N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-09819

STATE STREET INSTITUTIONAL INVESTMENT TRUST

(Exact name of registrant as specified in charter)

P.O. Box 5501

Boston, Massachusetts 02206

(Address of principal executive offices)(Zip code)

(Name and Address of Agent for Service)	Copy to:
David James, Vice President and Managing Director and Managing Counsel State Street Bank and Trust Company 100 Huntington Avenue, 3rd Floor Boston, Massachusetts 02116	Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624

Registrant’s telephone number, including area code: (617) 662-1742

Date of fiscal year end: December 31

Date of reporting period: December 31, 2014

Item 1. Shareholder Report.

Annual Report

31 December 2014

State Street Institutional Investment Trust

State Street Institutional Liquid Reserves Fund

State Street Institutional Tax Free Money Market Fund

State Street Institutional U.S. Government Money Market Fund

State Street Institutional Treasury Money Market Fund

State Street Institutional Treasury Plus Money Market Fund

State Street Institutional Investment Trust

Statements of Assets and Liabilities

December 31, 2014

	Liquid Reserves Fund		Tax Free Money Market Fund		U.S. Government Money Market Fund			Treasury Money Market Fund		Treasury Plus Money Market Fund
Assets
Investments in corresponding Portfolio, at market value and cost (Note 1)	$	40,290,056,052	$	253,194,259	$	12,451,155,292		$	9,079,338,638	$	2,765,528,948
Receivable from Adviser and Distributor (Note 3)		205,127		135,116		1,218,951			1,854,300		487,140
Prepaid expenses and other assets		17,174		4,398		8,351			7,524		5,133
Total assets		40,290,278,353		253,333,773		12,452,382,594			9,081,200,462		2,766,021,221
Liabilities
Administration and custody fees payable (Note 3)		3,050,968		20,650		970,410			856,588		217,038
Registration and filing fees payable		556,738		794		365,799			4,329		9,573
Shareholder servicing fee payable (Note 3)		148,680		31,970		126,000			155,720		15,574
Distribution fees payable (Note 3)		59,470		12,788		50,397			62,288		6,438
Professional fees payable		18,393		18,393		18,393			18,393		18,393
Dividends payable		415,769		–		–			30,704		–
Transfer agent fees payable		14,688		1,878		3,007			4,190		2,298
Accrued expenses and other liabilities		7,166		2,447		6,843			2,612		12,077
Total liabilities		4,271,872		88,920		1,540,849			1,134,824		281,391
Net Assets	$	40,286,006,481	$	253,244,853	$	12,450,841,745		$	9,080,065,638	$	2,765,739,830
Net Assets Consist of:
Paid-in capital	$	40,285,807,013	$	253,244,853	$	12,450,994,279		$	9,080,056,168	$	2,765,741,327
Undistributed net investment income		807		–		–			–		38
Accumulated net realized gain (loss)		198,661		–		(152,534	)		9,470		(1,535	)
Net Assets	$	40,286,006,481	$	253,244,853	$	12,450,841,745		$	9,080,065,638	$	2,765,739,830
Net Assets
Premier Class	$	37,932,780,822	$	85,165,763	$	10,962,800,426		$	8,338,817,905	$	2,690,959,105
Investment Class	$	726,910,199	$	168,079,090	$	615,706,454		$	741,247,733	$	74,780,725
Class M Shares	$	1,626,315,460	$	–	$	–		$	–	$	–
Class G Shares	$	–	$	–	$	872,334,865		$	–	$	–
Shares of Beneficial Interest Outstanding
Premier Class		37,932,608,336		85,159,919		10,963,153,547			8,338,918,217		2,691,084,372
Investment Class		726,890,905		168,089,227		615,777,040			741,238,714		74,804,915
Class M Shares		1,626,305,443		–		–			–		–
Class G Shares		–		–		872,334,012			–		–
Offering, Net Asset Value, and Redemption Price Per Share
Premier Class	$	1.00	$	1.00	$	1.00		$	1.00	$	1.00
Investment Class	$	1.00	$	1.00	$	1.00		$	1.00	$	1.00
Class M Shares	$	1.00	$	–	$	–		$	–	$	–
Class G Shares	$	–	$	–	$	1.00		$	–	$	–

See Notes to Financial Statements and Financial Statements of the Master Funds.

3

State Street Institutional Investment Trust

Statements of Operations

Year Ended December 31, 2014

	Liquid Reserves Fund			Tax Free Money Market Fund			U.S. Government Money Market Fund			Treasury Money Market Fund			Treasury Plus Money Market Fund
Income and Expenses Allocated from Portfolio
Interest income allocated from Portfolio (Note 2)	$	75,910,142		$	111,959		$	7,512,794		$	4,754,063		$	1,338,375
Expenses allocated from Portfolio (Note 2)		(25,848,763	)		(310,684	)		(6,686,898	)		(7,011,497	)		(1,845,773	)
		50,061,379			(198,725	)		825,896			(2,257,434	)		(507,398	)
Expenses
Administration and custody fees (Note 3)		19,312,085			155,318			4,988,672			5,289,288			1,321,137
Shareholder servicing fee – Investment Class (Note 3)		2,236,106			481,442			1,588,804			2,641,065			214,309
Distribution fees – Investment Class (Note 3)		894,442			192,577			635,522			1,056,426			85,724
Transfer agent fees (Note 3)		201,489			23,259			66,580			53,579			28,600
Registration and filing fees		91,302			33,785			76,335			62,663			61,921
Printing fees		62,452			27,406			51,374			33,028			53,712
Professional fees		27,796			27,774			27,774			27,774			27,786
Trustees’ fees and expenses		15,000			15,000			15,000			15,000			15,000
Other expenses		909,600			9,011			370,740			178,402			50,600
Total expenses		23,750,272			965,572			7,820,801			9,357,225			1,858,789
Less: Expenses reimbursed by the Adviser (Note 3)		–			(490,278	)		(4,770,536	)		(7,917,168	)		(2,066,158	)
Shareholder servicing fees waived – Investment Class (Note 3)		(1,581,187	)		(481,442	)		(1,588,804	)		(2,641,065	)		(214,309	)
Distribution fees waived – Investment Class (Note 3)		(894,442	)		(192,577	)		(635,522	)		(1,056,426	)		(85,724	)
Net expenses		21,274,643			(198,725	)		825,939			(2,257,434	)		(507,402	)
Net Investment Income (Loss)		28,786,736			–			(43	)		–			4
Net realized gain (loss) on investments allocated from Portfolio		198,661			–			13,046			117,085			–
Net Increase (Decrease) in Net Assets Resulting from Operations	$	28,985,397		$	–		$	13,003		$	117,085		$	4

See Notes to Financial Statements and Financial Statements of the Master Funds.

4

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	Liquid Reserves Fund						Tax Free Money Market Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income (loss)	$	28,786,736		$	32,033,463		$	–		$	–
Net realized gain (loss) on investments allocated from Portfolio		198,661			177,461			–			–
Net increase in net assets from operations		28,985,397			32,210,924			–			–
Distributions to Shareholders from:
Net investment income
Premier Class		(26,599,363	)		(29,184,932	)		–			–
Investment Class		–			(5,330	)		–			–
Class M Shares		(2,186,566	)		(3,020,682	)		–			–
Net realized gain on investments
Premier Class		–			(251,002	)		–			–
Investment Class		–			(8,467	)		–			–
Class M Shares		–			(22,446	)		–			–
Total distributions		(28,785,929	)		(32,492,859	)		–			–
Net Increase (Decrease) from Capital Share Transactions:
Premier Class
Shares sold		353,923,706,878			336,083,274,055			865,899,893			1,016,054,183
Reinvestment of distributions		21,491,940			24,430,932			–			–
Shares redeemed		(345,862,628,800	)		(330,666,228,512	)		(899,893,422	)		(1,037,149,920	)
Net increase (decrease) from capital share transactions		8,082,570,018			5,441,476,475			(33,993,529	)		(21,095,737	)
Investment Class
Shares sold		4,696,526,177			4,754,323,242			400,229,896			333,396,430
Reinvestment of distribution		–			757			–			–
Shares redeemed		(4,982,772,495	)		(4,702,331,212	)		(421,014,069	)		(512,778,308	)
Net increase (decrease) from capital share transactions		(286,246,318	)		51,992,787			(20,784,173	)		(179,381,878	)
Class M Shares
Shares sold		17,170,761,953			15,835,425,740			–			–
Reinvestment of distributions		2,186,586			3,043,106			–			–
Shares redeemed		(18,371,959,020	)		(14,910,742,956	)		–			–
Net increase (decrease) from capital share transactions		(1,199,010,481	)		927,725,890			–			–
Net Increase (Decrease) in Net Assets		6,597,512,687			6,420,913,217			(54,777,702	)		(200,477,615	)
Net Assets
Beginning of year		33,688,493,794			27,267,580,577			308,022,555			508,500,170
End of year	$	40,286,006,481		$	33,688,493,794		$	253,244,853		$	308,022,555
Undistributed net investment income	$	807		$	–		$	–		$	–
Changes in Shares:
Premier Class
Shares sold		353,923,706,878			336,083,274,055			865,899,893			1,016,054,183
Reinvestment of distributions		21,491,940			24,430,932			–			–
Shares redeemed		(345,862,628,800	)		(330,666,228,512	)		(899,893,422	)		(1,037,149,920	)
Net increase (decrease) in shares		8,082,570,018			5,441,476,475			(33,993,529	)		(21,095,737	)
Investment Class
Shares sold		4,696,526,177			4,754,323,242			400,229,896			333,396,430
Reinvestment of distributions		–			757			–			–
Shares redeemed		(4,982,772,495	)		(4,702,331,212	)		(421,014,069	)		(512,778,308	)
Net increase (decrease) in shares		(286,246,318	)		51,992,787			(20,784,173	)		(179,381,878	)
Class M Shares
Shares sold		17,170,761,953			15,835,425,740			–			–
Reinvestment of distributions		2,186,586			3,043,106			–			–
Shares redeemed		(18,371,959,020	)		(14,910,742,956	)		–			–
Net increase (decrease) in shares		(1,199,010,481	)		927,725,890			–			–

See Notes to Financial Statements and Financial Statements of the Master Funds.

5

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	U.S. Government Money Market Fund						Treasury Money Market Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income (loss)	$	(43	)	$	367,253		$	–		$	–
Net realized gain (loss) on investments allocated from Portfolio		13,046			–			117,085			31,186
Net increase in net assets from operations		13,003			367,253			117,085			31,186
Distributions to Shareholders from:
Net investment income
Premier Class		–			(367,253	)		–			(4,791	)
Investment Class		–			–			–			(507	)
Class G		(43	)		–			–			–
Net realized gain on investments
Premier Class		–			–			(115,556	)		(11,156	)
Investment Class		–			–			(10,904	)		(1,182	)
Total distributions		(43	)		(367,253	)		(126,460	)		(17,636	)
Net Increase (Decrease) from Capital Share Transactions:
Premier Class
Shares sold		35,021,325,932			29,289,928,667			31,975,975,514			33,038,519,477
Reinvestment of distributions		–			300,395			95,741			11,000
Shares redeemed		(31,247,787,167	)		(29,215,192,015	)		(35,586,824,951	)		(31,240,037,368	)
Net increase (decrease) from capital share transactions		3,773,538,765			75,037,047			(3,610,753,696	)		1,798,493,109
Investment Class
Shares sold		3,966,547,545			3,561,968,939			1,670,573,898			2,944,776,957
Reinvestment of distribution		–			–			19			–
Shares redeemed		(4,042,310,684	)		(3,525,478,044	)		(2,336,534,788	)		(3,013,504,193	)
Net increase (decrease) from capital share transactions		(75,763,139	)		36,490,895			(665,960,871	)		(68,727,236	)
Class G Shares*
Shares sold		1,626,172,411			–			–			–
Reinvestment of distributions		43			–			–			–
Shares redeemed		(753,838,442	)		–			–			–
Net increase (decrease) from capital share transactions		872,334,012			–			–			–
Net Increase (Decrease) in Net Assets		4,570,122,598			111,527,942			(4,276,723,942	)		1,729,779,423
Net Assets
Beginning of year		7,880,719,147			7,769,191,205			13,356,789,580			11,627,010,157
End of year	$	12,450,841,745		$	7,880,719,147		$	9,080,065,638		$	13,356,789,580
Undistributed net investment income	$	–		$	–		$	–		$	–
Changes in Shares:
Premier Class
Shares sold		35,021,325,932			29,289,928,667			31,975,975,514			33,038,519,477
Reinvestment of distributions		–			300,395			95,741			11,000
Shares redeemed		(31,247,787,167	)		(29,215,192,015	)		(35,586,824,951	)		(31,240,037,368	)
Net increase (decrease) in shares		3,773,538,765			75,037,047			(3,610,753,696	)		1,798,493,109
Investment Class
Shares sold		3,966,547,545			3,561,968,939			1,670,573,898			2,944,776,957
Reinvestment of distributions		–			–			19			–
Shares redeemed		(4,042,310,684	)		(3,525,478,044	)		(2,336,534,788	)		(3,013,504,193	)
Net increase (decrease) in shares		(75,763,139	)		36,490,895			(665,960,871	)		(68,727,236	)
Class G Shares*
Shares sold		1,626,172,411			–			–			–
Reinvestment of distributions		43			–			–			–
Shares redeemed		(753,838,442	)		–			–			–
Net increase (decrease) in shares		872,334,012			–			–			–

* The Fund’s Class G Shares commenced operations on October 5, 2014.

See Notes to Financial Statements and Financial Statements of the Master Funds.

6

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	Treasury Plus Money Market Fund
	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income (loss)	$	4		$	17,770
Net realized gain (loss) on investments allocated from Portfolio		–			(1,535	)
Net increase in net assets from operations		4			16,235
Distributions to Shareholders from:
Net investment income
Premier Class		–			(17,770	)
Investment Class		–			–
Net realized gain on investments
Premier Class		–			(183	)
Investment Class		–			(7	)
Total distributions		–			(17,960	)
Net Increase (Decrease) from Capital Share Transactions:
Premier Class
Shares sold		13,323,353,168			10,855,859,490
Reinvestment of distributions		–			16,684
Shares redeemed		(13,311,990,338	)		(10,379,419,190	)
Net increase (decrease) from capital share transactions		11,362,830			476,456,984
Investment Class
Shares sold		412,002,624			490,118,416
Reinvestment of distribution		–			1
Shares redeemed		(410,670,896	)		(511,891,549	)
Net increase (decrease) from capital share transactions		1,331,728			(21,773,132	)
Net Increase (Decrease) in Net Assets		12,694,562			454,682,127
Net Assets
Beginning of year		2,753,045,268			2,298,363,141
End of year	$	2,765,739,830		$	2,753,045,268
Undistributed net investment income	$	38		$	222
Changes in Shares:
Premier Class
Shares sold		13,323,353,168			10,855,859,490
Reinvestment of distributions		–			16,684
Shares redeemed		(13,311,990,338	)		(10,379,419,190	)
Net increase (decrease) in shares		11,362,830			476,456,984
Investment Class
Shares sold		412,002,624			490,118,416
Reinvestment of distributions		–			1
Shares redeemed		(410,670,896	)		(511,891,549	)
Net increase (decrease) in shares		1,331,728			(21,773,132	)

See Notes to Financial Statements and Financial Statements of the Master Funds.

7

State Street Institutional Investment Trust

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each year is presented below^(a):

Period Ended December 31,	Net Asset Value Beginning of Period		Net Investment Income/(Loss)			Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Capital Gains			Total Distributions
Liquid Reserves Fund
Premier Class
2014	$	1.0000	$	0.0008		$	(0.0001	)	$	0.0007		$	(0.0007	)	$	–		$	(0.0007	)
2013	$	1.0000	$	0.0010		$	0.0000	(d)	$	0.0010		$	(0.0010	)	$	(0.0000	)(d)	$	(0.0010	)
2012	$	1.0000	$	0.0020		$	0.0000	(d)	$	0.0020		$	(0.0020	)	$	(0.0000	)(d)	$	(0.0020	)
2011	$	1.0000	$	0.0015		$	0.0000	(d)	$	0.0015		$	(0.0015	)	$	–		$	(0.0015	)
2010	$	1.0000	$	0.0019		$	0.0000	(d)	$	0.0019		$	(0.0019	)	$	–		$	(0.0019	)
Investment Class
2014	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	(0.0000	)(d)
2012	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	(0.0000	)(d)
2011	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2010	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)
Class M
2014	$	1.0000	$	0.0009		$	0.0000	(d)	$	0.0009		$	(0.0009	)	$	–		$	(0.0009	)
2013	$	1.0000	$	0.0012		$	0.0000	(d)	$	0.0012		$	(0.0012	)	$	(0.0000	)(d)	$	(0.0012	)
2012	$	1.0000	$	0.0022		$	0.0000	(d)	$	0.0022		$	(0.0022	)	$	(0.0000	)(d)	$	(0.0022	)
2011(f)	$	1.0000	$	0.0001		$	0.0000	(d)	$	0.0001		$	(0.0001	)	$	–		$	(0.0001	)
Tax Free Money Market Fund
Premier Class
2014	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2012	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)
2011	$	1.0000	$	0.0002		$	(0.0000	)(d)	$	0.0002		$	(0.0002	)	$	–		$	(0.0002	)
2010	$	1.0000	$	0.0007		$	0.0003		$	0.0010		$	(0.0008	)	$	(0.0002	)	$	(0.0010	)
Investment Class
2014	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2012	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2011	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2010	$	1.0000	$	0.0001		$	0.0002		$	0.0003		$	(0.0001	)	$	(0.0002	)	$	(0.0003	)
U.S. Government Money Market Fund
Premier Class
2014	$	1.0000	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)	$	–		$	–		$	–
2013	$	1.0000	$	0.0001		$	–		$	0.0001		$	(0.0001	)	$	–		$	(0.0001	)
2012	$	1.0000	$	0.0003		$	0.0000	(d)	$	0.0003		$	(0.0003	)	$	–		$	(0.0003	)
2011	$	1.0000	$	0.0002		$	(0.0000	)(d)	$	0.0002		$	(0.0002	)	$	–		$	(0.0002	)
2010	$	1.0000	$	0.0007		$	0.0000	(d)	$	0.0007		$	(0.0007	)	$	–		$	(0.0007	)
Investment Class
2014	$	1.0000	$	(0.0000	)(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	0.0000	(d)	$	–		$	0.0000	(d)	$	–		$	–		$	–
2012	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2011	$	1.0000	$	(0.0001	)	$	0.0001		$	0.0000	(d)	$	–		$	–		$	–
2010	$	1.0000	$	0.0001		$	(0.0001	)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)
Class G
2014(g)	$	1.0000	$	0.0000		$	0.0000		$	0.0000		$	(0.0000	)(d)	$	–		$	(0.0000	)(d)

^(a)  The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results.

^(c)  This expense waiver is reflected in both the net operating expense and the net investment income ratios shown above. Without these waivers, net investment income would have been lower.

^(d)  Amount is less than $0.00005 per share.

^(e)  Amount is less than 0.005%.

^(f)  The Fund’s Class M Shares commenced operations on December 15, 2011.

^(g)  The Fund’s Class G Shares commenced operations on October 5, 2014.

** Annualized.

See Notes to Financial Statements and Financial Statements of the Master Funds.

8

Period Ended December 31,	Net Asset Value End of Period		Ratios to Average Net Assets/Supplemental Data(a)															Net Assets End of Period (000s omitted)
			Total Return(b)			Gross Expenses			Net Expenses			Net Investment Income			Expense Waiver(c)
Liquid Reserves Fund
Premier Class
2014	$	1.0000		0.07	%		0.12	%		0.12	%		0.07	%		–		$	37,932,781
2013	$	1.0000		0.10	%		0.12	%		0.12	%		0.10	%		–		$	29,850,029
2012	$	1.0000		0.20	%		0.12	%		0.12	%		0.20	%		–		$	24,408,802
2011	$	1.0000		0.15	%		0.12	%		0.12	%		0.15	%		–		$	19,597,264
2010	$	1.0000		0.19	%		0.12	%		0.12	%		0.20	%		0.00	%(e)	$	25,211,488
Investment Class
2014	$	1.0000		0.00	%		0.47	%		0.19	%		0.00	%		0.28	%	$	726,910
2013	$	1.0000		0.00	%(e)		0.47	%		0.22	%		0.00	%(e)		0.25	%	$	1,013,152
2012	$	1.0000		0.00	%(e)		0.47	%		0.32	%		0.00	%(e)		0.15	%	$	961,168
2011	$	1.0000		0.00	%(e)		0.46	%		0.27	%		0.00	%(e)		0.19	%	$	992,736
2010	$	1.0000		0.00	%(e)		0.47	%		0.31	%		0.00	%(e)		0.16	%	$	905,604
Class M
2014	$	1.0000		0.09	%		0.10	%		0.10	%		0.09	%		–		$	1,626,315
2013	$	1.0000		0.12	%		0.10	%		0.10	%		0.12	%		–		$	2,825,313
2012	$	1.0000		0.22	%		0.10	%		0.10	%		0.22	%		–		$	1,897,611
2011(f)	$	1.0000		0.01	%		0.10	%**		0.10	%**		0.17	%**		–		$	2,012,117
Tax Free Money Market Fund
Premier Class
2014	$	1.0000		0.00	%(e)		0.21	%		0.04	%		0.00	%		0.17	%	$	85,166
2013	$	1.0000		0.00	%(e)		0.20	%		0.07	%		0.00	%		0.13	%	$	119,159
2012	$	1.0000		0.00	%(e)		0.20	%		0.12	%		0.00	%(e)		0.08	%	$	140,255
2011	$	1.0000		0.02	%		0.19	%		0.12	%		0.02	%		0.07	%	$	87,135
2010	$	1.0000		0.10	%		0.17	%		0.17	%		0.07	%		0.00	%(e)	$	114,404
Investment Class
2014	$	1.0000		0.00	%(e)		0.56	%		0.04	%		0.00	%		0.52	%	$	168,079
2013	$	1.0000		0.00	%(e)		0.55	%		0.07	%		0.00	%		0.48	%	$	188,863
2012	$	1.0000		0.00	%(e)		0.56	%		0.12	%		0.00	%(e)		0.44	%	$	368,245
2011	$	1.0000		0.00	%(e)		0.54	%		0.15	%		0.00	%(e)		0.39	%	$	244,087
2010	$	1.0000		0.02	%		0.52	%		0.24	%		0.00	%(e)		0.28	%	$	290,874
U.S. Government Money Market Fund
Premier Class
2014	$	1.0000		0.00	%(e)		0.12	%		0.07	%		0.00	%(e)		0.05	%	$	10,962,800
2013	$	1.0000		0.01	%		0.12	%		0.09	%		0.01	%		0.03	%	$	7,189,250
2012	$	1.0000		0.03	%		0.13	%		0.12	%		0.03	%		0.01	%	$	7,114,213
2011	$	1.0000		0.02	%		0.12	%		0.10	%		0.02	%		0.02	%	$	5,139,795
2010	$	1.0000		0.07	%		0.13	%		0.12	%		0.07	%		0.01	%	$	4,430,327
Investment Class
2014	$	1.0000		0.00	%(e)		0.47	%		0.07	%		0.00	%(e)		0.40	%	$	615,706
2013	$	1.0000		0.00	%(e)		0.47	%		0.10	%		0.00	%		0.37	%	$	691,469
2012	$	1.0000		0.00	%(e)		0.47	%		0.14	%		0.00	%(e)		0.33	%	$	654,978
2011	$	1.0000		0.00	%(e)		0.47	%		0.11	%		0.00	%(e)		0.36	%	$	638,101
2010	$	1.0000		0.00	%(e)		0.48	%		0.19	%		0.00	%(e)		0.29	%	$	479,133
Class G
2014(g)	$	1.0000		0.00	%(e)		0.09	%**		0.08	%**		0.00	%(e)**		0.01	%	$	872,335

See Notes to Financial Statements and Financial Statements of the Master Funds.

9

State Street Institutional Investment Trust

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each year is presented below^(a):

Period Ended December 31,	Net Asset Value Beginning of Period		Net Investment Income/(Loss)			Gain (Loss) on Investments			Total from Investment Operations			Distributions from Net Investment Income			Distributions from Capital Gains			Total Distributions
Treasury Money Market Fund
Premier Class
2014	$	1.0000	$	0.0000		$	0.0000	(d)	$	0.0000	(d)	$	–		$	(0.0000	)(d)	$	(0.0000	)(d)
2013	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	(0.0000	)(d)
2012	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	(0.0000	)(d)	$	(0.0000	)(d)
2011	$	1.0000	$	0.0001		$	0.0000	(d)	$	0.0001		$	(0.0001	)	$	–		$	(0.0001	)
2010	$	1.0000	$	0.0002		$	(0.0001	)	$	0.0001		$	(0.0001	)	$	–		$	(0.0001	)
Investment Class
2014	$	1.0000	$	(0.0010	)	$	0.0010		$	0.0000		$	–		$	(0.0000	)(d)	$	(0.0000	)(d)
2013	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	(0.0000	)(d)
2012	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	(0.0000	)(d)	$	(0.0000	)(d)
2011	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)
2010	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	(0.0000	)(d)	$	–		$	(0.0000	)(d)
Treasury Plus Money Market Fund
Premier Class
2014	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	(0.0001	)	$	0.0001		$	0.0000	(d)	$	(0.0000	)(d)	$	(0.0000	)(d)	$	(0.0000	)(d)
2012	$	1.0000	$	0.0002		$	0.0000	(d)	$	0.0002		$	(0.0002	)	$	–		$	(0.0002	)
2011	$	1.0000	$	0.0001		$	0.0000	(d)	$	0.0001		$	(0.0001	)	$	–		$	(0.0001	)
2010	$	1.0000	$	0.0004		$	0.0000	(d)	$	0.0004		$	(0.0004	)	$	–		$	(0.0004	)
Investment Class
2014	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2013	$	1.0000	$	(0.0001	)	$	0.0001		$	0.0000	(d)	$	–		$	(0.0000	)(d)	$	(0.0000	)(d)
2012	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2011	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–
2010	$	1.0000	$	0.0000	(d)	$	0.0000	(d)	$	0.0000	(d)	$	–		$	–		$	–

^(a)  The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results.

^(c)  This expense waiver is reflected in both the net operating expense and the net investment income ratios shown above. Without these waivers, net investment income would have been lower.

^(d)  Amount is less than $0.00005 per share.

^(e)  Amount is less than 0.005%.

See Notes to Financial Statements and Financial Statements of the Master Funds.

10

Period Ended December 31,	Net Asset Value End of Period		Ratios to Average Net Assets/Supplemental Data(a)															Net Assets End of Period (000s omitted)
			Total Return(b)			Gross Expenses			Net Expenses			Net Investment Income			Expense Waiver(c)
Treasury Money Market Fund
Premier Class
2014	$	1.0000		0.00	%(e)		0.12	%		0.04	%		0.00	%(e)		0.08	%	$	8,338,818
2013	$	1.0000		0.00	%(e)		0.12	%		0.07	%		0.00	%(e)		0.05	%	$	11,949,583
2012	$	1.0000		0.00	%(e)		0.12	%		0.08	%		0.00	%(e)		0.04	%	$	10,151,078
2011	$	1.0000		0.01	%		0.13	%		0.03	%		0.00	%(e)		0.10	%	$	9,426,334
2010	$	1.0000		0.01	%		0.13	%		0.11	%		0.01	%		0.02	%	$	2,790,267
Investment Class
2014	$	1.0000		0.00	%		0.47	%		0.05	%		0.00	%		0.42	%	$	741,248
2013	$	1.0000		0.00	%(e)		0.47	%		0.07	%		0.00	%(e)		0.40	%	$	1,407,207
2012	$	1.0000		0.00	%(e)		0.47	%		0.08	%		0.00	%(e)		0.39	%	$	1,475,932
2011	$	1.0000		0.00	%(e)		0.48	%		0.05	%		0.00	%(e)		0.43	%	$	1,381,305
2010	$	1.0000		0.00	%(e)		0.48	%		0.13	%		0.00	%(e)		0.35	%	$	866,341
Treasury Plus Money Market Fund
Premier Class
2014	$	1.0000		0.00	%(e)		0.13	%		0.05	%		0.00	%(e)		0.08	%	$	2,690,959
2013	$	1.0000		0.00	%(e)		0.13	%		0.08	%		0.00	%(e)		0.05	%	$	2,679,596
2012	$	1.0000		0.02	%		0.14	%		0.11	%		0.02	%		0.03	%	$	2,203,141
2011	$	1.0000		0.01	%		0.14	%		0.06	%		0.01	%		0.08	%	$	1,220,159
2010	$	1.0000		0.04	%		0.15	%		0.11	%		0.04	%		0.04	%	$	811,144
Investment Class
2014	$	1.0000		0.00	%(e)		0.48	%		0.05	%		0.00	%		0.43	%	$	74,781
2013	$	1.0000		0.00	%(e)		0.48	%		0.08	%		0.00	%		0.40	%	$	73,449
2012	$	1.0000		0.00	%(e)		0.49	%		0.13	%		0.00	%(e)		0.36	%	$	95,222
2011	$	1.0000		0.00	%(e)		0.49	%		0.08	%		0.00	%(e)		0.41	%	$	141,023
2010	$	1.0000		0.00	%(e)		0.50	%		0.15	%		0.00	%(e)		0.35	%	$	122,577

See Notes to Financial Statements and Financial Statements of the Master Funds.

11

State Street Institutional Investment Trust

Notes to Financial Statements

December 31, 2014

1. Organization

State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of thirty-five (35) series (the “Funds”) and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. The financial statements herein relate to the following Funds:

Fund	Classes	Commencement of  Operations:
State Street Institutional Liquid Reserves Fund	Administration Class Class M Shares Premier Class (formerly Institutional Class)* Service Class Institutional Class Investment Class Investor Class	Not commenced December 15, 2011 August 12, 2004 Not commenced Not commenced October 15, 2007 Not commenced
State Street Institutional Tax Free Money Market Fund	Administration Class Institutional Class Investment Class Investor Class Premier Class (formerly Institutional Class)* Service Class	Not commenced Not commenced October 12, 2007 Not commenced February 7, 2007 Not commenced
State Street Institutional U.S. Government Money Market Fund	Administration Class Class G Institutional Class Investment Class Investor Class Premier Class (formerly Institutional Class)* Service Class	Not commenced October 5, 201 4 Not commenced October 17, 2007 Not commenced October 25, 2007 Not commenced
State Street Institutional Treasury Money Market Fund	Administration Class Institutional Class Investment Class Investor Class Premier Class (formerly Institutional Class)* Service Class	Not commenced Not commenced October 25, 2007 Not commenced October 25, 2007 Not commenced
State Street Institutional Treasury Plus Money Market Fund	Service Class Investment Class Premier Class (formerly Institutional Class)* Institutional Class Investor Class Administration Class	Not commenced October 24, 2007 October 24, 2007 Not commenced Not commenced Not commenced

* During the period, the Board of Trustees approved the name change of Institutional Class shares to Premier Class shares. All references to Institutional Class shall be replaced by references to Premier Class. The change in share class name does not have any impact on shareholders.

12

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Certain Funds are part of a master-feeder investment structure (“Feeder Fund”) and invest all of their investable assets in interests of their respective master portfolio (“Master Fund”) as reflected in the table below. The investment objective and policies of each Master Fund are substantially similar to those of its respective Feeder Fund. The value of each Feeder Fund’s investment in its respective Master Fund reflects the Feeder Fund’s proportionate interest in the net assets of that Master Fund. The performance of each Feeder Fund is directly affected by the performance of its respective Master Fund. The financial statements of the Master Funds, including their Portfolios of Investments, are attached to this report and should be read in conjunction with the Feeder Funds’ financial statements.

Feeder Fund	% Investment in Master	Master Fund
State Street Institutional Liquid Reserves Fund	98.98%	State Street Money Market Portfolio*
State Street Institutional Tax Free Money Market Fund	100.00%	State Street Tax Free Money Market Portfolio*
State Street Institutional U.S. Government Money Market Fund	94.27%	State Street U.S. Government Money Market Portfolio*
State Street Institutional Treasury Money Market Fund	88.60%	State Street Treasury Money Market Portfolio*
State Street Institutional Treasury Plus Money Market Fund	100.00%	State Street Treasury Plus Money Market Portfolio*

* A series of the State Street Master Funds

The State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund are each considered to be money market funds pursuant to Rule 2a-7 under the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Money Market Funds”). It is the policy of the Money Market Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Money Market Funds will be able to maintain a stable net asset value per share.

An investment in the Money Market Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Money Market Funds seek to preserve the value of shareholders’ investment at $1.00 per share, it is possible to lose money by investing in the Money Market Funds.

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

Recent Regulatory Action

On July 23, 2014, the SEC adopted amendments to the governing rules for money market funds. The amendments require that, following a two-year implementation timeframe, institutional prime and institutional tax exempt money market funds adopt a floating net asset value. The rule changes also allow for certain liquidity-based redemption fees and gate, and include enhanced requirements for disclosure and stress testing. The degree to which a money market fund will be impacted by the rule

13

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

amendments will depend upon the type of fund and type of investors (retail or institutional). At this time, management is evaluating the implications of these amendments and their impact to the Funds’ financial statements and accompanying notes.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Security valuation – Each Fund records its investment in its respective Portfolio at value. The valuation policies of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.

The Portfolios adopted provisions surrounding fair value measurements and disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for each Portfolio, as of December 31, 2014, in valuing each Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

Security transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Net investment income consists of a Fund’s pro-rata share of the net investment income of its respective Portfolio, less all expenses of the Fund. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its respective Portfolio’s realized gains and losses. Realized gains and losses from security transactions are recorded on the basis of identified cost. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets.

Dividends and distributions – Dividends from net investment income are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.

Federal income taxes – Each Fund intends to continue to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Funds will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Funds will not be subject to federal excise tax.

At December 31, 2014, State Street Institutional U.S. Government Money Market Fund utilized capital loss carryovers in the amount of $13,046 and had remaining capital loss carryovers of $152,534 expiring December 31, 2015. State Street Institutional Treasury Plus Money Market Fund had capital loss carryover in the amount of $1,535 which has no expiration date. Each Fund may use all of its capital loss carryover amount to offset future net realized capital gains.

At December 31, 2014, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

14

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Funds have reviewed the tax positions for open years as of December 31, 2014, and determined they did not have a liability for any unrecognized tax expenses. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of December 31, 2014, tax years 2012 through 2014 remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

For the year ended December 31, 2014, permanent differences identified and reclassified among the components of net assets were as follows:

Fund	Paid-In Capital			Accumulated Gain (Loss)		Undistributed Net Investment Income (Loss)
State Street Institutional Liquid Reserves Fund	$	–		$	–	$	–
State Street Institutional Tax Free Money Market Fund	$	–		$	–	$	–
State Street Institutional U.S. Government Money Market Fund	$	(86	)	$	–	$	86
State Street Institutional Treasury Money Market Fund	$	–		$	–	$	–
State Street Institutional Treasury Plus Money Market Fund	$	188		$	–	$	(188	)

These differences were primarily attributable to distribution redesignations, net operating loss, non-deductible tax paid and distributions in excess of current earnings. Net investment income (loss), net realized gains (losses), and net assets were not affected by these reclassifications.

The tax character of distributions paid to shareholders during the years ended December 31, 2014 and December 31, 2013 was as follows:

	December 31, 2014						December 31, 2013
Fund	Ordinary Income		Tax Exempt Income		Long Term Capital Gain		Ordinary Income		Tax Exempt Income		Long Term Capital Gain
State Street Institutional Liquid Reserves Fund	$	28,785,929	$	–	$	–	$	32,492,859	$	–	$	–
State Street Institutional Tax Free Money Market Fund	$	–	$	–	$	–	$	–	$	–	$	–
State Street Institutional U.S. Government Money Market Fund	$	43	$	–	$	–	$	367,253	$	–	$	–
State Street Institutional Treasury Money Market Fund	$	126,460	$	–	$	–	$	17,636	$	–	$	–
State Street Institutional Treasury Plus Money Market Fund	$	–	$	–	$	–	$	17,960	$	–	$	–

15

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

At December 31, 2014, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax Exempt Income		Capital Loss Carryover			Total
State Street Institutional Liquid Reserves Fund	$	199,468	$	–	$	–		$	199,468
State Street Institutional Tax Free Money Market Fund	$	–	$	–	$	–		$	–
State Street Institutional U.S. Government Money Market Fund	$	–	$	–	$	(152,534	)	$	(152,534	)
State Street Institutional Treasury Money Market Fund	$	9,470	$	–	$	–		$	9,470
State Street Institutional Treasury Plus Money Market Fund	$	38	$	–	$	(1,535	)	$	(1,497	)

Expense allocation – Certain expenses are applicable to multiple Funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made.

Use of estimates – The Funds’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.

3. Related Party and Other Fees

The Portfolios retained SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. Each Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, each Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

SSGA FM has contractually agreed to waive a portion of its management fee allocated from its respective Master Fund or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional Liquid Reserves Fund (“ILR”), State Street Institutional U.S. Government Money Market Fund and State Street Institutional Treasury Plus Fund (exclusive of interest, taxes and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Funds’ Premier Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2015. For the year ended December 31, 2014, SSGA FM reimbursed or waived the following:

Fund	Amount Waived
State Street Institutional Liquid Reserves Fund	$	–
State Street Institutional U.S. Government Money Market Fund		44,243
State Street Institutional Treasury Plus Money Market Fund		263,547

16

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2014, SSGA FM voluntarily waived the following:

Fund	Amount Waived
State Street Institutional Liquid Reserves Fund	$	–
State Street Institutional Tax Free Money Market Fund		490,278
State Street Institutional U.S. Government Money Market Fund		4,726,293
State Street Institutional Treasury Money Market Fund		7,917,168
State Street Institutional Treasury Plus Money Market Fund		1,802,611

Effective October 1, 2012, the Trust implemented the terms of its Reimbursement Agreement with SSGA FM, dated September 20, 2012. Under the terms of the Reimbursement Agreement, an applicable Fund agrees to repay SSGA FM up to the amount of fees waived or expenses reduced under the agreement provided that a Fund is not obligated to reimburse SSGA FM (1) more than three years after the end of the fiscal year of the Fund in which SSGA FM provided a voluntary reduction; (2) in respect of any business day for which the net annualized one-day yield of such Fund is less than 0.00%; (3) to the extent that the amount of the reimbursement to SSGA FM on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; (4) to the extent that the amount of the reimbursement would cause the Fund’s net yield to fall below a certain minimum net yield; or (5) in respect of any such fee waivers and/or expense reimbursements that are necessary to maintain a limit on a Fund’s expenses per contractual fee waivers and/or reimbursements by SSGA FM which are effective at the time of such fee waivers and/or expense reimbursements. As of December 31, 2014, SSGA FM has not recouped any expenses from the Funds. Waived/reduced fees subject to potential recovery by year of expiration are as follows:

Expiration	Liquid Reserves Fund		Tax Free Money Market Fund		U.S. Government Money Market Fund		Treasury Money Market Fund		Treasury Plus Money Market Fund
12/31/2015	$	–	$	83,658	$	–	$	269,793	$	–
12/31/2016	$	–	$	418,224	$	1,976,248	$	6,058,938	$	1,004,830
12/31/2017	$	–	$	490,278	$	4,726,293	$	7,917,168	$	1,802,611

Pursuant to the administration agreement, each Fund, except ILR Class M Shares and U.S. Government Money Market Fund Class G Shares, pays a fee at an annual rate of 0.05% of the respective Fund’s net assets accrued daily to SSGA FM. ILR Class M Shares and U.S. Government Money Market Fund Class G Shares pay at an annual rate of 0.03% and 0.01% of its net assets accrued daily to SSGA FM. During the year ended December 31, 2014, ILR and U.S. Government Money Market Fund incurred the following administration fees:

Fund	Liquid Reserves Fund		U.S. Government Money Market Fund
Premier Class	$	18,145,861	$	4,648,486
Investment Class	$	447,221	$	318,688
Class M	$	706,402		–
Class G	$	–	$	21,498

17

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Funds pay State Street an annual fee of $12,600 for custody and accounting services. Pursuant to the sub-administration agreement, SSGA FM pays State Street an annual fee for each Fund serviced by State Street.

The Funds’ Investment Class has adopted a plan of distribution pursuant to Rule 12b-1 under the 1940 Act (the “Rule 12b-1 Plan”). Under the Rule 12b-1 Plan, the Funds compensate financial intermediaries in connection with the distribution of Fund shares and for services provided to the Funds’ shareholders. The Funds’ Investment Class Shares may make payments under the Rule 12b-1 Plan at an annual rate up to 0.10% of eligible average daily net assets of the Investment Class Shares. State Street Global Markets LLC (“SSGM” or the “Distributor”), a subsidiary of State Street Corporation, is the Funds’ Distributor.

During the year ended December 31, 2014, the Funds did not make any payments to SSGM under the Rule 12b-1 Plan.

During the year ended December 31, 2014, SSGM voluntarily agreed to waive Rule 12b-1 fees in the following amounts:

Fund	Amount Waived
State Street Institutional Liquid Reserves Fund	$	894,442
State Street Institutional Tax Free Money Market Fund		192,577
State Street Institutional U.S. Government Money Market Fund		635,522
State Street Institutional Treasury Money Market Fund		1,056,426
State Street Institutional Treasury Plus Money Market Fund		85,724

Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Rule 12b-1 Plan. During the year ended December 31, 2014, SSGM did not make any payments to WMS.

Under the Funds’ Shareholder Servicing Plan, the Funds compensate financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Funds’ Investment Class Shares made payments under the Shareholder Servicing Plan at an annual rate up to 0.25% of the eligible average daily net assets of the Investment Class Shares. During the year ended December 31, 2014, the Funds paid SSGM the following fees under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries:

Fund	Amount
State Street Institutional Liquid Reserves Fund	$	654,919
State Street Institutional Tax Free Money Market Fund		–
State Street Institutional U.S. Government Money Market Fund		–
State Street Institutional Treasury Money Market Fund		–
State Street Institutional Treasury Plus Money Market Fund		–

18

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

During the year ended December 31, 2014, SSGM voluntarily agreed to waive shareholder services fees in the following amounts:

Fund	Amount Waived
State Street Institutional Liquid Reserves Fund	$	1,581,187
State Street Institutional Tax Free Money Market Fund		481,422
State Street Institutional U.S. Government Money Market Fund		1,588,804
State Street Institutional Treasury Money Market Fund		2,641,065
State Street Institutional Treasury Plus Money Market Fund		214,309

WMS is among the financial intermediaries who may receive fees under the shareholder serving agreement. For the year ended December 31, 2014, WMS received the following payments:

Fund	Amount
State Street Institutional Liquid Reserves Fund	$	1,104,979
State Street Institutional Tax Free Money Market Fund		0
State Street Institutional U.S. Government Money Market Fund		249,188
State Street Institutional Treasury Money Market Fund		234,033
State Street Institutional Treasury Plus Money Market Fund		9,821

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $400 for each Fund.

4. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

As of January 24, 2014, each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust pays a fixed allocation of $15,000 per Fund. Each Fund is also impacted by Trustees’ Fees accrued by its respective Master Fund. The Co-Chairmen receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Statement, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

Prior to January 24, 2014, the Feeder Funds did not pay the Trustees directly.

The Trust’s officers are compensated by the Adviser and its affiliates.

19

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

5. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. However, based on experience, the Trust expects the risk of loss to be remote.

20

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

State Street Institutional Investment Trust:

We have audited the accompanying statements of assets and liabilities of State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund (five of the funds constituting State Street Institutional Investment Trust) (the “Funds”) as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund (five of the funds constituting State Street Institutional Investment Trust) at December 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 27, 2015

21

State Street Institutional Investment Trust

General Information

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE

As a shareholder of a fund (the “Funds”), you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended December 31, 2014

Premier Class Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return
State Street Institutional Liquid Reserves Fund	$	1,000.00	$	1,000.40	$	0.61
State Street Institutional Tax Free Money Market Fund	$	1,000.00	$	1,000.00	$	0.20
State Street Institutional U.S. Government Money Market Fund	$	1,000.00	$	1,000.00	$	0.35
State Street Institutional Treasury Money Market Fund	$	1,000.00	$	1,000.00	$	0.15
State Street Institutional Treasury Plus Money Market Fund	$	1,000.00	$	1,000.00	$	0.25

22

State Street Institutional Investment Trust

General Information — (continued)

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE — (continued)

Premier Class Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
State Street Institutional Liquid Reserves Fund	$	1,000.00	$	1,024.60	$	0.61
State Street Institutional Tax Free Money Market Fund	$	1,000.00	$	1,025.00	$	0.20
State Street Institutional U.S. Government Money Market Fund	$	1,000.00	$	1,024.85	$	0.36
State Street Institutional Treasury Money Market Fund	$	1,000.00	$	1,025.05	$	0.15
State Street Institutional Treasury Plus Money Market Fund	$	1,000.00	$	1,024.95	$	0.26

* The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Premier Class Shares’ annualized expense ratio as of December 31, 2014, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows:

State Street Institutional Liquid Reserves Fund	0.12%
State Street Institutional Tax Free Money Market Fund	0.04%
State Street Institutional U.S. Government Money Market Fund	0.07%
State Street Institutional Treasury Money Market Fund	0.03%
State Street Institutional Treasury Plus Money Market Fund	0.05%

The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

Six Months Ended December 31, 2014

Investment Class Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return
State Street Institutional Liquid Reserves Fund	$	1,000.00	$	1,000.00	$	1.01
State Street Institutional Tax Free Money Market Fund	$	1,000.00	$	1,000.00	$	0.20
State Street Institutional U.S. Government Money Market Fund	$	1,000.00	$	1,000.00	$	0.35
State Street Institutional Treasury Money Market Fund	$	1,000.00	$	1,000.00	$	0.15
State Street Institutional Treasury Plus Money Market Fund	$	1,000.00	$	1,000.00	$	0.25

23

State Street Institutional Investment Trust

General Information — (continued)

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE — (continued)

Investment Class Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
State Street Institutional Liquid Reserves Fund	$	1,000.00	$	1,024.20	$	1.02
State Street Institutional Tax Free Money Market Fund	$	1,000.00	$	1,025.00	$	0.20
State Street Institutional U.S. Government Money Market Fund	$	1,000.00	$	1,024.85	$	0.36
State Street Institutional Treasury Money Market Fund	$	1,000.00	$	1,025.05	$	0.15
State Street Institutional Treasury Plus Money Market Fund	$	1,000.00	$	1,024.95	$	0.26

* The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Investment Class Shares’ annualized expense ratio as of December 31, 2014, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows:

State Street Institutional Liquid Reserves Fund	0.20%
State Street Institutional Tax Free Money Market Fund	0.04%
State Street Institutional U.S. Government Money Market Fund	0.07%
State Street Institutional Treasury Money Market Fund	0.03%
State Street Institutional Treasury Plus Money Market Fund	0.05%

The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

Six Months Ended December 31, 2014

State Street Institutional Liquid Reserves Fund Class M Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return	$	1,000.00	$	1,000.50	$	0.50
Based on Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.70	$	0.51

* The calculation is based on expenses incurred in the most recent six month period of the Fund. The annualized expense ratio for the six month period ended December 31, 2014 was 0.10%. The dollar amount shown as “Expenses Paid” is equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

24

State Street Institutional Investment Trust

General Information — (continued)

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE — (continued)

Six Months Ended December 31, 2014

State Street Institutional U.S. Government Money Market Fund Class G Shares**	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return	$	1,000.00	$	1,000.00	$	0.19
Based on Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.80	$	0.41

* The calculation is based on expenses incurred in the most recent six month period of the Fund. The annualized expense ratio for the six month period ended December 31, 2014 was 0.08%. The dollar amount shown as “Expenses Paid” is equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 10/5/14. Hypothetical period is from 7/1/14.

Proxy Voting Policies and Procedures and Record

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

25

State Street Institutional Investment Trust

Trustees and Officers Information

December 31, 2014

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 –2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

26

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

27

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Master Funds; Trustee SSGA Funds
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 – 2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

28

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc.( June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

29

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian and Sub-Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Public Registered Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

Boston Financial Data Services

Two Heritage Drive

North Quincy, MA 02171

Distributor

State Street Global Markets LLC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Institutional Investment Trust

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

Annual Report

31 December 2014

State Street Master Funds

State Street Money Market Portfolio

State Street Tax Free Money Market Portfolio

State Street U.S. Government Money Market Portfolio

State Street Treasury Money Market Portfolio

State Street Treasury Plus Money Market Portfolio

State Street Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Certificates of Deposit	38.2	%
Treasury Repurchase Agreements	34.1
Financial Company Commercial Paper	19.0
Other Notes	3.9
Other Repurchase Agreements	3.3
Government Agency Repurchase Agreements	1.6
Asset Backed Commercial Paper	0.7
Liabilities in Excess of Other Assets	(0.8	)
Total	100.0	%

Maturity Ladder*	December 31, 2014
Overnight (1 Day)	22.1	%
2-30 Days	30.7
31-60 Days	17.9
61-90 Days	11.2
Over 90 Days	18.9
Total	100.8	%
Average days to maturity	26
Weighted average life	55

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

32

State Street Money Market Portfolio

Portfolio of Investments

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
ASSET BACKED COMMERCIAL PAPER – 0.7%
Collateralized Commercial Paper Co. LLC(a)		0.200	%		02/11/2015		02/11/2015	$	300,000,000	$	299,931,666
FINANCIAL COMPANY COMMERCIAL PAPER – 19.0%
Australia & New Zealand Banking Group Ltd.(b)(c)		0.241	%		01/13/2015		04/13/2015		85,000,000		85,000,000
BNP Paribas(a)		0.300	%		01/06/2015		01/06/2015		200,000,000		199,991,667
BNP Paribas(a)		0.260	%		01/22/2015		01/22/2015		300,000,000		299,954,500
Caisse des Depots et Consignations(a)(d)		0.230	%		02/03/2015		02/03/2015		50,000,000		49,989,458
Caisse des Depots et Consignations(a)(d)		0.200	%		02/20/2015		02/20/2015		450,000,000		449,875,000
Caisse des Depots et Consignations(a)(d)		0.215	%		04/02/2015		04/02/2015		150,000,000		149,918,479
Caisse des Depots et Consignations(a)(d)		0.215	%		04/07/2015		04/07/2015		175,000,000		174,899,667
DnB Bank ASA(a)(c)		0.210	%		01/13/2015		01/13/2015		300,000,000		299,979,000
DnB Bank ASA(a)(c)		0.225	%		01/20/2015		01/20/2015		250,000,000		249,971,632
DnB Bank ASA(a)(c)		0.225	%		01/20/2015		01/20/2015		110,000,000		109,986,938
DnB Bank ASA(a)(c)		0.190	%		01/26/2015		01/26/2015		350,000,000		349,953,819
DnB Bank ASA(a)(c)		0.215	%		03/06/2015		03/06/2015		385,000,000		384,852,844
Erste Abwicklungsanstalt(a)(c)		0.180	%		02/10/2015		02/10/2015		125,000,000		124,975,000
General Electric Capital Corp.(a)		0.200	%		01/08/2015		01/08/2015		100,000,000		99,996,111
HSBC Bank PLC(a)(c)		0.230	%		03/30/2015		03/30/2015		150,000,000		149,915,667
HSBC Bank PLC(b)(c)		0.252	%		01/12/2015		09/10/2015		100,000,000		100,000,000
HSBC Bank PLC(b)(c)		0.244	%		01/02/2015		10/02/2015		175,000,000		175,000,000
JP Morgan Securities LLC(b)(c)		0.327	%		01/06/2015		02/06/2015		350,000,000		350,000,000
Nationwide Building Society(a)(c)		0.190	%		01/07/2015		01/07/2015		150,000,000		149,995,250
Nordea Bank AB(a)(c)		0.200	%		01/22/2015		01/22/2015		145,000,000		144,983,083
Nordea Bank AB(a)(c)		0.200	%		02/24/2015		02/24/2015		300,000,000		299,910,000
Nordea Bank AB(a)(c)		0.200	%		02/26/2015		02/26/2015		175,000,000		174,945,556
Skandinaviska Enskilda Banken AB(a)(c)		0.200	%		02/05/2015		02/05/2015		495,000,000		494,903,750
Skandinaviska Enskilda Banken AB(a)(c)		0.240	%		03/02/2015		03/02/2015		385,000,000		384,846,000
Societe Generale(a)(c)		0.240	%		03/03/2015		03/03/2015		325,000,000		324,867,833
Sumitomo Mitsui Banking Corp.(a)(c)		0.240	%		01/22/2015		01/22/2015		350,000,000		349,951,000
Svenska Handelsbanken AB(a)(c)		0.200	%		04/17/2015		04/17/2015		200,000,000		199,882,222
Swedbank AB(a)		0.230	%		02/02/2015		02/02/2015		100,000,000		99,979,556
Swedbank AB(a)		0.230	%		02/05/2015		02/05/2015		100,000,000		99,977,639
Swedbank AB(a)		0.230	%		02/10/2015		02/10/2015		200,000,000		199,948,889
Toyota Motor Credit Corp.(a)		0.200	%		01/07/2015		01/07/2015		50,000,000		49,998,333
Toyota Motor Credit Corp.(a)		0.200	%		01/08/2015		01/08/2015		129,000,000		128,994,984
Westpac Banking Corp.(b)(c)		0.231	%		01/16/2015		01/16/2015		409,500,000		409,500,000
Westpac Banking Corp.(b)(c)		0.228	%		01/05/2015		03/04/2015		250,000,000		249,998,437
Westpac Banking Corp.(b)(c)		0.243	%		01/26/2015		04/24/2015		150,000,000		150,000,000
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER											7,716,942,314

See Notes to Financial Statements.

33

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
CERTIFICATES OF DEPOSIT – 38.2%
Bank of America NA(a)		0.230	%		01/23/2015		01/23/2015	$	121,000,000	$	121,000,000
Bank of America NA(a)		0.230	%		01/26/2015		01/26/2015		195,000,000		195,000,000
Bank of Montreal(a)		0.190	%		01/07/2015		01/07/2015		145,000,000		145,000,000
Bank of Montreal(b)		0.282	%		01/20/2015		06/17/2015		325,000,000		325,000,000
Bank of Nova Scotia(b)		0.287	%		01/07/2015		06/05/2015		335,000,000		335,000,000
Bank of Nova Scotia(b)		0.262	%		01/12/2015		09/04/2015		350,000,000		350,000,000
Bank of Tokyo – Mitsubishi(a)		0.200	%		01/09/2015		01/09/2015		140,000,000		140,000,000
Bank of Tokyo – Mitsubishi(a)		0.200	%		02/04/2015		02/04/2015		200,000,000		200,000,000
Bank of Tokyo – Mitsubishi(a)		0.200	%		03/16/2015		03/16/2015		350,000,000		350,000,000
Barclays Bank(b)		0.336	%		03/09/2015		04/01/2015		500,000,000		500,000,000
Barclays Bank(b)		0.390	%		01/26/2015		06/25/2015		685,000,000		685,000,000
BNP Paribas(a)		0.250	%		02/04/2015		02/04/2015		500,000,000		500,000,000
BNP Paribas(a)		0.250	%		03/12/2015		03/12/2015		384,000,000		384,000,000
Canadian Imperial Bank of Commerce(b)		0.317	%		01/05/2015		06/04/2015		195,000,000		195,000,000
Chase Bank USA NA(b)		0.240	%		01/26/2015		01/26/2015		124,000,000		124,000,000
Chase Bank USA NA(b)		0.247	%		01/26/2015		02/24/2015		124,000,000		124,000,000
Citibank NA(a)		0.200	%		01/06/2015		01/06/2015		50,000,000		50,000,000
Citibank NA(a)		0.230	%		01/26/2015		01/26/2015		375,000,000		375,000,000
Credit Agricole Corporate & Investment Bank(a)		0.250	%		02/03/2015		02/03/2015		700,000,000		700,000,000
Credit Suisse(a)		0.230	%		01/07/2015		01/07/2015		285,000,000		285,000,000
Credit Suisse(a)		0.310	%		02/05/2015		02/05/2015		400,000,000		400,000,000
ING Bank NV(a)		0.300	%		02/02/2015		02/02/2015		125,000,000		125,000,000
ING Bank NV(a)		0.310	%		02/11/2015		02/11/2015		140,000,000		140,000,000
ING Bank NV(a)		0.310	%		02/27/2015		02/27/2015		200,000,000		200,000,000
ING Bank NV(a)		0.320	%		03/02/2015		03/02/2015		200,000,000		200,000,000
ING Bank NV(a)		0.320	%		03/10/2015		03/10/2015		400,000,000		400,000,000
ING Bank NV(a)		0.240	%		03/18/2015		03/18/2015		208,000,000		208,000,000
Lloyds Bank PLC(a)		0.250	%		02/09/2015		02/09/2015		221,000,000		221,000,000
Nordea Bank AB(a)		0.245	%		01/22/2015		01/22/2015		100,000,000		99,999,709
Norinchukin Bank(a)		0.190	%		01/08/2015		01/08/2015		375,000,000		374,999,995
Norinchukin Bank(a)		0.230	%		01/26/2015		01/26/2015		500,000,000		500,000,000
Rabobank Nederland NV(a)		0.210	%		01/08/2015		01/08/2015		216,000,000		216,000,000
Rabobank Nederland NV(a)		0.220	%		03/13/2015		03/13/2015		350,000,000		350,000,000
Rabobank Nederland NV(a)		0.210	%		04/06/2015		04/06/2015		300,000,000		300,000,000
Rabobank Nederland NV(a)		0.210	%		05/04/2015		05/04/2015		200,000,000		200,000,000
Royal Bank of Canada(b)		0.236	%		01/20/2015		05/20/2015		125,000,000		125,000,000
Royal Bank of Canada(b)		0.260	%		01/29/2015		08/31/2015		120,000,000		120,000,000
Royal Bank of Canada(b)		0.262	%		01/12/2015		09/10/2015		180,000,000		180,000,000
Standard Chartered Bank(a)		0.160	%		01/02/2015		01/02/2015		150,000,000		150,000,000
Sumitomo Mitsui Banking Corp.(a)		0.240	%		01/22/2015		01/22/2015		150,000,000		150,000,000
Sumitomo Mitsui Banking Corp.(a)		0.220	%		02/06/2015		02/06/2015		100,000,000		100,000,000

See Notes to Financial Statements.

34

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
CERTIFICATES OF DEPOSIT – (continued)
Sumitomo Mitsui Banking Corp.(a)		0.220	%		02/27/2015		02/27/2015	$	150,000,000	$	150,000,000
Svenska Handelsbanken AB(a)		0.205	%		01/26/2015		01/26/2015		150,000,000		150,000,521
Svenska Handelsbanken AB(a)		0.195	%		02/02/2015		02/02/2015		200,000,000		200,000,888
Svenska Handelsbanken AB(a)		0.220	%		02/09/2015		02/09/2015		178,660,000		178,660,966
Svenska Handelsbanken AB(a)		0.215	%		04/16/2015		04/16/2015		300,000,000		300,004,372
Swedbank AB(a)		0.230	%		01/07/2015		01/07/2015		200,000,000		200,000,000
Toronto Dominion Bank(a)		0.200	%		01/13/2015		01/13/2015		175,000,000		175,000,000
Toronto Dominion Bank(a)		0.200	%		01/14/2015		01/14/2015		125,000,000		125,000,000
Toronto Dominion Bank(a)		0.200	%		01/15/2015		01/15/2015		125,000,000		125,000,000
Toronto Dominion Bank(a)		0.200	%		03/03/2015		03/03/2015		355,000,000		355,000,000
Toronto Dominion Bank(b)		0.243	%		02/23/2015		08/24/2015		289,000,000		289,000,000
UBS AG(a)		0.220	%		02/06/2015		02/06/2015		535,000,000		535,000,000
UBS AG(b)		0.267	%		01/05/2015		03/05/2015		300,500,000		300,500,000
Wells Fargo Bank NA(b)		0.231	%		01/12/2015		03/12/2015		225,000,000		225,000,000
Wells Fargo Bank NA(b)		0.231	%		01/09/2015		04/09/2015		214,000,000		214,000,000
Wells Fargo Bank NA(b)		0.253	%		01/08/2015		07/07/2015		300,000,000		300,000,000
Wells Fargo Bank NA(b)		0.250	%		01/12/2015		07/14/2015		458,000,000		458,000,000
Westpac Banking Corp.(b)		0.227	%		01/06/2015		01/06/2015		250,000,000		249,999,822
Westpac Banking Corp.(b)		0.231	%		01/16/2015		01/16/2015		155,000,000		155,000,000
TOTAL CERTIFICATES OF DEPOSIT											15,528,166,273
OTHER NOTES – 3.9%
Bank of America NA(a)		0.230	%		02/09/2015		02/09/2015		192,000,000		192,000,000
Bank of America NA(a)		0.230	%		02/19/2015		02/19/2015		234,000,000		234,000,000
JPMorgan Chase Bank NA(b)		0.355	%		03/09/2015		01/07/2016		260,000,000		260,000,000
JPMorgan Chase Bank NA(b)		0.352	%		01/22/2015		01/22/2016		175,000,000		175,000,000
Royal Bank of Canada(b)(d)		0.322	%		01/07/2015		01/07/2016		155,000,000		155,000,000
Svenska Handelsbanken AB(b)(d)		0.320	%		01/27/2015		06/26/2015		180,000,000		180,000,000
Wells Fargo Bank NA(b)		0.328	%		03/10/2015		01/08/2016		155,000,000		155,000,000
Wells Fargo Bank NA(b)		0.336	%		01/20/2015		01/20/2016		227,000,000		227,000,000
TOTAL OTHER NOTES											1,578,000,000

See Notes to Financial Statements.

35

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 1.6%
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/26/2014 (collateralized by various Federal Home Loan Mortgage Corporations, 3.000% – 6.500% due 10/01/2023 – 12/01/2044, Federal National Mortgage Associations, 3.500% – 6.000% due 06/01/2023 – 12/01/2044, Government National Mortgage Associations, 4.000% – 6.000% due 06/15/2040 – 12/20/2044, and a U.S. Treasury Bond, 2.750% due 02/15/2024, valued at $255,000,066); expected proceeds $250,004,375		0.090	%		01/02/2015		01/02/2015	$	250,000,000	$	250,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.500% due 03/01/2024 – 01/01/2045, and Federal National Mortgage Associations, 2.500% – 6.000% due 02/01/2024 – 12/01/2044, valued at $306,000,001); expected proceeds $300,004,667		0.080	%		01/07/2015		01/07/2015		300,000,000		300,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 6.500% due 04/01/2019 – 11/01/2044, and Federal National Mortgage Associations, 2.500% –6.000% due 12/01/2025 – 12/01/2044, valued at $102,000,000); expected proceeds $100,001,778		0.080	%		01/08/2015		01/08/2015		100,000,000		100,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											650,000,000
TREASURY REPURCHASE AGREEMENTS – 34.1%
Agreement with Federal Reserve Bank of New York and The Bank of New York Mellon (Tri-Party), dated 12/08/2014 (collateralized by a U.S. Treasury Bond, 2.750% due 08/15/2042, and U.S. Treasury Notes, 1.625% – 2.625% due 08/15/2020 – 08/15/2022, valued at $3,013,254,995); expected proceeds $3,000,186,667		0.080	%		01/05/2015		01/05/2015		3,000,000,000		3,000,000,000

See Notes to Financial Statements.

36

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Federal Reserve Bank of New York and The Bank of New York Mellon (Tri-Party), dated 12/15/2014 (collateralized by a U.S. Treasury Bond, 4.500% due 05/15/2038, and U.S. Treasury Notes, 1.375% – 4.000% due 08/15/2018 – 08/15/2022, valued at $777,673,569); expected proceeds $775,031,646		0.070	%		01/05/2015		01/05/2015	$	775,000,000	$	775,000,000
Agreement with Federal Reserve Bank of New York and The Bank of New York Mellon (Tri-Party), dated 12/29/2014 (collateralized by a U.S. Treasury Bond, 4.500% due 05/15/2038, and U.S. Treasury Notes, 1.625% – 4.000% due 02/28/2018 – 08/15/2022, valued at $1,504,537,044); expected proceeds $1,500,029,167		0.100	%		01/05/2015		01/05/2015		1,500,000,000		1,500,000,000
Agreement with Federal Reserve Bank of New York and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a U.S. Treasury Bond, 2.750% due 08/15/2042, and U.S. Treasury Notes, 1.375% – 4.000% due 02/29/2016 – 11/15/2022, valued at $8,610,023,984); expected proceeds $8,610,023,917		0.050	%		01/02/2015		01/02/2015		8,610,000,000		8,610,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											13,885,000,000
OTHER REPURCHASE AGREEMENTS – 3.3%
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/05/2014 (collateralized by a Collateralized Mortgage Obligation, 1.255% due 09/17/2031, and Corporate Bonds, 0.524% – 9.750% due 03/06/2015 – 12/31/2099, valued at $162,328,344); expected proceeds $155,244,125		0.630	%		01/02/2015		03/05/2015		155,000,000		155,000,000
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2014 (collateralized by various Corporate Bonds, 0.000% – 11.875% due 07/15/2015 – 09/01/2066, Medium Term Notes, 4.300% – 5.017% due 10/17/2021 – 06/26/2024, and U.S. Treasury Notes, 0.250% – 4.250% due 08/15/2015 – 12/31/2018 valued at $487,411,705); expected proceeds $450,185,625		0.450	%		01/02/2015		02/02/2015		450,000,000		450,000,000

See Notes to Financial Statements.

37

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
OTHER REPURCHASE AGREEMENTS – (continued)
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/05/2014 (collateralized by a Common Stock, and U.S. Treasury Strips, 0.000% due 11/15/2031 – 08/15/2043 valued at $128,194,443); expected proceeds $125,125,000		0.400	%		01/02/2015		03/05/2015	$	125,000,000	$	125,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/19/2014 (collateralized by various Common Stocks, a Corporate Bond, 5.500% due 02/06/2044, and a U.S. Treasury Bill, 0.000% due 01/08/2015 valued at $334,729,030); expected proceeds $310,471,372		0.460	%		01/02/2015		04/17/2015		310,000,000		310,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/19/2014 (collateralized by various Corporate Bonds, 0.000% – 9.700% due 03/15/2015 – 03/15/2072 valued at $344,078,912); expected proceeds $320,385,031		0.364	%		01/16/2015		04/17/2015		320,000,000		320,000,000
TOTAL OTHER REPURCHASE AGREEMENTS											1,360,000,000
TOTAL INVESTMENTS(e)(f) – 100.8%											41,018,040,253
Liabilities in Excess of Other Assets – (0.8)%											(313,572,633	)
NET ASSETS – 100.0%										$	40,704,467,620

^(a)  Rate represents annualized yield at date of purchase

^(b)  Variable Rate Security – Interest rate shown is rate in effect as of December 31, 2014.

^(c)  Rule 144A, Section 4(2) or other security, which is restricted to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $5,712,844,664 or 14.03% of net assets as of December 31, 2014.

^(d)  Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $1,159,637,241 or 2.85% of net assets as of December 31, 2014.

^(e)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2).

^(f)  Also represents the cost for federal tax purposes

See Notes to Financial Statements.

38

State Street Tax Free Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Cash/Money Market Fund	24.4	%
General Obligations	18.6
Housing	14.9
Health	7.8
Transportation	7.8
Power	7.3
Education	7.2
Pollution	4.1
Water	2.5
Development	2.1
Industrial Revenue/Pollution Control Revenue	1.5
Airport	1.2
Stadium	0.6
Liabilities in Excess of Other Assets	(0.0	)**
Total	100.0	%

Maturity Ladder*	December 31, 2014
Overnight (1 Day)	33.3	%
2-30 Days	66.7
31-60 Days	0.0
61-90 Days	0.0
Over 90 Days	0.0
Total	100.0	%
Average days to maturity	5
Weighted average life	5

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

** Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

39

State Street Tax Free Money Market Portfolio

Portfolio of Investments

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
VARIABLE RATE DEMAND NOTES – 75.6%
California – 6.9%
California Infrastructure & Economic Development Bank, Revenue Bonds, Pacific Gas & Electric Co., LOC: Sumitomo Mitsui Banking(a)		0.010	%		01/02/2015		01/02/2015	$	2,000,000	$	2,000,000
California Infrastructure & Economic Development Bank, Revenue Bonds, Pacific Gas & Electric Co., Series D, LOC: Sumitomo Mitsui Banking(a)		0.010	%		01/02/2015		01/02/2015		4,875,000		4,875,000
City of Hemet, Multi Family Housing Revenue Bonds, Sunwest Retirement, Series A, LIQ: FHLMC(a)		0.050	%		01/07/2015		01/07/2015		1,500,000		1,500,000
East Bay Municipal Utility District, System Revenue Bonds, Series A-2, RMKT 01/12/11, SPA: Barclays Bank PLC(a)		0.020	%		01/07/2015		01/07/2015		2,630,000		2,630,000
Lancaster Redevelopment Agency, Multi Family Housing Revenue Bonds, 20th Street Apartments Project, Series C, LIQ: FNMA(a)		0.050	%		01/07/2015		01/07/2015		1,000,000		1,000,000
San Francisco City & County Airports Commission, Revenue Bonds, Second Series 36-A, RMKT 06/02/09, LOC: U.S. Bank N.A.(a)		0.020	%		01/07/2015		01/07/2015		3,000,000		3,000,000
State of California, GO Unlimited, Series A, LOC: Royal Bank of Canada(a)		0.020	%		01/07/2015		01/07/2015		2,500,000		2,500,000
											17,505,000
Colorado – 5.2%
Colorado Housing & Finance Authority, Revenue Bonds, Multi Family, Class I A-1, SPA: FHLB(a)		0.020	%		01/07/2015		01/07/2015		5,445,000		5,445,000
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Series B-3, SPA: Barclays Bank PLC, LIQ: FHA(a)		0.020	%		01/07/2015		01/07/2015		4,000,000		4,000,000
Southern Ute Indian Tribe of Southern Ute Indian Reservation, Revenue Bonds(a)		0.070	%		01/07/2015		01/07/2015		3,700,000		3,700,000
											13,145,000
Connecticut – 6.8%
Connecticut Housing Finance Authority, Revenue Bonds, Mortgage Finance Program, Subseries B-6, SPA: Bank of Tokyo-Mitsubishi UFJ(a)		0.040	%		01/07/2015		01/07/2015		3,000,000		3,000,000
Connecticut Housing Finance Authority, Revenue Bonds, Subseries E-3, INS: Government Authority, SPA: Bank of Tokyo-Mitsubishi UFJ(a)		0.040	%		01/07/2015		01/07/2015		4,750,000		4,750,000

See Notes to Financial Statements.

40

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
VARIABLE RATE DEMAND NOTES – (continued)
Connecticut – (continued)
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series  U-2(a)		0.020	%		01/07/2015		01/07/2015	$	9,480,000	$	9,480,000
											17,230,000
Delaware – 2.7%
Delaware River & Bay Authority, Revenue Bonds, LOC: TD Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015		6,900,000		6,900,000
Florida – 0.9%
JEA Electric System, Revenue Bonds, Series 3-A, SPA: Royal Bank of Canada(a)		0.020	%		01/07/2015		01/07/2015		2,415,000		2,415,000
Indiana – 4.5%
City of Indianapolis, Revenue Bonds, Lakeside Pointe and Fox Club, LIQ: FNMA(a)		0.060	%		01/07/2015		01/07/2015		2,000,000		2,000,000
Indiana Finance Authority, Hospital Revenue Bonds, Indiana University Health, Series C, LOC: Northern Trust Company(a)		0.020	%		01/07/2015		01/07/2015		9,295,000		9,295,000
											11,295,000
Maryland – 2.0%
Maryland State Health & Higher Educational Facilities Authority, Revenue Bonds, University of Maryland Medical System, Class A, LOC: Wachovia Bank N.A.(a)		0.060	%		01/07/2015		01/07/2015		3,545,000		3,545,000
Maryland State Stadium Authority Lease, Revenue Bonds, Football Stadium, SPA: Sumitomo Mitsui Banking(a)		0.040	%		01/07/2015		01/07/2015		1,520,000		1,520,000
											5,065,000
Massachusetts – 6.8%
Commonwealth of Massachusetts, Central Artery, GO Limited, Series B, SPA: U.S. Bank N.A.(a)		0.020	%		01/02/2015		01/02/2015		4,465,000		4,465,000
Massachusetts Bay Transportation Authority, Revenue Bonds, Senior Series A-1, SPA: JP Morgan Chase Bank(a)		0.030	%		01/07/2015		01/07/2015		7,900,000		7,900,000
Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, RMKT 09/30/11, INS: Government Authority, SPA: Barclays Bank PLC(a)		0.010	%		01/07/2015		01/07/2015		4,835,000		4,835,000
											17,200,000
Michigan – 1.2%
Michigan State University, Revenue Bonds, Series A, SPA: JP Morgan Chase Bank(a)		0.010	%		01/07/2015		01/07/2015		3,000,000		3,000,000

See Notes to Financial Statements.

41

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
VARIABLE RATE DEMAND NOTES – (continued)
Minnesota – 0.6%
City of Minneapolis, Revenue Bonds, University Gateway Project, SPA: Wells Fargo Bank N.A.(a)		0.040	%		01/07/2015		01/07/2015	$	1,635,000	$	1,635,000
Missouri – 2.4%
Missouri Development Finance Board Cultural Facilities Revenue Bonds, Nelson Gallery Foundation, Series A, SPA: Northern Trust Company(a)		0.030	%		01/02/2015		01/02/2015		5,000,000		5,000,000
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Washington University, Series B, SPA: Wells Fargo Bank N.A.(a)		0.030	%		01/02/2015		01/02/2015		1,000,000		1,000,000
											6,000,000
New Hampshire – 1.3%
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a)		0.030	%		01/07/2015		01/07/2015		3,375,000		3,375,000
New York – 4.7%
New York City Transitional Finance Authority, Revenue Bonds, New York City Recovery, Series 3, Subseries 3-F, SPA: Royal Bank of Canada(a)		0.030	%		01/02/2015		01/02/2015		2,500,000		2,500,000
New York City Transitional Finance Authority, Revenue Bonds, New York City Recovery, Series 3, Subseries 3-H, SPA: Royal Bank of Canada(a)		0.030	%		01/02/2015		01/02/2015		2,685,000		2,685,000
New York State Dormitory Authority, Revenue Bonds, Cornell University, Series A, SPA: JP Morgan Chase Bank(a)		0.040	%		01/07/2015		01/07/2015		1,900,000		1,900,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series A, SPA: JP Morgan Chase Bank(a)		0.040	%		01/07/2015		01/07/2015		3,520,000		3,520,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series B, SPA: U.S. Bank N.A.(a)		0.040	%		01/07/2015		01/07/2015		1,300,000		1,300,000
											11,905,000
North Carolina – 11.3%
Charlotte COPs, Convention Facility Project, Series B, SPA: Wachovia Bank N.A.(a)		0.060	%		01/07/2015		01/07/2015		2,250,000		2,250,000
City of Wilmington, GO Unlimited, SPA: Wells Fargo Bank N.A.(a)		0.020	%		01/07/2015		01/07/2015		900,000		900,000
County of Guilford, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015		8,185,000		8,185,000

See Notes to Financial Statements.

42

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
VARIABLE RATE DEMAND NOTES – (continued)
North Carolina – (continued)
County of Wake, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015	$	3,100,000	$	3,100,000
County of Wake, GO Unlimited, Series C, SPA: Wells Fargo Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015		3,000,000		3,000,000
County of Wake, GO Unlimited, Series C, SPA: Wells Fargo Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015		4,100,000		4,100,000
North Carolina Medical Care Commission & Health Care facilities, Revenue Bonds, Novant Health Group, Series A, SPA: JP Morgan Chase Bank N.A.(a)		0.060	%		01/07/2015		01/07/2015		7,000,000		7,000,000
											28,535,000
Ohio – 3.0%
Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series B, LOC: Bank of Nova Scotia(a)		0.040	%		01/07/2015		01/07/2015		7,500,000		7,500,000
Oregon – 3.4%
State of Oregon, GO Unlimited, Veterans Welfare Bonds, Series 84, SPA: Bank of Tokyo-Mitsubishi UFJ(a)		0.020	%		01/07/2015		01/07/2015		7,600,000		7,600,000
State of Oregon, GO Unlimited, Veterans Welfare Bonds, Series 90-B, SPA: Bank of Tokyo-Mitsubishi UFJ(a)		0.030	%		01/07/2015		01/07/2015		920,000		920,000
											8,520,000
Pennsylvania – 1.5%
City of Philadelphia Water & Wastewater, Revenue Bonds, Series B, RMKT 09/10/08, LOC: TD Bank N.A.(a)		0.030	%		01/07/2015		01/07/2015		3,765,000		3,765,000
Rhode Island – 2.6%
Rhode Island Health & Educational Building Corp., Revenue Bonds, Bryant University, LOC: TD Bank N.A.(a)		0.020	%		01/07/2015		01/07/2015		6,555,000		6,555,000
South Carolina – 2.0%
City of North Charleston, Tax Increment Revenue Bonds, Charleston Naval Complex, SPA: Bank of America N.A.(a)		0.030	%		01/07/2015		01/07/2015		5,055,000		5,055,000
Texas – 0.8%
Harris County Health Facilities Development Corps., Revenue Bonds, Texas Children’s, Series B-1, RMKT 02/02/09, SPA: JP Morgan Chase Bank(a)		0.030	%		01/07/2015		01/07/2015		2,080,000		2,080,000
Utah – 1.2%
County of Utah UT, Revenue Bonds, Series B, IHC Health Services, Inc.,(a)		0.040	%		01/07/2015		01/07/2015		3,100,000		3,100,000

See Notes to Financial Statements.

43

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
VARIABLE RATE DEMAND NOTES – (continued)
Washington – 2.6%
Washington State Housing Finance Commission, Revenue Bonds, INS: FHLMC, LOC: Bank of America N.A.(a)		0.050	%		01/07/2015		01/07/2015	$	1,605,000	$	1,605,000
Washington State Housing Finance Commission, Revenue Bonds, New Haven Apartments, INS: FNMA, LIQ: FNMA(a)		0.050	%		01/07/2015		01/07/2015		5,000,000		5,000,000
											6,605,000
West Virginia – 1.2%
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Corp., Series B, LOC: Sumitomo Mitsui Banking(a)		0.040	%		01/07/2015		01/07/2015		3,000,000		3,000,000
TOTAL VARIABLE RATE DEMAND NOTES											191,385,000
								Shares
INVESTMENT COMPANY – 24.4%
Dreyfus Tax Exempt Cash Management Fund Investor Shares 0.07%(b)(c)									61,856,729		61,856,729
TOTAL INVESTMENTS(d)(e) – 100.0%											253,241,729
Liabilities in Excess of Other Assets – (0.0)%(f)											(46,418	)
NET ASSETS – 100.0%										$	253,195,311

^(a)  Variable Rate Security – Interest rate shown is rate in effect as of December 31, 2014.

^(b)  Value determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures

^(c)  The rate shown is the annualized seven-day yield at period end.

^(d)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2).

^(e)  Also represents the cost for federal tax purposes

^(f)  Amount represents less than 0.05% of net assets

Acronym	Name
COP	Certificates of Participation
FHA	Federal Housing Administration
FHLB	Federal Home Loan Bank
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GO	General Obligation
INS	Insured
LIQ	Liquidity Agreement
LOC	Letter of Credit
RMKT	Remarketable
SPA	Standby Purchase Agreement

See Notes to Financial Statements.

44

State Street U.S. Government Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Government Agency Debt	69.4	%
Treasury Repurchase Agreements	15.2
Treasury Debt	8.7
Government Agency Repurchase Agreements	1.0
Assets in Excess of Other Liabilities	5.7
Total	100.0	%

Maturity Ladder*	December 31, 2014
Overnight (1 Day)	13.0	%
2-30 Days	34.8
31-60 Days	17.4
61-90 Days	10.4
Over 90 Days	18.7
Total	94.3	%
Average days to maturity	41
Weighted average life	48

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

45

State Street U.S. Government Money Market Portfolio

Portfolio of Investments

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – 69.4%
Federal Farm Credit Bank(a)		0.102	%		01/15/2015		01/15/2015	$	30,000,000	$	29,998,833
Federal Farm Credit Bank(b)		0.103	%		01/05/2015		03/04/2015		111,000,000		110,998,970
Federal Farm Credit Bank(a)		0.130	%		03/17/2015		03/17/2015		25,000,000		24,993,229
Federal Farm Credit Bank(a)		0.081	%		04/21/2015		04/21/2015		42,000,000		41,989,733
Federal Home Loan Bank(a)		0.046	%		01/07/2015		01/07/2015		132,000,000		131,999,010
Federal Home Loan Bank(a)		0.048	%		01/07/2015		01/07/2015		165,000,000		164,998,707
Federal Home Loan Bank(a)		0.051	%		01/07/2015		01/07/2015		28,000,000		27,999,767
Federal Home Loan Bank(a)		0.097	%		01/07/2015		01/07/2015		50,000,000		49,999,208
Federal Home Loan Bank(a)		0.100	%		01/07/2015		01/07/2015		46,000,000		45,999,249
Federal Home Loan Bank(a)		0.102	%		01/16/2015		01/16/2015		20,000,000		19,999,167
Federal Home Loan Bank(b)		0.109	%		01/20/2015		01/20/2015		212,000,000		211,999,455
Federal Home Loan Bank(a)		0.111	%		01/20/2015		01/20/2015		174,000,000		174,000,000
Federal Home Loan Bank(a)		0.063	%		01/21/2015		01/21/2015		125,000,000		124,995,694
Federal Home Loan Bank(a)		0.107	%		01/21/2015		01/21/2015		50,000,000		49,997,083
Federal Home Loan Bank(a)		0.102	%		01/23/2015		01/23/2015		40,000,000		39,997,556
Federal Home Loan Bank(a)		0.102	%		01/23/2015		01/23/2015		50,000,000		49,996,944
Federal Home Loan Bank(a)		0.080	%		01/26/2015		01/26/2015		5,920,000		5,919,671
Federal Home Loan Bank(a)		0.066	%		01/28/2015		01/28/2015		450,000,000		449,978,062
Federal Home Loan Bank(a)		0.069	%		01/28/2015		01/28/2015		87,000,000		86,995,628
Federal Home Loan Bank(a)		0.071	%		01/30/2015		01/30/2015		185,000,000		184,989,568
Federal Home Loan Bank(a)		0.102	%		01/30/2015		01/30/2015		102,000,000		101,991,783
Federal Home Loan Bank(a)		0.102	%		01/30/2015		01/30/2015		70,000,000		69,994,361
Federal Home Loan Bank(a)		0.092	%		02/06/2015		02/06/2015		125,600,000		125,588,696
Federal Home Loan Bank(a)		0.094	%		02/06/2015		02/06/2015		38,000,000		37,996,504
Federal Home Loan Bank(a)		0.102	%		02/06/2015		02/06/2015		160,000,000		159,984,000
Federal Home Loan Bank(a)		0.102	%		02/11/2015		02/11/2015		27,900,000		27,896,823
Federal Home Loan Bank(a)		0.098	%		02/13/2015		02/13/2015		233,000,000		232,973,283
Federal Home Loan Bank(a)		0.102	%		02/13/2015		02/13/2015		29,000,000		28,996,536
Federal Home Loan Bank(a)		0.100	%		02/18/2015		02/18/2015		50,000,000		49,993,467
Federal Home Loan Bank(a)		0.097	%		02/20/2015		02/20/2015		50,000,000		49,993,403
Federal Home Loan Bank(a)		0.099	%		02/25/2015		02/25/2015		193,000,000		192,971,398
Federal Home Loan Bank(a)		0.102	%		02/25/2015		02/25/2015		100,000,000		99,984,722
Federal Home Loan Bank(a)		0.107	%		02/25/2015		02/25/2015		160,000,000		159,974,333
Federal Home Loan Bank(a)		0.107	%		03/04/2015		03/04/2015		87,000,000		86,983,968
Federal Home Loan Bank(a)		0.108	%		03/05/2015		03/05/2015		156,750,000		156,747,793
Federal Home Loan Bank(b)		0.110	%		03/06/2015		03/06/2015		30,000,000		29,999,765
Federal Home Loan Bank(b)		0.128	%		03/18/2015		03/18/2015		125,580,000		125,580,675
Federal Home Loan Bank(a)		0.086	%		04/22/2015		04/22/2015		65,000,000		64,982,965
Federal Home Loan Bank(a)		0.091	%		04/24/2015		04/24/2015		168,000,000		167,952,540
Federal Home Loan Bank(a)		0.093	%		04/29/2015		04/29/2015		40,650,000		40,637,742
Federal Home Loan Bank(a)		0.095	%		04/29/2015		04/29/2015		36,000,000		35,988,908

See Notes to Financial Statements.

46

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – (continued)
Federal Home Loan Bank(a)		0.140	%		06/03/2015		06/03/2015	$	40,000,000	$	39,976,540
Federal Home Loan Bank(a)		0.142	%		06/03/2015		06/03/2015		7,000,000		6,995,835
Federal Home Loan Mortgage Corp.(a)		0.092	%		01/05/2015		01/05/2015		62,000,000		61,999,380
Federal Home Loan Mortgage Corp.(a)		0.041	%		01/12/2015		01/12/2015		38,000,000		37,999,536
Federal Home Loan Mortgage Corp.(a)		0.051	%		01/12/2015		01/12/2015		38,000,000		37,999,419
Federal Home Loan Mortgage Corp.(a)		0.087	%		01/12/2015		01/12/2015		88,800,000		88,797,694
Federal Home Loan Mortgage Corp.(a)		0.097	%		01/12/2015		01/12/2015		26,000,000		25,999,245
Federal Home Loan Mortgage Corp.(a)		0.072	%		01/13/2015		01/13/2015		55,100,000		55,098,714
Federal Home Loan Mortgage Corp.(a)		0.097	%		01/13/2015		01/13/2015		25,000,000		24,999,208
Federal Home Loan Mortgage Corp.(a)		0.041	%		01/16/2015		01/16/2015		27,000,000		26,999,550
Federal Home Loan Mortgage Corp.(a)		0.087	%		01/16/2015		01/16/2015		19,900,000		19,899,295
Federal Home Loan Mortgage Corp.(a)		0.092	%		01/22/2015		01/22/2015		137,000,000		136,992,807
Federal Home Loan Mortgage Corp.(a)		0.092	%		01/23/2015		01/23/2015		113,000,000		112,993,785
Federal Home Loan Mortgage Corp.(a)		0.041	%		01/28/2015		01/28/2015		151,000,000		150,995,470
Federal Home Loan Mortgage Corp.(a)		0.071	%		01/28/2015		01/28/2015		18,900,000		18,899,008
Federal Home Loan Mortgage Corp.(a)		0.092	%		02/02/2015		02/02/2015		38,000,000		37,996,960
Federal Home Loan Mortgage Corp.(a)		0.090	%		02/03/2015		02/03/2015		99,750,000		99,741,771
Federal Home Loan Mortgage Corp.(a)		0.087	%		02/04/2015		02/04/2015		103,750,000		103,741,671
Federal Home Loan Mortgage Corp.(a)		0.103	%		02/10/2015		02/10/2015		31,112,000		31,108,543
Federal Home Loan Mortgage Corp.(a)		0.091	%		03/02/2015		03/02/2015		187,000,000		186,971,950
Federal Home Loan Mortgage Corp.(a)		0.076	%		03/03/2015		03/03/2015		195,000,000		195,076,931
Federal Home Loan Mortgage Corp.(a)		0.096	%		03/05/2015		03/05/2015		50,000,000		49,991,688
Federal Home Loan Mortgage Corp.(a)		0.085	%		03/09/2015		03/09/2015		70,000,000		69,988,926
Federal Home Loan Mortgage Corp.(a)		0.055	%		03/12/2015		03/12/2015		51,000,000		50,994,546
Federal Home Loan Mortgage Corp.(a)		0.095	%		03/16/2015		03/16/2015		84,000,000		83,983,597
Federal Home Loan Mortgage Corp.(a)		0.070	%		03/25/2015		03/25/2015		110,000,000		109,982,247
Federal Home Loan Mortgage Corp.(a)		0.071	%		04/01/2015		04/01/2015		173,000,000		172,969,725
Federal Home Loan Mortgage Corp.(a)		0.111	%		04/13/2015		04/13/2015		195,000,000		194,939,225
Federal Home Loan Mortgage Corp.(a)		0.096	%		04/14/2015		04/14/2015		100,000,000		99,972,819
Federal Home Loan Mortgage Corp.(a)		0.096	%		04/24/2015		04/24/2015		100,000,000		99,970,181
Federal Home Loan Mortgage Corp.(a)		0.101	%		04/24/2015		04/24/2015		75,700,000		75,676,239
Federal Home Loan Mortgage Corp.(a)		0.101	%		05/05/2015		05/05/2015		61,400,000		61,378,851
Federal Home Loan Mortgage Corp.(a)		0.091	%		05/08/2015		05/08/2015		125,000,000		124,960,312
Federal Home Loan Mortgage Corp.(a)		0.111	%		05/11/2015		05/11/2015		18,182,000		18,174,778
Federal Home Loan Mortgage Corp.(a)		0.111	%		05/26/2015		05/26/2015		78,000,000		77,965,442
Federal Home Loan Mortgage Corp.(a)		0.132	%		06/08/2015		06/08/2015		67,500,000		67,461,487
Federal Home Loan Mortgage Corp.(a)		0.133	%		06/08/2015		06/08/2015		70,000,000		69,959,754
Federal Home Loan Mortgage Corp.(a)		0.150	%		06/15/2015		06/15/2015		84,000,000		83,943,020
Federal Home Loan Mortgage Corp.(a)		0.152	%		06/15/2015		06/15/2015		20,000,000		19,986,250
Federal National Mortgage Assoc.(a)		0.072	%		01/05/2015		01/05/2015		27,000,000		26,999,790
Federal National Mortgage Assoc.(a)		0.051	%		01/07/2015		01/07/2015		9,000,000		8,999,925

See Notes to Financial Statements.

47

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – (continued)
Federal National Mortgage Assoc.(a)		0.087	%		01/07/2015		01/07/2015	$	112,875,000	$	112,873,401
Federal National Mortgage Assoc.(a)		0.072	%		01/12/2015		01/12/2015		62,330,000		62,328,667
Federal National Mortgage Assoc.(a)		0.097	%		01/14/2015		01/14/2015		142,000,000		141,995,129
Federal National Mortgage Assoc.(a)		0.097	%		01/21/2015		01/21/2015		25,000,000		24,998,681
Federal National Mortgage Assoc.(a)		0.046	%		02/02/2015		02/02/2015		92,000,000		91,996,320
Federal National Mortgage Assoc.(a)		0.092	%		02/02/2015		02/02/2015		38,000,000		37,996,960
Federal National Mortgage Assoc.(a)		0.097	%		02/02/2015		02/02/2015		156,000,000		155,986,827
Federal National Mortgage Assoc.(a)		0.092	%		02/03/2015		02/03/2015		155,000,000		154,987,212
Federal National Mortgage Assoc.(a)		0.097	%		02/04/2015		02/04/2015		75,000,000		74,993,271
Federal National Mortgage Assoc.(a)		0.094	%		02/11/2015		02/11/2015		54,000,000		53,994,373
Federal National Mortgage Assoc.(a)		0.095	%		02/11/2015		02/11/2015		13,000,000		12,998,623
Federal National Mortgage Assoc.(a)		0.046	%		02/17/2015		02/17/2015		81,000,000		80,995,241
Federal National Mortgage Assoc.(a)		0.102	%		02/18/2015		02/18/2015		50,000,000		49,993,333
Federal National Mortgage Assoc.(a)		0.077	%		02/25/2015		02/25/2015		58,333,000		58,326,316
Federal National Mortgage Assoc.(a)		0.051	%		02/26/2015		02/26/2015		61,000,000		60,995,256
Federal National Mortgage Assoc.(b)		0.140	%		01/27/2015		02/27/2015		25,000,000		25,000,991
Federal National Mortgage Assoc.(a)		0.110	%		03/18/2015		03/18/2015		94,000,000		93,978,171
Federal National Mortgage Assoc.(a)		0.086	%		04/01/2015		04/01/2015		157,000,000		156,966,637
Federal National Mortgage Assoc.(a)		0.091	%		04/02/2015		04/02/2015		25,000,000		24,994,313
Federal National Mortgage Assoc.(a)		0.064	%		04/15/2015		04/15/2015		120,000,000		119,978,160
Federal National Mortgage Assoc.(a)		0.096	%		04/16/2015		04/16/2015		100,000,000		99,972,292
Federal National Mortgage Assoc.(a)		0.071	%		04/27/2015		04/27/2015		84,000,000		83,981,053
Federal National Mortgage Assoc.(a)		0.096	%		04/27/2015		04/27/2015		45,000,000		44,986,225
Federal National Mortgage Assoc.(a)		0.111	%		05/13/2015		05/13/2015		15,000,000		14,993,950
Federal National Mortgage Assoc.(a)		0.111	%		05/27/2015		05/27/2015		32,353,000		32,338,567
Federal National Mortgage Assoc.(a)		0.132	%		06/03/2015		06/03/2015		25,000,000		24,986,188
Federal National Mortgage Assoc.(a)		0.142	%		06/10/2015		06/10/2015		121,750,000		121,674,244
TOTAL GOVERNMENT AGENCY DEBT											9,163,951,714
TREASURY DEBT – 8.7%
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015		125,000,000		124,999,913
U.S. Treasury Bill(a)		0.018	%		01/08/2015		01/08/2015		154,000,000		153,999,476
U.S. Treasury Bill(a)		0.020	%		01/08/2015		01/08/2015		96,000,000		95,999,627
U.S. Treasury Bill(a)		0.033	%		01/08/2015		01/08/2015		75,000,000		74,999,526
U.S. Treasury Bill(a)		0.035	%		01/08/2015		01/08/2015		125,000,000		124,999,149
U.S. Treasury Bill(a)		0.008	%		01/15/2015		01/15/2015		158,400,000		158,399,538
U.S. Treasury Bill(a)		0.010	%		01/15/2015		01/15/2015		41,000,000		40,999,841
U.S. Treasury Bill(a)		0.020	%		01/22/2015		01/22/2015		200,000,000		199,997,667
U.S. Treasury Note(b)		0.100	%		01/01/2015		01/31/2016		143,000,000		142,962,318
U.S. Treasury Note(b)		0.108	%		01/01/2015		10/31/2016		34,000,000		33,964,040
TOTAL TREASURY DEBT											1,151,321,095

See Notes to Financial Statements.

48

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 1.0%
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a Federal Home Loan Bank, 0.000% due 08/28/2017, and a U.S. Treasury Note, 2.375% due 08/15/2024, valued at $61,200,063); expected proceeds $60,000,167		0.050	%		01/02/2015		01/02/2015	$	60,000,000	$	60,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a Federal Farm Credit Bank, 0.131% due 06/16/2015, Federal Home Loan Banks, 0.000% – 2.000% due 12/18/2019 – 04/10/2028, Federal Home Loan Mortgage Corporations, 0.000% – 1.750% due 05/30/2019 – 08/27/2029, a Federal National Mortgage Association, 2.660% due 09/06/2023, Resolution Funding Strips, 0.000% due 07/15/2026 – 04/15/2028, a RFCSP Strip Principal, 0.000% due 01/15/2030, and U.S. Treasury Notes, 2.000% – 2.250% due 03/31/2016 – 11/30/2020, valued at $54,060,017); expected proceeds $53,000,177		0.060	%		01/02/2015		01/02/2015		53,000,000		53,000,000
Agreement with Societe Generale and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by Federal Farm Credit Banks, 0.940% – 1.100% due 08/22/2017 – 11/13/2017, and a Federal Home Loan Bank, 0.625% due 10/24/2016, valued at $25,503,330); expected proceeds $25,000,111		0.080	%		01/02/2015		01/02/2015		25,000,000		25,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											138,000,000
TREASURY REPURCHASE AGREEMENTS – 15.2%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a U.S. Treasury Bond, 3.750% due 11/15/2043, and U.S. Treasury Notes, 2.000% – 3.625% due 08/15/2019 – 02/28/2021, valued at $306,000,026); expected proceeds $300,001,000		0.060	%		01/02/2015		01/02/2015		300,000,000		300,000,000

See Notes to Financial Statements.

49

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Bonds, 2.750% – 4.250% due 05/15/2039 – 08/15/2042, and a U.S. Treasury Note, 1.375% due 06/30/2018, valued at $357,000,044); expected proceeds $350,002,722		0.040	%		01/07/2015		01/07/2015	$	350,000,000	$	350,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 0.375% – 1.750% due 03/31/2016 – 04/30/2019, valued at $150,960,140); expected proceeds $148,000,411		0.050	%		01/02/2015		01/02/2015		148,000,000		148,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 0.500% – 1.000% due 06/30/2016 – 09/15/2017, valued at $53,040,047); expected proceeds $52,000,144		0.050	%		01/02/2015		01/02/2015		52,000,000		52,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a U.S. Treasury Bill, 0.000% due 04/02/2015, U.S. Treasury Bonds 3.125% – 5.375% due 02/15/2029 – 08/15/2044, and U.S. Treasury Notes, 1.625% – 4.000% due 08/31/2017 – 11/15/2022, valued at $357,000,035); expected proceeds $350,000,972		0.050	%		01/02/2015		01/02/2015		350,000,000		350,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a U.S. Treasury Bond, 0.125% due 04/15/2019, valued at $178,500,060); expected proceeds $175,000,583		0.060	%		01/02/2015		01/02/2015		175,000,000		175,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Strips, 0.000% due 05/15/2018 – 11/15/2024, valued at $204,002,778); expected proceeds $200,002,333		0.060	%		01/07/2015		01/07/2015		200,000,000		200,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 05/15/2042 – 02/15/2043, and U.S. Treasury Notes, 0.875% – 4.250% due 08/15/2015 – 11/15/2024, valued at $34,684,057); expected proceeds $34,000,170		0.090	%		01/02/2015		01/02/2015		34,000,000		34,000,000

See Notes to Financial Statements.

50

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 0.500% – 1.000% due 08/31/2016 – 10/31/2016, valued at $102,000,022); expected proceeds $100,000,278		0.050	%		01/02/2015		01/02/2015	$	100,000,000	$	100,000,000
Agreement with Societe Generale and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Bonds, 2.750% – 3.750% due 11/15/2042 – 11/15/2043, U.S. Treasury Notes, 0.250% – 2.125% due 01/31/2015 – 11/15/2022, and a U.S. Treasury Strip, 0.000% due 05/15/2024, valued at $299,880,056); expected proceeds $294,001,143		0.070	%		01/02/2015		01/02/2015		294,000,000		294,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											2,003,000,000
TOTAL INVESTMENTS(c)(d) – 94.3%											12,456,272,809
Assets in Excess of Other Liabilities – 5.7%											751,594,796
NET ASSETS – 100.0%										$	13,207,867,605

^(a)  Rate represents annualized yield at date of purchase

^(b)  Variable Rate Security – Interest rate shown is rate in effect at December 31, 2014

^(c)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2).

^(d)  Also represents the cost for federal tax purposes

See Notes to Financial Statements.

51

State Street Treasury Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Treasury Debt	105.4	%
Liabilities in Excess of Other Assets	(5.4	)
Total	100.0	%

Maturity Ladder*	December 31, 2014
Overnight (1 Day)	4.7	%
2-30 Days	50.3
31-60 Days	32.3
61-90 Days	10.8
Over 90 Days	7.3
Total	105.4	%
Average days to maturity	35
Weighted average life	43

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

52

State Street Treasury Money Market Portfolio

Portfolio of Investments

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT – 105.4%
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015	$	95,000,000	$	94,999,974
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015		25,030,000		25,029,991
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015		3,410,000		3,409,998
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015		354,357,000		354,356,754
U.S. Treasury Bill(a)		0.001	%		01/08/2015		01/08/2015		137,491,000		137,490,973
U.S. Treasury Bill(a)		0.003	%		01/08/2015		01/08/2015		100,000,000		99,999,951
U.S. Treasury Bill(a)		0.005	%		01/08/2015		01/08/2015		80,000,000		79,999,922
U.S. Treasury Bill(a)		0.006	%		01/08/2015		01/08/2015		150,000,000		149,999,825
U.S. Treasury Bill(a)		0.010	%		01/08/2015		01/08/2015		130,000,000		129,999,747
U.S. Treasury Bill(a)		0.018	%		01/08/2015		01/08/2015		372,000,000		371,998,734
U.S. Treasury Bill(a)		0.020	%		01/08/2015		01/08/2015		233,000,000		232,999,094
U.S. Treasury Bill(a)		0.061	%		01/08/2015		01/08/2015		19,411,000		19,410,770
U.S. Treasury Bill(a)		0.008	%		01/15/2015		01/15/2015		557,000,000		556,998,375
U.S. Treasury Bill(a)		0.010	%		01/15/2015		01/15/2015		294,000,000		293,998,857
U.S. Treasury Bill(a)		0.017	%		01/15/2015		01/15/2015		100,000,000		99,999,319
U.S. Treasury Bill(a)		0.020	%		01/15/2015		01/15/2015		409,000,000		408,996,819
U.S. Treasury Bill(a)		0.005	%		01/22/2015		01/22/2015		250,000,000		249,999,271
U.S. Treasury Bill(a)		0.013	%		01/22/2015		01/22/2015		250,000,000		249,998,177
U.S. Treasury Bill(a)		0.017	%		01/22/2015		01/22/2015		125,000,000		124,998,724
U.S. Treasury Bill(a)		0.020	%		01/22/2015		01/22/2015		701,000,000		700,991,822
U.S. Treasury Bill(a)		0.060	%		01/22/2015		01/22/2015		200,000,000		199,993,000
U.S. Treasury Bill(a)		0.015	%		01/29/2015		01/29/2015		450,000,000		449,994,938
U.S. Treasury Bill(a)		0.020	%		01/29/2015		01/29/2015		400,000,000		399,993,778
U.S. Treasury Bill(a)		0.060	%		01/29/2015		01/29/2015		200,000,000		199,990,667
U.S. Treasury Bill(a)		0.010	%		02/05/2015		02/05/2015		115,000,000		114,998,882
U.S. Treasury Bill(a)		0.020	%		02/05/2015		02/05/2015		600,000,000		599,988,333
U.S. Treasury Bill(a)		0.051	%		02/05/2015		02/05/2015		200,000,000		199,990,083
U.S. Treasury Bill(a)		0.030	%		02/12/2015		02/12/2015		600,000,000		599,979,000
U.S. Treasury Bill(a)		0.048	%		02/12/2015		02/12/2015		100,000,000		99,994,458
U.S. Treasury Bill(a)		0.028	%		02/19/2015		02/19/2015		639,000,000		638,976,082
U.S. Treasury Bill(a)		0.053	%		02/19/2015		02/19/2015		138,000,000		137,990,139
U.S. Treasury Bill(a)		0.055	%		02/19/2015		02/19/2015		87,000,000		86,993,487
U.S. Treasury Bill(a)		0.017	%		02/26/2015		02/26/2015		625,000,000		624,982,986
U.S. Treasury Bill(a)		0.048	%		02/26/2015		02/26/2015		200,000,000		199,985,222
U.S. Treasury Bill(a)		0.027	%		03/05/2015		03/05/2015		155,000,000		154,992,676
U.S. Treasury Bill(a)		0.050	%		03/05/2015		03/05/2015		200,000,000		199,982,500
U.S. Treasury Bill(a)		0.048	%		03/12/2015		03/12/2015		105,000,000		104,990,302
U.S. Treasury Bill(a)		0.042	%		03/19/2015		03/19/2015		100,000,000		99,990,910
U.S. Treasury Bill(a)		0.046	%		03/19/2015		03/19/2015		150,000,000		149,985,241
U.S. Treasury Bill(a)		0.042	%		03/26/2015		03/26/2015		200,000,000		199,980,167
U.S. Treasury Bill(a)		0.037	%		04/02/2015		04/02/2015		100,000,000		99,990,521

See Notes to Financial Statements.

53

State Street Treasury Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT – (continued)
U.S. Treasury Bill(a)		0.040	%		04/02/2015		04/02/2015	$	375,000,000	$	374,962,500
U.S. Treasury Bill(a)		0.045	%		04/09/2015		04/09/2015		50,000,000		49,993,875
U.S. Treasury Note(b)		0.100	%		01/01/2015		01/31/2016		193,000,000		192,950,122
U.S. Treasury Note(b)		0.108	%		01/01/2015		10/31/2016		30,000,000		29,968,271
U.S. Treasury Note(a)		0.061	%		03/31/2015		03/31/2015		200,000,000		200,092,556
TOTAL TREASURY DEBT											10,797,407,793
TOTAL INVESTMENTS(c)(d) – 105.4%											10,797,407,793
Liabilities in Excess of Other Assets – (5.4)%											(549,947,502	)
NET ASSETS – 100.0%										$	10,247,460,291

^(a)  Rate represents annualized yield at date of purchase

^(b)  Variable Rate Security – Interest rate shown is rate in effect at December 31, 2014

^(c)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2).

^(d)  Also represents the cost for federal tax purposes

See Notes to Financial Statements.

54

State Street Treasury Plus Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Treasury Debt	77.6	%
Treasury Repurchase Agreements	16.9
Assets in Excess of Other Liabilities	5.5
Total	100.0	%

Maturity Ladder*	December 31, 2014
Overnight (1 Day)	26.9	%
2-30 Days	38.7
31-60 Days	15.2
61-90 Days	8.1
Over 90 Days	5.6
Total	94.5	%
Average days to maturity	24
Weighted average life	32

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

55

State Street Treasury Plus Money Market Portfolio

Portfolio of Investments

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT – 77.6%
U.S. Treasury Bill(a)		0.010	%		01/02/2015		01/02/2015	$	50,000,000	$	49,999,986
U.S. Treasury Bill(a)		0.011	%		01/02/2015		01/02/2015		25,000,000		24,999,992
U.S. Treasury Bill(a)		0.012	%		01/02/2015		01/02/2015		50,000,000		49,999,983
U.S. Treasury Bill(a)		0.020	%		01/02/2015		01/02/2015		25,000,000		24,999,986
U.S. Treasury Bill(a)		0.025	%		01/02/2015		01/02/2015		25,000,000		24,999,983
U.S. Treasury Bill (a)		0.063	%		01/02/2015		01/02/2015		100,000,000		99,999,826
U.S. Treasury Bill(a)		0.017	%		01/08/2015		01/08/2015		77,000,000		76,999,738
U.S. Treasury Bill (a)		0.020	%		01/08/2015		01/08/2015		48,000,000		47,999,813
U.S. Treasury Bill(a)		0.061	%		01/08/2015		01/08/2015		100,000,000		99,998,814
U.S. Treasury Bill(a)		0.007	%		01/15/2015		01/15/2015		147,000,000		146,999,571
U.S. Treasury Bill(a)		0.010	%		01/15/2015		01/15/2015		38,000,000		37,999,852
U.S. Treasury Bill(a)		0.020	%		01/15/2015		01/15/2015		55,000,000		54,999,572
U.S. Treasury Bill(a)		0.060	%		01/15/2015		01/15/2015		100,000,000		99,997,667
U.S. Treasury Bill(a)		0.020	%		01/22/2015		01/22/2015		175,000,000		174,997,958
U.S. Treasury Bill(a)		0.060	%		01/22/2015		01/22/2015		100,000,000		99,996,500
U.S. Treasury Bill(a)		0.020	%		01/29/2015		01/29/2015		131,000,000		130,997,962
U.S. Treasury Bill(a)		0.060	%		01/29/2015		01/29/2015		100,000,000		99,995,333
U.S. Treasury Bill(a)		0.020	%		02/05/2015		02/05/2015		75,000,000		74,998,542
U.S. Treasury Bill(a)		0.051	%		02/05/2015		02/05/2015		50,000,000		49,997,521
U.S. Treasury Bill(a)		0.048	%		02/12/2015		02/12/2015		50,000,000		49,997,229
U.S. Treasury Bill(a)		0.028	%		02/19/2015		02/19/2015		75,000,000		74,997,193
U.S. Treasury Bill(a)		0.053	%		02/19/2015		02/19/2015		30,000,000		29,997,856
U.S. Treasury Bill(a)		0.055	%		02/19/2015		02/19/2015		20,000,000		19,998,503
U.S. Treasury Bill(a)		0.017	%		02/26/2015		02/26/2015		100,000,000		99,997,278
U.S. Treasury Bill(a)		0.048	%		02/26/2015		02/26/2015		20,000,000		19,998,522
U.S. Treasury Bill(a)		0.050	%		03/05/2015		03/05/2015		75,000,000		74,993,438
U.S. Treasury Bill(a)		0.048	%		03/12/2015		03/12/2015		50,000,000		49,995,382
U.S. Treasury Bill(a)		0.046	%		03/19/2015		03/19/2015		50,000,000		49,995,080
U.S. Treasury Bill(a)		0.042	%		03/26/2015		03/26/2015		50,000,000		49,995,042
U.S. Treasury Bill(a)		0.037	%		04/02/2015		04/02/2015		25,000,000		24,997,630
U.S. Treasury Bill(a)		0.040	%		04/02/2015		04/02/2015		75,000,000		74,992,500
U.S. Treasury Note(b)		0.100	%		01/01/2015		01/31/2016		47,500,000		47,487,736
U.S. Treasury Note(b)		0.108	%		01/01/2015		10/31/2016		7,000,000		6,992,597
TOTAL TREASURY DEBT											2,145,414,585
TREASURY REPURCHASE AGREEMENTS – 16.9%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 2.250% – 2.625% due 11/15/2020 – 04/30/2021, valued at $204,000,087); expected proceeds $200,000,667		0.060	%		01/02/2015		01/02/2015		200,000,000		200,000,000

See Notes to Financial Statements.

56

State Street Treasury Plus Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 0.250% – 3.500% due 02/29/2016 – 05/15/2020, valued at $20,400,053); expected proceeds $20,000,056		0.050	%		01/02/2015		01/02/2015	$	20,000,000	$	20,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by a U.S. Treasury Note, 1.000% due 09/15/2017, valued at $30,600,041); expected proceeds $30,000,083		0.050	%		01/02/2015		01/02/2015		30,000,000		30,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (by U.S. Treasury Inflation Bonds, 0.625% – 2.375% due 01/15/2027 – 02/15/2043, and a U.S. Treasury Note, 1.625% due 11/15/2022, valued at $130,560,043); expected proceeds $128,000,356		0.050	%		01/02/2015		01/02/2015		128,000,000		128,000,000
Agreement with Societe Generale Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2014 (collateralized by U.S. Treasury Notes, 0.375% – 2.750% due 01/15/2016 – 11/15/2023, and a U.S. Treasury Strip, 0.000% due 02/15/2024, valued at $91,800,092); expected proceeds $90,000,350		0.070	%		01/02/2015		01/02/2015		90,000,000		90,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											468,000,000
TOTAL INVESTMENTS(c)(d) – 94.5%											2,613,414,585
Assets in Excess of Other Liabilities – 5.5%											152,115,386
NET ASSETS – 100.0%										$	2,765,529,971

^(a)  Rate represents annualized yield at date of purchase

^(b)  Variable Rate Security – Interest rate shown is rate in effect at December 31, 2014

^(c)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2).

^(d)  Also represents the cost for federal tax purposes

See Notes to Financial Statements.

57

State Street Master Funds

Statements of Assets and Liabilities

December 31, 2014

	Money Market Portfolio		Tax Free Money Market Portfolio		U.S. Government Money Market Portfolio		Treasury Money Market Portfolio		Treasury Plus Money Market Portfolio
Assets
Investments at market value and amortized cost (Note 2)	$	25,123,040,253	$	253,241,729	$	10,315,272,809	$	10,797,407,793	$	2,145,414,585
Repurchase Agreements, at market value and cost (Note 2)		15,895,000,000		–		2,141,000,000		–		468,000,000
Total Investments		41,018,040,253		253,241,729		12,456,272,809		10,797,407,793		2,613,414,585
Cash		–		–		752,711,211		276,103,845		227,408,183
Interest receivable		9,189,761		11,432		309,950		156,358		7,744
Prepaid expenses and other assets		68,570		15,761		28,896		32,012		18,599
Total assets		41,027,298,584		253,268,922		13,209,322,866		11,073,700,008		2,840,849,111
Liabilities
Investment securities purchased		–		–		–		824,957,438		74,992,500
Due to custodian		318,723,260		–		–		–		–
Management fee payable (Note 3)		3,141,229		19,560		1,094,453		953,270		215,960
Administration and custody fees payable (Note 3)		917,761		7,818		315,538		283,884		64,658
Professional fees payable		39,505		42,039		42,039		42,039		42,039
Accrued expenses and other liabilities		9,209		4,194		3,231		3,086		3,983
Total liabilities		322,830,964		73,611		1,455,261		826,239,717		75,319,140
Net Assets	$	40,704,467,620	$	253,195,311	$	13,207,867,605	$	10,247,460,291	$	2,765,529,971

See Notes to Financial Statements.

58

State Street Master Funds

Statements of Operations

Year Ended December 31, 2014

	Money Market Portfolio		Tax Free Money Market Portfolio			U.S. Government Money Market Portfolio		Treasury Money Market Portfolio			Treasury Plus Money Market Portfolio
Investment Income
Interest	$	76,635,514	$	111,966		$	8,111,110	$	5,288,882		$	1,338,376
Expenses
Management fees (Note 3)		19,958,835		142,719			5,464,519		5,865,639			1,308,611
Administration and custody fees (Note 3)		5,052,518		37,919			1,384,549		1,486,005			332,865
Trustees’ fees (Note 4)		726,374		15,002			174,472		233,559			47,767
Professional fees		166,651		59,486			85,730		93,057			66,712
Printing fees		14,349		4,570			4,571		4,571			4,571
Other expenses		176,390		50,990			104,706		111,525			85,247
Total expenses		26,095,117		310,686			7,218,547		7,794,356			1,845,773
Net Investment Income (Loss)		50,540,397		(198,720	)		892,563		(2,505,474	)		(507,397	)
Realized Gain (Loss)
Net realized gain on investments		200,540		–			13,831		130,828			–
Net Increase (Decrease) in Net Assets Resulting from Operations	$	50,740,937	$	(198,720	)	$	906,394	$	(2,374,646	)	$	(507,397	)

See Notes to Financial Statements.

59

State Street Master Funds

Statements of Changes in Net Assets

	Money Market Portfolio						Tax Free Money Market Portfolio
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets From
Operations:
Net investment income (loss)	$	50,540,397		$	50,355,030		$	(198,720	)	$	(118,693	)
Net realized gain on investments		200,540			179,110			–			–
Net increase (decrease) in net assets from operations		50,740,937			50,534,140			(198,720	)		(118,693	)
Capital Transactions:
Contributions		76,110,543,297			65,248,452,641			966,996,003			1,034,388,036
Withdrawals		(69,510,120,416	)		(58,754,444,878	)		(1,021,632,232	)		(1,234,759,623	)
Net increase (decrease) in net assets from capital transactions		6,600,422,881			6,494,007,763			(54,636,229	)		(200,371,587	)
Net Increase (Decrease) in Net Assets		6,651,163,818			6,544,541,903			(54,834,949	)		(200,490,280	)
Net Assets
Beginning of year		34,053,303,802			27,508,761,899			308,030,260			508,520,540
End of year	$	40,704,467,620		$	34,053,303,802		$	253,195,311		$	308,030,260

See Notes to Financial Statements.

60

State Street Master Funds

Statements of Changes in Net Assets

	U.S. Government Money Market Portfolio						Treasury Money Market Portfolio
	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets From
Operations:
Net investment income (loss)	$	892,563		$	2,961,527		$	(2,505,474	)	$	268,931
Net realized gain on investments		13,831			–			130,828			34,160
Net increase (decrease) in net assets from operations		906,394			2,961,527			(2,374,646	)		303,091
Capital Transactions:
Contributions		29,375,563,089			23,862,095,303			27,518,525,235			29,957,818,460
Withdrawals		(24,881,521,721	)		(23,773,323,291	)		(31,826,712,166	)		(28,112,159,319	)
Net increase (decrease) in net assets from capital transactions		4,494,041,368			88,772,012			(4,308,186,931	)		1,845,659,141
Net Increase (Decrease) in Net Assets		4,494,947,762			91,733,539			(4,310,561,577	)		1,845,962,232
Net Assets
Beginning of year		8,712,919,843			8,621,186,304			14,558,021,868			12,712,059,636
End of year	$	13,207,867,605		$	8,712,919,843		$	10,247,460,291		$	14,558,021,868

See Notes to Financial Statements.

61

State Street Master Funds

Statements of Changes in Net Assets

	Treasury Plus Money Market Portfolio
	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets From Operations:
Net investment income (loss)	$	(507,397	)	$	26,184
Net realized gain on investments		–			(1,536	)
Net increase (decrease) in net assets from operations		(507,397	)		24,648
Capital Transactions:
Contributions		12,046,302,272			9,982,616,922
Withdrawals		(12,033,281,777	)		(9,528,165,497	)
Net increase (decrease) in net assets from capital transactions		13,020,495			454,451,425
Net increase (decrease) in net assets		12,513,098			454,476,073
Net Assets
Beginning of year		2,753,016,873			2,298,540,800
End of year	$	2,765,529,971		$	2,753,016,873

See Notes to Financial Statements.

62

State Street Master Funds

Financial Highlights

				Ratios to Average Net Assets									Net Assets End of Period (000s Omitted)
Period Ended December 31,	Total Return(a)			Gross Operating Expenses			Net Operating Expenses			Net Investment Income
Money Market Portfolio
2014		0.13	%		0.07	%		0.07	%		0.13	%	$	40,704,468
2013		0.15	%		0.06	%		0.06	%		0.15	%	$	34,053,304
2012		0.26	%		0.06	%		0.06	%		0.25	%	$	27,508,762
2011		0.20	%		0.07	%		0.07	%		0.20	%(b)	$	22,780,186
2010		0.20	%		0.12	%		0.12	%		0.20	%	$	26,503,826
Tax Free Money Market Portfolio
2014		(0.07	)%		0.11	%		0.11	%		(0.07	)%	$	253,195
2013		(0.03	)%		0.11	%		0.11	%		(0.04	)%	$	308,030
2012		0.01	%		0.11	%		0.11	%		0.01	%	$	508,521
2011		0.04	%		0.11	%		0.11	%		0.04	%(b)	$	331,194
2010		0.13	%		0.13	%		0.13	%		0.11	%	$	405,328
U.S. Government Money Market Portfolio
2014		0.01	%		0.07	%		0.07	%		0.01	%	$	13,207,868
2013		0.03	%		0.07	%		0.07	%		0.03	%	$	8,712,920
2012		0.08	%		0.07	%		0.07	%		0.08	%	$	8,621,186
2011		0.04	%		0.07	%		0.07	%		0.04	%(b)	$	5,779,444
2010		0.07	%		0.12	%		0.12	%		0.08	%	$	4,910,900
Treasury Money Market Portfolio
2014		(0.02	)%		0.07	%		0.07	%		(0.02	)%	$	10,247,460
2013		0.00	%(c)		0.07	%		0.07	%		0.00	%(c)	$	14,558,022
2012		0.02	%		0.07	%		0.07	%		0.02	%	$	12,712,060
2011		(0.09	)%		0.07	%		0.07	%		(0.03	)%(b)	$	12,094,364
2010		0.01	%		0.12	%		0.12	%		0.01	%	$	3,656,739
Treasury Plus Money Market Portfolio
2014		(0.02	)%		0.07	%		0.07	%		(0.02	)%	$	2,765,530
2013		0.00	%(c)		0.07	%		0.07	%		0.00	%(c)	$	2,753,017
2012		0.06	%		0.08	%		0.08	%		0.06	%	$	2,298,541
2011		0.00	%(c)		0.08	%		0.08	%		(0.01	)%(b)	$	1,361,158
2010		0.03	%		0.12	%		0.12	%		0.03	%	$	933,748

^(a)  Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized.

^(b)  Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower.

^(c)  Amount is less than 0.005%.

See Notes to Financial Statements.

63

State Street Master Funds

Notes to Financial Statements

December 31, 2014

1. Organization

The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. At December 31, 2014, the following Portfolios were operational: State Street Equity 500 Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. Information presented in these financial statements pertains only to State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (the “Portfolios”). The Portfolios commenced operations as follows:

Portfolio Name	Commencement Date
State Street Money Market Portfolio	August 12, 2004
State Street Tax Free Money Market Portfolio	February 7, 2007
State Street U.S. Government Money Market Portfolio	October 17, 2007
State Street Treasury Money Market Portfolio	October 25, 2007
State Street Treasury Plus Money Market Portfolio	October 24, 2007

The Portfolios are authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolios’ investment objectives are as follows:

Portfolio Name	Investment Objective
State Street Money Market Portfolio	To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. dollar denominated money market securities.
State Street Tax Free Money Market Portfolio	To seek to maximize current income, exempt from federal income taxes, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value.
State Street U.S. Government Money Market Portfolio	To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value.

64

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2014

Portfolio Name	Investment Objective
State Street Treasury Money Market Portfolio	To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value.
State Street Treasury Plus Money Market Portfolio	To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value.

The Portfolios are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

Recent Regulatory Action

On July 23, 2014, the SEC adopted amendments to the governing rules for money market funds. The amendments require that, following a two-year implementation timeframe, institutional prime and institutional tax exempt money market funds adopt a floating net asset value. The rule changes also allow for certain liquidity-based redemption fees and gate, and include enhanced requirements for disclosure and stress testing. The degree to which a money market fund will be impacted by the rule amendments will depend upon the type of fund and type of investors (retail or institutional). At this time, management is evaluating the implications of these amendments and their impact to the Portfolios’ financial statements and accompanying notes.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements.

Security valuation – As permitted under Rule 2a-7 of the 1940 Act and certain conditions therein, securities of the Portfolios are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Investments in open-end investment companies are valued at their net asset value each business day. Each Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees (the “Board”). The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. If amortized cost is determined not to approximate fair value, the value of the portfolio securities will be determined under procedures established by and under the general supervision of the Oversight Committee. The Oversight Committee will assist in overseeing the comparison of amortized cost to market-based value. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Portfolios adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most

65

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2014

advantageous market of the investment. Various inputs are used in determining the value of the Portfolios’ investments.

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolios’ net assets are computed and that may materially affect the value of the Portfolio’s investments). The valuation of fixed income securities held by the Portfolios are obtained from an independent pricing service and categorized as Level 2 based on the use of other significant observable market based inputs (including quoted prices for similar securities, interest rates, prepayment speed, credit risk, etc). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of such Portfolio’s benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of December 31, 2014, in valuing the Portfolios’ assets carried at fair value:

	Investments in Securities
Valuation Inputs	State Street Money Market Portfolio		State Street Tax Free Money Market Portfolio		State Street U.S. Government Money Market Portfolio		State Street Treasury Money Market Portfolio		State Street Treasury Plus Money Market Portfolio
Level 1 – Quoted Prices	$	–	$	61,856,729	$	–	$	–	$	–
Level 2 – Other Significant Observable Inputs		41,018,040,253		191,385,000		12,456,272,809		10,797,407,793		2,613,414,585
Level 3 – Significant Unobservable Inputs		–		–		–		–		–
Total Investments	$	41,018,040,253	$	253,241,729	$	12,456,272,809	$	10,797,407,793	$	2,613,414,585

The type of inputs used to value each security under the provisions surrounding fair value measurement and disclosures is identified in each Portfolio of Investments, which also includes a breakdown of the Portfolios’ investments by category.

66

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2014

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. As of the year ended December 31, 2014, there were no transfers between levels.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily.

All of the net investment income and realized gains and losses from the security transactions of the Portfolios are allocated pro rata among the partners in the Portfolios daily based on each partner’s daily ownership percentage.

Federal income taxes – The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolios have reviewed the tax positions for open years as of December 31, 2014, and determined they did not have a liability for any unrecognized tax expenses. The Portfolios recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of December 31, 2014, tax years 2012 through 2014 remain subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2014, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Repurchase Agreements – A portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to a Portfolio to repurchase the securities at a mutually agreed upon price and time which, in the case of the Portfolios’ transactions, is generally within seven days. The total amount received by a Portfolio on repurchase is calculated to exceed the price paid by the Portfolio, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) a Portfolio will seek to dispose of such securities; this action could involve costs or delays. In addition, the proceeds of any such disposition may be less than the amount a Portfolio is owed under the repurchase agreement. A Portfolio may enter into repurchase agreements maturing within seven days with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).

Expense allocation – Certain expenses are applicable to multiple Portfolios. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly

67

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2014

attributed to a Portfolio are allocated among the Portfolios, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Portfolios can otherwise be made.

Use of estimates – The Portfolios’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.

3. Related Party Fees

Each Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, each Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

State Street is the administrator, custodian and transfer agent for the Portfolios. In compensation for State Street’s services as administrator, custodian and transfer agent, the Portfolios pay State Street an annual fee, which is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual percentage of average aggregate daily net assets
First $400 million	0.03%
Next $15 billion	0.02%
Thereafter	0.01%
Minimum annual fee per Portfolio	$150,000

The minimum fee will be calculated by multiplying the minimum per fund fee by the number of Master and stand-alone funds to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Master and stand-alone funds.

4. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

As of January 24, 2014, each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Statement, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

5. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. However, based on experience, the Trust expects the risk of loss to be remote.

68

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Owners of Beneficial Interest of

State Street Master Funds:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (five of the portfolios constituting State Street Master Funds) (the “Portfolios”) as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (five of the portfolios constituting State Street Master Funds) at December 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 27, 2015

69

State Street Master Funds

General Information

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE

As a shareholder of a fund (the “Funds”), you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended December 31, 2014

	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Portfolio Return
Money Market Portfolio	$	1,000.00	$	1,000.70	$	0.35
Tax Free Money Market Portfolio	$	1,000.00	$	999.60	$	0.60
U.S. Government Money Market Portfolio	$	1,000.00	$	1,000.00	$	0.35
Treasury Money Market Portfolio	$	1,000.00	$	999.80	$	0.35
Treasury Plus Money Market Portfolio	$	1,000.00	$	999.90	$	0.35

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State Street Master Funds

General Information — (continued)

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE — (continued)

	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36
Tax Free Money Market Portfolio	$	1,000.00	$	1,024.60	$	0.61
U.S. Government Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36
Treasury Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36
Treasury Plus Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36

* The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized expense ratio for the six months ended December 31, 2014 was as follows:

Money Market Portfolio	0.07%
Tax Free Money Market Portfolio	0.12%
U.S. Government Money Market Portfolio	0.07%
Treasury Money Market Portfolio	0.07%
Treasury Plus Money Market Portfolio	0.07%

The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

Proxy Voting Policies and Procedures and Record

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

71

State Street Master Funds

Trustees and Officers Information

December 31, 2014

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 –Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 –2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

72

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 –Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

73

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002-2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

74

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

75

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Public Registered Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

This report is for shareholder information. This is not a prospectus intended for use in the purchase or

sale of shares of beneficial interest.

State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 SSITINVAR IBG-14270

Annual Report

31 December 2014

State Street Institutional Investment Trust

State Street Equity 500 Index Fund

State Street Equity 500 Index II Portfolio

State Street Equity 500 Index Fund (Unaudited)

Administrative Shares

Growth of a $10,000 Investment ^(a)

Investment Performance ^(a)

For the Year Ended December 31, 2014

	Total Return One Year Ended December 31,  2014			Total Return Average Annual Five Years  Ended December 31, 2014			Total Return Average Annual Ten Years  Ended December 31, 2014
State Street Equity 500 Index Fund Administrative Shares		13.41	%		15.17	%		7.47	%
State Street Equity 500 Index Fund Service Shares		13.24	%		15.05	%		7.36	%
State Street Equity 500 Index Fund R Shares(b)		12.91	%		14.66	%		6.98	%
State Street Equity 500 Index Fund Class A(c)		13.07	%		14.86	%		7.19	%
State Street Equity 500 Index Fund Class I(d)		13.34	%		15.14	%		7.45	%
State Street Equity 500 Index Fund Class K(e)		13.41	%		15.17	%		7.47	%
S&P 500® Index(f)		13.68	%		15.45	%		7.67	%

^(a)  Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares.

2

^(b)  NAV performance shown for the periods prior to the inception of Class R shares on June 7, 2005 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class R shares, including applicable 12b-1 fees.

^(c)  NAV performance shown for the periods prior to the inception of Class A shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class A shares, including applicable 12b-1 fees.

^(d)  NAV performance shown for the periods prior to the inception of Class I shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class I shares, including applicable 12b-1 fees.

^(e)  NAV performance shown for the periods prior to the inception of Class K shares on September 17, 2014, reflect the historical performance of the fund’s Administrative shares. Had the fund’s Class K fees been reflected, the returns shown for those periods would have been higher.

^(f)  The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in the S&P 500^® Index.

3

State Street Equity 500 Index Fund

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

The State Street Equity 500 Index Fund (the “Fund”) seeks to replicate as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “Index”). In seeking to achieve this objective, the Fund utilizes a passive management strategy designed to track the performance of the Index. The Fund also employs futures to maintain market exposure and otherwise assist in attempting to replicate the performance of the Index. The Fund invested in S&P 500 futures contracts to equitize the small amount of cash in the portfolio during the Reporting Period. Futures performance did not have a material impact on portfolio performance.

For the 12-month period ended December 31, 2014 (the “Reporting Period”), the total return for the Fund’s Administrative Shares was 13.41%, and the total return for the Index was 13.68%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The expenses of managing the Fund and slight variations between the Fund’s holdings and the Index’s constituents contributed to the difference between the Fund’s performance and that of the Index.

The opening quarter of 2014 offered investors plenty of worthwhile return opportunities, but progress was not without pitfalls, and the best results arrived in unlikely corners of the marketplace. A disappointing January brought a number of chillier reports on global economic activity, and the first month of 2014 ended with US stocks hesitating near two-month lows. A weak manufacturing reading in early February served to unnerve investors further, driving averages of larger US equities to the worst levels since late October. But Janet Yellen, newly installed head of the US Federal Reserve, came across as thoroughgoing and confident in her first opportunity to provide formal testimony before Congress. With policy continuity assured, investors used the remainder of February to lift the Index back up and over the record levels at which it had traded near the end of 2013. Although performance of banking names faltered later in March when Citigroup emerged as a prominent failure in Federal Reserve stress tests, prospects for additional share offerings linked to internet and biotechnology themes had already made investors wary of excess equity supply in firms with rapid growth characteristics.

After an initial lift as the second quarter got underway, equities worldwide began once again to struggle with the possibility that growth in 2014 might not evolve as robustly as anticipated. The International Monetary Fund (IMF) contributed further to the uncertainty when it released its updated economic outlook. With interest rates potentially lower for longer than many market participants anticipate and net profit margins on large-cap stocks at 20 year highs, it’s no wonder the equity markets continue to hit record highs. Valuations continued to look attractive especially compared to 10-year interest rates. There was concern, though, amongst investors that the low level of volatility was creating complacency amongst equity owners which would spell trouble for the next correction. However, given the attractive valuations and very few other compelling alternatives, many investors were perhaps begrudgingly adding to their equities. For the quarter, the Index was up 5.22%

Positive earnings news from the US provided some relief from the gloom in the third quarter, as did comments from Fed Chair, Janet Yellen, in testimony before the US Senate. However, July ended with a decided thud, as the market had its biggest down day since February with the Index down 2% on the last day of trading. Equity markets stumbled in September as the Index was down 1.40%

The fourth quarter began as the third quarter ended with stocks sliding and bond markets rallying. The IMF cut its global growth forecasts and interest rates moved lower. US banks began reporting better

4

State Street Equity 500 Index Fund

MANAGEMENT DISCUSSION OF FUND PERFORMANCE — (continued)

than expected earnings which helped turn the equity rout around. Fed Vice-Chair Stanley Fischer helped improve sentiment when he said, “If foreign growth is weaker than anticipated, the consequences for the US economy could lead the Fed to remove accommodation more slowly than otherwise.” The Index began a dramatic rally and closed out the second half of October with a rise of 8.1% to end the month up 2.44%. The Index was up 2.69% in November which is similar to October’s gain, but the returns for the month were achieved on a much smoother glide upwards than October’s precipitous decline and meteoric rise. December posted a return that was relatively flat, leaving the Fund with a year-to-date return of over 13% for 2014.

On an individual security level, the top positive contributors to the Fund’s performance were: Apple, Inc., Microsoft Corporation and Berkshire Hathaway, Inc. Class B.

The top negative contributors to the Fund’s performance were: Amazon.com, Inc., Exxon Mobil Corp. and International Business Machines Corp.

5

State Street Equity 500 Index Fund

Statement of Assets and Liabilities

December 31, 2014

Assets
Investment in State Street Equity 500 Index II Portfolio (39,413,986 shares), at market value (identified cost $394,674,475)	$	415,873,125
Receivable for Fund shares sold		1,128,923
Receivable from Adviser (Note 4)		271,086
Total assets		417,273,134
Liabilities
Payable for investments purchased		1,038,987
Payable for Fund shares repurchased		86,186
Distribution fees payable (Note 4)		82,634
Management fees payable (Note 4)		31,235
Administration fees payable (Note 4)		28,948
Insurance expense payable		11,303
Custody and accounting fees payable		4,902
Registration and filing fees payable		46,479
Professional fees payable		23,868
Transfer agent fees payable		12,385
Sub-transfer agent fee payable (Note 4)		58
Miscellaneous fees payable		13,064
Total liabilities		1,380,049
Net Assets	$	415,893,085
Net Assets Consist of:
Paid-in capital	$	399,689,992
Accumulated net realized loss		(4,995,557	)
Net unrealized appreciation on investments		21,198,650
Net Assets	$	415,893,085

See Notes to Financial Statements.

6

State Street Equity 500 Index Fund

Statement of Assets and Liabilities — (continued)

December 31, 2014

Net Assets
Administrative Shares	$	248,180,433
Service Shares	$	126,411,810
Class R	$	41,148,459
Class A	$	50,794
Class K	$	50,795
Class I	$	50,794
Shares of Beneficial Interest Outstanding
Administrative Shares		14,372,374
Service Shares		7,328,201
Class R		2,384,519
Class A		2,941
Class K		2,941
Class I		2,941
Offering, Net Asset Value, and Redemption Price Per Share
Administrative Shares	$	17.27
Service Shares	$	17.25
Class R	$	17.26
Class K	$	17.27
Class I	$	17.27
Net Asset Value and Redemption Price Per Share
Class A	$	17.27
Maximum Sales Charge
Class A		5.25	%
Maximum Offering Price Per Share
Class A	$	18.23

See Notes to Financial Statements.

7

State Street Equity 500 Index Fund

Statement of Operations

Year Ended December 31, 2014*

Income
Dividend income allocated from the former Master Portfolio** (Note 2)	$	4,567,722
Interest income allocated from the former Master Portfolio** (Note 2)		3,362
Expenses allocated from the former Master Portfolio** (Note 2)		(103,754	)
Dividend income from affiliated issuer		3,263,757
		7,731,087
Expenses
Management fees (Note 4)		31,235
Administration fees (Note 4)		193,382
Custody and accounting fees (Note 4)		4,902
Sub-transfer agent fee (Note 4)
Class A		29
Class I		29
Distribution fees (Note 4)
Administrative Shares		353,830
Service Shares		286,261
Class R		217,989
Class A		36
Registration and filing fees		108,912
Professional fees		25,296
Transfer agent fees (Note 4)		46,470
Insurance expense		11,303
Printing fees		56,585
Miscellaneous fees		2,000
Total expenses		1,338,259
Less: Expenses reimbursed by the Adviser (Note 4)		(271,086	)
Net expenses		1,067,173
Net Investment Income		6,663,914
Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments – allocated from the former Master Portfolio**		922,268
Futures – allocated from the former Master Portfolio**		682,158
Investments in affiliated issuer		311,768
Capital gains distributions from affiliated issuer		2,956,218
		4,872,412
Change in net unrealized appreciation (depreciation) on:
Investments – allocated from the former Master Portfolio**		15,986,809
Futures – allocated from the former Master Portfolio**		(321,596	)
Investments in affiliated issuer		21,287,139
		36,952,352
Net realized and unrealized gain		41,824,764
Net Increase in Net Assets Resulting from Operations	$	48,488,678

* Effective August 11, 2014, the Fund invests substantially all of its investable assets in State Street Equity 500 Index II Portfolio (Note 1).

** State Street Equity 500 Index Portfolio

See Notes to Financial Statements.

8

State Street Equity 500 Index Fund

Statement of Changes in Net Assets

	Year Ended December 31, 2014*			Year Ended December 31, 2013
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	6,663,914		$	6,033,399
Net realized gain (loss) on investments and futures		4,872,412			3,768,702
Change in net unrealized appreciation on investments and futures		36,952,352			83,670,839
Net increase in net assets from operations		48,488,678			93,472,940
Distributions to Shareholders from:
Net investment income
Administrative Shares		(4,368,794	)		(3,753,200	)
Service Shares		(2,087,460	)		(1,891,555	)
Class R		(543,044	)		(386,402	)
Class A		(853	)		–
Class K		(920	)		–
Class I		(890	)		–
Total distributions		(7,001,961	)		(6,031,157	)
Net Increase (Decrease) from Fund Share Transactions:
Administrative Shares
Shares sold		24,425,275			12,756,678
Reinvestment of distributions		4,368,794			3,753,200
Shares redeemed		(36,318,004	)		(25,196,235	)
Net increase (decrease) from Fund share transactions		(7,523,935	)		(8,686,357	)
Service Shares
Shares sold		21,364,651			45,516,297
Reinvestment of distribution		2,087,460			1,891,555
Shares redeemed		(34,078,747	)		(38,161,275	)
Net increase (decrease) from Fund share transactions		(10,626,636	)		9,246,577
Class R
Shares sold		8,619,272			8,134,393
Reinvestment of distributions		543,044			386,402
Shares redeemed		(4,524,963	)		(5,041,155	)
Net increase (decrease) from Fund share transactions		4,637,353			3,479,640
Class A
Shares sold		50,000			–
Class K
Shares sold		50,000			–
Class I
Shares sold		50,000			–
Net Increase in Net Assets		28,123,499			91,481,643
Net Assets
Beginning of year		387,769,586			296,287,943
End of year	$	415,893,085		$	387,769,586
Undistributed net investment income	$	–		$	218,696

See Notes to Financial Statements.

9

State Street Equity 500 Index Fund

Statement of Changes in Net Assets — (continued)

	Year Ended December 31, 2014*			Year Ended December 31, 2013
Changes in Shares:
Administrative Shares
Shares sold		1,493,957			920,980
Reinvestment of distributions		250,217			243,083
Shares redeemed		(2,229,714	)		(1,883,503	)
Net increase (decrease) in shares		(485,540	)		(719,440	)
Service Shares
Shares sold		1,305,903			3,342,278
Reinvestment of distributions		119,694			122,589
Shares redeemed		(2,161,357	)		(2,816,214	)
Net increase (decrease) in shares		(735,760	)		648,653
Class R Shares
Shares sold		529,045			593,140
Reinvestment of distributions		31,120			25,026
Shares redeemed		(276,992	)		(357,436	)
Net increase (decrease) in shares		283,173			260,730
Class A
Shares sold		2,941			–
Class K
Shares sold		2,941			–
Class I
Shares sold		2,941			–

* Effective August 11, 2014, the Fund invests substantially all of its investable assets in State Street Equity 500 Index II Portfolio (Note 1).

See Notes to Financial Statements.

10

State Street Equity 500 Index Fund

Financial Highlights

Selected data for an Administrative Share of beneficial interest outstanding throughout each year is presented below:

	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10
Per Share Operating Performance:(a)
Net Asset Value, Beginning of Year	$	15.50		$	11.94		$	10.51		$	10.52		$	9.31
Investment Operations:
Net investment income(b)		0.29			0.26			0.24			0.20			0.17
Net realized and unrealized gain (loss) on investments		1.79			3.56			1.42			(0.01	)		1.21
Total from investment operations		2.08			3.82			1.66			0.19			1.38
Less Distributions From:
Net investment income		(0.31	)		(0.26	)		(0.23	)		(0.20	)		(0.17	)
Net increase (decrease) in net assets		1.77			3.56			1.43			(0.01	)		1.21
Net Asset Value, End of Year	$	17.27		$	15.50		$	11.94		$	10.51		$	10.52
Total Return(c)		13.41	%		31.97	%		15.84	%		1.79	%		14.81	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	248,180		$	230,330		$	185,918		$	161,813		$	165,883
Ratios to average net assets:(a)
Gross expenses		0.300	%(f)		0.245	%		0.245	%		0.245	%		0.245	%
Net expenses		0.231	%(f)		0.245	%		0.245	%		0.245	%		0.245	%
Net investment income		1.78	%		1.84	%		2.06	%		1.83	%		1.79	%
Portfolio turnover rate		4	%(d)		4	%(e)		9	%(e)		15	%(e)		12	%(e)

^(a)  Prior to August 11, 2014, the per share amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Portfolio turnover rate is from the State Street Equity 500 Index Portfolio.

^(f)  Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014.

See Notes to Financial Statements.

11

State Street Equity 500 Index Fund

Financial Highlights

Selected data for a Service Share of beneficial interest outstanding throughout each year is presented below:

	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10
Per Share Operating Performance:(a)
Net Asset Value, Beginning of Year	$	15.49		$	11.92		$	10.50		$	10.51		$	9.30
Investment Operations:
Net investment income(b)		0.28			0.24			0.23			0.19			0.16
Net realized and unrealized gain (loss) on investments		1.77			3.57			1.41			(0.01	)		1.21
Total from investment operations		2.05			3.81			1.64			0.18			1.37
Less Distributions From:
Net investment income		(0.29	)		(0.24	)		(0.22	)		(0.19	)		(0.16	)
Net increase (decrease) in net assets		1.76			3.57			1.42			(0.01	)		1.21
Net Asset Value, End of Year	$	17.25		$	15.49		$	11.92		$	10.50		$	10.51
Total Return(c)		13.24	%		31.97	%		15.64	%		1.69	%		14.71	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	126,412		$	124,885		$	88,416		$	77,600		$	78,203
Ratios to average net assets:
Gross expenses		0.401	%(f)		0.345	%		0.345	%		0.345	%		0.345	%
Net expenses		0.331	%(f)		0.345	%		0.345	%		0.345	%		0.345	%
Net investment income		1.73	%		1.74	%		1.96	%		1.74	%		1.69	%
Portfolio turnover rate		4	%(d)		4	%(e)		9	%(e)		15	%(e)		12	%(e)

^(a)  Prior to August 11, 2014, the per share amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Portfolio turnover rate is from the State Street Equity 500 Index Portfolio.

^(f)  Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014.

See Notes to Financial Statements.

12

State Street Equity 500 Index Fund

Financial Highlights

Selected data for a Class R Share of beneficial interest outstanding throughout each year is presented below:

	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10
Per Share Operating Performance:(a)
Net Asset Value, Beginning of Year	$	15.49		$	11.93		$	10.51		$	10.51		$	9.30
Investment Operations:
Net investment income(b)		0.22			0.19			0.19			0.15			0.13
Net realized and unrealized gain on investments		1.78			3.56			1.41			–			1.20
Total from investment operations		2.00			3.75			1.60			0.15			1.33
Less Distributions From:
Net investment income		(0.23	)		(0.19	)		(0.18	)		(0.15	)		(0.12	)
Net increase in net assets		1.77			3.56			1.42			0.00			1.21
Net Asset Value, End of Year	$	17.26		$	15.49		$	11.93		$	10.51		$	10.51
Total Return(c)		12.91	%		31.40	%		15.22	%		1.42	%		14.31	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	41,148		$	32,555		$	21,954		$	16,363		$	13,862
Ratios to average net assets:(a)
Gross expenses		0.754	%(f)		0.695	%		0.695	%		0.695	%		0.695	%
Net expenses		0.680	%(f)		0.695	%		0.695	%		0.695	%		0.695	%
Net investment income		1.37	%		1.40	%		1.62	%		1.40	%		1.35	%
Portfolio turnover rate		4	%(d)		4	%(e)		9	%(e)		15	%(e)		12	%(e)

^(a)  Prior to August 11, 2014, the per share amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Portfolio turnover rate is from the State Street Equity 500 Index Portfolio.

^(f)  Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014.

See Notes to Financial Statements.

13

State Street Equity 500 Index Fund

Financial Highlights

Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:

	Period  Ended 12/31/14(a)
Per Share Operating Performance:
Net Asset Value, Beginning of Year	$	17.00
Investment Operations:
Net investment income(b)		0.11
Net realized and unrealized gain on investments		0.45
Total from investment operations		0.56
Less Distributions From:
Net investment income		(0.29	)
Net increase in net assets		0.27
Net Asset Value, End of Year	$	17.27
Total Return(c)		3.28	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	51
Ratios to average net assets:
Gross expenses(f)		0.700	%*
Net expenses(f)		0.507	%*
Net investment income		2.32	%*
Portfolio turnover rate(d)(e)		4	%

^(a)  The Fund’s Class A Shares commenced operations on September 17, 2014.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Not annualized.

^(f)  Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio.

 * Annualized.

See Notes to Financial Statements.

14

State Street Equity 500 Index Fund

Financial Highlights

Selected data for a Class K Share of beneficial interest outstanding throughout the period is presented below:

	Period  Ended 12/31/14(a)
Per Share Operating Performance:
Net Asset Value, Beginning of Year	$	17.00
Investment Operations:
Net investment income(b)		0.14
Net realized and unrealized gain on investments		0.44
Total from investment operations		0.58
Less Distributions From:
Net investment income		(0.31	)
Net increase in net assets		0.27
Net Asset Value, End of Year	$	17.27
Total Return(c)		3.41	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	51
Ratios to average net assets:
Gross expenses(f)		0.272	%*
Net expenses(f)		0.057	%*
Net investment income		2.78	%*
Portfolio turnover rate(d)(e)		4	%

^(a)  The Fund’s Class K Shares commenced operations on September 17, 2014.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Not annualized.

^(f)  Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio.

 * Annualized.

See Notes to Financial Statements.

15

State Street Equity 500 Index Fund

Financial Highlights

Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:

	Period  Ended 12/31/14(a)
Per Share Operating Performance:
Net Asset Value, Beginning of Year	$	17.00
Investment Operations:
Net investment income(b)		0.13
Net realized and unrealized gain on investments		0.44
Total from investment operations		0.57
Less Distributions From:
Net investment income		(0.30	)
Net increase in net assets		0.27
Net Asset Value, End of Year	$	17.27
Total Return(c)		3.35	%
Ratios and Supplemental Data:
Net Assets, End of Year (000s)	$	51
Ratios to average net assets:
Gross expenses(f)		0.450	%*
Net expenses(f)		0.258	%*
Net investment income		2.57	%*
Portfolio turnover rate(d)(e)		4	%

^(a)  The Fund’s Class I Shares commenced operations on September 17, 2014.

^(b)  Net investment income per share is calculated using the average shares method.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results.

^(d)  Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014).

^(e)  Not annualized.

^(f)  Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio.

 * Annualized.

See Notes to Financial Statements.

16

State Street Equity 500 Index II Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Common Stocks	97.3	%
Money Market Funds	2.4
Other Assets in Excess of Liabilities	0.3
Total	100.0	%

Top Five Sectors (excluding short-term investments)*	December 31, 2014
Information Technology	19.2	%
Financials	16.2
Health Care	13.9
Consumer Discretionary	11.8
Industrials	10.1
Total	71.2	%

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

17

State Street Equity 500 Index II Portfolio

Portfolio of Investments

December 31, 2014

	Shares		Value
COMMON STOCKS – 97.3%
Consumer Discretionary – 11.8%
Amazon.com, Inc.(a)		8,690	$	2,696,941
AutoNation, Inc.(a)		1,894		114,417
AutoZone, Inc.(a)		776		480,429
Bed Bath & Beyond, Inc.(a)		4,415		336,291
Best Buy Co., Inc.		6,406		249,706
BorgWarner, Inc.		4,977		273,486
Cablevision Systems Corp.		4,788		98,824
CarMax, Inc.(a)		5,003		333,100
Carnival Corp.		10,201		462,411
CBS Corp. Class B		10,742		594,462
Chipotle Mexican Grill, Inc.(a)		686		469,574
Coach, Inc.		6,028		226,412
Comcast Corp. Class A		58,883		3,415,803
D.R. Horton, Inc.		7,797		197,186
Darden Restaurants, Inc.		2,771		162,464
Delphi Automotive PLC		6,819		495,878
DIRECTV(a)		11,402		988,553
Discovery Communications, Inc. Class A(a)		3,303		113,788
Discovery Communications, Inc. Class C(a)		6,003		202,421
Dollar General Corp.(a)		7,013		495,819
Dollar Tree, Inc.(a)		4,707		331,279
Expedia, Inc.		2,334		199,230
Family Dollar Stores, Inc.		2,093		165,787
Ford Motor Co.		88,638		1,373,889
Fossil Group, Inc.(a)		983		108,857
GameStop Corp. Class A		2,622		88,624
Gannett Co., Inc.		5,322		169,931
Gap, Inc.		5,934		249,881
Garmin Ltd.		2,640		139,471
General Motors Co.		30,723		1,072,540
Genuine Parts Co.		3,389		361,166
Goodyear Tire & Rubber Co.		6,344		181,248
H&R Block, Inc.		5,864		197,500
Harley-Davidson, Inc.		4,816		317,423
Harman International Industries, Inc.		1,616		172,443
Hasbro, Inc.		2,397		131,811
Home Depot, Inc.		30,102		3,159,807
Interpublic Group of Cos., Inc.		9,666		200,763
Johnson Controls, Inc.		14,980		724,133
Kohl’s Corp.		4,645		283,531
L Brands, Inc.		5,721		495,153
Leggett & Platt, Inc.		3,254		138,653
Lennar Corp. Class A		4,106		183,990
Lowe’s Cos., Inc.		22,350		1,537,680
Macy’s, Inc.		7,762		510,351
Marriott International, Inc. Class A		4,753		370,877
Mattel, Inc.		7,433		230,014
McDonald’s Corp.		22,310		2,090,447
Michael Kors Holdings, Ltd.(a)		4,514		339,001
Mohawk Industries, Inc.(a)		1,331		206,784
Netflix, Inc.(a)		1,372		468,689
Newell Rubbermaid, Inc.		5,842		222,522
News Corp. Class A(a)		10,788		169,264
NIKE, Inc. Class B		16,053		1,543,496
Nordstrom, Inc.		3,177		252,222
O’Reilly Automotive, Inc.(a)		2,280		439,174
Omnicom Group, Inc.		5,691		440,882
PetSmart, Inc.		2,327		189,173
Priceline Group, Inc.(a)		1,182		1,347,728
PulteGroup, Inc.		7,362		157,989
PVH Corp.		1,749		224,169
Ralph Lauren Corp.		1,479		273,852
Ross Stores, Inc.		4,628		436,235
Royal Caribbean Cruises, Ltd.		3,700		304,991
Scripps Networks Interactive, Inc. Class A		2,372		178,540
Staples, Inc.		14,799		268,158
Starbucks Corp.		16,815		1,379,671
Starwood Hotels & Resorts Worldwide, Inc.		4,203		340,737
Target Corp.		14,272		1,083,387
Tiffany & Co.		2,499		267,043
Time Warner Cable, Inc.		6,497		987,934
Time Warner, Inc.		19,311		1,649,546
TJX Cos., Inc.		15,737		1,079,243
Tractor Supply Co.		3,026		238,509
TripAdvisor, Inc.(a)		2,442		182,320
Twenty-First Century Fox, Inc.		42,600		1,636,053
Under Armour, Inc. Class A(a)		3,924		266,440
Urban Outfitters, Inc.(a)		2,461		86,455
V.F. Corp.		7,744		580,026
Viacom, Inc. Class B		8,381		630,670
Walt Disney Co.		35,652		3,358,062
Whirlpool Corp.		1,702		329,745
Wyndham Worldwide Corp.		2,753		236,097
Wynn Resorts, Ltd.		1,841		273,867
Yum! Brands, Inc.		9,902		721,361
				50,384,479
Consumer Staples – 9.5%
Altria Group, Inc.		45,329		2,233,360
Archer-Daniels-Midland Co.		14,432		750,464
Avon Products, Inc.		9,102		85,468
Brown-Forman Corp. Class B		3,521		309,285
Campbell Soup Co.		3,882		170,808
Clorox Co.		2,764		288,036
Coca-Cola Co.		90,100		3,804,022
Coca-Cola Enterprises, Inc.		4,988		220,569
Colgate-Palmolive Co.		19,723		1,364,634
ConAgra Foods, Inc.		9,224		334,647
Constellation Brands, Inc. Class A(a)		3,850		377,954
Costco Wholesale Corp.		9,855		1,396,946
CVS Health Corp.		25,905		2,494,910
Dr. Pepper Snapple Group, Inc.		4,397		315,177
Estee Lauder Cos., Inc. Class A		4,941		376,504
General Mills, Inc.		14,042		748,860
Hershey Co.		3,267		339,539
Hormel Foods Corp.		2,851		148,537
J.M. Smucker Co.		2,305		232,759
Kellogg Co.		5,628		368,296
Keurig Green Mountain, Inc.		2,711		358,923
Kimberly-Clark Corp.		8,527		985,210
Kraft Foods Group, Inc.		13,618		853,304
Kroger Co.		11,421		733,342
Lorillard, Inc.		7,955		500,688
McCormick & Co., Inc.		2,792		207,446
Mead Johnson Nutrition Co.		4,450		447,403
Molson Coors Brewing Co. Class B		3,653		272,222
Mondelez International, Inc. Class A		37,815		1,373,630
Monster Beverage Corp.(a)		3,353		363,298

See Notes to Financial Statements.

18

State Street Equity 500 Index II Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
PepsiCo, Inc.		34,216	$	3,235,465
Philip Morris International, Inc.		35,512		2,892,452
Procter & Gamble Co.		61,658		5,616,427
Reynolds American, Inc.		7,004		450,147
Safeway, Inc.		4,999		175,565
Sysco Corp.		13,774		546,690
Tyson Foods, Inc. Class A		6,744		270,367
Wal-Mart Stores, Inc.		36,103		3,100,526
Walgreens Boots Alliance, Inc.		19,705		1,501,521
Whole Foods Market, Inc.		8,079		407,343
				40,652,744
Energy – 8.2%
Anadarko Petroleum Corp.		11,382		939,015
Apache Corp.		8,755		548,676
Baker Hughes, Inc.		9,679		542,702
Cabot Oil & Gas Corp.		9,078		268,800
Cameron International Corp.(a)		4,533		226,423
Chesapeake Energy Corp.		11,188		218,949
Chevron Corp.		43,112		4,836,304
Cimarex Energy Co.		1,858		196,948
ConocoPhillips		28,227		1,949,357
Consol Energy, Inc.		5,000		169,050
Denbury Resources, Inc.		8,271		67,243
Devon Energy Corp.		8,601		526,467
Diamond Offshore Drilling, Inc.		1,546		56,754
Ensco PLC Class A		5,111		153,074
EOG Resources, Inc.		12,271		1,129,791
EQT Corp.		3,457		261,695
ExxonMobil Corp.		96,475		8,919,114
FMC Technologies, Inc.(a)		5,191		243,146
Halliburton Co.		19,067		749,905
Helmerich & Payne, Inc.		2,326		156,819
Hess Corp.		5,757		424,982
Kinder Morgan, Inc.		39,050		1,652,205
Marathon Oil Corp.		14,888		421,182
Marathon Petroleum Corp.		6,387		576,491
Murphy Oil Corp.		3,879		195,967
Nabors Industries, Ltd.		6,784		88,056
National Oilwell Varco, Inc.		9,516		623,583
Newfield Exploration Co.(a)		3,215		87,191
Noble Corp. PLC		5,904		97,829
Noble Energy, Inc.		8,325		394,855
Occidental Petroleum Corp.		17,809		1,435,583
ONEOK, Inc.		4,496		223,856
Phillips 66		12,873		922,994
Pioneer Natural Resources Co.		3,476		517,403
QEP Resources, Inc.		3,645		73,702
Range Resources Corp.		3,859		206,264
Schlumberger, Ltd.		29,486		2,518,399
Southwestern Energy Co.(a)		8,056		219,848
Spectra Energy Corp.		15,357		557,459
Tesoro Corp.		3,016		224,240
Transocean, Ltd.		7,410		135,825
Valero Energy Corp.		11,823		585,238
Williams Cos., Inc. (The)		15,358		690,189
				35,033,573
Financials – 16.2%
ACE, Ltd.		7,433		853,903
Affiliated Managers Group, Inc.(a)		1,224		259,782
Aflac, Inc.		10,153		620,247
Allstate Corp.		9,739		684,165
American Express Co.		20,112		1,871,220
American International Group, Inc.		32,101		1,797,977
American Tower Corp. REIT		8,918		881,544
Ameriprise Financial, Inc.		4,344		574,494
Aon PLC		6,465		613,076
Apartment Investment & Management Co. Class A REIT		3,087		114,682
Assurant, Inc.		1,685		115,305
AvalonBay Communities, Inc. REIT		2,969		485,105
Bank of America Corp.		240,205		4,297,267
Bank of New York Mellon Corp.		25,994		1,054,577
BB&T Corp.		16,231		631,224
Berkshire Hathaway, Inc. Class B(a)		41,584		6,243,838
BlackRock, Inc.		2,916		1,042,645
Boston Properties, Inc. REIT		3,346		430,597
Capital One Financial Corp.		12,895		1,064,482
CBRE Group, Inc.(a)		6,167		211,220
Charles Schwab Corp.		26,204		791,099
Chubb Corp.		5,479		566,912
Cincinnati Financial Corp.		3,109		161,139
Citigroup, Inc.		69,227		3,745,873
CME Group, Inc.		7,363		652,730
Comerica, Inc.		4,027		188,625
Crown Castle International Corp. REIT		7,358		579,075
Discover Financial Services		10,628		696,028
E*TRADE Financial Corp.(a)		6,042		146,549
Equity Residential REIT		8,219		590,453
Essex Property Trust, Inc. REIT		1,445		298,537
Fifth Third Bancorp		19,362		394,501
Franklin Resources, Inc.		8,689		481,110
General Growth Properties, Inc. REIT		13,858		389,825
Genworth Financial, Inc. Class A(a)		11,062		94,027
Goldman Sachs Group, Inc.		9,346		1,811,535
Hartford Financial Services Group, Inc.		9,967		415,524
HCP, Inc. REIT		10,423		458,925
Health Care REIT, Inc.		7,319		553,829
Host Hotels & Resorts, Inc. REIT		16,562		393,679
Hudson City Bancorp, Inc.		10,316		104,398
Huntington Bancshares, Inc.		19,091		200,837
Intercontinental Exchange, Inc.		2,537		556,339
Invesco Ltd.		9,711		383,779
Iron Mountain, Inc. REIT		3,881		150,039
J.P. Morgan Chase & Co.		85,343		5,340,765
KeyCorp		19,996		277,944
Kimco Realty Corp. REIT		8,953		225,078
Legg Mason, Inc.		2,427		129,529
Leucadia National Corp.		7,427		166,513
Lincoln National Corp.		5,782		333,448
Loews Corp.		6,619		278,130
M&T Bank Corp.		3,003		377,237
Marsh & McLennan Cos., Inc.		12,019		687,968
McGraw Hill Financial, Inc.		5,968		531,033
MetLife, Inc.		26,170		1,415,535
Moody’s Corp.		4,232		405,468
Morgan Stanley		35,175		1,364,790
NASDAQ OMX Group, Inc.		2,475		118,701
Navient Corp.		9,313		201,254

See Notes to Financial Statements.

19

State Street Equity 500 Index II Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Value
COMMON STOCKS – (continued)
Financials – (continued)
Northern Trust Corp.		4,896	$	329,990
People’s United Financial, Inc.		7,666		116,370
Plum Creek Timber Co., Inc. REIT		4,225		180,788
PNC Financial Services Group, Inc.		12,175		1,110,725
Principal Financial Group, Inc.		6,265		325,404
Progressive Corp.		11,849		319,804
ProLogis, Inc. REIT		10,952		471,265
Prudential Financial, Inc.		10,302		931,919
Public Storage, Inc. REIT		3,235		597,990
Regions Financial Corp.		30,446		321,510
Simon Property Group, Inc. REIT		6,980		1,271,128
State Street Corp.(c)		9,678		759,723
SunTrust Banks, Inc.		11,636		487,548
T. Rowe Price Group, Inc.		5,955		511,296
The Macerich Co. REIT		3,255		271,499
Torchmark Corp.		3,012		163,160
Travelers Cos., Inc.		7,506		794,510
U.S. Bancorp		41,122		1,848,434
Unum Group		5,505		192,014
Ventas, Inc. REIT		6,697		480,175
Vornado Realty Trust REIT		3,968		467,073
Wells Fargo & Co.		107,703		5,904,278
Weyerhaeuser Co. REIT		11,667		418,729
XL Group PLC		6,048		207,870
Zions Bancorporation		4,095		116,748
				69,106,060
Health Care – 13.9%
Abbott Laboratories		34,647		1,559,808
AbbVie, Inc.		36,543		2,391,374
Actavis PLC(a)		6,116		1,574,320
Aetna, Inc.		8,144		723,432
Agilent Technologies, Inc.		7,393		302,669
Alexion Pharmaceuticals, Inc.(a)		4,473		827,639
Allergan, Inc.		6,878		1,462,194
AmerisourceBergen Corp.		4,734		426,817
Amgen, Inc.		17,454		2,780,248
Anthem, Inc.		6,219		781,542
Baxter International, Inc.		12,216		895,311
Becton Dickinson and Co.		4,405		613,000
Biogen Idec, Inc.(a)		5,384		1,827,599
Boston Scientific Corp.(a)		29,457		390,305
Bristol-Myers Squibb Co.		38,004		2,243,376
C.R. Bard, Inc.		1,735		289,086
Cardinal Health, Inc.		7,433		600,066
CareFusion Corp.(a)		4,556		270,353
Celgene Corp.(a)		18,271		2,043,794
Cerner Corp.(a)		6,737		435,614
CIGNA Corp.		5,885		605,625
Covidien PLC		10,487		1,072,610
DaVita HealthCare Partners, Inc.(a)		3,828		289,933
DENTSPLY International, Inc.		3,134		166,948
Edwards Lifesciences Corp.(a)		2,455		312,718
Eli Lilly & Co.		22,518		1,553,517
Express Scripts Holding Co.(a)		16,867		1,428,129
Gilead Sciences, Inc.(a)		34,452		3,247,445
Hospira, Inc.(a)		3,886		238,017
Humana, Inc.		3,390		486,906
Intuitive Surgical, Inc.(a)		848		448,541
Johnson & Johnson		63,808		6,672,403
Laboratory Corp. of America Holdings(a)		1,975		213,102
Mallinckrodt PLC(a)		2,600		257,478
McKesson Corp.		5,224		1,084,398
Medtronic, Inc.		22,668		1,636,630
Merck & Co., Inc.		65,172		3,701,118
Mylan, Inc.(a)		8,502		479,258
Patterson Cos., Inc.		1,735		83,453
PerkinElmer, Inc.		2,586		113,086
Perrigo Co. PLC		3,286		549,288
Pfizer, Inc.		143,833		4,480,398
Quest Diagnostics, Inc.		3,142		210,703
Regeneron Pharmaceuticals, Inc.(a)		1,742		714,655
St. Jude Medical, Inc.		6,273		407,933
Stryker Corp.		6,894		650,311
Tenet Healthcare Corp.(a)		2,090		105,900
Thermo Fisher Scientific, Inc.		9,212		1,154,171
UnitedHealth Group, Inc.		21,774		2,201,134
Universal Health Services, Inc.		2,000		222,520
Varian Medical Systems, Inc.(a)		2,429		210,133
Vertex Pharmaceuticals, Inc.(a)		5,352		635,818
Waters Corp.(a)		1,850		208,532
Zimmer Holdings, Inc.		3,825		433,831
Zoetis, Inc.		11,620		500,009
				59,215,198
Industrials – 10.1%
3M Co.		14,729		2,420,269
ADT Corp.		3,894		141,080
Allegion PLC		1,996		110,698
AMETEK, Inc.		5,299		278,886
Boeing Co.		15,264		1,984,015
C.H. Robinson Worldwide, Inc.		3,279		245,564
Caterpillar, Inc.		13,924		1,274,464
Cintas Corp.		2,166		169,901
CSX Corp.		22,355		809,922
Cummins, Inc.		3,814		549,864
Danaher Corp.		13,694		1,173,713
Deere & Co.		8,083		715,103
Delta Air Lines, Inc.		18,734		921,525
Dover Corp.		3,750		268,950
Dun & Bradstreet Corp.		755		91,325
Eaton Corp. PLC		10,525		715,279
Emerson Electric Co.		15,679		967,865
Equifax, Inc.		2,688		217,379
Expeditors International of Washington, Inc.		4,576		204,135
Fastenal Co.		5,958		283,362
FedEx Corp.		6,050		1,050,643
Flowserve Corp.		2,945		176,199
Fluor Corp.		3,504		212,447
General Dynamics Corp.		7,272		1,000,773
General Electric Co.		229,170		5,791,126
Honeywell International, Inc.		17,978		1,796,362
Illinois Tool Works, Inc.		8,100		767,070
Ingersoll-Rand PLC		6,084		385,665
Jacobs Engineering Group, Inc.(a)		2,743		122,585
Joy Global, Inc.		2,313		107,601
Kansas City Southern		2,496		304,587
L-3 Communications Holdings, Inc.		1,938		244,595
Lockheed Martin Corp.		6,203		1,194,512
Masco Corp.		7,684		193,637

See Notes to Financial Statements.

20

State Street Equity 500 Index II Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Value
COMMON STOCKS – (continued)
Industrials – (continued)
Nielsen NV		6,925	$	309,755
Norfolk Southern Corp.		6,887		754,884
Northrop Grumman Corp.		4,625		681,679
PACCAR, Inc.		8,039		546,732
Pall Corp.		2,502		253,227
Parker-Hannifin Corp.		3,389		437,011
Pentair PLC		4,304		285,872
Pitney Bowes, Inc.		4,806		117,122
Precision Castparts Corp.		3,229		777,801
Quanta Services, Inc.(a)		4,707		133,632
Raytheon Co.		7,146		772,983
Republic Services, Inc.		5,789		233,007
Robert Half International, Inc.		3,166		184,831
Rockwell Automation, Inc.		3,026		336,491
Rockwell Collins, Inc.		3,031		256,059
Roper Industries, Inc.		2,165		338,498
Ryder System, Inc.		1,066		98,978
Snap-on, Inc.		1,240		169,558
Southwest Airlines Co.		15,359		649,993
Stanley Black & Decker, Inc.		3,457		332,148
Stericycle, Inc.(a)		1,896		248,528
Textron, Inc.		6,033		254,050
Tyco International PLC		9,764		428,249
Union Pacific Corp.		20,098		2,394,275
United Parcel Service, Inc. Class B		15,791		1,755,485
United Rentals, Inc.(a)		2,100		214,221
United Technologies Corp.		19,451		2,236,865
W.W. Grainger, Inc.		1,357		345,886
Waste Management, Inc.		9,835		504,732
Xylem, Inc.		3,858		146,874
				43,090,527
Information Technology – 19.2%
Accenture PLC Class A		14,318		1,278,741
Adobe Systems, Inc.(a)		11,044		802,899
Akamai Technologies, Inc.(a)		3,890		244,914
Alliance Data Systems Corp.(a)		1,496		427,931
Altera Corp.		6,800		251,192
Amphenol Corp. Class A		7,020		377,746
Analog Devices, Inc.		7,151		397,024
Apple, Inc.		133,624		14,749,417
Applied Materials, Inc.		27,454		684,154
Autodesk, Inc.(a)		4,906		294,654
Automatic Data Processing, Inc.		10,852		904,731
Avago Technologies, Ltd.		5,582		561,493
Broadcom Corp. Class A		11,924		516,667
CA, Inc.		7,140		217,413
Cisco Systems, Inc.		116,990		3,254,077
Citrix Systems, Inc.(a)		3,589		228,978
Cognizant Technology Solutions Corp. Class A(a)		13,941		734,133
Computer Sciences Corp.		3,112		196,212
Corning, Inc.		29,626		679,324
eBay, Inc.(a)		26,045		1,461,645
Electronic Arts, Inc.(a)		6,779		318,715
EMC Corp.		46,810		1,392,129
F5 Networks, Inc.(a)		1,641		214,093
Facebook, Inc. Class A(a)		47,793		3,728,810
Fidelity National Information Services, Inc.		6,291		391,300
First Solar, Inc.(a)		1,821		81,208
Fiserv, Inc.(a)		5,662		401,832
FLIR Systems, Inc.		3,161		102,132
Google, Inc. Class A(a)		6,567		3,484,844
Google, Inc. Class C(a)		6,467		3,404,229
Harris Corp.		2,502		179,694
Hewlett-Packard Co.		42,853		1,719,691
Intel Corp.		110,436		4,007,723
International Business Machines Corp.		21,095		3,384,482
Intuit, Inc.		6,437		593,427
Juniper Networks, Inc.		8,849		197,510
KLA-Tencor Corp.		3,632		255,402
Lam Research Corp.		3,477		275,865
Linear Technology Corp.		5,442		248,155
Mastercard, Inc. Class A		22,451		1,934,378
Microchip Technology, Inc.		4,383		197,717
Micron Technology, Inc.(a)		24,434		855,434
Microsoft Corp.		187,858		8,726,004
Motorola Solutions, Inc.		4,830		323,996
NetApp, Inc.		6,914		286,585
NVIDIA Corp.		12,044		241,482
Oracle Corp.		73,935		3,324,857
Paychex, Inc.		7,107		328,130
QUALCOMM, Inc.		38,026		2,826,473
Red Hat, Inc.(a)		4,370		302,142
Salesforce.com, Inc.(a)		13,595		806,320
SanDisk Corp.		4,961		486,079
Seagate Technology PLC		7,424		493,696
Symantec Corp.		15,260		391,495
TE Connectivity, Ltd.		9,051		572,476
Teradata Corp.(a)		3,407		148,818
Texas Instruments, Inc.		24,293		1,298,825
Total System Services, Inc.		3,576		121,441
VeriSign, Inc.(a)		2,501		142,557
Visa, Inc. Class A		11,190		2,934,018
Western Digital Corp.		4,953		548,297
Western Union Co.		11,645		208,562
Xerox Corp.		23,909		331,379
Xilinx, Inc.		6,160		266,666
Yahoo!, Inc.(a)		20,182		1,019,393
				81,761,806
Materials – 3.1%
Air Products & Chemicals, Inc.		4,402		634,900
Airgas, Inc.		1,560		179,681
Alcoa, Inc.		26,260		414,645
Allegheny Technologies, Inc.		2,317		80,562
Avery Dennison Corp.		2,070		107,392
Ball Corp.		2,966		202,192
C.F. Industries Holdings, Inc.		1,144		311,786
Dow Chemical Co.		25,538		1,164,788
E.I. du Pont de Nemours & Co.		20,518		1,517,101
Eastman Chemical Co.		3,336		253,069
Ecolab, Inc.		6,001		627,225
FMC Corp.		2,878		164,132
Freeport-McMoRan, Inc.		22,940		535,878
International Flavors & Fragrances, Inc.		1,751		177,481
International Paper Co.		9,603		514,529
LyondellBasell Industries NV Class A		9,548		758,016

See Notes to Financial Statements.

21

State Street Equity 500 Index II Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Value
COMMON STOCKS – (continued)
Materials – (continued)
Martin Marietta Materials, Inc.		1,345	$	148,380
MeadWestvaco Corp.		3,877		172,100
Monsanto Co.		11,161		1,333,405
Mosaic Co.		7,084		323,385
Newmont Mining Corp.		11,433		216,084
Nucor Corp.		6,948		340,799
Owens-Illinois, Inc.(a)		3,537		95,464
PPG Industries, Inc.		3,127		722,806
Praxair, Inc.		6,511		843,565
Sealed Air Corp.		4,923		208,883
Sherwin-Williams Co.		1,809		475,839
Sigma-Aldrich Corp.		2,773		380,650
Vulcan Materials Co.		2,871		188,711
				13,093,448
Telecommunication Services – 2.2%
AT&T, Inc.		118,477		3,979,642
CenturyLink, Inc.		12,592		498,391
Frontier Communications Corp.		22,306		148,781
Level 3 Communications, Inc.(a)		6,300		311,094
Verizon Communications, Inc.		94,815		4,435,446
Windstream Holdings, Inc.		13,346		109,971
				9,483,325
Utilities – 3.1%
AES Corp.		15,236		209,800
AGL Resources, Inc.		2,798		152,519
Ameren Corp.		5,604		258,512
American Electric Power Co., Inc.		11,009		668,466
CenterPoint Energy, Inc.		9,376		219,680
CMS Energy Corp.		6,555		227,786
Consolidated Edison, Inc.		6,752		445,699
Dominion Resources, Inc.		13,094		1,006,929
DTE Energy Co.		4,045		349,367
Duke Energy Corp.		15,892		1,327,618
Edison International		7,514		492,017
Entergy Corp.		3,898		340,997
Exelon Corp.		19,684		729,883
FirstEnergy Corp.		9,593		374,031
Integrys Energy Group, Inc.		1,736		135,148
NextEra Energy, Inc.		9,764		1,037,816
NiSource, Inc.		6,804		288,626
Northeast Utilities		7,217		386,254
NRG Energy, Inc.		7,802		210,264
Pepco Holdings, Inc.		5,541		149,219
PG&E Corp.		10,814		575,737
Pinnacle West Capital Corp.		2,404		164,217
PPL Corp.		15,019		545,640
Public Service Enterprise Group, Inc.		11,488		475,718
SCANA Corp.		2,999		181,140
Sempra Energy		5,162		574,840
Southern Co.		20,159		990,008
TECO Energy, Inc.		4,701		96,323
Wisconsin Energy Corp.		5,124		270,240
Xcel Energy, Inc.		11,451		411,320
				13,295,814
TOTAL COMMON STOCKS (Cost: $187,044,092)				415,116,974
MONEY MARKET FUND – 2.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(b)(c)(d)		10,185,685		10,185,685
TOTAL MONEY MARKET FUND (Cost: $10,185,685)				10,185,685
TOTAL INVESTMENTS(e) – 99.7% (Cost $197,229,777)				425,302,659
Other Assets in Excess of Liabilities – 0.3%				1,407,705
NET ASSETS – 100.0%			$	426,710,364

^(a)  Non-income producing security.

^(b)  All or part of this security has been designated as collateral for futures contracts.

^(c)  Affiliated issuer. See table that follows for more information.

^(d)  The rate shown is the annualized seven-day yield at period end.

^(e)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.

PLC  Public Limited Company

REIT Real Estate Investment Trust

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 3/2015		102	$	10,467,240	$	114,811
Total unrealized appreciation on open futures contracts purchased					$	114,811

See Notes to Financial Statements.

22

State Street Equity 500 Index II Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSGA Funds Management, Inc. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending December 31, 2014 were as follows:

Security Description	Number of shares held at 8/11/14*		Shares purchased for the period ended 12/31/14			Shares sold for the period ended 12/31/14		Number of shares held at 12/31/14		Value at 12/31/14		Income earned for the period ended 12/31/14		Realized gain/loss on shares sold
State Street Corp.		–		10,178	**		500		9,678	$	759,723	$	5,687	$	9,115
State Street Institutional Liquid Reserves Fund, Premier Class		–		43,348,594			33,162,909		10,185,685		10,185,685		2,244		–

* Commencement of operations

** 9,778 shares of State Street Corp. was acquired as part of an in-kind subscription (Note 7).

See Notes to Financial Statements.

23

State Street Equity 500 Index II Portfolio

Statement of Assets and Liabilities

December 31, 2014

Assets
Investments in unaffiliated issuers at market value (identified cost $186,716,094)	$	414,357,251
Investments in non-controlled affiliates at market value (identified cost $10,513,683) (Note 4)		10,945,408
Total investments at market value (identified cost $197,229,777)		425,302,659
Cash		2,489
Cash at broker		469,205
Receivable for fund shares sold		1,038,987
Dividends receivable		542,617
Dividend receivable from non-controlled affiliates (Note 4)		5,687
Receivable from Adviser		18,909
Total assets		427,380,553
Liabilities
Daily variation margin on futures contracts		123,930
Payable for fund shares repurchased		482,760
Professional fees payable		30,611
Trustees’ fees payable (Note 5)		3,750
Administration and custody fees payable (Note 4)		19,434
Accrued expenses and other liabilities		9,704
Total liabilities		670,189
Net Assets	$	426,710,364
Net Assets Consist of:
Paid in capital	$	197,300,266
Accumulated net realized gain on investments		1,222,405
Unrealized appreciation on investments and futures contracts		228,187,693
Net Assets	$	426,710,364
Net asset value, offering, and redemption price per share	$	10.55
Shares outstanding		40,441,084

See Notes to Financial Statements.

24

State Street Equity 500 Index II Portfolio

Statement of Operations

Period Ended December 31, 2014*

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $519)	$	3,277,966
Dividend income – non-controlled affiliated issuer		7,931
Interest		2,248
Total investment income		3,288,145
Expenses
Professional fees		30,865
Trustees’ fees (Note 5)		3,750
Administration and custody fees (Note 4)		19,434
Printing fees		2,501
Other expenses		9,633
Total expenses		66,183
Less: Expenses reimbursed by the Adviser (Note 4)		(18,909	)
Total net expenses		47,274
Net Investment Income		3,240,871
Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments – unaffiliated issuers		4,013,957
Investments – affiliated issuers		9,115
Futures contracts		258,685
		4,281,757
Net change in net appreciation (depreciation) on:
Investments		20,300,997
Futures contracts		114,811
		20,415,808
Net Increase in Net Assets Resulting from Operations	$	27,938,436

* For the period August 11, 2014 (commencement of operations) through December 31, 2014.

See Notes to Financial Statements.

25

State Street Equity 500 Index II Portfolio

Statement of Changes in Net Assets

	For The Period August 11, 2014* to December 31, 2014
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	3,240,871
Net realized gain on investments and futures contracts		4,281,757
Net change in net unrealized appreciation (depreciation) on investments and futures contracts		20,415,808
Net increase in net assets from operations		27,938,436
Distributions From:
Net investment income		(3,305,865	)
Net realized gain on investments		(2,994,358	)
Total distributions		(6,300,223	)
Fund Share Transactions:
In-kind subscription (Note 7)		387,955,841
Shares sold		30,018,341
Reinvestment of distributions		6,300,223
Shares redeemed		(19,202,254	)
Net increase (decrease) in net assets from fund share transactions		405,072,151
Net Increase in Net assets		426,710,364
Net Assets
End of period	$	426,710,364
Change in Shares:
In-kind subscription (Note 7)		39,080,818
Shares sold		2,613,803
Reinvestment of distributions		596,612
Shares redeemed		(1,850,149	)
Net increase in shares		40,441,084

* Commencement of operations

See Notes to Financial Statements.

26

State Street Equity 500 Index II Portfolio

Financial Highlights

Selected data for a Share of beneficial interest outstanding throughout the period is presented below:

	For the Period 8/11/14* -  12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00
Investment Operations:
Net investment income(a)		0.08
Net realized and unrealized gain on investments		0.63
Total from investment operations		0.71
Less Distributions From:
Net investment income		(0.08	)
Net realized gain		(0.08	)
Total distributions		(0.16	)
Net Asset Value, End of Period	$	10.55
Total Return(b)		7.12	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	426,710
Ratios to average net assets:
Gross expenses(c)		0.042	%
Net expenses(c)		0.030	%
Net investment income(c)		2.06	%
Portfolio turnover rate(d)		4	%

 * Commencement of operations.

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(c)  Annualized.

^(d)  Portfolio turnover rate excludes in-kind security transactions (Note 7).

See Notes to Financial Statements.

27

State Street Institutional Investment Trust

Notes to Financial Statements

December 31, 2014

1. Organization

State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of thirty-five (35) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. The financial statements herein relate to the following Funds:

Fund	Classes	Commencement of  Operations:
State Street Equity 500 Index Fund	Administrative Shares Class A Class I Class K Class R Shares Service Shares	April 11, 2001 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 March 10, 2003
State Street Equity 500 Index II Portfolio	N/A	August 11, 2014

State Street Equity 500 Index II Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500^® Index (the “S&P 500 Index”). The 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, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the U.S. There is no assurance that the Portfolio will achieve its objective.

Effective August 11, 2014, the State Street Equity 500 Index Fund (the “Fund”) invests all of its investable assets in shares of the State Street Equity 500 Index II Portfolio (the “Portfolio”). The Fund invests as part of a “master-feeder” structure, and currently seeks to achieve its investment objective by investing substantially all of its investable assets in the Portfolio, a separate mutual fund, that has a substantially identical investment objective, investment policies, and risks as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (97.46% at December 31, 2014). The performance of the Fund was directly affected by the performance of the Portfolio.

Prior to August 11, 2014, the Fund invested all of its investable assets in interests of the State Street Equity 500 Index Portfolio (the “Equity 500 Portfolio”), a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of the Equity 500 Portfolio were substantially similar to those of the Fund. The value of the Fund’s investment in the Portfolio reflected the Fund’s proportionate interest in the net assets of the Equity 500 Portfolio. The performance of the Fund was directly affected by the performance of the Equity 500 Portfolio.

Class A shares are offered to investors subject to an initial sales charge. Class A is available to the general public through certain financial intermediaries. Classes I and K and the Administrative, Class R and Service shares are not subject to an initial or contingent deferred sales charge and are only available to a limited group of investors.

The funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

28

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

2. Significant Accounting Policies

The funds’ financial statements are prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”), which require the use of management estimates. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security valuation – The Fund records its investment in the Portfolio at net asset value per share. The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued at the quoted daily settlement price at the end of each day on the exchange upon which they are traded. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees. The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the investments.

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold

29

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolio’s net assets are computed and that may materially affect the value of the Portfolio’s investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of such Portfolio’s benchmark index. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of December 31, 2014, in valuing the assets carried at fair value of the Portfolio:

Fund	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
ASSETS: INVESTMENTS:
Common Stocks	$	415,116,974	$	–	$	–	$	415,116,974
Money Market Fund		10,185,685		–		–		10,185,685
TOTAL INVESTMENTS		425,302,659		–		–		425,302,659
OTHER ASSETS:
Futures contracts*		114,811		–		–		114,811
TOTAL ASSETS	$	425,417,470	$	–	$	–	$	425,417,470

* Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

The value of the Fund’s investment in the Portfolio is determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.

Transfers between levels are considered to have occurred at the end of the reporting period. For the period ended December 31, 2014, there were no transfers between levels.

Investment transactions and investment income – During the period August 11, 2014 to December 31, 2014, investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date.

During the period August 11, 2014 to December 31, 2014, dividend income is recorded on the ex-dividend date. Income and capital gains distributions received from the Portfolio by the Fund are recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. Interest income is recorded on the accrual basis. All premiums and discounts are amortized or accreted for financial reporting purposes.

30

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Prior to August 11, 2014, net investment income consisted of the Fund’s pro-rata share of the net investment income of the Equity 500 Portfolio, less all expenses of the Fund and realized and unrealized gains and losses from security transactions consisted of the Fund’s pro-rata share of the Equity 500 Portfolio’s realized and unrealized gains and losses.

Income, non-class specific expenses, and realized and unrealized gains and losses were allocated to the respective classes daily on the basis of relative net assets. Class specific fees are borne by each class.

Dividends and distributions – Dividends, if any, are declared and paid, at least annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.

Expense allocation – Certain expenses are applicable to multiple funds within the Trust. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributed to a fund are allocated among the funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the funds can otherwise be made.

Federal income taxes – Each fund has qualified and intends to continue to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so electing and qualifying, the funds will not be subject to federal income taxes to the extent all taxable income, including any net realized capital gains, for each fiscal year is distributes. In addition, by distributing during each calendar year substantially all net taxable income and capital gains, if any, the funds will not be subject to federal excise tax.

For the year ended December 31, 2014, permanent differences identified and reclassified among the components of net assets were as follows:

Fund	Paid-In Capital			Accumulated Gain (Loss)			Undistributed Net Investment Income (Loss)
State Street Equity 500 Index Fund	$	(6,752,287	)	$	6,632,936		$	119,351
State Street Equity 500 Index II Portfolio	$	–		$	(64,994	)	$	64,994

These differences were primarily attributable to wash sales, distributions in excess of current earnings, real estate investment trusts and distribution redesignations. Net investment income (loss), net realized gains (losses), and net assets were not affected by this reclassification.

At December 31, 2014, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Capital Gains		Capital Loss Carryover			Unrealized Appreciation		Total
State Street Equity 500 Index Fund	$	–	$	(4,946,685	)	$	21,149,778	$	16,203,093
State Street Equity 500 Index II Portfolio	$	1,310,251	$	–		$	228,099,847	$	229,410,098

31

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The tax character of distributions paid to shareholders during the year ended December 31, 2014 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total
State Street Equity 500 Index Fund	$	7,001,961	$	–	$	7,001,961
State Street Equity 500 Index II Portfolio	$	3,366,010	$	2,934,213	$	6,300,223

At December 31, 2014, the Funds had capital loss carryforwards which may be utilized to offset future net realized capital gains expiring December 31:

Fund	2017		2018		Non-Expiring		Total
State Street Equity 500 Index Fund	$	1,849,146	$	3,097,539	$	–	$	4,946,685
State Street Equity 500 Index II Portfolio	$	–	$	–	$	–	$	–

During the year, a capital loss carryforward in the amount of $4,360,484 was utilized by the Fund.

At December 31, 2014, the cost of investments and the comparison of unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:

Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Equity 500 Index Fund	$	394,723,347	$	21,149,778	$	–	$	21,149,778
State Street Equity 500 Index II Portfolio	$	197,202,812	$	228,982,645	$	882,798	$	228,099,847

The Funds have reviewed the tax positions for open years as of December 31, 2014 and determined it did not have a liability for any unrecognized tax expenses. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2014, the Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

Futures – The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an

32

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2014:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$114,811	$	114,811

Transactions in derivative instruments during the period ended December 31, 2014, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$258,685	$	258,685

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$114,811	$	114,811

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

⁽²⁾  Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽³⁾  Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding for the Portfolio during the period ended December 31, 2014 was $6,966,317.

33

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

3. Securities Transactions

For the period ended December 31, 2014, purchases and sales of the Portfolio were:

Fund	Purchases	Sales
State Street Equity 500 Index II Portfolio	$20,391,375	$17,516,745

4. Related Party and Other Fees

Fund

Effective August 11, 2014, the Fund entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”). Under the agreement, the Adviser directs its investments in accordance with its investment objectives, policies and limitations. In compensation for the Adviser’s services as investment adviser, the Fund pays the Adviser a management fee at an annual rate of 0.02% of its average daily net assets.

Also effective August 11, 2014, the Fund retained SSGA FM as its administrator. Pursuant to the administration agreement, the Fund pays to SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. During the year ended December 31, 2014, the Fund incurred administration fees of $78,086 under this agreement.

Effective August 11, 2014, the Fund pays State Street an annual fee of $12,000 for custody and accounting services. State Street also serves as the sub-administrator for the Fund and is paid a fee by SSGA FM for this service.

For the period from January 1, 2014 to August 10, 2014, the Fund had an investment advisory agreement with SSGA FM, but paid no advisory fee to SSGA FM as long as the Fund invested substantially off of its assets in the Equity 500 Portfolio or another investment company. Also prior to August 11, 2014, the Fund contracted with State Street to provide custody, administration and transfer agent services to the Fund. In compensation for these services and for assuming the Fund’s other operating expenses, State Street received a fee at an annual rate of 0.05% of average daily net assets of the Fund. During the year ended December 31, 2014, fees incurred under this agreement were $115,296 and are shown on the Statement of Operations as part of Administration fees.

Portfolio

The Portfolio’s advisor is SSGA FM. The Portfolio pays no investment advisory fees to SSGA FM. Effective August 11, 2014, its commencement of operations, the Portfolio retained State Street as its custodian, administrator and transfer agent and dividend disbursing agent. In compensation for these services, the Portfolio pays State Street an annual fee, which is included in Administration and custody fees on the Statement of Operations. The fee is accrued daily and payable monthly, and is calculated as the greater of an asset-based fee or a minimum fee. The minimum fee is calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds Trust plus the number of

34

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee is calculated at the following rates:

Asset Levels	Annual percentage  of average aggregate daily net assets
First $400 million	0.03%
Next $15 billion	0.02%
Thereafter	0.01%
Minimum annual fee	$150,000

Expense waiver and reimbursement

Fund

Effective July 11, 2014, SSGA FM is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency, and administration fees) exceed 0.01% of average daily net assets on an annual basis, This waiver and/ or reimbursement may not be terminated during the relevant period except with the approval of the Fund’s Board of Trustees.

For the year ended December 31, 2014, SSGA FM waived or reimbursed fees under this agreement of $271,086.

Prior to August 11, 2014, there was no agreement to waive fees or reimburse expenses of the Fund.

Portfolio

Effective August 11, 2014, (commencement of operations), SSGA FM has contractually agreed through April 30, 2016, to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of the Portfolio (exclusive of interest, taxes and extraordinary expenses) do not exceed 0.03% of average daily net assets on an annual basis. For the year ended December 31, 2014, SSGA FM reimbursed expenses of $43,142 under this agreement.

Transfer agent – Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200.

The Fund also pays a sub-transfer agent fee at an annual rate of 0.20% of the Fund’s average daily net assets attributable to Class A and Class I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.

Distributor – The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate its distributor (or others) for services in connection with the distribution of the Fund’s Administrative Shares, Service Shares, Class R shares and Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.15%, 0.25%, 0.60% and 0.25% of the Fund’s net assets attributable to its Administrative Shares, Service Shares, Class R shares and Class A shares, respectively. Because these fees are paid out of the assets of a Fund attributable to its Administrative

35

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Shares, Service Shares, Class R shares and Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges.

Subject to the supervision of the Board of Trustees, the Trust may engage, directly or indirectly, in financing any activities relating to shareholder account administrative and servicing functions, including without limitation making payments to Agents for one or more of the following activities: (a) answering inquiries regarding account status and history, the manner in which purchases and redemptions of each Class may be effected, and certain other matters pertaining to the Trust; (b) assisting in designating and changing dividend options, account designations and addresses; (c) providing necessary personnel and facilities to establish and maintain certain shareholder accounts and records, as requested from time to time by the Trust; (d) assisting in processing purchase and redemption transactions; (e) arranging for the wiring of funds; (f) transmitting and receiving funds in connection with orders to purchase or redeem a Class of shares; (g) verifying and guaranteeing signatures in connection with redemption orders, transfers among and changes in designated accounts; (h) providing periodic statements showing account balances and, to the extent practicable, integration of such information with other client transactions otherwise effected with or through the Agent; (i) furnishing (either separately or on an integrated basis with other reports sent by the Agent) monthly and annual statements and confirmations of all purchases and redemptions of a Class of shares in an account; (j) transmitting proxy statements, annual reports, prospectuses and other communications from the Trust; (k) receiving, tabulating and transmitting to the Trust proxies executed with respect to special meetings of shareholders of the Trust; and (l) providing such other related services as the Trust or customers of the Agent may reasonably request.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

Prior to January 24, 2014, each Independent Trustee received for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman received an additional $30,000 annual retainer and the Audit Committee Chair received an additional $10,000 annual retainer.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that

36

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

7. Initial Subscription

The Portfolio commenced operations on August 11, 2014, with an initial in-kind contribution of securities from the Fund, as part of a tax-free in-kind transaction in which the Fund redeemed its full interest in the Equity 500 Portfolio and immediately contributed into the Portfolio. The transaction consisted of 503 securities totaling $387,955,841 at market value and $2,852,336 in cash, and included $207,771,885 in unrealized appreciation. The Portfolio has elected to carryforward the allocable tax basis of the 503 securities contributed in kind for purposes of measuring realized and unrealized gain/loss on the Portfolio’s Statement of Operations.

8. Shareholder concentration

The Portfolio has a concentration of several affiliated shareholders holding a significant percentage of the shares outstanding. Investment activities of these shareholders could have a material impact on the Portfolio. At December 31, 2014, 100% of the shares outstanding of the Portfolio were held by affiliated mutual funds.

37

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

State Street Institutional Investment Trust:

We have audited the accompanying statements of assets and liabilities of State Street Equity 500 Index Fund (the “Fund”) and State Street Equity 500 Index II Portfolio (the “Portfolio”) (two of the series constituting the State Street Institutional Investment Trust), including the portfolio of investments of the Portfolio, as of December 31, 2014, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s and Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s and Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s and Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Fund and State Street Equity 500 Index Portfolio (two of the series constituting State Street Institutional Investment Trust) at December 31, 2014, and the results of their operations, the changes in their net assets and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

March 2, 2015

38

State Street Institutional Investment Trust

Other Information

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE

As a shareholder of a fund, you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended December 31, 2014

State Street Equity 500 Index Fund	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Class Return
Administrative Shares	$	1,000.00	$	1,059.60	$	1.14
Service Shares	$	1,000.00	$	1,059.20	$	1.66
Class R	$	1,000.00	$	1,057.40	$	3.47
Class A**	$	1,000.00	$	1,032.80	$	1.49
Class K**	$	1,000.00	$	1,034.10	$	0.18
Class I**	$	1,000.00	$	1,033.50	$	0.76

39

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

State Street Equity 500 Index Fund	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
Administrative Shares	$	1,000.00	$	1,024.10	$	1.12
Service Shares	$	1,000.00	$	1,023.59	$	1.63
Class R	$	1,000.00	$	1,021.83	$	3.41
Class A**	$	1,000.00	$	1,022.63	$	2.60
Class K**	$	1,000.00	$	1,024.90	$	0.31
Class I**	$	1,000.00	$	1,023.89	$	1.33

* The calculations are based on expenses incurred in the most recent fiscal period of each Class. The Administrative Shares, Service Shares, Class R shares, Class A shares, Class K shares and Class I shares annualized expense ratios for the six months ended December 31, 2014 were 0.22%, 0.32%, 0.67%, 0.51%, 0.06% and 0.26%, respectively, which include Administrative Shares’, Service Shares’ and Class R shares’ proportionate share of the expenses of the State Street Equity 500 Index Portfolio for the period 7/1/14-8/10/14. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 9/17/14. Hypothetical period is from 7/1/14.

Six Months Ended December 31, 2014

State Street Equity 500 Index II Portfolio	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Portfolio Return**	$	1,000.00	$	1,071.20	$	0.12
Based on Hypothetical (5% return before expenses)	$	1,000.00	$	1,019.34	$	0.12

* The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The annualized expense ratio for the six months ended December 31, 2014 was 0.03%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 8/11/14. Hypothetical period is from 7/1/14.

Proxy Voting Policies and Procedures

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington,

40

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Tax Information

Long term capital gains dividends of $2,934,213 were paid by the State Street Equity 500 Index II Portfolio during the year ended December 31, 2014.

The Funds designate dividends during the fiscal year as qualifying for the dividends received deduction for corporate shareholders as follows:

State Street Equity 500 Index Fund	100.0%
State Street Equity 500 Index II Portfolio	90.2%

For the tax year ended December 31, 2014, the Funds hereby designate the following percentage of their net taxable income as qualified dividends taxed at individual net capital gain rates:

State Street Equity 500 Index Fund	100.0%
State Street Equity 500 Index II Portfolio	100.0%

Form 1099-DIV mailed to you in January 2015 will show the tax status of all distributions paid to your account in calendar year 2014.

Please consult a tax adviser for questions about federal or state income tax laws.

41

State Street Institutional Investment Trust

Trustees and Officers Information

December 31, 2014 (Unaudited)

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.

42

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Master Funds; Trustee SSGA Funds
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 – 2007).

43

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 –2008 –present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).

44

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers: (continued)
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc.( June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

45

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator of the Equity 500 Fund

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian and Administrator of the Equity 500 II Portfolio

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02119

Transfer Agent of the Equity 500 Fund and the Equity 500 II Portfolio

Boston Financial Data Services

Two Heritage Drive

North Quincy, MA 02171

Distributor

State Street Global Markets LLC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 SSITEQ5AR IBG-14271

Annual Report

31 December 2014

State Street Institutional Investment Trust

State Street Aggregate Bond Index Fund

State Street Global Equity ex-U.S. Index Fund

State Street Aggregate Bond Index Portfolio

State Street Global Equity ex-U.S. Index Portfolio

State Street Institutional Investment Trust

Statements of Assets and Liabilities

December 31, 2014

	State Street Aggregate Bond Index Fund			State Street Global Equity ex-U.S. Index  Fund
Assets
Investments in corresponding Portfolio, at market value (Note 1)*	$	75,476,781		$	40,880,447
Receivable from Adviser (Note 4)		69,243			69,758
Total assets		75,546,024			40,950,205
Liabilities
Advisory fees payable		4,821			7,245
Administration fees payable (Note 4)		8,035			6,037
Custody and accounting fees payable		3,487			3,625
Sub-Transfer Agent fee payable (Note 4)		977			54
Distribution fees payable (Note 4)		24			24
Registration and filing fees payable		16,533			16,988
Professional fees payable		14,990			15,030
Transfer agent fees payable		7,341			4,705
Printing fees payable		1,910			761
Insurance fees payable		3,027			3,144
Accrued expenses and other liabilities		553			575
Total liabilities		61,698			58,188
Net Assets	$	75,484,326		$	40,892,017
Net Assets Consist of:
Paid-in capital	$	74,860,525		$	44,594,872
Accumulated net realized gain (loss)		–			(1,996	)
Net unrealized appreciation/depreciation on investments		623,801			(3,700,859	)
Net Assets	$	75,484,326		$	40,892,017
Class A
Net Assets	$	50,683		$	45,828
Shares of beneficial interest outstanding		5,000			5,000
Offering, net asset value, and redemption price per share	$	10.14		$	9.17
Maximum Sales Charge		4.50	%		4.50	%
Maximum offering price per share	$	10.62		$	9.60
Class I
Net Assets	$	4,483,591		$	45,828
Shares of beneficial interest outstanding		442,452			5,000
Offering, net asset value, and redemption price per share	$	10.13		$	9.17
Class K
Net Assets	$	70,950,052		$	40,800,361
Shares of beneficial interest outstanding		6,999,392			4,451,482
Offering, net asset value, and redemption price per share	$	10.14		$	9.17
*Investments in corresponding Portfolio, at cost (Note 1)	$	74,852,980		$	44,581,306
*Shares of corresponding Portfolio		7,444,123			4,460,389

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

2

State Street Institutional Investment Trust

Statements of Operations

Period Ended December 31, 2014

	State Street Aggregate Bond Index Fund*			State Street Global Equity ex-U.S. Index  Fund**
Income
Dividend income from corresponding Portfolio (Note 1)	$	245,468		$	259,727
Expenses
Advisory fees		4,821			7,245
Administration fees (Note 4)		12,075			10,237
Sub-Transfer Agent fee (Note 4)
Class A		29			27
Class I		948			27
Distribution fees (Note 4)
Class A		35			34
Registration and filing fees		17,117			17,573
Professional fees		14,996			15,035
Transfer agent fees (Note 4)		28,027			25,381
Printing fees		3,643			9,255
Insurance fees		3,027			3,144
Total expenses		84,718			87,958
Less: Expenses reimbursed by the Adviser (Note 4)		(69,243	)		(69,758	)
Net expenses		15,475			18,200
Net Investment Income		229,993			241,527
Realized and Unrealized Gain (Loss)
Net realized gain on:
Net realized gain on investments from corresponding Portfolio		155,412			(1,996	)
Change in net unrealized appreciation/depreciation on:
Investments from corresponding Portfolio		623,801			(3,700,859	)
Total realized and unrealized gain (loss)		779,213			(3,702,855	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	1,009,206		$	(3,461,328	)

* For the period from September 19, 2014 (commencement of operations) to December 31, 2014.

** For the period from September 17, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

3

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	State Street Aggregate Bond Index Fund			State Street Global Equity ex-U.S. Index Fund
	For the Period 9/19/14* - 12/31/14			For the Period 9/17/14* - 12/31/14
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	229,993		$	241,527
Net realized gain (loss) on investments		155,412			(1,996	)
Change in net unrealized appreciation on investments		623,801			(3,700,859	)
Net increase (decrease) in net assets from operations		1,009,206			(3,461,328	)
Distributions to Shareholders from:
Net investment income
Class A		(224	)		(212	)
Class I		(18,524	)		(246	)
Class K		(366,853	)		(241,183	)
Total distributions		(385,601	)		(241,641	)
Net Increase (Decrease) from Capital Share Transactions:
Class A
Shares sold		50,000			50,000
Class I
Shares sold		4,450,000			50,000
Reinvestment of distribution		18,266			–
Net increase from capital share transactions		4,468,266			50,000
Class K
Shares sold		70,042,895			44,253,803
Reinvestment of distributions		299,560			241,183
Net increase from capital share transactions		70,342,455			44,494,986
Net Increase in Net Assets		75,484,326			40,892,017
Net Assets
End of period	$	75,484,326		$	40,892,017
Changes in Shares:
Class A
Shares sold		5,000			5,000
Class I
Shares sold		440,643			5,000
Reinvestment of distributions		1,809			–
Net increase in shares		442,452			5,000
Class K
Shares sold		6,969,737			4,425,380
Reinvestment of distributions		29,655			26,102
Net increase in shares		6,999,392			4,451,482

* Commencement of operations

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

4

State Street Institutional Investment Trust

Financial Highlights

Selected data for a Class A Share of beneficial interest outstanding throughout each period is presented below:

	State Street Aggregate Bond Index Fund Period from 9/19/14* - 12/31/14			State Street Global Equity ex-U.S. Index  Fund Period from 9/17/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.02			0.04
Net realized and unrealized gain (loss) on investments		0.16			(0.83	)
Total from investment operations		0.18			(0.79	)
Less Distributions From:
Net investment income		(0.04	)		(0.04	)
Net increase (decrease) in net assets		0.14			(0.83	)
Net Asset Value, End of Period	$	10.14		$	9.17
Total Return(b)(c)		1.85	%		(7.88	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	51		$	46
Ratios to average net assets:
Gross expenses(d)(e)		0.91	%		1.17	%
Net expenses(d)(e)		0.52	%		0.60	%
Net investment income(d)		0.58	%		1.55	%
Portfolio turnover rate(c)(f)		16	%		0	%

* Commencement of operations.

^(a) Net investment income per share is calculated using the average shares method.

^(b) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(c) Not annualized.

^(d) Annualized.

^(e)  Ratio does not include the expenses of the corresponding Portfolio.

^(f) Portfolio turnover rate is from the corresponding Portfolio.

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

5

State Street Institutional Investment Trust

Financial Highlights

Selected data for a Class I Share of beneficial interest outstanding throughout each period is presented below:

	State Street Aggregate Bond Index Fund Period from 9/19/14* - 12/31/14			State Street Global Equity ex-U.S. Index Fund Period from 9/17/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.08			0.05
Net realized and unrealized gain (loss) on investments		0.09			(0.83	)
Total from investment operations		0.17			(0.78	)
Less Distributions From:
Net investment income		(0.04	)		(0.05	)
Net increase (decrease) in net assets		0.13			(0.83	)
Net Asset Value, End of Period	$	10.13		$	9.17
Total Return(b)(c)		1.82	%		(7.81	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	4,484		$	46
Ratios to average net assets:
Gross expenses(d)(e)		0.88	%		0.92	%
Net expenses(d)(e)		0.28	%		0.35	%
Net investment income(d)		2.91	%		1.81	%
Portfolio turnover rate(c)(f)		16	%		0	%

* Commencement of operations.

^(a) Net investment income per share is calculated using the average shares method.

^(b) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(c) Not annualized.

^(d) Annualized.

^(e)  Ratio does not include the expenses of the corresponding Portfolio.

^(f) Portfolio turnover rate is from the corresponding Portfolio.

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

6

State Street Institutional Investment Trust

Financial Highlights

Selected data for a Class K Share of beneficial interest outstanding throughout each period is presented below:

	State Street Aggregate Bond Index Fund Period from 9/19/14* - 12/31/14			State Street Global Equity ex-U.S. Index Fund Period from 9/17/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.04			0.05
Net realized and unrealized gain (loss) on investments		0.15			(0.83	)
Total from investment operations		0.19			(0.78	)
Less Distributions From:
Net investment income		(0.05	)		(0.05	)
Net increase (decrease) in net assets		0.14			(0.83	)
Net Asset Value, End of Period	$	10.14		$	9.17
Total Return(b)(c)		1.97	%		(7.76	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	70,950		$	40,800
Ratios to average net assets:
Gross expenses(d)(e)		0.50	%		0.73	%
Net expenses(d)(e)		0.09	%		0.15	%
Net investment income(d)		1.33	%		2.00	%
Portfolio turnover rate(c)(f)		16	%		0	%

* Commencement of operations.

^(a) Net investment income per share is calculated using the average shares method.

^(b) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(c) Not annualized.

^(d) Annualized.

^(e)  Ratio does not include the expenses of the corresponding Portfolio.

^(f) Portfolio turnover rate is from the corresponding Portfolio.

See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.

7

State Street Aggregate Bond Index Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
U.S. Treasury Obligations	36.0	%
Corporate Bonds	26.4
U.S. Government Agency MBS TBA	23.4
U.S. Government Agency Obligations	9.2
Foreign Government Obligations	2.2
Commercial Mortgage Backed Securities	1.2
Asset Backed Securities	0.5
Municipal Bonds & Notes	0.2
Short Term Investments	24.9
Other Liabilities in Excess of Assets	(24.0	)
Total	100.0	%

Top Five Sectors (excluding short-term investments)*	December 31, 2014
Oil, Gas & Consumable Fuels	3.4	%
Diversified Financial Services	3.0
Banks	2.8
Electric Utilities	1.5
Capital Markets	1.5
Total	12.2	%

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

8

State Street Aggregate Bond Index Portfolio

Portfolio of Investments

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – 26.4%
Aerospace & Defense – 0.4%
Boeing Co. (The)		0.950	%		05/15/2018	$	25,000	$	24,364
Honeywell International, Inc.		5.300	%		03/01/2018		25,000		27,821
L-3 Communications Corp.		4.950	%		02/15/2021		25,000		27,083
Lockheed Martin Corp.		2.125	%		09/15/2016		25,000		25,433
Northrop Grumman Corp.		4.750	%		06/01/2043		25,000		27,459
Precision Castparts Corp.		2.500	%		01/15/2023		25,000		24,263
Raytheon Co.		3.125	%		10/15/2020		25,000		25,598
United Technologies Corp.		1.800	%		06/01/2017		25,000		25,339
United Technologies Corp.		6.125	%		02/01/2019		25,000		29,017
United Technologies Corp.		6.125	%		07/15/2038		50,000		65,405
									301,782
Air Freight & Logistics – 0.1%
FedEx Corp.		4.000	%		01/15/2024		25,000		26,551
United Parcel Service, Inc.		2.450	%		10/01/2022		25,000		24,438
									50,989
Airlines – 0.1%
American Airlines 2014-1 Pass Through Trust Class A		3.700	%		04/01/2028		25,000		25,000
Southwest Airlines Co.		2.750	%		11/06/2019		25,000		25,104
									50,104
Auto Components – 0.1%
Johnson Controls, Inc.		1.400	%		11/02/2017		25,000		24,739
Johnson Controls, Inc.		3.625	%		07/02/2024		25,000		25,219
Johnson Controls, Inc.		4.950	%		07/02/2064		25,000		25,963
									75,921
Automobiles – 0.1%
Ford Motor Co.		4.750	%		01/15/2043		50,000		52,664
Banks – 2.5%
Abbey National Treasury Services PLC		3.050	%		08/23/2018		25,000		25,823
Bank of Montreal		1.450	%		04/09/2018		25,000		24,703
Bank of Nova Scotia (The)		1.375	%		07/15/2016		50,000		50,325
Bank of Nova Scotia (The)		1.300	%		07/21/2017		50,000		49,751
BB&T Corp.		2.250	%		02/01/2019		25,000		25,013
BNP Paribas SA		1.375	%		03/17/2017		25,000		24,960
BNP Paribas SA		5.000	%		01/15/2021		25,000		28,223
Branch Banking & Trust Co.		1.450	%		10/03/2016		25,000		25,087
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA		4.500	%		01/11/2021		50,000		54,993
Credit Suisse		6.000	%		02/15/2018		25,000		27,798
Deutsche Bank AG		1.350	%		05/30/2017		25,000		24,876

See accompanying notes to financial statements.

9

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Banks – (continued)
Deutsche Bank AG		2.500	%		02/13/2019	$	25,000	$	25,287
Fifth Third Bancorp		2.300	%		03/01/2019		50,000		49,988
HSBC Holdings PLC		5.100	%		04/05/2021		50,000		56,487
International Finance Corp.		1.000	%		04/24/2017		50,000		50,083
International Finance Corp.		1.750	%		09/16/2019		25,000		25,063
KeyCorp		2.300	%		12/13/2018		25,000		25,041
KFW		0.875	%		12/15/2017		75,000		74,369
KFW		1.000	%		06/11/2018		25,000		24,685
KFW		4.500	%		07/16/2018		75,000		82,902
KFW		0.500	%		04/19/2016		75,000		75,040
KFW		1.875	%		04/01/2019		25,000		25,286
KFW		2.625	%		01/25/2022		50,000		51,769
KFW		2.125	%		01/17/2023		100,000		99,658
KFW		2.500	%		11/20/2024		50,000		50,649
Landwirtschaftliche Rentenbank		1.000	%		04/04/2018		50,000		49,459
Landwirtschaftliche Rentenbank		2.250	%		10/01/2021		50,000		50,569
Lloyds Bank PLC		4.875	%		01/21/2016		25,000		26,020
Oesterreichische Kontrollbank AG		1.125	%		05/29/2018		50,000		49,526
Oesterreichische Kontrollbank AG		1.625	%		03/12/2019		25,000		25,021
PNC Financial Services Group, Inc. (The)		3.900	%		04/29/2024		50,000		50,878
PNC Funding Corp.		3.300	%		03/08/2022		50,000		51,197
Royal Bank of Canada		2.300	%		07/20/2016		50,000		51,000
Royal Bank of Canada		1.500	%		01/16/2018		50,000		49,725
Royal Bank of Canada		1.200	%		09/19/2018		50,000		49,692
SunTrust Banks, Inc.		2.350	%		11/01/2018		25,000		25,066
Toronto-Dominion Bank (The)		2.375	%		10/19/2016		50,000		51,180
Toronto-Dominion Bank (The)		1.125	%		05/02/2017		25,000		24,883
US Bancorp		2.200	%		04/25/2019		25,000		25,044
US Bancorp		3.600	%		09/11/2024		25,000		25,358
Wells Fargo & Co.(a)		3.676	%		06/15/2016		50,000		51,819
Wells Fargo & Co.		2.150	%		01/15/2019		25,000		25,042
Wells Fargo & Co.		3.000	%		01/22/2021		50,000		51,183
Wells Fargo & Co.		4.125	%		08/15/2023		25,000		26,165
Wells Fargo & Co.		4.480	%		01/16/2024		25,000		26,518
Wells Fargo & Co.		5.606	%		01/15/2044		50,000		58,762
Wells Fargo Capital X		5.950	%		12/01/2086		25,000		25,500
Westpac Banking Corp.		2.250	%		01/17/2019		25,000		25,207
									1,972,673

See accompanying notes to financial statements.

10

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Beverages – 0.6%
Anheuser-Busch InBev Finance, Inc.		1.125	%		01/27/2017	$	25,000	$	24,988
Anheuser-Busch InBev Finance, Inc.		2.150	%		02/01/2019		25,000		25,043
Anheuser-Busch InBev Finance, Inc.		3.700	%		02/01/2024		100,000		103,881
Anheuser-Busch InBev Worldwide, Inc.		3.750	%		07/15/2042		50,000		47,153
Coca-Cola Co. (The)		1.150	%		04/01/2018		25,000		24,692
Coca-Cola Co. (The)		1.650	%		11/01/2018		25,000		24,954
Coca-Cola Co. (The)		3.200	%		11/01/2023		25,000		25,691
Diageo Capital PLC		1.500	%		05/11/2017		25,000		25,042
Diageo Capital PLC		2.625	%		04/29/2023		25,000		24,270
Dr Pepper Snapple Group, Inc.		2.000	%		01/15/2020		25,000		24,405
PepsiCo, Inc.		2.500	%		05/10/2016		25,000		25,574
PepsiCo, Inc.		0.950	%		02/22/2017		25,000		24,885
PepsiCo, Inc.		3.600	%		03/01/2024		25,000		26,019
PepsiCo, Inc.		4.250	%		10/22/2044		50,000		51,733
									478,330
Biotechnology – 0.2%
Amgen, Inc.		3.625	%		05/22/2024		50,000		50,745
Amgen, Inc.		6.375	%		06/01/2037		50,000		62,276
Celgene Corp.		3.625	%		05/15/2024		25,000		25,391
Gilead Sciences, Inc.		4.400	%		12/01/2021		25,000		27,380
Gilead Sciences, Inc.		4.500	%		02/01/2045		25,000		26,626
									192,418
Building Products – 0.0%(b)
CRH America, Inc.		6.000	%		09/30/2016		25,000		26,875
Capital Markets – 1.4%
Bank of New York Mellon Corp. (The)		2.200	%		03/04/2019		25,000		25,043
Bank of New York Mellon Corp. (The)		2.300	%		09/11/2019		100,000		100,191
Bear Stearns Cos. LLC (The)		6.400	%		10/02/2017		50,000		56,106
BlackRock, Inc.		3.500	%		03/18/2024		25,000		25,646
Goldman Sachs Group, Inc. (The)		3.625	%		02/07/2016		50,000		51,305
Goldman Sachs Group, Inc. (The)		2.900	%		07/19/2018		50,000		51,006
Goldman Sachs Group, Inc. (The)		2.625	%		01/31/2019		50,000		50,190
Goldman Sachs Group, Inc. (The)		2.550	%		10/23/2019		25,000		24,869
Goldman Sachs Group, Inc. (The)		3.625	%		01/22/2023		25,000		25,246
Goldman Sachs Group, Inc. (The)		4.000	%		03/03/2024		50,000		51,970
Goldman Sachs Group, Inc. (The)		5.950	%		01/15/2027		50,000		57,062
Goldman Sachs Group, Inc. (The)		4.800	%		07/08/2044		50,000		53,203
HSBC USA, Inc.		1.625	%		01/16/2018		100,000		99,643
Jefferies Group LLC		5.500	%		03/15/2016		40,000		41,693

See accompanying notes to financial statements.

11

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Capital Markets – (continued)
Morgan Stanley		1.750	%		02/25/2016	$	50,000	$	50,297
Morgan Stanley		4.750	%		03/22/2017		50,000		53,304
Morgan Stanley		2.125	%		04/25/2018		25,000		24,991
Morgan Stanley		3.750	%		02/25/2023		50,000		51,221
Morgan Stanley		2.375	%		07/23/2019		50,000		49,783
Morgan Stanley		5.500	%		07/24/2020		100,000		112,962
Morgan Stanley		4.350	%		09/08/2026		50,000		50,116
Svensk Exportkredit AB		1.750	%		05/30/2017		25,000		25,419
TD Ameritrade Holding Corp.		5.600	%		12/01/2019		25,000		28,544
									1,159,810
Chemicals – 0.5%
CF Industries, Inc.		3.450	%		06/01/2023		25,000		24,420
Dow Chemical Co. (The)		4.250	%		11/15/2020		25,000		26,731
Dow Chemical Co. (The)		3.000	%		11/15/2022		25,000		24,375
Dow Chemical Co. (The)		4.250	%		10/01/2034		50,000		49,491
Eastman Chemical Co.		3.800	%		03/15/2025		25,000		25,262
Ecolab, Inc.		4.350	%		12/08/2021		25,000		27,174
EI du Pont de Nemours & Co.		6.000	%		07/15/2018		25,000		28,419
EI du Pont de Nemours & Co.		3.625	%		01/15/2021		25,000		26,303
EI du Pont de Nemours & Co.		4.150	%		02/15/2043		25,000		24,726
Lubrizol Corp.		8.875	%		02/01/2019		25,000		31,143
Monsanto Co.		4.700	%		07/15/2064		25,000		26,002
PPG Industries, Inc.		2.300	%		11/15/2019		25,000		24,765
Praxair, Inc.		3.550	%		11/07/2042		25,000		23,333
									362,144
Commercial Services & Supplies – 0.1%
Republic Services, Inc.		3.550	%		06/01/2022		25,000		25,550
Waste Management, Inc.		3.500	%		05/15/2024		25,000		25,305
Western Union Co. (The)		3.350	%		05/22/2019		25,000		25,662
									76,517
Communications Equipment – 0.1%
Cisco Systems, Inc.		5.500	%		02/22/2016		25,000		26,354
Cisco Systems, Inc.		2.125	%		03/01/2019		25,000		25,068
Cisco Systems, Inc.		3.625	%		03/04/2024		25,000		26,175
Motorola Solutions, Inc.		4.000	%		09/01/2024		25,000		25,151
									102,748
Consumer Finance – 0.3%
Capital One Financial Corp.		2.450	%		04/24/2019		50,000		49,784

See accompanying notes to financial statements.

12

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Consumer Finance – (continued)
Caterpillar Financial Services Corp.		1.000	%		03/03/2017	$	25,000	$	24,905
Caterpillar Financial Services Corp.		3.750	%		11/24/2023		25,000		26,466
Discover Financial Services		3.850	%		11/21/2022		50,000		50,768
John Deere Capital Corp.		1.050	%		12/15/2016		25,000		24,962
Synchrony Financial		1.875	%		08/15/2017		25,000		25,010
									201,895
Diversified Consumer Services – 0.1%
Massachusetts Institute of Technology		3.959	%		07/01/2038		50,000		52,779
Diversified Financial Services – 3.0%
Air Lease Corp.		4.250	%		09/15/2024		25,000		25,244
American Express Co.		3.625	%		12/05/2024		75,000		75,938
American Express Credit Corp.		2.125	%		03/18/2019		50,000		49,837
American Express Credit Corp.		2.250	%		08/15/2019		50,000		49,877
American Honda Finance Corp.		2.250	%		08/15/2019		25,000		25,048
Ameriprise Financial, Inc.		3.700	%		10/15/2024		50,000		51,137
Aon PLC		4.450	%		05/24/2043		75,000		75,399
Bank of America Corp.		1.250	%		01/11/2016		25,000		25,044
Bank of America Corp.		6.500	%		08/01/2016		75,000		80,872
Bank of America Corp.		2.600	%		01/15/2019		50,000		50,332
Bank of America Corp.		2.650	%		04/01/2019		50,000		50,348
Bank of America Corp.		4.125	%		01/22/2024		25,000		26,255
Bank of America Corp.		4.000	%		04/01/2024		50,000		52,064
Bank of America Corp.		4.200	%		08/26/2024		50,000		50,777
Bank of America Corp.		4.250	%		10/22/2026		75,000		74,488
Capital One Financial Corp.		6.750	%		09/15/2017		25,000		28,091
Citigroup, Inc.		1.250	%		01/15/2016		50,000		50,063
Citigroup, Inc.		1.550	%		08/14/2017		50,000		49,707
Citigroup, Inc.		2.500	%		09/26/2018		50,000		50,434
Citigroup, Inc.		2.550	%		04/08/2019		50,000		50,290
Citigroup, Inc.		3.750	%		06/16/2024		25,000		25,512
Citigroup, Inc.		4.300	%		11/20/2026		50,000		49,750
Citigroup, Inc.		5.300	%		05/06/2044		50,000		54,104
Credit Suisse USA, Inc.		7.125	%		07/15/2032		50,000		69,976
Ford Motor Credit Co. LLC		6.625	%		08/15/2017		100,000		111,539
General Electric Capital Corp.		1.000	%		01/08/2016		25,000		25,094
General Electric Capital Corp.		1.500	%		07/12/2016		25,000		25,217
General Electric Capital Corp.		5.625	%		09/15/2017		50,000		55,378
General Electric Capital Corp.		2.300	%		01/14/2019		25,000		25,381
General Electric Capital Corp.		5.300	%		02/11/2021		25,000		28,451

See accompanying notes to financial statements.

13

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Diversified Financial Services – (continued)
General Electric Capital Corp.		4.650	%		10/17/2021	$	50,000	$	55,935
General Electric Capital Corp.		3.450	%		05/15/2024		50,000		51,606
General Electric Capital Corp.		5.875	%		01/14/2038		50,000		63,176
HSBC Finance Corp.		6.676	%		01/15/2021		25,000		29,551
JPMorgan Chase & Co.		1.350	%		02/15/2017		50,000		49,969
JPMorgan Chase & Co.		1.625	%		05/15/2018		50,000		49,381
JPMorgan Chase & Co.		2.350	%		01/28/2019		50,000		50,279
JPMorgan Chase & Co.		3.375	%		05/01/2023		75,000		73,138
JPMorgan Chase & Co.		3.875	%		02/01/2024		50,000		52,025
JPMorgan Chase & Co.		4.125	%		12/15/2026		100,000		100,289
JPMorgan Chase & Co.		4.850	%		02/01/2044		50,000		55,456
National Rural Utilities Cooperative Finance Corp.		4.750	%		04/30/2043		75,000		73,875
Nomura Holdings, Inc.		2.000	%		09/13/2016		25,000		25,134
Royal Bank of Scotland PLC (The)		4.375	%		03/16/2016		25,000		25,864
Toyota Motor Credit Corp.		0.800	%		05/17/2016		25,000		24,990
Toyota Motor Credit Corp.		2.100	%		01/17/2019		50,000		50,201
UBS AG		5.750	%		04/25/2018		100,000		112,261
									2,404,777
Diversified Telecommunication Services – 0.8%
AT&T, Inc.		6.300	%		01/15/2038		50,000		60,649
British Telecommunications PLC		5.950	%		01/15/2018		100,000		111,508
Verizon Communications, Inc.		2.500	%		09/15/2016		34,000		34,756
Verizon Communications, Inc.		2.550	%		06/17/2019		50,000		50,408
Verizon Communications, Inc.		4.500	%		09/15/2020		50,000		54,298
Verizon Communications, Inc.		5.150	%		09/15/2023		50,000		55,258
Verizon Communications, Inc.		3.500	%		11/01/2024		50,000		49,084
Verizon Communications, Inc.		6.400	%		09/15/2033		25,000		30,721
Verizon Communications, Inc.		6.400	%		02/15/2038		25,000		30,925
Verizon Communications, Inc.		6.900	%		04/15/2038		25,000		32,620
Verizon Communications, Inc.		6.550	%		09/15/2043		50,000		63,956
Verizon Communications, Inc.		4.862	%		08/21/2046		50,000		51,520
									625,703
Electric Utilities – 1.5%
Alabama Power Co.		3.850	%		12/01/2042		75,000		75,683
Appalachian Power Co.		4.400	%		05/15/2044		25,000		26,495
Baltimore Gas & Electric Co.		6.350	%		10/01/2036		50,000		66,988
Berkshire Hathaway Energy Co.		1.100	%		05/15/2017		50,000		49,468
Berkshire Hathaway Finance Corp.		1.600	%		05/15/2017		25,000		25,187
Consolidated Edison Co. of New York, Inc.		6.200	%		06/15/2036		25,000		33,102

See accompanying notes to financial statements.

14

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Electric Utilities – (continued)
Consumers Energy Co.		2.850	%		05/15/2022	$	100,000	$	99,975
Dominion Gas Holdings LLC		4.800	%		11/01/2043		25,000		26,835
Duke Energy Carolinas LLC		4.250	%		12/15/2041		50,000		53,937
Duke Energy Corp.		1.625	%		08/15/2017		50,000		49,970
Duke Energy Florida, Inc.		3.850	%		11/15/2042		100,000		101,412
Florida Power & Light Co.		3.250	%		06/01/2024		25,000		25,735
Florida Power & Light Co.		4.050	%		10/01/2044		50,000		53,418
Hydro-Quebec		1.375	%		06/19/2017		50,000		50,293
NiSource Finance Corp.		6.800	%		01/15/2019		25,000		29,172
Pacific Gas & Electric Co.		3.250	%		06/15/2023		50,000		50,274
Pacific Gas & Electric Co.		6.050	%		03/01/2034		50,000		63,653
PPL Capital Funding, Inc.		3.500	%		12/01/2022		75,000		76,041
Public Service Co. of Colorado		3.200	%		11/15/2020		25,000		25,994
Public Service Electric & Gas Co.		3.650	%		09/01/2042		50,000		49,255
Southern California Edison Co.		3.900	%		03/15/2043		50,000		50,879
Southern California Gas Co.		3.150	%		09/15/2024		25,000		25,464
Southern Co. (The)		1.950	%		09/01/2016		25,000		25,371
Virginia Electric & Power Co.		3.450	%		02/15/2024		50,000		51,451
									1,186,052
Electrical Equipment – 0.0%(b)
Emerson Electric Co.		2.625	%		02/15/2023		25,000		24,570
Electronic Equipment, Instruments & Components – 0.0%(b)
Corning, Inc.		5.750	%		08/15/2040		25,000		29,524
Energy Equipment & Services – 0.1%
Cameron International Corp.		5.125	%		12/15/2043		50,000		49,098
Halliburton Co.		7.450	%		09/15/2039		25,000		34,313
Weatherford International, Ltd.		4.500	%		04/15/2022		25,000		22,300
									105,711
Food & Staples Retailing – 0.7%
Kellogg Co.		4.150	%		11/15/2019		25,000		26,873
Kroger Co. (The)		3.850	%		08/01/2023		75,000		77,742
Mondelez International, Inc.		6.125	%		08/23/2018		25,000		28,437
Mondelez International, Inc.		4.000	%		02/01/2024		25,000		26,032
Sysco Corp.		3.000	%		10/02/2021		50,000		50,641
Target Corp.		6.500	%		10/15/2037		100,000		135,557
Tyson Foods, Inc.		4.500	%		06/15/2022		25,000		26,971
Wal-Mart Stores, Inc.		1.125	%		04/11/2018		25,000		24,678
Wal-Mart Stores, Inc.		1.950	%		12/15/2018		25,000		25,114

See accompanying notes to financial statements.

15

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Food & Staples Retailing – (continued)
Wal-Mart Stores, Inc.		5.250	%		09/01/2035	$	25,000	$	29,652
Wal-Mart Stores, Inc.		4.875	%		07/08/2040		50,000		57,599
Wal-Mart Stores, Inc.		4.000	%		04/11/2043		25,000		25,780
Walgreens Boots Alliance, Inc.		3.100	%		09/15/2022		25,000		24,621
									559,697
Food Products – 0.2%
Archer-Daniels-Midland Co.		5.765	%		03/01/2041		25,000		31,941
ConAgra Foods, Inc.		1.900	%		01/25/2018		25,000		24,838
General Mills, Inc.		2.200	%		10/21/2019		25,000		24,790
Kraft Foods Group, Inc.		6.125	%		08/23/2018		25,000		28,484
Kraft Foods Group, Inc.		6.875	%		01/26/2039		50,000		65,168
									175,221
Gas Utilities – 0.1%
AGL Capital Corp.		5.250	%		08/15/2019		25,000		27,768
Atmos Energy Corp.		4.150	%		01/15/2043		25,000		25,301
									53,069
Health Care Equipment & Supplies – 0.3%
Baxter International, Inc.		3.200	%		06/15/2023		25,000		25,101
Becton Dickinson and Co.		2.675	%		12/15/2019		50,000		50,531
Boston Scientific Corp.		2.650	%		10/01/2018		25,000		25,083
Covidien International Finance SA		3.200	%		06/15/2022		50,000		50,181
Express Scripts Holding Co.		6.125	%		11/15/2041		25,000		31,402
Medtronic, Inc.		1.375	%		04/01/2018		25,000		24,682
Medtronic, Inc.		5.550	%		03/15/2040		25,000		29,238
Stryker Corp.		2.000	%		09/30/2016		25,000		25,420
									261,638
Health Care Providers & Services – 0.4%
Aetna, Inc.		2.200	%		03/15/2019		25,000		24,894
Aetna, Inc.		4.125	%		11/15/2042		25,000		25,033
Anthem, Inc.		3.500	%		08/15/2024		25,000		25,012
Cardinal Health, Inc.		1.700	%		03/15/2018		25,000		24,799
Cigna Corp.		5.375	%		02/15/2042		50,000		58,942
Howard Hughes Medical Institute		3.500	%		09/01/2023		25,000		26,193
Humana, Inc.		2.625	%		10/01/2019		25,000		24,987
Memorial Sloan-Kettering Cancer Center		4.125	%		07/01/2052		25,000		25,135
Quest Diagnostics, Inc.		2.700	%		04/01/2019		25,000		25,124
UnitedHealth Group, Inc.		2.875	%		03/15/2022		25,000		25,033
UnitedHealth Group, Inc.		6.875	%		02/15/2038		25,000		34,846
									319,998

See accompanying notes to financial statements.

16

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Hotels, Restaurants & Leisure – 0.1%
McDonald’s Corp.		5.800	%		10/15/2017	$	25,000	$	27,868
McDonald’s Corp.		1.875	%		05/29/2019		25,000		24,706
Starwood Hotels & Resorts Worldwide, Inc.		3.750	%		03/15/2025		25,000		25,157
									77,731
Household Products – 0.1%
Colgate-Palmolive Co.		1.750	%		03/15/2019		25,000		24,823
Procter & Gamble Co. (The)		1.450	%		08/15/2016		25,000		25,258
Procter & Gamble Co. (The)		5.800	%		08/15/2034		50,000		65,660
									115,741
Industrial Conglomerates – 0.2%
3M Co.		1.625	%		06/15/2019		25,000		24,680
General Electric Co.		2.700	%		10/09/2022		50,000		49,916
General Electric Co.		4.125	%		10/09/2042		25,000		25,832
General Electric Co.		4.500	%		03/11/2044		50,000		54,860
									155,288
Insurance – 0.7%
ACE INA Holdings, Inc.		4.150	%		03/13/2043		25,000		25,859
Allstate Corp. (The)(a)		5.750	%		08/15/2053		25,000		26,125
American International Group, Inc.		2.300	%		07/16/2019		25,000		24,961
American International Group, Inc.		4.875	%		06/01/2022		50,000		56,001
American International Group, Inc.		4.500	%		07/16/2044		25,000		26,179
Berkshire Hathaway, Inc.		3.000	%		02/11/2023		25,000		25,190
First American Financial Corp.		4.600	%		11/15/2024		25,000		25,248
Hartford Financial Services Group, Inc. (The)		5.125	%		04/15/2022		25,000		27,978
Lincoln National Corp.		6.300	%		10/09/2037		50,000		63,180
Marsh & McLennan Cos., Inc.		2.550	%		10/15/2018		25,000		25,260
MetLife, Inc.		1.756	%		12/15/2017		25,000		25,058
MetLife, Inc.		4.368	%		09/15/2023		50,000		54,497
Prudential Financial, Inc.		3.500	%		05/15/2024		50,000		50,622
Prudential Financial, Inc.		6.625	%		06/21/2040		25,000		33,159
Travelers Cos., Inc. (The)		6.250	%		06/15/2037		25,000		33,524
									522,841
Internet Software & Services – 0.1%
Amazon.com, Inc.		2.500	%		11/29/2022		25,000		23,661
eBay, Inc.		3.450	%		08/01/2024		25,000		24,551
Google, Inc.		2.125	%		05/19/2016		25,000		25,497
									73,709

See accompanying notes to financial statements.

17

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
IT Services – 0.1%
Fiserv, Inc.		3.125	%		06/15/2016	$	25,000	$	25,664
Xerox Corp.		2.950	%		03/15/2017		25,000		25,602
									51,266
Leisure Products – 0.0%(b)
Mattel, Inc.		2.350	%		05/06/2019		25,000		24,840
Life Sciences Tools & Services – 0.1%
Thermo Fisher Scientific, Inc.		1.850	%		01/15/2018		50,000		49,664
Thermo Fisher Scientific, Inc.		4.150	%		02/01/2024		25,000		26,277
Thomson Reuters Corp.		3.850	%		09/29/2024		25,000		25,269
									101,210
Machinery – 0.2%
Caterpillar, Inc.		4.750	%		05/15/2064		25,000		26,927
Deere & Co.		2.600	%		06/08/2022		25,000		24,561
Eaton Corp.		1.500	%		11/02/2017		25,000		24,822
Illinois Tool Works, Inc.		1.950	%		03/01/2019		25,000		24,994
Ingersoll-Rand Global Holding Co., Ltd.		6.875	%		08/15/2018		25,000		28,972
Stanley Black & Decker, Inc.(a)		5.750	%		12/15/2053		50,000		53,750
									184,026
Media – 1.2%
21st Century Fox America, Inc.		7.250	%		05/18/2018		25,000		29,219
21st Century Fox America, Inc.		4.000	%		10/01/2023		25,000		26,468
21st Century Fox America, Inc.		5.400	%		10/01/2043		25,000		29,759
CBS Corp.		2.300	%		08/15/2019		25,000		24,669
Comcast Corp.		3.600	%		03/01/2024		25,000		26,104
Comcast Corp.		4.250	%		01/15/2033		50,000		52,940
Comcast Corp.		4.650	%		07/15/2042		25,000		27,054
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.		2.400	%		03/15/2017		25,000		25,470
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.		3.800	%		03/15/2022		50,000		50,774
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.		4.450	%		04/01/2024		25,000		26,182
Discovery Communications LLC		3.250	%		04/01/2023		25,000		24,338
Interpublic Group of Cos., Inc. (The)		4.200	%		04/15/2024		25,000		25,532
NBCUniversal Media LLC		2.875	%		04/01/2016		25,000		25,603
NBCUniversal Media LLC		5.150	%		04/30/2020		50,000		56,450
Omnicom Group, Inc.		6.250	%		07/15/2019		50,000		57,636
Time Warner Cable, Inc.		6.750	%		07/01/2018		25,000		28,688
Time Warner Cable, Inc.		4.000	%		09/01/2021		25,000		26,459
Time Warner Cable, Inc.		5.875	%		11/15/2040		50,000		59,936
Time Warner Cable, Inc.		5.500	%		09/01/2041		25,000		28,624

See accompanying notes to financial statements.

18

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Media – (continued)
Time Warner, Inc.		3.550	%		06/01/2024	$	25,000	$	25,090
Time Warner, Inc.		6.500	%		11/15/2036		50,000		63,442
Time Warner, Inc.		4.650	%		06/01/2044		25,000		25,822
Viacom, Inc.		2.200	%		04/01/2019		25,000		24,693
Viacom, Inc.		4.850	%		12/15/2034		50,000		51,420
Viacom, Inc.		4.875	%		06/15/2043		25,000		24,917
Walt Disney Co. (The)		1.100	%		12/01/2017		25,000		24,836
Walt Disney Co. (The)		5.500	%		03/15/2019		25,000		28,560
WPP Finance 2010		3.625	%		09/07/2022		50,000		50,842
									971,527
Metals & Mining – 0.5%
Barrick Gold Corp.		5.250	%		04/01/2042		25,000		23,726
Barrick North America Finance LLC		4.400	%		05/30/2021		25,000		25,258
BHP Billiton Finance USA, Ltd.		1.625	%		02/24/2017		50,000		50,407
BHP Billiton Finance USA, Ltd.		4.125	%		02/24/2042		25,000		24,710
Freeport-McMoRan, Inc.		2.375	%		03/15/2018		25,000		24,656
Freeport-McMoRan, Inc.		3.550	%		03/01/2022		25,000		23,523
Freeport-McMoRan, Inc.		4.550	%		11/14/2024		25,000		24,237
Newmont Mining Corp.		3.500	%		03/15/2022		25,000		23,411
Nucor Corp.		4.000	%		08/01/2023		25,000		26,222
Rio Tinto Finance USA PLC		2.250	%		12/14/2018		25,000		24,994
Rio Tinto Finance USA PLC		3.500	%		03/22/2022		25,000		25,117
Rio Tinto Finance USA PLC		4.125	%		08/21/2042		50,000		47,837
Teck Resources, Ltd.		5.200	%		03/01/2042		50,000		40,423
Vale Overseas, Ltd.		4.375	%		01/11/2022		25,000		24,006
Vale Overseas, Ltd.		8.250	%		01/17/2034		25,000		30,121
									438,648
Multi-National – 1.6%
African Development Bank		0.875	%		05/15/2017		25,000		24,947
Asian Development Bank		1.750	%		09/11/2018		50,000		50,505
Asian Development Bank		2.125	%		11/24/2021		75,000		75,272
Council Of Europe Development Bank		1.125	%		05/31/2018		25,000		24,775
European Bank for Reconstruction & Development		1.000	%		09/17/2018		50,000		49,136
European Bank for Reconstruction & Development		1.625	%		11/15/2018		25,000		25,082
European Investment Bank		0.625	%		04/15/2016		75,000		75,139
European Investment Bank		0.500	%		08/15/2016		100,000		99,809
European Investment Bank		0.875	%		04/18/2017		50,000		49,964
European Investment Bank		1.000	%		06/15/2018		50,000		49,369
European Investment Bank		1.875	%		03/15/2019		50,000		50,547

See accompanying notes to financial statements.

19

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Multi-National – (continued)
European Investment Bank		1.750	%		06/17/2019	$	25,000	$	25,086
European Investment Bank		2.500	%		04/15/2021		50,000		51,458
European Investment Bank		2.125	%		10/15/2021		50,000		50,226
European Investment Bank		2.500	%		10/15/2024		25,000		25,344
Export-Import Bank of Korea		5.125	%		06/29/2020		100,000		112,654
Inter-American Development Bank		0.625	%		09/12/2016		25,000		24,992
Inter-American Development Bank		1.375	%		10/18/2016		50,000		50,620
Inter-American Development Bank		1.250	%		01/16/2018		25,000		25,011
Inter-American Development Bank		1.750	%		10/15/2019		75,000		75,122
Inter-American Development Bank		2.125	%		11/09/2020		25,000		25,255
International Bank for Reconstruction & Development		1.000	%		09/15/2016		100,000		100,580
International Bank for Reconstruction & Development		0.750	%		12/15/2016		25,000		25,008
International Bank for Reconstruction & Development		1.875	%		03/15/2019		25,000		25,320
International Bank for Reconstruction & Development		2.125	%		11/01/2020		25,000		25,289
International Bank for Reconstruction & Development		2.500	%		11/25/2024		50,000		50,650
International Bank for Reconstruction & Development		4.750	%		02/15/2035		25,000		31,977
									1,299,137
Multi-Utilities – 0.1%
American Water Capital Corp.		3.400	%		03/01/2025		25,000		25,371
DTE Energy Co.		2.400	%		12/01/2019		25,000		24,970
Midamerican Funding LLC		6.927	%		03/01/2029		50,000		65,554
									115,895
Multiline Retail – 0.1%
Kohl’s Corp.		6.875	%		12/15/2037		25,000		31,570
Macy’s Retail Holdings, Inc.		3.625	%		06/01/2024		25,000		25,197
Target Corp.		2.300	%		06/26/2019		25,000		25,239
									82,006
Oil, Gas & Consumable Fuels – 3.4%
Anadarko Petroleum Corp.		6.200	%		03/15/2040		25,000		28,966
Anadarko Petroleum Corp.		4.500	%		07/15/2044		50,000		48,051
Apache Corp.		3.250	%		04/15/2022		25,000		24,531
Apache Corp.		6.000	%		01/15/2037		50,000		53,191
Baker Hughes, Inc.		3.200	%		08/15/2021		25,000		25,038
BP Capital Markets PLC		1.375	%		05/10/2018		25,000		24,514
BP Capital Markets PLC		2.237	%		05/10/2019		25,000		24,775
BP Capital Markets PLC		3.561	%		11/01/2021		50,000		50,871
BP Capital Markets PLC		3.814	%		02/10/2024		25,000		25,153
Buckeye Partners L.P.		4.875	%		02/01/2021		25,000		26,190

See accompanying notes to financial statements.

20

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Oil, Gas & Consumable Fuels – (continued)
Canadian Natural Resources, Ltd.		3.450	%		11/15/2021	$	25,000	$	24,692
Canadian Natural Resources, Ltd.		3.900	%		02/01/2025		25,000		24,603
CenterPoint Energy, Inc.		6.500	%		05/01/2018		100,000		113,758
Chevron Corp.		1.718	%		06/24/2018		25,000		25,092
Chevron Corp.		3.191	%		06/24/2023		25,000		25,248
ConocoPhillips		5.750	%		02/01/2019		25,000		28,336
ConocoPhillips		6.000	%		01/15/2020		50,000		58,092
ConocoPhillips Holding Co.		6.950	%		04/15/2029		50,000		66,425
Continental Resources, Inc.		3.800	%		06/01/2024		25,000		22,206
DCP Midstream Operating L.P.		2.500	%		12/01/2017		25,000		24,910
Devon Energy Corp.		3.250	%		05/15/2022		25,000		24,368
Ecopetrol SA		7.375	%		09/18/2043		50,000		53,500
Enbridge Energy Partners L.P.		4.200	%		09/15/2021		25,000		25,968
Energy Transfer Partners L.P.		6.700	%		07/01/2018		50,000		56,181
Energy Transfer Partners L.P.		5.150	%		02/01/2043		25,000		24,466
Ensco PLC		3.250	%		03/15/2016		25,000		25,482
Enterprise Products Operating LLC		6.500	%		01/31/2019		25,000		28,609
Enterprise Products Operating LLC		4.850	%		03/15/2044		50,000		51,842
Hess Corp.		5.600	%		02/15/2041		25,000		26,431
Husky Energy, Inc.		4.000	%		04/15/2024		50,000		48,957
Kinder Morgan Energy Partners L.P.		3.500	%		03/01/2021		25,000		24,488
Kinder Morgan Energy Partners L.P.		5.400	%		09/01/2044		50,000		50,021
Kinder Morgan, Inc.		3.050	%		12/01/2019		25,000		24,655
Kinder Morgan, Inc.		4.300	%		06/01/2025		75,000		75,160
Marathon Oil Corp.		2.800	%		11/01/2022		25,000		23,120
Marathon Petroleum Corp.		3.625	%		09/15/2024		50,000		48,604
Nexen Energy ULC		5.875	%		03/10/2035		100,000		116,693
Noble Energy, Inc.		5.250	%		11/15/2043		25,000		25,011
Noble Holding International, Ltd.		6.200	%		08/01/2040		25,000		22,156
Occidental Petroleum Corp.		4.100	%		02/01/2021		25,000		26,498
ONEOK Partners L.P.		3.375	%		10/01/2022		25,000		22,938
Petro-Canada		5.350	%		07/15/2033		25,000		28,170
Petrobras Global Finance BV		3.250	%		03/17/2017		25,000		23,605
Petrobras Global Finance BV		3.000	%		01/15/2019		50,000		44,379
Petrobras Global Finance BV		6.250	%		03/17/2024		75,000		71,836
Petrobras International Finance Co. SA		5.875	%		03/01/2018		50,000		49,130
Petroleos Mexicanos		3.500	%		07/18/2018		25,000		25,437
Petroleos Mexicanos		3.500	%		01/30/2023		25,000		23,813
Petroleos Mexicanos		4.250	%		01/15/2025		25,000		24,750
Petroleos Mexicanos		5.500	%		06/27/2044		25,000		25,500

See accompanying notes to financial statements.

21

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Oil, Gas & Consumable Fuels – (continued)
Petroleos Mexicanos(c)		6.375	%		01/23/2045	$	150,000	$	170,250
Plains All American Pipeline L.P. / PAA Finance Corp.		3.600	%		11/01/2024		25,000		24,502
Shell International Finance BV		0.900	%		11/15/2016		25,000		24,913
Shell International Finance BV		4.300	%		09/22/2019		25,000		27,336
Shell International Finance BV		5.500	%		03/25/2040		25,000		30,395
Spectra Energy Partners L.P.		2.950	%		09/25/2018		25,000		25,297
Statoil ASA		1.950	%		11/08/2018		25,000		24,902
Statoil ASA		2.650	%		01/15/2024		75,000		71,705
Statoil ASA		3.700	%		03/01/2024		25,000		25,857
Suncor Energy, Inc.		3.600	%		12/01/2024		25,000		24,642
Sunoco Logistics Partners Operations L.P.		5.350	%		05/15/2045		25,000		25,123
Total Capital International SA		0.750	%		01/25/2016		11,000		11,003
Total Capital International SA		2.700	%		01/25/2023		50,000		48,360
Total Capital International SA		3.750	%		04/10/2024		25,000		25,904
Total Capital SA		2.125	%		08/10/2018		25,000		25,164
TransCanada PipeLines, Ltd.		7.625	%		01/15/2039		25,000		33,917
TransCanada PipeLines, Ltd.(a)		6.350	%		05/15/2067		25,000		24,125
Transocean, Inc.		6.375	%		12/15/2021		50,000		45,750
Transocean, Inc.		3.800	%		10/15/2022		25,000		19,938
Valero Energy Corp.		6.125	%		02/01/2020		25,000		28,147
Williams Partners L.P.		5.250	%		03/15/2020		25,000		26,811
Williams Partners L.P.		3.900	%		01/15/2025		50,000		47,699
XTO Energy, Inc.		6.750	%		08/01/2037		25,000		35,316
									2,733,466
Paper & Forest Products – 0.1%
Georgia-Pacific LLC		7.750	%		11/15/2029		25,000		34,491
International Paper Co.		3.650	%		06/15/2024		25,000		24,952
									59,443
Personal Products – 0.0%(b)
Estee Lauder Cos., Inc. (The)		3.700	%		08/15/2042		25,000		23,645
Pharmaceuticals – 0.8%
AbbVie, Inc.		1.750	%		11/06/2017		25,000		24,980
AbbVie, Inc.		2.900	%		11/06/2022		25,000		24,561
Actavis, Inc.		1.875	%		10/01/2017		25,000		24,865
AstraZeneca PLC		4.000	%		09/18/2042		25,000		25,013
Bristol-Myers Squibb Co.		1.750	%		03/01/2019		25,000		24,795
Eli Lilly & Co.		5.550	%		03/15/2037		25,000		30,387
Express Scripts Holding Co.		2.250	%		06/15/2019		25,000		24,731
GlaxoSmithKline Capital, Inc.		2.800	%		03/18/2023		50,000		49,083

See accompanying notes to financial statements.

22

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Pharmaceuticals – (continued)
GlaxoSmithKline Capital, Inc.		4.200	%		03/18/2043	$	25,000	$	25,513
Johnson & Johnson		5.550	%		08/15/2017		25,000		27,779
Johnson & Johnson		3.375	%		12/05/2023		25,000		26,588
McKesson Corp.		2.284	%		03/15/2019		25,000		24,918
Merck & Co., Inc.		2.400	%		09/15/2022		25,000		24,287
Merck & Co., Inc.		3.600	%		09/15/2042		25,000		24,078
Mylan, Inc.		1.800	%		06/24/2016		25,000		25,128
Novartis Capital Corp.		3.400	%		05/06/2024		25,000		25,967
Novartis Securities Investment, Ltd.		5.125	%		02/10/2019		25,000		28,060
Pfizer, Inc.		3.400	%		05/15/2024		25,000		25,824
Teva Pharmaceutical Finance IV LLC		2.250	%		03/18/2020		25,000		24,449
Wyeth LLC		5.450	%		04/01/2017		50,000		54,646
Wyeth LLC		6.000	%		02/15/2036		25,000		31,889
Zoetis, Inc.		4.700	%		02/01/2043		50,000		50,801
									648,342
Real Estate Investment Trusts (REITs) – 0.7%
American Tower Corp.		3.400	%		02/15/2019		25,000		25,418
American Tower Corp.		3.500	%		01/31/2023		50,000		48,375
AvalonBay Communities, Inc.		2.950	%		09/15/2022		25,000		24,368
Boston Properties L.P.		3.850	%		02/01/2023		25,000		25,901
Brandywine Operating Partnership L.P.		4.100	%		10/01/2024		25,000		25,050
DDR Corp.		3.500	%		01/15/2021		25,000		25,099
Duke Realty L.P.		3.875	%		02/15/2021		25,000		25,805
ERP Operating L.P.		2.375	%		07/01/2019		50,000		49,723
HCP, Inc.		2.625	%		02/01/2020		25,000		24,670
Health Care REIT, Inc.		5.250	%		01/15/2022		50,000		55,331
Hospitality Properties Trust		4.500	%		06/15/2023		25,000		25,445
Realty Income Corp.		4.125	%		10/15/2026		50,000		51,017
Simon Property Group L.P.		2.150	%		09/15/2017		25,000		25,433
Simon Property Group L.P.		5.650	%		02/01/2020		25,000		28,680
Tanger Properties L.P.		3.875	%		12/01/2023		25,000		25,595
Ventas Realty L.P.		1.550	%		09/26/2016		25,000		25,095
Weyerhaeuser Co.		4.625	%		09/15/2023		25,000		26,603
									537,608
Road & Rail – 0.3%
Burlington Northern Santa Fe LLC		3.750	%		04/01/2024		25,000		26,100
Burlington Northern Santa Fe LLC		4.450	%		03/15/2043		50,000		52,397
Burlington Northern Santa Fe LLC		4.550	%		09/01/2044		25,000		26,828
Canadian National Railway Co.		2.950	%		11/21/2024		50,000		49,897

See accompanying notes to financial statements.

23

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Road & Rail – (continued)
CSX Corp.		3.400	%		08/01/2024	$	25,000	$	25,353
Norfolk Southern Corp.		3.000	%		04/01/2022		25,000		24,994
Ryder System, Inc.		2.450	%		09/03/2019		25,000		24,720
Union Pacific Corp.		4.750	%		12/15/2043		25,000		28,184
									258,473
Semiconductors & Semiconductor Equipment – 0.1%
Intel Corp.		1.950	%		10/01/2016		25,000		25,421
Intel Corp.		3.300	%		10/01/2021		25,000		26,070
Texas Instruments, Inc.		2.750	%		03/12/2021		25,000		25,245
									76,736
Software – 0.3%
Microsoft Corp.		1.000	%		05/01/2018		25,000		24,662
Microsoft Corp.		3.625	%		12/15/2023		25,000		26,736
Microsoft Corp.		5.200	%		06/01/2039		50,000		60,204
Oracle Corp.		2.375	%		01/15/2019		25,000		25,405
Oracle Corp.		2.250	%		10/08/2019		75,000		75,148
Oracle Corp.		4.500	%		07/08/2044		50,000		54,209
									266,364
Specialty Retail – 0.3%
Costco Wholesale Corp.		1.125	%		12/15/2017		25,000		24,817
CVS Health Corp.		4.000	%		12/05/2023		25,000		26,459
Home Depot, Inc. (The)		2.250	%		09/10/2018		25,000		25,453
Home Depot, Inc. (The)		3.750	%		02/15/2024		25,000		26,604
Lowe’s Cos., Inc.		4.250	%		09/15/2044		25,000		26,307
QVC, Inc.		5.450	%		08/15/2034		50,000		49,014
Starbucks Corp.		3.850	%		10/01/2023		25,000		26,634
									205,288
Technology Hardware, Storage & Peripherals – 0.5%
Apple, Inc.		1.050	%		05/05/2017		25,000		24,983
Apple, Inc.		2.850	%		05/06/2021		25,000		25,546
Apple, Inc.		2.400	%		05/03/2023		25,000		24,326
Apple, Inc.		3.850	%		05/04/2043		25,000		24,971
EMC Corp.		1.875	%		06/01/2018		25,000		24,851
Fidelity National Information Services, Inc.		3.875	%		06/05/2024		25,000		25,156
Hewlett-Packard Co.		5.400	%		03/01/2017		25,000		26,943
Hewlett-Packard Co.		2.750	%		01/14/2019		25,000		25,137
Hewlett-Packard Co.		4.050	%		09/15/2022		25,000		25,457
International Business Machines Corp.		1.875	%		05/15/2019		100,000		99,246

See accompanying notes to financial statements.

24

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
CORPORATE BONDS – (continued)
Technology Hardware, Storage & Peripherals – (continued)
International Business Machines Corp.		5.875	%		11/29/2032	$	25,000	$	31,896
Seagate HDD Cayman		4.750	%		06/01/2023		50,000		51,875
									410,387
Tobacco – 0.3%
Altria Group, Inc.		2.625	%		01/14/2020		50,000		49,972
Altria Group, Inc.		4.000	%		01/31/2024		25,000		26,056
Altria Group, Inc.		4.500	%		05/02/2043		25,000		25,092
Lorillard Tobacco Co.		3.750	%		05/20/2023		25,000		24,726
Philip Morris International, Inc.		1.875	%		01/15/2019		50,000		49,708
Philip Morris International, Inc.		4.500	%		03/26/2020		25,000		27,496
Philip Morris International, Inc.		4.125	%		03/04/2043		25,000		24,623
									227,673
Trading Companies & Distributors – 0.1%
GATX Corp.		2.500	%		03/15/2019		50,000		49,750
Wireless Telecommunication Services – 0.7%
AT&T, Inc.		0.900	%		02/12/2016		25,000		24,965
AT&T, Inc.		2.300	%		03/11/2019		25,000		24,994
AT&T, Inc.		3.900	%		03/11/2024		25,000		25,619
AT&T, Inc.		4.800	%		06/15/2044		50,000		50,812
BellSouth Corp.		6.550	%		06/15/2034		50,000		63,219
Deutsche Telekom International Finance BV		5.750	%		03/23/2016		75,000		79,166
Orange SA		2.750	%		02/06/2019		25,000		25,333
Telefonica Europe BV		8.250	%		09/15/2030		25,000		34,788
Telefonos de Mexico S.A.B. de C.V.		5.500	%		11/15/2019		100,000		112,644
Vodafone Group PLC		1.500	%		02/19/2018		25,000		24,506
Vodafone Group PLC		2.950	%		02/19/2023		25,000		23,958
Vodafone Group PLC		4.375	%		02/19/2043		50,000		48,488
									538,492
TOTAL CORPORATE BONDS (Cost $21,097,568)									21,153,141
FOREIGN GOVERNMENT OBLIGATIONS – 2.2%
Brazilian Government International Bond		5.875	%		01/15/2019		100,000		111,250
Brazilian Government International Bond		5.625	%		01/07/2041		100,000		108,000
Canada Government International Bond		1.625	%		02/27/2019		50,000		50,182
Colombia Government International Bond		7.375	%		09/18/2037		100,000		135,000
Export Development Canada		1.250	%		10/26/2016		25,000		25,246
Italy Government International Bond		5.250	%		09/20/2016		100,000		106,632
Mexico Government International Bond		3.500	%		01/21/2021		100,000		101,850

See accompanying notes to financial statements.

25

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS – (continued)
Mexico Government International Bond		6.050	%		01/11/2040	$	30,000	$	36,900
Mexico Government International Bond		4.750	%		03/08/2044		50,000		52,125
Panama Government International Bond		6.700	%		01/26/2036		50,000		63,875
Peruvian Government International Bond		5.625	%		11/18/2050		50,000		58,750
Philippine Government International Bond		7.750	%		01/14/2031		100,000		144,500
Poland Government International Bond		5.000	%		03/23/2022		50,000		55,969
Province of British Columbia Canada		2.650	%		09/22/2021		50,000		51,544
Province of Manitoba Canada		1.125	%		06/01/2018		25,000		24,730
Province of Nova Scotia Canada		5.125	%		01/26/2017		25,000		27,086
Province of Ontario Canada		1.100	%		10/25/2017		50,000		49,716
Province of Ontario Canada		4.400	%		04/14/2020		50,000		55,699
Province of Ontario Canada		2.500	%		09/10/2021		25,000		25,164
Province of Quebec Canada		2.750	%		08/25/2021		50,000		51,119
Province of Quebec Canada		2.625	%		02/13/2023		50,000		50,120
South Africa Government International Bond		6.875	%		05/27/2019		100,000		114,188
Turkey Government International Bond		6.750	%		04/03/2018		100,000		111,525
Turkey Government International Bond		6.875	%		03/17/2036		100,000		124,083
Uruguay Government International Bond		5.100	%		06/18/2050		50,000		51,000
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,768,681)									1,786,253
U.S. GOVERNMENT AGENCY MBS TBA – 23.4%
Fannie Mae TBA(d)		3.000	%		01/01/2030		1,000,000		1,039,062
Fannie Mae TBA(d)		3.500	%		01/01/2030		125,000		132,012
Fannie Mae TBA(d)		4.000	%		01/01/2030		300,000		318,188
Fannie Mae TBA(d)		4.500	%		01/01/2030		200,000		210,000
Fannie Mae TBA(d)		3.000	%		01/01/2045		1,750,000		1,771,328
Fannie Mae TBA(d)		3.500	%		01/01/2045		2,000,000		2,085,625
Fannie Mae TBA(d)		4.000	%		01/01/2045		1,500,000		1,601,250
Freddie Mac TBA(d)		2.500	%		01/01/2030		1,000,000		1,017,031
Freddie Mac TBA(d)		3.500	%		01/01/2030		500,000		527,734
Freddie Mac TBA(d)		3.000	%		01/01/2045		750,000		757,910
Freddie Mac TBA(d)		3.500	%		01/01/2045		1,000,000		1,040,234
Freddie Mac TBA(d)		4.000	%		01/01/2045		1,400,000		1,492,750
Freddie Mac TBA(d)		4.500	%		01/01/2045		200,000		216,813
Freddie Mac TBA(d)		5.000	%		01/01/2045		1,250,000		1,377,930
Government National Mortgage Association TBA(d)		3.000	%		01/01/2045		1,250,000		1,278,516
Government National Mortgage Association TBA(d)		3.500	%		01/01/2045		1,650,000		1,732,371
Government National Mortgage Association TBA(d)		4.000	%		01/01/2045		250,000		268,262
Government National Mortgage Association TBA(d)		4.000	%		01/01/2045		800,000		857,437
Government National Mortgage Association TBA(d)		4.500	%		01/01/2045		150,000		163,875
Government National Mortgage Association TBA(d)		4.500	%		01/01/2045		350,000		382,484

See accompanying notes to financial statements.

26

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
U.S. GOVERNMENT AGENCY MBS TBA – (continued)
Government National Mortgage Association TBA(d)		5.000	%		01/01/2045	$	125,000	$	137,715
Government National Mortgage Association TBA(d)		5.000	%		01/01/2045		250,000		273,555
TOTAL U.S. GOVERNMENT AGENCY MBS TBA (Cost $18,601,504)									18,682,082
U.S. GOVERNMENT AGENCY OBLIGATIONS – 9.2%
Fannie Mae		0.750	%		03/04/2016		75,000		75,078
Fannie Mae		0.500	%		03/30/2016		75,000		75,010
Fannie Mae		5.375	%		07/15/2016		50,000		53,680
Fannie Mae		0.625	%		08/26/2016		50,000		50,022
Fannie Mae		1.250	%		09/28/2016		75,000		75,816
Fannie Mae		0.750	%		04/20/2017		75,000		74,815
Fannie Mae		2.000	%		09/26/2017		75,000		76,503
Fannie Mae		1.000	%		09/27/2017		100,000		99,810
Fannie Mae		1.532	%		10/25/2017		80,715		81,161
Fannie Mae		0.875	%		10/26/2017		75,000		74,520
Fannie Mae		0.875	%		05/21/2018		50,000		49,291
Fannie Mae		4.000	%		09/01/2019		234,888		248,790
Fannie Mae		1.750	%		09/12/2019		75,000		75,188
Fannie Mae		2.940	%		07/25/2021		140,000		144,276
Fannie Mae		2.385	%		03/25/2023		48,478		48,097
Fannie Mae		2.625	%		09/06/2024		75,000		76,015
Fannie Mae		3.500	%		11/01/2025		124,463		131,698
Fannie Mae		3.500	%		01/01/2027		142,436		150,716
Fannie Mae		3.500	%		10/01/2029		97,620		103,203
Fannie Mae		7.250	%		05/15/2030		75,000		116,229
Fannie Mae		5.500	%		02/01/2037		98,388		109,992
Fannie Mae		5.500	%		09/01/2040		150,618		168,336
Fannie Mae		4.500	%		12/01/2040		400,000		434,594
Fannie Mae		5.500	%		09/01/2041		245,439		274,308
Fannie Mae		4.500	%		01/01/2042		198,145		215,310
Fannie Mae		4.500	%		09/01/2043		300,000		325,945
Fannie Mae		4.500	%		09/01/2043		99,914		108,481
Fannie Mae		4.500	%		11/01/2043		199,920		217,063
Fannie Mae		4.500	%		06/01/2044		300,024		325,880
Fannie Mae		3.500	%		10/01/2044		99,082		103,411
Fannie Mae		4.000	%		10/01/2044		98,370		105,064
Federal Farm Credit Banks		3.500	%		12/20/2023		50,000		54,278
Federal Home Loan Bank		2.000	%		09/09/2016		25,000		25,568
Federal Home Loan Bank		0.625	%		11/23/2016		100,000		99,934
Federal Home Loan Bank		0.625	%		12/28/2016		50,000		49,915
Federal Home Loan Bank		0.850	%		02/27/2017		50,000		49,976

See accompanying notes to financial statements.

27

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued)
Federal Home Loan Bank		0.875	%		05/24/2017	$	75,000	$	74,973
Federal Home Loan Bank		1.000	%		06/21/2017		100,000		100,178
Federal Home Loan Bank		1.200	%		05/24/2018		50,000		49,557
Federal Home Loan Bank		1.875	%		03/08/2019		50,000		50,509
Federal Home Loan Bank		2.250	%		06/11/2021		75,000		75,650
Federal Home Loan Bank		2.875	%		09/13/2024		50,000		51,196
Federal Home Loan Mortgage Corp.		0.700	%		09/27/2016		75,000		74,960
Federal Home Loan Mortgage Corp.		0.700	%		09/29/2016		50,000		49,972
Federal Home Loan Mortgage Corp.		0.875	%		10/14/2016		100,000		100,409
Federal Home Loan Mortgage Corp.		0.875	%		02/22/2017		75,000		75,139
Federal Home Loan Mortgage Corp.		1.000	%		04/07/2017		50,000		49,980
Federal Home Loan Mortgage Corp.		5.000	%		04/18/2017		100,000		109,406
Federal Home Loan Mortgage Corp.		1.000	%		06/29/2017		50,000		50,059
Federal Home Loan Mortgage Corp.		1.000	%		09/29/2017		100,000		99,788
Federal Home Loan Mortgage Corp.		0.875	%		03/07/2018		75,000		74,137
Federal Home Loan Mortgage Corp.		1.250	%		10/02/2019		75,000		73,466
Federal Home Loan Mortgage Corp.		6.750	%		09/15/2029		75,000		110,647
Freddie Mac		3.320	%		07/25/2020		68,641		71,766
Freddie Mac		3.111	%		02/25/2023		100,000		103,760
Freddie Mac		2.500	%		10/01/2029		98,649		100,435
Freddie Mac		4.000	%		04/01/2042		99,201		105,834
Government National Mortgage Association		5.000	%		10/15/2041		181,528		199,893
Government National Mortgage Association		4.000	%		02/20/2042		67,301		72,190
Government National Mortgage Association		4.000	%		07/20/2042		43,792		46,973
Government National Mortgage Association		4.500	%		01/20/2044		472,730		516,531
Government National Mortgage Association		4.000	%		08/20/2044		121,124		129,916
Government National Mortgage Association		3.500	%		10/20/2044		149,242		156,893
Tennessee Valley Authority		3.500	%		12/15/2042		50,000		49,967
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $7,345,828)									7,372,157
U.S. TREASURY OBLIGATIONS – 36.0%
U.S. Treasury Note(e)		0.375	%		03/15/2016		750,000		749,993
U.S. Treasury Note(e)		0.375	%		04/30/2016		500,000		499,800
U.S. Treasury Note(e)		0.500	%		06/15/2016		725,000		725,428
U.S. Treasury Note(e)		0.625	%		08/15/2016		1,000,000		1,001,250
U.S. Treasury Note(e)		0.500	%		08/31/2016		1,000,000		999,260
U.S. Treasury Note(e)		3.000	%		08/31/2016		800,000		832,440
U.S. Treasury Note(e)		0.500	%		09/30/2016		1,700,000		1,697,603
U.S. Treasury Note(e)		0.625	%		10/15/2016		500,000		500,135
U.S. Treasury Note(e)		0.500	%		11/30/2016		300,000		299,250
U.S. Treasury Note(e)		0.625	%		12/31/2016		350,000		349,632

See accompanying notes to financial statements.

28

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
U.S. TREASURY OBLIGATIONS – (continued)
U.S. Treasury Note(e)		0.875	%		01/31/2017	$	300,000	$	300,903
U.S. Treasury Note(e)		1.000	%		03/31/2017		750,000		753,255
U.S. Treasury Note(e)		0.500	%		07/31/2017		750,000		741,330
U.S. Treasury Note(e)		1.000	%		09/15/2017		1,150,000		1,150,230
U.S. Treasury Note(e)		1.875	%		09/30/2017		500,000		511,465
U.S. Treasury Note(e)		0.875	%		11/15/2017		750,000		746,160
U.S. Treasury Note(e)		1.000	%		12/15/2017		600,000		598,620
U.S. Treasury Note(e)		2.625	%		01/31/2018		750,000		783,045
U.S. Treasury Note(e)		2.625	%		04/30/2018		750,000		784,013
U.S. Treasury Note(e)		4.000	%		08/15/2018		250,000		274,140
U.S. Treasury Note(e)		1.375	%		09/30/2018		100,000		99,902
U.S. Treasury Note(e)		1.250	%		11/30/2018		1,000,000		992,660
U.S. Treasury Note(e)		1.375	%		02/28/2019		500,000		497,185
U.S. Treasury Note(e)		1.000	%		08/31/2019		500,000		486,250
U.S. Treasury Note(e)		1.625	%		08/31/2019		1,450,000		1,451,131
U.S. Treasury Note(e)		1.000	%		09/30/2019		500,000		486,270
U.S. Treasury Note(e)		1.000	%		11/30/2019		750,000		727,470
U.S. Treasury Note(e)		1.500	%		11/30/2019		985,000		978,617
U.S. Treasury Note(e)		1.625	%		12/31/2019		250,000		249,630
U.S. Treasury Note(e)		2.125	%		08/31/2020		750,000		763,005
U.S. Treasury Note(e)		2.000	%		05/31/2021		750,000		753,368
U.S. Treasury Note(e)		2.000	%		08/31/2021		1,000,000		1,002,770
U.S. Treasury Note(e)		2.000	%		11/15/2021		500,000		501,660
U.S. Treasury Note(e)		2.000	%		02/15/2023		500,000		497,635
U.S. Treasury Note(e)		1.750	%		05/15/2023		250,000		243,232
U.S. Treasury Note(e)		2.375	%		08/15/2024		800,000		814,312
U.S. Treasury Bond(e)		5.250	%		11/15/2028		500,000		671,055
U.S. Treasury Bond(e)		4.375	%		02/15/2038		650,000		851,272
U.S. Treasury Bond(e)		3.500	%		02/15/2039		500,000		574,865
U.S. Treasury Bond(e)		4.250	%		11/15/2040		500,000		647,580
U.S. Treasury Bond(e)		3.000	%		05/15/2042		300,000		315,528
U.S. Treasury Bond(e)		2.750	%		11/15/2042		200,000		199,938
U.S. Treasury Bond(e)		3.625	%		08/15/2043		150,000		176,520
U.S. Treasury Bond(e)		3.125	%		08/15/2044		500,000		538,165
TOTAL U.S. TREASURY OBLIGATIONS (Cost $28,484,713)									28,817,972
COMMERCIAL MORTGAGE BACKED SECURITIES – 1.2%
Citigroup Commercial Mortgage Trust 2013-GC11		3.093	%		04/10/2046		75,000		75,738
COMM 2013-CCRE8 Mortgage Trust		3.334	%		06/10/2046		65,000		66,848
COMM 2013-LC6 Mortgage Trust		1.906	%		01/10/2046		75,000		75,233
Commercial Mortgage Pass Through Certificates		3.644	%		12/10/2047		100,000		103,878

See accompanying notes to financial statements.

29

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Interest Rate			Maturity Date		Principal Amount		Value
COMMERCIAL MORTGAGE BACKED SECURITIES – (continued)
GS Mortgage Securities Trust 2013-GC13		4.038	%		07/10/2046	$	80,000	$	87,086
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15		5.814	%		06/12/2043		84,377		88,580
JPMBB Commercial Mortgage Securities Trust 2014-C18		4.079	%		02/15/2047		50,000		54,055
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8		1.689	%		12/15/2048		90,000		89,619
Morgan Stanley Capital I Trust 2007-HQ11		5.447	%		02/12/2044		100,000		106,692
Wachovia Bank Commercial Mortgage Trust Series 2006-C26		6.011	%		06/15/2045		50,000		52,762
Wells Fargo Commercial Mortgage Trust 2014-LC16		1.294	%		08/15/2050		83,382		82,778
WFRBS Commercial Mortgage Trust 2014-C19		3.660	%		03/15/2047		75,000		78,333
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $964,674)									961,602
ASSET BACKED SECURITIES – 0.5%
Automobiles – 0.2%
CarMax Auto Owner Trust 2013-3		0.970	%		04/16/2018		105,000		105,131
Volkswagen Auto Loan Enhanced Trust 2014-1		0.910	%		10/22/2018		65,000		64,640
									169,771
Credit Card Receivables – 0.3%
Capital One Multi-Asset Execution Trust		1.480	%		07/15/2020		30,000		29,994
Citibank Credit Card Issuance Trust		5.350	%		02/07/2020		100,000		111,093
Citibank Credit Card Issuance Trust		2.880	%		01/23/2023		100,000		102,769
									243,856
TOTAL ASSET BACKED SECURITIES (Cost $412,359)									413,627
MUNICIPAL BONDS & NOTES – 0.2%
California – 0.2%
Los Angeles Department of Water & Power		5.716	%		07/01/2039		100,000		126,456
Los Angeles Unified School District		5.750	%		07/01/2034		25,000		31,547
TOTAL MUNICIPAL BONDS & NOTES (Cost $157,896)									158,003
SHORT TERM INVESTMENTS – 24.9%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(f)(g)(h) (Cost $19,953,875)							19,953,875		19,953,875
TOTAL INVESTMENTS (Cost $98,787,098) – 124.0%									99,298,712
Other Assets & Liabilities – (24.0)%									(19,254,242	)
NET ASSETS – 100.0%								$	80,044,470

^(a)  Variable Rate Security – Interest rate shown is rate in effect at December 31, 2014

^(b)  Amount shown represents less than 0.05% of net assets.

See accompanying notes to financial statements.

30

State Street Aggregate Bond Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

^(c)  Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $170,250 or 0.21% of net assets as of December 31, 2014.

^(d)  When-issued security

^(e)  Security, or a portion of the security has been designated as collateral for TBA securities.

^(f)  The rate shown is the annualized seven-day yield at period end.

^(g)  Affiliated Fund managed by SSGA Fund Management, Inc. See table that follows for more information.

^(h)  Value is determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.

Abbreviations
MBS	Mortgage Backed Securities
PLC	Public Limited Company
TBA	To Be Announced

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). The Portfolio invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the period ending December 31, 2014 were as follows:

Security Description	Number of shares held at 9/19/14*		Shares purchased for the period ended 12/31/14		Shares sold for the period ended 12/31/14		Number of shares held at 12/31/14		Value at 12/31/14		Income earned for the period ended 12/31/14
State Street Institutional Liquid Reserves Fund, Premier Class		–		84,349,216		64,395,341		19,953,875	$	19,953,875	$	3,033

* Commencement of operations.

See Notes to Financial Statements.

31

State Street Global Equity ex-U.S. Index Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Common Stocks	97.7	%
Rights	0.0	**
Short Term Investments	1.2
Other Assets in Excess of Liabilities	1.1
Total	100.0	%

Top Five Sectors (excluding short-term investments)*	December 31, 2014
Financials	27.9	%
Consumer Discretionary	10.6
Industrials	10.4
Consumer Staples	10.1
Health Care	8.2
Total	67.2	%

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

** Less than 0.05% of net assets.

See Notes to Financial Statements.

32

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – 97.7%
Australia – 5.0%
AGL Energy, Ltd.		1,517	$	16,531
ALS, Ltd.		911		3,951
Alumina, Ltd.(a)		5,703		8,284
Amcor, Ltd.		2,725		30,059
AMP, Ltd.		6,679		29,793
APA Group		2,516		15,356
Asciano, Ltd.		2,202		10,807
ASX, Ltd.		437		13,075
Aurizon Holdings, Ltd.		4,826		18,125
AusNet Services		3,946		4,273
Australia & New Zealand Banking Group, Ltd.		8,030		209,382
Bank of Queensland, Ltd.		842		8,341
Bendigo & Adelaide Bank, Ltd.		980		10,209
BHP Billiton, Ltd.		8,903		211,760
Boral, Ltd.		1,767		7,598
Brambles, Ltd.		3,529		30,464
Caltex Australia, Ltd.		305		8,460
Coca-Cola Amatil, Ltd.		1,293		9,808
Cochlear, Ltd.		129		8,161
Commonwealth Bank of Australia		4,455		310,140
Computershare, Ltd.		1,068		10,238
Crown Resorts, Ltd.		822		8,465
CSL, Ltd.		1,419		100,152
Dexus Property Group REIT		2,044		11,586
Federation Centres REIT		3,224		7,521
Flight Centre Travel Group, Ltd.		125		3,314
Fortescue Metals Group, Ltd.		3,516		7,767
Goodman Group REIT		3,901		18,026
GPT Group (The) REIT		3,806		13,479
Harvey Norman Holdings, Ltd.		1,254		3,428
Iluka Resources, Ltd.		945		4,554
Incitec Pivot, Ltd.		3,808		9,871
Insurance Australia Group, Ltd.		5,288		26,874
Leighton Holdings, Ltd.		229		4,177
Lend Lease Group		1,239		16,536
Macquarie Group, Ltd.		666		31,509
Medibank Pvt, Ltd.(a)		11,545		22,769
Metcash, Ltd.		2,006		3,024
Mirvac Group REIT		8,337		12,069
National Australia Bank, Ltd.		6,975		190,504
Newcrest Mining, Ltd.(a)		1,731		15,451
Novion Property Group REIT		4,770		8,232
Orica, Ltd.		864		13,273
Origin Energy, Ltd.		2,492		23,573
Qantas Airways, Ltd.(a)		2,430		4,723
QBE Insurance Group, Ltd.		3,030		27,549
Ramsay Health Care, Ltd.		296		13,759
REA Group, Ltd.		119		4,382
Rio Tinto, Ltd.		1,367		64,275
Santos, Ltd.		2,207		14,947
Scentre Group REIT(a)		12,022		34,267
Seek, Ltd.		731		10,226
Sonic Healthcare, Ltd.		860		12,946
Stockland REIT		5,254		17,593
Suncorp Group, Ltd.		2,905		33,182
Sydney Airport		2,452		9,394
Tabcorp Holdings, Ltd.		1,723		5,826
Tatts Group, Ltd.		3,239		9,134
Telstra Corp., Ltd.		13,591		66,158
Toll Holdings, Ltd.		1,538		7,338
TPG Telecom, Ltd.		627		3,430
Transurban Group		4,068		28,505
Treasury Wine Estates, Ltd.		1,466		5,717
Wesfarmers, Ltd.		3,471		117,793
Westfield Corp. REIT(a)		4,457		32,664
Westpac Banking Corp.		8,942		240,968
Woodside Petroleum, Ltd.		2,292		71,424
Woolworths, Ltd.		3,790		94,655
WorleyParsons, Ltd.		468		3,869
				2,465,693
Austria – 0.1%
Andritz AG		164		9,013
Erste Group Bank AG		631		14,467
IMMOFINANZ AG(a)		2,167		5,485
OMV AG		333		8,812
Raiffeisen Bank International AG		265		3,959
Vienna Insurance Group AG Wiener Versicherung Gruppe		87		3,872
Voestalpine AG		253		9,973
				55,581
Belgium – 0.8%
Ageas		501		17,767
Anheuser-Busch InBev NV		2,292		257,927
Belgacom SA		343		12,420
Colruyt SA		159		7,373
Delhaize Group SA		231		16,780
Groupe Bruxelles Lambert SA		182		15,492
KBC Groep NV(a)		565		31,358
Solvay SA		134		18,102
Telenet Group Holding NV(a)		118		6,627
UCB SA		285		21,629
Umicore SA		244		9,828
				415,303
Brazil – 2.0%
AMBEV SA		15,335		95,322
Banco Bradesco SA(d)		3,700		49,471
Banco Bradesco SA(d)		5,300		68,238
Banco do Brasil SA		2,400		21,232
BB Seguridade Participacoes SA		2,000		24,008
BM&FBOVESPA SA		6,900		25,561
BRF SA		1,600		37,407
CCR SA		3,600		20,671
Cia Brasileira de Distribuicao		600		22,092
Cia Energetica de Minas Gerais		3,900		19,052
Cielo SA		2,300		36,043
Embraer SA		2,700		24,878
Estacio Participacoes SA		2,500		22,124
Gerdau SA Preference Shares		6,200		21,996
Investimentos Itau SA Preference Shares		9,500		33,118
Itau Unibanco Holding SA		8,200		106,620
JBS SA		3,600		15,160
Kroton Educacional SA		6,300		36,301
Localiza Rent a Car SA		1,800		23,977
Lojas Americanas SA		5,500		27,089
Lojas Renner SA		1,000		28,523
Petroleo Brasileiro SA		7,500		27,382
Petroleo Brasileiro SA Preference Shares		16,000		60,631

See Notes to Financial Statements.

33

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Brazil – (continued)
Telefonica Brasil SA		1,300	$	22,961
Tim Participacoes SA		3,900		17,327
Tractebel Energia SA		1,900		23,968
Ultrapar Participacoes SA		1,200		22,879
Vale SA(d)		8,100		58,776
Vale SA(d)		4,500		36,856
				1,029,663
Canada – 7.5%
Agnico-Eagle Mines, Ltd.		500		12,484
Agrium, Inc.		500		47,485
Alimentation Couche-Tard, Inc.		1,300		54,649
AltaGas, Ltd.		300		11,226
ARC Resources, Ltd.		700		15,206
Atco, Ltd.(Class I)		200		8,230
Bank of Montreal		1,800		127,713
Bank of Nova Scotia (The)		3,500		200,376
Barrick Gold Corp.		3,200		34,590
Baytex Energy Corp.		400		6,672
BCE, Inc.		679		31,234
BlackBerry, Ltd.(a)		1,100		12,099
Bombardier, Inc.		3,200		11,466
Brookfield Asset Management, Inc. (Class A)		1,700		85,451
CAE, Inc.		600		7,812
Cameco Corp.		900		14,803
Canadian Imperial Bank of Commerce		1,200		103,439
Canadian National Railway Co.		2,200		151,991
Canadian Natural Resources, Ltd.		3,000		93,037
Canadian Oil Sands, Ltd.		1,100		9,896
Canadian Pacific Railway, Ltd.		500		96,590
Canadian Tire Corp., Ltd. (Class A)		200		21,194
Canadian Utilities, Ltd.		300		10,596
Catamaran Corp. (Class A)(a)		500		25,953
Cenovus Energy, Inc.		2,100		43,460
CGI Group, Inc.(a)		500		19,119
CI Financial Corp.		500		13,939
Constellation Software, Inc.		100		29,824
Crescent Point Energy Corp.		1,200		27,880
Dollarama, Inc.		300		15,385
Eldorado Gold Corp.		1,600		9,780
Empire Co., Ltd. (Class A)		100		7,565
Enbridge, Inc.		2,500		128,945
EnCana Corp.		2,000		27,921
Enerplus Corp.		500		4,831
Fairfax Financial Holdings, Ltd.		100		52,560
Finning International, Inc.		400		8,713
First Capital Realty, Inc.		200		3,222
First Quantum Minerals, Ltd.		1,700		24,232
Fortis, Inc.		800		26,910
Franco-Nevada Corp.		400		19,757
George Weston, Ltd.		100		8,664
Gildan Activewear, Inc.		300		17,017
Goldcorp, Inc.		2,200		40,856
Great-West Lifeco, Inc.		700		20,300
H&R REIT		300		5,628
Husky Energy, Inc.		800		18,994
IGM Financial, Inc.		200		7,997
Imperial Oil, Ltd.		800		34,569
Industrial Alliance Insurance & Financial Services, Inc.		200		7,672
Intact Financial Corp.		300		21,718
Inter Pipeline, Ltd.		900		27,927
Keyera Corp.		200		13,999
Kinross Gold Corp.(a)		2,500		7,036
Loblaw Cos., Ltd.		600		32,205
Magna International, Inc.		700		76,083
Manulife Financial Corp.		5,900		112,983
MEG Energy Corp.(a)		300		5,064
Methanex Corp.		200		9,216
Metro, Inc.		200		16,111
National Bank of Canada		900		38,417
New Gold, Inc.(a)		1,100		4,730
Onex Corp.		200		11,649
Open Text Corp.		300		17,512
Pacific Rubiales Energy Corp.		700		4,345
Pembina Pipeline Corp.		900		32,900
Penn West Petroleum, Ltd.		1,100		2,308
Peyto Exploration & Development Corp.		300		8,669
Potash Corp. of Saskatchewan, Inc.		2,500		88,647
Power Corp. of Canada		1,000		27,421
Power Financial Corp.		600		18,742
PrairieSky Royalty, Ltd.		600		15,851
Restaurant Brands International, Inc.(a)		746		29,307
RioCan REIT		300		6,846
Rogers Communications, Inc. (Class B)		1,000		38,998
Royal Bank of Canada		4,100		284,035
Saputo, Inc.		600		18,089
Shaw Communications, Inc. (Class B)		1,100		29,773
Silver Wheaton Corp.		800		16,321
SNC-Lavalin Group, Inc.		300		11,477
Sun Life Financial, Inc.		1,900		68,766
Suncor Energy, Inc.		4,400		140,177
Talisman Energy, Inc.		2,300		18,070
Teck Resources, Ltd. (Class B)		1,300		17,823
TELUS Corp.		500		18,083
Thomson Reuters Corp.		1,000		40,466
Toronto-Dominion Bank		5,300		254,006
Tourmaline Oil Corp.(a)		400		13,365
TransAlta Corp.		600		5,450
TransCanada Corp.		2,100		103,527
Turquoise Hill Resources, Ltd.(a)		1,800		5,579
Valeant Pharmaceuticals International, Inc.(a)		1,000		143,605
Vermilion Energy, Inc.		200		9,842
Yamana Gold, Inc.		1,900		7,694
				3,694,764
Chile – 0.4%
AES Gener SA		53,702		28,409
Cencosud SA		9,119		22,790
Colbun SA		115,907		30,926
Empresa Nacional de Electricidad SA ADR		26,443		39,429

See Notes to Financial Statements.

34

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Chile – (continued)
Empresas COPEC SA		1,918	$	21,530
Enersis SA		77,873		25,081
Latam Airlines Group SA ADR(a)		2,319		27,535
SACI Falabella		3,870		25,960
				221,660
China – 3.9%
Agricultural Bank of China, Ltd. (Class H)		65,000		32,644
Bank of China, Ltd. (Class H)		213,000		119,253
Bank of Communications Co., Ltd. (Class H)		41,000		37,807
Brilliance China Automotive Holdings, Ltd.		20,000		31,887
China CITIC Bank Corp., Ltd. (Class H)		48,000		38,289
China Communications Construction Co., Ltd. (Class H)		44,000		52,724
China Construction Bank Corp.		209,000		169,562
China Life Insurance Co., Ltd. (Class H)		23,000		89,774
China Longyuan Power Group Corp., Ltd. (Class H)		29,000		29,762
China Mengniu Dairy Co., Ltd.		6,000		24,602
China Merchants Bank Co., Ltd.		22,000		54,901
China Minsheng Banking Corp., Ltd. (Class H)		32,000		41,729
China National Building Material Co., Ltd. (Class H)		34,000		32,870
China Pacific Insurance Group Co., Ltd. (Class H)		8,800		43,820
China Petroleum & Chemical Corp. (Class H)		80,000		64,767
China Shenhua Energy Co., Ltd. (Class H)		10,500		30,854
China Telecom Corp., Ltd. (Class H)		50,000		29,124
Chongqing Rural Commercial Bank Co., Ltd. (Class H)		64,000		39,820
Datang International Power Generation Co., Ltd. (Class H)		54,000		28,910
Dongfeng Motor Group Co., Ltd. (Class H)		20,000		27,907
ENN Energy Holdings, Ltd.		4,000		22,620
Evergrande Real Estate Group, Ltd.		73,000		29,529
Hengan International Group Co., Ltd.		2,000		20,862
Huaneng Power International, Inc. (Class H)		26,000		35,171
Industrial & Commercial Bank of China, Ltd. (Class H)		215,000		156,180
Kerry Properties, Ltd.		1,500		5,409
Lenovo Group, Ltd.		22,000		28,850
PetroChina Co., Ltd. (Class H)		70,000		77,638
PICC Property & Casualty Co., Ltd. (Class H)		21,800		42,179
Ping An Insurance Group Co. of China, Ltd. (Class H)		8,000		80,778
Shanghai Industrial Holdings, Ltd.		14,000		41,801
Sino Land Co., Ltd.		6,181		9,858
Sinopharm Group Co., Ltd. (Class H)		8,000		28,209
SOHO China, Ltd.		38,500		27,119
Tencent Holdings, Ltd.		14,800		212,350
Tingyi Cayman Islands Holding Corp.		12,000		27,362
Tsingtao Brewery Co., Ltd.		4,000		27,106
Want Want China Holdings, Ltd.		25,000		32,795
				1,926,822
Colombia – 0.1%
Bancolombia SA ADR		500		23,940
Ecopetrol SA ADR		700		11,984
Grupo de Inversiones Suramericana SA		1,089		18,145
				54,069
Czech Republic – 0.1%
CEZ AS		1,178		30,267
				30,267
Denmark – 1.0%
AP Moeller – Maersk A/S (Class A)		16		31,807
AP Moeller – Maersk A/S (Class B)		9		17,222
Carlsberg A/S		241		18,717
Coloplast A/S (Class B)		251		21,128
Danske Bank A/S		2,081		56,016
DSV A/S		400		12,153
Novo Nordisk A/S (Class B)		5,729		242,431
Novozymes A/S (Class B)		541		22,701
Pandora A/S		260		21,092
TDC A/S		1,800		13,719
Tryg A/S		48		5,367
Vestas Wind Systems A/S(a)		506		18,281
William Demant Holding AS(a)		51		3,871
				484,505
Egypt – 0.0%(b)
Commercial International Bank Egypt SAE		3,513		24,124
				24,124
Finland – 0.6%
Elisa Oyj		321		8,737
Fortum Oyj		1,003		21,674
Kone Oyj (Class B)		706		32,065
Metso Oyj		254		7,576
Neste Oil Oyj		290		7,027
Nokia Oyj		11,299		88,929
Nokian Renkaat Oyj		256		6,270
Orion Oyj (Class B)		225		6,985
Sampo Oyj (Class A)		1,392		65,270
Stora Enso Oyj		1,243		11,064
UPM-Kymmene Oyj		1,202		19,738
Wartsila Oyj Abp		334		14,988
				290,323
France – 6.3%
Accor SA		386		17,295
Aeroports de Paris		67		8,121
Air Liquide SA		1,062		131,039
Alcatel-Lucent(a)		6,354		22,558
Alstom SA(a)		488		15,742
Arkema SA		147		9,748

See Notes to Financial Statements.

35

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
France – (continued)
AtoS		178	$	14,086
AXA SA		5,518		127,447
BNP Paribas SA		3,025		177,762
Bollore SA		1,200		5,446
Bouygues SA		433		15,625
Bureau Veritas SA		499		11,019
Cap Gemini SA		326		23,220
Carrefour SA		1,976		60,035
Casino Guichard-Perrachon SA		128		11,779
Christian Dior SA		123		21,015
Cie de Saint-Gobain		1,430		60,202
Cie Generale des Etablissements Michelin		421		38,169
CNP Assurances		388		6,871
Credit Agricole SA		2,260		29,054
Danone		1,716		112,890
Dassault Systemes		286		17,405
Edenred		459		12,745
Electricite de France SA		546		14,993
Essilor International SA		632		70,352
Eurazeo SA		85		5,937
Eutelsat Communications SA		364		11,767
Fonciere Des Regions REIT		64		5,922
GDF Suez		4,318		100,848
Gecina SA REIT		64		8,010
Groupe Eurotunnel SA		1,056		13,631
Hermes International		93		33,161
ICADE REIT		84		6,726
Iliad SA		59		14,173
Imerys SA		77		5,678
JCDecaux SA		152		5,220
Kering		171		32,876
Klepierre REIT		225		9,691
L’Oreal SA		740		124,236
Lafarge SA		422		29,618
Lagardere SCA		266		6,904
Legrand SA		600		31,409
LVMH Moet Hennessy Louis Vuitton SA		847		133,940
Natixis		2,104		13,835
Numericable-SFR(a)		435		21,450
Orange SA		5,557		94,504
Pernod Ricard SA		653		72,403
Peugeot SA(a)		884		10,784
Publicis Groupe SA		410		29,365
Remy Cointreau SA		54		3,607
Renault SA		434		31,715
Rexel SA		610		10,893
Safran SA		612		37,668
Sanofi		3,209		292,455
Schneider Electric SE		1,555		112,989
SCOR SE		347		10,501
Societe BIC SA		64		8,494
Societe Generale SA		2,181		91,648
Sodexo SA		213		20,885
Suez Environnement Co.		634		10,991
Technip SA		231		13,794
Thales SA		210		11,331
Total SA		5,777		297,858
Unibail-Rodamco SE REIT(d)		220		56,663
Unibail-Rodamco SE REIT(d)		80		20,447
Valeo SA		170		21,175
Vallourec SA		246		6,717
Veolia Environnement SA		952		16,906
Vinci SA		1,487		81,370
Vivendi SA		3,658		91,249
Wendel SA		72		8,047
Zodiac Aerospace		420		14,174
				3,128,283
Germany – 6.3%
adidas AG		472		32,898
Allianz SE		1,298		215,668
Axel Springer SE		89		5,367
BASF SE		2,631		222,408
Bayer AG		2,344		320,447
Bayerische Motoren Werke AG		984		106,866
Bayerische Motoren Werke AG Preference Shares		123		10,095
Beiersdorf AG		228		18,596
Brenntag AG		349		19,638
Celesio AG		115		3,718
Commerzbank AG(a)		2,185		29,027
Continental AG		339		71,988
Daimler AG		2,736		228,266
Deutsche Annington Immobilien SE		614		20,885
Deutsche Bank AG		4,151		125,467
Deutsche Boerse AG		436		31,246
Deutsche Lufthansa AG		520		8,708
Deutsche Post AG		2,904		95,015
Deutsche Telekom AG		9,414		150,890
Deutsche Wohnen AG		646		15,349
E.ON SE		5,960		102,345
Fraport AG Frankfurt Airport Services Worldwide		83		4,808
Fresenius Medical Care AG & Co. KGaA		489		36,597
Fresenius SE & Co. KGaA		1,189		62,090
Fuchis Petrolub SE Preference Shares		160		6,444
GEA Group AG		413		18,286
Hannover Rueck SE		136		12,336
HeidelbergCement AG		318		22,622
Henkel AG & Co. KGaA(d)		264		25,707
Henkel AG & Co. KGaA(d)		561		60,686
Hugo Boss AG		72		8,840
Infineon Technologies AG		2,546		27,296
K+S AG		389		10,802
Kabel Deutschland Holding AG(a)		50		6,800
Lanxess AG		207		9,630
Linde AG		554		103,332
MAN SE		80		8,922
Merck KGaA		292		27,701
Metro AG(a)		366		11,206
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		515		103,176
OSRAM Licht AG(a)		201		7,920
Porsche Automobil Holding SE Preference Shares		346		28,113
ProSiebenSat.1 Media AG		494		20,812
RWE AG		1,105		34,595

See Notes to Financial Statements.

36

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Germany – (continued)
SAP SE		2,651	$	187,440
Siemens AG		2,262		256,534
Symrise AG		310		18,800
Telefonica Deutschland Holding AG		1,261		6,734
ThyssenKrupp AG(a)		1,022		26,286
United Internet AG		263		11,927
Volkswagen AG		67		14,599
Volkswagen AG Preference Shares		483		107,889
				3,123,817
Greece – 0.2%
Eurobank Ergasias SA(a)		56,090		12,464
Hellenic Telecommunications Organization SA(a)		2,078		22,677
National Bank of Greece SA(a)		11,861		21,071
OPAP SA		1,974		21,094
Piraeus Bank SA(a)		17,027		18,732
				96,038
Hong Kong – 3.3%
AIA Group, Ltd.		34,800		190,954
ASM Pacific Technology, Ltd.		500		4,753
Bank of East Asia, Ltd.		2,800		11,248
Beijing Enterprises Holdings, Ltd.		3,500		27,360
Belle International Holdings, Ltd.		25,000		27,954
BOC Hong Kong Holdings, Ltd.		8,500		28,245
Cathay Pacific Airways, Ltd.		3,000		6,520
Chailease Holding Co., Ltd.		12,000		29,756
Cheung Kong Holdings, Ltd.		4,000		66,846
Cheung Kong Infrastructure Holdings, Ltd.		1,000		7,389
China Everbright International, Ltd.		12,000		17,841
China Merchants Holdings International Co., Ltd.		10,090		33,756
China Mobile, Ltd.		17,500		206,033
China Overseas Land & Investment, Ltd.		14,000		41,405
China Resources Land, Ltd.		16,000		42,097
China Resources Power Holdings Co., Ltd.		10,000		25,739
China Unicom (Hong Kong), Ltd.		18,000		24,108
CITIC, Ltd.		17,000		28,808
CLP Holdings, Ltd.		4,500		39,048
CNOOC, Ltd.		55,000		74,399
COSCO Pacific, Ltd.		22,000		31,216
First Pacific Co., Ltd.		6,000		5,915
Galaxy Entertainment Group, Ltd.		6,000		33,399
Guangdong Investment, Ltd.		12,000		15,583
Hanergy Thin Film Power Group, Ltd.		54,000		19,596
Hang Lung Properties, Ltd.		5,000		13,934
Hang Seng Bank, Ltd.		1,700		28,266
Henderson Land Development Co., Ltd.		2,000		13,857
HKT Trust/HKT, Ltd.		6,000		7,791
Hong Kong & China Gas Co., Ltd.		14,000		31,806
Hong Kong Exchanges and Clearing, Ltd.		3,400		74,794
Hutchison Whampoa, Ltd.		9,000		103,150
Hysan Development Co., Ltd.		1,000		4,443
Li & Fung, Ltd.		14,000		13,092
MTR Corp., Ltd.		3,500		14,294
New World Development Co., Ltd.		12,000		13,726
Noble Group, Ltd.		10,000		8,582
NWS Holdings, Ltd.		3,000		5,486
PCCW, Ltd.		9,000		6,154
Power Assets Holdings, Ltd.		3,000		28,962
Sands China, Ltd.		5,600		27,272
Shangri-La Asia, Ltd.		4,000		5,494
SJM Holdings, Ltd.		4,000		6,295
Sun Hung Kai Properties, Ltd.		4,000		60,484
Swire Pacific, Ltd.		1,500		19,431
Swire Properties, Ltd.		2,600		7,690
Techtronic Industries Co., Ltd.		3,000		9,614
The Link REIT		5,000		31,179
The Wharf Holdings, Ltd.		3,000		21,543
Wheelock & Co., Ltd.		2,000		9,286
Wynn Macau, Ltd.		3,600		10,059
Yangzijiang Shipbuilding Holdings, Ltd.		4,000		3,632
Yue Yuen Industrial Holdings, Ltd.		1,500		5,391
Yuexiu Property Co., Ltd.		142,000		27,356
				1,653,031
India – 0.6%
GAIL India, Ltd. GDR		400		16,899
ICICI Bank, Ltd. ADR		1,500		17,325
Infosys, Ltd. ADR		3,000		94,380
Larsen & Toubro, Ltd. GDR		750		17,475
Mahindra & Mahindra Financial Services, Ltd. GDR		763		14,937
Reliance Industries, Ltd. GDR(c)		1,500		42,300
Reliance Infrastructure, Ltd. GDR		400		9,800
Sesa Sterlite, Ltd. ADR		700		9,506
State Bank of India GDR		520		25,662
Tata Motors, Ltd. ADR		400		16,912
Tata Steel, Ltd. GDR		1,300		8,036
Wipro, Ltd. ADR		1,200		13,584
				286,816
Indonesia – 0.8%
Astra International Tbk PT		85,000		50,453
Bank Central Asia Tbk PT		46,000		48,401
Bank Mandiri Persero Tbk PT		45,000		38,842
Bank Negara Indonesia Persero Tbk PT		91,500		44,679
Bank Rakyat Indonesia Persero Tbk PT		45,500		42,368
Indofood Sukses Makmur Tbk PT		57,000		31,075
Jasa Marga Persero Tbk PT		58,500		33,011
Perusahaan Gas Negara Persero Tbk PT		58,000		27,938
Semen Indonesia Persero Tbk PT		21,500		27,932
Telekomunikasi Indonesia Persero Tbk PT		190,500		43,721
Unilever Indonesia Tbk PT		7,000		18,264
				406,684
Ireland – 0.2%
Bank of Ireland(a)		62,116		23,160
CRH PLC		1,669		40,155
James Hardie Industries PLC		1,006		10,737
Kerry Group PLC		357		24,632

See Notes to Financial Statements.

37

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Ireland – (continued)
Ryanair Holdings PLC ADR(a)		406	$	4,812
				103,496
Israel – 0.4%
Bank Hapoalim BM		2,384		11,270
Bank Leumi Le-Israel BM(a)		2,994		10,295
Bezeq The Israeli Telecommunication Corp., Ltd.		4,322		7,702
Delek Group, Ltd.		11		2,767
Israel Chemicals, Ltd.		1,006		7,273
Israel Corp., Ltd. (The)(a)		6		2,858
Mizrahi Tefahot Bank, Ltd.(a)		312		3,280
NICE Systems, Ltd.		128		6,495
Teva Pharmaceutical Industries, Ltd.		2,504		144,200
				196,140
Italy – 1.4%
Assicurazioni Generali SpA		3,588		73,322
Atlantia SpA		932		21,647
Banca Monte dei Paschi di Siena SpA(a)		9,820		5,584
Banco Popolare(a)		818		9,792
Enel Green Power SpA		3,951		8,209
Enel SpA		19,861		88,803
Eni SpA		7,424		129,662
Exor SpA		222		9,057
Finmeccanica Finance SpA(a)		914		8,487
Intesa Sanpaolo SpA		34,698		100,376
Intesa Sanpaolo SpA Preference Shares		2,106		5,184
Luxottica Group SpA		378		20,695
Mediobanca SpA		1,362		11,028
Pirelli & C. SpA		537		7,212
Prysmian SpA		461		8,391
Saipem SpA(a)		598		6,280
Snam SpA		4,582		22,604
Telecom Italia SpA(a)(d)		22,723		24,098
Telecom Italia SpA(d)		13,607		11,373
Terna Rete Elettrica Nazionale SpA		3,404		15,420
UniCredit SpA		13,309		84,825
Unione di Banche Italiane SCpA		1,934		13,767
UnipolSai SpA		2,056		5,509
				691,325
Japan – 13.7%
ABC-Mart, Inc.		100		4,841
Acom Co., Ltd.(a)		900		2,736
Advantest Corp.		400		4,979
Aeon Co., Ltd.		1,400		14,078
AEON Financial Service Co., Ltd.		300		5,859
Aeon Mall Co., Ltd.		300		5,300
Aisin Seiki Co., Ltd.		400		14,363
Ajinomoto Co., Inc.		2,000		37,024
Alfresa Holdings Corp.		400		4,830
Amada Co., Ltd.		800		6,852
ANA Holdings, Inc.		3,000		7,377
Aozora Bank, Ltd.		3,000		9,302
Asahi Glass Co., Ltd.		2,000		9,757
Asahi Group Holdings, Ltd.		900		27,753
Asahi Kasei Corp.		3,000		27,467
Asics Corp.		400		9,550
Astellas Pharma, Inc.		5,400		75,083
Bandai Namco Holdings, Inc.		400		8,482
Bank of Kyoto, Ltd. (The)		1,000		8,356
Bank of Yokohama, Ltd. (The)		3,000		16,267
Benesse Holdings, Inc.		200		5,935
Bridgestone Corp.		2,000		69,435
Brother Industries, Ltd.		500		9,063
Calbee, Inc.		200		6,898
Canon, Inc.		2,900		92,021
Casio Computer Co., Ltd.		500		7,671
Central Japan Railway Co.		400		59,951
Chubu Electric Power Co., Inc.(a)		1,500		17,630
Chugai Pharmaceutical Co., Ltd.		500		12,279
Chugoku Bank, Ltd. (The)		400		5,456
Chugoku Electric Power Co., Inc. (The)		700		9,158
Citizen Holdings Co., Ltd.		600		4,612
Credit Saison Co., Ltd.		300		5,576
Dai Nippon Printing Co., Ltd.		1,000		9,017
Dai-ichi Life Insurance Co., Ltd. (The)		3,500		53,061
Daicel Corp.		1,000		11,697
Daihatsu Motor Co., Ltd.		400		5,242
Daiichi Sankyo Co., Ltd.		1,400		19,554
Daikin Industries, Ltd.		600		38,661
Daito Trust Construction Co., Ltd.		200		22,623
Daiwa House Industry Co., Ltd.		1,300		24,593
Daiwa Securities Group, Inc.		4,000		31,121
Denso Corp.		1,200		55,873
Dentsu, Inc.		500		21,022
Don Quijote Holdings Co., Ltd.		100		6,824
East Japan Railway Co.		1,000		74,849
Eisai Co., Ltd.		600		23,226
Electric Power Development Co., Ltd.		300		10,145
FamilyMart Co., Ltd.		100		3,730
FANUC Corp.		600		98,928
Fast Retailing Co., Ltd.		200		72,796
Fuji Electric Co., Ltd.		1,000		3,985
Fuji Heavy Industries, Ltd.		1,500		52,772
FUJIFILM Holdings Corp.		1,000		30,150
Fujitsu, Ltd.		4,000		21,287
Fukuoka Financial Group, Inc.		2,000		10,316
GungHo Online Entertainment, Inc.(a)		900		3,278
Gunma Bank, Ltd. (The)		1,000		6,480
Hachijuni Bank, Ltd. (The)		1,000		6,431
Hakuhodo DY Holdings, Inc.		500		4,788
Hamamatsu Photonics KK		200		9,548
Hankyu Hanshin Holdings, Inc.		3,000		16,125
Hino Motors, Ltd.		600		7,842
Hirose Electric Co., Ltd.		100		11,630
Hiroshima Bank, Ltd. (The)		1,000		4,749
Hisamitsu Pharmaceutical Co., Inc.		100		3,136
Hitachi Chemical Co., Ltd.		200		3,539
Hitachi Construction Machinery Co., Ltd.		200		4,236
Hitachi High-Technologies Corp.		100		2,883
Hitachi Metals, Ltd.		1,000		17,013
Hitachi, Ltd.		14,000		102,343
Hokuhoku Financial Group, Inc.		3,000		6,058
Hokuriku Electric Power Co.		400		5,103

See Notes to Financial Statements.

38

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Japan – (continued)
Honda Motor Co., Ltd.		4,800	$	139,449
Hoya Corp.		1,000		33,449
Hulic Co., Ltd.		500		4,966
Ibiden Co., Ltd.		300		4,405
Idemitsu Kosan Co., Ltd.		200		3,311
IHI Corp.		3,000		15,217
Inpex Corp.		2,000		22,169
Isetan Mitsukoshi Holdings, Ltd.		800		9,798
Isuzu Motors, Ltd.		1,500		18,283
ITOCHU Corp.		3,400		36,317
Itochu Techno-Solutions Corp.		100		3,540
Iyo Bank, Ltd. (The)		500		5,414
J Front Retailing Co., Ltd.		500		5,817
Japan Airlines Co., Ltd.		1,000		29,183
Japan Display, Inc.(a)		1,000		3,056
Japan Exchange Group, Inc.		600		13,966
Japan Prime Realty Investment Corp. REIT		2		6,936
Japan Real Estate Investment Corp. REIT		3		14,424
Japan Retail Fund Investment Corp. REIT		5		10,534
Japan Tobacco, Inc.		2,800		76,809
JFE Holdings, Inc.		1,100		24,461
JGC Corp.		1,000		20,589
Joyo Bank, Ltd. (The)		2,000		9,915
JSR Corp.		400		6,862
JTEKT Corp.		500		8,460
JX Holdings, Inc.		5,100		19,850
Kajima Corp.		2,000		8,258
Kakaku.com, Inc.		300		4,309
Kamigumi Co., Ltd.		1,000		8,885
Kaneka Corp.		1,000		5,372
Kansai Electric Power Co., Inc. (The)(a)		1,600		15,207
Kansai Paint Co., Ltd.		1,000		15,440
Kao Corp.		1,200		47,294
Kawasaki Heavy Industries, Ltd.		3,000		13,687
KDDI Corp.		1,500		93,765
Keikyu Corp.		1,000		7,399
Keio Corp.		1,000		7,170
Keisei Electric Railway Co., Ltd.		1,000		12,183
Keyence Corp.		100		44,251
Kikkoman Corp.		1,000		24,510
Kintetsu Corp.		4,000		13,180
Kirin Holdings Co., Ltd.		1,900		23,513
Kobe Steel, Ltd.		7,000		12,097
Koito Manufacturing Co., Ltd.		200		6,094
Komatsu, Ltd.		2,400		53,156
Konami Corp.		200		3,684
Konica Minolta, Inc.		1,100		11,854
Kubota Corp.		3,000		43,522
Kuraray Co., Ltd.		800		9,112
Kurita Water Industries, Ltd.		200		4,174
Kyocera Corp.		700		32,053
Kyowa Hakko Kirin Co., Ltd.		1,000		9,404
Kyushu Electric Power Co., Inc.(a)		1,000		10,005
Lawson, Inc.		100		6,041
LIXIL Group Corp.		600		12,677
M3, Inc.		400		6,645
Mabuchi Motor Co., Ltd.		200		7,874
Makita Corp.		300		13,560
Marubeni Corp.		3,700		22,158
Marui Group Co., Ltd.		500		4,518
Maruichi Steel Tube, Ltd.		100		2,128
Mazda Motor Corp.		1,200		28,777
McDonald’s Holdings Co. (Japan), Ltd.		200		4,371
Medipal Holdings Corp.		300		3,481
MEIJI Holdings Co., Ltd.		100		9,099
Minebea Co., Ltd.		1,000		14,623
Miraca Holdings, Inc.		100		4,305
Mitsubishi Chemical Holdings Corp.		3,100		15,082
Mitsubishi Corp.		3,600		65,960
Mitsubishi Electric Corp.		5,000		59,473
Mitsubishi Estate Co., Ltd.		4,000		84,576
Mitsubishi Gas Chemical Co., Inc.		1,000		5,019
Mitsubishi Heavy Industries, Ltd.		7,000		38,667
Mitsubishi Materials Corp.		3,000		9,963
Mitsubishi Motors Corp.		1,400		12,813
Mitsubishi Tanabe Pharma Corp.		500		7,320
Mitsubishi UFJ Financial Group, Inc.		36,300		198,775
Mitsubishi UFJ Lease & Finance Co., Ltd.		1,100		5,193
Mitsui & Co., Ltd.		4,300		57,428
Mitsui Chemicals, Inc.		2,000		5,676
Mitsui Fudosan Co., Ltd.		3,000		80,609
Mitsui OSK Lines, Ltd.		2,000		5,935
Mizuho Financial Group, Inc.		71,100		119,355
MS&AD Insurance Group Holdings, Inc.		1,100		26,102
Murata Manufacturing Co., Ltd.		500		54,564
Nabtesco Corp.		300		7,195
Nagoya Railroad Co., Ltd.		2,000		7,440
NEC Corp.		6,000		17,475
Nexon Co., Ltd.		300		2,795
NGK Insulators, Ltd.		1,000		20,576
NGK Spark Plug Co., Ltd.		400		12,067
NH Foods, Ltd.		1,000		21,852
NHK Spring Co., Ltd.		400		3,487
Nidec Corp.		500		32,400
Nikon Corp.		800		10,612
Nintendo Co., Ltd.		300		31,236
Nippon Building Fund, Inc. REIT		3		15,016
Nippon Electric Glass Co., Ltd.		1,000		4,504
Nippon Express Co., Ltd.		2,000		10,162
Nippon Paint Holdings Co., Ltd.		1,000		28,998
Nippon Prologis REIT, Inc.		3		6,498
Nippon Steel & Sumitomo Metal Corp.		19,000		47,107
Nippon Telegraph & Telephone Corp.		900		46,268
Nippon Yusen KK		4,000		11,303
Nissan Motor Co., Ltd.		6,300		54,822
Nisshin Seifun Group, Inc.		400		3,872
Nissin Foods Holdings Co., Ltd.		100		4,781
Nitori Holdings Co., Ltd.		200		10,737
Nitto Denko Corp.		400		22,348
NOK Corp.		200		5,075
Nomura Holdings, Inc.		9,200		52,303
Nomura Real Estate Holdings, Inc.		300		5,150

See Notes to Financial Statements.

39

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Japan – (continued)
Nomura Research Institute, Ltd.		300	$	9,203
NSK, Ltd.		1,000		11,832
NTT Data Corp.		300		11,204
NTT DoCoMo, Inc.		3,900		57,034
NTT Urban Development Corp.		300		3,007
Obayashi Corp.		1,000		6,421
Odakyu Electric Railway Co., Ltd.		1,000		8,865
OJII Holdings Corp.		2,000		7,170
Olympus Corp.(a)		500		17,601
Omron Corp.		500		22,389
Ono Pharmaceutical Co., Ltd.		200		17,705
Oracle Corp. Japan		100		4,070
Oriental Land Co., Ltd.		100		22,910
ORIX Corp.		3,000		37,467
Osaka Gas Co., Ltd.		4,000		14,936
Otsuka Corp.		100		3,162
Otsuka Holdings Co., Ltd.		900		26,967
Panasonic Corp.		5,600		65,729
Park24 Co., Ltd.		200		2,942
Rakuten, Inc.(a)		1,800		25,037
Recruit Holdings Co., Ltd.(a)		1,000		28,284
Resona Holdings, Inc.		5,000		25,211
Ricoh Co., Ltd.		1,600		16,238
Rinnai Corp.		100		6,727
Rohm Co., Ltd.		200		12,122
Sankyo Co., Ltd.		100		3,443
Sanrio Co., Ltd.		100		2,485
Santen Pharmaceutical Co., Ltd.		200		10,693
SBI Holdings, Inc.		500		5,424
Secom Co., Ltd.		500		28,699
Sega Sammy Holdings, Inc.		400		5,127
Seiko Epson Corp.		300		12,589
Sekisui Chemical Co., Ltd.		1,000		12,027
Sekisui House, Ltd.		1,200		15,702
Seven & I Holdings Co., Ltd.		1,900		68,469
Seven Bank, Ltd.		1,300		5,466
Sharp Corp.(a)		3,000		6,642
Shikoku Electric Power Co., Inc.(a)		400		4,844
Shimadzu Corp.		1,000		10,167
Shimano, Inc.		200		25,845
Shimizu Corp.		1,000		6,803
Shin-Etsu Chemical Co., Ltd.		1,200		77,994
Shinsei Bank, Ltd.		4,000		6,977
Shionogi & Co., Ltd.		700		18,116
Shiseido Co., Ltd.		800		11,192
Shizuoka Bank, Ltd. (The)		1,000		9,138
Showa Shell Sekiyu KK		400		3,938
SMC Corp.		200		52,031
SoftBank Corp.		2,800		166,474
Sompo Japan Nipponkoa Holdings, Inc.		800		20,085
Sony Corp.		3,300		67,120
Sony Financial Holdings, Inc.		400		5,893
Stanley Electric Co., Ltd.		300		6,478
Sumitomo Chemical Co., Ltd.		3,000		11,866
Sumitomo Corp.		2,500		25,653
Sumitomo Dainippon Pharma Co., Ltd.		400		3,884
Sumitomo Electric Industries, Ltd.		1,700		21,190
Sumitomo Heavy Industries, Ltd.		1,000		5,369
Sumitomo Metal Mining Co., Ltd.		1,000		14,908
Sumitomo Mitsui Financial Group, Inc.		3,800		137,172
Sumitomo Mitsui Trust Holdings, Inc.		8,000		30,502
Sumitomo Realty & Development Co., Ltd.		1,000		34,033
Sumitomo Rubber Industries, Ltd.		400		5,950
Suntory Beverage & Food, Ltd.		1,000		34,495
Suruga Bank, Ltd.		400		7,322
Suzuken Co. Ltd/Aichi Japan		200		5,522
Suzuki Motor Corp.		800		24,026
Sysmex Corp.		300		13,296
T&D Holdings, Inc.		1,300		15,625
Taiheiyo Cement Corp.		3,000		9,431
Taisei Corp.		2,000		11,374
Taisho Pharmaceutical Holdings Co., Ltd.		100		6,094
Takashimaya Co., Ltd.		1,000		8,012
Takeda Pharmaceutical Co., Ltd.		2,000		82,912
TDK Corp.		300		17,659
Teijin, Ltd.		2,000		5,321
Terumo Corp.		700		15,927
The Chiba Bank, Ltd.		2,000		13,114
THK Co., Ltd.		300		7,236
Tobu Railway Co., Ltd.		2,000		8,539
Toho Co., Ltd.		300		6,801
Toho Gas Co., Ltd.		1,000		4,896
Tohoku Electric Power Co., Inc.		1,000		11,605
Tokio Marine Holdings, Inc.		2,100		68,132
Tokyo Electric Power Co., Inc.(a)		3,300		13,434
Tokyo Electron, Ltd.		400		30,326
Tokyo Gas Co., Ltd.		6,000		32,346
Tokyo Tatemono Co., Ltd.		1,000		7,276
Tokyu Corp.		3,000		18,593
Tokyu Fudosan Holdings Corp.		1,100		7,572
TonenGeneral Sekiyu KK		1,000		8,540
Toppan Printing Co., Ltd.		1,000		6,504
Toray Industries, Inc.		3,000		24,004
Toshiba Corp.		9,000		38,073
TOTO, Ltd.		1,000		11,620
Toyo Seikan Group Holdings, Ltd.		400		4,930
Toyoda Gosei Co., Ltd.		100		2,017
Toyota Industries Corp.		400		20,419
Toyota Motor Corp.		7,700		479,716
Toyota Tsusho Corp.		500		11,545
Trend Micro, Inc.(a)		200		5,467
Unicharm Corp.		900		21,637
United Urban Investment Corp. REIT		6		9,415
USS Co., Ltd.		500		7,687
West Japan Railway Co.		400		18,936
Yahoo! Japan Corp.		3,200		11,536
Yakult Honsha Co., Ltd.		200		10,545
Yamada Denki Co., Ltd.		2,000		6,669
Yamaha Corp.		400		5,936
Yamaha Motor Co., Ltd.		600		12,055
Yamato Holdings Co., Ltd.		800		15,737
Yamato Kogyo Co., Ltd.		100		2,809
Yaskawa Electric Corp.		500		6,389
Yokogawa Electric Corp.		500		5,499
				6,757,391

See Notes to Financial Statements.

40

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Luxembourg – 0.2%
Altice SA(a)		196	$	15,467
ArcelorMittal		2,257		24,446
Millicom International Cellular SA		150		11,109
RTL Group SA(a)		88		8,363
SES SA		686		24,607
Subsea 7 SA		635		6,437
Tenaris SA		1,066		16,101
				106,530
Macau – 0.0%(b)
MGM China Holdings, Ltd.		2,000		5,042
				5,042
Mexico – 1.3%
Alfa SAB de CV (Class A)		9,300		20,802
America Movil SAB de CV		100,200		111,758
Arca Continental SAB de CV		4,100		25,938
Cemex SAB de CV(a)		27,400		27,995
Coca-Cola Femsa SAB de CV		2,800		24,253
Controladora Comercial Mexicana SAB de CV		8,100		28,543
Fibra Uno Administracion SA de CV REIT		8,500		25,085
Fomento Economico Mexicano SAB de CV		4,600		40,839
Grupo Bimbo SAB de CV(a)		9,800		26,974
Grupo Carso SAB de CV		5,000		24,688
Grupo Financiero Banorte SAB de CV		7,000		38,715
Grupo Financiero Inbursa SAB de CV		10,000		25,964
Grupo Financiero Santander Mexico SAB de CV (Class B)		12,300		25,710
Grupo Mexico S.A.B. de CV		11,300		32,804
Grupo Televisa SAB de CV		7,400		50,686
Kimberly-Clark de Mexico SAB de CV (Class A)		12,500		27,231
Mexichem SAB de CV(a)		7,300		22,069
Promotora y Operadora de Infraestructura SAB de CV(a)		2,200		26,553
Wal-Mart de Mexico SAB de CV		11,100		23,895
				630,502
Morocco – 0.6%
AMMB Holdings Bhd		9,500		17,906
Axiata Group Bhd		10,800		21,752
CIMB Group Holdings Bhd		12,600		20,019
DiGi.Com Bhd		7,900		13,894
Genting Bhd		5,200		13,182
Genting Malaysia Bhd		14,600		16,956
IHH Healthcare Bhd		12,100		16,651
IOI Corp. Bhd		13,700		18,783
Malayan Banking Bhd		11,500		30,072
Maxis Bhd		9,000		17,569
Petronas Chemicals Group Bhd		12,600		19,601
Petronas Gas Bhd		3,100		19,641
Public Bank Bhd		6,900		36,089
Sime Darby Bhd		7,700		20,204
Tenaga Nasional Bhd		7,100		27,980
				310,299
Netherlands – 2.0%
Aegon NV		4,091		30,695
Airbus Group NV		1,773		88,060
Akzo Nobel NV		545		37,793
ASML Holding NV		1,060		113,565
Boskalis Westminster NV		196		10,716
CNH Industrial NV		2,138		17,235
Corio NV REIT		160		7,808
Delta Lloyd NV		460		10,110
Gemalto NV		179		14,622
Heineken Holding NV		227		14,229
Heineken NV		520		36,940
ING Groep NV(a)		11,377		147,305
Koninklijke (Royal) KPN NV		7,232		22,801
Koninklijke Ahold NV		2,100		37,330
Koninklijke DSM NV		390		23,715
Koninklijke Philips NV		2,903		84,289
Koninklijke Vopak NV		159		8,237
NN Group NV(a)		577		17,193
OCI NV(a)		190		6,594
QIAGEN NV(a)		527		12,341
Randstad Holding NV		285		13,706
Reed Elsevier NV		1,577		37,688
STMicroelectronics NV		1,439		10,731
TNT Express NV		994		6,604
Unilever NV		4,710		185,022
Wolters Kluwer NV		682		20,825
				1,016,154
New Zealand – 0.1%
Auckland International Airport, Ltd.		2,150		7,090
Contact Energy, Ltd.		828		4,129
Fletcher Building, Ltd.		1,553		10,037
Ryman Healthcare, Ltd.		847		5,634
Spark New Zealand, Ltd.		4,276		10,381
				37,271
Norway – 0.4%
DNB ASA		2,207		32,347
Gjensidige Forsikring ASA		452		7,319
Norsk Hydro ASA		3,037		16,980
Orkla ASA		1,841		12,472
Seadrill, Ltd.		848		9,704
Statoil ASA		3,499		60,954
Telenor ASA		1,712		34,315
Yara International ASA		409		18,182
				192,273
Peru – 0.1%
Credicorp, Ltd.		200		32,036
				32,036
Philippines – 0.3%
Ayala Land, Inc.		48,300		36,188
BDO Unibank, Inc.		7,460		18,247
JG Summit Holdings, Inc.		11,800		17,325
Philippine Long Distance Telephone Co.		570		36,783
Universal Robina Corp.		4,090		17,814
				126,357
Poland – 0.5%
Bank Pekao SA		522		26,167

See Notes to Financial Statements.

41

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Poland – (continued)
Bank Zachodni WBK SA		230	$	24,277
Energa SA		3,962		25,591
KGHM Polska Miedz SA		698		21,212
PGE SA		4,169		22,067
Polski Koncern Naftowy Orlen SA		2,483		33,974
Powszechna Kasa Oszczednosci Bank Polski SA		3,144		31,529
Powszechny Zaklad Ubezpieczen SA		207		28,212
Tauron Polska Energia SA		17,518		24,783
				237,812
Portugal – 0.1%
Banco Comercial Portugues SA(a)		79,544		6,255
EDP – Energias de Portugal SA		5,229		20,223
Galp Energia SGPS SA		870		8,802
Jeronimo Martins SGPS SA		568		5,693
				40,973
Qatar – 0.2%
Industries Qatar QSC		563		25,676
Masraf Al Rayan		1,940		23,034
Qatar National Bank SAQ		523		30,387
				79,097
Russia – 0.7%
Gazprom OAO		29,710		64,387
Lukoil OAO ADR		1,209		47,875
Magnit PJSC GDR		688		31,025
MMC Norilsk Nickle OJSC ADR(a)		201		27,051
Mobile TeleSystems OJSC ADR		1,700		12,206
NovaTeK OAO GDR		286		22,211
Rosneft OAO GDR(a)		4,950		16,133
Sberbank(a)		15,210		13,943
Sberkbank Preference Shares(a)		28,500		17,941
Surgutneftegas OAO ADR(a)		51,000		20,064
Tatneft OAO ADR(a)		4,850		18,309
VTB Bank OJSC(a)		29,280,000		32,676
				323,821
Singapore – 1.1%
Ascendas REIT		5,000		8,972
CapitaCommercial Trust REIT		5,000		6,616
CapitaLand, Ltd.		6,000		14,903
CapitaMall Trust REIT		5,000		7,691
City Developments, Ltd.		1,000		7,718
ComfortDelGro Corp., Ltd.		5,000		9,786
DBS Group Holdings, Ltd.		5,000		77,186
Genting Singapore PLC		14,000		11,339
Global Logistic Properties, Ltd.		7,000		13,087
Golden Agri-Resources, Ltd.		16,000		5,547
Hutchison Port Holdings Trust		13,000		8,958
Jardine Cycle & Carriage, Ltd.		1,000		32,099
Keppel Corp., Ltd.		3,000		20,011
Keppel Land, Ltd.		2,000		5,140
Oversea-Chinese Banking Corp., Ltd.		7,000		54,997
Sembcorp Industries, Ltd.		2,000		6,705
SembCorp Marine, Ltd.		2,000		4,925
Singapore Airlines, Ltd.		1,000		8,740
Singapore Exchange, Ltd.		2,000		11,755
Singapore Press Holdings, Ltd.		4,000		12,702
Singapore Technologies Engineering, Ltd.		4,000		10,237
Singapore Telecommunications, Ltd.		25,000		73,359
StarHub, Ltd.		1,000		3,130
Suntec Real Estate Investment Trust REIT		12,000		17,732
United Overseas Bank, Ltd.		4,000		73,926
UOL Group, Ltd.		1,000		5,246
Wilmar International, Ltd.		4,000		9,755
				522,262
South Africa – 2.1%
AngloGold Ashanti, Ltd.(a)		1,769		15,371
Aspen Pharmacare Holdings, Ltd.		1,111		38,656
Barclays Africa Group, Ltd.		1,540		24,016
Bidvest Group, Ltd. (The)		1,311		34,282
FirstRand, Ltd.		9,102		39,429
Gold Fields, Ltd.		6,904		31,247
Growthpoint Properties, Ltd. REIT		12,760		30,176
Impala Platinum Holdings, Ltd.(a)		2,581		16,817
Investec, Ltd.		3,260		27,203
Life Healthcare Group Holdings, Ltd.		7,034		25,915
Mediclinic International, Ltd.		3,434		29,681
Mr Price Group, Ltd.		1,504		30,380
MTN Group, Ltd.		4,436		84,174
Naspers, Ltd.		1,155		148,691
Nedbank Group, Ltd.		1,555		33,311
Netcare, Ltd.		9,750		31,865
Redefine Properties, Ltd. REIT		33,583		31,034
Remgro, Ltd.		1,311		28,639
RMB Holdings, Ltd.		5,831		32,086
Sanlam, Ltd.		4,744		28,495
Sasol, Ltd.		1,492		55,732
Shoprite Holdings, Ltd.		2,219		32,117
Standard Bank Group, Ltd.		3,961		48,674
Steinhoff International Holdings, Ltd.		5,915		30,261
Tiger Brands, Ltd.		1,010		31,986
Vodacom Group, Ltd.		2,734		30,190
Woolworths Holdings, Ltd.		4,461		29,487
				1,019,915
South Korea – 3.3%
Amorepacific Corp.		18		36,161
BS Financial Group, Inc.		1,770		23,294
Coway Co., Ltd.		240		18,260
DGB Financial Group, Inc.		1,720		17,697
E-Mart Co., Ltd.		130		23,950
Hana Financial Group, Inc.		1,210		34,955
Hankook Tire Co., Ltd.		360		17,127
Hyundai Engineering & Construction Co., Ltd.		487		18,438
Hyundai Glovis Co., Ltd.		100		26,397
Hyundai Heavy Industries Co., Ltd.		280		29,017
Hyundai Mobis Co., Ltd.		168		35,757
Hyundai Motor Co.(d)		510		77,427
Hyundai Motor Co.(d)		165		19,982
Hyundai Steel Co.		388		22,186

See Notes to Financial Statements.

42

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
South Korea – (continued)
Industrial Bank of Korea		1,780	$	22,668
Kangwon Land, Inc.		590		16,214
KB Financial Group, Inc.		1,333		43,535
Kia Motors Corp.		805		38,034
Korea Electric Power Corp.		770		29,654
KT&G Corp.		363		25,171
LG Chem, Ltd.		149		24,316
LG Corp.		539		29,874
LG Display Co., Ltd.(a)		910		27,556
LG Electronics, Inc.		445		23,784
LG Household & Health Care, Ltd.		73		41,367
NAVER Corp.		94		60,726
Orion Corp.		34		31,270
POSCO		192		48,442
Samsung C&T Corp.		476		26,387
Samsung Electronics Co., Ltd.(d)		300		360,616
Samsung Electronics Co., Ltd.(d)		79		73,920
Samsung Fire & Marine Insurance Co., Ltd.		111		28,437
Samsung Life Insurance Co., Ltd.		378		39,924
Samsung SDI Co., Ltd.		209		21,729
Samsung SDS Co., Ltd.(a)		70		18,692
Shinhan Financial Group Co., Ltd.		1,320		52,963
SK C&C Co., Ltd.		147		28,397
SK Holdings Co., Ltd.		171		25,342
SK Hynix, Inc.(a)		1,720		74,062
SK Innovation Co., Ltd.		444		34,153
				1,647,881
Spain – 2.5%
Abertis Infraestructuras SA		913		18,037
ACS Actividades de Construccion y Servicios SA		399		13,815
Amadeus IT Holding SA		1,361		54,082
Banco Bilbao Vizcaya Argentaria SA		17,373		163,504
Banco de Sabadell SA		7,700		20,172
Banco Popular Espanol SA		4,029		19,947
Banco Santander SA		35,093		293,440
Bankia SA(a)		10,403		15,423
Bankinter SA		2,736		21,816
CaixaBank SA		7,689		39,937
Distribuidora Internacional de Alimentacion SA		1,396		9,387
Enagas SA		458		14,497
Ferrovial SA		949		18,699
Gas Natural SDG SA		791		19,899
Grifols SA		337		13,415
Iberdrola SA		15,613		105,045
Inditex SA		3,275		93,839
International Consolidated Airlines Group SA(a)		2,303		17,047
Mapfre SA		2,086		7,025
Red Electrica Corporacion SA		244		21,420
Repsol SA		3,270		60,783
Telefonica SA		12,190		174,365
Zardoya Otis SA		393		4,349
				1,219,943
Sweden – 2.0%
Alfa Laval AB		710		13,376
Assa Abloy AB (Class B)		1,063		55,942
Atlas Copco AB (Class A)		2,119		58,741
Atlas Copco AB (Class B)		881		22,480
Boliden AB		618		9,806
Electrolux AB		543		15,866
Elekta AB (Class B)		832		8,456
Getinge AB (Class B)		452		10,224
Hennes & Mauritz AB (Class B)		2,806		115,912
Hexagon AB (Class B)		576		17,738
Husqvarna AB (Class B)		921		6,745
Industrivarden AB		332		5,742
Investment AB Kinnevik		532		17,181
Investor AB (Class B)		1,029		37,134
Lundin Petroleum AB(a)		491		6,992
Nordea Bank AB		9,055		104,144
Sandvik AB		2,407		23,338
Securitas AB (Class B)		707		8,530
Skandinaviska Enskilda Banken AB (Class A)		4,789		60,325
Skanska AB (Class B)		858		18,266
SKF AB (Class B)		894		18,729
Svenska Cellulosa AB SCA (Class B)		1,325		28,495
Svenska Handelsbanken AB (Class A)		1,539		71,560
Swedbank AB (Class A)		2,803		69,456
Swedish Match AB		456		14,164
Tele2 AB (Class B)		721		8,692
Telefonaktiebolaget LM Ericsson (Class B)		9,033		108,941
TeliaSonera AB		5,378		34,441
Volvo AB (Class B)		3,463		37,244
				1,008,660
Switzerland – 7.0%
AAC Technologies Holdings, Inc.		3,500		18,666
ABB, Ltd.		6,591		139,488
Actelion, Ltd.		231		26,591
Adecco SA		384		26,320
Aryzta AG		197		15,145
Baloise Holding AG		107		13,673
Barry Callebaut AG		5		5,124
Chocoladefabriken Lindt & Sprungli AG(d)		2		9,879
Chocoladefabriken Lindt & Sprungli AG(d)		1		57,428
Cie Financiere Richemont SA		1,596		141,448
CITIC Securities Co., Ltd.		5,000		18,698
Coca-Cola HBC AG		453		8,623
Credit Suisse Group AG		4,677		117,312
EMS-Chemie Holding AG		19		7,718
Geberit AG		85		28,902
Givaudan SA		21		37,570
Glencore PLC		31,083		143,127
Great Wall Motor Co., Ltd.		4,500		25,481
Holcim, Ltd.		517		36,732
Julius Baer Group, Ltd.		505		23,058
Kuehne & Nagel International AG		122		16,593
Lonza Group AG		119		13,418
Nestle SA		9,037		662,793

See Notes to Financial Statements.

43

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
Switzerland – (continued)
Novartis AG		6,452	$	593,703
Pargesa Holding SA		70		5,395
Partners Group Holding AG		39		11,317
Roche Holding AG		1,974		535,330
Schindler Holding AG(d)		104		15,015
Schindler Holding AG(d)		48		6,888
SGS SA		13		26,521
Sika AG		5		14,673
Sonova Holding AG		122		17,894
Sulzer AG		54		5,740
Swiss Life Holding AG		72		17,024
Swiss Prime Site AG		130		9,531
Swiss Re AG		1,061		88,826
Swisscom AG		53		27,846
Syngenta AG		280		89,958
The Swatch Group AG(d)		70		31,100
The Swatch Group AG(d)		112		9,693
Transocean, Ltd.		817		14,981
UBS Group AG		10,562		181,658
Zurich Insurance Group AG		455		142,559
				3,439,439
Taiwan – 2.8%
Advanced Semiconductor Engineering, Inc.		28,000		33,287
Asustek Computer, Inc.		3,000		32,664
AU Optronics Corp.		40,000		20,277
Catcher Technology Co., Ltd.		3,000		23,090
Cathay Financial Holding Co., Ltd.		22,000		32,369
Cheng Shin Rubber Industry Co., Ltd.		8,000		18,765
China Development Financial Holding Corp.		90,000		28,603
China Steel Corp.		34,000		28,198
Chunghwa Telecom Co., Ltd.		10,000		29,707
CTBC Financial Holding Co., Ltd.		55,997		36,179
Delta Electronics, Inc.		5,000		29,710
E.Sun Financial Holding Co., Ltd.		30,000		18,600
Far Eastern New Century Corp.		31,000		30,682
Far EasTone Telecommunications Co., Ltd.		8,000		18,418
First Financial Holding Co., Ltd.		53,000		31,160
Formosa Chemicals & Fibre Corp.		13,000		27,390
Formosa Plastics Corp.		12,000		27,348
Fubon Financial Holding Co., Ltd.		28,000		44,530
Hon Hai Precision Industry Co., Ltd.		37,000		102,030
Hotai Motor Co., Ltd.		1,000		14,948
Hua Nan Financial Holdings Co., Ltd.		30,000		16,779
Innolux Corp.		38,000		18,306
MediaTek, Inc.		4,000		58,232
Mega Financial Holding Co., Ltd.		46,000		35,460
Nan Ya Plastics Corp.		13,000		26,844
Pegatron Corp.		8,000		18,424
President Chain Store Corp.		4,000		30,845
Quanta Computer, Inc.		11,000		27,404
Ruentex Development Co., Ltd.		17,000		27,029
Siliconware Precision Industries Co., Ltd.		21,000		31,663
Taishin Financial Holding Co., Ltd.		60,000		24,612
Taiwan Cement Corp.		15,000		20,486
Taiwan Mobile Co., Ltd.		7,000		23,117
Taiwan Semiconductor Manufacturing Co., Ltd.		70,000		308,891
Uni-President Enterprises Corp.		18,000		28,370
United Microelectronics Corp.		82,000		37,952
Yuanta Financial Holding Co., Ltd.		39,000		18,889
				1,381,258
Thailand – 0.6%
Advanced Info Service PCL NVDR		5,900		45,012
Airports of Thailand PCL NVDR		1,900		16,256
CP ALL PCL NVDR		27,600		35,654
Kasikornbank PCL NVDR		10,900		75,267
PTT Exploration & Production PCL NVDR		8,100		27,574
PTT PCL NVDR		4,300		42,347
The Siam Cement PCL NVDR		1,400		19,042
The Siam Commercial Bank PCL NVDR		8,000		44,255
				305,407
Turkey – 0.6%
Akbank TAS		8,457		31,119
BIM Birlesik Magazalar AS		1,296		27,707
Haci Omer Sabanci Holding AS		7,057		30,616
KOC Holding AS		6,204		32,725
Turkcell Iletisim Hizmetleri AS(a)		4,027		24,558
Turkiye Garanti Bankasi AS		10,477		41,923
Turkiye Halk Bankasi AS		4,682		27,619
Turkiye Is Bankasi (Class C)		12,616		36,140
Turkiye Sise ve Cam Fabrikalari		21,679		33,738
				286,145
United Arab Emirates – 0.1%
DP World, Ltd.		798		16,758
Emaar Properties PJSC		11,871		22,776
First Gulf Bank PJSC		3,763		17,202
				56,736
United Kingdom – 14.4%
3i Group PLC		2,195		15,261
Aberdeen Asset Management PLC		2,078		13,885
Admiral Group PLC		437		8,953
Aggreko PLC		578		13,472
Amec Foster Wheeler PLC		673		8,812
Anglo American PLC		4,262		78,888
Antofagasta PLC		890		10,337
ARM Holdings PLC		4,373		67,365
Ashtead Group PLC		1,265		22,374
Associated British Foods PLC		1,134		55,119
AstraZeneca PLC		3,602		253,491
Aviva PLC		9,113		68,314
Babcock International Group PLC		1,132		18,528
BAE Systems Holding, Inc. PLC		9,756		71,249
Barclays PLC		47,776		179,689
BG Group PLC		9,898		131,804
BHP Billiton PLC		6,170		132,030
BP PLC		52,188		331,518
British American Tobacco PLC		5,299		288,035
BT Group PLC		23,762		147,566
Bunzl PLC		754		20,562

See Notes to Financial Statements.

44

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – (continued)
United Kingdom – (continued)
Burberry Group PLC		1,002	$	25,400
Capita PLC		1,493		25,032
Carnival PLC		415		18,746
Centrica PLC		15,622		67,264
Cobham PLC		2,571		12,897
Compass Group PLC		5,079		86,604
Croda International PLC		307		12,655
Diageo PLC		7,165		205,586
Direct Line Insurance Group PLC		3,387		15,283
Dixons Carphone PLC		2,212		15,939
easyJet PLC		358		9,244
Experian PLC		2,244		37,867
Fiat Chrysler Automobiles NV(a)		1,977		22,687
Fresnillo PLC		499		5,924
Friends Life Group, Ltd.		3,202		18,111
G4S PLC		3,504		15,086
GKN PLC		3,704		19,655
GlaxoSmithKline PLC		13,776		294,861
Hammerson PLC REIT		1,610		15,054
Hargreaves Lansdown PLC		536		8,361
HSBC Holdings PLC		53,841		509,035
ICAP PLC		1,244		8,681
IMI PLC		613		12,005
Imperial Tobacco Group PLC		2,962		129,769
Indivior PLC(a)		1,914		4,459
Inmarsat PLC		960		11,902
InterContinental Hotels Group PLC		533		21,367
Intertek Group PLC		364		13,200
Intu Properties PLC REIT		2,031		10,507
Investec PLC		1,238		10,346
ITV PLC		8,649		28,825
J Sainsbury PLC		2,801		10,653
Johnson Matthey PLC		463		24,282
Kingfisher PLC		5,351		28,209
Land Securities Group PLC REIT		1,785		31,954
Legal & General Group PLC		18,381		70,627
Liberty Global PLC(a)(d)		77		3,866
Liberty Global PLC(a)(d)		190		9,179
Lloyds Banking Group PLC(a)		163,149		192,737
London Stock Exchange Group PLC		509		17,495
Marks & Spencer Group PLC		3,686		27,226
Meggitt PLC		1,819		14,546
Melrose Industries PLC		2,420		9,962
National Grid PLC		11,077		157,978
Next PLC		350		36,932
Old Mutual PLC		11,061		32,543
Pearson PLC		1,849		34,027
Persimmon PLC		689		16,861
Petrofac, Ltd.		586		6,358
Prudential PLC		7,493		172,502
Randgold Resources, Ltd.		199		13,470
Reckitt Benckiser Group PLC		1,914		154,469
Reed Elsevier PLC		3,599		61,257
Rexam PLC		1,590		11,183
Rio Tinto PLC		3,683		169,756
Rolls-Royce Holdings PLC		5,765		77,693
Royal Bank of Scotland Group PLC(a)		5,668		34,422
Royal Dutch Shell PLC (Class A)		11,142		369,472
Royal Dutch Shell PLC (Class B)		6,974		239,684
Royal Mail PLC		1,468		9,779
RSA Insurance Group PLC(a)		2,287		15,398
SABMiller PLC		2,860		148,073
Schroders PLC		280		11,610
Segro PLC REIT		1,676		9,611
Severn Trent PLC		540		16,750
Shire PLC		1,735		122,808
Sky PLC		2,332		32,471
Smith & Nephew PLC		2,016		37,028
Smiths Group PLC		891		15,087
Sports Direct International PLC(a)		608		6,671
SSE PLC		2,990		75,094
Standard Chartered PLC		7,462		111,954
Standard Life PLC		5,398		33,268
Tate & Lyle PLC		1,052		9,886
Tesco PLC		25,031		72,869
The British Land Co. PLC REIT		2,171		26,091
The Sage Group PLC		2,476		17,863
Travis Perkins PLC		558		16,072
TUI AG(a)(d)		453		7,287
TUI AG(a)(d)		1,680		28,029
Tullow Oil PLC		2,056		13,014
Unilever PLC		3,806		154,667
United Utilities Group PLC		1,540		21,832
Vodafone Group PLC		73,894		253,300
Weir Group PLC (The)		482		13,801
Whitbread PLC		410		30,269
William Hill PLC		1,969		11,077
WM Morrison Supermarkets PLC		4,746		13,513
Wolseley PLC		601		34,228
WPP PLC		4,003		83,082
				7,111,429
United States – 0.0%(b)
Southern Copper Corp.		700		19,740
				19,740
TOTAL COMMON STOCKS (Cost $52,141,606)				48,292,777
RIGHTS – 0.0%(b)(c)
Australia – 0.0%(b)
APA Group(a)		629		–
				–
South Korea – 0.0%(b)
DGB Financial Group Inc.(a)		359		376
				376
Spain – 0.0%(b)
Banco Bilbao Vizcaya Argentaria SA(a)		15,141		1,447
Repsol SA(a)		2,301		1,273
				2,720
TOTAL RIGHTS (Cost $2,817)				3,096
SHORT TERM INVESTMENTS – 1.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(e)(f)(g) (Cost $597,024)		597,024		597,024
TOTAL INVESTMENTS – 98.9% (Cost $52,741,447)				48,892,897
Other Assets in Excess of Liabilities – 1.1%				567,014
NET ASSETS – 100.0%			$	49,459,911

See Notes to Financial Statements.

45

State Street Global Equity ex-U.S. Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

^(a)  Non-income producing security

^(b)  Amount shown represents less than 0.05% of net assets.

^(c)  Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $42,300 or 0.09% of net assets as of December 31, 2014.

^(d)  Reflects separate holdings of the issuer’s common stock traded on different securities exchanges.

^(e)  The rate shown is the annualized seven-day yield at period end.

^(f)  Affiliated Fund managed by SSGA Fund Management, Inc. See table that follows for more information.

Abbreviations
ADR	American Depositary Receipt
GDR	Global Depositary Receipt
NVDR	Non Voting Depositary Receipt
PCL	Public Company Limited
PLC	Public Limited Company
REIT	Real Estate Investment Trust

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation/ (Depreciation)
Mini MSCI EAFE Futures Contracts (long) Expiration Date 03/2015		8	$	703,160	$	(9,538	)
Mini MSCI Emerging Markets Futures Contracts (long) Expiration Date 03/2015		2		95,770		1,038
Total unrealized appreciation/(depreciation) on open futures contracts purchased					$	(8,500	)

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with SSGA FM. The Portfolio invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the period ending December 31, 2014 were as follows:

Security Description	Number of shares held at 9/17/14*		Shares purchased for the period ended 12/31/14		Shares sold for the period ended 12/31/14		Number of shares held at 12/31/14		Value at 12/31/14		Income earned for the period ended 12/31/14
State Street Institutional Liquid Reserves Fund, Premier Class		–		18,755,556		18,158,532		597,024	$	597,024	$	236

* Commencement of operations.

See Notes to Financial Statements.

46

State Street Institutional Investment Trust

Statements of Assets and Liabilities

December 31, 2014

	State Street Aggregate Bond Index Portfolio		State Street Global Equity ex-U.S. Index Portfolio
Assets
Investments in unaffiliated issuers at market value (Note 2)*	$	79,344,837	$	48,295,873
Investments in non-controlled affiliates at market value (Note 4)*		19,953,875		597,024
Total Investments*		99,298,712		48,892,897
Cash		–		156,810
Foreign currency**		–		251,274
Receivable for investment securities sold		–		596
Receivable for fund shares sold		88,220		400,936
Dividends and interest receivable		418,933		57,679
Prepaid expenses and other assets		35,271		77,499
Total assets		99,841,136		49,837,691
Liabilities
Investment securities purchased		19,754,821		161,900
Due to broker		–		121,870
Daily variation margin on futures contracts		–		8,500
Payable for fund shares repurchased		3,011		–
Deferred foreign taxes payable		–		694
Professional fees payable		26,986		25,828
Administration and custody fees payable (Note 4)		2,052		49,860
Trustee’s fees payable (Note 4)		3,750		3,750
Accrued expenses and other liabilities		6,046		5,378
Total liabilities		19,796,666		377,780
Net Assets	$	80,044,470	$	49,459,911
Net Assets Consist of:
Paid in capital	$	79,393,966	$	53,360,508
Distributions in excess of net investment income		–		(5,293	)
Accumulated net realized gain (loss) on investments		138,890		(34,790	)
Unrealized appreciation (depreciation) on investments		511,614		(3,860,514	)
Net Assets	$	80,044,470	$	49,459,911
Net asset value, offering, and redemption price per share	$	10.14	$	9.17
Shares outstanding		7,894,650		5,396,454
*Investments in unaffiliated issuers at cost (Note 2)	$	78,833,223	$	52,144,423
*Investments in non-controlled affiliates at cost (Note 4)		19,953,875		597,024
*Total Cost of Investments		98,787,098		52,741,447
**Foreign currency, at cost		–		253,165

See Notes to Financial Statements.

47

State Street Institutional Investment Trust

Statements of Operations

Period Ended December 31, 2014

	State Street Aggregate Bond Index Portfolio*			State Street Global Equity ex-U.S. Index Portfolio**
Investment Income
Interest	$	258,173		$	249
Dividend income (net of foreign taxes withheld of $0 and $22,982, respectively)		–			250,208
Total investment income		258,173			250,457
Expenses
Professional fees		26,999			25,841
Administration and custody fees (Note 4)		2,052			49,860
Trustees’ fees (Note 5)		3,750			3,750
Printing fees		2,138			2,144
Tax expense		–			7,078
Other expenses		6,949			7,102
Total expenses		41,888			95,775
Less: Expenses reimbursed (Note 4)		(35,271	)		(77,499	)
Total net expenses		6,617			18,276
Net Investment Income		251,556			232,181
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Net realized gain on investments		272,305			(5,423	)
Voluntary contribution from Adviser		25,627			7,401
Foreign currency		–			17,776
Futures contracts		–			(36,768	)
Net realized gain (loss)		297,932			(17,014	)
Net change in net unrealized appreciation/depreciation on:
Investments		511,614			(3,848,550	)
Foreign Currency		–			(3,464	)
Futures contracts		–			(8,500	)
Net change in unrealized appreciation/depreciation		511,614			(3,860,514	)
Net Increase (Decrease) in Net Assets Resulting from Operations	$	1,061,102		$	(3,645,347	)

* For the period from September 19, 2014 (commencement of operations) to December 31, 2014.

** For the period from September 17, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

48

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	State Street Aggregate Bond Index Portfolio			State Street Global Equity ex-U.S. Index  Portfolio
	For the Period 9/19/14* – 12/31/14			For the Period 9/17/14* – 12/31/14
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	251,556		$	232,181
Net realized gain (loss)		297,932			(17,014	)
Net change in net unrealized appreciation/depreciation		511,614			(3,860,514	)
Net increase (decrease) in net assets from operations		1,061,102			(3,645,347	)
Distributions From:
Net investment income		(252,366	)		(284,533	)
Net realized gain on investments		(158,232	)		–
Total distributions		(410,598	)		(284,533	)
Capital Transactions:
Proceeds from shares sold		79,369,350			53,494,038
Reinvestment of distributions		410,598			284,533
Cost of redemptions		(385,982	)		(388,780	)
Net increase in net assets from capital transactions		79,393,966			53,389,791
Net Increase in Net Assets		80,044,470			49,459,911
Net Assets
End of period	$	80,044,470		$	49,459,911
Distributions in excess of net investment income	$	–		$	(5,293	)
Share Transactions:
Proceeds from shares sold		7,892,207			5,407,432
Reinvestment of distributions		40,587			30,928
Cost of redemptions		(38,144	)		(41,906	)
Net increase in net assets from share transactions		7,894,650			5,396,454

* Commencement of operations

See Notes to Financial Statements.

49

State Street Institutional Investment Trust

Financial Highlights

	State Street Aggregate Bond Index Portfolio Period from 9/19/14* – 12/31/14			State Street Global Equity ex-U.S. Index  Portfolio Period from 9/17/14* – 12/31/14
Per Share Operating Performance:
Net asset value, beginning of period	$	10.00		$	10.00
Net investment income(a)		0.04			0.05
Net realized and unrealized gain (loss) on investments		0.16			(0.82	)
Total from investment operations		0.20			(0.77	)
Distributions from:
Net investment income		(0.04	)		(0.06	)
Net realized gain on investments		(0.02	)		–
Total distributions		(0.06	)		(0.06	)
Net increase (decrease) in net assets		0.14			(0.83	)
Net asset value, end of period	$	10.14		$	9.17
Total Investment Return(c)(d)		2.00	%(b)		(7.72	)%(b)
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	80,044		$	49,460
Ratios to average net assets:
Gross expenses(e)		0.25	%		0.73	%
Net expenses(e)		0.04	%		0.31	%
Net investment income(e)		1.52	%		1.77	%
Portfolio turnover(d)		16	%		0	%

* Commencement of operations.

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  If the Adviser had not made a voluntary contribution during the period ended 12/31/14, the total return would have decreased by less than 0.005%.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(d)  Not annualized.

^(e)  Annualized.

See Notes to Financial Statements.

50

State Street Institutional Investment Trust

Notes to Financial Statements

December 31, 2014

1. Organization

State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of thirty-five (35) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. Each Fund has registered Class C shares. Each Fund’s Class C shares were not operational at December 31, 2014. The financial statements herein relate to the following Funds:

Fund	Classes	Commencement of  Operations:
State Street Aggregate Bond Index Fund	Class A Class I Class K	September 19, 2014 September 19, 2014 September 19, 2014
State Street Global Equity ex-U.S. Index Fund	Class A Class I Class K	September 17, 2014 September 17, 2014 September 17, 2014
State Street Aggregate Bond Index Portfolio	N/A	September 19, 2014
State Street Global Equity ex-U.S. Index Portfolio	N/A	September 17, 2014

The State Street Aggregate Bond Index Portfolio and the State Street Global Equity ex-U.S. Index Portfolio are referred to as the “Portfolios.” The State Street Aggregate Bond Index Fund and the State Street Global Equity ex-U.S. Index Fund are referred to as the “Funds.” Each Fund invests as part of a “master-feeder” structure, and currently seeks to achieve its investment objective by investing substantially all of its investable assets in a corresponding Portfolio, a separate mutual fund, that has a substantially identical investment objective, investment policies, and risks as the Fund.

Feeder Fund	% Investment in Master	Master Fund
State Street Aggregate Bond Index Fund	94.27%	State Street Aggregate Bond Index Portfolio
State Street Global Equity ex-U.S. Index Fund	82.69%	State Street Global Equity ex-U.S. Index  Portfolio

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. Each Portfolio’s shares are offered exclusively to other investors (including without limitation, registered investment companies, private investment pools, bank collective funds, and investment separate accounts) that pay fees to SSGA Funds Management, Inc. (“SSGA FM”) SSGA FM or its affiliates. Class A shares of the Funds are available to the general public for investment through transaction-based financial intermediaries. Class A shares may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I and K shares are sold without a sales charge and only to certain eligible investors.

51

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Each Portfolio is permitted to invest in foreign securities. Foreign securities include securities of foreign companies and foreign governments (or agencies or subdivisions thereof). If the Portfolios’ securities are held abroad, the countries in which such securities may be held and the sub-custodian holding them must be approved by the Board of Trustees or its delegate under applicable rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In buying foreign securities, each Portfolio may convert U.S. dollars into foreign currency, but only to effect securities transactions on foreign securities exchanges and not to hold such currency as an investment.

The Funds and Portfolios are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

2. Significant Accounting Policies

The financial statements of the Funds and Portfolios are prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”), which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material. The following is a summary of the significant accounting policies consistently followed by each Fund or Portfolio in the preparation of its financial statements.

Security valuation – Each Fund records its investment in its respective Portfolio at net asset value. Each Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued at the quoted settlement price at the end of each day on the exchange upon which they are traded. Money market instruments maturing within 60 days of the valuation date are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Each Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees (the “Board”). The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

Each Portfolio has adopted provisions surrounding fair value measurements and disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the funds’ investments.

52

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

Events or circumstances affecting the values of Portfolio securities that occur between the closing of the principal markets on which they trade and the time the NAV of Portfolio shares is determined may be reflected in the Trust’s calculation of NAVs for each applicable Portfolio when the Trust deems that the particular event or circumstance would materially affect such Portfolio’s NAV. Portfolios that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Portfolios will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. Portfolios that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Portfolios that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Portfolios calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Portfolios calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) the Portfolios’ custodian or administrator determines that a market quotation is inaccurate.

Equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem Portfolio shares, since foreign securities can trade on non-business days.

53

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The following is a summary of the inputs used as of December 31, 2014, in valuing the assets carried at fair value of each Portfolio:

State Street Aggregate Bond Index Portfolio	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
INVESTMENTS:
Corporate Bonds	$	–	$	21,153,141	$	–	$	21,153,141
Foreign Government Obligations		–		1,786,253		–		1,786,253
U.S. Government Agency MBS TBA		–		18,682,082		–		18,682,082
U.S. Government Agency Obligations		–		7,372,157		–		7,372,157
U.S. Treasury Obligations		–		28,817,972		–		28,817,972
Commercial Mortgage Backed Securities		–		961,602		–		961,602
Asset Backed Securities		–		413,627		–		413,627
Municipal Bonds & Notes		–		158,003		–		158,003
Short Term Investments		19,953,875		–		–		19,953,875
TOTAL INVESTMENTS	$	19,953,875	$	79,344,837	$	–	$	99,298,712

State Street Global Equity ex-U.S. Index Portfolio	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
INVESTMENTS:
Common Stocks	$	5,426,821	$	42,865,956	$	–	$	48,292,777
Rights		3,096		–		–		3,096
Short Term Investments		597,024		–		–		597,024
TOTAL INVESTMENTS	$	6,026,941	$	42,865,956	$	–	$	48,892,897

The Funds investments in the corresponding Portfolios are valued at Level 1 of the hierarchy.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. For the period ended December 31, 2014, there were no transfers between levels.

Investment transactions – Investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets.

Investment Income – Dividend income is recorded on the ex-dividend date. Income and capital gains distributions received from the Portfolios by the Funds are recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the

54

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

cost basis of such securities. Interest income is recorded on the accrual basis. All premiums and discounts are amortized or accreted for financial reporting purposes.

Futures – The State Street Global Equity ex-U.S. Index Portfolio may enter into financial futures contracts. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired Portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2014:

Liability Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$8,500	$	8,500

55

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Transactions in derivative instruments during the period ended December 31, 2014, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$(36,768)	$	(36,768	)

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$(8,500)	$	(8,500	)

⁽¹⁾  Portfolio of Investments: Unrealized depreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

⁽²⁾  Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽³⁾  Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding during the period ended December 31, 2014 was $619,604.

Foreign Currency Translation and Foreign Investments – The accounting records of the Funds and Portfolios are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transaction on the Statements of Operations. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions.

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. governments. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.

Some foreign markets in which the Portfolios invest are considered emerging markets. Investment in these emerging markets subjects a Portfolio to a greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, higher levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market.

Mortgage Dollar Rolls – The State Street Aggregate Bond Index Portfolio may enter into mortgage dollar roll transactions with respect to mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities on a fixed date.

56

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Portfolio receives compensation as consideration for entering into the commitment to repurchase.

The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract. Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments.

Additionally, the value of such securities may change adversely before the Portfolio is able to repurchase them. There can be no assurance that the Portfolio’s use of the cash that it receives form a mortgage dollar roll will provide a return that exceeds its costs. The Portfolio’s use of to-be announced (“TBA”) mortgage dollar rolls may cause the funds to experience higher transaction costs.

Dividends and distributions – Dividends from net investment income are declared and paid at least monthly by the State Street Aggregate Bond Index Fund and the State Street Aggregate Bond Index Portfolio and annually by the State Street Global Equity ex-U.S. Index Fund and the State Street Global Equity ex-U.S. Index Portfolio. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.

Expense allocation – Certain expenses are applicable to multiple funds within the Trust. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributed to a fund are allocated among the funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the funds can otherwise be made.

Federal income taxes – Each Fund and Portfolio intends to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Funds and Portfolios will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Funds and Portfolios will not be subject to federal excise tax.

For the period ended December 31, 2014, permanent differences identified and reclassified among the components of net assets were as follows:

Fund	Paid-In Capital			Accumulated Gain (Loss)			Undistributed Net Investment Income (Loss)
State Street Aggregate Bond Index Fund	$	(196	)	$	(155,412	)	$	155,608
State Street Global Equity ex-U.S. Index Fund	$	(114	)	$	–		$	114
State Street Aggregate Bond Index Portfolio	$	–		$	(810	)	$	810
State Street Global Equity ex-U.S. Index Portfolio	$	(29,283	)	$	(17,776	)	$	47,059

These differences were primarily attributable to distribution redesignations. Net investment income (loss), net realized gains (losses), and net assets were not affected by these reclassifications.

57

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

At December 31, 2014, the Funds and Portfolios had capital loss carryovers are as follows:

Fund	Non-Expiring Short Term		Non-Expiring Long Term		Total
State Street Aggregate Bond Index Fund	$	–	$	–	$	–
State Street Global Equity ex-U.S. Index Fund	$	872	$	–	$	872
State Street Aggregate Bond Index Portfolio	$	–	$	–	$	–
State Street Global Equity ex-U.S. Index Portfolio	$	16,117	$	27,161	$	43,278

At December 31, 2014, the cost of investments and the comparison of unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:

Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Aggregate Bond Index Fund	$	74,852,980	$	623,801	$	–	$	623,801
State Street Global Equity ex-U.S. Index Fund	$	44,582,430	$	–	$	3,701,983	$	(3,701,983	)
State Street Aggregate Bond Index Portfolio	$	98,787,098	$	678,385	$	166,771	$	511,614
State Street Global Equity ex-U.S. Index Portfolio	$	52,746,752	$	758,032	$	4,611,887	$	(3,853,855	)

The tax character of distributions paid to shareholders during the period ended December 31, 2014 was as follows:

Fund	Ordinary Income		Long-Term Capital  Gain		Total
State Street Aggregate Bond Index Fund	$	385,601	$	–	$	385,601
State Street Global Equity ex-U.S. Index Fund	$	241,641	$	–	$	241,641
State Street Aggregate Bond Index Portfolio	$	410,598	$	–	$	410,598
State Street Global Equity ex-U.S. Index Portfolio	$	284,533	$	–	$	284,533

At December 31, 2014, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Capital Loss Carryover			Total
State Street Aggregate Bond Index Fund	$	–	$	–		$	–
State Street Global Equity ex-U.S. Index Fund	$	–	$	(872	)	$	(872	)
State Street Aggregate Bond Index Portfolio	$	138,890	$	–		$	138,890
State Street Global Equity ex-U.S. Index Portfolio	$	–	$	(43,278	)	$	(43,278	)

58

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Funds and Portfolios have reviewed the tax positions for open years as of December 31, 2014, and determined they did not have a liability for any unrecognized tax expenses. The Funds and Portfolios recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of December 31, 2014, the Funds’ and Portfolios’ federal tax returns for the initial year remain subject to examination by the Funds’ and Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

3. Securities Transactions

For the period ended December 31, 2014, the Portfolios had purchases and sales of investment securities (excluding short-term securities) as follows:

	U.S. Government Obligations				Other Securities
Fund	Purchases		Sales		Purchases		Sales
State Street Aggregate Bond Index Portfolio	$	68,504,109	$	42,767,865	$	57,394,072	$	4,449,816
State Street Global Equity ex-U.S. Index Portfolio	$	–	$	–	$	125,857,186	$	127,408

4. Related Party and Other Fees

The Funds and Portfolios retained SSGA FM, a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. Each Fund has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the State Street Global Equity ex-U.S. Index Fund pays the Adviser a management fee at an annual rate of 0.06% of its average daily net assets and the State Street Aggregate Bond Index Fund pays the Adviser a management fee at an annual rate of 0.03% of its average daily net assets. The Portfolios pay no investment advisory fees to SSGA FM.

SSGA FM is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse each Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency and administration fees) exceed 0.01% of average daily net assets on an annual basis. SSGA FM is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse each Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, and acquired fund fees) exceed 0.04% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the fund’s Board of Trustees.

For the period ended December 31, 2014, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.

During the period ended December 31, 2014, the Adviser made contributions of $25,627 and $7,401 to the State Street Aggregate Bond Index Portfolio and State Street Global Equity ex-US Portfolio, respectively. The contributions were made to offset market value changes and transaction costs impacting certain initial shareholders. The amounts appear as Voluntary contribution from Adviser on the Statements of Operations within the Realized and Unrealized Gain (Loss) section.

59

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Pursuant to the administration agreement, the Funds each pay a fee at an annual rate of 0.05% of the respective Fund’s net assets accrued daily to SSGA FM. During the period ended December 31, 2014, the administration fees incurred are shown on the respective Statement of Operations.

State Street is the administrator, custodian, transfer agent and dividend disbursing agent for the Portfolios. In compensation for these services, the Portfolios pay State Street an annual fee, which is included in Administration and custody fees on the Statement of Operations. The fee accrued daily and payable monthly, and is calculated as the greater of an asset-based fee or a minimum fee. The minimum fee is calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds Trust plus the number of stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee is calculated at the following rates:

Asset Levels	Annual percentage of average aggregate daily net assets
First $400 million	0.03%
Next $15 billion	0.02%
Thereafter	0.01%
Minimum annual fee	$150,000

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200 for each Fund.

The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate its distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges.

Subject to the supervision of the Board of Trustees, the Trust may engage, directly or indirectly, in financing any activities relating to shareholder account administrative and servicing functions, including without limitation making payments to Agents for one or more of the following activities: (a) answering inquiries regarding account status and history, the manner in which purchases and redemptions of each Class may be effected, and certain other matters pertaining to the Trust; (b) assisting in designating and changing dividend options, account designations and addresses; (c) providing necessary personnel and facilities to establish and maintain certain shareholder accounts and records, as requested from time to time by the Trust; (d) assisting in processing purchase and redemption transactions; (e) arranging for the wiring of funds; (f) transmitting and receiving funds in connection with orders to purchase or redeem a Class of shares; (g) verifying and guaranteeing signatures in connection with redemption orders, transfers among and changes in designated accounts; (h) providing periodic statements showing account balances and, to the extent practicable, integration of such information with other client transactions otherwise effected with or through the Agent; (i) furnishing (either separately or on an integrated basis with other reports sent by the Agent) monthly and annual statements and confirmations of all purchases

60

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

and redemptions of a Class of shares in an account; (j) transmitting proxy statements, annual reports, prospectuses and other communications from the Trust; (k) receiving, tabulating and transmitting to the Trust proxies executed with respect to special meetings of shareholders of the Trust; and (l) providing such other related services as the Trust or customers of the Agent may reasonably request.

The Funds also pay a sub-transfer agent fees at an annual rate of 0.20% of the Fund’s average daily net assets attributable to on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds and Portfolios does not receive compensation from the Funds and Portfolios for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

61

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

State Street Institutional Investment Trust:

We have audited the accompanying statements of assets and liabilities of State Street Aggregate Bond Index Fund and State Street Global Equity ex-U.S. Index Fund (collectively, the “Funds”), and State Street Aggregate Bond Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio (collectively, the “Portfolios”) (four of the series constituting the State Street Institutional Investment Trust), including the portfolios of investments of the Portfolios, as of December 31, 2014, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ and Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ and Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ and Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Aggregate Bond Index Fund, State Street Global ex-U.S. Equity Index Fund, State Street Aggregate Bond Index Portfolio and State Street Equity 500 Index Portfolio (four of the series constituting State Street Institutional Investment Trust) at December 31, 2014, and the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

March 2, 2015

62

State Street Institutional Investment Trust

Other Information

December 31, 2014

EXPENSE EXAMPLE

As a shareholder of a fund (the “Funds”), you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Class A Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,018.50	$	1.51
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	921.20	$	1.65
Class A Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,022.58	$	2.65
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	1,022.20	$	3.04

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Other Information — (continued)

December 31, 2014

* The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class A Shares’ annualized expense ratio as of December 31, 2014, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows:

State Street Aggregate Bond Index Fund**	0.52%
State Street Global Equity ex-U.S. Index Fund***	0.60%

The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 9/19/14. Hypothetical period is from 7/1/14.

*** Actual period is from commencement of operations 9/17/14. Hypothetical period is from 7/1/14.

Six Months Ended December 31, 2014

Class I Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,018.20	$	0.81
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	921.90	$	0.97
Class I Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,023.79	$	1.43
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	1,023.44	$	1.79

* The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class I Shares’ annualized expense ratio as of December 31, 2014, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows:

State Street Aggregate Bond Index Fund**	0.28%
State Street Global Equity ex-U.S. Index Fund***	0.35%

The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 9/19/14. Hypothetical period is from 7/1/14.

*** Actual period is from commencement of operations 9/17/14. Hypothetical period is from 7/1/14.

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Other Information — (continued)

December 31, 2014

Six Months Ended December 31, 2014

Class K Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Fund Return
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,019.70	$	0.26
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	922.40	$	0.41
Class K Shares	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
State Street Aggregate Bond Index Fund**	$	1,000.00	$	1,024.75	$	0.46
State Street Global Equity ex-U.S. Index Fund***	$	1,000.00	$	1,024.45	$	0.77

* The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class K Shares’ annualized expense ratio as of December 31, 2014, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows:

State Street Aggregate Bond Index Fund**	0.09%
State Street Global Equity ex-U.S. Index Fund***	0.15%

The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 9/19/14. Hypothetical period is from 7/1/14.

*** Actual period is from commencement of operations 9/17/14. Hypothetical period is from 7/1/14.

Six Months Ended December 31, 2014

	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Portfolio Return
State Street Aggregate Bond Index Portfolio**	$	1,000.00	$	1,020.00	$	0.12
State Street Global Equity ex-U.S. Index Portfolio***	$	1,000.00	$	922.80	$	0.36
Based on Hypothetical (5% return before expenses)
State Street Aggregate Bond Index Portfolio**	$	1,000.00	$	1,025.00	$	0.20
State Street Global Equity ex-U.S. Index Portfolio***	$	1,000.00	$	1,024.55	$	0.66

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Other Information — (continued)

December 31, 2014

* The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized expense ratio for the six months ended December 31, 2014 was as follows:

State Street Aggregate Bond Index Portfolio	0.04%
State Street Global Equity ex-U.S. Index Portfolio	0.13%

The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 9/19/14. Hypothetical period is from 7/1/14.

*** Actual period is from commencement of operations 9/17/14. Hypothetical period is from 7/1/14.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal period ended December 31, 2014, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. These amounts are noted below:

Fund	Amount
State Street Global Equity ex-U.S. Index Fund	$	172,978
State Street Global Equity ex-U.S. Index Portfolio	$	236,275

The amount which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:

Fund	Foreign Taxes		Foreign Source Income
State Street Global Equity ex-U.S. Index Portfolio	$	20,293	$	273,190
State Street Global Equity ex-U.S. Index Fund	$	18,524	$	249,373

This information and distribution reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2014.

Complete information will be computed and reported in conjunction with your 2014 Form 1099-DIV.

At December 31, 2014, the State Street Global Equity ex-U.S. Index Fund had foreign tax credits in the amount of $18,524 and the State Street Global Equity ex-U.S. Index Portfolio had foreign tax credits in the amount of $20,293.

Proxy Voting Policies and Procedures and Record

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the U.S. Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at

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Other Information — (continued)

December 31, 2014

www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Advisory Agreement Renewal

TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS¹

Overview of the Contract Review Process

Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser or sub-adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on March 20, 2014, April 14, 2014 and June 19, 2014 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the initial approval an investment agreement and sub-advisory agreement for certain Funds and, for certain funds, the continuation of the investment advisory agreement and sub-advisory agreements, as applicable, with SSgA Funds Management, Inc. (the “Adviser”), and, for certain funds, CBRE Clarion Securities, LLC (the “Sub-Adviser”) (the “Advisory Agreements”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. Such information included, among other things, the following:

Information about Performance, Expenses and Fees

• A report prepared by an independent provider of investment company data, which includes for each Fund:

^¡   Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended March 31, 2014, as applicable, to the performance of an appropriate

¹  Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.

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Other Information — (continued)

December 31, 2014

Advisory Agreement Renewal — (continued)

benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies;

^¡   Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent data provider;

^¡   A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and

^¡   Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

• Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and

• Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”).

Information about Portfolio Management

• Descriptions of the investment management services provided by the Adviser and Sub-Adviser, as applicable, including their investment strategies and processes;

• Information concerning the allocation of brokerage and the benefits received by the Adviser and Sub-Adviser, as applicable, as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and

• Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes.

Information about the Adviser

• Reports detailing the financial results and condition of the Sub-Adviser, and Adviser and its affiliates;

• Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds;

• A copy of each Code of Ethics adopted by the Adviser and Sub-Adviser, together with information relating to compliance with and the administration of such Codes;

• A copy of the Adviser’s and Sub-Adviser’s proxy voting policies and procedures;

• Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and

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State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014

Advisory Agreement Renewal — (continued)

• A description of the business continuity and disaster recovery plans of the Adviser and Sub-Adviser.

Other Relevant Information

• Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers;

• Copies of the Advisory Agreements, Sub-Advisory Agreements and agreements with other service providers of the Funds;

• Draft responses to letter dated February 23, 2014 from Joseph P. Barri, LLC (counsel to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of:

^¡   The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year;

^¡   State Street Bank and Trust Company (“State Street”), the administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Funds, with respect to its operations relating to the Funds; and

^¡   State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1;

• Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated February 23, 2014 from Joseph P. Barri, LLC prior to the Executive Session of the Board on June 19, 2014.

• Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended December 31, 2013, including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year December 31, 2013;

• Lipper materials dated March 2014, obtained by an Independent Trustee and circulated to the other Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and

• A summary of the foregoing materials prepared by Independent Counsel.

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State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014

Advisory Agreement Renewal — (continued)

In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.

The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.

Results of the Process

Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on June 19, 2014 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of, as applicable, the Advisory Agreements and Sub-Advisory Agreements effective July 1, 2014, for an additional year with respect to all Funds.

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreements and Sub-Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser and Sub-Adviser, as applicable.

The Board considered the Adviser’s and Sub-Adviser’s, as applicable, management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser and Sub-Adviser, as applicable, in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of each Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.

The Board reviewed the compliance programs of the Adviser, Sub-Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading,

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Other Information — (continued)

December 31, 2014

Advisory Agreement Renewal — (continued)

frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and Sub-Adviser, as applicable, can be expected to continue to provide, high quality investment management and related services for the Funds.

Fund Performance

The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended March 31, 2014.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. The Board also considered the fees that Adviser pays to the Sub-Adviser for its services to the applicable Funds.

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.

Profitability

The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.

The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.

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Other Information — (continued)

December 31, 2014

Advisory Agreement Renewal — (continued)

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.

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State Street Institutional Investment Trust

Trustees and Officers Information

December 31, 2014

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.

73

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Master Funds; Trustee SSGA Funds

74

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund  Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 – 2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company Channel Center Building One Iron Street, 9th Floor Boston, MA 02210 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*

75

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers: (continued)
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company Channel Center Building One Iron Street, 9th Floor Boston, MA 02210 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc.( June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

76

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator of the Index Funds

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Administrator and Transfer Agent of the Index Portfolios

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Public Registered Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent of the Index Funds

Boston Financial Data Services

Two Heritage Drive

North Quincy, MA 02171

Distributor

State Street Global Markets LLC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 SSITCOREAR IBG-14267

Annual Report

31 December 2014

State Street Institutional Investment Trust

State Street Clarion Global Real Estate Income Fund

State Street Clarion Global Real Estate Income Fund

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2014
Common Stocks	99.3	%
Money Market Fund	0.6
Other Assets in Excess of Liabilities	0.1
Total	100.0	%

Top Five Sectors (excluding short-term investments)*	December 31, 2014
REITS-Diversified	27.0	%
REITS-Shopping Centers	19.7
REITS-Office Property	11.0
REITS-Health Care	10.2
REITS-Regional Malls	9.5
Total	77.4	%

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

1

State Street Clarion Global Real Estate Income Fund

Portfolio of Investments

December 31, 2014

Security Description	Shares		Value
COMMON STOCKS – 99.3%
Australia – 7.1%
Federation Centres REIT		35,400	$	82,586
GPT Group (The) REIT		7,400		26,206
Investa Office Fund REIT		19,500		57,734
Mirvac Group REIT		24,600		35,612
Scentre Group REIT(a)		32,600		92,921
Westfield Corp. REIT(a)		11,100		81,348
				376,407
Canada – 3.0%
Calloway Real Estate Investment Trust REIT		1,700		40,069
H&R REIT		2,600		48,779
RioCan REIT		3,100		70,738
				159,586
France – 3.9%
Gecina SA REIT		200		25,032
Mercialys SA REIT		3,500		78,071
Unibail-Rodamco SE REIT		400		103,023
				206,126
Hong Kong – 2.9%
Hongkong Land Holdings, Ltd.		7,000		47,115
The Link REIT		16,900		105,384
				152,499
Japan – 7.2%
Activia Properties, Inc. REIT		6		52,134
Japan Real Estate Investment Corp. REIT		11		52,888
Japan Retail Fund Investment Corp. REIT		44		92,700
Kenedix Office Investment Corp. REIT		11		61,693
Nippon Prologis REIT, Inc.		29		62,810
United Urban Investment Corp. REIT		39		61,200
				383,425
Netherlands – 3.3%
Corio NV REIT		2,100		102,485
Eurocommercial Properties NV		1,100		46,662
Vastned Retail NV REIT		600		27,105
				176,252
Singapore – 1.8%
CapitaCommercial Trust REIT		70,500		93,289
Sweden – 0.4%
Castellum AB		1,500		23,301
United Kingdom – 7.3%
Hammerson PLC REIT		11,926		111,513
Intu Properties PLC REIT		6,692		34,620
Land Securities Group PLC REIT		4,598		82,310
Segro PLC REIT		9,000		51,611
The British Land Co. PLC REIT		9,000		108,163
				388,217
United States – 62.4%
American Campus Communities, Inc. REIT		1,400		57,904
American Realty Capital Properties, Inc. REIT		10,500		95,025
AvalonBay Communities, Inc. REIT		400		65,356
BioMed Realty Trust, Inc. REIT		2,400		51,696
Boston Properties, Inc. REIT		900		115,821
Brandywine Realty Trust REIT		4,400		70,312
Brixmor Property Group, Inc. REIT		2,700		67,068
CBL & Associates Properties, Inc. REIT		3,400		66,028
Digital Realty Trust, Inc. REIT		1,440		95,472
Douglas Emmett, Inc. REIT		1,500		42,600
Duke Realty Corp. REIT		3,500		70,700
EPR Properties REIT		900		51,867
Equity Residential REIT		2,200		158,048
General Growth Properties, Inc. REIT		3,600		101,268
HCP, Inc. REIT		3,300		145,299
Health Care REIT, Inc.		2,700		204,309
Healthcare Realty Trust, Inc. REIT		2,500		68,300
Highwoods Properties, Inc. REIT		1,200		53,136
Home Properties, Inc. REIT		800		52,480
Hospitality Properties Trust REIT		1,700		52,700
Host Hotels & Resorts, Inc. REIT		4,000		95,080
Kimco Realty Corp. REIT		4,300		108,102
LaSalle Hotel Properties REIT		700		28,329
Liberty Property Trust REIT		2,400		90,312
Paramount Group, Inc. REIT(a)		2,500		46,475
Post Properties, Inc. REIT		600		35,262
ProLogis, Inc. REIT		3,100		133,393
Public Storage, Inc. REIT		400		73,940
Ramco-Gershenson Properties Trust REIT		3,800		71,212
Regency Centers Corp. REIT		800		51,024
Retail Properties of America, Inc. REIT		3,300		55,077
Senior Housing Properties Trust REIT		2,100		46,431
Simon Property Group, Inc. REIT		1,350		245,849
Spirit Realty Capital, Inc. REIT		7,900		93,931
Strategic Hotels & Resorts, Inc. REIT(a)		2,800		37,044
Sun Communities, Inc. REIT		900		54,414
The Macerich Co. REIT		1,100		91,751
UDR, Inc. REIT		3,000		92,460
Ventas, Inc. REIT		1,100		78,870
Vornado Realty Trust REIT		900		105,939
				3,320,284
TOTAL COMMON STOCKS (Cost $4,965,327)				5,279,386
MONEY MARKET FUND – 0.6%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(b) (Cost $35,023)		35,023		35,023
TOTAL INVESTMENTS – 99.9% (Cost $5,000,350)				5,314,409
Other Assets in Excess of Liabilities – 0.1%				3,219
NET ASSETS – 100.0%			$	5,317,628

^(a)  Non-income producing security

^(b)  Affiliated Fund managed by SSGA Fund Management, Inc. See table that follows for more information.

Abbreviations
PLC	Public Limited Company
REIT	Real Estate Investment Trust

See Notes to Financial Statements.

2

State Street Clarion Global Real Estate Income Fund

Portfolio of Investments — (continued)

December 31, 2014

Affiliates Table

Certain investments made by the Fund were made in securities affiliated with SSGA FM. The Fund invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the period ending December 31, 2014 were as follows:

Security Description	Number of shares held at 10/9/14*		Shares purchased for the period ended 12/31/14		Shares sold for the period ended 12/31/14		Number of shares held at 12/31/14		Value at 12/31/14		Income earned for the period ended 12/31/14
State Street Institutional
Liquid Reserves Fund, Premier Class		–		5,251,651		5,216,628		35,023	$	35,023	$	64

* Commencement of operations.

See Notes to Financial Statements.

3

State Street Clarion Global Real Estate Income Fund

Statement of Assets and Liabilities

December 31, 2014

Assets
Investments in securities of unaffiliated issuers, at value*	$	5,279,386
Investments in securities of affiliated issuers, at value*		35,023
Total Investments*		5,314,409
Foreign currency, at value**		216
Receivable for investments sold		63,201
Dividends receivable		23,703
Receivable for foreign taxes recoverable		417
Receivable from Adviser (Note 4)		59,672
Total assets		5,461,618
Liabilities
Payable for investments purchased		82,860
Advisory fees payable (Note 4)		10,140
Administration fees payable (Note 4)		597
Custodian fees payable (Note 4)		8,209
Sub-Transfer Agent fee payable (Note 4)		2,386
Distribution fees payable (Note 4)		1,491
Trustees’ fees payable		3,750
Registration and filing fees payable		6,871
Professional fees payable		17,929
Transfer agent fees payable		5,002
Accrued expenses and other liabilities		4,755
Total liabilities		143,990
Net Assets	$	5,317,628
Net Assets Consist of:
Paid-in capital	$	5,000,000
Distributions in excess of net investment income		(22,764	)
Accumulated net realized gain		26,380
Net unrealized appreciation on investments		314,012
Net Assets	$	5,317,628
Class A
Net Assets	$	2,658,976
Shares of beneficial interest outstanding		250,000
Net asset value and redemption price per share	$	10.64
Maximum Sales Charge		5.25	%
Maximum offering price per share	$	11.23
Class I
Net Assets	$	2,658,652
Shares of beneficial interest outstanding		250,000
Offering, net asset value, and redemption price per share	$	10.63
* Investments in securities of unaffiliated issuers, at cost	$	4,965,327
* Investments in securities of affiliated issuers, at cost		35,023
* Investments in securities, at cost	$	5,000,350
** Foreign currency, at cost	$	215

See Notes to Financial Statements.

4

State Street Clarion Global Real Estate Income Fund

Statement of Operations

Period Ended December 31, 2014*

Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $4,067)	$	38,810
Dividend income – non-controlled affiliated issuer		64
Total Investment Income		38,874
Expenses
Advisory fees (Note 4)		10,140
Administration fees (Note 4)		347
Custodian fees (Note 4)		8,209
Sub-Transfer Agent fee (Note 4) Class A		1,193
Class I		1,193
Distribution fees (Note 4)
Class A		1,491
Trustees’s fees and expenses		3,750
Registration and filing fees		7,408
Professional fees		17,929
Transfer agent fees (Note 4)		5,002
Printing fees		14,528
Other expenses		4,885
Total expenses		76,075
Less: Expenses reimbursed by the Adviser (Note 4)		(59,672	)
Net expenses		16,403
Net Investment Income		22,471
Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments		36,794
Foreign currency transactions		2,201
Net realized gain		38,995
Change in net unrealized appreciation/depreciation on:
Investments		314,059
Foreign currency transactions		(47	)
Net change in unrealized appreciation/depreciation		314,012
Net realized and unrealized gain		353,007
Net Increase (Decrease) in Net Assets Resulting from Operations	$	375,478

* For the period from October 9, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

5

State Street Clarion Global Real Estate Income Fund

Statement of Changes in Net Assets

	Period Ended December 31, 2014*
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	22,471
Net realized gain on investments and foreign currency transactions		38,995
Change in net unrealized appreciation on investments and foreign currency transactions		314,012
Net increase in net assets from operations		375,478
Distributions to Shareholders from:
Net investment income
Class A		(26,325	)
Class I		(28,175	)
Net realized gain on investments
Class A		(1,675	)
Class I		(1,675	)
Total distributions		(57,850	)
Net Increase (Decrease) from Fund Share Transactions:
Class A
Shares sold		2,500,000
Class I
Shares sold		2,500,000
Net increase from fund share transactions		5,000,000
Net Increase in Net Assets		5,317,628
Net Assets
End of period	$	5,317,628
Distributions in excess of net investment income	$	(22,764	)
Changes in Shares:
Class A
Shares sold		250,000
Class I
Shares sold		250,000

* For the period from October 9, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

6

State Street Clarion Global Real Estate Income Fund

Financial Highlights

Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:

	Period from 10/9/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00
Investment Operations:
Net investment income(a)		0.04
Net realized and unrealized gain on investments		0.72
Total from investment operations		0.76
Less Distributions From:
Net investment income		(0.11	)
Net realized gains		(0.01	)
Total distributions		(0.12	)
Net increase in net assets		0.64
Net Asset Value, End of Period	$	10.64
Total Return(b)(c)		7.52	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	2,659
Ratios to average net assets:
Gross expenses(d)		6.51	%
Net expenses(d)		1.50	%
Net investment income(d)		1.76	%
Portfolio turnover rate(c)		11	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(c)  Not annualized.

^(d)  Annualized.

See Notes to Financial Statements.

7

State Street Clarion Global Real Estate Income Fund

Financial Highlights

Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:

	Period from 10/9/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00
Investment Operations:
Net investment income(a)		0.05
Net realized and unrealized gain on investments		0.70
Total from investment operations		0.75
Less Distributions From:
Net investment income		(0.11	)
Net realized gains		(0.01	)
Total distributions		(0.12	)
Net increase in net assets		0.63
Net Asset Value, End of Period	$	10.63
Total Return(b)(c)		7.49	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	2,659
Ratios to average net assets:
Gross expenses(d)		6.26	%
Net expenses(d)		1.25	%
Net investment income(d)		2.01	%
Portfolio turnover rate(c)		11	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results.

^(c)  Not annualized.

^(d)  Annualized.

See Notes to Financial Statements.

8

State Street Institutional Investment Trust

Notes to Financial Statements

December 31, 2014

1. Organization

State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of thirty-five (35) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. State Street Global Real Estate Income Fund (the “Fund”) has registered Class C and Class K Shares. The Fund’s Class C and Class K Shares were not operational at December 31, 2014. The financial statements herein relate to the following Fund:

Fund	Classes	Commencement of  Operations:
State Street Clarion Global	Class A	October 9, 2014
Real Estate Income Fund	Class I	October 9, 2014

The investment objective of the Fund is to seek total return with an emphasis on income. SSGA FM serves as the investment adviser and CBRE Clarion Securities LLC serves as the subadviser. Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a 5.25% sales charge (as a percentage of offering price) and may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I shares are sold without a sales charge and only to certain eligible investors.

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

2. Significant Accounting Policies

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted accounting principles in the United States of America (“U.S. GAAP”), which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security valuation – Investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Securities for which market quotations are not readily available may be valued at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees (the “Board”). The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

9

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Fund has adopted provisions surrounding fair value measurements and disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Fund’s investments.

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the Trust’s calculation of NAVs for each applicable Fund when the Trust deems that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Funds that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) the Funds’ custodian or administrator determines that a market quotation is inaccurate.

Equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem Fund shares, since foreign securities can trade on non-business days.

10

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The following is a summary of the inputs used as of December 31, 2014, in valuing the assets carried at fair value of the Fund:

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
INVESTMENTS:
Common Stocks	$	3,582,893	$	1,696,493	$	–	$	5,279,386
Money Market Fund		35,023		–		–		35,023
TOTAL INVESTMENTS	$	3,617,916	$	1,696,493	$	–	$	5,314,409

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the year. For the period ended December 31, 2014, there were no transfers between levels.

Investment transactions – Investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets. The Fund invests in Real Estate Investment Trusts (REITs). REITs will determine the characterization of their income annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT distributions as dividend income initially and re-designate the prior calendar year’s return of capital or capital gain distributions at year end.

REITs owned at December 31, 2014, if any, are identified in the Schedule of Investments.

Investment Income – Dividend income is recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. Interest income is recorded on the accrual basis.

Foreign currency translation and foreign investments – The accounting records of the Fund is maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transaction on the Statements of Operations. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions.

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. governments. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the

11

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.

Some foreign markets in which the Fund invests are considered emerging markets. Investment in these emerging markets subjects the Fund to a greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, higher levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market.

Dividends and distributions – Dividends from net investment income are declared and paid quarterly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in foreign denominated investments, REITs, wash sales and investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.

Expense allocation – Certain expenses are applicable to multiple funds within the Trust. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributed to a fund are allocated among the funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the funds can otherwise be made.

Federal income taxes – The Fund intends to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Fund will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Fund will not be subject to federal excise tax.

For the period ended December 31, 2014, permanent differences identified and reclassified among the components of net assets were as follows:

Fund	Paid-In Capital		Accumulated Gain (Loss)			Undistributed Net Investment Income (Loss)
State Street Clarion Global Real Estate Income Fund	$	–	$	(9,265	)	$	9,265

These differences were primarily attributable to distribution redesignations, foreign currency gains and losses and passive foreign investment companies. Net investment income (loss), net realized gains (losses), and net assets were not affected by this reclassification.

At December 31, 2014, the Fund had no capital loss carryovers.

12

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

At December 31, 2014, the cost of investments and the comparison of unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:

Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Clarion Global Real Estate Income Fund	$	5,023,114	$	341,241	$	49,946	$	291,295

The tax character of distributions paid to shareholders during the period ended December 31, 2014 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total
State Street Clarion Global Real Estate Income Fund	$	57,400	$	450	$	57,850

At December 31, 2014, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Undistributed Capital Gains		Unrealized Appreciation (Depreciation)		Total
State Street Clarion Global Real Estate Income Fund	$	19,379	$	7,001	$	291,248	$	317,628

The Fund has reviewed the tax positions for open years as of December 31, 2014, and determined they did not have a liability for any unrecognized tax expenses. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2014, the Fund’s federal tax returns for the initial year remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

3. Securities Transactions

For the period ended December 31, 2014, purchases and sales of the Fund shares were:

Fund	Purchases		Sales
State Street Clarion Global Real Estate Income Fund	$	5,534,965	$	594,996

4. Related Party and Other Fees

The Fund retained SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as its investment adviser. The Fund has entered into an investment advisory agreement with the Adviser. In compensation for the Adviser’s services, the Fund pays the Adviser a management fee at an annual rate of 0.85% of its average daily net assets.

The Adviser has entered into a sub-advisory agreement with the CBRE Clarion Securities LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser will be responsible for the day-to-day management

13

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

of any assets of the Fund. The Sub-Adviser receives fees from the Adviser for its services provided to the Fund.

The Adviser, is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, and distribution, shareholder servicing, and sub-transfer agency fees) exceed 1.05% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Fund’s Board of Trustees.

For the period ended December 31, 2014, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, are shown on the Statement of Operations.

State Street is the administrator, custodian, transfer agent and dividend disbursing agent for the Fund. In compensation for these services, the Fund pays State Street an annual fee, which is included in Administration fees on the Statement of Operations. The fee is accrued daily and payable monthly, and is calculated as the greater of an asset-based fee or a minimum fee. The minimum fee is calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds Trust plus the number of stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee is calculated at the following rates:

Asset Levels	Annual percentage  of average aggregate daily net assets
First $400 million	0.03%
Next $15 billion	0.02%
Thereafter	0.01%
Minimum annual fee	$150,000

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200 for the Fund.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate its distributor (State Street Global Markets LLC or “SSGM”) (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges. In addition to payments under the Plan, the Fund may reimburse SSGM or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.

Subject to the supervision of the Board of Trustees, the Trust may engage, directly or indirectly, in financing any activities relating to shareholder account administrative and servicing functions, including

14

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

without limitation making payments to Agents for one or more of the following activities: (a) answering inquiries regarding account status and history, the manner in which purchases and redemptions of each Class may be effected, and certain other matters pertaining to the Trust; (b) assisting in designating and changing dividend options, account designations and addresses; (c) providing necessary personnel and facilities to establish and maintain certain shareholder accounts and records, as requested from time to time by the Trust; (d) assisting in processing purchase and redemption transactions; (e) arranging for the wiring of funds; (f) transmitting and receiving funds in connection with orders to purchase or redeem a Class of shares; (g) verifying and guaranteeing signatures in connection with redemption orders, transfers among and changes in designated accounts; (h) providing periodic statements showing account balances and, to the extent practicable, integration of such information with other client transactions otherwise effected with or through the Agent; (i) furnishing (either separately or on an integrated basis with other reports sent by the Agent) monthly and annual statements and confirmations of all purchases and redemptions of a Class of shares in an account; (j) transmitting proxy statements, annual reports, prospectuses and other communications from the Trust; (k) receiving, tabulating and transmitting to the Trust proxies executed with respect to special meetings of shareholders of the Trust; and (l) providing such other related services as the Trust or customers of the Agent may reasonably request.

The Fund also pays a sub-transfer agent fees of 0.20% on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by Financial intermediaries.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Fund does not receive compensation from the Fund for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

15

State Street Clarion Global Real Estate Income Fund

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

State Street Institutional Investment Trust:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of State Street Clarion Global Real Estate Income Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2014, and the related statement of operations, statement of changes in net assets, and the financial highlights for the period from October 9, 2014 (commencement of operations) to December 31, 2014. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Clarion Global Real Estate Income Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period from October 9, 2014 (commencement of operations) to December 31, 2014, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

March 2, 2015

16

State Street Institutional Investment Trust

Other Information

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE

As a shareholder of a fund, you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended December 31, 2014

	Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During Period *
Based on Actual Class Return
Class A**	$	1,000.00	$	1,075.20	$	3.54
Class I**	$	1,000.00	$	1,074.90	$	2.95
Based on Hypothetical (5% return before expenses)
Class A**	$	1,000.00	$	1,017.64	$	7.63
Class I**	$	1,000.00	$	1,018.90	$	6.36

* The calculations are based on expenses incurred in the most recent fiscal period of each Class. The Class A Shares and Class I Shares annualized expense ratios for the six months ended December 31, 2014 were 1.50% and 1.25%, respectively. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

** Actual period is from commencement of operations 10/9/14. Hypothetical period is from 7/1/14.

17

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Proxy Voting Policies and Procedures and Record

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the U.S. Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Tax Information

Long term capital gains dividends were paid from the following Fund during the period ended December 31, 2014:

Fund	Amount
State Street Clarion Global Real Estate Income Fund	$450

Advisory Agreement Renewal

TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS¹

Overview of the Contract Review Process

Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser or sub-adviser may continue in effect from year to year only if its continuance

¹  Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.

18

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on March 20, 2014, April 14, 2014 and June 19, 2014 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the initial approval an investment agreement and sub-advisory agreement for certain Funds and, for certain funds, the continuation of the investment advisory agreement and sub-advisory agreements, as applicable, with SSgA Funds Management, Inc. (the “Adviser”), and, for certain funds, CBRE Clarion Securities, LLC (the “Sub-Adviser”) (the “Advisory Agreements”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. Such information included, among other things, the following:

Information about Performance, Expenses and Fees

• A report prepared by an independent provider of investment company data, which includes for each Fund:

• Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended March 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies;

• Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent data provider;

• A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and

• Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

• Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and

• Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”).

Information about Portfolio Management

• Descriptions of the investment management services provided by the Adviser and Sub-Adviser, as applicable, including their investment strategies and processes;

19

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

• Information concerning the allocation of brokerage and the benefits received by the Adviser and Sub-Adviser, as applicable, as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and

• Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes.

Information about the Adviser

• Reports detailing the financial results and condition of the Sub-Adviser, and Adviser and its affiliates;

• Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds;

• A copy of each Code of Ethics adopted by the Adviser and Sub-Adviser, together with information relating to compliance with and the administration of such Codes;

• A copy of the Adviser’s and Sub-Adviser’s proxy voting policies and procedures;

• Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and

• A description of the business continuity and disaster recovery plans of the Adviser and Sub-Adviser.

Other Relevant Information

• Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers;

• Copies of the Advisory Agreements, Sub-Advisory Agreements and agreements with other service providers of the Funds;

• Draft responses to letter dated February 23, 2014 from Joseph P. Barri, LLC (counsel to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of:

• The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year;

• State Street Bank and Trust Company (“State Street”), the administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Funds, with respect to its operations relating to the Funds; and

20

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

• State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1;

• Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated February 23, 2014 from Joseph P. Barri, LLC prior to the Executive Session of the Board on June 19, 2014.

• Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended December 31, 2013, including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year December 31, 2013;

• Lipper materials dated March 2014, obtained by an Independent Trustee and circulated to the other Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and

• A summary of the foregoing materials prepared by Independent Counsel.

In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.

The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.

Results of the Process

Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on June 19, 2014 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of, as applicable, the Advisory Agreements and Sub-Advisory Agreements effective July 1, 2014, for an additional year with respect to all Funds.

21

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreements and Sub-Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser and Sub-Adviser, as applicable.

The Board considered the Adviser’s and Sub-Adviser’s, as applicable, management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser and Sub-Adviser, as applicable, in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of each Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.

The Board reviewed the compliance programs of the Adviser, Sub-Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and Sub-Adviser, as applicable, can be expected to continue to provide, high quality investment management and related services for the Funds.

Fund Performance

The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended March 31, 2014.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered

22

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Advisory Agreement Renewal — (continued)

the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. The Board also considered the fees that Adviser pays to the Sub-Adviser for its services to the applicable Funds.

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.

Profitability

The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.

The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.

23

State Street Institutional Investment Trust

Trustees and Officers Information

December 31, 2014 (Unaudited)

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co- Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co- Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co- Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1942	Trustee and Co- Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.

24

State Street Institutional Investment Trust

Trustees and Officers Information — (continued)

December 31, 2014 (Unaudited)

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1945	Trustee and Co- Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1948	Trustee and Co- Chairman of the Qualified Legal and Compliance Committee and Co- Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1943	Trustee and Co- Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Master Funds; Trustee SSGA Funds
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1940	Trustee and Co- Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 – 2007).

25

State Street Institutional Investment Trust

Trustees and Officers Information — (continued)

December 31, 2014 (Unaudited)

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116      YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*

26

State Street Institutional Investment Trust

Trustees and Officers Information — (continued)

December 31, 2014 (Unaudited)

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers: (continued)
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116      YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111      YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc.( June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116      YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116      YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

27

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Investment Sub-Adviser

CBRE Clarion Securities LLC

201 King of Prussia Road, Suite

600 Radnor, PA 19087

Custodian and Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Public Registered Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

Boston Financial Data Services

Two Heritage Drive

North Quincy, MA 02171

Distributor

State Street Global Markets LLC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206   IBG-14280 SSITCLARAR

Annual Report

31 December 2014

State Street Institutional Investment Trust

State Street Target Retirement Fund

State Street Target Retirement 2015 Fund

State Street Target Retirement 2020 Fund

State Street Target Retirement 2025 Fund

State Street Target Retirement 2030 Fund

State Street Target Retirement 2035 Fund

State Street Target Retirement 2040 Fund

State Street Target Retirement 2045 Fund

State Street Target Retirement 2050 Fund

State Street Target Retirement 2055 Fund

State Street Target Retirement 2060 Fund

State Street Institutional Investment Trust

Target Retirement Funds

Annual Report

December 31, 2014

Table of Contents

Portfolio Summaries	1
Portfolios of Investments	5
Statements of Assets and Liabilities	16
Statements of Operations	19
Statements of Changes in Net Assets	22
Financial Highlights	25
Notes to Financial Statements	34
Report of Independent Registered Public Accounting Firm	45
Shareholder Expense Example	46
Tax Information	51
Proxy Information	51
Quarterly Portfolio Schedule	51
Advisory Agreement Renewal	51
Trustee and Officers Information	57

State Street Target Retirement Series (Unaudited)

Portfolio Summaries

The Retirement Fund, Target Retirement 2015 Fund, Target Retirement 2020 Fund, Target Retirement 2025 Fund, Target Retirement 2030 Fund, Target Retirement 2035 Fund, Target Retirement 2040 Fund, Target Retirement 2045 Fund, Target Retirement 2050 Fund, Target Retirement 2055 Fund and Target Retirement 2060 Fund are referred to collectively as the (“Target Retirement Funds” or the “Funds”).

SSGA Management, Inc. (“SSGA FM” or the “Adviser”) invests each Target Retirement Fund into underlying funds according to a proprietary asset allocation strategy. Each Fund’s name refers to the approximate retirement year of the investors for whom the Fund’s asset allocation strategy is intended. As the target date for a Fund approaches, the Adviser will adjust the asset allocation and risk profile of the Fund – its glide path – to a what is generally seen to be a more conservative approach to reduce (but not eliminate) risk by increasing the allocation to asset classes that have historically been subject to lower levels of volatility. For example, a Fund with a target retirement date far into the future will typically invest a greater portion of its assets in asset classes with higher risk profiles and the potential for higher returns than a Fund that is intended for investors who are in their retirement years.

State Street Target Retirement Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	19.6	%
Domestic Fixed Income Funds	64.4	%
International Equity Funds	9.9	%
Real Estate Funds	4.9	%
Short Term Funds	0.2	%
Other Assets in Excess of Liabilities	1.0	%
	100.0	%

State Street Target Retirement 2015 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	27.0	%
Domestic Fixed Income Funds	52.1	%
International Equity Funds	14.9	%
Real Estate Funds	4.9	%
Short Term Funds	0.1	%
Other Assets in Excess of Liabilities	1.0	%
	100.0	%

1

State Street Target Retirement 2020 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	35.9	%
Domestic Fixed Income Funds	39.8	%
International Equity Funds	21.3	%
Real Estate Funds	2.4	%
Short Term Funds	0.2	%
Other Assets in Excess of Liabilities	0.4	%
	100.0	%

State Street Target Retirement 2025 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	42.8	%
Domestic Fixed Income Funds	30.4	%
International Equity Funds	26.3	%
Short Term Funds	0.2	%
Other Assets in Excess of Liabilities	0.3	%
	100.0	%

State Street Target Retirement 2030 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	47.2	%
Domestic Fixed Income Funds	22.8	%
International Equity Funds	29.2	%
Short Term Funds	0.4	%
Other Assets in Excess of Liabilities	0.4	%
	100.0	%

State Street Target Retirement 2035 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	50.9	%
Domestic Fixed Income Funds	16.8	%
International Equity Funds	31.6	%
Short Term Funds	0.4	%
Other Assets in Excess of Liabilities	0.3	%
	100.0	%

2

State Street Target Retirement 2040 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	53.6	%
Domestic Fixed Income Funds	11.7	%
International Equity Funds	33.5	%
Short Term Funds	0.7	%
Other Assets in Excess of Liabilities	0.5	%
	100.0	%

State Street Target Retirement 2045 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	54.4	%
Domestic Fixed Income Funds	9.8	%
International Equity Funds	33.8	%
Short Term Funds	1.1	%
Other Assets in Excess of Liabilities	0.9	%
	100.0	%

State Street Target Retirement 2050 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	53.4	%
Domestic Fixed Income Funds	9.6	%
International Equity Funds	33.2	%
Short Term Funds	1.1	%
Other Assets in Excess of Liabilities	2.7	%
	100.0	%

State Street Target Retirement 2055 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	53.4	%
Domestic Fixed Income Funds	9.6	%
International Equity Funds	33.2	%
Short Term Funds	1.1	%
Other Assets in Excess of Liabilities	2.7	%
	100.0	%

3

State Street Target Retirement 2060 Fund

Asset Allocation as of December 31, 2014 (as a percentage of Net Assets)

Domestic Equity Funds	53.5	%
Domestic Fixed Income Funds	9.6	%
International Equity Funds	33.3	%
Short Term Funds	1.1	%
Other Assets in Excess of Liabilities	2.5	%
	100.0	%

4

State Street Target Retirement Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 98.8%
Domestic Equity – 19.6%
SPDR Russell Small Cap Completeness ETF		890	$	75,098
State Street Equity 500 Index II Portfolio		37,233		392,859
				467,957
Domestic Fixed Income – 64.4%
SPDR Barclays 1-10 Year TIPS ETF		22,381		426,582
SPDR Barclays High Yield Bond ETF		4,317		166,679
SPDR Barclays Short Term Corporate Bond ETF		3,128		95,686
SPDR Barclays Short Term Treasury ETF		12,501		376,030
State Street Aggregate Bond Index Portfolio		47,100		477,546
				1,542,523
International Equity – 9.9%
State Street Global Equity ex-U.S. Index Portfolio		25,905		237,423
				237,423
Real Estate – 4.9%
SPDR Dow Jones Global Real Estate ETF		2,465		117,654
				117,654
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $2,372,624)				2,365,557
SHORT TERM INVESTMENT – 0.2%
Money Market Funds – 0.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		3,627		3,627
TOTAL SHORT TERM INVESTMENT (Cost $3,627)				3,627
TOTAL INVESTMENTS(c) – 99.0% (Cost $2,376,251)				2,369,184
Other Assets in Excess of Liabilities – 1.0%				24,602
NET ASSETS – 100.0%			$	2,393,786

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

5

State Street Target Retirement 2015 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 98.9%
Domestic Equity – 27.0%
SPDR Russell Small Cap Completeness ETF		1,539	$	129,861
State Street Equity 500 Index II Portfolio		62,133		655,588
				785,449
Domestic Fixed Income – 52.1%
SPDR Barclays 1-10 Year TIPS ETF		27,190		518,241
SPDR Barclays High Yield Bond ETF		5,270		203,475
SPDR Barclays Short Term Corporate Bond ETF		477		14,591
SPDR Barclays Short Term Treasury ETF		1,696		51,016
State Street Aggregate Bond Index Portfolio		71,783		727,820
				1,515,143
International Equity – 14.9%
State Street Global Equity ex-U.S. Index Portfolio		47,201		432,604
				432,604
Real Estate – 4.9%
SPDR Dow Jones Global Real Estate ETF		3,009		143,620
				143,620
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $2,887,083)				2,876,816
SHORT TERM INVESTMENT – 0.1%
Money Market Funds – 0.1%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		4,002		4,002
TOTAL SHORT TERM INVESTMENT (Cost $4,002)				4,002
TOTAL INVESTMENTS(c) – 99.0% (Cost $2,891,085)				2,880,818
Other Assets in Excess of Liabilities – 1.0%				29,510
NET ASSETS – 100.0%			$	2,910,328

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

6

State Street Target Retirement 2020 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.4%
Domestic Equity – 35.9%
SPDR Russell Small Cap Completeness ETF		6,532	$	551,170
State Street Equity 500 Index II Portfolio		223,079		2,353,794
				2,904,964
Domestic Fixed Income – 39.8%
SPDR Barclays High Yield Bond ETF		12,408		479,073
SPDR Barclays Long Term Treasury ETF		5,229		381,016
SPDR Barclays TIPS ETF		14,377		804,825
State Street Aggregate Bond Index Portfolio		153,272		1,554,043
				3,218,957
International Equity – 21.3%
State Street Global Equity ex-U.S. Index Portfolio		187,497		1,718,452
				1,718,452
Real Estate – 2.4%
SPDR Dow Jones Global Real Estate ETF		4,132		197,220
				197,220
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $8,044,993)				8,039,593
SHORT TERM INVESTMENT – 0.2%
Money Market Funds – 0.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		16,109		16,109
TOTAL SHORT TERM INVESTMENT (Cost $16,109)				16,109
TOTAL INVESTMENT(c) – 99.6% (Cost $8,061,102)				8,055,702
Other Assets in Excess of Liabilities – 0.4%				32,962
NET ASSETS – 100.0%			$	8,088,664

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

7

State Street Target Retirement 2025 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.5%
Domestic Equity – 42.8%
SPDR Russell Small Cap Completeness ETF		7,671	$	647,279
State Street Equity 500 Index II Portfolio		220,882		2,330,622
				2,977,901
Domestic Fixed Income – 30.4%
SPDR Barclays High Yield Bond ETF		7,349		283,745
SPDR Barclays Long Term Treasury ETF		9,304		677,945
SPDR Barclays TIPS ETF		3,614		202,312
State Street Aggregate Bond Index Portfolio		93,539		948,398
				2,112,400
International Equity – 26.3%
State Street Global Equity ex-U.S. Index Portfolio		199,123		1,825,003
				1,825,003
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $6,922,021)				6,915,304
SHORT TERM INVESTMENT – 0.2%
Money Market Funds – 0.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		13,242		13,242
TOTAL SHORT TERM INVESTMENT (Cost $13,242)				13,242
TOTAL INVESTMENTS(c) – 99.7% (Cost $6,935,263)				6,928,546
Other Assets in Excess of Liabilities – 0.3%				23,592
NET ASSETS – 100.0%			$	6,952,138

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

8

State Street Target Retirement 2030 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.2%
Domestic Equity – 47.2%
SPDR Russell Small Cap Completeness ETF		6,143	$	518,346
State Street Equity 500 Index II Portfolio		156,596		1,652,311
				2,170,657
Domestic Fixed Income – 22.8%
SPDR Barclays High Yield Bond ETF		1,351		52,162
SPDR Barclays Long Term Treasury ETF		6,096		444,191
SPDR Barclays TIPS ETF		694		38,850
State Street Aggregate Bond Index Portfolio		50,392		510,932
				1,046,135
International Equity – 29.2%
State Street Global Equity ex-U.S. Index Portfolio		146,572		1,343,361
				1,343,361
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $4,558,488)				4,560,153
SHORT TERM INVESTMENT – 0.4%
Money Market Funds – 0.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		18,347		18,347
TOTAL SHORT TERM INVESTMENT (Cost $18,347)				18,347
TOTAL INVESTMENTS(c) – 99.6% (Cost $4,576,835)				4,578,500
Other Assets in Excess of Liabilities – 0.4%				17,578
NET ASSETS – 100.0%			$	4,596,078

^(a) Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b) The rate shown is the annualized seven-day yield at period end.

^(c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

9

State Street Target Retirement 2035 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.3%
Domestic Equity – 50.9%
SPDR Russell Small Cap Completeness ETF		6,860	$	578,847
State Street Equity 500 Index II Portfolio		148,828		1,570,347
				2,149,194
Domestic Fixed Income – 16.8%
SPDR Barclays Long Term Treasury ETF		5,668		413,004
State Street Aggregate Bond Index Portfolio		29,433		298,421
				711,425
International Equity – 31.6%
State Street Global Equity ex-U.S. Index Portfolio		145,607		1,334,522
				1,334,522
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $4,192,966)				4,195,141
SHORT TERM INVESTMENT – 0.4%
Money Market Funds – 0.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		15,127		15,127
TOTAL SHORT TERM INVESTMENT (Cost $15,127)				15,127
TOTAL INVESTMENTS(c) – 99.7% (Cost $4,208,093)				4,210,268
Other Assets in Excess of Liabilities – 0.3%				14,200
NET ASSETS – 100.0%			$	4,224,468

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

10

State Street Target Retirement 2040 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 98.8%
Domestic Equity – 53.6%
SPDR Russell Small Cap Completeness ETF		4,762	$	401,818
State Street Equity 500 Index II Portfolio		90,269		952,462
				1,354,280
Domestic Fixed Income – 11.7%
SPDR Barclays Long Term Treasury ETF		3,349		244,028
State Street Aggregate Bond Index Portfolio		5,009		50,785
				294,813
International Equity – 33.5%
State Street Global Equity ex-U.S. Index Portfolio		92,313		846,072
				846,072
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $2,489,746)				2,495,165
SHORT TERM INVESTMENT – 0.7%
Money Market Funds – 0.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		17,599		17,599
TOTAL SHORT TERM INVESTMENT (Cost $17,599)				17,599
TOTAL INVESTMENTS(c) – 99.5% (Cost $2,507,345)				2,512,764
Other Assets in Excess of Liabilities – 0.5%				11,379
NET ASSETS – 100.0%			$	2,524,143

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

11

State Street Target Retirement 2045 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 98.0%
Domestic Equity – 54.4%
SPDR Russell Small Cap Completeness ETF		2,038	$	171,966
State Street Equity 500 Index II Portfolio		35,570		375,313
				547,279
Domestic Fixed Income – 9.8%
SPDR Barclays Long Term Treasury ETF		1,348		98,223
				98,223
International Equity – 33.8%
State Street Global Equity ex-U.S. Index Portfolio		37,092		339,958
				339,958
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $980,631)				985,460
SHORT TERM INVESTMENT – 1.1%
Money Market Funds – 1.1%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		11,094		11,094
TOTAL SHORT TERM INVESTMENT (Cost $11,094)				11,094
TOTAL INVESTMENTS(c) – 99.1% (Cost $991,725)				996,554
Other Assets in Excess of Liabilities – 0.9%				9,462
NET ASSETS – 100.0%			$	1,006,016

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

12

State Street Target Retirement 2050 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 96.2%
Domestic Equity – 53.4%
SPDR Russell Small Cap Completeness ETF		995	$	83,958
State Street Equity 500 Index II Portfolio		17,491		184,559
				268,517
Domestic Fixed Income – 9.6%
SPDR Barclays Long Term Treasury ETF		666		48,529
				48,529
International Equity – 33.2%
State Street Global Equity ex-U.S. Index Portfolio		18,240		167,174
				167,174
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $482,087)				484,220
SHORT TERM INVESTMENT – 1.1%
Money Market Funds – 1.1%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		5,420		5,420
TOTAL SHORT TERM INVESTMENT (Cost $5,420)				5,420
TOTAL INVESTMENTS(c) – 97.3% (Cost $487,507)				489,640
Other Assets in Excess of Liabilities – 2.7%				13,342
NET ASSETS – 100.0%			$	502,982

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

13

State Street Target Retirement 2055 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 96.2%
Domestic Equity – 53.4%
SPDR Russell Small Cap Completeness ETF		995	$	83,958
State Street Equity 500 Index II Portfolio		17,491		184,559
				268,517
Domestic Fixed Income – 9.6%
SPDR Barclays Long Term Treasury ETF		666		48,529
				48,529
International Equity – 33.2%
State Street Global Equity ex-U.S. Index Portfolio		18,240		167,174
				167,174
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $482,088)				484,220
SHORT TERM INVESTMENT – 1.1%
Money Market Funds – 1.1%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		5,420		5,420
TOTAL SHORT TERM INVESTMENT (Cost $5,420)				5,420
TOTAL INVESTMENTS(c) – 97.3% (Cost $487,508)				489,640
Other Assets in Excess of Liabilities – 2.7%				13,342
NET ASSETS – 100.0%			$	502,982

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

14

State Street Target Retirement 2060 Fund

Portfolio of Investments

December 31, 2014

	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 96.4%
Domestic Equity – 53.5%
SPDR Russell Small Cap Completeness ETF		996	$	84,042
State Street Equity 500 Index II Portfolio		17,526		184,927
				268,969
Domestic Fixed Income – 9.6%
SPDR Barclays Long Term Treasury ETF		667		48,602
				48,602
International Equity – 33.3%
State Street Global Equity ex-U.S. Index Portfolio		18,275		167,497
				167,497
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $482,900)				485,068
SHORT TERM INVESTMENT – 1.1%
Money Market Funds – 1.1%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(a)(b)		5,435		5,435
TOTAL SHORT TERM INVESTMENT (Cost $5,435)				5,435
TOTAL INVESTMENTS(c) – 97.5% (Cost $488,335)				490,503
Other Assets in Excess of Liabilities – 2.5%				12,545
NET ASSETS – 100.0%			$	503,048

^(a)  Affiliated funds managed by SSGA Funds Management, Inc. (Note 8).

^(b)  The rate shown is the annualized seven-day yield at period end.

^(c)  Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs.

See Notes to Financial Statements.

15

State Street Institutional Investment Trust

Statements of Assets and Liabilities

December 31, 2014

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
Assets
Investments in securities of affiliated funds, at value	$	2,369,184		$	2,880,818		$	8,055,702		$	6,928,546
Receivable for investments sold		37,177			74,017			176,007			135,248
Dividends receivable from affiliated funds (Note 8)		3,627			5,521			3,646			3,980
Receivable from Adviser (Note 4)		77,868			75,786			75,319			70,463
Cash		–			–			273,847			460,579
Total assets		2,487,856			3,036,142			8,584,521			7,598,816
Liabilities
Payable for investments purchased		33,085			68,564			438,863			590,661
Due to custodian		1,862			18			–			–
Advisory fees payable (Note 4)		173			237			387			323
Custodian fees payable (Note 4)		19,077			19,141			19,291			19,227
Distribution fees payable (Note 4)		168			236			338			271
Sub-transfer agent fee payable (Note 4)		422			592			847			677
Trustees’ fees payable		3,750			3,750			3,750			3,750
Registration and filing fees payable		9,022			349			590			1,361
Professional fees payable		20,117			20,117			20,117			20,117
Transfer agent fees payable		3,105			9,282			9,279			6,984
Accrued expenses and other liabilities		3,289			3,528			2,395			3,307
Total liabilities		94,070			125,814			495,857			646,678
Net Assets	$	2,393,786		$	2,910,328		$	8,088,664		$	6,952,138
Net Assets Consist of:
Paid-in capital	$	2,397,482		$	2,912,569		$	8,086,185		$	6,949,380
Accumulated net realized gain		3,371			8,026			7,879			9,475
Net unrealized appreciation (depreciation) on investments		(7,067	)		(10,267	)		(5,400	)		(6,717	)
Net Assets	$	2,393,786		$	2,910,328		$	8,088,664		$	6,952,138
Class A
Net Assets	$	417,896		$	585,336		$	844,726		$	677,353
Shares of beneficial interest outstanding		41,667			58,334			83,333			66,667
Net asset value and redemption price per share	$	10.03		$	10.03		$	10.14		$	10.16
Maximum Sales Charge		4.50	%		4.50	%		4.50	%		4.50	%
Maximum offering price per share	$	10.50		$	10.50		$	10.62		$	10.64
Class I
Net Assets	$	417,893		$	585,335		$	844,737		$	677,355
Shares of beneficial interest outstanding		41,666			58,333			83,333			66,666
Offering, net asset value, and redemption price per share	$	10.03		$	10.03		$	10.14		$	10.16
Class K
Net Assets	$	1,557,997		$	1,739,657		$	6,399,201		$	5,597,430
Shares of beneficial interest outstanding		155,392			173,365			631,497			551,006
Offering, net asset value, and redemption price per share	$	10.03		$	10.03		$	10.13		$	10.16
Investments in securities of affiliated funds, at cost	$	2,376,251		$	2,891,085		$	8,061,102		$	6,935,263

See Notes to Financial Statements.

16

State Street Institutional Investment Trust

Statements of Assets and Liabilities — (continued)

December 31, 2014

	State Street Target Retirement 2030 Fund			State Street Target Retirement 2035 Fund			State Street Target Retirement 2040 Fund			State Street Target Retirement 2045 Fund
Assets
Investments in securities of affiliated funds, at value	$	4,578,500		$	4,210,268		$	2,512,764		$	996,554
Receivable for investments sold		107,085			93,366			55,980			18,909
Dividends receivable from affiliated funds (Note 8)		1,247			913			548			224
Receivable from Adviser (Note 4)		76,000			76,181			75,699			75,735
Cash		245,356			255,550			73,936			–
Total assets		5,008,188			4,636,278			2,718,927			1,091,422
Liabilities
Payable for investments purchased		348,904			348,935			132,467			18,907
Due to custodian		–			–			–			4,639
Advisory fees payable (Note 4)		294			224			203			127
Custodian fees payable (Note 4)		19,198			19,128			19,107			19,031
Distribution fees payable (Note 4)		310			204			204			136
Sub-transfer agent fee payable (Note 4)		677			508			508			338
Trustees’ fees payable		3,750			3,750			3,750			3,750
Registration and filing fees payable		9,588			9,856			9,347			9,465
Professional fees payable		20,117			20,117			20,117			20,117
Transfer agent fees payable		5,975			5,787			5,786			5,600
Accrued expenses and other liabilities		3,297			3,301			3,295			3,296
Total liabilities		412,110			411,810			194,784			85,406
Net Assets	$	4,596,078		$	4,224,468		$	2,524,143		$	1,006,016
Net Assets Consist of:
Paid-in capital	$	4,587,858		$	4,218,605		$	2,516,691		$	1,000,000
Accumulated net realized gain		6,555			3,688			2,033			1,187
Net unrealized appreciation on investments		1,665			2,175			5,419			4,829
Net Assets	$	4,596,078		$	4,224,468		$	2,524,143		$	1,006,016
Class A
Net Assets	$	676,383		$	508,362		$	506,307		$	335,336
Shares of beneficial interest outstanding		66,667			50,000			50,000			33,334
Net asset value and redemption price per share	$	10.15		$	10.17		$	10.13		$	10.06
Maximum Sales Charge		4.50	%		4.50	%		4.50	%		4.50	%
Maximum offering price per share	$	10.63		$	10.65		$	10.61		$	10.53
Class I
Net Assets	$	676,394		$	508,367		$	506,312		$	335,338
Shares of beneficial interest outstanding		66,666			50,000			50,000			33,333
Offering, net asset value, and redemption price per share	$	10.15		$	10.17		$	10.13		$	10.06
Class K
Net Assets	$	3,243,301		$	3,207,739		$	1,511,524		$	335,342
Shares of beneficial interest outstanding		319,554			315,476			149,272			33,333
Offering, net asset value, and redemption price per share	$	10.15		$	10.17		$	10.13		$	10.06
Investments in securities of affiliated funds, at cost	$	4,576,835		$	4,208,093		$	2,507,345		$	991,725

See Notes to Financial Statements.

17

State Street Institutional Investment Trust

Statements of Assets and Liabilities — (continued)

December 31, 2014

	State Street Target Retirement 2050 Fund			State Street Target Retirement 2055 Fund			State Street Target Retirement 2060 Fund
Assets
Investments in securities of affiliated funds, at value	$	489,640		$	489,640		$	490,503
Receivable for investments sold		9,680			9,680			9,630
Dividends receivable from affiliated funds (Note 8)		109			109			109
Receivable from Adviser (Note 4)		75,279			75,169			74,993
Total assets		574,708			574,598			575,235
Liabilities
Payable for investments purchased		9,293			9,293			9,168
Due to custodian		2,379			2,379			2,353
Advisory fees payable (Note 4)		63			63			63
Custodian fees payable (Note 4)		18,967			18,967			18,967
Distribution fees payable (Note 4)		68			68			68
Sub-transfer agent fee payable (Note 4)		169			169			169
Trustees’ fees payable		3,750			3,750			3,750
Registration and filing fees payable		9,112			9,002			8,829
Professional fees payable		20,117			20,117			20,117
Transfer agent fees payable		5,414			5,414			5,414
Accrued expenses and other liabilities		2,394			2,394			3,289
Total liabilities		71,726			71,616			72,187
Net Assets	$	502,982		$	502,982		$	503,048
Net Assets Consist of:
Paid-in capital	$	500,000		$	500,000		$	500,000
Accumulated net realized gain		849			850			880
Net unrealized appreciation on investments		2,133			2,132			2,168
Net Assets	$	502,982		$	502,982		$	503,048
Class A
Net Assets	$	167,659		$	167,659		$	167,681
Shares of beneficial interest outstanding		16,667			16,667			16,667
Net asset value and redemption price per share	$	10.06		$	10.06		$	10.06
Maximum Sales Charge		4.50	%		4.50	%		4.50	%
Maximum offering price per share	$	10.53		$	10.53		$	10.53
Class I
Net Assets	$	167,661		$	167,661		$	167,684
Shares of beneficial interest outstanding		16,666			16,666			16,666
Offering, net asset value, and redemption price per share	$	10.06		$	10.06		$	10.06
Class K
Net Assets	$	167,662		$	167,662		$	167,683
Shares of beneficial interest outstanding		16,667			16,667			16,667
Offering, net asset value, and redemption price per share	$	10.06		$	10.06		$	10.06
Investments in securities of affiliated funds, at cost	$	487,507		$	487,508		$	488,335

See Notes to Financial Statements.

18

State Street Institutional Investment Trust

Statements of Operations

Period Ended December 31, 2014

	State Street Target Retirement Fund*			State Street Target Retirement 2015 Fund*			State Street Target Retirement 2020 Fund*			State Street Target Retirement 2025 Fund*
Income
Dividend income from affiliated funds (Note 8)	$	8,851		$	12,714		$	18,708		$	17,421
Expenses
Advisory fees (Note 4)		173			237			387			323
Custodian fees (Note 4)		19,077			19,141			19,291			19,227
Distribution fees (Note 4):
Class A		264			370			529			423
Sub-transfer agent fees (Note 4):
Class A		211			296			423			339
Class I		211			296			423			339
Trustees’ fees and expenses (Note 5)		3,750			3,750			3,750			3,750
Registration and filing fees		9,560			887			1,128			1,900
Professional fees		20,117			20,117			20,117			20,117
Transfer agent fees (Note 4)		20,537			26,714			26,714			20,987
Printing fees		3,086			3,086			3,086			3,086
Insurance fees		1,400			1,402			1,405			1,415
Miscellaneous expenses		756			1,256			757			757
Total expenses		79,142			77,552			78,010			72,663
Less: Expenses waived/reimbursed by the Adviser (Note 4)		(77,868	)		(75,786	)		(75,319	)		(70,462	)
Net expenses		1,274			1,766			2,691			2,201
Net Investment Income		7,577			10,948			16,017			15,220
Realized and Unrealized Gain (Loss)
Net realized gain on:
Affiliated funds (Note 8)		1,976			6,830			6,129			7,842
Capital gain distributions from affiliated funds (Note 8)		3,902			7,462			14,371			16,012
Change in net unrealized appreciation/depreciation on investments		(7,067	)		(10,267	)		(5,400	)		(6,717	)
Total realized and unrealized gain (loss)		(1,189	)		4,025			15,100			17,137
Net Increase in Net Assets Resulting from Operations	$	6,388		$	14,973		$	31,117		$	32,357

* For the period September 30, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

19

State Street Institutional Investment Trust

Statements of Operations — (continued)

Period Ended December 31, 2014

	State Street Target Retirement 2030 Fund*			State Street Target Retirement 2035 Fund*			State Street Target Retirement 2040 Fund*			State Street Target Retirement 2045 Fund*
Income
Dividend income from affiliated funds (Note 8)	$	16,028		$	10,807		$	10,504		$	6,836
Expenses
Advisory fees (Note 4)		294			224			203			127
Custodian fees (Note 4)		19,198			19,128			19,107			19,031
Distribution fees (Note 4):
Class A		423			317			317			211
Sub-transfer agent fees (Note 4):
Class A		339			254			254			169
Class I		339			254			254			169
Trustees’ fees and expenses (Note 5)		3,750			3,750			3,750			3,750
Registration and filing fees		10,125			10,394			9,885			10,004
Professional fees		20,117			20,117			20,117			20,117
Transfer agent fees (Note 4)		18,265			18,077			18,076			17,889
Printing fees		3,086			3,086			3,086			3,086
Insurance fees		1,408			1,411			1,405			1,407
Miscellaneous expenses		756			756			756			756
Total expenses		78,100			77,768			77,210			76,716
Less: Expenses waived/reimbursed by the Adviser (Note 4)		(76,000	)		(76,181	)		(75,699	)		(75,735	)
Net expenses		2,100			1,587			1,511			981
Net Investment Income		13,928			9,220			8,993			5,855
Realized and Unrealized Gain (Loss)
Net realized gain on:
Affiliated funds (Note 8)		6,039			3,231			1,872			1,180
Capital gain distributions from affiliated funds (Note 8)		18,778			13,526			15,006			10,299
Change in net unrealized appreciation/depreciation on investments		1,665			2,175			5,419			4,829
Total realized and unrealized gain (loss)		26,482			18,932			22,297			16,308
Net Increase in Net Assets Resulting from Operations	$	40,410		$	28,152		$	31,290		$	22,163

* For the period September 30, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

20

State Street Institutional Investment Trust

Statements of Operations — (continued)

Period Ended December 31, 2014

	State Street Target Retirement 2050 Fund*			State Street Target Retirement 2055 Fund*			State Street Target Retirement 2060 Fund*
Income
Dividend income from affiliated funds (Note 8)	$	3,362		$	3,362		$	3,370
Expenses
Advisory fees (Note 4)		63			63			63
Custodian fees (Note 4)		18,967			18,967			18,967
Distribution fees (Note 4):
Class A		106			106			106
Sub-transfer agent fees (Note 4):
Class A		85			85			85
Class I		85			85			85
Trustees’ fees and expenses (Note 5)		3,750			3,750			3,750
Registration and filing fees		9,650			9,540			9,368
Professional fees		20,117			20,117			20,117
Transfer agent fees (Note 4)		17,703			17,703			17,703
Printing fees		3,086			3,086			3,086
Insurance fees		1,401			1,400			1,397
Miscellaneous expenses		756			756			756
Total expenses		75,769			75,658			75,483
Less: Expenses waived/reimbursed by the Adviser (Note 4)		(75,278	)		(75,169	)		(74,993	)
Net expenses		491			489			490
Net Investment Income		2,871			2,873			2,880
Realized and Unrealized Gain (Loss)
Net realized gain on:
Affiliated funds (Note 8)		999			999			961
Capital gain distributions from affiliated funds (Note 8)		5,023			5,023			5,029
Change in net unrealized appreciation/depreciation on investments		2,133			2,132			2,168
Total realized and unrealized gain (loss)		8,155			8,154			8,158
Net Increase in Net Assets Resulting from Operations	$	11,026		$	11,027		$	11,038

* For the period September 30, 2014 (commencement of operations) to December 31, 2014.

See Notes to Financial Statements.

21

State Street Institutional Investment Trust

Statements of Changes in Net Assets

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
	For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	7,577		$	10,948		$	16,017		$	15,220
Net realized gain on investments		5,878			14,292			20,500			23,854
Change in net unrealized appreciation/ depreciation on investments		(7,067	)		(10,267	)		(5,400	)		(6,717	)
Net increase in net assets from operations		6,388			14,973			31,117			32,357
Distributions to Shareholders from:
Net investment income
Class A		(1,400	)		(2,993	)		(2,183	)		(2,207	)
Class I		(1,667	)		(3,366	)		(2,708	)		(2,633	)
Class K		(6,970	)		(10,826	)		(23,668	)		(24,759	)
Total distributions from net investment income		(10,037	)		(17,185	)		(28,559	)		(29,599	)
Net realized gain on investments
Class A		(8	)		(6	)		(8	)		–
Class I		(8	)		(6	)		(8	)		–
Class K		(31	)		(17	)		(63	)		–
Total distributions from net realized gain		(47	)		(29	)		(79	)		–
Total distributions		(10,084	)		(17,214	)		(28,638	)		(29,599	)
Net Increase (Decrease) from Capital Share Transactions:
Class A
Shares sold		416,668			583,334			833,334			666,668
Class I
Shares sold		416,666			583,333			833,333			666,666
Class K
Shares sold		1,625,168			2,428,746			6,398,928			5,872,425
Reinvestment of distributions		5,118			7,179			20,590			21,786
Shares redeemed		(66,138	)		(690,023	)		–			(278,165	)
		1,564,148			1,745,902			6,419,518			5,616,046
Net increase from capital share transactions		2,397,482			2,912,569			8,086,185			6,949,380
Net Increase in Net Assets		2,393,786			2,910,328			8,088,664			6,952,138
Net Assets
End of period	$	2,393,786		$	2,910,328		$	8,088,664		$	6,952,138
Changes in Shares:
Class A
Shares sold		41,667			58,334			83,333			66,667
Class I
Shares sold		41,666			58,333			83,333			66,666
Class K
Shares sold		161,439			240,505			629,480			576,019
Reinvestment of distributions		507			709			2,017			2,125
Shares redeemed		(6,554	)		(67,849	)		–			(27,138	)
Net increase in shares		155,392			173,365			631,497			551,006

* Commencement of operations

See Notes to Financial Statements.

22

State Street Institutional Investment Trust

Statements of Changes in Net Assets — (continued)

	State Street Target Retirement 2030 Fund			State Street Target Retirement 2035 Fund			State Street Target Retirement 2040 Fund			State Street Target Retirement 2045 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	13,928		$	9,220		$	8,993		$	5,855
Net realized gain on investments		24,817			16,757			16,878			11,479
Change in net unrealized appreciation/ depreciation on investments		1,665			2,175			5,419			4,829
Net increase in net assets from operations		40,410			28,152			31,290			22,163
Distributions to Shareholders from:
Net investment income
Class A		(4,160	)		(2,195	)		(4,395	)		(5,183	)
Class I		(4,580	)		(2,515	)		(4,715	)		(5,397	)
Class K		(23,450	)		(17,579	)		(14,728	)		(5,567	)
Total distributions		(32,190	)		(22,289	)		(23,838	)		(16,147	)
Net Increase (Decrease) from Capital Share Transactions:
Class A
Shares sold		666,668			500,000			500,000			333,334
Class I
Shares sold		666,666			500,000			500,000			333,333
Class K
Shares sold		3,587,243			3,243,252			1,506,928			333,333
Reinvestment of distributions		18,530			14,813			9,763			–
Shares redeemed		(351,249	)		(39,460	)		–			–
		3,254,524			3,218,605			1,516,691			333,333
Net increase from capital share transactions		4,587,858			4,218,605			2,516,691			1,000,000
Net Increase in Net Assets		4,596,078			4,224,468			2,524,143			1,006,016
Net Assets
End of period	$	4,596,078		$	4,224,468		$	2,524,143		$	1,006,016
Changes in Shares:
Class A
Shares sold		66,667			50,000			50,000			33,334
Class I
Shares sold		66,666			50,000			50,000			33,333
Class K
Shares sold		351,981			317,876			148,319			33,333
Reinvestment of distributions		1,808			1,442			953			–
Shares redeemed		(34,235	)		(3,842	)		–			–
Net increase in shares		319,554			315,476			149,272			33,333

* Commencement of operations

See Notes to Financial Statements.

23

State Street Institutional Investment Trust

Statements of Changes in Net Assets — (continued)

	State Street Target Retirement 2050 Fund			State Street Target Retirement 2055 Fund			State Street Target Retirement 2060 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Increase (Decrease) in Net Assets Resulting from:
Operations:
Net investment income	$	2,871		$	2,873		$	2,880
Net realized gain on investments		6,022			6,022			5,990
Change in net unrealized appreciation/ depreciation on investments		2,133			2,132			2,168
Net increase in net assets from operations		11,026			11,027			11,038
Distributions to Shareholders from:
Net investment income
Class A		(2,548	)		(2,549	)		(2,538	)
Class I		(2,653	)		(2,653	)		(2,643	)
Class K		(2,738	)		(2,738	)		(2,728	)
Total distributions from net investment income		(7,939	)		(7,940	)		(7,909	)
Net realized gain on investments
Class A		(35	)		(35	)		(27	)
Class I		(35	)		(35	)		(27	)
Class K		(35	)		(35	)		(27	)
Total distributions from net realized gain		(105	)		(105	)		(81	)
Total distributions		(8,044	)		(8,045	)		(7,990	)
Net Increase from Capital Share Transactions:
Class A
Shares sold		166,668			166,668			166,668
Class I
Shares sold		166,666			166,666			166,666
Class K
Shares sold		166,666			166,666			166,666
Net increase from capital share transactions		500,000			500,000			500,000
Net Increase in Net Assets		502,982			502,982			503,048
Net Assets
End of period	$	502,982		$	502,982		$	503,048
Changes in Shares:
Class A
Shares sold		16,667			16,667			16,667
Class I
Shares sold		16,666			16,666			16,666
Class K
Shares sold		16,667			16,667			16,667

* Commencement of operations

See Notes to Financial Statements.

24

State Street Institutional Investment Trust

Financial Highlights

Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.05			0.05			0.05			0.06
Net realized and unrealized gain on investments		0.01			0.03			0.12			0.13
Total from investment operations		0.06			0.08			0.17			0.19
Less Distributions From:
Net investment income		(0.03	)		(0.05	)		(0.03	)		(0.03	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)		–
Total distributions		(0.03	)		(0.05	)		(0.03	)		(0.03	)
Net increase in net assets		0.03			0.03			0.14			0.16
Net Asset Value, End of Period	$	10.03		$	10.03		$	10.14		$	10.16
Total Return(c)		0.64	%		0.81	%		1.66	%		1.93	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	418		$	585		$	845		$	677
Ratios to average net assets:
Gross expenses(d)		21.65	%		15.05	%		9.36	%		10.90	%
Net expenses(d)		0.62	%		0.62	%		0.62	%		0.62	%
Net investment income(d)		1.82	%		2.06	%		2.32	%		2.38	%
Portfolio turnover rate(e)		8	%		39	%		5	%		13	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

25

State Street Institutional Investment Trust

Financial Highlights — (continued)

	State Street Target Retirement 2030 Fund			State Street Target Retirement 2035 Fund			State Street Target Retirement 2040 Fund			State Street Target Retirement 2045 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.05			0.06			0.06			0.05
Net realized and unrealized gain on investments		0.16			0.15			0.16			0.17
Total from investment operations		0.21			0.21			0.22			0.22
Less Distributions From:
Net investment income		(0.06	)		(0.04	)		(0.09	)		(0.16	)
Net increase in net assets		0.15			0.17			0.13			0.06
Net Asset Value, End of Period	$	10.15		$	10.17		$	10.13		$	10.06
Total Return(b)		2.12	%		2.13	%		2.17	%		2.14	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	676		$	508		$	506		$	335
Ratios to average net assets:
Gross expenses(c)		12.85	%		17.04	%		18.29	%		30.47	%
Net expenses(c)		0.62	%		0.62	%		0.62	%		0.62	%
Net investment income(c)		2.05	%		2.53	%		2.28	%		2.07	%
Portfolio turnover rate(d)		18	%		7	%		5	%		5	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(c)  Annualized

^(d)  Not annualized

See Notes to Financial Statements.

26

State Street Institutional Investment Trust

Financial Highlights — (continued)

Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement 2050 Fund			State Street Target Retirement 2055 Fund			State Street Target Retirement 2060 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.05			0.05			0.05
Net realized and unrealized gain on investments		0.16			0.16			0.16
Total from investment operations		0.21			0.21			0.21
Less Distributions From:
Net investment income		(0.15	)		(0.15	)		(0.15	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.15	)		(0.15	)		(0.15	)
Net increase in net assets		0.06			0.06			0.06
Net Asset Value, End of Period	$	10.06		$	10.06		$	10.06
Total Return(c)		2.13	%		2.13	%		2.12	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	168		$	168		$	168
Ratios to average net assets:
Gross expenses(d)		59.96	%		59.87	%		59.73	%
Net expenses(d)		0.62	%		0.62	%		0.62	%
Net investment income(d)		2.03	%		2.03	%		2.04	%
Portfolio turnover rate(e)		7	%		7	%		7	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

27

State Street Institutional Investment Trust

Financial Highlights — (continued)

Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
	For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.05			0.06			0.06			0.06
Net realized and unrealized gain (loss) on investments		0.02			0.03			0.11			0.14
Total from investment operations		0.07			0.09			0.17			0.20
Less Distributions From:
Net investment income		(0.04	)		(0.06	)		(0.03	)		(0.04	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)		–
Total distributions		(0.04	)		(0.06	)		(0.03	)		(0.04	)
Net increase in net assets		0.03			0.03			0.14			0.16
Net Asset Value, End of Period	$	10.03		$	10.03		$	10.14		$	10.16
Total Return(c)		0.70	%		0.87	%		1.72	%		1.99	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	418		$	585		$	845		$	677
Ratios to average net assets:
Gross expenses(d)		21.40	%		14.80	%		9.11	%		10.65	%
Net expenses(d)		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income(d)		2.07	%		2.31	%		2.57	%		2.63	%
Portfolio turnover rate(e)		8	%		39	%		5	%		13	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

28

State Street Institutional Investment Trust

Financial Highlights — (continued)

	State Street Target Retirement 2030 Fund			State Street Target Retirement 2035 Fund			State Street Target Retirement 2040 Fund			State Street Target Retirement 2045 Fund
	For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.06			0.07			0.06			0.06
Net realized and unrealized gain (loss) on investments		0.16			0.15			0.16			0.16
Total from investment operations		0.22			0.22			0.22			0.22
Less Distributions From:
Net investment income		(0.07	)		(0.05	)		(0.09	)		(0.16	)
Net increase in net assets		0.15			0.17			0.13			0.06
Net Asset Value, End of Period	$	10.15		$	10.17		$	10.13		$	10.06
Total Return(b)		2.18	%		2.20	%		2.23	%		2.20	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	676		$	508		$	506		$	335
Ratios to average net assets:
Gross expenses(c)		12.59	%		16.79	%		18.04	%		30.22	%
Net expenses(c)		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income(c)		2.30	%		2.78	%		2.53	%		2.32	%
Portfolio turnover rate(d)		18	%		7	%		5	%		5	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(c)  Annualized

^(d)  Not annualized

See Notes to Financial Statements.

29

State Street Institutional Investment Trust

Financial Highlights — (continued)

Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement 2050 Fund			State Street Target Retirement 2055 Fund			State Street Target Retirement 2060 Fund
	For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.06			0.06			0.06
Net realized and unrealized gain (loss) on investments		0.16			0.16			0.16
Total from investment operations		0.22			0.22			0.22
Less Distributions From:
Net investment income		(0.16	)		(0.16	)		(0.16	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.16	)		(0.16	)		(0.16	)
Net increase in net assets		0.06			0.06			0.06
Net Asset Value, End of Period	$	10.06		$	10.06		$	10.06
Total Return(c)		2.20	%		2.20	%		2.18	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	168		$	168		$	168
Ratios to average net assets:
Gross expenses(d)		59.71	%		59.62	%		59.48	%
Net expenses(d)		0.37	%		0.37	%		0.37	%
Net investment income(d)		2.28	%		2.28	%		2.29	%
Portfolio turnover rate(e)		7	%		7	%		7	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

30

State Street Institutional Investment Trust

Financial Highlights — (continued)

Selected data for a Class K Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.06			0.06			0.04			0.05
Net realized and unrealized gain on investments		0.02			0.03			0.13			0.15
Total from investment operations		0.08			0.09			0.17			0.20
Less Distributions From:
Net investment income		(0.05	)		(0.06	)		(0.04	)		(0.04	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)		–
Total distributions		(0.05	)		(0.06	)		(0.04	)		(0.04	)
Net increase in net assets		0.03			0.03			0.13			0.16
Net Asset Value, End of Period	$	10.03		$	10.03		$	10.13		$	10.16
Total Return(c)		0.75	%		0.92	%		1.67	%		2.04	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	1,558		$	1,740		$	6,399		$	5,597
Ratios to average net assets:
Gross expenses(d)		25.06	%		18.68	%		11.13	%		11.75	%
Net expenses(d)		0.17	%		0.17	%		0.17	%		0.17	%
Net investment income(d)		2.59	%		2.50	%		1.62	%		2.19	%
Portfolio turnover rate(e)		8	%		39	%		5	%		13	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

31

State Street Institutional Investment Trust

Financial Highlights — (continued)

	State Street Target Retirement 2030 Fund			State Street Target Retirement 2035 Fund			State Street Target Retirement 2040 Fund			State Street Target Retirement 2045 Fund
	For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14			For the Period 9/30/14* -  12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.07			0.03			0.05			0.06
Net realized and unrealized gain on investments		0.15			0.20			0.18			0.17
Total from investment operations		0.22			0.23			0.23			0.23
Less Distributions From:
Net investment income		(0.07	)		(0.06	)		(0.10	)		(0.17	)
Net increase in net assets		0.15			0.17			0.13			0.06
Net Asset Value, End of Period	$	10.15		$	10.17		$	10.13		$	10.06
Total Return(b)		2.23	%		2.25	%		2.28	%		2.25	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	3,243		$	3,208		$	1,512		$	335
Ratios to average net assets:
Gross expenses(c)		14.05	%		17.89	%		20.53	%		30.02	%
Net expenses(c)		0.17	%		0.17	%		0.17	%		0.17	%
Net investment income(c)		2.64	%		1.28	%		1.90	%		2.53	%
Portfolio turnover rate(d)		18	%		7	%		5	%		5	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(c)  Annualized

^(d)  Not annualized

See Notes to Financial Statements.

32

State Street Institutional Investment Trust

Financial Highlights — (continued)

Selected data for a Class K Share of beneficial interest outstanding throughout the period is presented below:

	State Street Target Retirement 2050 Fund			State Street Target Retirement 2055 Fund			State Street Target Retirement 2060 Fund
	For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14			For the Period 9/30/14* - 12/31/14
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	10.00		$	10.00		$	10.00
Investment Operations:
Net investment income(a)		0.06			0.06			0.06
Net realized and unrealized gain on investments		0.16			0.16			0.16
Total from investment operations		0.22			0.22			0.22
Less Distributions From:
Net investment income		(0.16	)		(0.16	)		(0.16	)
Net realized gains		(0.00	)(b)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.16	)		(0.16	)		(0.16	)
Net increase in net assets		0.06			0.06			0.06
Net Asset Value, End of Period	$	10.06		$	10.06		$	10.06
Total Return(c)		2.25	%		2.25	%		2.24	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	168		$	168		$	168
Ratios to average net assets:
Gross expenses(d)		59.52	%		59.42	%		59.28	%
Net expenses(d)		0.17	%		0.17	%		0.17	%
Net investment income(d)		2.48	%		2.48	%		2.49	%
Portfolio turnover rate(e)		7	%		7	%		7	%

* Commencement of operations

^(a)  Net investment income per share is calculated using the average shares method.

^(b)  Amount is less than $0.005 per share.

^(c)  Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(d)  Annualized

^(e)  Not annualized

See Notes to Financial Statements.

33

State Street Institutional Investment Trust

Notes to Financial Statements

December 31, 2014

1. Organization

State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of thirty-five (35) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Target Retirement Funds are authorized to issue an unlimited number of shares, with no par value. Each Target Retirement Fund has registered Class C shares. Each Target Retirement Fund’s Class C shares were not operational at December 31, 2014. The financial statements herein relate to the following Funds:

Fund	Classes	Commencement of  Operations:
State Street Target Retirement Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2015 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2020 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2025 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2030 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2035 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2040 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2045 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2050 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2055 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014
State Street Target Retirement 2060 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014

34

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Target Retirement Funds retained SSGA Funds Management, Inc. (the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. The Adviser manages the Funds using a proprietary asset allocation strategy. The Funds are “fund of funds” that invest in a combination of mutual funds and exchange traded funds (“ETFs”) sponsored by the Adviser or its affiliates (“Underlying Funds”). The Underlying Funds may invest in a wide variety of asset classes, including equity and fixed-income securities of issuers anywhere in the world, including emerging markets investments, and including, among others, high yield, commodity, and real estate investments. The Underlying Funds may invest in obligations of domestic U.S. issuers, non-U.S. issuers, or both.

Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I and K shares are sold without a sales charge and only to certain eligible investors.

Each Fund operates as a diversified investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted accounting principles in the United States of America (“U.S. GAAP”), which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security valuation – Each Fund’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The three tier hierarchy of inputs is summarized below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Investments in the Underlying Funds are valued at their closing NAV each business day and are categorized as Level 1 in the hierarchy.

35

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. For the period ended December 31, 2014, there were no transfers between levels.

Investment transactions – Investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date.

Investment Income – Dividend income is recorded on the ex-dividend date. Income and capital gains distributions received by the Funds are recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. Interest income is recorded on the accrual basis. All premiums and discounts are amortized or accreted for financial reporting purposes.

Dividends and distributions – Dividends from net investment income are declared and paid at least annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.

Expense allocation – Certain expenses are applicable to multiple Funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made. Class specific fees are borne by each class.

Federal income taxes – Each Fund intends to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Funds will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Funds will not be subject to federal excise tax.

For the year ended December 31, 2014, permanent differences identified and reclassified among the components of net assets were as follows:

Fund	Paid-In Capital		Accumulated Gain (Loss)			Undistributed Net Investment Income (Loss)
State Street Target Retirement Fund	$	–	$	(2,460	)	$	2,460
State Street Target Retirement 2015 Fund		–		(6,237	)		6,237
State Street Target Retirement 2020 Fund		–		(12,542	)		12,542
State Street Target Retirement 2025 Fund		–		(14,379	)		14,379
State Street Target Retirement 2030 Fund		–		(18,262	)		18,262
State Street Target Retirement 2035 Fund		–		(13,069	)		13,069
State Street Target Retirement 2040 Fund		–		(14,845	)		14,845
State Street Target Retirement 2045 Fund		–		(10,292	)		10,292

36

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Fund	Paid-In Capital		Accumulated Gain (Loss)			Undistributed Net Investment Income (Loss)
State Street Target Retirement 2050 Fund	$	–	$	(5,068	)	$	5,068
State Street Target Retirement 2055 Fund		–		(5,067	)		5,067
State Street Target Retirement 2060 Fund		–		(5,029	)		5,029

These differences were primarily attributable to distribution redesignations. Net investment income (loss), net realized gains (losses), and net assets were not affected by this reclassification.

At December 31, 2014, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)
State Street Target Retirement Fund	$	2,023	$	2,222	$	(7,941	)
State Street Target Retirement 2015 Fund		11,940		4,377		(18,558	)
State Street Target Retirement 2020 Fund		–		7,994		(5,515	)
State Street Target Retirement 2025 Fund		3,109		9,570		(9,921	)
State Street Target Retirement 2030 Fund		813		11,017		(3,610	)
State Street Target Retirement 2035 Fund		–		4,367		1,496
State Street Target Retirement 2040 Fund		–		2,280		5,172
State Street Target Retirement 2045 Fund		–		1,450		4,566
State Street Target Retirement 2050 Fund		–		980		2,002
State Street Target Retirement 2055 Fund		–		981		2,001
State Street Target Retirement 2060 Fund		–		1,011		2,037

The tax character of distributions paid to shareholders during the period ended December 31, 2014 was as follows:

Fund	Ordinary Income		Long-Term Capital  Gain		Total
State Street Target Retirement Fund		10,084		–		10,084
State Street Target Retirement 2015 Fund		17,214		–		17,214
State Street Target Retirement 2020 Fund		28,000		638		28,638
State Street Target Retirement 2025 Fund		29,599		–		29,599
State Street Target Retirement 2030 Fund		32,190		–		32,190
State Street Target Retirement 2035 Fund		18,802		3,487		22,289
State Street Target Retirement 2040 Fund		17,563		6,275		23,838
State Street Target Retirement 2045 Fund		11,761		4,386		16,147
State Street Target Retirement 2050 Fund		6,168		1,876		8,044
State Street Target Retirement 2055 Fund		6,170		1,875		8,045
State Street Target Retirement 2060 Fund		6,141		1,849		7,990

37

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

The Funds may have net tax basis capital loss carryforwards which may be applied against any realized short-term or long-term taxable gains in each succeeding year until they are utilized. At December 31, 2014, the Funds had no net tax basis capital loss carryforwards.

At December 31, 2014, the cost of investments and the comparison of unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:

Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Target Retirement Fund		2,377,125		11,981		19,922		(7,941	)
State Street Target Retirement 2015 Fund		2,899,376		12,042		30,600		(18,558	)
State Street Target Retirement 2020 Fund		8,061,217		36,862		42,377		(5,515	)
State Street Target Retirement 2025 Fund		6,938,467		30,772		40,693		(9,921	)
State Street Target Retirement 2030 Fund		4,582,110		28,317		31,927		(3,610	)
State Street Target Retirement 2035 Fund		4,208,772		29,501		28,005		1,496
State Street Target Retirement 2040 Fund		2,507,592		32,708		27,536		5,172
State Street Target Retirement 2045 Fund		991,988		21,928		17,362		4,566
State Street Target Retirement 2050 Fund		487,638		10,583		8,581		2,002
State Street Target Retirement 2055 Fund		487,639		10,583		8,582		2,001
State Street Target Retirement 2060 Fund		488,466		10,635		8,598		2,037

In accordance with provisions surrounding income taxes, management has analyzed the Funds’ tax positions taken on federal and state income tax returns for tax returns since the Funds’ inception on September 30, 2014 and has concluded that no provision for income tax is required in the Funds’ financial statements.

3. Securities Transactions

For the period ended December 31, 2014, purchases and sales of the Underlying Fund shares were:

Fund	Purchases		Sales
State Street Target Retirement Fund	$	2,497,240	$	126,593
State Street Target Retirement 2015 Fund		3,674,503		794,249
State Street Target Retirement 2020 Fund		8,238,117		199,253
State Street Target Retirement 2025 Fund		7,333,941		419,763
State Street Target Retirement 2030 Fund		5,030,193		477,744
State Street Target Retirement 2035 Fund		4,336,950		147,214
State Street Target Retirement 2040 Fund		2,567,469		79,594
State Street Target Retirement 2045 Fund		1,027,425		47,974
State Street Target Retirement 2050 Fund		517,857		36,768
State Street Target Retirement 2055 Fund		517,857		36,769
State Street Target Retirement 2060 Fund		517,100		35,161

38

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

4. Related Party and Other Fees

Each Fund has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, each Fund pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

SSGA FM is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse the fund for expenses to the extent that total expenses (exclusive of nonrecurring account fees, extraordinary expenses, acquired fund fees, and distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.30% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the fund’s Board of Trustees. SSGA FM waived or reimbursed fees under this agreement as shown on each Statement of Operations.

The Funds pay an annual fee of $25,000 per Fund for custody and accounting services. Pursuant to the administration agreement, the Funds pay an annual fee of $50,000 for each Fund serviced by State Street. These fees are prorated for the first year of operation.

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200 for each Fund.

The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate its distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges.

Subject to the supervision of the Board of Trustees, the Trust may engage, directly or indirectly, in financing any activities relating to shareholder account administrative and servicing functions, including without limitation making payments to Agents for one or more of the following activities: (a) answering inquiries regarding account status and history, the manner in which purchases and redemptions of each Class may be effected, and certain other matters pertaining to the Trust; (b) assisting in designating and changing dividend options, account designations and addresses; (c) providing necessary personnel and facilities to establish and maintain certain shareholder accounts and records, as requested from time to time by the Trust; (d) assisting in processing purchase and redemption transactions; (e) arranging for the wiring of funds; (f) transmitting and receiving funds in connection with orders to purchase or redeem a Class of shares; (g) verifying and guaranteeing signatures in connection with redemption orders, transfers among and changes in designated accounts; (h) providing periodic statements showing account balances and, to the extent practicable, integration of such information with other client transactions otherwise effected with or through the Agent; (i) furnishing (either separately or on an integrated basis with other reports sent by the Agent) monthly and annual statements and confirmations of all purchases and redemptions of a Class of shares in an account; (j) transmitting proxy statements, annual reports, prospectuses and other communications from the Trust; (k) receiving, tabulating and transmitting to the

39

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

Trust proxies executed with respect to special meetings of shareholders of the Trust; and (l) providing such other related services as the Trust or customers of the Agent may reasonably request.

The Funds also pay a sub-transfer agent fees of 0.20% on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust pays a fixed allocation of $15,000 per Fund. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

7. Beneficial Interest

The Funds do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments within the set limits may represent 5% or more of an Underlying Funds’ outstanding shares. At December 31, 2014, none of the Funds held 5% or greater of the Underlying Funds’ outstanding shares.

8. Transaction with Affiliates

The Funds may invest in Underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated Underlying Funds for the period September 30, 2014 (commencement of operations) through December 31, 2014 are:

State Street Target Retirement Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	80,666		970	$	6,729		80		890	$	75,098	$	157	$	114		$	1,003	$	712
State Street Equity 500 Index II Portfolio		422,206		40,568		35,387		3,335		37,233		392,859		1,722		1,339			63		1,496
SPDR Barclays 1-10 Year TIPS ETF		448,133		23,081		13,365		700		22,381		426,582		1,837		(295	)		–		–

40

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

State Street Target Retirement Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Barclays High Yield Bond ETF	$	173,696		4,394	$	3,005		77		4,317	$	166,679	$	2,020	$	(90	)	$	–	$	–
SPDR Barclays Short Term Corporate Bond ETF		97,054		3,167		1,190		39		3,128		95,686		245		(8	)		59		23
SPDR Barclays Short Term Treasury ETF		396,454		13,159		19,806		658		12,501		376,030		630		(35	)		31		–
State Street Aggregate Bond Index Portfolio		505,756		49,198		21,175		2,098		47,100		477,546		956		154			516		–
State Street Global Equity ex-U.S. Index Portfolio		244,350		27,025		10,388		1,120		25,905		237,423		758		(428	)		–		–
SPDR Dow Jones Global Real Estate ETF		128,925		2,788		15,548		323		2,465		117,654		557		1,225			–		–
State Street Institutional Liquid Reserves Fund, Premier Class		20,465		20,465		16,838		16,838		3,627		3,627		–		–			–		–
State Street Target Retirement 2015 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	171,399		2,061	$	43,749		522		1,539	$	129,861	$	320	$	588		$	2,044	$	1,450
State Street Equity 500 Index II Portfolio		859,510		82,514		216,646		20,381		62,133		655,588		3,364		8,556			123		2,924
SPDR Barclays 1-10 Year TIPS ETF		651,920		33,588		122,699		6,398		27,190		518,241		2,193		(2,148	)		–		–
SPDR Barclays High Yield Bond ETF		253,700		6,424		44,782		1,154		5,270		203,475		2,633		(1,602	)		–		–
SPDR Barclays Long Term Treasury ETF		8,469		121		8,790		121		–		–		50		321			–		–
SPDR Barclays Short Term Corporate Bond ETF		14,612		477		–		–		477		14,591		33		–			8		3
SPDR Barclays Short Term Treasury ETF		76,081		2,526		24,963		830		1,696		51,016		58		(63	)		2		–
State Street Aggregate Bond Index Portfolio		903,255		89,685		181,343		17,902		71,783		727,820		1,679		1,963			907		–
State Street Global Equity ex-U.S. Index Portfolio		551,140		58,480		104,494		11,279		47,201		432,604		1,629		(4,466	)		–		–
SPDR Dow Jones Global Real Estate ETF		184,417		3,981		46,783		972		3,009		143,620		756		3,681			–		–
State Street Institutional Liquid Reserves Fund, Premier Class		25,292		25,292		21,290		21,290		4,002		4,002		2		–			–		–
State Street Target Retirement 2020 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	580,757		6,969	$	36,755		437		6,532	$	551,170	$	709	$	622		$	4,534	$	3,217
State Street Equity 500 Index II Portfolio		2,472,040		235,689		133,099		12,610		223,079		2,353,794		6,230		4,348			227		5,415

41

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

State Street Target Retirement 2020 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Barclays High Yield Bond ETF	$	487,326		12,408	$	–		–		12,408	$	479,073	$	4,327	$	–		$	–	$	–
SPDR Barclays Long Term Treasury ETF		389,445		5,492		18,741		263		5,229		381,016		1,739		954			–		–
SPDR Barclays TIPS ETF		805,098		14,377		–		–		14,377		804,825		–		–			–		–
State Street Aggregate Bond Index Portfolio		1,549,494		153,566		2,971		294		153,272		1,554,043		1,788		28			978		–
State Street Global Equity ex-U.S. Index Portfolio		1,755,973		187,889		3,670		392		187,497		1,718,452		3,336		(115	)		–		–
SPDR Dow Jones Global Real Estate ETF		197,984		4,216		4,017		84		4,132		197,220		565		292			–		–
State Street Institutional Liquid Reserves Fund, Premier Class		51,819		51,819		35,710		35,710		16,109		16,109		14		–			–		–
State Street Target Retirement 2025 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	699,856		8,386	$	60,021		715		7,671	$	647,279	$	871	$	902		$	5,564	$	3,948
State Street Equity 500 Index II Portfolio		2,526,841		240,578		208,958		19,696		220,882		2,330,622		6,468		7,869			236		5,623
SPDR Barclays High Yield Bond ETF		288,366		7,349		–		–		7,349		283,745		2,414		–			–		–
SPDR Barclays Long Term Treasury ETF		694,441		9,776		33,772		472		9,304		677,945		2,863		1,848			–		–
SPDR Barclays TIPS ETF		202,438		3,614		–		–		3,614		202,312		–		–			–		–
State Street Aggregate Bond Index Portfolio		984,292		97,513		40,255		3,974		93,539		948,398		1,086		427			642		–
State Street Global Equity ex-U.S. Index Portfolio		1,937,707		207,400		76,757		8,277		199,123		1,825,003		3,708		(3,204	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		34,884		34,884		21,642		21,642		13,242		13,242		11		–			–		–
State Street Target Retirement 2030 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	597,089		7,155	$	84,979		1,012		6,143	$	518,346	$	1,090	$	1,303		$	6,975	$	4,948
State Street Equity 500 Index II Portfolio		1,840,024		176,065		207,167		19,469		156,596		1,652,311		6,982		8,390			255		6,068
SPDR Barclays High Yield Bond ETF		53,170		1,351		–		–		1,351		52,162		500		–			–		–
SPDR Barclays Long Term Treasury ETF		452,139		6,435		24,227		339		6,096		444,191		2,380		1,299			–		–
SPDR Barclays TIPS ETF		38,818		694		–		–		694		38,850		–		–			–		–
State Street Aggregate Bond Index Portfolio		553,452		54,893		45,424		4,501		50,392		510,932		896		322			532		–
State Street Global Equity ex-U.S. Index Portfolio		1,495,501		159,120		115,947		12,548		146,572		1,343,361		4,164		(5,275	)		–		–

42

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

State Street Target Retirement 2030 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund, Premier Class	$	38,775		38,775	$	20,428		20,428		18,347	$	18,347	$	16	$	–		$	–	$	–
State Street Target Retirement 2035 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	601,148		7,217	$	30,026		357		6,860	$	578,847	$	826	$	508		$	5,287	$	3,751
State Street Equity 500 Index II Portfolio		1,644,365		157,042		86,986		8,214		148,828		1,570,347		4,720		3,117			172		4,103
SPDR Barclays Long Term Treasury ETF		409,872		5,793		8,703		125		5,668		413,004		1,920		248			–		–
State Street Aggregate Bond Index Portfolio		300,575		29,800		3,715		367		29,433		298,421		392		37			213		–
State Street Global Equity ex-U.S. Index Portfolio		1,380,990		147,518		17,784		1,911		145,607		1,334,522		2,932		(679	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		37,324		37,324		22,197		22,197		15,127		15,127		17		–			–		–
State Street Target Retirement 2040 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	414,171		4,986	$	18,840		224		4,762	$	401,818	$	972	$	319		$	6,222	$	4,414
State Street Equity 500 Index II Portfolio		981,339		94,593		45,704		4,324		90,269		952,462		4,763		1,554			174		4,141
SPDR Barclays Long Term Treasury ETF		241,111		3,471		8,495		122		3,349		244,028		1,556		243			–		–
State Street Aggregate Bond Index Portfolio		50,711		5,036		273		27		5,009		50,785		101		3			55		–
State Street Global Equity ex-U.S. Index Portfolio		880,137		92,989		6,282		676		92,313		846,072		3,096		(247	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		32,613		32,613		15,014		15,014		17,599		17,599		16		–			–		–
State Street Target Retirement 2045 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	169,502		2,050	$	1,009		12		2,038	$	171,966	$	680	$	17		$	4,347	$	3,084
State Street Equity 500 Index II Portfolio		389,243		38,104		26,824		2,534		35,570		375,313		3,165		949			116		2,752
SPDR Barclays Long Term Treasury ETF		104,013		1,534		13,057		186		1,348		98,223		894		477			–		–
State Street Global Equity ex-U.S. Index Portfolio		364,667		37,853		7,084		761		37,092		339,958		2,087		(263	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		22,494		22,494		11,400		11,400		11,094		11,094		10		–			–		–

43

State Street Institutional Investment Trust

Notes to Financial Statements — (continued)

December 31, 2014

State Street Target Retirement 2050 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	87,167		1,053	$	5,007		58		995	$	83,958	$	330	$	212		$	2,110	$	1,497
State Street Equity 500 Index II Portfolio		194,585		19,049		16,493		1,558		17,491		184,559		1,564		593			57		1,359
SPDR Barclays Long Term Treasury ETF		54,743		806		9,815		140		666		48,529		432		346			–		–
State Street Global Equity ex-U.S. Index Portfolio		181,362		18,820		5,453		580		18,240		167,174		1,031		(152	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		18,661		18,661		13,241		13,241		5,420		5,420		5		–			–		–
State Street Target Retirement 2055 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	87,167		1,053	$	5,008		58		995	$	83,958	$	330	$	212		$	2,110	$	1,497
State Street Equity 500 Index II Portfolio		194,585		19,048		16,493		1,557		17,491		184,559		1,564		593			57		1,359
SPDR Barclays Long Term Treasury ETF		54,743		806		9,815		140		666		48,529		432		346			–		–
State Street Global Equity ex-U.S. Index Portfolio		181,362		18,820		5,453		580		18,240		167,174		1,031		(152	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		18,661		18,661		13,241		13,241		5,420		5,420		5		–			–		–
State Street Target Retirement 2060 Fund	Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)			Short Term Capital Gains Distributions		Long Term Capital Gains Distributions
	Cost		Shares		Proceeds		Shares
SPDR Russell Small Cap Completeness ETF	$	86,735		1,048	$	4,491		52		996	$	84,042	$	330	$	191		$	2,112	$	1,499
State Street Equity 500 Index II Portfolio		194,590		19,049		16,126		1,523		17,526		184,927		1,567		578			57		1,361
SPDR Barclays Long Term Treasury ETF		54,391		801		9,403		134		667		48,602		436		340			–		–
State Street Global Equity ex-U.S. Index Portfolio		181,384		18,823		5,141		548		18,275		167,497		1,032		(148	)		–		–
State Street Institutional Liquid Reserves Fund, Premier Class		16,976		16,976		11,541		11,541		5,435		5,435		5		–			–		–

44

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of

State Street Institutional Investment Trust:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of State Street Target Retirement Fund, State Street Target Retirement 2015 Fund, State Street Target Retirement 2020 Fund, State Street Target Retirement 2025 Fund, State Street Target Retirement 2030 Fund, State Street Target Retirement 2035 Fund, State Street Target Retirement 2040 Fund, State Street Target Retirement 2045 Fund, State Street Target Retirement 2050 Fund, State Street Target Retirement 2055 Fund and State Street Target Retirement 2060 Fund (eleven of the funds constituting State Street Institutional Investment Trust) (the “Funds”) as of December 31, 2014, and the related statements of operations and changes in net assets, and the financial highlights for the period from September 30, 2014 (commencement of operations) to December 31, 2014. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Target Retirement Fund, State Street Target Retirement 2015 Fund, State Street Target Retirement 2020 Fund, State Street Target Retirement 2025 Fund, State Street Target Retirement 2030 Fund, State Street Target Retirement 2035 Fund, State Street Target Retirement 2040 Fund, State Street Target Retirement 2045 Fund, State Street Target Retirement 2050 Fund, State Street Target Retirement 2055 Fund and State Street Target Retirement 2060 Fund (eleven of the funds constituting State Street Institutional Investment Trust) at December 31, 2014, and the results of their operations, changes in their net assets and the financial highlights for the period from September 30, 2014 (commencement of operations) to December 31, 2014, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

March 2, 2015

45

State Street Institutional Investment Trust

Other Information

December 31, 2014 (Unaudited)

EXPENSE EXAMPLE

As a shareholder of a Fund, you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2014 to December 31, 2014.

The table below illustrates your Fund’s costs in two ways:

• Based on actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

• Based on hypothetical 5% return – This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

	Annualized Expense Ratio			Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During the Period *
State Street Target Retirement Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,001.61	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,001.76	$	0.93
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,001.89	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87

46

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

	Annualized Expense Ratio			Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During the Period *
State Street Target Retirement 2015 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,002.04	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,002.19	$	0.93
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,002.32	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2020 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,004.18	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,004.34	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,004.21	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2025 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,004.86	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.02	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.14	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87

47

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

	Annualized Expense Ratio			Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During the Period *
State Street Target Retirement 2030 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.34	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.49	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.62	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2035 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.37	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.55	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.67	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2040 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.47	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.62	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.75	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87

48

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

	Annualized Expense Ratio			Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During the Period *
State Street Target Retirement 2045 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.39	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.55	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.67	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2050 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.37	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.55	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.67	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87
State Street Target Retirement 2055 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.37	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.55	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.67	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87

49

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

	Annualized Expense Ratio			Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Expenses Paid During the Period *
State Street Target Retirement 2060 Fund
Class A		0.62	%
Actual**				$	1,000.00	$	1,005.34	$	1.57
Hypothetical***				$	1,000.00	$	1,012.71	$	3.17
Class I		0.37	%
Actual**				$	1,000.00	$	1,005.49	$	0.94
Hypothetical***				$	1,000.00	$	1,012.71	$	1.89
Class K		0.17	%
Actual**				$	1,000.00	$	1,005.65	$	0.43
Hypothetical***				$	1,000.00	$	1,012.71	$	0.87

* Expenses are equal to the Fund’s annualized expense ratio (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.

** Actual period is from September 30, 2014 (commencement of operations). Hypothetical period is from July 1, 2014.

*** 5% return per year before expenses

50

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Tax Information

For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Funds for the fiscal period ended December 31, 2014.

Long term capital gains dividends were paid from the following Funds during the period ended December 31, 2014:

	Amount
State Street Target Retirement 2020 Fund	$	638
State Street Target Retirement 2035 Fund		3,487
State Street Target Retirement 2040 Fund		6,275
State Street Target Retirement 2045 Fund		4,386
State Street Target Retirement 2050 Fund		1,876
State Street Target Retirement 2055 Fund		1,875
State Street Target Retirement 2060 Fund		1,849

Proxy Voting Policies and Procedures and Record

Information regarding the Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the U.S. Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Advisory Agreement Renewal

Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser or sub-adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

51

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on March 20, 2014, April 14, 2014 and June 19, 2014 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the initial approval an investment agreement and sub-advisory agreement for certain Funds and, for certain funds, the continuation of the investment advisory agreement and sub-advisory agreements, as applicable, with SSgA Funds Management, Inc. (the “Adviser”), and, for certain funds, CBRE Clarion Securities, LLC (the “Sub-Adviser”) (the “Advisory Agreements”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. Such information included, among other things, the following:

Information about Performance, Expenses and Fees

• A report prepared by an independent provider of investment company data, which includes for each Fund:

• Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended March 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies;

• Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent data provider;

• A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and

• Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

• Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and

• Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”).

Information about Portfolio Management

• Descriptions of the investment management services provided by the Adviser and Sub-Adviser, as applicable, including their investment strategies and processes;

• Information concerning the allocation of brokerage and the benefits received by the Adviser and Sub-Adviser, as applicable, as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and

52

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

• Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes.

Information about the Adviser

• Reports detailing the financial results and condition of the Sub-Adviser, and Adviser and its affiliates;

• Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds;

• A copy of each Code of Ethics adopted by the Adviser and Sub-Adviser, together with information relating to compliance with and the administration of such Codes;

• A copy of the Adviser’s and Sub-Adviser’s proxy voting policies and procedures;

• Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and

• A description of the business continuity and disaster recovery plans of the Adviser and Sub-Adviser.

Other Relevant Information

• Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers;

• Copies of the Advisory Agreements, Sub-Advisory Agreements and agreements with other service providers of the Funds;

• Draft responses to letter dated February 23, 2014 from Joseph P. Barri, LLC (counsel to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of:

• The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year;

• State Street Bank and Trust Company (“State Street”), the administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Funds, with respect to its operations relating to the Funds; and

• State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1;

53

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

• Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated February 23, 2014 from Joseph P. Barri, LLC prior to the Executive Session of the Board on June 19, 2014.

• Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended December 31, 2013, including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year December 31, 2013;

• Lipper materials dated March 2014, obtained by an Independent Trustee and circulated to the other Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and

• A summary of the foregoing materials prepared by Independent Counsel.

In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.

The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.

Results of the Process

Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on June 19, 2014 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of, as applicable, the Advisory Agreements and Sub-Advisory Agreements effective July 1, 2014, for an additional year with respect to all Funds.

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreements and Sub-Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser and Sub-Adviser, as applicable.

The Board considered the Adviser’s and Sub-Adviser’s, as applicable, management capabilities and investment process with respect to the types of investments held by each Fund, including the education,

54

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser and Sub-Adviser, as applicable, in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of each Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.

The Board reviewed the compliance programs of the Adviser, Sub-Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and Sub-Adviser, as applicable, can be expected to continue to provide, high quality investment management and related services for the Funds.

Fund Performance

The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended March 31, 2014.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. The Board also considered the fees that Adviser pays to the Sub-Adviser for its services to the applicable Funds.

55

State Street Institutional Investment Trust

Other Information — (continued)

December 31, 2014 (Unaudited)

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.

Profitability

The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.

The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.

56

State Street Institutional Investment Trust

Trustees and Officers Information

December 31, 2014

Name, Address, and Year of Birth	Position(s) Held With Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.

57

Name, Address, and Year of Birth	Position(s) Held With Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Master Funds; Trustee SSGA Funds
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 – 2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	59	Trustee, State Street Master Funds; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 – 2007).

58

Name, Address, and Year of Birth	Position(s) Held With Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116      YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900      YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116      YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).

59

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers: (continued)
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111      YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc.( June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116      YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue, CPH0326 Boston, MA 02116      YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

60

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian and Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Public Registered Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

Boston Financial Data Services

Two Heritage Drive

North Quincy, MA 02171

Distributor

State Street Global Markets LLC

State Street Financial Center

One Lincoln Street

Boston, MA 02111

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 SSITTRAR IBG-14269

Item 2. Code of Ethics.

As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that a Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by a Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. As of the end of the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM”). The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Registrant’s Code is filed as Exhibit 12(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L. Boyan and Mr. Richard D. Shirk. Each of the audit committee financial experts is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees

For the fiscal years ended December 31, 2014 and December 31, 2013, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual

financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $285,425 and $82,600, respectively.

(b) Audit-Related Fees

For the fiscal years ended December 31, 2014 and December 31, 2013, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.

(c) Tax Fees

The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the last two fiscal years ended December 31, 2014 and December 31, 2013 were $150,891 and $33,891, respectively.

(d) All Other Fees

For the fiscal years ended December 31, 2014 and December 31, 2013, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).

For the fiscal years ended December 31, 2014 and December 31, 2013, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to SSGA Funds Management, Inc. (the “Adviser”) and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Trust’s audit committee were approximately $7,886,395 and $7,426,155, respectively.

(e)(1) Audit Committee Pre-Approval Policies and Procedures

The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:

The Audit Committee shall have the following duties and powers:

• To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the

engagement relates directly to the operations and financial reporting of the Fund;

• To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting;

Alternate Pre-Approval Procedure:

• The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting.

(e)(2) Percentages of Services

None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.

(f) Not applicable.

(g) Total Fees Paid By Adviser and Certain Affiliates

For the fiscal years ended December 31, 2014 and December 31, 2013, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $22,200,000 and $19,400,000, respectively.

(h) E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence.

Item 5. Audit Committees of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

(a) Schedule of Investments is included as part of Item 1 of this Form N-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The Board of Trustees approved an Amended and Restated Nominating Committee Charter (the “Charter”) at their February 13, 2014 Board Meeting. The Charter contains procedures related to how shareholders are to submit recommendations for Trustee candidates to the Trusts. Those procedures are as follows:

Procedures for Shareholders to Submit Nominee Candidates

(As of February 13, 2014)

A shareholder of the Trust, or of any series thereof, if applicable, must follow the following procedures in order to submit properly a nominee recommendation for the Nominating Committee’s consideration.

1. The shareholder must submit any such recommendation (a “Shareholder Recommendation”) in writing to the Trust, to the attention of the Trust’s Secretary, at the address of the principal executive offices of the Trust.

2. The Shareholder Recommendation must be delivered to, or mailed and received at, the principal executive offices of the Trust not less than sixty (60) calendar days nor more than ninety (90) calendar days prior to the date of the Board or shareholder meeting at which the nominee candidate would be considered for election. Shareholder Recommendations will be kept on file for two years after receipt of the Shareholder Recommendation. A Shareholder Recommendation considered by the Nominating Committee in connection with the Nominating Committee’s nomination of any candidate(s) for appointment or election as an independent Trustee need not be considered again by the Nominating Committee in connection with any subsequent nomination(s).

3. The Shareholder Recommendation must include: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person

recommended by the shareholder (the “candidate”), and the names and addresses of at least three professional references; (B) the number of all shares of the Trust (including the series and class, if applicable) owned of record or beneficially by the candidate, the date such shares were acquired and the investment intent of such acquisition(s), as reported to such shareholder by the candidate; (C) any other information regarding the candidate called for with respect to director nominees by paragraphs (a), (d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), adopted by the Securities and Exchange Commission (or the corresponding provisions of any applicable regulation or rule subsequently adopted by the Securities and Exchange Commission or any successor agency with jurisdiction related to the Trust); (D) any other information regarding the candidate that would be required to be disclosed if the candidate were a nominee in a proxy statement or other filing required to be made in connection with solicitation of proxies for election of directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder or any other applicable law or regulation; and (E) whether the recommending shareholder believes that the candidate is or will be an “interested person” of the Trust (as defined in the Investment Company Act of 1940, as amended) and, if not an “interested person,” information regarding the candidate that will be sufficient, in the discretion of the Board or the Nominating Committee, for the Trust to make such determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee if elected; (iii) the recommending shareholder’s name as it appears on the Trust’s books; (iv) the number of all shares of the Trust (including the series and class, if applicable) owned beneficially and of record by the recommending shareholder; (v) a complete description of all arrangements or understandings between the recommending shareholder and the candidate and any other person or persons (including their names) pursuant to which the recommendation is being made by the recommending shareholder including, without limitation, all direct and indirect compensation and other material monetary agreements, arrangements and understandings between the candidate and recommending shareholder during the past three years, and (vi) a brief description of the candidate’s relevant background and experience for membership on the Board, such as qualification as an audit committee financial expert.

4. The Nominating Committee may require the recommending shareholder to furnish such other information as it may reasonably require or deem necessary to verify any information furnished pursuant to paragraph 3 above or to determine the eligibility of the candidate to serve as a Trustee of the Trust or to satisfy applicable law. If the recommending shareholder fails to provide such other information in writing within seven days of receipt of a written request from the Nominating Committee, the recommendation of such candidate as a nominee will be deemed not properly submitted for consideration, and the Nominating Committee will not be required to consider such candidate.

Item 11. Controls and Procedures.

(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.

(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this Form N-CSR filing that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.

(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto.

(a)(3) Not applicable to the Registrant.

(b) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: STATE STREET INSTITUTIONAL INVESTMENT TRUST

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President

Date: March 11, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President (Principal Executive Officer)
Date:	March 11, 2015
By:	/s/ Laura Dell
	Laura Dell
	Treasurer (Principal Financial and Accounting Officer)
Date:	March 11, 2015

EX-99.CODE

Exhibit 12(a)(1)

SSgA FUNDS

STATE STREET MASTER FUNDS

STATE STREET INSTITUTIONAL INVESTMENT TRUST

CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND

PRINCIPAL FINANCIAL OFFICERS

As of February 13, 2014

I. Covered Officers/Purpose of the Code

This Code of Conduct (the “Code”) shall apply to the SSgA Funds’, State Street Master Funds’ and State Street Institutional Investment Trust’s (each, a “Trust”)¹ Principal Executive Officer, Principal Financial Officer, Controller, Principal Accounting Officer and persons performing similar functions (the “Covered Officers,” each of whom is named in Exhibit A attached hereto) for the purpose of promoting:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that the Trust files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Trust. Covered Officers must avoid conduct that conflicts, or appears to conflict, with their duties to the Trust. All Covered Officers should conduct themselves such that a reasonable observer would have no grounds for belief that a conflict of

¹  Unless otherwise noted, the singular term “Trust” used throughout this document means each of SSgA Funds, State Street Master Funds and State Street Institutional Investment Trust.

interest exists. Covered Officers are not permitted to self-deal or otherwise to use their positions with the Trust to further their own or any other related person’s business opportunities.

This Code does not, and is not intended to, repeat or replace the compliance programs and procedures or codes of ethics of the Trust or the Trust’s investment adviser or distributor.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Trust and its service providers, including the investment adviser, of which the Covered Officers may be officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust, the investment adviser, or other service providers), be involved in establishing policies and implementing decisions that will have different effects on the service providers and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and its service providers and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act of 1940, as amended (“Investment Company Act”) and the Investment Advisers Act of 1940, as amended, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Trust’s Board of Trustees (the “Board”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust.

*                *                 *                *

Each Covered Officer must not:

• use his personal influence or personal relationship improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

• cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust;

• retaliate against any other Covered Officer or any employee of the Trust or its affiliated persons for reports of potential violations by the Trust of applicable rules and regulations that are made in good faith; or

• use material non-public knowledge of portfolio transactions made or contemplated for the series of the Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions.

Each Covered Officer must discuss certain material conflict of interest situations with the Trust’s Chief Compliance Officer (“CCO”). Examples of such situations include:

• service as a director, trustee, general partner, or officer of any unaffiliated business organization. This rule does not apply to charitable, civic, religious, public, political, or social organizations, the activities of which do not conflict with the interests of the Trust;

• the receipt of any non-nominal gifts (valued greater than $250.00);

• the receipt of any entertainment from any company with which the Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as raise any question of impropriety;

• any ownership interest in, or any consulting or employment relationship with, any of the Trust’s service providers, other than its investment adviser, principal underwriter, administrator, transfer agent, custodian or any affiliated person thereof; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

III. Disclosure and Conduct

• Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Trust to others, whether within or outside the Trust, including to the Trust’s Board, the Trust’s Qualified Legal and Compliance Committee (“QLCC”) or, if the Trust does not have a QLCC, the Trust’s Audit Committee, and the Trust’s independent auditors, and to governmental regulators and self-regulators and self-regulatory organizations.

• Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Trust and its service providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust.

• Each Covered Officer will exhibit and promote the highest standards of honest and ethical conduct through the establishment and operation of policies and procedures that encourage professional integrity in all aspects of the Trust’s operations.

IV. Compliance with Applicable Laws and Regulations

• The Trust’s CCO is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any

particular situation. However, any approvals or waivers sought by the Covered Officers will be considered by the QLCC or, if the Trust does not have a QLCC, the Trust’s Audit Committee.

• It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

• In the event of any question of interpretation of the requirements under this Code, Covered Officers shall consult with the CCO in order to assure compliance with the Code.

V. Reporting and Accountability

Each Covered Officer must:

• upon adoption of this Code (or thereafter as applicable, upon becoming a Covered Officer), sign and return a report in the form of Exhibit B to the Trust’s compliance officer affirming that he or she has received, read, and understands the Code;

• annually sign and return a report in the form of Exhibit C to the Trust’s compliance officer as an affirmation that he or she has complied with the requirements of the Code; and

• notify the Trust’s CCO promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Trust will follow these procedures in investigating and enforcing this Code:

• The CCO will take all appropriate actions to investigate any potential violations reported to him/her.

• If, after such investigation, the CCO believes that no violation has occurred, the CCO is not required to take any further action.

• Any matter that the CCO believes is a violation of this Code will be reported to the Trust’s QLCC or, if the Trust does not have a QLCC, the Trust’s Audit Committee.

• If the Board, after consultation with the QLCC or, if the Trust does not have a QLCC, the Trust’s Audit Committee, concurs that a violation has occurred, it will notify the appropriate personnel of the applicable service provider and may dismiss the Covered Officer as an officer of the Trust.

• The QLCC or, if the Trust does not have a QLCC, the Trust’s Audit Committee, will be responsible for granting waivers of provisions of this Code, as appropriate.

• Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

VI. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Trust for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Trust, the Trust’s investment adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Trust’s, investment adviser’s and principal underwriter’s codes of ethics under Rule 17j-1 under the Investment Company Act and the investment adviser’s more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code.

VII. Amendments

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of Independent Trustees.

VIII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trust’s Board, QLCC or Audit Committee.

IX. Internal Use

The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of the Trust, as to any fact, circumstance, or legal conclusion.

X. Sanctions

Any violation of the rules and requirements set forth in this Code may result in the imposition of such sanctions as the Board, after review by the QLCC or, if the Trust does not have a QLCC, the Trust’s Audit Committee, and its recommendation to the Board, may deem appropriate under the circumstances. These sanctions can include, but are not limited to:

• Dismissal for cause;

• Removal or suspension from office;

• Restitution to the damaged party; and/or

• Monetary fines.

EXHIBIT A

Persons Covered by this Code of Conduct:

Laura F. Dell, Treasurer and Principal Financial Officer

Ellen M. Needham, President and Principal Executive Officer

EXHIBIT B

INITIAL CERTIFICATION FORM

This is to certify that I have read and understand the Code of Ethics for Principal Executive and Senior Financial Officers of SSGA Funds, State Street Master Funds and State Street Institutional Investment Trust, dated February 13, 2014, and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.

Please sign your name here:                                                                                                 

Please print your name here:                                                                                                

Please date here:                                                                                                                   

EXHIBIT C

ANNUAL CERTIFICATION FORM

This is to certify that I have read and understand the Code of Ethics for Principal Executive and Senior Financial Officers of SSGA Funds, State Street Master Funds and State Street Institutional Investment Trust, dated February 13, 2014, (the “Code”) and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.

This is to further certify that I have complied with the requirements of the Code during the period of                      through                     .

Please sign your name here:                                                                                                     

Please print your name here:                                                                                                    

Please date here:                                                                                                                       

EX-99.CERT

Exhibit 12(a)(2)

CERTIFICATIONS

I, Ellen M. Needham, President of the State Street Institutional Investment Trust, certify that:

1. I have reviewed this report on Form N-CSR of State Street Institutional Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 27, 2015

/s/ Ellen M. Needham

Ellen M. Needham

President (Principal Executive Officer) of the State Street Institutional Investment Trust

CERTIFICATIONS

I, Laura Dell, Treasurer of the State Street Institutional Investment Trust, certify that:

1. I have reviewed this report on Form N-CSR of State Street Institutional Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 27, 2015

/s/ Laura Dell

Laura Dell

Treasurer (Principal Financial and Accounting Officer) of the State Street Institutional Investment Trust

EX-99.906CERT

Exhibit 12(b)

EX-99-906CERT

Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

I, Ellen M. Needham, President and I, Laura Dell, Treasurer of the State Street Institutional Investment Trust (the “Trust”), each certify, to the best of my knowledge and belief, that:

1. This Form N-CSR filing for the Trust for the period ended December 31, 2014 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President (Principal Executive Officer) of the State Street Institutional Investment Trust
Date:	March 11, 2015

By:	/s/ Laura Dell
	Laura Dell
	Treasurer (Principal Financial and Accounting Officer) of the State Street Institutional Investment Trust
Date:	March 11, 2015