUST" means the State Street Master Funds, including any
series thereof.
(t) "TRUST PROPERTY" means any and all property real or personal,
tangible or intangible, which is owned or held by or for the
account of the Trust or the Trustees.
(u) "TRUSTEES" means the persons who have signed the Declaration,
so long as they shall continue in office in accordance with
the terms hereof, and all other persons who may from time to
time be duly elected or appointed, qualified and serving as
Trustees in accordance with the provisions hereof, and
reference herein to a Trustee or the Trustees shall refer to
such person or persons in their capacity as trustees
hereunder.
ARTICLE II
TRUSTEES
SECTION II.1 NUMBER OF TRUSTEES. The Trustees serving as such, whether
named above or hereafter becoming Trustees, may increase or decrease the number
of Trustees to a number other than the number theretofore determined, so long as
the number shall never be less than two (2); provided, however, that the number
of Trustees may be one (1) until such time as the initial Trustee shall elect
additional Trustees.
3
<PAGE>
SECTION II.2 ELECTION AND TERM. Trustees may become such by election by
Interestholders or by the Trustees then in office pursuant to Section II.4
hereof. The Trustees shall have the power to set and alter the terms of office
of the Trustees, and they may at any time lengthen or lessen their own terms or
make their terms of unlimited duration, subject to the resignation and removal
provisions of Section II.3 hereof. The Trustees may adopt Bylaws that divide the
Trustees into classes and proscribe the tenure of office of the several classes.
The Trustees may elect their own successors and may, pursuant to Section II.4
hereof, appoint Trustees to fill vacancies. The Trustees shall adopt Bylaws not
inconsistent with this Declaration or any provision of law to provide for
election of Trustees by Holders at such time or times as the Trustees shall
determine to be necessary or advisable.
SECTION II.3 RESIGNATION AND REMOVAL. Any Trustee may resign his or her
trust (without need for prior or subsequent accounting) by an instrument in
writing signed by him and delivered to the other Trustees and such resignation
shall be effective upon such delivery, or at a later date according to the terms
of the instrument. Any of the Trustees may be removed (provided the aggregate
number of Trustees after such removal shall not be less than one) by the action
of two-thirds of the remaining Trustees or by the action of the Holders by not
less than two-thirds of the Interests (for purposes of determining the
circumstances and procedures under which such removal by the Holders may take
place, the provisions of Section 16(c) of the 1940 Act shall be applicable to
the same extent as if the Trust were subject to the provisions of that Section).
Upon the resignation or removal of a Trustee, or his or her otherwise ceasing to
be a Trustee, he or she shall execute and deliver such documents as the
remaining Trustees shall require for the purpose of conveying to the Trust or
the remaining Trustees any Trust Property held in the name of the resigning or
removed Trustee. Upon the incapacity or death of any Trustee, his or her legal
representative shall execute and deliver on his or her behalf such documents as
the remaining Trustees shall require as provided in the preceding sentence. The
provisions of this Section II.3 may not be amended except by a vote of the
Holders of not less than two-thirds of the Interests.
SECTION II.4 VACANCIES. The term of office of a Trustee shall terminate
and a vacancy shall occur in the event of the death, resignation, removal,
bankruptcy, adjudicated incompetence or other incapacity to perform the duties
of the office of a Trustee. No such vacancy shall operate to annul the
Declaration or to revoke any existing agency created pursuant to the terms of
the Declaration. In the case of an existing vacancy existing by reason of an
increase in the number of Trustees, the remaining Trustees or, prior to the
public offering of Interests in the Trust, if only one Trustee shall then remain
in office, the remaining Trustee, shall fill such vacancy by the appointment of
such other Person as they or he/she, in their or his/her discretion, shall see
fit, made by a written instrument signed by a majority of the remaining Trustees
or by the remaining Trustee, as the case may be. An appointment of a Trustee may
be made in anticipation of a vacancy to occur at a later date by reason of
retirement, resignation or increase in the number of Trustees, provided that
such appointment shall not become effective prior to such retirement,
resignation or increase in the number of Trustees. Whenever a vacancy in the
number of Trustees shall occur, until such vacancy is filled as provided in this
Section II.4, the Trustees in office, regardless of their number, shall have all
the powers granted to the Trustees and shall discharge all the duties imposed
upon the Trustees by the Declaration. A written instrument certifying the
existence of such vacancy signed by a majority of the Trustees shall be
conclusive evidence of the existence of such vacancy.
SECTION II.5 DELEGATION OF POWER TO OTHER TRUSTEES. Any Trustee may, by
power of attorney, delegate his or her power for a period not exceeding six (6)
months at any one time to any other Trustee
4
<PAGE>
or Trustees; provided that in no case shall less than two (2) Trustees
personally exercise the powers granted to the Trustees under the Declaration
except as herein otherwise expressly provided.
ARTICLE III
POWERS OF TRUSTEES
SECTION III.1 GENERAL. The Trustees shall have exclusive and absolute
control over the Trust Property and over the business of the Trust to the same
extent as if the Trustees were the sole owners of the Trust Property and
business in their own right, but with such powers of delegation as may be
permitted by the Declaration. The Trustees shall have power to conduct the
business of the Trust and carry on its operations in any and all of its branches
and maintain offices both within and without The Commonwealth of Massachusetts,
in any and all states of the United States of America, in the District of
Columbia, and in any and all commonwealths, territories, dependencies, colonies,
possessions, agencies or instrumentalities wheresoever in the world they may be
located as they deem necessary, proper or desirable in order to promote the
interests of the Trust although such things are not herein specifically
mentioned. Any determination as to what is in the interests of the Trust made by
the Trustees in good faith shall be conclusive. In construing the provisions of
the Declaration, the presumption shall be in favor of a grant of power to the
Trustees.
The enumeration of any specific power herein shall not be construed as
limiting the aforesaid power. Such powers of the Trustees may be exercised
without order of or resort to any court.
SECTION III.2 INVESTMENTS. The Trustees shall have the power to:
(a) conduct, operate and carry on the business of an investment
company;
(b) subscribe for, invest in, reinvest in, purchase or otherwise
acquire, hold, pledge, sell, assign, transfer, exchange,
distribute, lend or otherwise deal in or dispose of negotiable
or nonnegotiable instruments, obligations, evidences of
indebtedness, certificates of deposit or indebtedness,
commercial paper, repurchase agreements, reverse repurchase
agreements, options, commodities, commodity future contracts
and related options, currencies, currency futures and forward
contracts, and other securities, investment contracts and
other instruments of any kind, including, without limitation,
those issued, guaranteed or sponsored by any and all Persons
including, without limitation, states, territories and
possessions of the United States, the District of Columbia and
any of the political subdivisions, agencies or
instrumentalities thereof, and by the United States Government
or its agencies or instrumentalities, foreign or international
instrumentalities, or by any bank or savings institution, or
by any corporation or organization organized under the laws of
the United States or of any state, territory or possession
thereof, and of corporations or organizations organized under
foreign laws, or in "when issued" contracts for any such
securities, or retain Trust assets in cash and from time to
time change the investments of the assets of the Trust; and to
exercise any and all rights, powers and privileges of
ownership or interest in respect of any and all such
investments of every kind and description, including, without
limitation, the right to consent and
5
<PAGE>
otherwise act with respect thereto, with power to designate
one or more persons, firms, associations or corporations to
exercise any of said rights, powers and privileges in respect
of any of said instruments.
The Trustees shall not be limited to investing in obligations maturing
before the possible termination of the Trust, nor shall the Trustees be limited
by any law limiting the investments which may be made by fiduciaries.
SECTION III.3 LEGAL TITLE. Legal title to all the Trust Property shall
be vested in the Trustees as joint tenants except that the Trustees shall have
power to cause legal title to any Trust Property to be held by or in the name of
one or more of the Trustees, or in the name of the Trust, or in the name of any
other Person as nominee, on such terms as the Trustees may determine, provided
that the interest of the Trust therein is appropriately protected. The right,
title and interest of the Trustees in the Trust Property shall vest
automatically in each Person who may hereafter become a Trustee. Upon the
resignation, removal or death of a Trustee he or she shall automatically cease
to have any right, title or interest in any of the Trust Property, and the
right, title and interest of such Trustee in the Trust Property shall vest
automatically in the remaining Trustees. Such vesting and cessation of title
shall be effective whether or not conveyancing documents have been executed and
delivered.
SECTION III.4 SALE AND INCREASES OF INTERESTS. The Trustees, in their
discretion, may, from time to time, without a vote of the Holders, permit any
Person to purchase an Interest, or increase its Interest, for such type of
consideration, including cash or property, at such time or times (including,
without limitation, each business day), and on such terms as the Trustees may
deem best, and may in such manner acquire other assets (including the
acquisition of assets subject to, and in connection with the assumption of,
liabilities) and businesses.
SECTION III.5 DECREASES AND REDEMPTIONS OF INTERESTS. Subject to
Article VII hereof, the Trustees, in their discretion, may, from time to time,
without a vote of the Holders, permit a Holder to redeem its Interest, or
decrease its Interest, for either cash or property, at such time or times
(including, without limitation, each business day), and on such terms as the
Trustees may deem best.
SECTION III.6 BORROWING MONEY; LENDING TRUST ASSETS. The Trustees shall
have power to borrow money or otherwise obtain credit and to secure the same by
mortgaging, pledging or otherwise subjecting as security the assets of the
Trust, to endorse, guarantee, or undertake the performance of any obligation,
contract or engagement of any other Person and to lend Trust assets.
SECTION III.7 DELEGATION; COMMITTEES. The Trustees shall have power,
consistent with their continuing exclusive authority over the management of the
Trust and the Trust Property, to delegate from time to time to such of their
number or to officers, employees or agents of the Trust the doing of such things
and the execution of such instruments either in the name of the Trust or the
names of the Trustees or otherwise as the Trustees may deem expedient.
SECTION III.8 COLLECTION AND PAYMENT. Subject to Section VI.4 hereof,
the Trustees shall have power to collect all property due to the Trust; to pay
all claims, including taxes, against the Trust Property; to prosecute, defend,
compromise or abandon any claims relating to the Trust Property; to
6
<PAGE>
foreclose any security interest securing any obligations, by virtue of which any
property is owed to the Trust; and to enter into releases, agreements and other
instruments.
SECTION III.9 EXPENSES. Subject to Section VI.4 hereof the Trustees
shall have the power to incur and pay any expenses which in the opinion of the
Trustees are necessary or incidental to carry out any of the purposes of the
Declaration, and to pay reasonable compensation from the funds of the Trust to
themselves as Trustees. The Trustees shall fix the compensation of all officers,
employees and Trustees.
SECTION III.10 MANNER OF ACTING; BYLAWS. Except as otherwise provided
herein or in the Bylaws or by any provision of law, any action to be taken by
the Trustees may be taken by a majority of the Trustees present at a meeting of
Trustees (a quorum being present), including any meeting held by means of a
conference telephone circuit or similar communications equipment by means of
which all persons participating in the meeting can hear each other, or by
written consents of all the Trustees. The Trustees may adopt Bylaws not
inconsistent with this Declaration to provide for the conduct of the business of
the Trust and may amend or repeal such Bylaws to the extent such power is not
reserved to the Holders.
SECTION III.11 MISCELLANEOUS POWERS. The Trustees shall have the power
to: (a) employ or contract with such Persons as the Trustees may deem desirable
for the transaction of the business of the Trust or any Series thereof; (b)
enter into joint ventures, partnerships and any other combinations or
associations; (c) remove Trustees or fill vacancies in or add to their number,
elect and remove such officers and appoint and terminate such agents or
employees as they consider appropriate, and appoint from their own number, and
terminate, any one or more committees which may exercise some or all of the
power and authority of the Trustees as the Trustees may determine; (d) purchase
and pay for out of Trust Property or the property of the appropriate Series of
the Trust, insurance policies insuring the Holders, Trustees, officers,
employees, agents, investment advisers, placement agents, or independent
contractors of the Trust against all claims arising by reason of holding any
such position or by reason of any action taken or omitted to be taken by any
such Person in such capacity, whether or not constituting negligence, or whether
or not the Trust would have the power to indemnify such Person against such
liability; (e) establish pension, profit-sharing, and other retirement,
incentive and benefit plans for any Trustees, officers, employees and agents of
the Trust; (f) indemnify, to the extent permitted by law, any person with whom
the Trust or any Series thereof has dealings, including any investment adviser,
administrator, placement agent, transfer agent and, to such extent as the
Trustees shall determine; (g) guarantee indebtedness or contractual obligations
of others; (h) determine and change the fiscal year of the Trust or any Series
thereof and the method by which its accounts shall be kept; and (i) adopt a seal
for the Trust but the absence of such seal shall not impair the validity of any
instrument executed on behalf of the Trust.
SECTION III.12 LITIGATION. The Trustees shall have the power to engage
in and to prosecute, defend, compromise, abandon, or adjust, by arbitration, or
otherwise, any actions, suits, proceedings, disputes, claims, and demands
relating to the Trust, and out of the assets of the Trust or any Series thereof
to pay or to satisfy any debts, claims or expenses incurred in connection
therewith, including those of litigation, and such power shall include, without
limitation, the power of the Trustees or any appropriate committee thereof, in
the exercise of their or its good faith business judgment, to dismiss any
action, suit, proceeding, dispute, claim, or demand, derivative or otherwise,
brought by any person, including a
7
<PAGE>
Holder in its own name or the name of the Trust, whether or not the Trust or any
of the Trustees may be named individually therein or the subject matter arises
by reason of business for or on behalf of the Trust.
ARTICLE IV
INVESTMENT ADVISER, MANAGER, ADMINISTRATOR, CUSTODIAN
AND TRANSFER AGENT
SECTION IV.1 INVESTMENT ADVISER AND MANAGER. Subject to applicable
provisions of the 1940 Act, the Trustees may in their discretion from time to
time enter into one or more investment advisory and management contracts or, if
the Trustees establish multiple Series, separate investment advisory and
management contracts with respect to one or more Series whereby the other party
or parties to any such contracts shall undertake to furnish the Trust or such
Series such management, investment advisory, administration, accounting, legal,
statistical and research facilities and services, promotional or marketing
activities, and such other facilities and services, if any, as the Trustees
shall from time to time consider desirable and all upon such terms and
conditions as the Trustees may in their discretion determine. Notwithstanding
any provisions of the Declaration, the Trustees may authorize the Investment
Advisers, or any of them, under any such contracts (subject to such general or
specific instructions as the Trustees may from time to time adopt) to effect
purchases, sales, loans or exchanges of portfolio securities and other
investments of the Trust on behalf of the Trustees or may authorize any officer,
employee or Trustee to effect such purchases, sales, loans or exchanges pursuant
to recommendations of such Investment Advisers, or any of them (and all without
further action by the Trustees). Any such purchases, sales, loans and exchanges
shall be deemed to have been authorized by all of the Trustees.
SECTION IV.2 ADMINISTRATIVE SERVICES. The Trustees may in their
discretion from time to time enter into an administration contract whereby the
other party shall agree to provide the Trustees or the Trust administrative
personnel and services to operate the Trust on a daily or other basis, on such
terms and conditions as the Trustees may in their discretion determine. Such
services may be provided by one or more persons or entities.
SECTION IV.3 PLACEMENT AGENT. The Trustees may in their discretion from
time to time enter into one or more placement agent agreements on such terms and
conditions as the Trustees may in their discretion determine.
SECTION IV.4 TRANSFER AGENT The Trustees may, in their discretion from
time to time, enter into a transfer agency and service contract whereby the
other party to such contract shall undertake to furnish transfer agency and
other services to the Trust and its Holders. The contract shall have such terms
and conditions as the Trustees may, in their discretion, determine not
inconsistent with the Declaration. Such service may be provided by one or more
persons.
SECTION IV.5 CUSTODIANS. The Trustees may appoint or otherwise engage
one or more banks, broker-dealers or trust companies to serve as custodian with
authority as its agent, but subject to
8
<PAGE>
applicable requirements of the 1940 Act and to such restrictions, limitations
and other requirements, if any, as may be contained in the By-laws of the Trust.
SECTION IV.6 PARTIES TO CONTRACT. Any contract of the character
described in Sections IV.1, IV.2, IV.3, IV.4 or IV.5 of this Article IV and any
other contract may be entered into with any Person, although one or more of the
Trustees or officers of the Trust may be an officer, director, trustee,
shareholder, or member of such other party to the contract, and no such contract
shall be invalidated or rendered voidable by reason of the existence of any such
relationship; nor shall any Person holding such relationship be liable merely by
reason of such relationship for any loss or expense to the Trust under or by
reason of said contract or accountable for any profit realized directly or
indirectly therefrom, provided that the contract when entered into was not
inconsistent with the provisions of this Article IV. The same Person may be the
other party to any contracts entered into pursuant to Sections IV.1, IV.2, IV.3,
IV.4 or IV.5 above or otherwise, and any individual may be financially
interested or otherwise affiliated with Persons who are parties to any or all of
the contracts mentioned in this Section IV.4.
ARTICLE V
LIABILITY OF HOLDERS; LIMITATIONS OF LIABILITIES OF
TRUSTEES AND OTHERS
SECTION V.1 NO PERSONAL LIABILITY OF INTERESTHOLDERS. No Interestholder
shall be subject to any personal liability whatsoever to any person in
connection with Trust Property or the acts, obligations or affairs of the Trust.
The Trust shall indemnify out of the property of the Trust and hold each
Interestholder harmless from and against all claims and liabilities, to which
such Interestholder may become subject by reason of his being or having been a
Interestholder, and shall reimburse such Interestholder for all legal and other
expenses reasonably incurred by him in connection with any such claim or
liability; provided that, in the event the Trust shall consist of more than one
Series, Interestholders of a particular Series who are faced with claims or
liabilities solely by reason of their status as Interestholders of that Series
shall be limited to the assets of that Series for recovery of such loss and
related expenses. The rights accruing to an Interestholder under this Section
V.1 shall not exclude any other right to which such Interestholder may be
lawfully entitled, nor shall anything herein contained restrict the right of the
Trust to indemnify or reimburse a Interestholder in any appropriate situation
even though not specifically provided herein.
SECTION V.2 NONLIABILITY OF TRUSTEES, ETC. No Trustee, officer,
employee or agent of the Trust shall be liable to the Trust or its Holders for
any action or failure to act (including, without limitation, the failure to
compel in any way any former or acting Trustee to redress any breach of trust)
except for his or her own bad faith, willful misfeasance, gross negligence or
reckless disregard of his or her duties, and all such Persons shall look solely
to the Trust Property, or to the Property of one or more specific Series of the
Trust if the claim arises from the conduct of such Trustee, officer, employee or
agent with respect to only such Series, for satisfaction of claims of any nature
arising in connection with the affairs of the Trust.
SECTION V.3 INDEMNIFICATION.
9
<PAGE>
(a) The Trustees shall provide for indemnification by the Trust,
or by one or more Series thereof if the claim arises from his
or her conduct with respect to only such Series, of any person
who is, or has been, a Trustee, officer, employee or agent of
the Trust against all liability and against all expenses
reasonably incurred or paid by him in connection with any
claim, action, suit or proceeding in which he or she becomes
involved as a party or otherwise by virtue of his or her being
or having been a Trustee, officer, employee or agent and
against amounts paid or incurred by him or her in the
settlement thereof, in such manner as the Trustees may provide
from time to time in the Bylaws.
(b) The word "claim," "action," "suit," or "proceeding" shall
apply to all claims, actions, suits and proceedings (civil,
criminal, or other, including appeals), actual or threatened;
and the words "liability" and "expenses" shall include,
without limitation, attorneys' fees, costs, judgments, amounts
paid in settlement, fines, penalties and other liabilities.
SECTION V.4 NO BOND REQUIRED OF TRUSTEES. No Trustee shall be obligated
to give any bond or other security for the performance of any of his or her
duties hereunder.
SECTION V.5 NO DUTY OF INVESTIGATION; NOTICE IN TRUST INSTRUMENTS, ETC.
No purchaser, lender, transfer agent or other Person dealing with the Trustees
or any officer, employee or agent of the Trust or a Series thereof shall be
bound to make any inquiry concerning the validity of any transaction purporting
to be made by the Trustees or by said officer, employee or agent or be liable
for the application of money or property paid, loaned or delivered to or on the
order of the Trustees or of said officer, employee or agent. Every obligation,
contract, instrument, certificate, Interest, other security of the Trust or a
Series thereof or undertaking, and every other act or thing whatsoever executed
in connection with the Trust shall be conclusively presumed to have been
executed or done by the executors thereof only in their capacity as officers,
employees or agents of the Trust or a Series thereof. Every written obligation,
contract, instrument, certificate, Interest, other security of the Trust or
undertaking made or issued by the Trustees shall recite that the same is
executed or made by them not individually, but as Trustees under the
Declaration, and that the obligations of the Trust or a Series thereof under any
such instrument are not binding upon any of the Trustees, individually, but bind
only the Trust Estate (or, in the event the Trust shall consist of more than one
Series, in the case of any such obligation which relates to a specific Series,
only the Series which is a party thereto), and may contain any further recital
which they or he/she may deem appropriate, but the omission of such recital
shall not affect the validity of such obligation, contract instrument
certificate, Interest, security or undertaking and shall not operate to bind the
Trustees, officers, employees or agents, individually. The Trustees may maintain
insurance for the protection of the Trust Property, its Holders, Trustees,
officers, employees and agents in such amount as the Trustees shall deem
adequate to cover possible tort liability, and such other insurance as the
Trustees in their sole judgment shall deem advisable.
SECTION V.6 RELIANCE ON EXPERTS, ETC. Each Trustee and officer or
employee of the Trust shall, in the performance of his or her duties, be fully
and completely justified and protected with regard to any act or any failure to
act resulting from reliance in good faith upon the books of account or other
records of the Trust, upon an opinion of counsel, or upon reports made to the
Trust by any of its officers or employees or by any investment adviser,
placement agent, administrator accountants, appraisers or other experts or
consultants selected with reasonable care by the Trustees, officers or employees
of the Trust, regardless of whether such counsel or expert may also be a
Trustee.
10
<PAGE>
ARTICLE VI
INTERESTS
SECTION VI.1 INTERESTS. The beneficial interest in the Trust Property
shall consist of non-transferable Interests. The Interests shall be personal
property giving only the rights in this Declaration specifically set forth. The
value of an Interest shall be equal to the Book Capital Account balance of the
Holder of the Interest. The Trustees shall have the authority to establish and
designate one or more Series or classes of Interests. Each Interest of any
Series shall represent an equal proportionate share in the assets of that Series
with each other Interest in that Series. The Trustees may divide or combine the
Interests of any Series into a greater or lesser number of Interests in that
Series without thereby changing the proportionate Interests in the assets of
that Series. Subject to the provisions of Section VI.4(g) hereof, the Trustees
may also authorize the creation of additional series of Interests (the proceeds
of which may be invested in separate, independently managed portfolios) and
additional classes of Interests within any series. All Interests issued
hereunder including, without limitation, Interests issued in connection with a
dividend in Interests or a split in Interests, shall be fully paid and
nonassessable.
SECTION VI.2 NON-TRANSFERABILITY. A Holder may not transfer, sell or
exchange its Interest.
SECTION VI.3 REGISTER OF INTERESTS. A register shall be kept at the
Trust under the direction of the Trustees which shall contain the name, address
and Book Capital Account balance of each Holder. Such register shall be
conclusive as to the identity of the Holders. No Holder shall be entitled to
receive payment of any distribution, nor to have notice given to it as herein
provided, until it has given its address to such officer or agent of the Trust
as is keeping such register for entry thereon.
SECTION VI.4 SERIES OR CLASSES OF INTERESTS. The following provisions
are applicable regarding the Series of Interests of the Trust established in
Section VI.1 hereof and shall be applicable if the Trustees shall establish
additional Series or shall divide the Interests of any Series into two or more
classes and all provisions relating to the Trust shall apply equally to each
Series thereof except as the context requires:
(a) The number of Interests that may be issued shall be
unlimited.
(b) All consideration received by the Trust for the issue or
sale of Interests of a particular Series or class
together with all assets in which such consideration is
invested or reinvested, all income, earnings, profits,
and proceeds thereof, including any proceeds derived
from the sale, exchange or liquidation of such assets,
and any funds or payments derived from any reinvestment
of such proceeds in whatever form the same may be, shall
irrevocably belong to that Series or class for all
purposes, subject only to the rights of creditors, and
shall be so recorded upon the books of account of the
Trust. In the event that there are any assets, income,
earnings, profits, and proceeds thereof, funds, or
payments which are not readily identifiable as belonging
to any particular Series or class, the Trustees, or
their designees, shall allocate them among any one or
more of
11
<PAGE>
the Series or classes established and designated from
time to time in such manner and on such basis as they,
in their sole discretion, deem fair and equitable. Each
such allocation shall be conclusive and binding upon the
Holders of all Series or classes for all purposes. No
Holder of any Series shall have any claim on or right to
any assets allocated or belonging to any other Series.
(c) The assets belonging to each particular Series shall be
charged with the liabilities of the Trust in respect of
that Series and all expenses, costs, charges and
reserves attributable to that Series. All expenses and
liabilities incurred or arising in connection with a
particular Series, or in connection with the management
thereof, shall be payable solely out of the assets of
that Series and creditors of a particular Series shall
be entitled to look solely to the property of such
Series for satisfaction of their claims. Any general
liabilities, expenses, costs, charges or reserves of the
Trust which are not readily identifiable as belonging to
any particular Series shall be allocated and charged by
the Trustees, or their designees, to and among any one
or more of the Series established and designated from
time to time in such manner and on such basis as the
Trustees, or their designees, in their sole discretion
deem fair and equitable. Each allocation of liabilities,
expenses, costs, charges and reserves by the Trustees
shall be conclusive and binding upon the Holders of all
Series for all purposes. The Trustees shall have full
discretion to determine which items shall be treated as
income and which items as capital; and each such
determination and allocation shall be conclusive and
binding upon the interestholders.
(d) The power of the Trustees to pay dividends and make
distributions shall be governed by Section VIII.2 of
this Declaration with respect to any one or more Series
or classes which represents the Interests in the assets
of the Trust immediately prior to the establishment of
any additional Series or classes. With respect to any
other Series or class, dividends and distributions on
Interests of a particular Series or class may be paid
with such frequency as the Trustees may determine, which
may be daily or otherwise, pursuant to a standing
resolution or resolutions adopted only once or with such
frequency as the Trustees may determine, to the Holders
of that Series or class, from such of the income and
capital gains, accrued or realized, from the assets
belonging to that Series or class, as the Trustees may
determine, after providing for actual and accrued
liabilities belonging to that Series or class. All
dividends and distributions on Interests of a particular
Series or class shall be distributed pro rata to the
Holders of that Series or class in proportion to the
Interests of that Series or Class held by such Holders
at the date and time of record established for the
payment of such dividends or distributions.
(e) The Trustees shall have the power to determine the
designations, preferences, privileges, limitations and
rights, including voting and dividend rights, of each
class and Series.
12
<PAGE>
(f) The establishment and designation of any Series or class
of Interests in addition to those established in Section
VI.1 hereof shall be effective by resolution adopted by
a majority of the then Trustees setting forth such
establishment and designation and the relative rights,
preferences, voting powers, restrictions, limitations as
to dividends, qualifications, and terms and conditions
of Redemption of such Series or class, or as otherwise
provided in such instrument. At any time that there are
no Interests outstanding of any particular Series or
class previously established and designated, the
Trustees may, by a resolution adopted by a majority of
their number, abolish that Series or class and the
establishment and designation thereof. Each resolution
referred to in this paragraph shall have the status of
an amendment to this Declaration.
(g) Each Interest shall represent an interest in the net
assets of such Series. Each Holder of Interests of
Series shall be entitled to receive his pro rata share
of distributions of income and capital gains made with
respect to such Series. In the event of the liquidation
of a particular Series, the Holders of that Series which
has been established and designated and which is being
liquidated shall be entitled to receive, when and as
declared by the Trustees, the excess of the assets
belonging to that Series over the liabilities belonging
to that Series. The Holders of any Series shall not be
entitled hereby to any distribution upon liquidation of
any other Series. The assets so distributable to the
Holders of any Series shall be distributed among such
Holders in proportion to the Interests of that Series
held by them and recorded on the books of the Trust. The
liquidation of any particular Series in which there are
Interests then outstanding may be authorized by an
instrument in writing, without a meeting, signed by a
majority of the Trustees then in office, subject to the
approval by a Majority Interests Vote as that term is
defined in Section I.2(k)(iii).
ARTICLE VII
INCREASES, DECREASES AND REDEMPTIONS OF INTERESTS
SECTION VII.1 Subject to applicable law, to the provisions of this
Declaration and to such restrictions as may from time to time be adopted by the
Trustees, each Holder shall have the right to vary its investment in the Trust
at any time without limitation by increasing (through a capital contribution) or
decreasing (through a capital withdrawal) or by a Redemption of its Interest. An
increase in the investment of a Holder in the Trust of any Series thereof shall
be reflected as an increase in the Book Capital Account balance of that Holder
and a decrease in the investment of a Holder in the Trust or the Redemption of
the Interest of a Holder shall be reflected as a decrease in the Book Capital
Account balance of that Holder. The Trust or any Series thereof shall, upon
appropriate and adequate notice from any Holder increase, decrease or redeem
such Holder's Interest for an amount determined by the application of a formula
adopted for such purpose by resolution of the Trustees; provided that (a) the
amount received by the Holder upon any such decrease or Redemption shall not
exceed the decrease in the Holder's Book Capital Account balance effected by
such decrease or Redemption of its Interest, and (b) if so authorized by the
Trustees, the Trust may, at any time and from time to time, charge fees for
13
<PAGE>
effecting any such decrease or Redemption, at such rates as the Trustees may
establish, and may, at any time and from time to time, suspend such right of
decrease or Redemption. The procedures for effecting decreases or Redemptions
shall be as determined by the Trustees from time to time.
SECTION VII.2 DECREASE OR REDEMPTION AT THE OPTION OF THE TRUST. Each
Interest shall be subject to repurchase by the Trust at the option of the Trust
at the redemption price determined in accordance with Section VII.1: (i) at any
time if the Trustees determine, in their sole discretion, that failure to so
redeem may have materially adverse consequences to the Holders, or (ii) upon
such other conditions with respect to maintenance of Holder accounts of a
minimum amount as may from time to time be determined by the Trustees. Upon such
decrease or Redemption the Holder so decreased or redeemed shall have no further
right with respect thereto other than to receive payment of such redemption
price.
SECTION VII.3 SUSPENSION OF RIGHT OF DECREASE OR REDEMPTION. The
Trustees may declare a suspension of the right of decrease or redeem interests
or postpone the date of payment of the proceeds of a decrease or Redemption as
and to the extent consistent with applicable law. Such suspension shall take
effect at such time as the Trust shall specify but not later than the close of
business on the business day next following the declaration of suspension, and
thereafter there shall be no right of decrease, Redemption or payment on
decrease or Redemption until the Trust shall declare the suspension at an end.
In the case of a suspension of the right of decrease or Redemption, a Holder may
either withdraw his request to decrease or redeem Interests or receive payment
based on the net asset value existing after the termination of the suspension.
ARTICLE VIII
DETERMINATION OF BOOK CAPITAL
ACCOUNT BALANCES, ALLOCATIONS AND DISTRIBUTIONS
AND NET ASSET VALUE
SECTION VIII.1 BOOK CAPITAL ACCOUNT BALANCES. The Book Capital Account
balance of each Holder shall be determined on such days and at such time or
times as the Trustees may determine. The Trustees shall adopt resolutions
setting forth the method of determining the Book Capital Account balance of each
Holder. The power and duty to make calculations pursuant to such resolutions may
be delegated by the Trustees to the Investment Adviser, Manager, administrator,
custodian, or such other Person as the Trustees may determine. Upon the
Redemption of an Interest, the Holder of that Interest shall be entitled to
receive the balance of its Book Capital Account. A Holder may not transfer, sell
or exchange its Book Capital Account balance.
SECTION VIII.2 ALLOCATIONS AND DISTRIBUTIONS TO HOLDERS. The Trustees
shall establish the procedures by which the Trust or any Series thereof shall
make (i) the allocation of unrealized gains and losses, taxable income and tax
loss, and profit and loss, or any item or items thereof, to each Holder, (ii)
the payment of distributions, if any, to Holders, and (iii) upon liquidation,
the final distribution of items of taxable income and expense. The Trustees may
amend the procedures adopted pursuant to this Section VIII.2 from time to time.
The Trustees may retain from the net profits such amount as they may deem
necessary to pay the liabilities and expenses of the Trust, including any series
thereof, to meet obligations of the Trust, including any series thereof, and as
they may deem desirable to use in the conduct of the
14
<PAGE>
affairs of the Trust, including any series thereof, or to retain for future
requirements or extensions of the business.
SECTION VIII.3 ALLOCATION OF ORDINARY INCOME AND EXPENSES FOR FEDERAL
INCOME TAX PURPOSES. Ordinary Income and Expenses generated by the Trust will be
allocated to the Holders based upon the relative values of their interests in
the Trust of the beginning of each day.
SECTION VIII.4 ALLOCATION OF CAPITAL GAINS AND LOSSES FOR FEDERAL
INCOME TAX PURPOSES. The Trust will use an aggregate method for making forward
and reverse 704( c) allocations, subject to a favorable Private Letter Ruling
from the Internal Revenue Service. Under this method the Trust will establish a
revaluation account for each Holder. This account represents each Holder's share
of unrealized gains and losses previously allocated from the Trust. Each day the
Trust will determine the increase or decrease in its unrealized gains or losses
and allocate either to the Holders based on the relative values of their
interests in the Trust as of the beginning of the day. Realized gains will be
allocated first to Holders with positive balances in their revaluation accounts,
then to Holders based on their relative values of their interests in the Trust.
Realized losses will be allocated first to Holders with negative balances in
their revaluation accounts, then to Holders based on their relative values of
their interests in the Trust.
SECTION VIII.5 NET ASSET VALUE. The term "Net Asset Value" shall mean,
with respect to any Series, that amount by which the assets of the Series exceed
its liabilities, all as determined by or under the direction of the Trustees. In
making this determination, the Trustees, without Holder approval, may alter the
method of valuing portfolio securities. The Trustees may delegate any of their
powers and duties under this Section VIII.3 with respect to valuation of assets
and liabilities.
SECTION VIII. 6 POWER TO MODIFY FOREGOING PROCEDURES. Notwithstanding
any of the foregoing provisions of this Article VIII, the Trustees may
prescribe, in their absolute discretion, such other bases and times for
determining the net income of the Trust, including any series thereof, the
allocation of income of the Trust, the Book Capital Account balance of each
Holder, or the payment of distributions to the Holders as they may deem
necessary or desirable.
ARTICLE IX
DURATION; TERMINATION OF TRUST;
AMENDMENT; MERGERS, ETC.
SECTION IX.1 DURATION. The Trust shall continue without limitation of
time but subject to the provisions of this Article IX.
15
<PAGE>
SECTION IX.2 TERMINATION OF TRUST OR A SERIES. The Trust or any Series
may be terminated either by (i) resolution of the Board of Trustees with notice
in writing to the Holders, (ii) the affirmative vote of the Holders of not less
than two-thirds of the Interests at any meeting of Holders or the appropriate
Series thereof, or (iii) a Majority Interests Vote if such termination is
recommended by the Trustees. The foregoing provisions may not be amended except
by the approval by the Holders of not less than two-thirds of the Interests.
Upon termination of the Trust or Series:
(a) The Trust or the Series shall carry on no business except for
the purpose of winding up its affairs.
(b) The Trustees shall proceed to wind up the affairs of the Trust
or the Series and all of the powers of the Trustees under this
Declaration shall continue until the affairs of the Trust
shall have been wound up, including the power to fulfill or
discharge the contracts of the Trust or the Series, collect
its assets, sell, convey, assign, exchange, transfer or
otherwise dispose of all or any part of the remaining Trust
Property or Trust Property allocated or belonging to such
Series to one or more persons at public or private sale for
consideration which may consist in whole or in part of cash,
securities or other property of any kind, discharge or pay its
liabilities, and to do all other acts appropriate to liquidate
its business.
(c) After paying or adequately providing for the payment of all
liabilities, and upon receipt of such releases, indemnities
and refunding agreements, as they deem necessary for their
protection, the Trustees may distribute the remaining Trust
Property or Trust Property allocated or belonging to such
Series, in cash or in kind or partly each, among the Holders
of Interests of the Trust according to their respective
rights.
SECTION IX.3 AMENDMENT PROCEDURE. (a) This Declaration may be amended
by a Majority Interests Vote or such greater vote as may be prescribed in this
Declaration at a meeting of Holders, or by written consent without a meeting.
The provisions of the preceding sentence may not be amended except by vote of
the Holders of not less than two-thirds of the Interests. The Trustees may also
amend this Declaration without the vote or consent of the Holders (i) to change
the name of the Trust or any Series or classes of Shares, (ii) to supply any
omission, or cure, correct or supplement any ambiguous, defective or
inconsistent provision hereof, (iii) if they deem it necessary to conform this
declaration to the requirements of applicable federal or state laws or
regulations or the requirements of the Internal Revenue Code, or to eliminate or
reduce any federal, state or local taxes which are or may be payable by the
Trust or the Holders, but the Trustees shall not be liable for failing to do so,
or (iv) for any other purpose which does not adversely affect the rights of any
Holder with respect to which the amendment is or purports to be applicable.
(a) No amendment may be made under this Section IX.4 which would
change any rights with respect to any Interests in the Trust
or of any Series of the Trust by reducing the amount payable
thereon upon liquidation of the Trust or of such Series of the
Trust or by diminishing or eliminating any voting rights
pertaining thereto, except with the vote or consent of the
Holders of not less than two-thirds
16
<PAGE>
of any Interests in the Trust or of such Series or by such
other vote as may be established by the Trustees with respect
to any Series or class. Nothing contained in this Declaration
shall permit the amendment of this Declaration to impair the
exemption from personal liability of the Trustees, officers,
employees and agents of the Trust.
(b) Notwithstanding any other provision hereof until such time as
Interests are first sold, this Declaration may be terminated
or amended in any respect by the affirmative vote of a
majority of the Trustees at any meeting of Trustees or by an
instrument executed by a majority of the Trustees.
SECTION IX.4 MERGER, CONSOLIDATION AND SALE OF ASSETS. The Trust may
merge or consolidate with any other corporation, association, trust or other
organization or may sell, lease or exchange all or substantially all of the
Trust Property, including goodwill, upon such terms and conditions and for such
consideration when and as authorized by the Trustee.
SECTION IX.5 INCORPORATION. Upon a Majority Interests Vote, the
Trustees may cause to be organized or assist in organizing a corporation or
corporations under the law of any jurisdiction or a trust, partnership,
association or other organization to take over the Trust Property or to carry on
any business in which the Trust directly or indirectly has any interest, and to
sell, convey and transfer the Trust Property to any such corporation, trust,
partnership, association or other organization in exchange for the equity
interests thereof or otherwise, and to lend money to, subscribe for the equity
interests of, and enter into any contract with any such corporation, trust,
partnership, association or other organization, or any corporation, trust,
partnership, association or other organization in which the Trust holds or is
about to acquire equity interests. The Trustees may also cause a merger or
consolidation between the Trust or any successor thereto and any such
corporation, trust, partnership, association or other organization if and to the
extent permitted by law. Nothing contained herein shall be construed as
requiring approval of the Holders for the Trustees to organize or assist in
organizing one or more corporations, trusts, partnerships, associations or other
organizations and selling, conveying or transferring a portion of the Trust
Property to one or more of such organizations or entities.
ARTICLE X
REPORTS TO SHAREHOLDERS
The Trustees shall at least semiannually submit or cause the officers
of the Trust to submit to the Holders a written financial report of each Series
of the Trust, including financial statements which shall at least annually be
certified by independent public accountants.
17
<PAGE>
ARTICLE XI
MISCELLANEOUS
SECTION XI.1 FILING. This Declaration and any amendment hereto shall be
filed in the office of the Department of State of The Commonwealth of
Massachusetts and in such other places as may be required under the laws of The
Commonwealth of Massachusetts. A restated Declaration, integrating into a single
instrument all of the provisions of the Declaration which are then in effect and
operative, may be executed from time to time by a majority of the Trustees and
shall, upon filing with the Secretary of The Commonwealth of Massachusetts, be
conclusive evidence of all amendments contained therein and may thereafter be
referred to in lieu of the original Declaration and the various amendments
thereto.
GOVERNING LAW. This Declaration is executed by the Trustees and
delivered in The Commonwealth of Massachusetts and with reference to the laws
thereof and the rights of all parties and the validity and construction of every
provision hereof shall be subject to and construed according to the laws of said
State.
SECTION XI.2 COUNTERPARTS. The Declaration may be simultaneously
executed in several counterparts, each of which shall be deemed to be an
original, and such counterparts, together, shall constitute one and the same
instrument, which shall be sufficiently evidenced by any such original
counterpart.
SECTION XI.3 RELIANCE BY THIRD PARTIES. Any certificate executed by an
individual who, according to the records of the Trust, appears to be a Trustee
hereunder, or Secretary or Assistant Secretary of the Trust, certifying to: (a)
the number or identity of Trustees or Holders, (b) the due authorization of the
execution of any instrument or writing, (c) the form of any vote passed at a
meeting of Trustees or Holders, (d) the fact that the number of Trustees or
Holders present at any meeting or executing any written instrument satisfies the
requirements of this Declaration, (e) the form of any Bylaws adopted by or the
identity of any officers elected by the Trustees, or (f) the existence of any
fact or facts which in any manner relate to the affairs of the Trust, shall be
conclusive evidence as to the matters so certified in favor of any Person
dealing with the Trustees and their successors.
SECTION XI.4 PROVISIONS IN CONFLICT WITH LAW OR REGULATIONS. (a) The
provisions of the Declaration are severable, and if the Trustees shall
determine, with the advice of counsel, that any of such provisions is in
conflict with the 1940 Act, the regulated investment company provisions of the
Internal Revenue Code or with other applicable laws and regulations, the
conflicting provisions shall be deemed superseded by such law or regulation to
the extent necessary to eliminate such conflict; provided, however, that such
determination shall not affect any of the remaining provisions of the
Declaration or render invalid or improper any action taken or omitted prior to
such determination.
(b) If any provision of the Declaration shall be held invalid or
unenforceable in any jurisdiction, such invalidity or unenforceability shall
pertain only to such provision in such jurisdiction and shall not in any manner
affect such provision in any other jurisdiction or any other provision of the
Declaration in any jurisdiction.
18
<PAGE>
SECTION XI.5 PRINCIPAL PLACE OF BUSINESS; RESIDENT AGENT. The principal
place of business of the Trust and the address of record of the Trustees shall
be 225 Franklin Street, Boston, Massachusetts 02110, or such other location as
the Trustees may designate from time to time. To the extent required, the
Trustees shall have the power to appoint a resident agent for service of process
on the Trust and from time to time to replace the resident agent so appointed.
State Street Bank and Trust Company, 225 Franklin Street, Boston, Massachusetts
02110, is hereby designated as the initial resident agent for the Trust in
Massachusetts. The Trustees may, without the approval of the Holders, change the
resident agent of the Trust or the principal place of business of the Trust.
IN WITNESS WHEREOF, the undersigned have executed this Declaration of
Trust this 28th day of February, 2000.
/s/ Rina K. Spence
---------------------------------------
Rina K. Spence, Trustee
/s/ William L. Boyan
----------------------------------------
William L. Boyan, Trustee
/s/ Michael F. Holland
---------------------------------------
Michael F. Holland, Trustee
/s/ Douglas T. Williams
---------------------------------------
Douglas T. Williams, Trustee
19
<PAGE>
TRANSFER AGENCY AND SERVICE AGREEMENT
AGREEMENT made as of the 1st day of March, 2000, by and between STATE STREET
MASTER FUNDS, a Massachusetts trust company, having its principal office and
place of business at 225 Franklin Street, Boston, Massachusetts 02110 (the
"Trust"), and STATE STREET BANK AND TRUST COMPANY, a Massachusetts trust company
having its principal office and place of business at 225 Franklin Street,
Boston, Massachusetts 02110 (the "Bank").
WHEREAS, the Trust is registered as an open-end management investment company
under the Investment Company Act of 1940, as amended (the "1940 Act"); and
WHEREAS, the Trust is authorized to issue interests in separate series, with
each such series representing interests in a separate portfolio of securities
and other assets;
WHEREAS, the Trust intends to initially offer interests in five (5) series,
State Street Equity 500 Index Portfolio, State Street Equity 2000 Index
Portfolio, State Street Equity 400 Index Portfolio, State Street MSCI EAFE Index
Portfolio and State Street Aggregate Bond Index Portfolio (herein referred to as
a "Fund", and collectively as the "Funds");
WHEREAS, the Trust on behalf of the Funds desires to appoint the Bank as its
transfer agent, dividend disbursing agent, and agent in connection with certain
other activities, and the Bank desires to accept such appointment;
NOW, THEREFORE, in consideration of the mutual covenants herein contained, the
parties hereto agree as follows:
l. TERMS OF APPOINTMENT; DUTIES OF THE BANK
1.1 Subject to the terms and conditions set forth in this Agreement, the Trust,
on behalf of the Funds, hereby employs and appoints the Bank to act as, and
the Bank agrees to act as its transfer agent for the authorized and issued
shares of beneficial interest, $ 0.001 par value of each Fund listed on
Annex A hereto ("Shares"), and as the Trust's dividend disbursing agent.
1.2 The Bank agrees that it will perform the following services:
(a) In accordance with procedures established from time to time by
agreement between the Trust on behalf of each of the Funds, as
applicable, and the Bank, the Bank shall:
(i) Receive for acceptance, orders for the purchase of Shares, and
promptly deliver payment and appropriate documentation thereof to
the Custodian of the Trust (the "Custodian");
<PAGE>
(ii) Pursuant to purchase orders, issue the appropriate number of
Shares and hold such Shares in the appropriate Shareholder
account;
(iii) Receive for acceptance redemption requests and redemption
directions and deliver the appropriate documentation thereof to
the Custodian;
(iv) In respect to the transactions in items (i), (ii) and (iii)
above, the Bank shall execute transactions directly with
broker-dealers authorized by the Trust who shall thereby be
deemed to be acting on behalf of the Trust;
(v) At the appropriate time as and when it receives monies paid to it
by the Custodian with respect to any redemption, pay over or
cause to be paid over in the appropriate manner such monies as
instructed by the redeeming Shareholders;
(vi) Effect transfers of Shares by the registered owners thereof upon
receipt of appropriate instructions;
(vii) Prepare and transmit payments for dividends and distributions
declared by the Trust on behalf of the applicable Fund;
(viii) Issue replacement certificates for those certificates alleged
to have been lost, stolen or destroyed upon receipt by the Bank
of indemnification satisfactory to the Bank and protecting the
Bank and the Trust, and the Bank at its option, may issue
replacement certificates in place of mutilated stock certificates
upon presentation thereof and without such indemnity;
(ix) Maintain records of account for and advise the Trust and its
Shareholders as to the foregoing; and
(x) Record the issuance of Shares of the Trust and maintain pursuant
to SEC Rule 17Ad-10(e) a record of the total number of Shares of
the Trust which are authorized, based upon data provided to it by
the Trust, and issued and outstanding. The Bank shall also
provide the Trust on a regular basis with the total number of
Shares which are authorized and issued and outstanding and shall
have no obligation, when recording the issuance of Shares, to
monitor the issuance of such Shares or to take cognizance of any
laws relating to the issue or sale of such Shares, which
functions shall be the sole responsibility of the Trust.
(b) In addition to and neither in lieu nor in contravention of the
services set forth in the above paragraph (a), the Bank shall: (i)
perform the customary services of a transfer agent and dividend
disbursing agent including but not limited to: maintaining all
Shareholder accounts, preparing Shareholder meeting lists, mailing
<PAGE>
proxy materials, Shareholder reports and prospectuses to current
Shareholders, withholding taxes on U.S. resident and non-resident
alien accounts, preparing and filing U.S. Treasury Department Forms
1099 and other appropriate forms required with respect to dividends
and distributions by federal authorities for all Shareholders,
preparing and mailing confirmation forms and statements of account to
Shareholders for all purchases and redemptions of Shares and other
confirmable transactions in Shareholder accounts, preparing and
mailing activity statements for Shareholders, and providing
Shareholder account information.
(c) In addition, the Trust shall (i) identify to the Bank in writing those
transactions and assets to be treated as exempt from blue sky
reporting for each State and (ii) verify the establishment of
transactions for each State on the system prior to activation and
thereafter monitor the daily activity for each State. The
responsibility of the Bank for the Trust's blue sky State registration
status is solely limited to the initial establishment of transactions
subject to blue sky compliance by the Trust and the reporting of such
transactions to the Trust as provided above.
(d) The Bank shall provide additional services on behalf of the Trust
(i.e., escheatment services) which may be agreed upon in writing
between the Trust and the Bank.
2. FEES AND EXPENSES
2.1 For the performance by the Bank pursuant to this Agreement, the Trust
agrees on behalf of each of the Funds to pay the Bank an annual fee as set
out in the initial fee schedule attached hereto and in the Prospectus. Such
fees and out-of-pocket expenses and advances identified under Section 2.2
below may be changed from time to time subject to mutual written agreement
between the Trust and the Bank and as described in the then current
Prospectus.
2.2 In addition to the fee paid under Section 2.1 above, the Trust agrees on
behalf of each of the Funds to reimburse the Bank for out-of-pocket
expenses, including but not limited to confirmation, production, postage,
forms, telephone, microfilm, microfiche, tabulating proxies, records
storage, or advances incurred by the Bank for the items set out in the fee
schedule attached hereto. In addition, any other expenses incurred by the
Bank at the request or with the consent of the Trust, will be reimbursed by
the Trust on behalf of the applicable Fund.
2.3 The Trust agrees on behalf of each of the Funds to pay all fees and
reimbursable expenses within five days following the receipt of the
respective billing notice. Postage for mailing of dividends, proxies, Trust
reports and other mailings to all Shareholder accounts shall be advanced to
the Bank by the Trust at least seven (7) days prior to the mailing date of
such materials.
<PAGE>
3. REPRESENTATIONS AND WARRANTIES OF THE BANK
The Bank represents and warrants to the Trust that:
3.1 It is a trust company duly organized and existing under the laws of The
Commonwealth of Massachusetts.
3.2 It is duly qualified to carry on its business in The Commonwealth of
Massachusetts.
3.3 It is empowered under applicable laws and by its Charter and By-Laws to act
as transfer agent and dividend disbursing agent and to enter into and
perform this Agreement.
3.4 All requisite corporate proceedings have been taken to authorize it to
enter into and perform this Agreement.
3.5 It has and will continue to have access to the necessary facilities,
equipment and personnel to perform its duties and obligations under this
Agreement.
4. REPRESENTATIONS AND WARRANTIES OF THE TRUST
The Trust represents and warrants to the Bank that:
4.1 It is a trust duly organized and existing and in good standing under the
laws of The Commonwealth of Massachusetts.
4.2 It is empowered under applicable laws and by its Declaration of Trust and
By-Laws to enter into and perform this Agreement.
4.3 All corporate proceedings required by said Declaration of Trust and By-Laws
have been taken to authorize it to enter into and perform this Agreement.
4.4 It is an open-end management investment company registered under the
Investment Company Act of 1940, as amended.
4.5 A registration statement under the Investment Company Act of 1940, as
amended, on behalf of each of the Funds has been filed with the Securities
and Exchange Commission.
5. DATA ACCESS AND PROPRIETARY INFORMATION
5.1 The Trust acknowledges that the data bases, computer programs, screen
formats, report formats, interactive design techniques, and documentation
manuals furnished to the Trust by the Bank as part of the Trust's ability
to access certain Trust-related data ("Customer Data") maintained by the
Bank on data bases under the control and ownership of the Bank or other
third party ("Data Access Services") constitute copyrighted, trade secret,
or other proprietary information (collectively, "Proprietary Information")
of substantial value to the
<PAGE>
Bank or other third party. In no event shall Proprietary Information be
deemed Customer Data. The Trust agrees to treat all Proprietary Information
as proprietary to the Bank and further agrees that it shall not divulge any
Proprietary Information to any person or organization except as may be
provided hereunder. Without limiting the foregoing, the Trust agrees for
itself and its employees and agents:
(a) to access Customer Data solely from locations as may be designated in
writing by the Bank and solely in accordance with the Bank's
applicable user documentation;
(b) to refrain from copying or duplicating in any way the Proprietary
Information;
(c) to refrain from obtaining unauthorized access to any portion of the
Proprietary Information, and if such access is inadvertently obtained,
to inform in a timely manner of such fact and dispose of such
information in accordance with the Bank's instructions;
(d) to refrain from causing or allowing the data acquired hereunder from
being retransmitted to any other computer facility or other location,
except with the prior written consent of the Bank;
(e) that the Trust shall have access only to those authorized transactions
agreed upon by the parties;
(f) to honor all reasonable written requests made by the Bank to protect
at the Bank's expense the rights of the Bank in Proprietary
Information at common law, under federal copyright law and under other
federal or state law.
Each party shall take reasonable efforts to advise its employees of their
obligations pursuant to this Section 5. The obligations of this Section shall
survive any earlier termination of this Agreement.
5.2 If the Trust notifies the Bank that any of the Data Access Services do not
operate in material compliance with the most recently issued user
documentation for such services, the Bank shall endeavor in a timely manner
to correct such failure. Organizations from which the Bank may obtain
certain data included in the Data Access Services are solely responsible
for the contents of such data and the Trust agrees to make no claim against
the Bank arising out of the contents of such third-party data, including,
but not limited to, the accuracy thereof. DATA ACCESS SERVICES AND ALL
COMPUTER PROGRAMS AND SOFTWARE SPECIFICATIONS USED IN CONNECTION THEREWITH
ARE PROVIDED ON AN AS IS, AS AVAILABLE BASIS. THE BANK EXPRESSLY DISCLAIMS
ALL WARRANTIES EXCEPT THOSE EXPRESSLY STATED HEREIN INCLUDING, BUT NOT
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A
PARTICULAR PURPOSE.
5.3 If the transactions available to the Trust include the ability to originate
electronic instructions to the Bank in order to (i) effect the transfer or
movement of cash or Shares or
<PAGE>
(ii) transmit Shareholder information or other information, then in such
event the Bank shall be entitled to rely on the validity and authenticity
of such instruction without undertaking any further inquiry as long as such
instruction is undertaken in conformity with security procedures
established by the Bank from time to time.
6. INDEMNIFICATION
6.1 The Bank shall not be responsible for, and the Trust shall on behalf of the
applicable Fund indemnify and hold the Bank harmless from and against, any
and all losses, damages, costs, charges, counsel fees, payments, expenses
and liability arising out of or attributable to:
(a) All actions of the Bank or its agents or subcontractors required to be
taken pursuant to this Agreement, provided that such actions are taken
in good faith and without negligence or willful misconduct.
(b) The Trust's negligence, willful misconduct or lack of good faith which
arise out of the breach of any representation or warranty of the Trust
hereunder.
(c) The reliance on or use by the Bank or its agents or subcontractors of
information, records, documents or services which (i) are received by
the Bank or its agents or subcontractors, and (ii) have been prepared,
maintained or performed by the Trust or any other person or firm on
behalf of the Trust including but not limited to any previous transfer
agent or registrar.
(d) The reliance on, or the carrying out by the Bank or its agents or
subcontractors of any instructions or requests of the Trust on behalf
of the applicable Fund.
(e) The offer or sale of Shares in violation of any requirement under the
federal securities laws or regulations or the securities laws or
regulations of any state that such Shares be registered in such state
or in violation of any stop order or other determination or ruling by
any federal agency or any state with respect to the offer or sale of
such Shares in such state.
6.2 At any time the Bank may apply to any officer of the Trust for
instructions, and may consult with legal counsel with respect to any matter
arising in connection with the services to be performed by the Bank under
this Agreement, and the Bank and its agents or subcontractors shall not be
liable and shall be indemnified by the Trust on behalf of the applicable
Fund for any action taken or omitted by it in reliance upon such
instructions or upon the opinion of such counsel. The Bank, its agents and
subcontractors shall be protected and indemnified in acting upon any paper
or document, reasonably believed to be genuine and to have been signed by
the proper person or persons, or upon any instruction, information, data,
records or documents provided the Bank or its agents or subcontractors by
machine readable input, telex, CRT data entry or other similar means
<PAGE>
authorized by the Trust, and shall not be held to have notice of any change
of authority of any person, until receipt of written notice thereof from
the Trust.
6.3 In order that the indemnification provisions contained in this Section
6 shall apply, upon the assertion of a claim for which the Trust may be
required to indemnify the Bank, the Bank shall promptly notify the Trust of
such assertion, and shall keep the Trust advised with respect to all
developments concerning such claim. The Trust shall have the option to
participate with the Bank in the defense of such claim or to defend against
said claim in its own name or in the name of the Bank. The Bank shall in no
case confess any claim or make any compromise in any case in which the
Trust may be required to indemnify the Bank except with the Trust's prior
written consent.
7. STANDARD OF CARE
The Bank shall at all times act in good faith and agrees to use its best
efforts within reasonable limits to insure the accuracy of all services
performed under this Agreement, but assumes no responsibility and shall not
be liable for loss or damage due to errors unless said errors are caused by
its negligence, bad faith, or willful misconduct or that of its employees.
8. COVENANTS OF THE TRUST AND THE BANK
8.1 The Trust shall on behalf of each of the Funds promptly furnish to the Bank
the following:
(a) A certified copy of the resolution of the Board of Trustees of the
Trust authorizing the appointment of the Bank and the execution and
delivery of this Agreement.
(b) A copy of the Declaration of Trust and By-Laws of the Trust and all
amendments thereto.
8.2 The Bank shall keep records relating to the services to be performed
hereunder, in the form and manner as it may deem advisable. To the extent
required by Section 31 of the Investment Company Act of 1940, as amended,
and the Rules thereunder, the Bank agrees that all such records prepared or
maintained by the Bank relating to the services to be performed by the Bank
hereunder are the property of the Trust and will be preserved, maintained
and made available in accordance with such Section and Rules, and will be
surrendered promptly to the Trust on and in accordance with its request.
8.3 The Bank and the Trust agree that all books, records, information and data
pertaining to the business of the other party which are exchanged or
received pursuant to the negotiation or the carrying out of this Agreement
shall remain confidential, and shall not be voluntarily disclosed to any
other person, except as may be required by law.
8.4 In case of any requests or demands for the inspection of the Shareholder
records of the Trust, the Bank will endeavor to notify the Trust and to
secure instructions from an
<PAGE>
authorized officer of the Trust as to such inspection. The Bank reserves
the right, however, to exhibit the Shareholder records to any person
whenever it is advised by its counsel that it may be held liable for the
failure to exhibit the Shareholder records to such person.
9. TERMINATION OF AGREEMENT
9.1 This Agreement may be terminated by either party upon thirty (30) days
written notice to the other.
9.2 Should the Trust exercise its right to terminate, all out-of-pocket
expenses associated with the movement of records and material will be borne
by the Trust on behalf of the applicable Fund(s). Additionally, the Bank
reserves the right to charge for any other reasonable expenses associated
with such termination and/or a charge equivalent to the average of three
(3) months' fees.
10. ADDITIONAL SERIES
In the event that the Trust establishes one or more series in addition to
the Funds with respect to which it desires to have the Bank render services
as transfer agent under the terms hereof, it shall so notify the Bank in
writing, and if the Bank agrees in writing to provide such services, such
series shall become a Fund hereunder.
11. ASSIGNMENT
11.1 Except as provided in Section 11.3 below, neither this Agreement nor any
rights or obligations hereunder may be assigned by either party without the
written consent of the other party.
11.2 This Agreement shall inure to the benefit of and be binding upon the
parties and their respective permitted successors and assigns.
11.3 The Bank may, without further consent on the part of the Trust, subcontract
for the performance, in whole or in part, of this Agreement with (i) Boston
Financial Data Services, Inc., a Massachusetts corporation ("BFDS") which
is duly registered as a transfer agent pursuant to Section 17A(c)(2) of the
Securities Exchange Act of 1934, as amended ("Section 17A(c)(2)"), (ii) a
BFDS subsidiary duly registered as a transfer agent pursuant to Section
17A(c)(2), (iii) a BFDS affiliate or (iv) Boston EquiServe Trust Company,
N.A.; provided, however, that the Bank shall be as fully responsible to the
Trust for the acts and omissions of any subcontractor as it is for its own
acts and omissions.
<PAGE>
12. AMENDMENT
This Agreement may be amended or modified by a written agreement executed
by both parties and authorized or approved by a resolution of the Board of
Trustees of the Trust.
13. MASSACHUSETTS LAW TO APPLY
This Agreement shall be construed and the provisions thereof interpreted
under and in accordance with the laws of The Commonwealth of Massachusetts.
14. FORCE MAJEURE
In the event either party is unable to perform its obligations under the
terms of this Agreement because of acts of God, strikes, equipment or
transmission failure or damage reasonably beyond its control, or other
causes reasonably beyond its control, such party shall not be liable for
damages to the other for any damages resulting from such failure to perform
or otherwise from such causes.
15. SPECIAL, INDIRECT AND CONSEQUENTIAL DAMAGES
Neither party to this Agreement shall be liable to the other party for any
special, indirect, incidental, or consequential damages of any kind
whatsoever (including, without limitation, attorneys' fees) under any
provision of this Agreement or for any such damages arising out of any act
or failure to act hereunder. In any event, the Bank's liability under this
Agreement shall be limited to two times its total annual compensation
earned and fees paid hereunder during the preceding twelve months for any
liability or loss suffered by the Trust.
16. MERGER OF AGREEMENT
This Agreement constitutes the entire agreement between the parties hereto
and supersedes any prior agreement with respect to the subject matter
hereof whether oral or written.
17. LIMITATIONS OF LIABILITY OF THE TRUSTEES AND INTEREST HOLDERS
A copy of the Declaration of Trust of the Trust is on file with the
Secretary of The Commonwealth of Massachusetts, and notice is hereby given
that this instrument is executed on behalf of the Trustees of the Trust as
Trustees and not individually and that the obligations of this instrument
are not binding upon any of the Trustees or Interest holders individually
but are binding only upon the assets and property of the Trust.
<PAGE>
18. COUNTERPARTS
This Agreement may be executed by the parties hereto on any number of
counterparts, and all of said counterparts taken together shall be deemed
to constitute one and the same instrument.
19. REPRODUCTION OF DOCUMENTS
This Agreement and all schedules, exhibits, attachments and amendments
hereto may be reproduced by any photographic, photostatic, microfilm,
micro-card, miniature photographic or other similar process. The parties
hereto all/each agree that any such reproduction shall be admissible in
evidence as the original itself in any judicial or administrative
proceeding, whether or not the original is in existence and whether or not
such reproduction was made by a party in the regular course of business,
and that any enlargement, facsimile or further reproduction of such
reproduction shall likewise be admissible in evidence.
IN WITNESS WHEREOF, the parties hereto have caused this Agreement to be executed
in their names and on their behalf by and through their duly authorized
officers, as of the day and year first above written.
STATE STREET MASTER FUNDS
By: /s/ JAMES B. LITTLE
-------------------------------
Name: JAMES B. LITTLE
-------------------------------
Title: PRESIDENT AND TREASURER
-------------------------------
STATE STREET BANK AND TRUST COMPANY
By: /s/ KATHLEEN C. CUOCOLO
-------------------------------
Name: KATHLEEN C. CUOCOLO
-------------------------------
Title: SENIOR VICE PRESIDENT
-------------------------------
<PAGE>
ANNEX A
State Street Equity 500 Index Portfolio
State Street Equity 2000 Index Portfolio
State Street Equity 400 Index Portfolio
State Street MSCI-Registered Trademark- EAFE-Registered Trademark-
Index Portfolio
State Street Aggregate Bond Index Portfolio
Dated:
<PAGE>
CUSTODY, ACCOUNTING, TRANSFER AGENT, STOCK TRANSFER, FUND ADMINISTRATION AND
ADVISORY FEE SCHEDULE
As consideration for the State Street Bank and Trust Company's services as
adviser, administrator, transfer agent and custodian to each of the following
Funds (and for assuming ordinary operating expenses of the Funds, including
ordinary legal and audit expenses), State Street shall receive from each Fund an
annual fee, accrued daily at the rate of 1/365th of the applicable fee rate and
payable monthly on the first business day of each month, of the following annual
percentages of each Fund's average daily net assets during the month:
<TABLE>
<CAPTION>
Annual percentage of
Fund average daily net assets
----------------------------------------------------------------------
<S> <C>
STATE STREET EQUITY 500 INDEX PORTFOLIO .045%
STATE STREET EQUITY 2000 INDEX PORTFOLIO .08%
STATE STREET EQUITY 400 INDEX PORTFOLIO .10%
STATE STREET MSCI-Registered Trademark-
EAFE-Registered Trademark- INDEX PORTFOLIO .15%
STATE STREET AGGREGATE BOND INDEX PORTFOLIO .10%
</TABLE>
<PAGE>
POWER OF ATTORNEY
The undersigned officer of State Street Master Trust (the "Trust") hereby
constitutes and appoints Stephen C. Schuyler, Esq., and Jennifer S. Fromm, Esq.
each of them with full powers of substitution, as his true and lawful
attorney-in-fact and agent to execute in his name and on his behalf in any and
all capacities the Registration Statements on Form N-1A, and any and all
amendments thereto, and all other documents, filed by the Trust or its
affiliates with the Securities and Exchange Commission (the "SEC"') under the
Investment Company Act of 1940, as amended, and (as applicable) the Securities
Act of 1933, as amended, and any and all instruments which such attorneys and
agents, or any of them, deem necessary or advisable to enable the Trust or its
affiliates to comply with such Acts, the rules, regulations and requirements of
the SEC, and the securities or Blue Sky laws of any state or other jurisdiction,
and to file the same, with all exhibits thereto and other documents in
connection therewith, with the SEC and such other jurisdictions, and the
undersigned each hereby ratifies and confirms as his own act and deed any and
all acts that such attorneys and agents, or any of them, shall do or cause to be
done by virtue hereof. Any one of such attorneys and agents has, and may
exercise, all of the powers hereby conferred. The undersigned hereby revokes any
Powers of Attorney previously granted with respect to the Trust or its
affiliates concerning the filings and actions described herein.
IN WITNESS WHEREOF, the undersigned has hereunto set his hand as of the 20th day
of December, 1999.
SIGNATURE TITLE
/s/ James B. Little President and Treasurer
- ----------------------
James B. Little
<PAGE>
POWER OF ATTORNEY
The undersigned Trustee of State Street Master Trust (the "Trust") hereby
constitutes and appoints Julie Tedesco, Esq., and Jennifer Fromm, Esq., each of
them with full powers of substitution, as his true and lawful attorney-in-fact
and agent to execute in his name and on his behalf in any and all capacities the
Registration Statements on Form N-1A, and any and all amendments thereto, and
all other documents, filed by the Trust with the Securities and Exchange
Commission (the "SEC"') under the Investment Company Act of 1940, as amended,
and (as applicable) the Securities Act of 1933, as amended, and any and all
instruments which such attorneys and agents, or any of them, deem necessary or
advisable to enable the Trust to comply with such Acts, the rules, regulations
and requirements of the SEC, and the securities or Blue Sky laws of any state or
other jurisdiction, and to file the same, with all exhibits thereto and other
documents in connection therewith, with the SEC and such other jurisdictions,
and the undersigned hereby ratifies and confirms as his own act and deed any and
all acts that such attorneys and agents, or any of them, shall do or cause to be
done by virtue hereof. Any one of such attorneys and agents has, and may
exercise, all of the powers hereby conferred. The undersigned hereby revokes any
Powers of Attorney previously granted with respect to the Trust concerning the
filings and actions described herein.
IN WITNESS WHEREOF, the undersigned has hereunto set his hand as of the 19th day
of January, 2000.
SIGNATURE TITLE
/s/ William Boyan Trustee
- --------------------
William Boyan
<PAGE>
POWER OF ATTORNEY
The undersigned Trustee of State Street Master Trust (the "Trust") hereby
constitutes and appoints Julie Tedesco, Esq., and Jennifer Fromm, Esq., each of
them with full powers of substitution, as his true and lawful attorney-in-fact
and agent to execute in his name and on his behalf in any and all capacities the
Registration Statements on Form N-1A, and any and all amendments thereto, and
all other documents, filed by the Trust with the Securities and Exchange
Commission (the "SEC"') under the Investment Company Act of 1940, as amended,
and (as applicable) the Securities Act of 1933, as amended, and any and all
instruments which such attorneys and agents, or any of them, deem necessary or
advisable to enable the Trust to comply with such Acts, the rules, regulations
and requirements of the SEC, and the securities or Blue Sky laws of any state or
other jurisdiction, and to file the same, with all exhibits thereto and other
documents in connection therewith, with the SEC and such other jurisdictions,
and the undersigned hereby ratifies and confirms as his own act and deed any and
all acts that such attorneys and agents, or any of them, shall do or cause to be
done by virtue hereof. Any one of such attorneys and agents has, and may
exercise, all of the powers hereby conferred. The undersigned hereby revokes any
Powers of Attorney previously granted with respect to the Trust concerning the
filings and actions described herein.
IN WITNESS WHEREOF, the undersigned has hereunto set his hand as of the 19th day
of January, 2000.
SIGNATURE TITLE
/s/ Michael Holland Trustee
- ---------------------
Michael Holland
<PAGE>
POWER OF ATTORNEY
The undersigned Trustee of State Street Master Trust (the "Trust") hereby
constitutes and appoints Julie Tedesco, Esq., and Jennifer Fromm, Esq., each of
them with full powers of substitution, as his true and lawful attorney-in-fact
and agent to execute in his name and on his behalf in any and all capacities the
Registration Statements on Form N-1A, and any and all amendments thereto, and
all other documents, filed by the Trust with the Securities and Exchange
Commission (the "SEC"') under the Investment Company Act of 1940, as amended,
and (as applicable) the Securities Act of 1933, as amended, and any and all
instruments which such attorneys and agents, or any of them, deem necessary or
advisable to enable the Trust to comply with such Acts, the rules, regulations
and requirements of the SEC, and the securities or Blue Sky laws of any state or
other jurisdiction, and to file the same, with all exhibits thereto and other
documents in connection therewith, with the SEC and such other jurisdictions,
and the undersigned hereby ratifies and confirms as his own act and deed any and
all acts that such attorneys and agents, or any of them, shall do or cause to be
done by virtue hereof. Any one of such attorneys and agents has, and may
exercise, all of the powers hereby conferred. The undersigned hereby revokes any
Powers of Attorney previously granted with respect to the Trust concerning the
filings and actions described herein.
IN WITNESS WHEREOF, the undersigned has hereunto set his hand as of the 19th day
of January, 2000.
SIGNATURE TITLE
/s/ Douglas Williams Trustee
- ----------------------
Douglas Williams
<PAGE>
POWER OF ATTORNEY
The undersigned Trustee of State Street Master Trust (the "Trust") hereby
constitutes and appoints Julie Tedesco, Esq., and Jennifer Fromm, Esq., each of
them with full powers of substitution, as her true and lawful attorney-in-fact
and agent to execute in her name and on her behalf in any and all capacities the
Registration Statements on Form N-1A, and any and all amendments thereto, and
all other documents, filed by the Trust with the Securities and Exchange
Commission (the "SEC"') under the Investment Company Act of 1940, as amended,
and (as applicable) the Securities Act of 1933, as amended, and any and all
instruments which such attorneys and agents, or any of them, deem necessary or
advisable to enable the Trust to comply with such Acts, the rules, regulations
and requirements of the SEC, and the securities or Blue Sky laws of any state or
other jurisdiction, and to file the same, with all exhibits thereto and other
documents in connection therewith, with the SEC and such other jurisdictions,
and the undersigned hereby ratifies and confirms as her own act and deed any and
all acts that such attorneys and agents, or any of them, shall do or cause to be
done by virtue hereof. Any one of such attorneys and agents has, and may
exercise, all of the powers hereby conferred. The undersigned hereby revokes any
Powers of Attorney previously granted with respect to the Trust concerning the
filings and actions described herein.
IN WITNESS WHEREOF, the undersigned has hereunto set her hand as of the 19th day
of January, 2000.
SIGNATURES TITLE
/s/ Rina K. Spence Trustee
- -------------------
Rina K. Spence
