<PAGE> 1
STATE STREET MASTER FUNDS (THE "TRUST")
CODE OF ETHICS
I. DEFINITIONS
1. "Access Person" shall have the same meaning as that set forth in
Rule 17j-1(a)(1) of the 1940 Act.
2. "Adviser" shall mean State Street Bank and Trust Company.
3. "Adviser Access Person" shall mean a director, officer or advisory
person, as defined in Rule 17j-1(a)(2), of the Adviser who, with respect to the
Trust, makes any recommendation, participates in the determination of which
recommendation shall be made, or whose principal function or duties relate to
the determination of which recommendation shall be made to the Trust; or who, in
connection with his or her duties, obtains any information concerning securities
recommendations being made by the Adviser to the Trust.
4. "Adviser's Code of Ethics" shall mean the Code of Ethics of State
Street Bank and Trust Company with respect to personal securities transactions.
5. "Beneficial Ownership" shall be interpreted in the manner as it
would be in determining whether a person is subject to the provisions of Section
16 of the Securities Exchange Act of 1934, as amended, and the rules and
regulations thereunder.
6. A Security is being "considered for purchase or sale" by a Fund when
a recommendation that such Fund purchase or sell the Security has been made by
the Adviser or an Access Person of the Adviser or Trust. "Code" shall mean this
Code of Ethics.
7. "Control" shall have the same meaning as that set forth in Section
2(a)(9) of the 1940 Act. Generally it means the power to exercise a controlling
influence over the management or policies of a company, unless such power is
solely the result of an official position with such company.
8. "Compliance Officer" shall mean (i) with respect to the Adviser, a
person designated by the Adviser to receive reports and take certain actions, as
provided in the Adviser's Code of Ethics, and (ii) with respect to the Trust, a
person designated by the Trust to receive reports and take certain actions, as
provided in this Code of Ethics.
9. "Fund" or "Funds" shall mean such portfolio or series of the Trust.
10. "Interested Person" shall have the meaning as considered in Section
2(a)(19) of the 1940 Act.
11. "Independent Trustee" shall mean any Trustee of the Trust who is
not an Interested Person of the Trust.
1
<PAGE> 2
12. An "Initial Public Offering" means an offering registered under the
Securities Act of 1933, the issuer of which, immediately before the
registration, was not subject to the reporting requirements of Sections 13 or
15(d) of the Securities Exchange Act of 1934.
13. "Investment Company Access Person" shall mean a trustee, officer or
advisory person, as defined in Rule 17j-1(a)(2), of the Trust other than an
Independent Trustee or an Adviser Access Person.
14. "Investment Personnel" of the Trust or the Adviser shall mean (a)
any employee of the Trust or the Adviser (or of any company in a control
relationship to the Trust or the Adviser) who, in connection with his or her
regular functions or duties, makes or participates in making recommendations
regarding the purchase or sale of securities by the Trust; and (b) any natural
person who controls the Trust or the Adviser and who obtains information
concerning recommendations made to the Trust regarding the purchase or sale of
securities by the Trust.
15. "Limited Offering" means an offering that is exempt from
registration under the Securities Act of 1933 pursuant to section 4(2) or
section 4(6) or pursuant to rule 504, rule 505, or rule 506 under the Securities
Act of 1933.
16. "Purchase" or "sale" of a security includes, among other things,
the writing of an option to purchase or sell a security.
17. "Security" shall have the same meanings as that set forth in
Section 2(a)(36) of the 1940 Act (generally, all securities) except that it
shall not include securities issued by the Government of the United States or an
agency or instrumentality thereof (including all short-term debt securities
which are "government securities" within the meaning of Section 2(a)(16) of the
1940 Act), bankers' acceptances, bank certificates of deposit, commercial paper
and shares of registered open-end investment companies.
18. "Trust" means the State Street Master Funds.
II. CODE PROVISIONS APPLICABLE TO ALL ACCESS PERSONS
No Access Person of the Trust, in connection with the purchase or sale,
directly or indirectly, by such Access Person of a Security held or to be
acquired by the Trust, shall:
1. employ any device, scheme or artifice to defraud the Trust;
2. make to the Trust any untrue statement of a material fact or omit to
state to the Trust a material fact necessary in order to make the
statements made, in light of the circumstances under which they are
made, not misleading;
3. engage in any act, practice, or course of business which operates or
would operate as a fraud or deceit upon the Trust; or
4. engage in any manipulative practice with respect to the Trust.
2
<PAGE> 3
III. CODE PROVISIONS APPLICABLE ONLY TO ADVISER ACCESS PERSONS
1. Code of Ethics. The provisions of the Adviser's Code of Ethics are
hereby adopted as the Code of Ethics of the Trust applicable to Adviser Access
Persons. A violation of the Adviser's Code of Ethics by any Adviser Access
Person shall also constitute a violation of this Code of Ethics.
2. Reports. Adviser Access Persons shall file the reports required by
the Adviser's Code of Ethics. Such filings shall be deemed to be filings with
the Trust under this Code of Ethics, and shall at all times be available to the
Trust.
3. Review and Sanctions. At periodic intervals established by the
Trustees of the Trust, but no less frequently than annually, the Compliance
Officer of the Adviser shall report to the Board of Trustees of the Trust all
material violations by Adviser Access Persons of the Adviser's Code of Ethics
during such period and the corrective action taken by the Adviser.
IV. CODE PROVISIONS APPLICABLE ONLY TO INDEPENDENT TRUSTEES OF THE TRUST
1. Prohibited Purchases and Sales. No Independent Trustee of the Trust
shall purchase or sell, directly or indirectly, any Security in which such
Independent Trustee has, or by reason of such transaction acquires, any direct
or indirect Beneficial Ownership and which to such Independent Trustee's actual
knowledge at the time of such purchase or sale:
(a) is being considered for purchase or sale by a Fund; or
(b) is being purchased or sold by a Fund.
2. Exempted Transactions. The prohibitions of Section IV.1 of this Code
shall not apply to:
(a) purchases or sales effected in any account over which the
Independent Trustee has no direct or indirect influence or control;
(b) purchases or sales which are non-volitional on the part of the
Independent Trustee;
(c) purchases or sales which are part of an automatic dividend
reinvestment plan;
(d) purchases effected upon the exercise of rights issued by an
issuer pro rata to all holders of a class of its securities, to the
extent such rights were acquired from such issuer, and sales of such
rights so acquired;
(e) sales of securities held in a margin account to the extent
necessary in order to meet margin requirements;
(f) purchases or sales other than those exempted in (a) through (e)
above, (i) which will not cause the Independent Trustee to gain
improperly a personal profit as a result of such Independent
Trustee's relationship with the Trust, or (ii) which are only
remotely potentially harmful to a Fund because the proposed
transaction would be unlikely to
3
<PAGE> 4
affect a highly institutional market, or (iii) which, because
of the circumstances of the proposed transaction, are not
related economically to the Securities purchased or sold or to
be purchased or sold by a Fund, and in each case which are
previously approved by the Compliance Officer of the Trust,
which approval shall be confirmed in writing.
3. Reporting.
(a) Whether or not one of the exemptions listed in Section IV.2
hereof applies, each Independent Trustee of the Trust shall file with
the Compliance Officer of the Trust a dated written report containing
the information described in Section IV.3(b) of this Code with
respect to each transaction in any Security in which such Independent
Trustee has, or by reason of such transaction acquires, any direct or
indirect Beneficial Ownership, if such Independent Trustee, at the
time the transaction was entered into, actually knew, or in the
ordinary course of fulfilling official duties as a trustee of the
Trust should have known, that during the 15-day period immediately
preceding or after the date of that transaction:
(i) such Security was or is to be purchased or sold by a
Fund, or
(ii) such Security was or is being considered for purchase
or sale by a Fund;
provided, however, that such Independent Trustee shall not be
required to make a report with respect to any transaction effected
for any account over which such Independent Trustee does not have any
direct or indirect influence or control. Each such report shall be
deemed to be filed with the Trust for purposes of this Code, and may
contain a statement that the report shall not be construed as an
admission by the Independent Trustee that such Independent Trustee
has any direct or indirect Beneficial Ownership in the Security to
which the report relates.
(b) Such report shall be made not later than 10 days after the end of
the calendar quarter in which the transaction to which the report
relates was effected, and shall contain the following information:
(i) the date of the transaction, the title of and the
number of shares, and the principal amount of each
Security involved;
(ii) the nature of the transaction (i.e., purchase, sale
or any other type of acquisition or disposition);
(iii) the price at which the transaction was effected; and
(iv) the name of the broker, dealer or bank with or
through whom the transaction was effected.
Any report concerning a purchase or sale prohibited under Section IV.1 hereof
with respect to which the Independent Trustee relies upon one of the exemptions
provided in Section IV.2 shall contain a brief statement of the exemption relied
upon and the circumstances of the transaction.
4
<PAGE> 5
4. Review. The Compliance Officer of the Trust shall review or
supervise the review of the personal securities transactions reported pursuant
to Section IV.3. As part of that review, each such reported securities
transaction shall be compared against completed and contemplated portfolio
transactions of the Trust to determine whether a violation of this Code may have
occurred. If the Compliance Officer of the Trust determines that a violation may
have occurred, the Compliance Officer of the Trust shall submit the pertinent
information regarding the transaction to the Trustees of the Trust. The Trustees
shall evaluate whether a material violation of this Code has occurred, taking
into account all the exemptions provided under Section IV.2. Before making any
determination that a violation has occurred, the Trustees shall give the person
involved an opportunity to supply additional information regarding the
transaction in question and shall consult with counsel for the Independent
Trustee whose transaction is in question.
5. Sanctions. If the Trustees of the Trust determine that a material
violation of this Code has occurred, the Trustees may take such action and
impose such sanctions as said Trustees deem appropriate.
V. CODE PROVISIONS APPLICABLE ONLY TO INVESTMENT COMPANY
ACCESS PERSONS
1. Prohibited Purchases and Sales. No Investment Company Access
Person shall purchase or sell, directly or indirectly, any Security in which
such Investment Company Access Person has, or by reason of such transaction
acquires, any direct or indirect Beneficial Ownership and which to such
Investment Company Access Person's actual knowledge as the time of such purchase
or sale:
(a) is being considered for purchase or sale by a Fund; or
(b) is being purchased or sold by a Fund.
2. Exempted Transactions. The prohibitions of Section V.1 of
this Code shall not apply to:
(a) purchases or sales effected in any account over which the
Investment Company Access Person has no direct or indirect
influence or control;
(b) purchases or sales which are non-volitional on the part of the
Investment Company Access Person;
(c) purchases or sales which are part of an automatic dividend
reinvestment plan;
(d) purchases effected upon the exercise of rights issued by an
issuer pro rata to all holders of a class of its securities, to
the extent such rights were acquired from such issuer, and sales
of such rights so acquired;
(e) sales of securities held in a margin account to the extent
necessary in order to meet margin requirements;
(f) purchases or sales other than those exempted in (a) through
(e) above, (i) which will not cause the Investment Company Access
Person to gain improperly a personal profit as a result of such
Investment Company Access Person's relationship with the Trust, or
(ii) which are only remotely potentially harmful to a Fund because
the proposed
5
<PAGE> 6
transaction would be unlikely to affect a highly institutional
market, or (iii) which, because of the circumstances of the
proposed transaction, are not related economically to the
Securities purchased or sold or to be purchased or sold by a Fund,
and in each case which are previously approved by the Compliance
Officer of the Trust, which approval shall be confirmed in
writing.
3. Reporting. Whether or not one of the exemptions listed in Section
V.2 hereof applies, each Investment Company Access Person shall file with the
Compliance Officer of the Trust:
(a) within 10 days of becoming an Investment Company Access
Person, a dated initial holdings report. Such report shall contain
the title of, the number of shares of, and the principal amount of
each security beneficially owned by the Investment Company Access
Person. Such report shall also list the name of any broker, dealer
or bank with whom the Investment Company Access person maintained
an account in which any securities were held for the direct or
indirect benefit of the Investment Company Access Person as of the
date the person became an Investment Company Access Person;
(b) an annual holdings report which updates the information
provided in the initial holdings report. Such report shall provide
the information required in subparagraph (a) above, which
information must be as of a date no more than 30 days prior to the
date such report is submitted;
(c) a quarterly dated transaction written report containing the
information described below with respect to each transaction in
any Security in which such Investment Company Access Person has,
or by reason of such transaction acquires, any direct or indirect
Beneficial Ownership; provided, however, that such Investment
Company Access Person shall not be required to make a report with
respect to any transaction effected for any account over which
such Investment Company Access Person does not have any direct or
indirect influence or control. Each such report shall be deemed to
be filed with the Trust for purposes of this Code, and may contain
a statement that the report shall not be construed as an admission
by the Investment Company Access Person that he or she has any
direct or indirect Beneficial Ownership in the Security to which
the report relates. Such report shall be made not later than 10
days after the end of the calendar quarter in which the
transaction to which the report relates was effected, and shall
contain the following information:
(i) the date of the transaction, the title of and the
number of shares, and the principal amount of each Security
involved;
(ii) the nature of the transaction (i.e., purchase, sale or
any other type of acquisition or disposition);
(iii) the price at which the transaction was effected; and
(iv) the name of the broker, dealer or bank with or through
whom the transaction was effected.
6
<PAGE> 7
Any report concerning a purchase or sale prohibited under Section V.1 hereof
with respect to which the Investment Company Access Person relies upon one of
the exemptions provided in Section V.2 shall contain a brief statement of the
exemption relied upon and the circumstances of the transaction.
4. Review. The Compliance Officer of the Trust shall review or
supervise the review of the personal securities transactions reported pursuant
to Section V.3. As part of that review, each such reported securities
transaction shall be compared against completed and contemplated portfolio
transactions of the Trust to determine whether a violation of this Code may have
occurred. If the Compliance Officer of the Trust determines that a violation may
have occurred, the Compliance Officer of the Trust shall submit the pertinent
information regarding the transaction to the Trustees of the Trust. The Trustees
shall evaluate whether a material violation of this Code has occurred, taking
into account all the exemptions provided under Section V.2. Before making any
determination that a violation has occurred, the Trustees shall give the person
involved an opportunity to supply additional information regarding the
transaction in question and shall consult with counsel for the Investment
Company Access Person whose transaction is in question.
5. Sanctions. If the Trustees of the Trust determine that a material
violation of this Code has occurred, the Trustees may take such action and
impose such sanctions as said Trustees deem appropriate.
6. Exception to Reporting Requirements. No Investment Company Access
Person shall be required to comply with the provisions of Section V.3.(c) hereof
if the report required thereunder would duplicate information contained in
broker trade confirmations or account statements timely received by the
Designated Person of the Trust.
VI. CODE PROVISIONS APPLICABLE ONLY TO INVESTMENT PERSONNEL
Investments in IPOs and Limited Offerings. Investment Personnel must
obtain approval from the Compliance Officer of the Trust or the Adviser prior to
directly or indirectly acquiring beneficial ownership in any securities in an
Initial Public Offering or in a Limited Offering. In granting such approval, the
Compliance Officer shall consider, among other factors, whether the investment
opportunity in question should be reserved for the Trust and whether the
opportunity is being offered to an individual by virtue of his position with the
Trust or the Adviser.
VII. MISCELLANEOUS PROVISIONS
1. Approval of Code. This Code shall be deemed to be Trust's Code of
Ethics upon approval by the Trustees of the Trust, including a majority of the
Independent Trustees.
2. Amendment or Revision of the Code. Any amendment to or revision of
this Code of Ethics shall be promptly furnished to the Trust's Trustees and any
material amendment to or revision of this Code of Ethics must be approved by the
Trustees, including a majority of the Independent Trustees, no later than six
months after adoption of such amendment or revision.
3. Amendment or Revision of Adviser's Code of Ethics. Any amendment or
revision of the Adviser's Code of Ethics shall be deemed to be an amendment or
revision of Section III.1 of this Code, and such amendment or revision shall be
promptly furnished to the Independent Trustees of the Trust.
7
<PAGE> 8
4. Annual Issues and Certification Report. At periodic intervals
established by the Trustees of the Trust, but no less frequently than annually,
the Compliance Officer of the Trust shall provide a written report to the
Trustees of the Trust regarding any issues which arose under this Code of Ethics
since the last report to the Board of Trustees, including, but not limited to,
information about material Code or procedure violations and sanctions imposed in
response to any material violations. In addition, the Compliance Officer of the
Trust will provide to the Trustees of the Trust in writing a certification that
the Trust has adopted procedures reasonably necessary to prevent Investment
Company Access Persons from violating this Code of Ethics.
5. Records. The Trust shall maintain records in the manner and to the
extent set forth below, which records may be maintained on microfilm under the
conditions described in Rule 31a-2(f)(1) under the 1940 Act and shall be
available for examination by representatives of the Securities and Exchange
Commission:
(a) A copy of this Code and any other code that is, or at
any time within the past five years has been, in effect
shall be preserved in an easily accessible place;
(b) A record of any violation of this Code and of any
action taken as a result of such violation shall be
preserved in an easily accessible place for a period of not
less than five years following the end of the fiscal year
in which the violation occurs;
(c) A copy of each report made pursuant to this Code shall
be preserved for a period of not less than five years from
the end of the fiscal year in which its is made, the first
two years in an easily accessible place; and
(d) A list of persons who are, or within the past five
years have been, required to make reports pursuant to this
Code shall be maintained in an easily accessible place.
6. Confidentiality. All reports of securities transactions and any
other information filed with the Trust or furnished to any person pursuant to
this Code shall be treated as confidential, but are subject to review as
provided herein and by representatives of the Securities and Exchange
Commission.
7. Interpretation of Provisions. The Trustees of the Trust may from
time to time adopt such interpretation of this Code as they deem appropriate.
8. Effect of Violation of this Code. In adopting Rule 17j-1, the
Securities and Exchange Commission specifically noted in Investment Company Act
Release No. 11421 that a violation of any provision of a particular code of
ethics, such as this Code, would not be considered a per se unlawful act
prohibited by the general anti-fraud provisions of the Rule. In adopting this
Code of Ethics, it is not intended that a violation of this Code is or should be
considered to be a violation of Rule 17j-1.
Adopted: [ ]
8
