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)

One Lincoln Street

Boston, Massachusetts 02111

(Address of principal executive offices)(Zip code)

(Name and Address of Agent for Service)	Copy to:
Joshua A. Weinberg, Esq. Managing Director and Managing Counsel SSGA Funds Management, Inc. One Lincoln Street Boston, Massachusetts 02111	Timothy W. Diggins, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02110-2624

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: December 31

Date of reporting period: December 31, 2017

Item 1. Shareholder Report.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Equity 500 Index Fund

State Street Equity 500 Index II Portfolio

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

State Street Equity 500 Index Fund
Management’s Discussion of Fund Performance  & Performance Summary (Unaudited)	1
Statement of Assets and Liabilities	3
Statement of Operations	4
Statements of Changes in Net Assets	5
Financial Highlights	7
State Street Equity 500 Index II Portfolio
Portfolio Statistics (Unaudited)	13
Schedule of Investments	14
Statement of Assets and Liabilities	21
Statement of Operations	22
Statements of Changes in Net Assets	23
Financial Highlights	24
Notes to Financial Statements	25
Report of Independent Registered Public Accounting Firm	33
Other Information (Unaudited)	34

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET EQUITY 500 INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Equity 500 Index Fund (the “Fund”) normally invests substantially all of its investable assets in the State Street Equity 500 Index II Portfolio (the “Portfolio”). The investment objective of the Fund is to replicate as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500” or the “Index”). As a result, this Fund invests indirectly through the Portfolio. The Fund’s benchmark is the S&P 500 Index (the “Index”).

In seeking to achieve this objective, the Fund utilizes an index-based 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.

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Administrative Shares was 21.43%, and the Index was 21.83%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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. Expenses, managing cash inflows to and outflows from the Fund, and small security misweights contributed to the difference between the Fund’s performance and that of the Index.

After opening 2017 with a respectable gain of approximately 1.9% in January, the S&P 500 Total Return Index better than doubled that performance in February, rising just shy of 4% for the month. After starting the month on March 1st with a 1.4% approximate gain, the Index meandered lower during much of the rest of March to finish the month near unchanged. The positive surge in U.S. stocks to open the month coincided with a very positive response to U.S. President Trump’s address to Congress on February 28th. Political and policy concerns weighed on markets toward the end of the month as the failed attempt to advance a health care bill caused some market participants to question the likelihood of other policy priorities.

The year-to-date performance through the end of June hit approximately 9.3%, reaching new all-time highs and better than two decade lows in both realized and implied volatility during that time. The second quarter of 2017 finished up just over 3%, which was half that of the first quarter. This indicated a more tentative, but still positive, U.S. growth and inflation.

The third quarter of 2017 commenced with a continuation of many of the themes that prevailed in the first half of the year, including an accelerating selloff for the U.S. dollar. The financial markets had seemingly given a pass to the Trump administration, even in its early tenure when it had been unable to move forward on an anticipated growth agenda. August, in contrast, provided a reminder that markets do take the U.S. president seriously. Trump declared on August 8th that North Korea would be met with “fire and fury” if it continues to threaten the U.S. Volatility picked up in response to his comments, and once again when the President was less than critical in his comments pertaining to violent neo-Nazi protestors in Charlottesville, Virginia. The Index ended up gaining approximately only 0.3% for the month of August. As September progressed, the market picked back up and the Index gained over 2% for the month, posting a gain of approximately 4.5% for the quarter.

The last quarter of the Reporting Period gained strength in early October with a notable increase in U.S. interest rates. November hit its 51st all-time closing high for the Index on November 3rd. December kept pace and the fourth quarter had three months of solid returns for the Index; it finished up approximately 6.6% for the three month period and an impressive 21.8%, approximately, for the year. Information Technology was the greatest contributing sector to this performance at weight of approximately 22.7% and a return of approximately 38.8% for the year. The next greatest was Health Care with an approximate weight of 14.1% and an approximate return of 22.1%. The only two sectors with negative returns were Telecommunication Services and Energy. Both are relatively low weights in the index, so did not have much impact on the overall performance.

The Fund used S&P 500 futures contracts in order to equitize the small amount of cash in the portfolio during the Reporting Period. The Fund’s use of futures contracts did not have a material impact on Fund performance.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Apple Inc., Microsoft Corporation and Amazon.com Inc. The top negative contributors to the Fund’s performance during the Reporting Period were General Electric Company, Schlumberger, Ltd. and Exxon Mobil Corporation.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

1

STATE STREET EQUITY 500 INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Five Years Ended December 31, 2017		Average Annual Total Return Ten Years Ended December 31, 2017
State Street Equity 500 Index Fund Administrative Shares		21.43%		15.47%		8.27%
State Street Equity 500 Index Fund Service Shares (a)		21.33%		15.38%		8.18%
State Street Equity 500 Index Fund Class R Shares (b)		20.96%		14.96%		7.79%
State Street Equity 500 Index Fund Class A Shares (c)		21.12%		15.15%		7.98%
State Street Equity 500 Index Fund Class I Shares (d)		21.35%		15.43%		8.25%
State Street Equity 500 Index Fund Class K Shares (e)		21.61%		15.58%		8.32%
S&P 500® Index (f)		21.83%		15.79%		8.50%

(a) NAV Performance shown for the periods prior to the inception of Service shares on March 10, 2003 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses Service shares, estimated for their first year of operations, including applicable 12b-1 fees.

(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, estimated for their first year of operations, 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, estimated for their first year of operations, 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, estimated for their first year of operations, 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 S&P 500^® Index is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in the State Street Equity 500 Index II Portfolio	$	780,066,346
Receivable for fund shares sold		1,101,311
Receivable from Adviser		43,424
Prepaid expenses and other assets		151
TOTAL ASSETS		781,211,232
LIABILITIES
Payable for investments purchased		626,019
Payable for fund shares repurchased		356,993
Advisory fee payable		13,120
Custodian fees payable		1,175
Administration fees payable		27,274
Distribution fees payable		63,417
Transfer agent fees payable		19,024
Sub-transfer agent fee payable		8,829
Registration and filing fees payable		1,551
Professional fees payable		20,308
Printing and postage fees payable		17,819
TOTAL LIABILITIES		1,155,529
NET ASSETS	$	780,055,703
NET ASSETS CONSIST OF:
Paid-in Capital	$	598,263,905
Accumulated net realized gain (loss) on investments		21,935,511
Net unrealized appreciation (depreciation) on:
Investment in the State Street Equity 500 Index II Portfolio		159,856,287
NET ASSETS	$	780,055,703
Administrative Shares
Net Assets	$	274,650,206
Shares Outstanding		12,704,048
Net asset value, offering and redemption price per share	$	21.62
Service Shares
Net Assets	$	27,875,892
Shares Outstanding		1,290,607
Net asset value, offering and redemption price per share	$	21.60
Class R Shares
Net Assets	$	42,249,166
Shares Outstanding		1,955,505
Net asset value, offering and redemption price per share	$	21.61
Class A Shares
Net Assets	$	6,292,721
Shares Outstanding		290,976
Net asset value, offering and redemption price per share	$	21.63
Maximum sales charge		5.25	%
Maximum offering price per share	$	22.83
Class I Shares
Net Assets	$	16,084,440
Shares Outstanding		743,541
Net asset value, offering and redemption price per share	$	21.63
Class K Shares
Net Assets	$	412,903,278
Shares Outstanding		19,094,279
Net asset value, offering and redemption price per share	$	21.62
COST OF INVESTMENTS:
Investment in State Street Equity 500 Index II Portfolio	$	620,210,059
Shares of State Street Equity 500 Index II Portfolio		59,683,730

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Dividend income from corresponding portfolio	$	15,468,065
EXPENSES
Advisory fee		151,993
Administration fees		394,643
Sub-transfer agent fee
Class A Shares		20,077
Class I Shares		14,242
Distribution fees
Administrative Shares		407,419
Service Shares		136,083
Class R Shares		247,846
Class A Shares		25,097
Custodian fees		13,103
Trustees’ fees and expenses		22,269
Transfer agent fees		106,968
Registration and filing fees		83,353
Professional fees		38,112
Printing and postage fees		32,662
Insurance expense		2,032
TOTAL EXPENSES		1,695,899
Expenses waived/reimbursed by the Adviser		(617,144	)
NET EXPENSES		1,078,755
NET INVESTMENT INCOME (LOSS)		14,389,310
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment in State Street Equity 500 Index II Portfolio		22,187,036
Capital gain distributions from the State Street Equity 500 Index II Portfolio		24,144,171
Net realized gain (loss)		46,331,207
Net change in unrealized appreciation/depreciation on:
Investment in State Street Equity 500 Index II Portfolio		87,973,268
NET REALIZED AND UNREALIZED GAIN (LOSS)		134,304,475
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	148,693,785

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	14,389,310		$	11,786,393
Net realized gain (loss)		46,331,207			4,935,469
Net change in unrealized appreciation/depreciation		87,973,268			62,316,120
Net increase (decrease) in net assets resulting from operations		148,693,785			79,037,982
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Administrative Shares		(5,550,811	)		(4,106,875	)
Service Shares		(532,802	)		(1,701,356	)
Class R Shares		(666,602	)		(400,997	)
Class A Shares		(112,713	)		(88,337	)
Class I Shares		(316,450	)		(61,548	)
Class K Shares		(8,900,329	)		(5,971,211	)
Total distributions from net investment income		(16,079,707	)		(12,330,324	)
Net Realized Gains
Administrative Shares		(9,485,054	)		(1,128,485	)
Service Shares		(957,979	)		(501,839	)
Class R Shares		(1,466,601	)		(159,133	)
Class A Shares		(226,287	)		(30,530	)
Class I Shares		(554,500	)		(17,511	)
Class K Shares		(14,154,877	)		(1,488,503	)
Total distributions from net realized gains		(26,845,298	)		(3,326,001	)
Total distributions to shareholders		(42,925,005	)		(15,656,325	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Administrative Shares
Proceeds from sale of shares sold		21,702,778			21,875,613
Reinvestment of distributions		15,035,865			5,235,360
Cost of shares redeemed		(77,159,335	)		(36,273,233	)
Net increase (decrease) from capital share transactions		(40,420,692	)		(9,162,260	)
Service Shares
Proceeds from sale of shares sold		8,657,371			15,822,923
Reinvestment of distributions		1,490,781			2,203,195
Cost of shares redeemed		(116,109,796	)		(8,529,710	)
Net increase (decrease) from capital share transactions		(105,961,644	)		9,496,408
Class R Shares
Proceeds from sale of shares sold		7,402,032			7,132,413
Reinvestment of distributions		2,133,203			560,130
Cost of shares redeemed		(12,029,952	)		(9,967,450	)
Net increase (decrease) from capital share transactions		(2,494,717	)		(2,274,907	)
Class A Shares
Proceeds from sale of shares sold		9,184,484			7,221,028
Reinvestment of distributions		338,962			117,809
Cost of shares redeemed		(12,189,604	)		(19,080	)
Net increase (decrease) from capital share transactions		(2,666,158	)		7,319,757
Class I Shares
Proceeds from sale of shares sold		11,678,715			4,380,131
Reinvestment of distributions		870,951			78,024
Cost of shares redeemed		(1,515,359	)		(57,378	)
Net increase (decrease) from capital share transactions		11,034,307			4,400,777
Class K Shares
Proceeds from sale of shares sold		77,397,900			308,312,508
Reinvestment of distributions		22,865,403			7,309,089
Cost of shares redeemed		(108,177,288	)		(31,860,973	)
Net increase (decrease) from capital share transactions		(7,913,985	)		283,760,624
Net increase (decrease) in net assets from beneficial interest transactions		(148,422,889	)		293,540,399
Net increase (decrease) in net assets during the period		(42,654,109	)		356,922,056
Net assets at beginning of period		822,709,812			465,787,756
NET ASSETS AT END OF PERIOD	$	780,055,703		$	822,709,812
Undistributed (distribution in excess of) net investment income (loss)	$	—		$	—

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Year Ended 12/31/17			Year Ended 12/31/16
SHARES OF BENEFICIAL INTEREST:
Administrative Shares
Shares sold	$	1,076,275		$	1,230,543
Reinvestment of distributions		692,897			275,111
Shares redeemed		(3,785,655	)		(1,992,281	)
Net increase (decrease) from share transactions		(2,016,483	)		(486,627	)
Service Shares
Shares sold		431,525			892,147
Reinvestment of distributions		68,763			115,896
Shares redeemed		(5,833,376	)		(491,370	)
Net increase (decrease) from share transactions		(5,333,088	)		516,673
Class R Shares
Shares sold		365,320			406,522
Reinvestment of distributions		98,350			29,450
Shares redeemed		(585,557	)		(564,687	)
Net increase (decrease) from share transactions		(121,887	)		(128,715	)
Class A Shares
Shares sold		433,637			390,086
Reinvestment of distributions		15,613			6,191
Shares redeemed		(556,990	)		(1,049	)
Net increase (decrease) from share transactions		(107,740	)		395,228
Class I Shares
Shares sold		540,143			233,255
Reinvestment of distributions		40,099			4,098
Shares redeemed		(73,960	)		(3,035	)
Net increase (decrease) from share transactions		506,282			234,318
Class K Shares
Shares sold		3,673,546			17,379,691
Reinvestment of distributions		1,053,220			384,082
Shares redeemed		(5,277,255	)		(1,734,066	)
Net increase (decrease) from share transactions		(550,489	)		16,029,707

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Administrative Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	18.83		$	17.17		$	17.27		$	15.50		$	11.94
Income (loss) from investment operations:
Net investment income (loss) (a)		0.38			0.26			0.31			0.29			0.26
Net realized and unrealized gain (loss)		3.66			1.76			(0.12	)		1.79			3.56
Total from investment operations		4.04			2.02			0.19			2.08			3.82
Distributions to shareholders from:
Net investment income		(0.46	)		(0.28	)		(0.29	)		(0.31	)		(0.26	)
Net realized gains		(0.79	)		(0.08	)		—			—			—
Total distributions		(1.25	)		(0.36	)		(0.29	)		(0.31	)		(0.26	)
Net asset value, end of period	$	21.62		$	18.83		$	17.17		$	17.27		$	15.50
Total return (b)		21.43	%		11.75	%		1.08	%		13.41	%		31.97	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	274,650		$	277,141		$	261,038		$	248,180		$	230,330
Ratios to Average Net Assets: (c)
Total expenses		0.26	%(d)		0.27	%(d)		0.31	%(d)		0.30	%(e)		0.25	%
Net expenses		0.18	%(d)		0.18	%(d)		0.18	%(d)		0.23	%(e)		0.25	%
Net investment income (loss)		1.83	%		1.48	%		1.76	%		1.78	%		1.84	%
Portfolio turnover rate		30	%(f)		5	%(f)		5	%(f)		4	%(g)		4	%(h)

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

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

(e) 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014.

(f) Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio.

(g) 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).

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

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Service Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	18.81		$	17.15		$	17.25		$	15.49		$	11.92
Income (loss) from investment operations:
Net investment income (loss) (a)		0.15			0.26			0.22			0.28			0.24
Net realized and unrealized gain (loss)		3.87			1.74			(0.05	)		1.77			3.57
Total from investment operations		4.02			2.00			0.17			2.05			3.81
Distributions to shareholders from:
Net investment income		(0.44	)		(0.26	)		(0.27	)		(0.29	)		(0.24	)
Net realized gains		(0.79	)		(0.08	)		—			—			—
Total distributions		(1.23	)		(0.34	)		(0.27	)		(0.29	)		(0.24	)
Net asset value, end of period	$	21.60		$	18.81		$	17.15		$	17.25		$	15.49
Total return (b)		21.33	%		11.65	%		0.98	%		13.24	%		31.97	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	27,876		$	124,591		$	104,730		$	126,412		$	124,885
Ratios to Average Net Assets: (c)
Total expenses		0.36	%(d)		0.37	%(d)		0.41	%(d)		0.40	%(e)		0.35	%
Net expenses		0.28	%(d)		0.27	%(d)		0.28	%(d)		0.33	%(e)		0.35	%
Net investment income (loss)		0.73	%		1.46	%		1.25	%		1.73	%		1.74	%
Portfolio turnover rate		30	%(f)		5	%(f)		5	%(f)		4	%(g)		4	%(h)

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

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

(e) 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014.

(f) Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio.

(g) 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).

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

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class R Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	18.81		$	17.15		$	17.26		$	15.49		$	11.93
Income (loss) from investment operations:
Net investment income (loss) (a)		0.29			0.18			0.19			0.22			0.19
Net realized and unrealized gain (loss)		3.66			1.76			(0.09	)		1.78			3.56
Total from investment operations		3.95			1.94			0.10			2.00			3.75
Distributions to shareholders from:
Net investment income		(0.36	)		(0.20	)		(0.21	)		(0.23	)		(0.19	)
Net realized gains		(0.79	)		(0.08	)		—			—			—
Total distributions		(1.15	)		(0.28	)		(0.21	)		(0.23	)		(0.19	)
Net asset value, end of period	$	21.61		$	18.81		$	17.15		$	17.26		$	15.49
Total return (b)		20.96	%		11.26	%		0.58	%		12.91	%		31.40	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	42,249		$	39,086		$	37,845		$	41,148		$	32,555
Ratios to Average Net Assets: (c)
Total expenses		0.71	%(d)		0.72	%(d)		0.76	%(d)		0.75	%(e)		0.70	%
Net expenses		0.63	%(d)		0.63	%(d)		0.63	%(d)		0.68	%(e)		0.70	%
Net investment income (loss)		1.41	%		0.99	%		1.09	%		1.37	%		1.40	%
Portfolio turnover rate		30	%(f)		5	%(f)		5	%(f)		4	%(g)		4	%(h)

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

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

(e) 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014.

(f) Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio.

(g) 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).

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

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	18.83		$	17.17		$	17.27		$	17.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.16			0.68			0.25			0.11
Net realized and unrealized gain (loss)		3.82			0.29			(0.11	)		0.45
Total from investment operations		3.98			1.97			0.14			0.56
Distributions to shareholders from:
Net investment income		(0.39	)		(0.23	)		(0.24	)		(0.29	)
Net realized gains		(0.79	)		(0.08	)		—			—
Total distributions		(1.18	)		(0.31	)		(0.24	)		(0.29	)
Net asset value, end of period	$	21.63		$	18.83		$	17.17		$	17.27
Total return (b)		21.12	%		11.42	%		0.78	%		3.28	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	6,293		$	7,509		$	60		$	51
Ratios to Average Net Assets:
Total expenses		0.56	%(c)		0.57	%(c)		0.61	%(c)		0.70	%(c)(d)
Net expenses		0.48	%(c)		0.48	%(c)		0.48	%(c)		0.51	%(c)(d)
Net investment income (loss)		0.79	%		3.69	%		1.43	%		2.32	%(d)
Portfolio turnover rate		30	%(e)		5	%(e)		5	%(e)		4	%(e)(f)

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

(d) Annualized.

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

(f) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	18.84		$	17.17		$	17.27		$	17.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.89			2.86			0.29			0.13
Net realized and unrealized gain (loss)		3.14			(0.84	)		(0.11	)		0.44
Total from investment operations		4.03			2.02			0.18			0.57
Distributions to shareholders from:
Net investment income		(0.45	)		(0.27	)		(0.28	)		(0.30	)
Net realized gains		(0.79	)		(0.08	)		—			—
Total distributions		(1.24	)		(0.35	)		(0.28	)		(0.30	)
Net asset value, end of period	$	21.63		$	18.84		$	17.17		$	17.27
Total return (b)		21.35	%		11.75	%		1.03	%		3.35	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	16,084		$	4,469		$	50		$	51
Ratios to Average Net Assets:
Total expenses		0.31	%(c)		0.32	%(c)		0.36	%(c)		0.45	%(c)(d)
Net expenses		0.23	%(c)		0.23	%(c)		0.23	%(c)		0.26	%(c)(d)
Net investment income (loss)		4.21	%		15.53	%(e)		1.66	%		2.57	%(d)
Portfolio turnover rate		30	%(f)		5	%(f)		5	%(f)		4	%(f)(g)

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

(d) Annualized.

(e) The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period.

(f) Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio.

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K Shares
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	18.83		$	17.17		$	17.27		$	17.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.44			0.44			1.45			0.14
Net realized and unrealized gain (loss)		3.64			1.61			(1.23	)		0.44
Total from investment operations		4.08			2.05			0.22			0.58
Distributions to shareholders from:
Net investment income		(0.50	)		(0.31	)		(0.32	)		(0.31	)
Net realized gains		(0.79	)		(0.08	)		—			—
Total distributions		(1.29	)		(0.39	)		(0.32	)		(0.31	)
Net asset value, end of period	$	21.62		$	18.83		$	17.17		$	17.27
Total return (b)		21.61	%		11.92	%		1.23	%		3.41	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	412,903		$	369,915		$	62,064		$	51
Ratios to Average Net Assets:
Total expenses		0.11	%(c)		0.12	%(c)		0.16	%(c)		0.27	%(c)(d)
Net expenses		0.03	%(c)		0.03	%(c)		0.03	%(c)		0.06	%(c)(d)
Net investment income (loss)		2.14	%		2.42	%		8.45	%(e)		2.78	%(d)
Portfolio turnover rate		30	%(f)		5	%(f)		5	%(f)		4	%(f)(g)

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

(d) Annualized.

(e) The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period.

(f) Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio.

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

12

STATE STREET EQUITY 500 INDEX II PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		98.5	%
Short-Term Investments		3.2
Liabilities in Excess of Other Assets		(1.7	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Information Technology		23.4	%
Financials		14.6
Health Care		13.5
Consumer Discretionary		12.0
Industrials		10.1
TOTAL		73.6	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

13

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 98.5%
CONSUMER DISCRETIONARY — 12.0%
Advance Auto Parts, Inc.		7,000	$	697,830
Amazon.com, Inc. (a)		38,090		44,545,112
Aptiv PLC		25,319		2,147,811
AutoZone, Inc. (a)		2,576		1,832,489
Best Buy Co., Inc.		24,306		1,664,232
BorgWarner, Inc.		18,977		969,535
CarMax, Inc. (a)		17,403		1,116,054
Carnival Corp.		38,901		2,581,859
CBS Corp. Class B		34,605		2,041,695
Charter Communications, Inc. Class A (a)		18,500		6,215,260
Chipotle Mexican Grill, Inc. (a) (b)		2,386		689,626
Comcast Corp. Class A		439,066		17,584,593
D.R. Horton, Inc.		32,597		1,664,729
Darden Restaurants, Inc.		11,671		1,120,649
Discovery Communications, Inc. Class A (a) (b)		14,403		322,339
Discovery Communications, Inc. Class C (a) (b)		21,003		444,634
DISH Network Corp. Class A (a)		21,700		1,036,175
Dollar General Corp.		24,813		2,307,857
Dollar Tree, Inc. (a)		22,626		2,427,996
Expedia, Inc.		11,734		1,405,381
Foot Locker, Inc.		12,900		604,752
Ford Motor Co.		372,338		4,650,502
Gap, Inc.		20,834		709,606
Garmin, Ltd.		10,940		651,696
General Motors Co.		122,023		5,001,723
Genuine Parts Co.		13,989		1,329,095
Goodyear Tire & Rubber Co.		23,544		760,707
H&R Block, Inc.		19,664		515,590
Hanesbrands, Inc. (b)		34,800		727,668
Harley-Davidson, Inc. (b)		16,816		855,598
Hasbro, Inc.		10,797		981,339
Hilton Worldwide Holdings, Inc.		19,300		1,541,298
Home Depot, Inc.		110,002		20,848,679
Interpublic Group of Cos., Inc.		37,666		759,347
Kohl’s Corp. (b)		16,745		908,081
L Brands, Inc. (b)		22,821		1,374,281
Leggett & Platt, Inc.		12,654		603,975
Lennar Corp. Class A		18,706		1,182,967
LKQ Corp. (a)		29,500		1,199,765
Lowe’s Cos., Inc.		79,450		7,384,083
Macy’s, Inc. (b)		29,062		732,072
Marriott International, Inc. Class A		29,255		3,970,781
Mattel, Inc. (b)		32,533		500,358
McDonald’s Corp.		74,910		12,893,509
MGM Resorts International		48,600		1,622,754
Michael Kors Holdings, Ltd. (a)		14,514		913,656
Mohawk Industries, Inc. (a)		6,031		1,663,953
Netflix, Inc. (a)		40,404		7,755,952
Newell Brands, Inc.		46,741		1,444,297
News Corp. Class A		36,288		588,229
News Corp. Class B		11,400		189,240
NIKE, Inc. Class B		122,806		7,681,515
Nordstrom, Inc.		11,077		524,828
Norwegian Cruise Line Holdings, Ltd. (a)		15,900		846,675
Omnicom Group, Inc.		21,991		1,601,605
O’Reilly Automotive, Inc. (a)		8,080		1,943,563
Priceline Group, Inc. (a)		4,558		7,920,619
PulteGroup, Inc.		25,762		856,587
PVH Corp.		7,349		1,008,356
Ralph Lauren Corp.		5,379		557,749
Ross Stores, Inc.		36,756		2,949,669
Royal Caribbean Cruises, Ltd.		16,300		1,944,264
Scripps Networks Interactive, Inc. Class A		9,072		774,567
Signet Jewelers, Ltd. (b)		6,600		373,230
Starbucks Corp.		135,730		7,794,974
Tapestry, Inc.		27,128		1,199,871
Target Corp.		51,872		3,384,648
Tiffany & Co.		9,699		1,008,211
Time Warner, Inc.		74,311		6,797,227
TJX Cos., Inc.		60,737		4,643,951
Tractor Supply Co.		12,426		928,844
TripAdvisor, Inc. (a) (b)		10,842		373,615
Twenty-First Century Fox, Inc. Class A		100,600		3,473,718
Twenty-First Century Fox, Inc. Class B		41,900		1,429,628
Ulta Salon Cosmetics & Fragrance, Inc. (a)		5,400		1,207,764
Under Armour, Inc. Class A (a) (b)		17,424		251,428
Under Armour, Inc. Class C (a) (b)		17,575		234,099
VF Corp.		31,344		2,319,456
Viacom, Inc. Class B		32,981		1,016,145
Walt Disney Co.		142,052		15,272,011
Whirlpool Corp.		6,902		1,163,953
Wyndham Worldwide Corp.		9,653		1,118,493
Wynn Resorts, Ltd.		7,641		1,288,196
Yum! Brands, Inc.		32,202		2,628,005
				264,198,873
CONSUMER STAPLES — 8.1%
Altria Group, Inc.		179,229		12,798,743
Archer-Daniels-Midland Co.		53,332		2,137,547
Brown-Forman Corp. Class B		18,642		1,280,146
Campbell Soup Co. (b)		18,382		884,358
Church & Dwight Co., Inc.		23,300		1,168,961
Clorox Co.		12,264		1,824,147
Coca-Cola Co.		360,800		16,553,504
Colgate-Palmolive Co.		83,823		6,324,445
Conagra Brands, Inc.		39,024		1,470,034
Constellation Brands, Inc. Class A		16,450		3,759,977
Costco Wholesale Corp.		41,655		7,752,829
Coty, Inc. Class A (b)		44,678		888,645
CVS Health Corp.		96,705		7,011,112
Dr. Pepper Snapple Group, Inc.		17,197		1,669,141
Estee Lauder Cos., Inc. Class A		21,341		2,715,429
General Mills, Inc.		54,242		3,216,008

See accompanying notes to financial statements.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Hershey Co.		13,467	$	1,528,639
Hormel Foods Corp. (b)		25,602		931,657
J.M. Smucker Co.		10,805		1,342,413
Kellogg Co. (b)		23,728		1,613,029
Kimberly-Clark Corp.		33,527		4,045,368
Kraft Heinz Co.		57,018		4,433,720
Kroger Co.		84,842		2,328,913
McCormick & Co., Inc.		11,392		1,160,959
Molson Coors Brewing Co. Class B		17,653		1,448,782
Mondelez International, Inc. Class A		142,615		6,103,922
Monster Beverage Corp. (a)		39,335		2,489,512
PepsiCo, Inc.		133,816		16,047,215
Philip Morris International, Inc.		146,112		15,436,733
Procter & Gamble Co.		243,026		22,329,229
Sysco Corp.		45,774		2,779,855
Tyson Foods, Inc. Class A		28,444		2,305,955
Wal-Mart Stores, Inc.		137,503		13,578,421
Walgreens Boots Alliance, Inc.		82,805		6,013,299
				177,372,647
ENERGY — 6.0%
Anadarko Petroleum Corp.		52,182		2,799,042
Andeavor		13,716		1,568,287
Apache Corp.		36,355		1,534,908
Baker Hughes a GE Co.		38,979		1,233,296
Cabot Oil & Gas Corp.		44,178		1,263,491
Chesapeake Energy Corp. (a) (b)		70,788		280,320
Chevron Corp.		179,012		22,410,512
Cimarex Energy Co.		9,058		1,105,167
Concho Resources, Inc. (a) (b)		14,200		2,133,124
ConocoPhillips		114,127		6,264,431
Devon Energy Corp.		50,101		2,074,181
EOG Resources, Inc.		55,171		5,953,503
EQT Corp.		23,357		1,329,480
Exxon Mobil Corp.		403,475		33,746,649
Halliburton Co.		83,267		4,069,258
Helmerich & Payne, Inc. (b)		10,226		661,009
Hess Corp. (b)		25,357		1,203,697
Kinder Morgan, Inc.		183,250		3,311,328
Marathon Oil Corp.		81,088		1,372,820
Marathon Petroleum Corp.		46,574		3,072,953
National Oilwell Varco, Inc.		36,216		1,304,500
Newfield Exploration Co. (a)		18,715		590,084
Noble Energy, Inc.		46,425		1,352,825
Occidental Petroleum Corp.		73,009		5,377,843
ONEOK, Inc.		36,596		1,956,056
Phillips 66		40,973		4,144,419
Pioneer Natural Resources Co.		16,276		2,813,307
Range Resources Corp. (b)		21,559		367,797
Schlumberger, Ltd.		132,150		8,905,588
TechnipFMC PLC		41,791		1,308,476
Valero Energy Corp.		41,723		3,834,761
Williams Cos., Inc.		78,858		2,404,380
				131,747,492
FINANCIALS — 14.6%
Affiliated Managers Group, Inc.		5,224		1,072,226
Aflac, Inc.		37,553		3,296,402
Allstate Corp.		34,239		3,585,166
American Express Co.		68,712		6,823,789
American International Group, Inc.		85,801		5,112,024
Ameriprise Financial, Inc.		14,144		2,396,984
Aon PLC		23,865		3,197,910
Arthur J Gallagher & Co.		16,900		1,069,432
Assurant, Inc.		5,385		543,023
Bank of America Corp.		924,505		27,291,388
Bank of New York Mellon Corp.		97,694		5,261,799
BB&T Corp.		75,331		3,745,457
Berkshire Hathaway, Inc. Class B (a)		183,184		36,310,733
BlackRock, Inc.		11,516		5,915,884
Brighthouse Financial, Inc. (a)		8,679		508,937
Capital One Financial Corp.		46,295		4,610,056
Cboe Global Markets, Inc.		10,800		1,345,572
Charles Schwab Corp.		113,804		5,846,112
Chubb, Ltd.		44,253		6,466,691
Cincinnati Financial Corp.		14,209		1,065,249
Citigroup, Inc.		248,927		18,522,658
Citizens Financial Group, Inc.		46,900		1,968,862
CME Group, Inc.		32,463		4,741,221
Comerica, Inc.		16,627		1,443,390
Discover Financial Services		34,628		2,663,586
E*TRADE Financial Corp. (a)		25,842		1,280,988
Everest Re Group, Ltd.		3,900		862,914
Fifth Third Bancorp		67,362		2,043,763
Franklin Resources, Inc.		31,189		1,351,419
Goldman Sachs Group, Inc.		33,446		8,520,703
Hartford Financial Services Group, Inc.		34,067		1,917,291
Huntington Bancshares, Inc.		103,191		1,502,461
Intercontinental Exchange, Inc.		55,785		3,936,190
Invesco, Ltd.		38,811		1,418,154
JPMorgan Chase & Co.		330,343		35,326,880
KeyCorp		102,596		2,069,361
Leucadia National Corp.		30,827		816,607
Lincoln National Corp.		20,882		1,605,199
Loews Corp.		26,319		1,316,740
M&T Bank Corp.		14,363		2,455,929
Marsh & McLennan Cos., Inc.		48,719		3,965,239
MetLife, Inc.		100,370		5,074,707
Moody’s Corp.		15,832		2,336,962
Morgan Stanley		132,875		6,971,951
Nasdaq, Inc.		10,875		835,526
Navient Corp.		28,813		383,789
Northern Trust Corp.		20,496		2,047,345
People’s United Financial, Inc.		33,066		618,334
PNC Financial Services Group, Inc.		45,375		6,547,159
Principal Financial Group, Inc.		25,665		1,810,922
Progressive Corp.		55,549		3,128,520
Prudential Financial, Inc.		40,502		4,656,920
Raymond James Financial, Inc.		11,700		1,044,810
Regions Financial Corp.		110,646		1,911,963
S&P Global, Inc.		24,368		4,127,939

See accompanying notes to financial statements.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
State Street Corp. (c)		35,378	$	3,453,247
SunTrust Banks, Inc.		45,436		2,934,711
Synchrony Financial		70,176		2,709,495
T Rowe Price Group, Inc.		23,155		2,429,654
Torchmark Corp.		10,512		953,544
Travelers Cos., Inc.		26,106		3,541,018
Unum Group		21,405		1,174,920
US Bancorp		147,322		7,893,513
Wells Fargo & Co.		422,503		25,633,257
Willis Towers Watson PLC		12,576		1,895,077
XL Group, Ltd.		24,448		859,592
Zions Bancorp		19,395		985,848
				321,155,112
HEALTH CARE — 13.5%
Abbott Laboratories		162,949		9,299,499
AbbVie, Inc.		149,843		14,491,317
Aetna, Inc.		31,144		5,618,066
Agilent Technologies, Inc.		30,693		2,055,510
Alexion Pharmaceuticals, Inc. (a)		21,273		2,544,038
Align Technology, Inc. (a)		6,900		1,533,111
Allergan PLC		31,706		5,186,467
AmerisourceBergen Corp.		15,434		1,417,150
Amgen, Inc.		68,154		11,851,981
Anthem, Inc.		24,519		5,517,020
Baxter International, Inc.		47,879		3,094,899
Becton Dickinson and Co.		25,257		5,406,492
Biogen, Inc. (a)		20,184		6,430,017
Boston Scientific Corp. (a)		131,057		3,248,903
Bristol-Myers Squibb Co.		153,304		9,394,469
Cardinal Health, Inc.		30,033		1,840,122
Celgene Corp. (a)		73,571		7,677,870
Centene Corp. (a)		16,500		1,664,520
Cerner Corp. (a)		30,137		2,030,932
Cigna Corp.		23,485		4,769,569
Cooper Cos., Inc.		4,600		1,002,248
Danaher Corp.		58,394		5,420,131
DaVita, Inc. (a)		15,028		1,085,773
DENTSPLY SIRONA, Inc.		21,934		1,443,915
Edwards Lifesciences Corp. (a)		20,210		2,277,869
Eli Lilly & Co.		92,418		7,805,624
Envision Healthcare Corp. (a)		11,174		386,173
Express Scripts Holding Co. (a)		54,067		4,035,561
Gilead Sciences, Inc.		122,252		8,758,133
HCA Healthcare, Inc. (a)		27,000		2,371,680
Henry Schein, Inc. (a)		15,000		1,048,200
Hologic, Inc. (a)		26,400		1,128,600
Humana, Inc.		13,590		3,371,271
IDEXX Laboratories, Inc. (a)		8,300		1,297,954
Illumina, Inc. (a)		13,900		3,037,011
Incyte Corp. (a)		16,700		1,581,657
Intuitive Surgical, Inc. (a)		10,644		3,884,421
IQVIA Holdings, Inc. (a)		13,900		1,360,810
Johnson & Johnson		255,808		35,741,494
Laboratory Corp. of America Holdings (a)		9,675		1,543,259
McKesson Corp.		19,924		3,107,148
Medtronic PLC		126,893		10,246,610
Merck & Co., Inc.		257,172		14,471,068
Mettler-Toledo International, Inc. (a)		2,400		1,486,848
Mylan NV (a)		51,202		2,166,357
Patterson Cos., Inc. (b)		7,935		286,692
PerkinElmer, Inc.		10,386		759,424
Perrigo Co. PLC		12,486		1,088,280
Pfizer, Inc.		561,633		20,342,347
Quest Diagnostics, Inc.		13,042		1,284,507
Regeneron Pharmaceuticals, Inc. (a)		7,342		2,760,298
ResMed, Inc.		13,500		1,143,315
Stryker Corp.		30,694		4,752,659
Thermo Fisher Scientific, Inc.		37,412		7,103,791
UnitedHealth Group, Inc.		92,474		20,386,818
Universal Health Services, Inc. Class B		8,500		963,475
Varian Medical Systems, Inc. (a)		8,829		981,343
Vertex Pharmaceuticals, Inc. (a)		24,152		3,619,419
Waters Corp. (a)		7,550		1,458,585
Zimmer Biomet Holdings, Inc.		19,325		2,331,948
Zoetis, Inc.		46,520		3,351,301
				297,745,969
INDUSTRIALS — 10.1%
3M Co.		56,029		13,187,546
Acuity Brands, Inc.		4,200		739,200
Alaska Air Group, Inc.		11,700		860,067
Allegion PLC		9,096		723,678
American Airlines Group, Inc.		40,600		2,112,418
AMETEK, Inc.		22,099		1,601,515
AO Smith Corp.		13,000		796,640
Arconic, Inc.		40,386		1,100,519
Boeing Co.		52,664		15,531,140
C.H. Robinson Worldwide, Inc. (b)		13,279		1,183,026
Caterpillar, Inc.		56,724		8,938,568
Cintas Corp.		8,266		1,288,091
CSX Corp.		85,255		4,689,878
Cummins, Inc.		14,914		2,634,409
Deere & Co.		30,483		4,770,894
Delta Air Lines, Inc.		62,634		3,507,504
Dover Corp.		14,850		1,499,701
Eaton Corp. PLC		42,025		3,320,395
Emerson Electric Co.		61,279		4,270,534
Equifax, Inc.		11,488		1,354,665
Expeditors International of Washington, Inc.		17,176		1,111,115
Fastenal Co.		27,458		1,501,678
FedEx Corp.		23,550		5,876,667
Flowserve Corp.		12,345		520,095
Fluor Corp.		13,204		681,987
Fortive Corp.		29,197		2,112,403
Fortune Brands Home & Security, Inc.		14,700		1,006,068
General Dynamics Corp.		26,472		5,385,728
General Electric Co.		815,288		14,226,776
Harris Corp.		11,402		1,615,093
Honeywell International, Inc.		71,478		10,961,866
IHS Markit, Ltd. (a)		34,700		1,566,705

See accompanying notes to financial statements.

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Illinois Tool Works, Inc.		29,400	$	4,905,390
Ingersoll-Rand PLC		23,884		2,130,214
Jacobs Engineering Group, Inc.		11,443		754,780
JB Hunt Transport Services, Inc.		8,300		954,334
Johnson Controls International PLC		88,308		3,365,418
Kansas City Southern		9,896		1,041,257
L3 Technologies, Inc.		7,438		1,471,608
Lockheed Martin Corp.		23,771		7,631,680
Masco Corp.		29,384		1,291,133
Nielsen Holdings PLC		31,925		1,162,070
Norfolk Southern Corp.		27,287		3,953,886
Northrop Grumman Corp.		16,625		5,102,379
PACCAR, Inc.		33,539		2,383,952
Parker-Hannifin Corp.		12,689		2,532,471
Pentair PLC		15,804		1,116,078
Quanta Services, Inc. (a)		14,407		563,458
Raytheon Co.		27,546		5,174,516
Republic Services, Inc.		21,689		1,466,393
Robert Half International, Inc.		12,266		681,254
Rockwell Automation, Inc.		12,226		2,400,575
Rockwell Collins, Inc.		15,531		2,106,314
Roper Technologies, Inc.		9,765		2,529,135
Snap-on, Inc. (b)		5,540		965,622
Southwest Airlines Co.		52,059		3,407,262
Stanley Black & Decker, Inc.		14,657		2,487,146
Stericycle, Inc. (a)		8,096		550,447
Textron, Inc.		25,133		1,422,276
TransDigm Group, Inc. (b)		4,600		1,263,252
Union Pacific Corp.		73,698		9,882,902
United Continental Holdings, Inc. (a)		24,000		1,617,600
United Parcel Service, Inc. Class B		64,191		7,648,358
United Rentals, Inc. (a)		8,100		1,392,471
United Technologies Corp.		69,451		8,859,864
Verisk Analytics, Inc. (a)		14,800		1,420,800
W.W. Grainger, Inc. (b)		4,957		1,171,091
Waste Management, Inc.		38,135		3,291,050
Xylem, Inc.		17,158		1,170,176
				221,945,181
INFORMATION TECHNOLOGY — 23.4%
Accenture PLC Class A		57,818		8,851,358
Activision Blizzard, Inc.		72,200		4,571,704
Adobe Systems, Inc. (a)		46,044		8,068,751
Advanced Micro Devices, Inc. (a) (b)		78,300		804,924
Akamai Technologies, Inc. (a)		16,490		1,072,510
Alliance Data Systems Corp.		4,596		1,164,994
Alphabet, Inc. Class A (a)		28,167		29,671,118
Alphabet, Inc. Class C (a)		28,787		30,122,717
Amphenol Corp. Class A		29,120		2,556,736
Analog Devices, Inc.		35,152		3,129,583
ANSYS, Inc. (a)		8,100		1,195,479
Apple, Inc.		487,924		82,571,378
Applied Materials, Inc.		101,754		5,201,664
Autodesk, Inc. (a)		20,906		2,191,576
Automatic Data Processing, Inc.		42,352		4,963,231
Broadcom, Ltd.		38,091		9,785,578
CA, Inc.		29,740		989,747
Cadence Design Systems, Inc. (a)		26,000		1,087,320
Cars.com, Inc. (a)		1		29
Cisco Systems, Inc.		465,390		17,824,437
Citrix Systems, Inc. (a)		13,689		1,204,632
Cognizant Technology Solutions Corp. Class A		56,241		3,994,236
Corning, Inc.		82,926		2,652,803
CSRA, Inc.		13,812		413,255
DXC Technology Co.		27,238		2,584,886
eBay, Inc. (a)		92,745		3,500,196
Electronic Arts, Inc. (a)		29,379		3,086,558
F5 Networks, Inc. (a)		6,241		818,944
Facebook, Inc. Class A (a)		226,993		40,055,185
Fidelity National Information Services, Inc.		31,891		3,000,624
Fiserv, Inc. (a)		19,862		2,604,504
FLIR Systems, Inc.		12,961		604,242
Gartner, Inc. (a)		8,200		1,009,830
Global Payments, Inc.		15,176		1,521,242
Hewlett Packard Enterprise Co.		152,153		2,184,917
HP, Inc.		159,353		3,348,007
Intel Corp.		446,536		20,612,102
International Business Machines Corp.		80,795		12,395,569
Intuit, Inc.		23,137		3,650,556
Juniper Networks, Inc.		36,149		1,030,246
KLA-Tencor Corp.		14,932		1,568,905
Lam Research Corp. (b)		15,477		2,848,851
Mastercard, Inc. Class A		87,251		13,206,311
Microchip Technology, Inc. (b)		22,283		1,958,230
Micron Technology, Inc. (a)		110,034		4,524,598
Microsoft Corp.		733,558		62,748,551
Motorola Solutions, Inc.		15,472		1,397,740
NetApp, Inc.		25,714		1,422,498
NVIDIA Corp.		56,844		10,999,314
Oracle Corp.		286,335		13,537,919
Paychex, Inc.		30,507		2,076,917
PayPal Holdings, Inc. (a)		105,545		7,770,223
Qorvo, Inc. (a)		12,100		805,860
QUALCOMM, Inc.		137,926		8,830,023
Red Hat, Inc. (a)		16,870		2,026,087
salesforce.com, Inc. (a)		65,495		6,695,554
Seagate Technology PLC (b)		27,624		1,155,788
Skyworks Solutions, Inc.		17,500		1,661,625
Symantec Corp.		59,160		1,660,030
Synopsys, Inc. (a)		14,300		1,218,932
TE Connectivity, Ltd.		33,551		3,188,687
Texas Instruments, Inc.		92,293		9,639,081
Total System Services, Inc.		15,676		1,239,815
VeriSign, Inc. (a)		8,101		927,078
Visa, Inc. Class A		173,060		19,732,301
Western Digital Corp.		28,253		2,246,961
Western Union Co.		43,845		833,493
Xerox Corp.		20,227		589,617

See accompanying notes to financial statements.

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Xilinx, Inc.		23,960	$	1,615,383
				514,223,740
MATERIALS — 3.0%
Air Products & Chemicals, Inc.		20,802		3,413,192
Albemarle Corp. (b)		10,500		1,342,845
Alcoa Corp. (a)		1		54
Avery Dennison Corp.		8,470		972,864
Ball Corp.		33,432		1,265,401
CF Industries Holdings, Inc.		22,120		940,985
DowDuPont, Inc.		220,046		15,671,676
Eastman Chemical Co.		13,436		1,244,711
Ecolab, Inc.		24,801		3,327,798
FMC Corp.		12,778		1,209,566
Freeport-McMoRan, Inc. (a)		128,440		2,435,222
International Flavors & Fragrances, Inc.		7,551		1,152,358
International Paper Co.		39,403		2,283,010
LyondellBasell Industries NV Class A		30,848		3,403,151
Martin Marietta Materials, Inc.		5,745		1,269,875
Monsanto Co.		41,961		4,900,206
Mosaic Co.		33,284		854,067
Newmont Mining Corp.		50,933		1,911,006
Nucor Corp.		30,348		1,929,526
Packaging Corp. of America		9,000		1,084,950
PPG Industries, Inc.		24,254		2,833,352
Praxair, Inc.		27,311		4,224,466
Sealed Air Corp.		18,323		903,324
Sherwin-Williams Co.		7,809		3,202,002
Vulcan Materials Co.		12,671		1,626,576
WestRock Co.		24,336		1,538,279
				64,940,462
REAL ESTATE — 2.9%
Alexandria Real Estate Equities, Inc. REIT		9,100		1,188,369
American Tower Corp. REIT		40,918		5,837,771
Apartment Investment & Management Co. Class A, REIT		14,887		650,711
AvalonBay Communities, Inc. REIT		13,169		2,349,481
Boston Properties, Inc. REIT		14,746		1,917,422
CBRE Group, Inc. Class A (a)		28,867		1,250,230
Crown Castle International Corp. REIT		38,758		4,302,525
Digital Realty Trust, Inc. REIT		19,600		2,232,440
Duke Realty Corp. REIT		34,000		925,140
Equinix, Inc. REIT		7,443		3,373,316
Equity Residential REIT		35,019		2,233,162
Essex Property Trust, Inc. REIT		6,345		1,531,493
Extra Space Storage, Inc. REIT		12,000		1,049,400
Federal Realty Investment Trust REIT		6,800		903,108
GGP, Inc. REIT		59,558		1,393,062
HCP, Inc. REIT		44,723		1,166,376
Host Hotels & Resorts, Inc. REIT		70,662		1,402,641
Iron Mountain, Inc. REIT		25,481		961,398
Kimco Realty Corp. REIT		40,353		732,407
Macerich Co. REIT		10,455		686,684
Mid-America Apartment Communities, Inc. REIT		10,800		1,086,048
Prologis, Inc. REIT		50,752		3,274,011
Public Storage REIT		14,235		2,975,115
Realty Income Corp. REIT		26,900		1,533,838
Regency Centers Corp. REIT		14,100		975,438
SBA Communications Corp. REIT (a)		11,200		1,829,632
Simon Property Group, Inc. REIT		29,680		5,097,243
SL Green Realty Corp. REIT		9,400		948,742
UDR, Inc. REIT		25,400		978,408
Ventas, Inc. REIT		33,997		2,040,160
Vornado Realty Trust REIT		16,468		1,287,468
Welltower, Inc. REIT		35,319		2,252,293
Weyerhaeuser Co. REIT		71,987		2,538,262
				62,903,794
TELECOMMUNICATION SERVICES — 2.0%
AT&T, Inc.		585,687		22,771,511
CenturyLink, Inc.		92,878		1,549,205
Verizon Communications, Inc.		384,315		20,341,793
				44,662,509
UTILITIES — 2.9%
AES Corp.		62,636		678,348
Alliant Energy Corp.		21,600		920,376
Ameren Corp.		23,104		1,362,905
American Electric Power Co., Inc.		46,909		3,451,095
American Water Works Co., Inc.		17,000		1,555,330
CenterPoint Energy, Inc.		41,176		1,167,751
CMS Energy Corp.		26,955		1,274,972
Consolidated Edison, Inc.		29,552		2,510,442
Dominion Energy, Inc.		61,394		4,976,598
DTE Energy Co.		17,145		1,876,692
Duke Energy Corp.		66,792		5,617,875
Edison International		31,114		1,967,649
Entergy Corp.		17,198		1,399,745
Eversource Energy		30,217		1,909,110
Exelon Corp.		91,584		3,609,325
FirstEnergy Corp.		42,493		1,301,136
NextEra Energy, Inc.		44,864		7,007,308
NiSource, Inc.		30,704		788,172
NRG Energy, Inc.		28,702		817,433
PG&E Corp.		48,914		2,192,815
Pinnacle West Capital Corp.		10,604		903,249
PPL Corp.		65,219		2,018,528
Public Service Enterprise Group, Inc.		48,288		2,486,832
SCANA Corp.		13,599		540,968
Sempra Energy		23,962		2,562,017
Southern Co.		95,759		4,605,050
WEC Energy Group, Inc.		30,082		1,998,347

See accompanying notes to financial statements.

18

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Xcel Energy, Inc		48,451	$	2,330,977
				63,831,045
TOTAL COMMON STOCKS (Cost $1,635,709,749)				2,164,726,824
SHORT-TERM INVESTMENTS — 3.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (d) (e)		69,243,442		69,243,442
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f)		1,778,697		1,778,697
TOTAL SHORT-TERM INVESTMENTS (Cost $71,022,139)				71,022,139
TOTAL INVESTMENTS — 101.7% (Cost $1,706,731,888)				2,235,748,963
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.7)%				(36,568,052	)
NET ASSETS — 100.0%			$	2,199,180,911

(a) Non-income producing security.

(b) All or a portion of the shares of the security are on loan at December 31, 2017.

(c) The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at December 31, 2017.

(f) Investment of cash collateral for securities loaned.

REIT = Real Estate Investment Trust

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
E-Mini S&P 500 Index (long)		03/16/2018		510	$	67,666,658	$	68,238,000	$	571,342

During the period ended December 31, 2017, average notional value related to futures contracts was $53,195,384 or 2% of net assets.

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS
INVESTMENTS:
Common Stocks
Consumer Discretionary	$	264,198,873	$	—	$	—	$	264,198,873
Consumer Staples		177,372,647		—		—		177,372,647
Energy		131,747,492		—		—		131,747,492
Financials		321,155,112		—		—		321,155,112
Health Care		297,745,969		—		—		297,745,969
Industrials		221,945,181		—		—		221,945,181
Information Technology		514,223,740		—		—		514,223,740
Materials		64,940,462		—		—		64,940,462
Real Estate		62,903,794		—		—		62,903,794
Telecommunication Services		44,662,509		—		—		44,662,509

See accompanying notes to financial statements.

19

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Utilities	$	63,831,045	$	—	$	—	$	63,831,045
Short-Term Investments		71,022,139		—		—		71,022,139
TOTAL INVESTMENTS	$	2,235,748,963	$	—	$	—	$	2,235,748,963
OTHER FINANCIAL INSTRUMENTS:
Futures Contracts		571,342		—		—		571,342
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	2,236,320,305	$	—	$	—	$	2,236,320,305

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Corp.		23,278	$	1,809,166	$	1,896,183	$	831,072	$	282,090	$	296,880		35,378	$	3,453,247	$	52,711	$	—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		665,687,818		596,444,376		—		—		69,243,442		69,243,442		329,422		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		30,381,182		30,381,182		487,234,351		517,615,533		—		—		—		—		101,342		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		12,620,369		10,841,672		—		—		1,778,697		1,778,697		11,266		—
Total			$	32,190,348	$	1,167,438,721	$	1,125,732,653	$	282,090	$	296,880			$	74,475,386	$	494,741	$	—

See accompanying notes to financial statements.

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value*	$	2,161,273,577
Investments in affiliated issuers, at value		74,475,386
Total Investments		2,235,748,963
Cash at broker		2,295,000
Cash		47
Receivable for investments sold		2,307,837
Receivable for fund shares sold		949,604
Dividends receivable — unaffiliated issuers		2,049,020
Dividends receivable — affiliated issuers		67,180
Securities lending income receivable — unaffiliated issuers		2,975
Securities lending income receivable — affiliated issuers		1,313
Prepaid expenses and other assets		409
TOTAL ASSETS		2,243,422,348
LIABILITIES
Payable upon return of securities loaned		1,778,697
Payable for investments purchased		761,817
Payable for fund shares repurchased		41,334,000
Payable to broker — variation margin on open futures contracts		247,310
Custodian fees payable		23,621
Registration and filing fees payable		35,316
Professional fees payable		53,371
Printing and postage fees payable		6,934
Accrued expenses and other liabilities.		371
TOTAL LIABILITIES		44,241,437
NET ASSETS	$	2,199,180,911
NET ASSETS CONSIST OF:
Paid-in Capital	$	1,634,233,065
Accumulated net realized gain (loss) on investments and futures contracts		35,359,522
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		528,052,052
Investments — affiliated issuers		965,023
Futures contracts		571,249
NET ASSETS	$	2,199,180,911
NET ASSET VALUE PER SHARE
Net asset value per share	$	13.07
Shares outstanding (unlimited amount authorized, no par value)		168,205,224
Net Assets	$	2,199,180,911
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	1,633,221,525
Investments in affiliated issuers		73,510,363
Total cost of investments	$	1,706,731,888
* Includes investments in securities on loan, at value	$	25,249,382

See accompanying notes to financial statements.

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	13,937
Dividend income — unaffiliated issuers		38,095,812
Dividend income — affiliated issuers		483,475
Unaffiliated securities lending income		25,184
Affiliated securities lending income		11,266
TOTAL INVESTMENT INCOME (LOSS)		38,629,674
EXPENSES
Administration and custody fees		227,379
Trustees’ fees and expenses		48,610
Registration and filing fees		41,356
Professional fees		156,270
Printing and postage fees		19,625
Insurance expense		2,608
Interest expense		84
Miscellaneous expenses		41,629
TOTAL EXPENSES		537,561
NET INVESTMENT INCOME (LOSS)		38,092,113
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		86,776,931
Investments — affiliated issuers		282,090
Futures contracts		8,242,351
Net realized gain (loss)		95,301,372
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		235,447,446
Investments — affiliated issuers		296,880
Futures contracts		860,270
Net change in unrealized appreciation/depreciation		236,604,596
NET REALIZED AND UNREALIZED GAIN (LOSS)		331,905,968
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	369,998,081

See accompanying notes to financial statements.

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	38,092,113		$	19,097,077
Net realized gain (loss)		95,301,372			8,694,706
Net change in unrealized appreciation/depreciation		236,604,596			77,846,081
Net increase (decrease) in net assets resulting from operations		369,998,081			105,637,864
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(38,352,420	)		(19,477,482	)
Net realized gains		(59,864,463	)		(8,517,345	)
Total distributions to shareholders		(98,216,883	)		(27,994,827	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		1,289,250,676			690,372,400
Reinvestment of distributions		98,216,883			27,994,827
Cost of shares redeemed		(687,512,121	)		(109,900,950	)
Net increase (decrease) in net assets from beneficial interest transactions		699,955,438			608,466,277
Net increase (decrease) in net assets during the period		971,736,636			686,109,314
Net assets at beginning of period		1,227,444,275			541,334,961
NET ASSETS AT END OF PERIOD	$	2,199,180,911		$	1,227,444,275
Undistributed (distribution in excess of) net investment income (loss)	$	—		$	—
SHARES OF BENEFICIAL INTEREST:
Shares sold		106,644,618			63,557,261
Reinvestment of distributions		7,508,936			2,455,687
Shares redeemed		(54,428,277	)		(9,970,413	)
Net increase (decrease)		59,725,277			56,042,535

See accompanying notes to financial statements.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EQUITY 500 INDEX II PORTFOLIO

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 8/11/14* - 12/31/14
Net asset value, beginning of period	$	11.31		$	10.32		$	10.55		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.25			0.23			0.22			0.08
Net realized and unrealized gain (loss)		2.21			1.02			(0.09	)		0.63
Total from investment operations		2.46			1.25			0.13			0.71
Distributions to shareholders from:
Net investment income		(0.27	)		(0.18	)		(0.20	)		(0.08	)
Net realized gains		(0.43	)		(0.08	)		(0.16	)		(0.08	)
Total distributions		(0.70	)		(0.26	)		(0.36	)		(0.16	)
Net asset value, end of period	$	13.07		$	11.31		$	10.32		$	10.55
Total return (b)		21.66	%		12.18	%		1.29	%		7.12	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,199,181		$	1,227,444		$	541,335		$	426,710
Ratios to average net assets:
Total expenses		0.03	%		0.04	%		0.04	%		0.04	%(c)
Net expenses		0.03	%		0.03	%		0.03	%		0.03	%(c)
Net investment income (loss)		1.98	%		2.15	%		2.05	%		2.06	%(c)
Portfolio turnover rate		30	%		5	%		5	%		4	%(d)(e)

 * 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) Not annualized.

(e) Portfolio turnover rate excludes in-kind security transactions.

See accompanying notes to financial statements.

24

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights) each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following Fund or Portfolio:

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

The Fund is part of a “master-feeder” structure, and it invests substantially all of its assets in the master portfolio as shown below. The Portfolio is a separate series of the Trust. The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

Fund Name	Portfolio Name	Fund Ownership Interest in Portfolio at December 31, 2017
State Street Equity 500 Index Fund	State Street Equity 500 Index II Portfolio		35.47	%

Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares and Class K shares are sold without a sales charge and only to certain eligible investors.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund and the Portfolio are investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investment in its Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed below:

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange ("NYSE") is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value ("NAV") per share or unit.

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Portfolio’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended December 31, 2017.

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

The Portfolio invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

Expenses

Certain expenses, which are directly identifiable to a specific Fund or Portfolio, are applied to that Fund or Portfolio within the Trust. Other expenses which cannot be attributed to a specific Fund or Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds and Portfolios within the Trust. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Derivative Financial Instruments

Futures Contracts

The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.

For the period ended December 31, 2017, the Portfolio entered into futures contracts for cash equitization, reduce tracking error and to facilitate daily liquidity.

The following tables summarize the value of the Portfolio’s derivative instruments as of December 31, 2017, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:

27

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts (a)	$	—	$	—	$	—	$	571,342	$	—	$	571,342

(a) Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	8,242,351	$	—	$	8,242,351
	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	860,270	$	—	$	860,270

4. Fees and Transactions with Affiliates

Advisory Fee

The Fund and Portfolio have entered into Investment Advisory Agreements with SSGA FM, a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which the Adviser directs the investments of the Portfolio 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 fee at an annual rate of 0.02% of its average daily net assets. The Portfolio pays no investment advisory fees to SSGA FM.

SSGA FM is contractually obligated until April 30, 2018, 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 expenses) 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.

SSGA FM is contractually obligated until April 30, 2018, to waive its management fee and/or to reimburse the Portfolio 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 expenses) exceed 0.03% 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 Portfolio’s Board.

For the period ended December 31, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

28

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

SSGA FM serves as administrator and State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its administration services, the Portfolio pays SSGA FM an annual fee. The fees are accrued daily and paid monthly. SSGA FM pays State Street for its services as custodian, sub-administrator and transfer agent to the Portfolio.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution and Shareholder Servicing Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate the 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 in such class (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. In addition to payments under the Plan, the Fund may reimburse SSGA FD 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.

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

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Fund/Portfolio, acts as the securities lending agent for the Fund/Portfolio, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund/Portfolio, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund and the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

29

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Equity 500 Index II Portfolio	$	1,189,357,510	$	551,502,923

7. Income Tax Information

The Fund and the Portfolio have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund and the Portfolio 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. Therefore, no provision for federal income tax is required.

The Fund and Portfolio file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund and Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book- tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, corporate actions, nontaxable dividend adjustments to income, futures contracts and wash sale loss deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Equity 500 Index Fund	$	28,670,825	$	14,254,180	$	—	$	42,925,005
State Street Equity 500 Index II Portfolio		42,436,631		55,780,252		—		98,216,883

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Equity 500 Index Fund	$	12,398,637	$	3,257,688	$	—	$	15,656,325
State Street Equity 500 Index II Portfolio		20,234,099		7,760,728		—		27,994,827

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Equity 500 Index Fund	$	101,899	$	—	$	22,487,868	$	159,202,031	$	—	$	181,791,798
State Street Equity 500 Index II Portfolio		1,104,530		—		48,611,876		515,231,440		—		564,947,846

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

30

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Equity 500 Index Fund	$	620,864,315	$	159,202,031	$	—	$	159,202,031
State Street Equity 500 Index II Portfolio		1,721,088,773		535,547,471		20,315,937		515,231,534

8. Securities Lending

The Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Portfolio will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolio may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Portfolio will bear the risk of loss of any cash collateral that it may invest. The Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2017, and the value of the invested cash collateral are disclosed in the Portfolio’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio, and the Portfolio does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolio’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of December 31, 2017:

Fund	Market Value of Securities on Loan		Cash Collateral Received		Non Cash Collateral Received*		Total Collateral Received
State Street Equity 500 Index II Portfolio	$	25,249,382	$	1,778,697	$	24,302,547	$	26,081,244

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2017:

		Remaining Contractual Maturity of the Agreements As of December 31, 2017
Fund	Securities Lending Transactions	Overnight and Continuous		<30 Days		Between 30 & 90 Days		>90 Days		Total Borrowings		Gross Amount of Recognized Liabilities for Securities Lending Transactions
State Street Equity 500 Index II Portfolio	Common Stocks	$	1,778,697	$	—	$	—	$	—	$	1,778,697	$	1,778,697

31

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

9. Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolio and other affiliated funds participated in a $360 million revolving credit facility.

The Portfolio had no outstanding loans as of December 31, 2017.

10. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market and Credit Risk

In the normal course of business, the Portfolio and the Fund trade financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio and the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

11. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio and Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

32

STATE STREET INSTITUTIONAL INVESTMENT TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of State Street Equity 500 Index Fund and State Street Equity 500 Index II Portfolio:

Opinion on the Financial Statements

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 (the “Trust”)), including the schedules of investments of the Portfolio, as of December 31, 2017, and the related statements of operations, changes in net assets and the financial highlights for each of the years or periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements 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, 2017, and the results of their operations, changes in net assets, and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual fund or portfolio constituting the State Street Institutional Investment Trust	Statement of operations	Statement of changes in net assets	Financial highlights
State Street Equity 500 Index Fund	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the five years in the period ended December 31, 2017
State Street Equity 500 Index II Portfolio	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the three years in the period ended December 31, 2017 and the period from August 11, 2014 (commencement of operations) through December 31, 2014

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s and the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

33

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund/Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund/Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund/Portfolio 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s/Portfolio’s cost 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/Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund/Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund/Portfolio under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return — This section is intended to help you compare your Fund’s/Portfolio’s costs with those of other mutual funds. It assumes that the Fund/Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s/Portfolio’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 (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s/Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Equity 500 Index Fund (b)
Administrative Shares		0.18	%	$	1,113.20	$	0.96	$	1,024.30	$	0.92
Service Shares		0.28			1,112.70		1.49		1,023.80		1.43
Class R Shares		0.63			1,111.00		3.35		1,022.00		3.21
Class A Shares		0.48			1,111.40		2.55		1,022.80		2.45
Class I Shares		0.23			1,113.10		1.23		1,024.00		1.17
Class K Shares		0.03			1,113.80		0.16		1,025.10		0.15
State Street Equity 500 Index II Portfolio		0.03			1,114.20		0.16		1,025.10		0.15

(a) Expenses are equal to the Fund’s/Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

(b) Because the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

34

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 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. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2017:

	Amount
State Street Equity 500 Index Fund	$	14,254,180
State Street Equity 500 Index II Portfolio		55,780,252

35

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the website of the SEC, at www.sec.gov. Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Fund’s and Portfolio’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund and Portfolio file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s and Portfolio’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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s and Portfolio’s website at www.ssgafunds.com.

36

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

37

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

38

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005- Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

39

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.

40

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 of the Fund and the Portfolio and Transfer Agent of the 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 02199

Transfer Agent of the Fund

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

SSIITEQ5001AR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Institutional Liquid Reserves Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Statement of Assets and Liabilities	3
Statement of Operations	4
Statements of Changes in Net Assets	5
Financial Highlights	7
Notes to Financial Statements	12
Report of Independent Registered Public Accounting Firm	18
Other Information (Unaudited)	19

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

STATEMENT OF ASSETS AND LIABILITIES

For the Year Ended December 31, 2017

ASSETS
Investments in corresponding affiliated Portfolio, at value	$	9,941,804,078
Receivable for fund shares sold		200
Receivable from Adviser		86,252
Other Receivable — Voluntary expense reimbursement from Affiliate (Note 3)		6,760
Prepaid expenses and other assets		2,063
TOTAL ASSETS		9,941,899,353
LIABILITIES
Administration fees payable		466,201
Shareholder servicing fee payable		205,349
Distribution fees payable		42,537
Transfer agent fees payable		61,239
Distribution payable		1,494,028
Registration and filing fees payable		165,453
Professional fees payable		27,102
Printing fees payable		103,116
Accrued expenses and other liabilities		208,411
TOTAL LIABILITIES		2,773,436
NET ASSETS	$	9,939,125,917
NET ASSETS CONSIST OF:
Paid-in Capital	$	9,939,237,133
Undistributed (distribution in excess of) net investment income (loss)		97,464
Accumulated net realized gain (loss) on investments		(63,091	)
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		(145,589	)
NET ASSETS	$	9,939,125,917
Administration Class
Net Assets	$	831,605,610
Shares Outstanding		831,645,044
Net asset value, offering and redemption price per share	$	1.0000
Investment Class
Net Assets	$	5,547,069
Shares Outstanding		5,547,765
Net asset value, offering and redemption price per share	$	0.9999
Investor Class
Net Assets	$	34,361,002
Shares Outstanding		34,365,340
Net asset value, offering and redemption price per share	$	0.9999
Premier Class
Net Assets	$	8,303,221,628
Shares Outstanding		8,303,754,271
Net asset value, offering and redemption price per share	$	0.9999
Trust Class
Net Assets	$	764,390,608
Shares Outstanding		764,447,975
Net asset value, offering and redemption price per share	$	0.9999
COST OF INVESTMENTS:
Investments in corresponding affiliated Portfolio	$	9,941,949,667

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

1

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO
Interest income allocated from affiliated Portfolio	$	114,850,608
Expenses allocated from affiliated Portfolio		(6,291,774	)
Other Income — Voluntary expense reimbursement from Affiliate (Note 3)		6,760
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO		108,565,594
EXPENSES
Administration fees
Administration Class		485,601
Investment Class		2,786
Investor Class		6,760
Premier Class		3,873,612
Trust Class		509,505
Shareholder servicing fees
Administration Class		1,942,401
Investment Class		13,928
Investor Class		10,816
Trust Class		591,026
Distribution fees
Administration Class		485,600
Investment Class		5,571
Custodian fees		18,492
Trustees’ fees and expenses		5,160
Transfer agent fees		217,476
Registration and filing fees		204,474
Professional fees and expenses		22,163
Printing fees		110,544
Insurance expense		160,121
Miscellaneous expenses		112,481
TOTAL EXPENSES		8,778,517
Expenses waived/reimbursed by the Adviser		(86,311	)
NET EXPENSES		8,692,206
NET INVESTMENT INCOME (LOSS)		99,873,388
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments allocated from affiliated Portfolio		(63,091	)
Net change in unrealized appreciation/depreciation on:
Investments allocated from affiliated Portfolio		(946,240	)
NET REALIZED AND UNREALIZED GAIN (LOSS)		(1,009,331	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	98,864,057

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

2

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17(a)			Year Ended 12/31/16(b)
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	99,873,388		$	153,171,976
Net realized gain (loss)		(63,091	)		312,526
Net change in unrealized appreciation/depreciation		(946,240	)		800,651
Net increase (decrease) in net assets resulting from operations		98,864,057			154,285,153
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Administration Class		(7,817,877	)		(1,022,962	)
Investment Class		(38,959	)		(158,048	)
Investor Class		(160,905	)		—
Premier Class		(81,989,242	)		(143,145,124	)
Trust Class		(9,868,689	)		(3,546,563	)
Class M		—			(5,299,279	)
Total distributions from net investment income		(99,875,672	)		(153,171,976	)
Net Realized Gains
Administration Class		(26,712	)		—
Investment Class		(171	)		—
Investor Class		(1,046	)		—
Premier Class		(264,306	)		—
Trust Class		(20,291	)		—
Total distributions from net realized gains		(312,526	)		—
Total distributions to shareholders		(100,188,198	)		(153,171,976	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Administration Class
Shares sold		10,028,073,072			4,071,788,298
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA Money Market Fund (Note 7)		—			2,354,704,640
Reinvestment of distributions		3,652,534			485,658
Shares redeemed		(9,998,462,003	)		(5,628,620,190	)
Net increase (decrease) from capital share transactions		33,263,603			798,358,406
Investment Class
Shares sold		—			516,566,534
Reinvestment of distributions		41			36,115
Shares redeemed		(34,365	)		(996,313,730	)
Net increase (decrease) from capital share transactions		(34,324	)		(479,711,081	)
Investor Class
Shares sold		243,121,337			—
Reinvestment of distributions		161,933			—
Shares redeemed		(208,917,638	)		—
Net increase (decrease) from capital share transactions		34,365,632			—
Premier Class
Shares sold		72,726,206,067			251,473,026,109
Reinvestment of distributions		77,010,563			120,231,866
Shares redeemed		(70,754,232,506	)		(290,546,116,225	)
Net increase (decrease) from capital share transactions		2,048,984,124			(38,952,858,250	)
Trust Class
Shares sold		7,144,297,354			2,600,335,538
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA Prime Money Market Fund (Note 7)		—			6,066,320,728
Reinvestment of distributions		8,305,870			3,491,765
Shares redeemed		(7,599,347,737	)		(7,459,166,451	)
Net increase (decrease) from capital share transactions		(446,744,513	)		1,210,981,580
Class M(c)
Shares sold		—			8,968,030,576
Reinvestment of distributions		—			5,299,141
Shares redeemed		—			(10,428,845,893	)
Net increase (decrease) from capital share transactions		—			(1,455,516,176	)
Net increase (decrease) in net assets from beneficial interest transactions		1,669,834,522			(38,878,745,521	)
Net increase (decrease) in net assets during the period		1,668,510,381			(38,877,632,344	)
Net assets at beginning of period		8,270,615,536			47,148,247,880

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Year Ended 12/31/17(a)			Year Ended 12/31/16(b)
NET ASSETS AT END OF PERIOD	$	9,939,125,917		$	8,270,615,536
Undistributed (distribution in excess of) net investment income (loss)	$	97,464		$	99,748
SHARES OF BENEFICIAL INTEREST(c):
Administration Class
Shares sold		10,027,174,596			4,071,956,198
Shares issued in connection with the tax-free transfer of assets from SSGA Money Market Fund (Note 7)		—			2,354,704,640
Reinvestment of distributions		3,652,244			485,647
Shares redeemed		(9,997,596,043	)		(5,628,732,238	)
Net increase (decrease) from share transactions		33,230,797			798,414,247
Investment Class
Shares sold		—			516,587,780
Reinvestment of distributions		41			36,115
Shares redeemed		(34,367	)		(996,313,195	)
Net increase (decrease) from share transactions		(34,326	)		(479,689,300	)
Investor Class
Shares sold		243,123,369			—
Reinvestment of distributions		161,937			—
Shares redeemed		(208,919,966	)		—
Net increase (decrease) from share transactions		34,365,340			—
Premier Class
Shares sold		72,720,747,577			251,471,826,468
Reinvestment of distributions		77,006,282			120,231,263
Shares redeemed		(70,749,059,693	)		(290,544,374,626	)
Net increase (decrease) from share transactions		2,048,694,166			(38,952,316,895	)
Trust Class
Shares sold		7,143,802,480			2,600,197,438
Shares issued in connection with the tax-free transfer of assets from SSGA Prime Money Market Fund (Note 7)		—			6,066,320,728
Reinvestment of distributions		8,305,230			3,491,629
Shares redeemed		(7,598,812,930	)		(7,458,856,600	)
Net increase (decrease) from share transactions		(446,705,220	)		1,211,153,195
Class M(c)
Shares sold		—			8,968,049,339
Reinvestment of distributions		—			5,299,142
Shares redeemed		—			(10,428,845,893	)
Net increase (decrease) from share transactions		—			(1,455,497,412	)

(a) For Investor Class shares, data is for the period July 13, 2017 (inception date) through December 31, 2017.

(b) For Administration Class and Trust Class shares, data is for the period August 29, 2016 (inception date) through December 31, 2016.

(c) Class M shares liquidated on September 30, 2016.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Administration Class(a)
	Year Ended 12/31/17			For the Period 8/29/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0080			0.0008
Net realized and unrealized gain (loss)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0080			0.0008
Distributions to shareholders from:
Net investment income		(0.0080	)		(0.0008	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0080	)		(0.0008	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.80	%		0.08	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	831,606		$	798,447
Ratios to Average Net Assets:
Total expenses		0.37	%		0.38	%(d)
Net expenses		0.37	%		0.38	%(d)
Net investment income (loss)		0.80	%		0.22	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investment Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0070			0.0010			0.0000	(b)(c)		0.0000	(b)(c)		0.0000	(b)(c)
Net realized and unrealized gain (loss)		(0.0001	)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0069			0.0010			0.0000	(b)		0.0000	(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0070	)		(0.0010	)		—			—			(0.0000	)(b)
Net realized gains		(0.0000	)(b)		—			—			—			(0.0000	)(b)
Total distributions		(0.0070	)		(0.0010	)		—			—			(0.0000	)(b)
Net asset value, end of period	$	0.9999		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.69	%		0.10	%		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	5,547		$	5,582		$	485,292		$	726,910		$	1,013,152
Ratios to Average Net Assets:
Total expenses		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net expenses		0.47	%		0.46	%		0.24	%		0.19	%		0.22	%
Net investment income (loss)		0.70	%		0.08	%		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investor Class(a)
	For the Period 7/13/17* - 12/31/17
Net asset value, beginning of period	$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0055
Net realized and unrealized gain (loss)		(0.0001	)
Total from investment operations		0.0054
Voluntary expense reimbursement from Affiliate		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0055	)
Net realized gains		(0.0000	)(b)
Total distributions		(0.0055	)
Net asset value, end of period	$	0.9999
Total return (c)		0.54	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	34,361
Ratios to Average Net Assets:
Total expenses		0.20	%(d)
Net expenses		0.20	%(d)
Net investment income (loss)		1.19	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Premier Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0001		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0105			0.0045			0.0012	(b)		0.0008	(b)		0.0010	(b)
Net realized and unrealized gain (loss)		(0.0002	)		0.0001			0.0000	(c)		(0.0001	)		0.0000	(c)
Total from investment operations		0.0103			0.0046			0.0012			0.0007			0.0010
Distributions to shareholders from:
Net investment income		(0.0105	)		(0.0045	)		(0.0012	)		(0.0007	)		(0.0010	)
Net realized gains		(0.0000	)(c)		—			—			—			(0.0000	)(c)
Total distributions		(0.0105	)		(0.0045	)		(0.0012	)		(0.0007	)		(0.0010	)
Net asset value, end of period	$	0.9999		$	1.0001		$	1.0000		$	1.0000		$	1.0000
Total return (d)		1.05	%		0.45	%		0.12	%		0.07	%		0.10	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	8,303,222		$	6,255,384		$	45,207,442		$	37,932,781		$	29,850,029
Ratios to Average Net Assets:
Total expenses		0.12	%		0.12	%		0.12	%		0.12	%		0.12	%
Net expenses		0.12	%		0.12	%		0.12	%		0.12	%		0.12	%
Net investment income (loss)		1.06	%		0.43	%		0.12	%		0.07	%		0.10	%

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

(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(c) Amount is less than $0.00005 per share.

(d) 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Trust Class(a)
	Year Ended 12/31/17			For the Period 8/29/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0099			0.0015
Net realized and unrealized gain (loss)		(0.0001	)		0.0000	(b)
Total from investment operations		0.0098			0.0015
Distributions to shareholders from:
Net investment income		(0.0099	)		(0.0015	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0099	)		(0.0015	)
Net asset value, end of period	$	0.9999		$	1.0000
Total return (c)		0.99	%		0.15	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	764,391		$	1,211,202
Ratios to Average Net Assets:
Total expenses		0.18	%		0.19	%(d)
Net expenses		0.18	%		0.19	%(d)
Net investment income (loss)		0.97	%		0.39	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Institutional Liquid Reserves Fund	Premier Class Institutional Class Investment Class Administration Class Investor Class Service Class Trust Class	August 12, 2004 Not commenced October 15, 2007 August 29, 2016 July 13, 2017 Not commenced August 29, 2016	Diversified

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (100.00% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund operates as a floating net asset value (“NAV”) money market fund. As a floating NAV money market fund, the Fund (1) will utilize current market-based prices (except as otherwise generally permitted to value individual portfolio securities with remaining maturities of 60 days or less at amortized cost in accordance with Securities and Exchange Commission (“SEC”) guidance) to value its portfolio securities and transact at a floating NAV calculated to four decimal places; and (2) has adopted policies and procedures to impose liquidity fees on redemptions and/or temporary redemption gates in the event that the Fund’s weekly liquid assets fall below a designated threshold.

The Fund uses a floating rate NAV. The NAV of the Fund is calculated multiple times each day the Fund accepts purchase orders and redemption requests. Effective October 12, 2016, The Board has permitted to impose a liquidity fee of no more than 2% on the value redeemed and/or temporarily suspend redemptions for up to 10 business days in a 90 day period, in the event that the Fund’s liquid assets fall below certain thresholds. The Fund will pass through to its investors any liquidity fee or suspension of redemptions imposed by the Portfolio on the same terms and conditions as imposed by the Portfolio on the Fund.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Security Valuation

The Fund records its investments in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, 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. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund pays no advisory fee directly to SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), for so long as assets of the Fund are invested in the Portfolio. The Portfolio retained 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 Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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 canceled at any time without notice. For the period ended December 31, 2017, the Adviser did not voluntarily waive any expenses.

Under the terms of the reimbursement agreement, the Fund agrees to repay SSGA FM up to the amount of fees waived or expenses reduced under the agreement provided that the 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

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

business day for which the net annualized one-day yield of the 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 the 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, 2017, SSGA FM has not recouped any expenses from the Fund. The Fund had no waived/reduced fees subject to potential recovery at year end.

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.

Other income — Voluntary expense reimbursement from Affiliate on the Statement of Operations represents a non-recurring voluntary expense reimbursement of $6,760 from State Street in relation to a sub-administrator operational matter.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC ( “SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s 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 0.05% and 0.10%, of the Fund’s net assets attributable to its Administration Class shares and Investment Class shares, respectively. In addition to payments under the Plan, the Fund may reimburse the Distributor 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.

During the period ended December 31, 2017, the Fund paid $491,171 to SSGA FD under the Plan.

Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Plan. During the period ended December 31, 2017, SSGA FD paid $19,479 to WMS.

Under the Fund’s Shareholder Servicing Plan (and other shareholder servicing arrangements), the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares, Administration Class shares, Investor Class shares and Trust Class shares made payments for these services at an annual rate up to 0.25%, 0.20%, 0.08% and 0.058%, respectively, of the eligible average daily net assets of Investment Class shares, Administration Class shares, Investor Class shares and Trust Class shares, respectively. During the period ended December 31, 2017, the Fund’s Investment Class shares, Administration Class shares, Investor Class shares and Trust Class shares paid SSGA FD $13,928, $1,942,401, $10,816 and $591,026, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Liquid Reserves Fund	$	100,188,198	$	—	$	—	$	100,188,198

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Liquid Reserves Fund	$	153,171,976	$	—	$	—	$	153,171,976

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards			Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)			Qualified Late-Year Losses		Total
State Street Institutional Liquid Reserves Fund	$	97,464	$	(63,091	)	$	—	$	(145,589	)	$	—	$	(111,216	)

As of December 31, 2017, the following Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

	Expiring 2018		Expiring 2019		Non-Expiring Short Term		Non-Expiring Long Term
State Street Institutional Liquid Reserves Fund	$	—	$	—	$	63,091	$	—

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Institutional Liquid Reserves Fund	$	9,941,949,667	$	—	$	145,589	$	(145,589	)

6. Risks

Concentration Risk

As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.

7. Reorganization

On August 29, 2016, State Street Institutional Liquid Reserves Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA Prime Money Market Fund and SSGA Money Market Fund (“Acquired Funds”) in exchange for Trust Class shares and Administration Class shares, respectively, of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.

The reorganization provides shareholders of the Acquired Funds access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Funds were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.

For every one share of SSGA Prime Money Market Fund Class N exchanged, a shareholder received one share of the Fund’s Trust Class. For every one share of SSGA Money Market Fund Class N exchanged, a shareholder received one share of the Fund’s Administration Class.

The Fund received net assets from SSGA Prime Money Market Fund and SSGA Money Market Fund as the result of the tax-free reorganization as follows:

	Shares of the Fund Issued		Net Assets Received from Acquired Fund		Net Assets of the Fund Immediately Prior to Combination		Net Assets of the Fund Immediately After the Combination
SSGA Prime Money Market Fund		6,066,320,728	$	6,066,228,367	$	39,460,950,822	$	47,881,920,211
SSGA Money Market Fund		2,354,704,640	$	2,354,741,022	$	39,460,950,822	$	47,881,920,211

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.

Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, were as follows:

Net Investment income (loss)	$	173,463,883
Total net realized gain (loss)	$	1,139,893
Net increase (decrease) in net assets resulting from operations	$	174,603,776

Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it was not practicable to separate the amounts of revenue and earnings of the Acquired Fund’s that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.

The statement of operations, statement of changes in net assets and the financial highlights for the prior period ended December 31, 2016 do not include any pre-merger activity of the Acquired Fund and prior reporting periods of the accounting survivor (the Fund) are not restated.

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Institutional Liquid Reserves Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Institutional Liquid Reserves Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual					Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period			Ending Account Value		Expenses Paid During Period(a)
State Street Institutional Liquid Reserves Fund
Administration Class		0.37	%	$	1,004.70	$	1.87	(a)	$	1,023.30	$	1.89
Investment Class		0.47			1,004.30		2.37	(a)		1,022.80		2.40
Investor Class		0.20			1,005.40		0.95	(b)		1,024.20		1.02
Premier Class		0.12			1,005.90		0.61	(a)		1,024.60		0.61
Trust Class		0.18			1,005.60		0.91	(a)		1,024.30		0.92

(a) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

(b) Actual period is from commencement of operations on July 13, 2017.

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Fund will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

19

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL LIQUID RESERVES FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

22

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

Annual Report

December 31, 2017

State Street Master Funds

State Street Money Market Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Portfolio Statistics (Unaudited)	3
Schedules of Investments	4
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Financial Highlights	11
Notes to Financial Statements	12
Report of Independent Registered Public Accounting Firm	16
Other Information (Unaudited)	17

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

STATE STREET MONEY MARKET PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Certificates of Deposit		39.2	%
Financial Company Commercial Paper		24.2
Other Notes		17.8
Other Repurchase Agreements		10.9
Asset Backed Commercial Paper		7.2
Other Commercial Paper		0.6
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Maturity Ladder as of December 31, 2017

	% of Net Assets
2 to 30 Days		47.6	%
31 to 60 Days		9.6
61 to 90 Days		14.7
Over 90 Days		28.0
TOTAL		99.9	%
Average days to maturity		20
Weighted average life		69

(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements.

1

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
ASSET BACKED COMMERCIAL PAPER — 7.2%
Alpine Securitization Ltd. (a)		1.370	%		01/16/2018		01/16/2018	$	100,000,000	$	99,921,900
Alpine Securitization Ltd. (a)		1.440	%		01/31/2018		01/31/2018		30,000,000		29,955,038
Antalis SA (a)		1.480	%		01/03/2018		01/03/2018		40,000,000		39,991,722
Antalis SA (a)		1.650	%		01/05/2018		01/05/2018		66,410,000		66,390,630
Collateralized Commercial Paper Co. LLC, 3 Month USD LIBOR + 0.12% (b)		1.456	%		01/04/2018		01/04/2018		101,000,000		101,001,094
Collateralized Commercial Paper Co. LLC, 1 Month USD LIBOR + 0.21% (b)		1.642	%		01/12/2018		06/12/2018		100,000,000		100,006,632
Collateralized Commercial Paper Co. LLC (a)		1.730	%		04/13/2018		04/13/2018		125,000,000		124,349,947
Kells Funding LLC, 1 Month USD LIBOR + 0.10% (b)		1.572	%		01/15/2018		03/14/2018		123,000,000		123,014,279
Liberty Street Funding LLC (a)		1.370	%		01/18/2018		01/18/2018		35,000,000		34,969,667
TOTAL ASSET BACKED COMMERCIAL PAPER											719,600,909
CERTIFICATES OF DEPOSIT — 39.2%
Bank of China (a)		1.800	%		01/26/2018		01/26/2018		125,000,000		125,001,050
Bank of Montreal (a)		1.320	%		01/02/2018		01/02/2018		50,000,000		49,998,901
Bank of Montreal (a)		1.350	%		01/04/2018		01/04/2018		90,000,000		89,997,494
Bank of Montreal, 1 Month USD LIBOR + 0.13% (b)		1.537	%		01/08/2018		03/08/2018		50,000,000		50,008,360
Bank of Montreal, 1 Month USD LIBOR + 0.19% (b)		1.562	%		01/04/2018		05/04/2018		75,000,000		75,013,276
Bank of Montreal, 3 Month USD LIBOR + 0.17% (b)		1.632	%		02/23/2018		05/23/2018		80,000,000		80,022,998
Bank of Nova Scotia, 1 Month USD LIBOR + 0.19% (b)		1.754	%		01/29/2018		08/28/2018		125,000,000		124,962,371
Bank of Nova Scotia (a)		1.760	%		03/19/2018		03/19/2018		50,000,000		50,007,316
Bank of Tokyo-Mitsubishi UFJ Ltd. (a)		1.330	%		01/02/2018		01/02/2018		50,000,000		49,999,196
Bank of Tokyo-Mitsubishi UFJ Ltd. (a)		1.450	%		01/03/2018		01/03/2018		150,000,000		149,999,476
BNP Paribas (a)		1.320	%		01/02/2018		01/02/2018		100,000,000		99,998,025
BNP Paribas (a)		1.410	%		02/20/2018		02/20/2018		100,000,000		99,982,493
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.19% (b)		1.759	%		01/31/2018		08/31/2018		100,000,000		99,948,811
DZ Bank AG Deutsche Zentral-Genossenschaftsbank (a)		1.590	%		03/12/2018		03/12/2018		125,000,000		124,983,247
KBC Bank NV (a)		1.360	%		01/04/2018		01/04/2018		95,000,000		94,999,136
KBC Bank NV (a)		1.630	%		03/08/2018		03/08/2018		125,000,000		125,018,519
KBC Bank NV (a)		1.780	%		03/13/2018		03/13/2018		50,000,000		49,999,651
Lloyds Bank PLC, 1 Month USD LIBOR + 0.18% (b)		1.552	%		01/03/2018		08/03/2018		75,000,000		74,982,740
Lloyds Bank PLC, 1 Month USD LIBOR + 0.18% (b)		1.681	%		01/22/2018		04/20/2018		75,000,000		75,015,556
Mizuho Bank Ltd. (a)		1.370	%		01/02/2018		01/02/2018		150,000,000		149,997,897
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.14% (b)		1.584	%		01/12/2018		01/12/2018		35,000,000		35,002,459
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.20% (b)		1.592	%		01/08/2018		04/04/2018		100,000,000		100,026,650
Oversea-Chinese Banking Corp. Ltd. (a)		1.400	%		01/05/2018		01/05/2018		140,000,000		140,000,000
Oversea-Chinese Banking Corp. Ltd. (a)		1.620	%		03/12/2018		03/12/2018		125,000,000		124,999,687
Royal Bank of Canada, 3 Month USD LIBOR + 0.13% (b)		1.679	%		03/12/2018		06/12/2018		75,000,000		75,016,137
Royal Bank of Canada, 1 Month USD LIBOR + 0.24% (b)		1.735	%		01/19/2018		04/19/2018		72,000,000		72,028,521
Royal Bank of Canada, 1 Month USD LIBOR + 0.35% (b)		1.753	%		01/08/2018		03/07/2018		100,000,000		100,058,198
Standard Chartered Bank (a)		1.660	%		03/14/2018		03/14/2018		125,000,000		124,997,105
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.15% (b)		1.511	%		01/02/2018		03/01/2018		75,000,000		75,013,218
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.22% (b)		1.652	%		01/11/2018		05/11/2018		100,000,000		100,020,791
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.20% (b)		1.660	%		01/16/2018		02/13/2018		100,000,000		100,024,709
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.20% (b)		1.769	%		01/31/2018		03/29/2018		75,000,000		75,016,447
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.19% (b)		1.742	%		01/25/2018		05/25/2018		125,000,000		125,011,662
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.13% (b)		1.502	%		01/03/2018		04/03/2018		75,000,000		75,010,388
Swedbank AB (a)		1.330	%		01/03/2018		01/03/2018		80,000,000		79,999,721
Toronto Dominion Bank (a)		1.400	%		02/05/2018		02/05/2018		100,000,000		99,980,356
Toronto Dominion Bank (a)		1.440	%		02/20/2018		02/20/2018		125,000,000		124,966,151
Toronto Dominion Bank, 1 Month USD LIBOR + 0.23% (b)		1.591	%		01/02/2018		12/03/2018		125,000,000		124,786,755

See accompanying notes to financial statements.

2

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Toronto Dominion Bank, 1 Month USD LIBOR + 0.34% (b)		1.712	%		01/03/2018		03/05/2018	$	50,000,000	$	50,028,019
Wells Fargo Bank NA, 1 Month USD LIBOR + 0. 12% (b)		1.523	%		01/08/2018		02/07/2018		55,000,000		55,007,585
Wells Fargo Bank NA, 1 Month USD LIBOR + 0. 17% (b)		1.542	%		01/04/2018		07/05/2018		100,000,000		99,983,736
Wells Fargo Bank NA, 1 Month USD LIBOR + 0. 22% (b)		1.711	%		01/16/2018		11/15/2018		100,000,000		100,002,570
TOTAL CERTIFICATES OF DEPOSIT											3,896,917,378
FINANCIAL COMPANY COMMERCIAL PAPER — 24.2%
Australia & New Zealand Banking Group Ltd., 1 Month USD LIBOR + 0. 15% (b)		1.522	%		01/02/2018		07/02/2018		94,000,000		93,984,017
Australia & New Zealand Banking Group Ltd., 1 Month USD LIBOR + 0. 11% (b)		1.645	%		01/22/2018		03/22/2018		90,000,000		90,010,533
Bank of Nova Scotia, 3 Month USD LIBOR + 0. 20% (b)		1.641	%		02/21/2018		02/21/2018		49,000,000		49,011,456
Bank of Nova Scotia, 3 Month USD LIBOR + 0. 20% (b)		1.662	%		02/23/2018		02/23/2018		32,000,000		32,008,472
BPCE SA (a)		1.620	%		03/07/2018		03/07/2018		75,000,000		74,778,008
Caisse des Depots et Consignations (a)		1.560	%		03/22/2018		03/22/2018		100,000,000		99,626,731
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0. 24% (b)		1.712	%		01/15/2018		08/14/2018		50,000,000		50,000,910
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0. 19% (b)		1.725	%		01/22/2018		05/22/2018		75,000,000		75,017,302
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0. 17% (b)		1.531	%		01/02/2018		06/01/2018		75,000,000		75,014,617
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0. 20% (b)		1.561	%		01/02/2018		11/02/2018		75,000,000		75,002,470
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0. 19% (b)		1.593	%		01/08/2018		09/07/2018		100,000,000		100,017,692
CPPIB Capital, Inc. (a)		1.610	%		01/09/2018		01/09/2018		36,000,000		35,983,885
CPPIB Capital, Inc. (a)		1.610	%		01/16/2018		01/16/2018		39,000,000		38,971,179
Danske Corp. (a)		1.430	%		02/07/2018		02/07/2018		75,000,000		74,869,417
DBS Bank Ltd. (a)		1.360	%		01/03/2018		01/03/2018		50,000,000		49,989,396
DnB Bank ASA (a)		1.420	%		01/04/2018		01/04/2018		100,000,000		99,976,717
Federation des Caisses Desjardins du Quebec (a)		1.350	%		01/03/2018		01/03/2018		75,000,000		74,984,708
GE Capital Treasury Services US LLC, 1 Month USD LIBOR + 0. 09% (b)		1.659	%		01/29/2018		02/22/2018		52,000,000		52,007,060
HSBC Bank PLC, 1 Month USD LIBOR + 0. 16% (b)		1.646	%		01/18/2018		05/18/2018		100,000,000		100,018,166
ING U.S. Funding LLC, 1 Month USD LIBOR + 0. 24% (b)		1.612	%		01/04/2018		05/04/2018		72,000,000		72,026,902
National Australia Bank Ltd., 3 Month USD LIBOR + 0. 14% (b)		1.490	%		01/08/2018		04/06/2018		50,000,000		50,018,400
National Securities Clearing Corp. (a)		1.480	%		01/05/2018		01/05/2018		100,000,000		99,971,611
National Securities Clearing Corp. (a)		1.480	%		01/09/2018		01/09/2018		60,000,000		59,973,142
Nordea Bank AB (a)		1.420	%		02/23/2018		02/23/2018		100,000,000		99,764,956
Royal Bank of Canada (a)		1.570	%		03/22/2018		03/22/2018		100,000,000		99,630,419
Swedbank AB (a)		1.435	%		02/23/2018		02/23/2018		62,500,000		62,363,306
Swedbank AB (a)		1.465	%		03/02/2018		03/02/2018		62,500,000		62,345,453
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0. 15% (b)		1.557	%		01/08/2018		03/05/2018		33,000,000		33,006,764
UBS AG, 1 Month USD LIBOR + 0. 20% (b)		1.592	%		01/08/2018		04/06/2018		100,000,000		100,024,791
UBS AG, 1 Month USD LIBOR + 0. 24% (b)		1.643	%		01/08/2018		08/07/2018		75,000,000		74,995,005
Westpac Banking Corp., 1 Month USD LIBOR + 0. 15% (b)		1.610	%		01/16/2018		07/13/2018		75,000,000		74,982,102
Westpac Banking Corp., 1 Month USD LIBOR + 0. 18% (b)		1.640	%		01/16/2018		08/13/2018		50,000,000		49,998,455
Westpac Banking Corp., 1 Month USD LIBOR + 0. 23% (b)		1.690	%		01/15/2018		04/13/2018		53,000,000		53,023,595
Westpac Banking Corp., 1 Month USD LIBOR + 0. 19% (b)		1.691	%		01/02/2018		08/31/2018		75,000,000		75,002,751
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER											2,408,400,388
OTHER COMMERCIAL PAPER — 0.6%
General Electric Co. (a)		1.420	%		01/02/2018		01/02/2018		60,000,000		59,990,640
OTHER NOTES — 17.8%
Bank of America NA, 1 Month USD LIBOR + 0. 14% (b)		1.512	%		01/02/2018		01/02/2018		74,000,000		74,000,000
Bank of America NA, 1 Month USD LIBOR + 0. 14% (b)		1.512	%		01/04/2018		01/04/2018		50,000,000		49,999,997
Bank of America NA, 1 Month USD LIBOR + 0. 11% (b)		1.517	%		01/08/2018		01/08/2018		100,000,000		99,999,694
Bank of America NA, 1 Month USD LIBOR + 0. 14% (b)		1.584	%		01/12/2018		06/12/2018		40,000,000		39,999,991

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Canadian Imperial Bank of Commerce (a)		1.330	%		01/02/2018		01/02/2018	$	200,000,000	$	200,000,000
Citibank NA (a)		1.360	%		01/02/2018		01/02/2018		150,000,000		150,000,000
Credit Agricole Corporate & Investment Bank (a)		1.330	%		01/02/2018		01/02/2018		326,777,000		326,777,000
Lloyds Bank PLC (a)		1.300	%		01/02/2018		01/02/2018		250,000,000		250,000,000
National Bank of Canada (a)		1.380	%		01/02/2018		01/02/2018		200,000,000		200,000,000
Nordea Bank AB (a)		1.300	%		01/02/2018		01/02/2018		150,000,000		150,000,000
Royal Bank of Canada (a)		1.350	%		01/02/2018		01/02/2018		75,000,000		75,000,000
Skandinaviska Enskilda Banken AB (a)		1.300	%		01/02/2018		01/02/2018		150,000,000		150,000,000
TOTAL OTHER NOTES											1,765,776,682
OTHER REPURCHASE AGREEMENTS — 10.9%
Agreement with BNP Paribas Securities Corp. Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by various Equity Securities, valued at $280,800,000); expected proceeds $260,045,356		1.570	%		01/02/2018		01/02/2018		260,000,000		260,000,000
Agreement with Citigroup Global Markets, Inc. Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a Convertible Bond, 4.875% due 06/01/2020, and various Equity Securities, valued at $243,113,437); expected proceeds $225,039,250		1.570	%		01/02/2018		01/02/2018		225,000,000		225,000,000
Agreement with Scotia Capital Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by various Corporate Bonds, 1.500%-7.625% due 01/22/2018-12/01/2047, valued at $185,604,426); expected proceeds $175,030,528		1.570	%		01/02/2018		01/02/2018		175,000,000		175,000,000
Agreement with UBS Securities LLC Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by various Corporate Bonds, 1.500%-6.875% due 02/01/2018-01/15/2048, valued at $161,720,252); expected proceeds $150,026,167		1.570	%		01/02/2018		01/02/2018		150,000,000		150,000,000
Agreement with UBS Securities LLC Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by various Corporate Bonds, 1.500%-8.625% due 01/18/2018-01/15/2048, valued at $113,312,083); expected proceeds $100,018,556		1.670	%		01/02/2018		01/02/2018		100,000,000		100,000,000
Agreement with Wells Fargo Bank Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by various Corporate Bonds, 0.875%-5.875% due 01/16/2018-08/11/2026, valued at $77,419,073); expected proceeds $75,012,667		1.520	%		01/02/2018		01/02/2018		75,000,000		75,000,000
Agreement with Wells Fargo Bank Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/27/2017 (collateralized by various Equity Securities, valued at $108,029,161); expected proceeds $100,031,500		1.620	%		01/03/2018		01/03/2018		100,000,000		100,000,000
TOTAL OTHER REPURCHASE AGREEMENTS											1,085,000,000
TOTAL INVESTMENTS — 99.9% (c) (Cost $9,935,831,586)											9,935,685,997
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%											6,119,949
NET ASSETS — 100.0%										$	9,941,805,946

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

(b) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(c) Also represents the cost for federal tax purposes.

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Asset Backed Commercial Paper	$	—	$	719,600,909	$	—	$	719,600,909
Certificates of Deposit		—		3,896,917,378		—		3,896,917,378
Financial Company Commercial Paper		—		2,408,400,388		—		2,408,400,388
Other Commercial Paper		—		59,990,640		—		59,990,640
Other Notes		—		1,765,776,682		—		1,765,776,682
Other Repurchase Agreements.		—		1,085,000,000		—		1,085,000,000
TOTAL INVESTMENTS	$	—	$	9,935,685,997	$	—	$	9,935,685,997

See accompanying notes to financial statements.

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STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value	$	8,850,685,997
Repurchase agreements, at value		1,085,000,000
Total Investments		9,935,685,997
Cash		96,023
Interest receivable — unaffiliated issuers		6,912,041
Prepaid expenses and other assets		36,752
TOTAL ASSETS		9,942,730,813
LIABILITIES
Advisory fee payable		462,425
Administration, custody and transfer agent fees payable		293,245
Trustees’ fees and expenses payable		100,574
Professional fees payable		50,162
Printing fees payable		13,828
Accrued expenses and other liabilities		4,633
TOTAL LIABILITIES		924,867
NET ASSETS	$	9,941,805,946
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	8,850,831,586
Repurchase agreements		1,085,000,000
Total cost of investments	$	9,935,831,586

See accompanying notes to financial statements.

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STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	114,850,617
EXPENSES
Advisory fee		4,877,771
Administration, custodian and transfer agent fees		1,235,052
Professional fees and expenses		121,298
Printing and postage fees		11,854
Insurance expense		43,822
Miscellaneous expenses		1,976
TOTAL EXPENSES		6,291,773
NET INVESTMENT INCOME (LOSS)		108,558,844
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(63,091	)
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		(946,240	)
NET REALIZED AND UNREALIZED GAIN (LOSS)		(1,009,331	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	107,549,513

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	108,558,844		$	176,501,548
Net realized gain (loss)		(63,091	)		313,218
Net change in unrealized appreciation/depreciation		(946,240	)		800,651
Net increase (decrease) in net assets resulting from operations		107,549,513			177,615,417
CAPITAL TRANSACTIONS
Contributions		26,478,211,141			62,887,835,691
Proceeds in connection with Reorganization (Note 8)		—			8,420,969,389
Withdrawals		(24,916,607,332	)		(110,897,624,155	)
Net increase (decrease) in net assets from capital transactions		1,561,603,809			(39,588,819,075	)
Net increase (decrease) in net assets during the period		1,669,153,322			(39,411,203,658	)
Net assets at beginning of period		8,272,652,624			47,683,856,282
NET ASSETS AT END OF PERIOD	$	9,941,805,946		$	8,272,652,624

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Total return (a)		0.96	%		0.51	%		0.17	%		0.13	%		0.15	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	9,941,806		$	8,272,653		$	47,683,856		$	40,704,468		$	34,053,304
Ratios to average net assets:
Total expenses		0.06	%		0.07	%		0.07	%		0.07	%		0.06	%
Net investment income (loss)		1.11	%		0.49	%		0.17	%		0.13	%		0.15	%

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

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. The State Street Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a floating net asset value (“NAV”) money market fund. As a floating NAV money market fund, the Portfolio (1) will utilize current market-based prices (except as otherwise generally permitted to value individual portfolio securities with remaining maturities of 60 days or less at amortized cost in accordance with Securities and Exchange Commission (“SEC”) guidance) to value its portfolio securities and transact at a floating NAV calculated to four decimal places; and (2) has adopted policies and procedures to impose liquidity fees on redemptions and/or temporary redemption gates in the event that the Portfolio’s weekly liquid assets fall below a designated threshold.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers.

• Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.

• Repurchase agreements are valued at the repurchase price as of valuation date.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

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

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

3. Securities and Other Investments

Repurchase Agreements

The 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 the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

As of December 31, 2017, the Portfolio had invested in repurchase agreements with the gross values of $1,085,000,000 and associated collateral equal to $1,169,998,432.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust has 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 which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly 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 Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Money Market Portfolio	$	9,935,831,586	$	582,966	$	728,555	$	(145,589	)

7. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

8. Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional Liquid Reserves Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA Prime Money Market Fund and SSGA Money Market Fund (“Acquired Funds”) in exchange for Trust Class shares and Administration Class shares, respectively, of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

9. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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STATE STREET MONEY MARKET PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and the Board of Trustees of

State Street Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

14

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Money Market Portfolio		0.06	%	$	1,004.90	$	0.30	$	1,024.90	$	0.31

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

15

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

16

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

17

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

18

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

19

STATE STREET MASTER FUNDS

STATE STREET MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

20

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent

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 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

STTMMAR1

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Institutional U.S. Government Money Market Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Statement of Assets and Liabilities	1
Statement of Operations	2
Statements of Changes in Net Assets	3
Financial Highlights	5
Notes to Financial Statements	11
Report of Independent Registered Public Accounting Firm	17
Other Information (Unaudited)	18

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in corresponding affiliated Portfolio, at value and cost	$	47,960,966,498
Receivable for fund shares sold		1,062,051
Prepaid expenses and other assets		9,639
TOTAL ASSETS		47,962,038,188
LIABILITIES
Payable for fund shares repurchased		86,590
Advisory fee payable		20,301
Administration fees payable		1,818,853
Shareholder servicing fee payable		559,264
Distribution fees payable		134,692
Transfer agent fees payable		33,909
Distribution payable		8,065,351
Registration and filing fees payable		1,016,000
Professional fees payable		92,927
Printing fees payable		21,946
Accrued expenses and other liabilities		102,966
TOTAL LIABILITIES		11,952,799
NET ASSETS	$	47,950,085,389
NET ASSETS CONSIST OF:
Paid-in Capital	$	47,950,096,604
Undistributed (distribution in excess of) net investment income (loss)		7,543
Accumulated net realized gain (loss) on investments		(18,758	)
NET ASSETS	$	47,950,085,389
Administration Class
Net Assets	$	1,909,670,136
Shares Outstanding		1,909,803,739
Net asset value, offering and redemption price per share	$	1.00
Investment Class
Net Assets	$	432,487,607
Shares Outstanding		432,494,899
Net asset value, offering and redemption price per share	$	1.00
Investor Class
Net Assets	$	1,245,204,324
Shares Outstanding		1,245,207,283
Net asset value, offering and redemption price per share	$	1.00
Premier Class
Net Assets	$	38,921,503,179
Shares Outstanding		38,921,801,468
Net asset value, offering and redemption price per share	$	1.00
Class G
Net Assets	$	4,349,842,402
Shares Outstanding		4,349,863,521
Net asset value, offering and redemption price per share	$	1.00
Class M
Net Assets	$	1,091,377,741
Shares Outstanding		1,091,379,542
Net asset value, offering and redemption price per share	$	1.00

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

1

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO
Interest income allocated from affiliated Portfolio	$	426,208,111
Expenses allocated from affiliated Portfolio		(30,233,813	)
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO		395,974,298
EXPENSES
Administration fees
Administration Class		1,279,142
Investment Class		385,478
Investor Class		320,562
Premier Class		19,303,550
Class G		284,949
Class M		402,304
Shareholder servicing fees
Administration Class		5,116,568
Investment Class		1,927,391
Investor Class		512,899
Distribution fees
Administration Class		1,279,142
Investment Class		770,957
Custodian fees		22,662
Trustees’ fees and expenses		23,430
Transfer agent fees		140,703
Registration and filing fees		1,814,556
Professional fees and expenses		20,347
Printing fees		58,518
Insurance expense		61,884
Miscellaneous expenses		259,872
TOTAL EXPENSES		33,984,914
NET INVESTMENT INCOME (LOSS)		361,989,384
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments allocated from affiliated Portfolio		(18,758	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	361,970,626

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

2

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16(a)
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	361,989,384		$	64,849,745
Net realized gain (loss)		(18,758	)		76,020
Net increase (decrease) in net assets resulting from operations		361,970,626			64,925,765
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Administration Class		(12,907,479	)		(431,978	)
Investment Class		(3,054,429	)		(24,335	)
Investor Class		(5,308,764	)		(109,902	)
Premier Class		(302,578,793	)		(61,763,962	)
Class G		(27,184,437	)		(2,030,419	)
Class M		(10,947,939	)		(489,149	)
Total distributions from net investment income		(361,981,841	)		(64,849,745	)
Net Realized Gains
Administration Class		(3,589	)		—
Investment Class		(681	)		—
Investor Class		(1,932	)		—
Premier Class		(58,826	)		—
Class G		(9,159	)		—
Class M		(1,833	)		—
Total distributions from net realized gains		(76,020	)		—
Total distributions to shareholders		(362,057,861	)		(64,849,745	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Administration Class
Shares sold		32,311,759,839			10,794,928,973
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA U.S. Government Money Market Fund		—			2,551,637,435
Reinvestment of distributions		3,690,492			112,178
Shares redeemed		(33,829,431,010	)		(9,923,026,350	)
Net increase (decrease) from capital share transactions		(1,513,980,679	)		3,423,652,236
Investment Class
Shares sold		5,435,656,349			4,647,547,163
Reinvestment of distributions		802,954			5,800
Shares redeemed		(5,907,021,048	)		(4,716,057,103	)
Net increase (decrease) from capital share transactions		(470,561,745	)		(68,504,140	)
Investor Class
Shares sold		3,704,507,730			431,820,425
Reinvestment of distributions		2,199,468			61,257
Shares redeemed		(2,691,656,122	)		(201,726,040	)
Net increase (decrease) from capital share transactions		1,015,051,076			230,155,642
Premier Class
Shares sold		316,832,575,689			173,548,501,157
Reinvestment of distributions		252,324,723			53,971,307
Shares redeemed		(321,466,064,188	)		(143,816,071,101	)
Net increase (decrease) from capital share transactions		(4,381,163,776	)		29,786,401,363
Class G
Shares sold		15,382,750,176			1,988,575,206
Reinvestment of distributions		27,193,853			2,030,422
Shares redeemed		(11,642,079,959	)		(2,141,555,405	)
Net increase (decrease) from capital share transactions		3,767,864,070			(150,949,777	)
Class M
Shares sold		8,551,114,227			2,447,727,590
Reinvestment of distributions		10,949,871			489,155
Shares redeemed		(9,146,425,726	)		(772,475,575	)
Net increase (decrease) from capital share transactions		(584,361,628	)		1,675,741,170
Net increase (decrease) in net assets from beneficial interest transactions		(2,167,152,682	)		34,896,496,494
Net increase (decrease) in net assets during the period		(2,167,239,917	)		34,896,572,514
Net assets at beginning of period		50,117,325,306			15,220,752,792
NET ASSETS AT END OF PERIOD	$	47,950,085,389		$	50,117,325,306
Undistributed (distribution in excess of) net investment income (loss)	$	7,543		$	—

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Year Ended 12/31/17			Year Ended 12/31/16(a)
SHARES OF BENEFICIAL INTEREST:
Administration Class
Shares sold		32,311,759,839		$	10,795,182,861
Shares issued in connection with the tax-free transfer of assets from SSGA U.S. Government Money Market Fund		—			2,551,637,435
Reinvestment of distributions		3,690,492			112,178
Shares redeemed		(33,829,431,010	)		(9,923,148,056	)
Net increase (decrease) from share transactions		(1,513,980,679	)		3,423,784,418
Investment Class
Shares sold		5,435,656,349			4,647,491,417
Reinvestment of distributions		802,954			5,800
Shares redeemed		(5,907,021,048	)		(4,716,057,102	)
Net increase (decrease) from share transactions		(470,561,745	)		(68,559,885	)
Investor Class
Shares sold		3,704,507,730			431,820,990
Reinvestment of distributions		2,199,468			61,257
Shares redeemed		(2,691,656,122	)		(201,726,040	)
Net increase (decrease) from share transactions		1,015,051,076			230,156,207
Premier Class
Shares sold		316,832,575,689			173,548,537,300
Reinvestment of distributions		252,324,723			53,971,307
Shares redeemed		(321,466,064,188	)		(143,816,071,101	)
Net increase (decrease) from share transactions		(4,381,163,776	)		29,786,437,506
Class G
Shares sold		15,382,750,176			1,988,594,244
Reinvestment of distributions		27,193,853			2,030,422
Shares redeemed		(11,642,079,959	)		(2,141,555,405	)
Net increase (decrease) from share transactions		3,767,864,070			(150,930,739	)
Class M
Shares sold		8,551,114,227			2,447,727,590
Reinvestment of distributions		10,949,871			489,155
Shares redeemed		(9,146,425,726	)		(772,475,575	)
Net increase (decrease) from share transactions		(584,361,628	)		1,675,741,170

(a) For Class M, Administration Class and Investor Class, data is for the period November 30, 2016, August 23, 2016, and March 21, 2016, respectively, (inception date) through December 31, 2016.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Administration Class(a)
	Year Ended 12/31/17			For the Period 8/23/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0054			0.0001
Net realized gain (loss)		0.0000	(b)		(0.0000	)(b)
Total from investment operations		0.0054			0.0001
Distributions to shareholders from:
Net investment income		(0.0054	)		(0.0001	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0054	)		(0.0001	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.54	%		0.01	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,909,670		$	3,423,655
Ratios to Average Net Assets:
Total expenses		0.37	%		0.37	%(d)
Net expenses		0.37	%		0.37	%(d)
Net investment income (loss)		0.50	%		0.04	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investment Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0044			0.0000	(b)		0.0000	(b)(c)		(0.0000	)(b)(c)		0.0000	(b)(c)
Net realized gain (loss)		0.0000	(b)		0.0000	(b)		—			—			—
Total from investment operations		0.0044			0.0000	(b)		0.0000	(b)		(0.0000	)(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0044	)		(0.0000	)(b)		—			—			—
Net realized gains		(0.0000	)(b)		—			—			—			—
Total distributions		(0.0044	)		(0.0000	)(b)		—			—			—
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.44	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	432,488		$	903,050		$	971,551		$	615,706		$	691,469
Ratios to Average Net Assets:
Total expenses		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net expenses		0.47	%		0.37	%		0.10	%		0.07	%		0.10	%
Net investment income (loss)		0.40	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investor Class(a)
	Year Ended 12/31/17			For the Period 3/21/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0071			0.0014
Net realized gain (loss)		0.0000	(b)		(0.0000	)(b)
Total from investment operations		0.0071			0.0014
Distributions to shareholders from:
Net investment income		(0.0071	)		(0.0014	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0071	)		(0.0014	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.71	%		0.14	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,245,204		$	230,156
Ratios to Average Net Assets:
Total expenses		0.20	%		0.20	%(d)
Net expenses		0.20	%		0.20	%(d)
Net investment income (loss)		0.83	%		0.21	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Premier Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0079			0.0025			0.0000	(b)(c)		(0.0000	)(b)(c)		0.0001	(c)
Net realized gain (loss)		0.0000	(b)		(0.0000	)(b)		0.0000	(b)		—			—
Total from investment operations		0.0079			0.0025			0.0000	(b)		(0.0000	)(b)		0.0001
Distributions to shareholders from:
Net investment income		(0.0079	)		(0.0025	)		(0.0000	)(b)		—			(0.0001	)
Net realized gains		(0.0000	)(b)		—			—			—			—
Total distributions		(0.0079	)		(0.0025	)		(0.0000	)(b)		—			(0.0001	)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.79	%		0.25	%		0.00	%(e)		0.00	%(e)		0.01	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	38,921,503		$	43,302,733		$	13,516,264		$	10,962,800		$	7,189,250
Ratios to Average Net Assets:
Total expenses		0.12	%		0.12	%		0.12	%		0.12	%		0.12	%
Net expenses		0.12	%		0.12	%		0.09	%		0.07	%		0.09	%
Net investment income (loss)		0.78	%		0.27	%		0.00	%(e)		0.00	%(e)		0.01	%

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class G(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 10/5/14* - 12/31/14
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0082			0.0029			0.0002	(b)		0.0000	(b)(c)
Net realized gain (loss)		0.0001			0.0000	(c)		0.0000	(c)		0.0000	(c)
Total from investment operations		0.0083			0.0029			0.0002			0.0000	(c)
Distributions to shareholders from:
Net investment income		(0.0083	)		(0.0029	)		(0.0002	)		(0.0000	)(c)
Net realized gains		(0.0000	)(c)		—			—			—
Total distributions		(0.0083	)		(0.0029	)		(0.0002	)		(0.0000	)(c)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.83	%		0.29	%		0.02	%		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,349,842		$	581,991		$	732,938		$	872,335
Ratios to Average Net Assets:
Total expenses		0.08	%		0.08	%		0.08	%		0.09	%(f)
Net expenses		0.08	%		0.08	%		0.08	%		0.08	%(f)
Net investment income (loss)		0.95	%		0.29	%		0.02	%		0.00	%(e)(f)

 * Commencement of operations.

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

(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(c) Amount is less than $0.00005 per share.

(d) 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.

(e) Amount is less than 0.005%.

(f) Annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class M(a)
	Year Ended 12/31/17			For the Period 11/30/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0081			0.0003
Net realized gain (loss)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0081			0.0003
Distributions to shareholders from:
Net investment income		(0.0081	)		(0.0003	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0081	)		(0.0003	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.81	%		0.03	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,091,378		$	1,675,741
Ratios to Average Net Assets:
Total expenses		0.10	%		0.10	%(d)
Net expenses		0.10	%		0.10	%(d)
Net investment income (loss)		0.82	%		0.37	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Institutional U.S. Government Money Market Fund	Administration Class Investment Class Investor Class Institutional Class Premier Class Service Class Class G Class M	August 23, 2016 October 17, 2007 March 21, 2016 Not commenced October 25, 2007 Not commenced October 5, 2014 November 29, 2016	Diversified

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street U.S. Government Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (98.55% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, 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. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund pays no advisory fee directly to SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), for so long as assets of the Fund are invested in the Portfolio. The Portfolio retained 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 Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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 canceled at any time without notice. For the period ended December 31, 2017, the Adviser did not voluntarily waive any expenses.

Under the terms of the reimbursement agreement, the Fund agrees to repay SSGA FM up to the amount of fees waived or expenses reduced under the agreement provided that the 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 the 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 the Fund’s expenses per contractual fee waivers and/or reimbursements by SSGA FM

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL U.S. GOVERNMENT MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

which are effective at the time of such fee waivers and/or expense reimbursements. As of December 31, 2017, SSGA FM has not recouped any expenses from the Fund. The Fund had no waived/reduced fees subject to potential recovery at year end.

Expiration Date	Amount
12/31/2018	$	3,042,069

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund, except Class M and G shares, pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. Class M shares pay a fee at an annual rate of 0.03% of its average daily net assets to SSGA FM. Class G shares pay a fee at an annual rate of 0.01% of the average daily net assets of such class to SSGA FM. The fees are accrued daily and paid monthly.

The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC ( “SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s 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 0.05% and 0.10%, of the Fund’s net assets attributable to its Administration Class shares and Investment Class shares, respectively. In addition to payments under the Plan, the Fund may reimburse the Distributor 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.

During the period ended December 31, 2017, the Fund paid $2,050,099 to SSGA FD under the Plan.

Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Plan. During the period ended December 31, 2017, SSGA FD paid $3,116,813 to WMS.

Under the Fund’s Shareholder Servicing Plan (and other shareholder servicing arrangements), the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares, Administration Class shares and Investor Class shares made payments for these services at an annual rate up to 0.25%, 0.20% and 0.08%, respectively, of the eligible average daily net assets of the Investment Class shares, Administration Class shares and Investor Class shares, respectively. During the period ended December 31, 2017, the Fund’s Investment Class shares, Administration Class shares and Investor Class shares paid SSGA FD $1,927,391, $5,116,568 and $512,899, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

5. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional U.S. Government Money Market Fund	$	362,057,861	$	—	$	—	$	362,057,861

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional U.S. Government Money Market Fund	$	64,849,745	$	—	$	—	$	64,849,745

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards			Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Institutional U.S. Government Money Market Fund	$	7,543	$	(18,758	)	$	—	$	—	$	—	$	(11,215	)

As of December 31, 2017, the following Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

	Expiring 2018		Expiring 2019		Non-Expiring Short Term		Non-Expiring Long Term
State Street Institutional U.S. Government Money Market Fund	$	—	$	—	$	18,758	$	—

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

6. Risks

Market, Credit and Counterparty Risk

In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. The value of securities held by the Fund may decline in response

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.

7. Reorganization

On August 29, 2016, State Street Institutional U.S. Government Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Government Money Market Fund (“Acquired Fund”) in exchange for Administration Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.

The reorganization provides shareholders of the Acquired Fund access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.

For every one share of SSGA U.S. Government Money Market Fund N Class exchanged, a shareholder received one share of the Fund’s Administration Class.

The Fund received net assets from SSGA U.S. Government Money Market Fund as the result of the tax-free reorganization as follows:

Shares of the Fund Issued	Net Assets Received from Acquired Fund		Net Assets of the Fund Immediately Prior to the Combination		Net Assets of the Fund Immediately After the Combination
2,551,637,435	$	2,551,626,959	$	23,019,661,313	$	25,571,288,272

Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.

Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, were as follows:

Net Investment income (loss)	$	65,185,111
Total net realized gain (loss)	$	95,589
Net increase (decrease) in net assets resulting from operations	$	65,280,699

Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it was not practicable to separate the amounts of revenue and earnings of the Acquired Fund’s that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.

The statement of operations, statement of changes in net assets and the financial highlights for the prior period ended December 31, 2016 do not include any pre-merger activity of the Acquired Fund and prior reporting periods of the accounting survivor (the Fund) are not restated.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Institutional U.S. Government Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Institutional U.S. Government Money Market Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Institutional U.S. Government Money Market Fund
Administration Class		0.37	%	$	1,003.60	$	1.87	$	1,023.30	$	1.89
Investment Class		0.47			1,003.10		2.37		1,022.80		2.40
Investor Class		0.20			1,004.50		1.01		1,024.20		1.02
Premier Class		0.12			1,004.90		0.61		1,024.60		0.61
Class G		0.08			1,005.10		0.40		1,024.80		0.41
Class M		0.10			1,005.00		0.51		1,024.70		0.51

(a) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Fund will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005- Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

23

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

Annual Report

December 31, 2017

State Street Master Funds

State Street U.S. Government Money Market Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Portfolio Statistics (Unaudited)	1
Schedules of Investments	2
Statement of Assets and Liabilities	9
Statement of Operations	10
Statements of Changes in Net Assets	11
Financial Highlights	12
Notes to Financial Statements	13
Report of Independent Registered Public Accounting Firm	17
Other Information (Unaudited)	18

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Government Agency Debt		38.2	%
Treasury Repurchase Agreements		23.9
Treasury Debt		21.1
Government Agency Repurchase Agreements		15.7
Other Assets in Excess of Liabilities		1.1
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Maturity Ladder as of December 31, 2017

	% of Net Assets
2 to 30 Days		51.4	%
31 to 60 Days		9.1
61 to 90 Days		17.4
Over 90 Days		21.0
TOTAL		98.9	%
Average days to maturity		27
Weighted average life		77

(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements.

1

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT — 38.2%
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.18% (a)		1.181	%		01/02/2018		03/02/2018	$	115,000,000	$	115,000,000
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.15% (a)		1.216	%		01/02/2018		04/02/2018		200,000,000		200,000,000
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.13% (a)		1.220	%		01/02/2018		08/30/2018		195,000,000		194,998,709
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.13% (a)		1.231	%		01/01/2018		04/01/2019		290,000,000		289,989,076
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.17% (a)		1.238	%		01/07/2018		11/07/2018		241,000,000		240,993,814
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.13% (a)		1.278	%		01/07/2018		06/07/2019		184,300,000		184,194,352
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.12% (a)		1.415	%		01/25/2018		03/25/2019		100,000,000		100,000,000
Federal Farm Credit Bank, 3 Month USD MMY + 0.12% (a)		1.570	%		01/02/2018		05/08/2019		77,250,000		77,341,618
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.12% (a)		1.626	%		01/21/2018		03/21/2018		37,800,000		37,822,445
Federal Home Loan Bank, 3 Month USD LIBOR – 0.39% (a)		0.986	%		01/26/2018		01/26/2018		413,000,000		413,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.35% (a)		1.013	%		01/22/2018		01/22/2018		171,400,000		171,400,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.32% (a)		1.014	%		01/03/2018		04/03/2018		243,000,000		243,000,000
Federal Home Loan Bank (b)		1.075	%		01/05/2018		01/05/2018		500,000,000		499,940,278
Federal Home Loan Bank (b)		1.080	%		01/09/2018		01/09/2018		457,300,000		457,189,581
Federal Home Loan Bank (b)		1.085	%		01/12/2018		01/12/2018		98,300,000		98,267,411
Federal Home Loan Bank (b)		1.134	%		01/19/2018		01/19/2018		150,000,000		149,914,950
Federal Home Loan Bank (b)		1.145	%		01/03/2018		01/03/2018		250,000,000		249,984,097
Federal Home Loan Bank, 1 Month USD LIBOR – 0.17% (a)		1.191	%		01/01/2018		02/01/2018		100,000,000		100,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.12% (a)		1.241	%		01/01/2018		08/01/2018		338,100,000		338,100,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.13% (a)		1.249	%		01/05/2018		01/05/2018		701,200,000		701,200,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.13% (a)		1.277	%		01/09/2018		01/09/2018		185,700,000		185,700,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08% (a)		1.286	%		01/01/2018		03/01/2019		250,000,000		250,000,000
Federal Home Loan Bank (b)		1.299	%		02/09/2018		02/09/2018		540,500,000		539,739,002
Federal Home Loan Bank (b)		1.300	%		02/07/2018		02/07/2018		227,000,000		226,696,703
Federal Home Loan Bank (b)		1.300	%		02/16/2018		02/16/2018		650,000,000		648,920,278
Federal Home Loan Bank (b)		1.301	%		02/14/2018		02/14/2018		498,000,000		497,208,125
Federal Home Loan Bank (b)		1.305	%		02/12/2018		02/12/2018		129,000,000		128,803,597
Federal Home Loan Bank (b)		1.310	%		03/01/2018		03/01/2018		250,000,000		249,463,264
Federal Home Loan Bank (b)		1.310	%		03/02/2018		03/02/2018		718,000,000		716,432,367
Federal Home Loan Bank (b)		1.325	%		03/14/2018		03/14/2018		193,000,000		192,488,550
Federal Home Loan Bank (b)		1.339	%		03/21/2018		03/21/2018		571,000,000		569,322,196
Federal Home Loan Bank (b)		1.339	%		03/23/2018		03/23/2018		350,000,000		348,945,537
Federal Home Loan Bank (b)		1.340	%		03/19/2018		03/19/2018		177,000,000		176,492,698
Federal Home Loan Bank, 1 Month USD LIBOR – 0.15% (a)		1.346	%		01/18/2018		01/18/2018		105,500,000		105,500,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.12% (a)		1.362	%		01/17/2018		08/17/2018		335,300,000		335,322,857
Federal Home Loan Bank, 3 Month USD LIBOR – 0.32% (a)		1.366	%		03/28/2018		03/28/2018		81,000,000		81,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.09% (a)		1.387	%		01/15/2018		04/15/2019		500,000,000		500,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.15% (a)		1.390	%		01/25/2018		01/25/2018		211,000,000		211,000,000
Federal Home Loan Bank, 1 Month USD LIBOR + 0.01% (a)		1.402	%		01/06/2018		04/06/2018		90,000,000		89,999,962
Federal Home Loan Bank, 1 Month USD LIBOR – 0.13% (a)		1.405	%		01/25/2018		07/25/2018		507,000,000		507,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.15% (a)		1.407	%		01/27/2018		07/27/2018		48,750,000		48,750,989
Federal Home Loan Bank, 1 Month USD LIBOR – 0.12% (a)		1.415	%		01/26/2018		10/26/2018		850,000,000		849,935,964
Federal Home Loan Bank, 1 Month USD LIBOR + 0.08% (a)		1.487	%		01/08/2018		01/08/2018		50,000,000		50,001,903
Federal Home Loan Bank, 3 Month USD LIBOR – 0.19% (a)		1.496	%		03/28/2018		06/28/2018		398,550,000		398,550,000
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.04% (a)		1.016	%		01/11/2018		01/11/2018		376,500,000		376,500,000
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.23% (a)		1.123	%		01/17/2018		07/17/2018		100,000,000		99,992,230
Federal Home Loan Mortgage Corp. (b)		1.269	%		02/23/2018		02/23/2018		373,488,000		372,787,017
Federal Home Loan Mortgage Corp. (b)		1.270	%		02/22/2018		02/22/2018		50,000,000		49,908,278
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.16% (a)		1.272	%		01/11/2018		05/11/2018		631,400,000		631,400,000
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.03% (a)		1.319	%		01/08/2018		01/08/2018		118,400,000		118,404,963
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.12% (a)		1.357	%		01/17/2018		05/17/2019		650,000,000		650,000,000

See accompanying notes to financial statements.

2

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.15% (a)		1.361	%		01/21/2018		06/21/2018	$	646,400,000	$	646,400,000
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.14% (a)		1.371	%		01/21/2018		11/21/2018		348,000,000		348,000,000
Federal National Mortgage Assoc. (b)		1.050	%		01/02/2018		01/02/2018		1,615,000,000		1,614,948,950
Federal National Mortgage Assoc. (b)		1.130	%		01/03/2018		01/03/2018		88,073,000		88,067,471
Federal National Mortgage Assoc. (b)		1.270	%		02/28/2018		02/28/2018		221,969,000		221,514,827
Federal National Mortgage Assoc. (b)		1.314	%		03/14/2018		03/14/2018		230,000,000		229,395,560
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.03% (a)		1.326	%		01/11/2018		01/11/2018		125,000,000		125,000,000
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.05% (a)		1.592	%		03/21/2018		03/21/2018		250,000,000		250,092,120
TOTAL GOVERNMENT AGENCY DEBT											18,592,021,739
TREASURY DEBT — 21.1%
U.S. Treasury Bill (b)		1.041	%		01/02/2018		01/02/2018		114,800,000		114,796,677
U.S. Treasury Bill (b)		1.100	%		01/25/2018		01/25/2018		300,000,000		299,778,292
U.S. Treasury Bill (b)		1.130	%		01/04/2018		01/04/2018		450,000,000		449,960,625
U.S. Treasury Bill (b)		1.178	%		03/22/2018		03/22/2018		2,256,400,000		2,249,824,052
U.S. Treasury Bill (b)		1.240	%		04/19/2018		04/19/2018		500,000,000		498,140,000
U.S. Treasury Bill (b)		1.285	%		02/22/2018		02/22/2018		400,000,000		399,256,591
U.S. Treasury Bill (b)		1.288	%		03/01/2018		03/01/2018		400,000,000		399,157,152
U.S. Treasury Bill (b)		1.293	%		03/08/2018		03/08/2018		750,000,000		748,225,026
U.S. Treasury Bill (b)		1.310	%		03/15/2018		03/15/2018		750,000,000		747,998,974
U.S. Treasury Bill (b)		1.360	%		05/17/2018		05/17/2018		673,000,000		669,542,276
U.S. Treasury Bill (b)		1.415	%		03/29/2018		03/29/2018		1,500,000,000		1,494,825,760
U.S. Treasury Note, 3 Month USD MMY + 0.07% (a)		1.520	%		01/02/2018		04/30/2019		300,576,200		300,710,158
U.S. Treasury Note, 3 Month USD MMY + 0.14% (a)		1.590	%		01/02/2018		01/31/2019		170,000,000		170,216,142
U.S. Treasury Note, 3 Month USD MMY + 0.17% (a)		1.624	%		01/02/2018		07/31/2018		678,566,000		678,884,001
U.S. Treasury Note, 3 Month USD MMY + 0.19% (a)		1.640	%		01/02/2018		04/30/2018		650,500,000		650,737,459
U.S. Treasury Note, 3 Month USD MMY + 0.27% (a)		1.722	%		01/02/2018		01/31/2018		382,000,000		382,098,509
TOTAL TREASURY DEBT											10,254,151,694
GOVERNMENT AGENCY REPURCHASE AGREEMENTS — 15.7%
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/27/2017 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.000% due 10/01/2025 – 07/01/2047, a Federal National Mortgage Association, 3.000% due 05/01/2031, and a Government National Mortgage Association, 3.500% due 08/20/2042, valued at $255,000,000); expected proceeds $250,063,681		1.310	%		01/03/2018		01/03/2018		250,000,000		250,000,000
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/26/2017 (collateralized by Federal Farm Credit Banks, 2.900% – 4.500% due 08/23/2021 – 08/03/2029, Federal Home Loan Banks, 0.750% – 2.790% due 01/23/2018 – 09/13/2041, Federal Home Loan Discount Note, 0.000% due 01/29/2018, Federal Home Loan Mortgage Corporations, 0.000% – 6.000% due 07/01/2019 – 01/15/2047, Federal National Mortgage Associations, 1.000% – 7.125% due 12/14/2018 – 10/25/2047, Government National Mortgage Associations, 4.500% – 5.000% due 12/15/2046 – 12/15/2047, U.S. Treasury Bonds, 2.250% – 9.125% due 05/15/2018 – 08/15/2046, and a U.S. Treasury Strip, 0.000% due 05/15/2018, valued at $408,000,002); expected proceeds $400,102,667		1.320	%		01/02/2018		01/02/2018		400,000,000		400,000,000

See accompanying notes to financial statements.

3

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/28/2017 (collateralized by a Federal Home Loan Bank, 1.000% due 09/26/2019, Federal Home Loan Mortgage Corporations, 0.875% – 5.500% due 07/19/2019 – 11/01/2046, Federal National Mortgage Associations, 0.875% – 7.000% due 05/25/2019 – 07/25/2049, Government National Mortgage Associations, 1.614% – 5.750% due 07/16/2033 – 06/20/2044, and a U.S. Treasury Note, 3.500% due 05/15/2020, valued at $459,000,044); expected proceeds $450,115,500		1.320	%		01/04/2018		01/04/2018	$	450,000,000	$	450,000,000
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 7.000% due 11/01/2019 – 01/15/2048, Federal National Mortgage Associations, 2.000% – 6.500% due 04/01/2019 – 12/25/2049, and Government National Mortgage Associations, 1.901% – 5.000% due 07/15/2018 – 05/15/2042, valued at $916,980,000); expected proceeds $899,134,850		1.350	%		01/02/2018		01/02/2018		899,000,000		899,000,000
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/28/2017 (collateralized by a Federal Home Loan Bank, 1.000% due 09/26/2019, Federal Home Loan Mortgage Corporations, 0.875% – 5.500% due 07/19/2019 – 11/01/2046, Federal National Mortgage Associations, 0.875% – 7.000% due 05/25/2019 – 07/25/2049, Government National Mortgage Associations, 1.614% – 5.750% due 07/16/2033 – 06/20/2044, and a U.S. Treasury Note, 3.500% due 05/15/2020, valued at $24,417,009); expected proceeds $21,000,150		1.350	%		01/02/2018		01/02/2018		20,997,000		20,997,000
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% – 4.000% due 11/01/2044 – 11/01/2047, Federal National Mortgage Associations, 2.270% – 4.500% due 09/01/2026 – 01/01/2048, and Government National Mortgage Associations, 4.000% due 09/20/2047, valued at $255,057,888); expected proceeds $250,038,056		1.370	%		01/02/2018		01/02/2018		250,000,000		250,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Banks, 0.000% due 12/06/2019 – 12/26/2019, valued at $229,502,464); expected proceeds $225,060,375		1.380	%		01/05/2018		01/05/2018		225,000,000		225,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Farm Credit Banks, 3.000% – 3.370% due 09/13/2029 – 09/14/2037, a Federal Home Loan Mortgage Corporation, 0.000% due 09/15/2029, a Federal National Mortgage Association, 0.000% due 03/23/2028, a U.S. Treasury Bill, 0.000% due 04/05/2018, U.S. Treasury Bonds, 2.250% – 8.125% due 08/15/2019 – 08/15/2046, a U.S. Treasury Inflation Index Note, 1.375% due 07/15/2018, a U.S. Treasury Note, 1.750% due 10/31/2018, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 08/15/2042, valued at $153,000,000); expected proceeds $150,023,167		1.390	%		01/02/2018		01/02/2018		150,000,000		150,000,000

See accompanying notes to financial statements.

4

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a Federal Home Loan Bank, 3.000% due 09/11/2026, Federal Home Loan Mortgage Corporations, 1.877% – 2.077% due 05/15/2022 – 04/15/2023, Federal National Mortgage Associations, 2.002% – 2.202% due 12/25/2021 – 06/25/2022, a Government National Mortgage Association, 1.891% due 12/16/2030, a U.S. Treasury Note, 2.500% due 05/15/2024, and a U.S. Treasury Strip, 0.000% due 08/15/2028, valued at $78,540,567); expected proceeds $77,011,892		1.390	%		01/02/2018		01/02/2018	$	77,000,000	$	77,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a Federal Farm Credit Bank, 1.233% due 05/26/2020, Federal Home Loan Mortgage Corporations, 0.000% – 7.500% due 08/01/2018 – 01/01/2048, Federal National Mortgage Associations, 2.500% – 7.000% due 01/01/2026 – 01/01/2048, Government National Mortgage Associations, 2.500% – 5.000% due 06/15/2040 – 02/15/2047, a U.S. Treasury Bond, 6.250% due 05/15/2030, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, U.S. Treasury Notes, 0.875% – 1.625% due 04/15/2019 – 09/30/2023, and U.S. Treasury Strips, 0.000% due 11/15/2018 – 11/15/2047, valued at $958,800,949); expected proceeds $940,254,061		1.390	%		01/05/2018		01/05/2018		940,000,000		940,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 6.500% due 05/01/2024 – 01/01/2048, and Federal National Mortgage Associations, 2.500% – 6.500% due 02/01/2023 – 08/01/2056, valued at $286,620,000); expected proceeds $281,043,711		1.400	%		01/02/2018		01/02/2018		281,000,000		281,000,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/26/2017 (collateralized by a Federal Farm Credit Bank, 1.340% due 07/16/2019, a Federal Home Loan Bank, 1.125% due 04/25/2018, a Federal Home Loan Mortgage Corporation, 3.750% due 03/27/2019, a U.S. Treasury Bill, 0.000% due 02/01/2018, U.S. Treasury Bonds, 2.250% – 3.125% due 02/15/2042 – 08/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 1.375% due 07/15/2018 – 07/15/2024, and U.S. Treasury Notes, 2.000% – 3.500% due 02/15/2018 – 02/15/2025, valued at $408,000,064); expected proceeds $400,108,889		1.400	%		01/02/2018		01/02/2018		400,000,000		400,000,000
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 12/01/2028 – 12/01/2047, Federal National Mortgage Associations, 2.000% – 4.500% due 10/01/2021 – 10/01/2056, and a Financing Corp., 0.000% due 12/06/2018, valued at $2,448,383,521); expected proceeds $2,400,376,000		1.410	%		01/02/2018		01/02/2018		2,400,000,000		2,400,000,000
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 5.023% due 02/15/2042 – 12/15/2047, Federal National Mortgage Associations, 3.500% – 6.000% due 12/25/2041 – 07/25/2057, and Government National Mortgage Associations, 0.000% – 5.417% due 02/16/2040 – 09/20/2067, valued at $530,280,000); expected proceeds $491,077,469		1.420	%		01/02/2018		01/02/2018		491,000,000		491,000,000

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/29/2017 (collateralized by Federal National Mortgage Associations, 2.500% – 4.500% due 09/01/2031 – 10/01/2046, and a Government National Mortgage Association, 4.000% due 11/20/2047, valued at $403,051,836); expected proceeds $389,061,808		1.430	%		01/02/2018		01/02/2018	$	389,000,000	$	389,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											7,622,997,000
TREASURY REPURCHASE AGREEMENTS — 23.9%
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 3.875% due 08/15/2040, and U.S. Treasury Notes, 1.625% due 04/30/2023 – 05/31/2023, valued at $2,600,361,127); expected proceeds $2,600,361,111		1.250	%		01/02/2018		01/02/2018		2,600,000,000		2,600,000,000
Agreement with MUFG Securities, dated 12/22/2017 (collateralized by U.S. Treasury Bonds, 2.500% – 3.000% due 02/15/2045 – 05/15/2045, and U.S. Treasury Notes, 1.500% – 2.625% due 11/15/2020 – 08/15/2026, valued at $251,997,439); expected proceeds $250,099,306		1.300	%		01/02/2018		01/02/2018		250,000,000		250,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/26/2017 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 01/15/2026, U.S. Treasury Notes, 0.750% – 2.125% due 07/15/2019 – 03/31/2024, and U.S. Treasury Strips, 0.000% due 08/15/2025 – 11/15/2025, valued at $229,502,544); expected proceeds $225,057,750		1.320	%		01/02/2018		01/02/2018		225,000,000		225,000,000
Agreement with LLOYDS Bank PLC, dated 12/27/2017 (collateralized by U.S. Treasury Bills, 0.125% – 0.375% due 04/15/2020 – 01/15/2027, U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 04/15/2021 – 02/15/2043, and a U.S. Treasury Bonds, 1.750% due 02/28/202, valued at $1,281,766,239); expected proceeds $1,250,320,833		1.320	%		01/03/2018		01/03/2018		1,250,000,000		1,250,000,000
Agreement with Barclays Bank PLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 3.000% – 3.625% due 02/15/2044 – 05/15/2047, U.S. Treasury Inflation Index Bonds, 0.625% – 0.875% due 02/15/2043 – 02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 04/15/2020 – 01/15/2027, and U.S. Treasury Notes, 1.375% – 2.125% due 05/31/2021 – 08/15/2026, valued at $2,154,240,021); expected proceeds $2,112,312,107		1.330	%		01/02/2018		01/02/2018		2,112,000,000		2,112,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/27/2017 (collateralized by U.S. Treasury Inflation Index Bonds, 2.375% – 3.875% due 01/15/2027 – 04/15/2029, U.S. Treasury Notes, 1.375% – 2.250% due 11/15/2022 – 10/31/2024, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 02/15/2027, valued at $688,502,649); expected proceeds $675,174,563		1.330	%		01/03/2018		01/03/2018		675,000,000		675,000,000
Agreement with Barclays Bank PLC and Bank of New York Mellon (Tri-Party), dated 11/16/2017 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2047, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 04/15/2029 – 02/15/2047, and U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 04/15/2020 – 01/15/2025, valued at $255,000,100); expected proceeds $250,591,111 (c)		1.330	%		01/19/2018		01/19/2018		250,000,000		250,000,000

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 1.625% – 2.000% due 04/30/2019 – 07/31/2020, valued at $102,098,969); expected proceeds $100,097,012		1.350	%		01/02/2018		01/02/2018	$	100,082,000	$	100,082,000
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Inflation Index Bonds, 2.375% – 2.500% due 01/15/2025 – 01/15/2029, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 04/15/2019 – 01/15/2025, and U.S. Treasury Notes, 1.125% – 3.625% due 02/15/2020 – 08/15/2027, valued at $1,173,215,811); expected proceeds $1,150,172,500		1.350	%		01/02/2018		01/02/2018		1,150,000,000		1,150,000,000
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $51,007,754); expected proceeds $50,007,556		1.360	%		01/02/2018		01/02/2018		50,000,000		50,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.000% due 08/31/2021, valued at $51,000,070); expected proceeds $50,013,319		1.370	%		01/05/2018		01/05/2018		50,000,000		50,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 2.250% due 08/15/2046, a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, and a U.S. Treasury Strip, 0.000% due 02/15/2026, valued at $61,200,051); expected proceeds $60,009,200		1.380	%		01/02/2018		01/02/2018		60,000,000		60,000,000
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bills, 0.000% due 01/11/2018 – 11/08/2018, U.S. Treasury Bonds, 2.250% – 8.000% due 11/15/2021 – 05/15/2047, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2019 – 07/15/2026, U.S. Treasury Notes, 0.625% – 4.000% due 12/31/2017 – 05/15/2027, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 08/15/2022, valued at $510,000,081); expected proceeds $500,076,667		1.380	%		01/02/2018		01/02/2018		500,000,000		500,000,000
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/21/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 03/08/2018, U.S. Treasury Bonds, 2.875% – 3.750% due 02/15/2042 – 08/15/2045, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 01/15/2027 – 02/15/2042, U.S. Treasury Inflation Index Notes, 0.125% – 1.875% due 04/15/2019 – 01/15/2025, and U.S. Treasury Notes, 1.000% – 2.500% due 11/30/2018 – 08/15/2025, valued at $816,000,045); expected proceeds $800,460,000		1.380	%		01/05/2018		01/05/2018		800,000,000		800,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 2.875% due 11/15/2046, and a U.S. Treasury Note, 1.125% due 08/31/2021, valued at $95,880,049); expected proceeds $94,014,518		1.390	%		01/02/2018		01/02/2018		94,000,000		94,000,000

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by Federal Farm Credit Banks, 0.700% – 3.930% due 01/08/2018 – 08/01/2044, Federal Home Loan Banks, 2.700% – 5.500% due 07/27/2028 – 09/08/2036, Federal Home Loan Mortgage Corporations, 6.250% – 6.750% due 03/15/2031 – 07/15/2032, Federal National Mortgage Associations, 5.625% – 7.250% due 05/15/2029 – 07/15/2037, Tennessee Valley Authorities, 3.500% – 5.375% due 09/15/2039 – 09/15/2065, and U.S. Treasury Strips, 0.000% due 05/15/2031 – 08/15/2047, valued at $336,652,027); expected proceeds $330,050,967		1.390	%		01/02/2018		01/02/2018	$	330,000,000	$	330,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 1.625% – 2.125% due 12/31/2022 – 09/30/2024, valued at $153,005,121); expected proceeds $150,023,500		1.410	%		01/02/2018		01/02/2018		150,000,000		150,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 1.500% – 1.625% due 03/31/2019 – 10/15/2020, valued at $51,001,479); expected proceeds $50,007,889		1.420	%		01/02/2018		01/02/2018		50,000,000		50,000,000
Agreement with LLOYDS Bank PLC, dated 11/16/2017 (collateralized by U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 04/15/2021 – 02/15/2043, valued at $231,559,991); expected proceeds $225,804,375 (c)		1.430	%		01/02/2018		02/14/2018		225,000,000		225,000,000
Agreement with LLOYDS Bank PLC, dated 12/07/2017 (collateralized by a U.S. Treasury Bill, 0.125% due 04/15/2020, and U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 04/15/2021 – 02/15/2043, valued at $514,899,092); expected proceeds $501,812,500 (c)		1.450	%		01/02/2018		03/07/2018		500,000,000		500,000,000
Agreement with MUFG Securities, dated 12/29/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 03/01/2018, U.S. Treasury Bonds, 3.000% – 3.125% due 02/15/2043 – 02/15/2047, and U.S. Treasury Notes, 1.250% – 3.625% due 03/31/2019 – 02/15/2025, valued at $229,299,990); expected proceeds $225,038,750		1.550	%		01/02/2018		01/02/2018		225,000,000		225,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											11,646,082,000
TOTAL INVESTMENTS — 98.9% (d) (e)											48,115,252,433
Other Assets in Excess of Liabilities — 1.1%											549,764,808
NET ASSETS — 100.0%										$	48,665,017,241

(a) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(b) Rate shown is the discount rate at time of purchase.

(c) Illiquid security. These securities represent $975,000,000 or 2.0% of net assets as of December 31, 2017.

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

(e) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

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STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value and cost	$	28,846,173,433
Repurchase agreements, at value and amortized cost		19,269,079,000
Total Investments		48,115,252,433
Cash		534,100,209
Interest receivable — unaffiliated issuers		18,474,832
Prepaid expenses and other assets		176,151
TOTAL ASSETS		48,668,003,625
LIABILITIES
Advisory fee payable		2,099,359
Administration, custody and transfer agent fees payable		826,149
Professional fees payable		48,918
Accrued expenses and other liabilities		11,958
TOTAL LIABILITIES		2,986,384
NET ASSETS	$	48,665,017,241

See accompanying notes to financial statements.

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STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	433,153,954
EXPENSES
Advisory fee		23,773,527
Administration, custodian and transfer agent fees		5,801,515
Trustees’ fees and expenses		679,854
Professional fees and expenses		142,207
Printing and postage fees		49,044
Insurance expense		179,341
Miscellaneous expenses		107,287
TOTAL EXPENSES		30,732,775
NET INVESTMENT INCOME (LOSS)		402,421,179
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(18,966	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	402,402,213

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	402,421,179		$	85,259,568
Net realized gain (loss)		(18,966	)		79,284
Net increase (decrease) in net assets resulting from operations		402,402,213			85,338,852
CAPITAL TRANSACTIONS
Contributions		104,516,771,308			97,658,772,208
Proceeds in connection with Reorganization (Note 8)		—			2,551,626,959
Withdrawals		(107,179,383,705	)		(65,394,001,185	)
Net increase (decrease) in net assets from capital transactions		(2,662,612,397	)		34,816,397,982
Net increase (decrease) in net assets during the period		(2,260,210,184	)		34,901,736,834
Net assets at beginning of period		50,925,227,425			16,023,490,591
NET ASSETS AT END OF PERIOD	$	48,665,017,241		$	50,925,227,425

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout the period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Total return (a)		0.74	%		0.31	%		0.03	%		0.01	%		0.03	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	48,665,017		$	50,925,227		$	16,023,491		$	13,207,868		$	8,712,920
Ratios to average net assets:
Total expenses		0.06	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.85	%		0.32	%		0.03	%		0.01	%		0.03	%

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

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street U.S. Government Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.

Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

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

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

3. Securities and Other Investments

Repurchase Agreements

The 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 the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

As of December 31, 2017, the Portfolio had invested in repurchase agreements with the gross values of $19,269,079,000 and associated collateral equal to $19,647,117,630.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust has 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 which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly 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 Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

7. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may

15

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

8. Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional U.S. Government Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Government Money Market Fund (“Acquired Fund”) in exchange for Administration Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

9. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

16

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and the Board of

Trustees of State Street U.S. Government Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street U.S. Government Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street U.S. Government Money Market Portfolio		0.07	%	$	1,004.10	$	0.35	$	1,024.90	$	0.36

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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STATE STREET MASTER FUNDS

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address andYear of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

21

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005- Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

22

STATE STREET MASTER FUNDS

STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

23

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent

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 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

STTUSGOVAR1

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Institutional Treasury Money Market Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Statement of Assets and Liabilities	1
Statement of Operations	2
Statements of Changes in Net Assets	3
Financial Highlights	4
Notes to Financial Statements	7
Report of Independent Registered Public Accounting Firm	12
Other Information (Unaudited)	13

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in corresponding affiliated Portfolio, at value and cost	$	12,521,473,642
Other Receivable		10
Prepaid expenses and other assets		2,881
TOTAL ASSETS		12,521,476,533
LIABILITIES
Payable for fund shares repurchased		601,266
Advisory fee payable		9,084
Administration fees payable		486,043
Shareholder servicing fee payable		82,243
Distribution fees payable		32,200
Transfer agent fees payable		8,318
Distribution payable		621,464
Registration and filing fees payable		21,357
Professional fees payable		19,090
Printing fees payable		21,732
TOTAL LIABILITIES		1,902,797
NET ASSETS	$	12,519,573,736
NET ASSETS CONSIST OF:
Paid-in Capital	$	12,519,418,896
Undistributed (distribution in excess of) net investment income (loss)		41,267
Accumulated net realized gain (loss) on investments		113,573
NET ASSETS	$	12,519,573,736
Investment Class
Net Assets	$	366,363,599
Shares Outstanding		366,355,108
Net asset value, offering and redemption price per share	$	1.00
Investor Class
Net Assets	$	29,582,684
Shares Outstanding		29,583,205
Net asset value, offering and redemption price per share	$	1.00
Premier Class
Net Assets	$	12,123,627,453
Shares Outstanding		12,123,581,346
Net asset value, offering and redemption price per share	$	1.00

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

1

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO
Interest income allocated from affiliated Portfolio	$	115,320,770
Expenses allocated from affiliated Portfolio		(8,583,060	)
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO		106,737,710
EXPENSES
Administration fees		6,569,201
Shareholder servicing fees
Investment Class		1,248,735
Investor Class		17,812
Distribution fees
Investment Class		499,494
Custodian fees		17,652
Trustees’ fees and expenses		18,733
Transfer agent fees		41,588
Registration and filing fees		67,445
Professional fees		36,411
Printing fees		42,943
Insurance expense		42,249
Miscellaneous expenses		113,560
TOTAL EXPENSES		8,715,823
NET INVESTMENT INCOME (LOSS)		98,021,887
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments allocated from affiliated Portfolio		113,573
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	98,135,460

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16(a)
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	98,021,887		$	21,696,799
Net realized gain (loss)		113,573			291,850
Net increase (decrease) in net assets resulting from operations		98,135,460			21,988,649
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Investment Class		(1,906,983	)		(9,269	)
Investor Class		(158,207	)		(2,356	)
Premier Class		(95,956,697	)		(21,685,174	)
Total distributions from net investment income		(98,021,887	)		(21,696,799	)
Net Realized Gains
Investment Class		(8,436	)		—
Investor Class		(757	)		—
Premier Class		(282,657	)		—
Total distributions from net realized gains		(291,850	)		—
Total distributions to shareholders		(98,313,737	)		(21,696,799	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Investment Class
Shares sold		1,087,056,456			1,316,642,508
Shares redeemed		(1,330,233,190	)		(1,431,796,980	)
Net increase (decrease) from capital share transactions		(243,176,734	)		(115,154,472	)
Investor Class
Shares sold		158,772,681			27,400,040
Reinvestment of distributions		142,846			1,649
Shares redeemed		(156,733,971	)		(40	)
Net increase (decrease) from capital share transactions		2,181,556			27,401,649
Premier Class
Shares sold		23,600,866,008			27,604,079,644
Reinvestment of distributions		93,464,178			20,452,809
Shares redeemed		(24,222,314,554	)		(25,385,988,943	)
Net increase (decrease) from capital share transactions		(527,984,368	)		2,238,543,510
Net increase (decrease) in net assets from beneficial interest transactions		(768,979,546	)		2,150,790,687
Net increase (decrease) in net assets during the period		(769,157,823	)		2,151,082,537
Net assets at beginning of period		13,288,731,559			11,137,649,022
NET ASSETS AT END OF PERIOD	$	12,519,573,736		$	13,288,731,559
Undistributed (distribution in excess of) net investment income (loss)	$	41,267		$	41,267
SHARES OF BENEFICIAL INTEREST:
Investment Class
Shares sold		1,087,056,456			1,316,661,975
Shares redeemed		(1,330,233,190	)		(1,431,796,980	)
Net increase (decrease) from share transactions		(243,176,734	)		(115,135,005	)
Investor Class
Shares sold		158,772,681			27,400,040
Reinvestment of distributions		142,846			1,649
Shares redeemed		(156,733,971	)		(40	)
Net increase (decrease) from share transactions		2,181,556			27,401,649
Premier Class
Shares sold		23,600,866,009			27,604,060,177
Reinvestment of distributions		93,464,178			20,452,809
Shares redeemed		(24,222,314,554	)		(25,385,988,943	)
Net increase (decrease) from share transactions		(527,984,367	)		2,238,524,043

(a) For Investor Class, data is for the period December 22, 2016 (inception date) through December 31, 2016.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Investment Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0041			0.0000	(b)		0.0000	(b)(c)		(0.0010	)(c)		0.0000	(b)(c)
Net realized gain (loss)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0010			0.0000	(b)
Total from investment operations		0.0041			0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0041	)		(0.0000	)(b)		—			—			(0.0000	)(b)
Net realized gains		(0.0000	)(b)		—			—			(0.0000	)(b)		(0.0000	)(b)
Total distributions		(0.0041	)		(0.0000	)(b)		—			(0.0000	)(b)		(0.0000	)(b)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.41	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	366,364		$	609,545		$	724,683		$	741,248		$	1,407,207
Ratios to Average Net Assets:
Total expenses		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net expenses		0.47	%		0.31	%		0.04	%		0.05	%		0.07	%
Net investment income (loss)		0.38	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investor Class(a)
	Year Ended 12/31/17			For the Period 12/22/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0068			0.0001
Net realized gain (loss)		0.0000	(b)		(0.0000	)(b)
Total from investment operations		0.0068			0.0001
Distributions to shareholders from:
Net investment income		(0.0068	)		(0.0001	)
Net realized gains		(0.0000	)		—
Total distributions		(0.0068	)		(0.0001	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.68	%		0.00	%(d)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	29,583		$	27,402
Ratios to Average Net Assets:
Total expenses		0.20	%		0.18	%(e)
Net investment income (loss)		0.71	%		0.31	%(e)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Amount is less than 0.005%.

(e) Annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Premier Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0076			0.0019			0.0000	(b)(c)		—	(c)		0.0000	(b)(c)
Net realized gain (loss)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0076			0.0019			0.0000	(b)		0.0000	(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0076	)		(0.0019	)		(0.0000	)(b)		—			(0.0000	)(b)
Net realized gains		(0.0000	)(b)		—			—			(0.0000	)(b)		(0.0000	)(b)
Total distributions		(0.0076	)		(0.0019	)		(0.0000	)(b)		(0.0000	)(b)		(0.0000	)(b)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.76	%		0.19	%		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	12,123,627		$	12,651,785		$	10,412,966		$	8,338,818		$	11,949,583
Ratios to Average Net Assets:
Total expenses		0.12	%		0.12	%		0.12	%		0.12	%		0.12	%
Net expenses		0.12	%		0.12	%		0.04	%		0.04	%		0.07	%
Net investment income (loss)		0.76	%		0.19	%		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Institutional Treasury Money Market Fund	Administration Class	Not commenced	Diversified
	Institutional Class	Not commenced
	Investment Class	October 25, 2007
	Investor Class	December 22, 2016
	Premier Class	October 25, 2007
	Service Class	Not commenced

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Treasury Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (96.28% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, 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. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund pays no advisory fee directly to SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), for so long as assets of the Fund are invested in the Portfolio. The Portfolio retained 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 Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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 canceled at any time without notice. For the period ended December 31, 2017, the Adviser did not voluntarily waive any expenses.

Under the terms of the reimbursement agreement, the Fund agrees to repay SSGA FM up to the amount of fees waived or expenses reduced under the agreement provided that the 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 the 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 the 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, 2017, SSGA FM has

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

not recouped any expenses from the Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:

Expiration Date	Amount
12/31/2018	$	8,650,278

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor 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.

During the period ended December 31, 2017, the Fund paid $499,494 to SSGA FD under the Plan.

Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Plan. During the period ended December 31, 2017, SSGA FD paid $1,817,426 to WMS.

Under the Fund’s Shareholder Servicing Plan (and other shareholder servicing arrangements), the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares and Investor Class shares made payments for these services at an annual rate up to 0.25% and 0.08%, respectively, of the eligible average daily net assets of the Investment Class shares and Investor Class shares, respectively. During the period ended December 31, 2017, the Fund’s Investment Class shares and Investor Class shares paid SSGA FD $1,248,735 and $17,812, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

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STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

5. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Treasury Money Market Fund	$	98,313,737	$	—	$	—	$	98,313,737

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Treasury Money Market Fund	$	21,696,799	$	—	$	—	$	21,696,799

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Institutional Treasury Money Market Fund	$	154,840	$	—	$	—	$	—	$	—	$	154,840

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

6. Risks

Market, Credit and Counterparty Risk

In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

7. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Institutional Treasury Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Institutional Treasury Money Market Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Institutional Treasury Money Market Fund
Investment Class		0.47	%	$	1,003.10	$	2.37	$	1,022.80	$	2.40
Investor Class		0.20			1,004.40		1.01		1,024.20		1.02
Premier Class		0.12			1,004.80		0.61		1,024.60		0.61

(a) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

13

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Fund will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005- Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

18

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

Annual Report

December 31, 2017

State Street Master Funds

State Street Treasury Money Market Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Portfolio Statistics (Unaudited)	1
Schedules of Investments	2
Statement of Assets and Liabilities	3
Statement of Operations	4
Statements of Changes in Net Assets	5
Financial Highlights	6
Notes to Financial Statements	7
Report of Independent Registered Public Accounting Firm	11
Other Information (Unaudited)	12

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

STATE STREET TREASURY MONEY MARKET PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Treasury Debt		100.0	%
Other Assets in Excess of Liabilities		0.0	*
TOTAL		100.0	%

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

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Maturity Ladder as of December 31, 2017

	% of Net Assets
2 to 30 Days		45.1	%
31 to 60 Days		23.9
61 to 90 Days		18.6
Over 90 Days		12.4
TOTAL		100.0	%
Average days to maturity		35
Weighted average life		56

(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements.

1

STATE STREET MASTER FUNDS

STATE STREET TREASURY MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT — 100.0%
U.S. Treasury Bill (a)		1.041	%		01/02/2018		01/02/2018	$	273,350,000	$	273,342,073
U.S. Treasury Bill (a)		1.045	%		01/11/2018		01/11/2018		1,286,597,000		1,286,171,348
U.S. Treasury Bill (a)		1.090	%		01/18/2018		01/18/2018		1,208,000,000		1,207,316,354
U.S. Treasury Bill (a)		1.100	%		01/25/2018		01/25/2018		867,629,000		866,940,651
U.S. Treasury Bill (a)		1.130	%		01/04/2018		01/04/2018		2,232,455,000		2,232,246,559
U.S. Treasury Bill (a)		1.130	%		02/01/2018		02/01/2018		250,000,000		249,756,736
U.S. Treasury Bill (a)		1.178	%		03/22/2018		03/22/2018		776,850,000		774,574,607
U.S. Treasury Bill (a)		1.185	%		02/08/2018		02/08/2018		350,000,000		349,559,569
U.S. Treasury Bill (a)		1.240	%		02/15/2018		02/15/2018		576,015,000		575,123,127
U.S. Treasury Bill (a)		1.240	%		04/19/2018		04/19/2018		108,750,000		108,345,450
U.S. Treasury Bill (a)		1.285	%		02/22/2018		02/22/2018		600,000,000		598,884,889
U.S. Treasury Bill (a)		1.288	%		03/01/2018		03/01/2018		640,000,000		638,651,440
U.S. Treasury Bill (a)		1.293	%		03/08/2018		03/08/2018		600,000,000		598,580,015
U.S. Treasury Bill (a)		1.310	%		03/15/2018		03/15/2018		550,000,000		548,532,583
U.S. Treasury Bill (a)		1.360	%		05/17/2018		05/17/2018		250,000,000		248,715,556
U.S. Treasury Bill (a)		1.415	%		03/29/2018		03/29/2018		500,000,000		498,275,255
U.S. Treasury Note, 3 Month USD MMY + 0.07% (b)		1.520	%		01/02/2018		04/30/2019		85,800,000		85,838,325
U.S. Treasury Note, 3 Month USD MMY + 0.14% (b)		1.590	%		01/02/2018		01/31/2019		49,000,000		49,062,306
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.620	%		01/02/2018		10/31/2018		185,000,000		185,270,254
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.624	%		01/02/2018		07/31/2018		400,000,000		400,241,227
U.S. Treasury Note, 3 Month USD MMY + 0.19% (b)		1.640	%		01/02/2018		04/30/2018		536,820,000		536,954,173
U.S. Treasury Note, 3 Month USD MMY + 0.27% (b)		1.722	%		01/02/2018		01/31/2018		689,000,000		689,139,808
TOTAL INVESTMENTS — 100.0% (c) (d)											13,001,522,305
Other Assets in Excess of Liabilities — 0.0% (e)											4,079,800
NET ASSETS — 100.0%										$	13,005,602,105

(a) Rate shown is the discount rate at time of purchase.

(b) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(c) Also represents the cost for federal tax purposes.

(d) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

(e) Amount is less than 0.05% of net assets.

See accompanying notes to financial statements.

2

STATE STREET MASTER FUNDS

STATE STREET TREASURY MONEY MARKET PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value and cost	$	13,001,522,305
Cash		416
Interest receivable — unaffiliated issuers		4,986,711
Prepaid expenses and other assets		54,068
TOTAL ASSETS		13,006,563,500
LIABILITIES
Advisory fee payable		538,776
Administration, custody and transfer agent fees payable		368,918
Professional fees payable		49,143
Accrued expenses and other liabilities		4,558
TOTAL LIABILITIES		961,395
NET ASSETS	$	13,005,602,105

See accompanying notes to financial statements.

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STATE STREET MASTER FUNDS

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STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	120,704,905
EXPENSES
Advisory fee		6,887,546
Administration, custodian and transfer agent fees		1,745,304
Trustees’ fees and expenses		179,502
Professional fees		128,258
Printing and postage fees		1,008
Insurance expense		56,656
TOTAL EXPENSES		8,998,274
NET INVESTMENT INCOME (LOSS)		111,706,631
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		117,892
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	111,824,523

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	111,706,631		$	31,200,504
Net realized gain (loss)		117,892			309,711
Net increase (decrease) in net assets resulting from operations		111,824,523			31,510,215
CAPITAL TRANSACTIONS
Contributions		20,311,832,604			24,797,217,848
Withdrawals		(21,422,356,261	)		(22,661,554,484	)
Net increase (decrease) in net assets from capital transactions		(1,110,523,657	)		2,135,663,364
Net increase (decrease) in net assets during the period		(998,699,134	)		2,167,173,579
Net assets at beginning of period		14,004,301,239			11,837,127,660
NET ASSETS AT END OF PERIOD	$	13,005,602,105		$	14,004,301,239

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Total return (a)		0.73	%		0.25	%		(0.04	)%		(0.02	)%		0.00	%(b)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	13,005,602		$	14,004,301		$	11,837,128		$	10,247,460		$	14,558,022
Ratios to average net assets:
Total expenses		0.07	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.81	%		0.25	%		(0.03	)%		(0.02	)%		0.00	%(b)

(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) Amount is less than 0.005%.

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.

Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

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

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

3. Fees and Transactions with Affiliates

Advisory Fee

The Trust has 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 which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly 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 Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

6. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

7. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and the Board of Trustees of State Street Treasury Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Treasury Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Treasury Money Market Portfolio		0.07	%	$	1,004.30	$	0.35	$	1,024.90	$	0.36

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee Interested	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

16

STATE STREET MASTER FUNDS

STATE STREET TREASURY MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

17

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent

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 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

SSTTRAR1

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Institutional Treasury Plus Money Market Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Statement of Assets and Liabilities	1
Statement of Operations	2
Statements of Changes in Net Assets	3
Financial Highlights	5
Notes to Financial Statements	9
Report of Independent Registered Public Accounting Firm	15
Other Information (Unaudited)	16

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in corresponding affiliated Portfolio, at value and cost	$	11,253,773,400
Receivable for fund shares sold		8,070
Prepaid expenses and other assets		2,387
TOTAL ASSETS		11,253,783,857
LIABILITIES
Advisory fee payable		3,344
Administration fees payable		465,288
Shareholder servicing fee payable		351,291
Distribution fees payable		1,770
Transfer agent fees payable		9,787
Distribution payable		827,141
Registration and filing fees payable		240,000
Professional fees payable		108,416
Printing fees payable		22,259
Accrued expenses and other liabilities		3,600
TOTAL LIABILITIES		2,032,896
NET ASSETS	$	11,251,750,961
NET ASSETS CONSIST OF:
Paid-in Capital	$	11,251,753,802
Undistributed (distribution in excess of) net investment income (loss)		(2,723	)
Accumulated net realized gain (loss) on investments		(118	)
NET ASSETS	$	11,251,750,961
Investment Class
Net Assets	$	19,241,773
Shares Outstanding		19,249,249
Net asset value, offering and redemption price per share	$	1.00
Investor Class
Net Assets	$	328,763,925
Shares Outstanding		328,764,438
Net asset value, offering and redemption price per share	$	1.00
Premier Class
Net Assets	$	4,000,478,346
Shares Outstanding		4,000,622,852
Net asset value, offering and redemption price per share	$	1.00
Trust Class
Net Assets	$	6,903,266,917
Shares Outstanding		6,903,584,026
Net asset value, offering and redemption price per share	$	1.00

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

1

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO
Interest income allocated from affiliated Portfolio	$	91,633,916
Expenses allocated from affiliated Portfolio		(6,756,188	)
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO		84,877,728
EXPENSES
Administration fees		5,128,505
Shareholder servicing fees
Investment Class		85,972
Investor Class		354,060
Trust Class		3,765,785
Distribution fees
Investment Class		34,389
Custodian fees		19,319
Trustees’ fees and expenses		22,751
Transfer agent fees		56,634
Registration and filing fees		489,955
Professional fees		19,294
Printing fees		44,068
Insurance expense		8,225
Miscellaneous expenses		87,588
TOTAL EXPENSES		10,116,545
Expenses waived/reimbursed by the Adviser		(484,437	)
NET EXPENSES		9,632,108
NET INVESTMENT INCOME (LOSS)		75,245,620
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments allocated from affiliated Portfolio		(118	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	75,245,502

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

2

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended(a) 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	75,245,620		$	8,454,097
Net realized gain (loss)		(118	)		21,479
Net increase (decrease) in net assets resulting from operations		75,245,502			8,475,576
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Investment Class		(124,234	)		(595	)
Investor Class		(3,102,891	)		(48,938	)
Premier Class		(24,817,816	)		(3,353,545	)
Trust Class		(47,203,402	)		(5,051,019	)
Total distributions from net investment income		(75,248,343	)		(8,454,097	)
Net Realized Gains
Investment Class		(41	)		—
Investor Class		(710	)		—
Premier Class		(7,108	)		—
Trust Class		(12,780	)		—
Total distributions from net realized gains		(20,639	)		—
Total distributions to shareholders		(75,268,982	)		(8,454,097	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Investment Class
Shares sold		122,773,989			226,954,326
Reinvestment of distributions		42,332			127
Shares redeemed		(151,744,767	)		(238,825,342	)
Net increase (decrease) from capital share transactions		(28,928,446	)		(11,870,889	)
Investor Class
Shares sold		1,733,648,542			195,611,352
Reinvestment of distributions		3,103,594			48,938
Shares redeemed		(1,509,448,701	)		(94,199,287	)
Net increase (decrease) from capital share transactions		227,303,435			101,461,003
Premier Class
Shares sold		18,083,659,927			7,753,184,699
Reinvestment of distributions		23,475,784			2,911,753
Shares redeemed		(16,621,895,835	)		(6,925,506,261	)
Net increase (decrease) from capital share transactions		1,485,239,876			830,590,191
Trust Class
Shares sold		19,763,733,419			8,942,479,868
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA U.S. Treasury Money Market Fund (Note 7)		—			7,472,208,291
Reinvestment of distributions		43,867,549			4,709,007
Shares redeemed		(20,867,141,421	)		(8,456,591,527	)
Net increase (decrease) from capital share transactions		(1,059,540,453	)		7,962,805,639
Net increase (decrease) in net assets from beneficial interest transactions		624,074,412			8,882,985,944
Net increase (decrease) in net assets during the period		624,050,932			8,883,007,423
Net assets at beginning of period		10,627,700,029			1,744,692,606
NET ASSETS AT END OF PERIOD	$	11,251,750,961		$	10,627,700,029
Undistributed (distribution in excess of) net investment income (loss)	$	(2,723	)	$	—
SHARES OF BENEFICIAL INTEREST:
Investment Class
Shares sold		122,773,989			226,937,723
Reinvestment of distributions		42,332			127
Shares redeemed		(151,744,767	)		(238,825,342	)
Net increase (decrease) from share transactions		(28,928,446	)		(11,887,492	)
Investor Class
Shares sold		1,733,648,542			195,611,352
Reinvestment of distributions		3,103,594			48,938
Shares redeemed		(1,509,448,701	)		(94,199,287	)
Net increase (decrease) from share transactions		227,303,435			101,461,003

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Year Ended 12/31/17			Year Ended(a) 12/31/16
Premier Class
Shares sold		18,083,659,927		$	7,753,201,302
Reinvestment of distributions		23,475,784			2,911,753
Shares redeemed		(16,621,895,835	)		(6,925,506,261	)
Net increase (decrease) from share transactions		1,485,239,876			830,606,794
Trust Class
Shares sold		19,763,733,419			8,942,798,708
Shares issued in connection with the tax-free transfer of assets from SSGA U.S. Treasury Money Market Fund (Note 7)		—			7,472,208,291
Reinvestment of distributions		43,867,549			4,709,007
Shares redeemed		(20,867,141,421	)		(8,456,591,527	)
Net increase (decrease) from share transactions		(1,059,540,453	)		7,963,124,479

(a) For Investor Class and Trust Class, data is for the period October 14, 2016 (inception date) and August 29, 2016 (inception date), respectively, through December 31, 2016.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Investment Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0042			0.0000	(b)		0.0000	(b)(c)		0.0000	(b)(c)		(0.0001	)(c)
Net realized gain (loss)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0001
Total from investment operations		0.0042			0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0042	)		(0.0000	)(b)		—			—			—
Net realized gains		(0.0000	)(b)		—			—			—			(0.0000	)(b)
Total distributions		(0.0042	)		(0.0000	)(b)		—			—			(0.0000	)(b)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.42	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	19,242		$	48,170		$	60,041		$	74,781		$	73,449
Ratios to Average Net Assets:
Total expenses		0.47	%		0.49	%		0.49	%		0.48	%		0.48	%
Net expenses		0.47	%		0.31	%		0.06	%		0.05	%		0.08	%
Net investment income (loss)		0.36	%		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Investor Class(a)
	Year Ended 12/31/17			For the Period 10/14/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0069			0.0004
Net realized gain (loss)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0069			0.0004
Distributions to shareholders from:
Net investment income		(0.0069	)		(0.0004	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0069	)		(0.0004	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.69	%		0.04	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	328,764		$	101,461
Ratios to Average Net Assets:
Total expenses		0.20	%		0.20	%(d)
Net expenses		0.20	%		0.20	%(d)
Net investment income (loss)		0.70	%		0.19	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Premier Class(a)
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0077			0.0019			0.0000	(b)(c)		0.0000	(b)(c)		(0.0001	)(c)
Net realized gain (loss)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0000	(b)		0.0001
Total from investment operations		0.0077			0.0019			0.0000	(b)		0.0000	(b)		0.0000	(b)
Distributions to shareholders from:
Net investment income		(0.0077	)		(0.0019	)		(0.0000	)(b)		—			(0.0000	)(b)
Net realized gains		(0.0000	)(b)		—			—			—			(0.0000	)(b)
Total distributions		(0.0077	)		(0.0019	)		(0.0000	)(b)		—			(0.0000	)(b)
Net asset value, end of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Total return (d)		0.77	%		0.19	%		0.00	%(e)		0.00	%(e)		0.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,000,478		$	2,515,246		$	1,684,652		$	2,690,959		$	2,679,596
Ratios to Average Net Assets:
Total expenses		0.12	%		0.14	%		0.14	%		0.13	%		0.13	%
Net expenses		0.12	%		0.12	%		0.06	%		0.05	%		0.08	%
Net investment income (loss)		0.81	%		0.20	%		0.00	%(e)		0.00	%(e)		0.00	%(e)

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

(b) Amount is less than $0.00005 per share.

(c) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(d) 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.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Trust Class(a)
	Year Ended 12/31/17			For the Period 8/29/16* - 12/31/16
Net asset value, beginning of period	$	1.0000		$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0071			0.0007
Net realized gain (loss)		0.0000	(b)		0.0000	(b)
Total from investment operations		0.0071			0.0007
Distributions to shareholders from:
Net investment income		(0.0071	)		(0.0007	)
Net realized gains		(0.0000	)(b)		—
Total distributions		(0.0071	)		(0.0007	)
Net asset value, end of period	$	1.0000		$	1.0000
Total return (c)		0.71	%		0.07	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	6,903,267		$	7,962,822
Ratios to Average Net Assets:
Total expenses		0.18	%		0.18	%(d)
Net expenses		0.18	%		0.18	%(d)
Net investment income (loss)		0.70	%		0.19	%(d)

 * Commencement of operations.

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

(b) Amount is less than $0.00005 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. 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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund” ):

Fund	Classes	Commencement     of Operations	Diversification     Classification
State Street Institutional Treasury Plus Money Market Fund	Premier Class	October 24, 2007		Diversified
	Institutional Class	Not commenced
	Investment Class	October 24, 2007
	Administration Class	Not commenced
	Investor Class	October 14, 2016
	Service Class	Not commenced
	Trust Class	August 29, 2016

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Treasury Plus Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (79.36% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, 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. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund pays no advisory fee directly to SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM” ), for so long as assets of the Fund are invested in the Portfolio. The Portfolio retained 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 Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

The Adviser is contractually obligated until April 30, 2018, to waive up to the full amount of the advisory fee payable by the Fund and/or to reimburse the Fund for expenses to the extent that total annual fund operating expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and any class – specific expenses such as distribution, shareholder servicing, administration and sub-transfer agency fees, as measured on an annualized basis) exceed 0.07% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with approval of the Board. For the period ended December 31, 2017, the Adviser waived fees in the amount of $484,437.

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 canceled at any time without notice. For the period ended December 31, 2017, the Adviser did not voluntarily waive any expenses.

Under the terms of the reimbursement agreement the Fund agrees to repay SSGA FM up to the amount of fees waived or expenses reduced under the agreement provided that the 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 the 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

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

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 the 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, 2017, SSGA FM has not recouped any expenses from the Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:

Expiration Date	Amount
12/31/2018	$	1,116,105
12/31/2019	$	366,047

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor 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.

During the period ended December 31, 2017, the Fund paid $34,389 to SSGA FD under the Plan.

Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Plan. During the period ended December 31, 2017, SSGA FD paid $555,663 to WMS.

Under the Fund’s Shareholder Servicing Plan (and other shareholder servicing arrangements), the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares, Investor Class shares and Trust Class shares made payments for these services at an annual rate up to 0.25%, 0.08% and 0.056%, respectively, of the eligible average daily net assets of the Investment Class shares, Investor Class shares and Trust Class shares, respectively. During the period ended December 31, 2017, the Fund’s Investment Class shares, Investor Class shares and Trust Class shares paid SSGA FD $85,972, $354,060 and $3,765,785, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Treasury Plus Money Market Fund	$	75,268,982	$	—	$	—	$	75,268,982

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Institutional Treasury Plus Money Market Fund	$	8,454,097	$	—	$	—	$	8,454,097

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards			Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Institutional Treasury Plus Money Market Fund	$	—	$	(118	)	$	—	$	—	$	—	$	(118	)

As of December 31, 2017, the following Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

	Expiring 2018		Expiring 2019		Non-Expiring Short Term		Non-Expiring Long Term
State Street Institutional Treasury Plus Money Market Fund	$	—	$	—	$	118	$	—

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

6. Risks

Market, Credit and Counterparty Risk

In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.

7. Reorganization

On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.

The reorganization provides shareholders of the Acquired Fund access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.

For every one share of SSGA U.S. Treasury Money Market Fund N Class exchanged, a shareholder received one share of the Fund’s Trust Class.

The Fund received net assets from SSGA U.S. Treasury Money Market Fund as the result of the tax-free reorganization as follows:

	Shares of the Fund Issued		Net Assets Received from Acquired Fund		Net Assets of the Fund Immediately Prior to Combination		Net Assets of the Fund Immediately After the Combination
SSGA U.S. Treasury Money Market Fund		7,472,208,291	$	7,471,889,450	$	1,776,618,840	$	9,248,508,290

Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.

Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, were as follows:

Net Investment income (loss)	$	18,025,356
Total net realized gain (loss)	$	39,294
Net increase (decrease) in net assets resulting from operations	$	18,064,650

Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it was not practicable to separate the amounts of revenue and earnings of the Acquired Fund’s that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The statement of operations, statement of changes in net assets and the financial highlights for the prior period ended December 31, 2016 do not include any pre-merger activity of the Acquired Fund and prior reporting periods of the accounting survivor (the Fund) are not restated.

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Institutional Treasury Plus Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Institutional Treasury Plus Money Market Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Institutional Treasury Plus Money Market Fund
Investment Class		0.47	%	$	1,003.10	$	2.37	$	1,022.80	$	2.40
Investor Class		0.20			1,004.40		1.01		1,024.20		1.02
Premier Class		0.12			1,004.80		0.61		1,024.60		0.61
Trust Class		0.17			1,004.60		0.86		1,024.30		0.87

(a) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Fund will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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OTHER INFORMATION

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E.ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

19

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INSTITUTIONAL TREASURY PLUS MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

21

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

Annual Report

December 31, 2017

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Portfolio Statistics (Unaudited)	1
Schedule of Investments	2
Statement of Assets and Liabilities	5
Statement of Operations	6
Statements of Changes in Net Assets	7
Financial Highlights	8
Notes to Financial Statements	9
Report of Independent Registered Public Accounting Firm	13
Other Information (Unaudited)	14

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Treasury Debt		49.8	%
Treasury Repurchase Agreements		46.9
Other Assets in Excess of Liabilities		3.3
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Maturity Ladder as of December 31, 2017

	% of Net Assets
2 to 30 Days		53.6	%
31 to 60 Days		15.1
61 to 90 Days		18.6
Over 90 Days		9.4
TOTAL		96.7	%
Average days to maturity		28
Weighted average life		46

(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements.

1

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT — 49.8%
U.S. Treasury Bill (a)		1.041	%		01/02/2018		01/02/2018	$	249,900,000	$	249,892,774
U.S. Treasury Bill (a)		1.090	%		01/18/2018		01/18/2018		100,000,000		99,948,528
U.S. Treasury Bill (a)		1.100	%		01/25/2018		01/25/2018		200,000,000		199,852,198
U.S. Treasury Bill (a)		1.130	%		01/04/2018		01/04/2018		400,000,000		399,964,667
U.S. Treasury Bill (a)		1.178	%		03/22/2018		03/22/2018		852,000,000		849,488,927
U.S. Treasury Bill (a)		1.185	%		02/08/2018		02/08/2018		200,000,000		199,749,833
U.S. Treasury Bill (a)		1.240	%		02/15/2018		02/15/2018		450,000,000		449,302,500
U.S. Treasury Bill (a)		1.240	%		04/19/2018		04/19/2018		100,000,000		99,628,000
U.S. Treasury Bill (a)		1.285	%		02/22/2018		02/22/2018		450,000,000		449,163,667
U.S. Treasury Bill (a)		1.288	%		03/01/2018		03/01/2018		550,000,000		548,841,080
U.S. Treasury Bill (a)		1.293	%		03/08/2018		03/08/2018		550,000,000		548,698,343
U.S. Treasury Bill (a)		1.310	%		03/15/2018		03/15/2018		600,000,000		598,399,186
U.S. Treasury Bill (a)		1.360	%		05/17/2018		05/17/2018		250,000,000		248,715,556
U.S. Treasury Bill (a)		1.415	%		03/29/2018		03/29/2018		650,000,000		647,757,913
U.S. Treasury Note, 3 Month USD MMY + 0.07% (b)		1.520	%		01/02/2018		04/30/2019		64,398,000		64,427,216
U.S. Treasury Note, 3 Month USD MMY + 0.14% (b)		1.590	%		01/02/2018		01/31/2019		205,000,000		205,221,672
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.620	%		01/02/2018		10/31/2018		130,000,000		130,189,907
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.624	%		01/02/2018		07/31/2018		245,000,000		245,150,174
U.S. Treasury Note, 3 Month USD MMY + 0.19% (b)		1.640	%		01/02/2018		04/30/2018		333,836,000		333,912,833
U.S. Treasury Note, 3 Month USD MMY + 0.27% (b)		1.722	%		01/02/2018		01/31/2018		489,750,000		489,848,119
TOTAL TREASURY DEBT											7,058,153,093
TREASURY REPURCHASE AGREEMENTS — 46.9%
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 7.500% due 11/15/2024, and a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $3,000,416,690); expected proceeds $3,000,416,667		1.250	%		01/02/2018		01/02/2018		3,000,000,000		3,000,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/26/2017 (collateralized by U.S. Treasury Bonds, 3.375%-7.500% due 11/15/2024-05/15/2044, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, U.S. Treasury Notes, 1.375%-2.000% due 07/31/2018-08/15/2025, and U.S. Treasury Strips, 0.000% due 08/15/2024-11/15/2027, valued at $51,001,517); expected proceeds $50,012,833		1.320	%		01/02/2018		01/02/2018		50,000,000		50,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/27/2017 (collateralized by a U.S. Treasury Note, 1.625% due 04/30/2023, and a U.S. Treasury Strip, 0.000% due 11/15/2027, valued at $127,503,803); expected proceeds $125,032,326		1.330	%		01/03/2018		01/03/2018		125,000,000		125,000,000
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 02/15/2044, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, and U.S. Treasury Inflation Index Notes, 0.125%-0.375% due 04/15/2018-07/15/2025, valued at $185,667,934); expected proceeds $182,027,300		1.350	%		01/02/2018		01/02/2018		182,000,000		182,000,000
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.250%-8.875% due 02/15/2019-11/15/2046, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125%-0.375% due 04/15/2020-01/15/2027, and U.S. Treasury Notes, 0.750%-3.500% due 07/31/2018-08/15/2025, valued at $714,000,064); expected proceeds $700,105,000		1.350	%		01/02/2018		01/02/2018		700,000,000		700,000,000

See accompanying notes to financial statements.

2

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.500%-7.625% due 02/15/2025-08/15/2047, U.S. Treasury Inflation Index Notes, 0.125%-0.675% due 04/15/2019-01/15/2026, and U.S. Treasury Notes, 1.125%-3.625% due 12/31/2019-08/15/2026, valued at $764,737,788); expected proceeds $750,112,500		1.350	%		01/02/2018		01/02/2018	$	750,000,000	$	750,000,000
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.000% due 02/15/2023, valued at $8,273,249); expected proceeds $8,112,235		1.370	%		01/02/2018		01/02/2018		8,111,000		8,111,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 5.250% due 02/15/2029, and a U.S. Treasury Note, 2.000% due 08/31/2021, valued at $51,000,033); expected proceeds $50,013,319		1.370	%		01/05/2018		01/05/2018		50,000,000		50,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bills, 0.000% due 03/01/2018-10/11/2018, U.S. Treasury Bonds, 2.875%-8.750% due 05/15/2020-05/15/2043, a U.S. Treasury Inflation Index Bond, 2.000% due 01/15/2026, U.S. Treasury Inflation Index Notes, 0.125%-2.125% due 07/15/2018-04/15/2019, U.S. Treasury Notes, 0.750%-3.625% due 01/15/2018-02/15/2020, and U.S. Treasury Strips, 0.000% due 11/15/2020-08/15/2026, valued at $342,092,757); expected proceeds $335,436,426		1.380	%		01/02/2018		01/02/2018		335,385,000		335,385,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.250% – 3.000% due 02/15/2045-05/15/2047, U.S. Treasury Inflation Index Bonds, 0.750% – 0.875% due 02/15/2045-02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2019-07/15/2026, and U.S. Treasury Notes, 1.250%-3.375% due 11/15/2019-11/15/2023, valued at $410,040,073); expected proceeds $402,061,640		1.380	%		01/02/2018		01/02/2018		402,000,000		402,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 1.250%-3.625% due 11/30/2018-02/15/2021, valued at $94,860,070); expected proceeds $93,014,260		1.380	%		01/02/2018		01/02/2018		93,000,000		93,000,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 0.750%-2.375% due 07/31/2018-05/15/2027, valued at $306,047,320); expected proceeds $300,046,333		1.390	%		01/02/2018		01/02/2018		300,000,000		300,000,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/26/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 01/18/2018, U.S. Treasury Bonds, 6.125% – 8.125% due 02/15/2021-11/15/2027, and a U.S. Treasury Note, 4.000% due 08/15/2018, valued at $102,000,018); expected proceeds $100,027,222		1.400	%		01/02/2018		01/02/2018		100,000,000		100,000,000
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.500% due 02/15/2046-05/15/2046, and U.S. Treasury Notes, 1.125%-1.750% due 02/28/2021-05/15/2023, valued at $510,079,378); expected proceeds $500,077,778		1.400	%		01/02/2018		01/02/2018		500,000,000		500,000,000

See accompanying notes to financial statements.

3

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.750% due 11/15/2023, valued at $59,162,606); expected proceeds $58,009,087		1.410	%		01/02/2018		01/02/2018	$	58,000,000	$	58,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											6,653,496,000
TOTAL INVESTMENTS — 96.7% (c) (d)											13,711,649,093
Other Assets in Excess of Liabilities — 3.3%											468,631,429
NET ASSETS — 100.0%										$	14,180,280,522

(a) Rate shown is the discount rate at time of purchase.

(b) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(c) Also represents the cost for federal tax purposes.

(d) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

4

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value and cost	$	7,058,153,093
Repurchase agreements, at value and amortized cost		6,653,496,000
Total Investments		13,711,649,093
Cash		464,834,754
Interest receivable — unaffiliated issuers		4,502,311
Prepaid expenses and other assets		42,497
TOTAL ASSETS		14,181,028,655
LIABILITIES
Advisory fee payable		587,245
Administration, custody and transfer agent fees payable		84,667
Professional fees payable		48,831
Printing fees payable		1,221
Accrued expenses and other liabilities		26,169
TOTAL LIABILITIES		748,133
NET ASSETS	$	14,180,280,522

See accompanying notes to financial statements.

5

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	96,449,534
EXPENSES
Advisory fee		5,328,640
Administration, custodian and transfer agent fees		1,336,595
Trustees’ fees and expenses		171,593
Professional fees		139,212
Printing and postage fees		3,851
Insurance expense		43,456
TOTAL EXPENSES		7,023,347
NET INVESTMENT INCOME (LOSS)		89,426,187
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(118	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	89,426,069

See accompanying notes to financial statements.

6

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	89,426,187		$	12,173,416
Net realized gain (loss)		(118	)		21,479
Net increase (decrease) in net assets resulting from operations		89,426,069			12,194,895
CAPITAL TRANSACTIONS
Contributions		28,396,151,811			12,712,264,167
Proceeds in connection with Reorganization (Note 8)		—			7,471,889,450
Withdrawals		(24,934,249,332	)		(11,312,210,340	)
Net increase (decrease) in net assets from capital transactions		3,461,902,479			8,871,943,277
Net increase (decrease) in net assets during the period		3,551,328,548			8,884,138,172
Net assets at beginning of period		10,628,951,974			1,744,813,802
NET ASSETS AT END OF PERIOD	$	14,180,280,522		$	10,628,951,974

See accompanying notes to financial statements.

7

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Total return (a)		0.82	%		0.23	%		(0.01	)%		(0.02	)%		0.00	%(b)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	14,180,281		$	10,628,952		$	1,744,814		$	2,765,530		$	2,753,017
Ratios to average net assets:
Total expenses		0.07	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.84	%		0.27	%		(0.01	)%		(0.02	)%		0.00	%(b)

(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) Amount is less than 0.005%.

See accompanying notes to financial statements.

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STATE STREET MASTER FUNDS

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NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Plus Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.

Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

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

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

3. Securities and Other Investments

Repurchase Agreements

The 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 the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

As of December 31, 2017, the Portfolio had invested in repurchase agreements with the gross values of $6,653,496,000 and associated collateral equal to $6,726,883,300.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust has 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 which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly 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 Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

7. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

8. Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

9. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and the Board of Trustees of

State Street Treasury Plus Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Treasury Plus Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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STATE STREET MASTER FUNDS

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Treasury Plus Money Market Portfolio		0.07	%	$	1,005.10	$	0.35	$	1,024.90	$	0.36

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988- 2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to 1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees (1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasumrer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

18

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011- present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

19

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent

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 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

STTTPAR1

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Treasury Obligations Money Market Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Statement of Assets and Liabilities	1
Statement of Operations	2
Statements of Changes in Net Assets	3
Financial Highlights	4
Notes to Financial Statements	5
Report of Independent Registered Public Accounting Firm	9
Other Information (Unaudited)	10

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in corresponding affiliated Portfolio, at value and cost	$	2,926,506,087
Receivable from Adviser		194,117
TOTAL ASSETS		2,926,700,204
LIABILITIES
Administration fees payable		125,775
Distribution fees payable		122,349
Transfer agent fees payable		23,935
Distribution payable		45,814
Professional fees payable		19,441
Accrued expenses and other liabilities		485
TOTAL LIABILITIES		337,799
NET ASSETS	$	2,926,362,405
NET ASSETS CONSIST OF:
Paid-in Capital	$	2,926,362,405
NET ASSETS	$	2,926,362,405
NET ASSET VALUE PER SHARE
Net asset value, offering and redemption price per share	$	1.00
Shares outstanding		2,926,362,405

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

STATEMENT OF OPERATIONS

For the Period Ended December 31, 2017(a)

INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO
Interest income allocated from affiliated Portfolio	$	4,815,608
Expenses allocated from affiliated Portfolio		(267,159	)
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO		4,548,449
EXPENSES
Administration fees		207,692
Custodian fees		6,027
Transfer agent fees		15,000
Registration and filing fees		133,674
Professional fees and expenses		20,505
Printing fees		16,190
Miscellaneous expenses		7,756
TOTAL EXPENSES		406,844
Expenses waived/reimbursed by the Adviser		(341,696	)
NET EXPENSES		65,148
NET INVESTMENT INCOME (LOSS)		4,483,301
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	4,483,301

(a) For the period from October 5, 2017 (inception date and commencement of operations) to December 31, 2017.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

2

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

STATEMENT OF CHANGES IN NET ASSETS

For the Period Ended December 31, 2017

	For the Period 10/5/17* - 12/31/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	4,483,301
Net increase (decrease) in net assets resulting from operations		4,483,301
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(4,483,301	)
Total distributions to shareholders		(4,483,301	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		3,047,322,418
Reinvestment of distributions		4,437,486
Cost of shares redeemed		(125,397,499	)
Net increase (decrease) from share transactions		2,926,362,405
Net increase (decrease) in net assets during the period		2,926,362,405
Net assets at beginning of period		—
NET ASSETS AT END OF PERIOD	$	2,926,362,405
Undistributed (distribution in excess of) net investment income (loss)	$	—
SHARES OF BENEFICIAL INTEREST:
Shares sold		3,047,322,418
Reinvestment of distributions		4,437,486
Shares redeemed		(125,397,499	)
Net increase (decrease) from share transactions		2,926,362,405

* Inception date.    

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout the period

	For the Period 10/5/17* - 12/31/17(a)
Net asset value, beginning of period	$	1.0000
Income (loss) from investment operations:
Net investment income (loss)		0.0025
Total from investment operations		0.0025
Net investment income		(0.0025	)
Net asset value, end of period	$	1.0000
Total return (b)		0.25	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,926,362
Ratios to average net assets:
Total expenses		0.16	%(c)
Net expenses		0.08	%(c)
Net investment income (loss)		1.08	%(c)

 * Commencement of operations.

(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the 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 return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(c) Annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund” ):

Fund	Commencement of Operations	Diversification Classification
State Street Treasury Obligations Money Market Fund	October 5, 2017	Diversified

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Treasury Plus Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (20.64% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, 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. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund pays no advisory fee directly to SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM” ), for so long as assets of the Fund are invested in the Portfolio. The Portfolio retained 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 Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

The Adviser is contractually obligated until April 30, 2021, to waive up to the full amount of the advisory fee payable by the Fund and/or to reimburse the Fund for expenses to the extent that total annual fund operating expenses (exclusive of non-recurring account fees and extraordinary expenses, exceed 0.10% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2021 except with approval of the Board. For the period ended December 31, 2017, the Adviser waived fees in the amount of $258,619.

Additionally, the Adviser currently intends to voluntarily waive its advisory fee and/or to reimburse the Fund for expenses to the extent that the Fund’s total annual fund operating expenses exceed 0.08% of average daily net assets on an annual basis — this voluntary fee waiver and/or expense limitation arrangement may be terminated by SSGA FM at any time, in its sole discretion. For the period ended December 31, 2017, the Adviser voluntarily waived expenses in the amount of $83,077.

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC ( “SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Income Tax Information

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Treasury Obligations Money Market Fund	$	4,483,301	$	—	$	—	$	4,483,301

At December 31, 2017, the cost of investments and other financial instruments for federal income tax purposes was substantially the same as cost for financial reporting purposes.

6. Risks

Market, Credit and Counterparty Risk

In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

7. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Treasury Obligations Money Market Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Treasury Obligations Money Market Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statements of operations, changes in net assets and financial highlights for the period from October 5, 2017 (commencement of operations) to December 31, 2017 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, and the results of its operations, the changes in its net assets and its financial highlights for the period from October 5, 2017 (commencement of operations) to December 31, 2017, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(b)
State Street Treasury Obligations Money Market Fund		0.08	%	$	1,002.50	$	0.19	$	1,024.80	$	0.41

(a) Actual period is from commencement of operations on October 5, 2017.

(b) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TREASURY OBLIGATIONS MONEY MARKET FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Fund will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Fund files its monthly portfolio holdings with the SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

TRUSTEE CONSIDERATIONS IN APPROVAL OF INVESTMENT ADVISORY AGREEMENT

Overview of the Contract Review Process

Under the Investment Company Act of 1940, as amended, an investment advisory agreement between a mutual fund and its investment adviser must be approved by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (the “Independent Trustees”) cast in-person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Board of Trustees (the “Board”) of State Street Institutional Investment Trust (the “Trust”), including a majority of the Independent Trustees, met in-person on June 15, 2017, to consider a proposal to approve the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) on behalf of State Street Treasury Obligations Money Market Fund, a new series of the Trust (the “New Fund”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustee who is an “interested person” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. The Independent Trustees considered the information provided with respect to the Adviser and other service providers of the New Fund at the in-person meeting of the Board held on June 15, 2017, as well as at other meetings of the Board and its committees held throughout the year, including, most recently, at in-person meetings held on April 24-25, 2017, where the Board considered the investment advisory agreement with the Adviser on behalf of certain other funds in the fund complex (the “Other Funds”), and May 16-17, 2017, where the Board renewed the investment advisory agreement with the Adviser on behalf of the Other Funds. This information included, among other things, the following:

Information about Comparable Fund Performance, Fees and Expenses

A report prepared by an independent third-party provider of investment company data, which included for another fund (the “Comparable Fund”) advised by the Adviser that invests in the same master portfolio as would the New Fund and which bears the same contractual investment advisory fee as that being proposed for the New Fund:

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

• A comparison of the Comparable Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Comparable Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”);

• A comparison of the Comparable Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);

• A comparison of the Comparable Fund’s contractual and actual management fees to the contractual and actual management fees of the Expense Group and Expense Universe;

• A chart showing the Comparable Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years;

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

• Profitability analyses for (a) the Adviser with respect to the Comparable Fund and (b) affiliates of the Adviser that provide services to the Comparable Fund.

Information about Portfolio Management

• Descriptions of the investment management services to be provided by the Adviser to the New Fund as well as services provided to the Other Funds, including its investment strategies and processes;

• Information concerning the allocation of brokerage; and

• Information regarding the procedures and processes to be used to value the assets of the New Fund.

Information about the Adviser

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

• Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Fund;

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

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

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

• A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year;

• A description of the business continuity and disaster recovery plans of the Adviser; and

• Information regarding the Adviser’s risk management processes.

Other Relevant Information

• Information concerning the nature, extent, quality and cost of various services to be provided to the New Fund by SSGA FM in its capacity as administrator;

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

• Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Fund by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Fund, and the role of SSGA FM in managing the New Fund’s relationships with these service providers;

• Copies of the Advisory Agreement and agreements with other service providers of the New Fund;

• Draft responses to a letter from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”)), reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Fund, from each of:

• The Adviser, with respect to its operations relating to the Other Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Other Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016;

• State Street Bank and Trust Company (“State Street”), the sub-administrator and custodian for the Other Funds and transfer agent, securities lending agent, and shareholder servicer for certain of the Other Funds, with respect to its operations relating to the Other Funds; and

• State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds.

The Independent Trustees were assisted throughout the contract review process by their Independent 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 the New 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 15, 2017, the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreement with respect to the New Fund.

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services to be provided to the New Fund by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments to be held by the New Fund, including the education, experience and number of investment professionals and other personnel who will provide portfolio management, investment research, and similar services to the New Fund. The Board also considered the Adviser’s success in maintaining the constant dollar value, even through extraordinary market conditions, of the Other Funds that operate as money market funds with stable net asset values. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention to be devoted to the New Fund by senior management.

The Board reviewed the compliance programs of the 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 and the allocation of investment opportunities.

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to provide high quality investment management and related services for the New Fund.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Fund Performance

Because the New Fund has not yet commenced operations, the Board noted that it could not draw any conclusions regarding the performance of the New Fund. However, the Board noted that it had received information regarding the past performance of the Comparable Fund for the one-, three- and five-year periods and that the Comparable Fund (a) outperformed the medians of its Performance Group and Performance Universe for the one-, three- and five-year periods and its Lipper Index for the one-year period, and (b) equaled its Lipper Index for the three- and five-year periods. The Board also noted that it reviews at its regularly scheduled meetings information about the performance of the Other Funds, noted the Adviser’s long track record of performance managing money market funds, and concluded that it was generally satisfied with the performance of these Other Funds.

Management Fees and Expenses

The Board reviewed the contractual management fee rate to be borne by the New Fund. As part of its review, the Board considered the New Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any proposed expense caps), as compared to the Comparable Fund and the Comparable Fund’s Expense Group and Expense Universe. The Board considered that the New Fund’s Expense Group and Expense Universe were the same as those of the Comparable Fund because the principal strategy of both New Fund and the Comparable Fund is to invest substantially all of its assets in the same master fund. In addition, the Board considered that the Adviser agreed to waive fees or pay expenses of the New Fund to limit the total expenses borne by the New Fund’s shareholders. Among other information, the Board considered the following expense information in its evaluation of the New Fund:

The Board considered that the proposed contractual management fee for the New Fund was equal to that of the Comparable Fund, and that such fee was below the median of the Comparable Fund’s Expense Group. The Board also considered that the Comparable Fund’s total expenses were below the medians of its Expense Group and Expense Universe and that the New Fund’s estimated total expenses were lower than the Comparable Fund’s actual total expenses.

Profitability

Because the New Fund had not yet commenced operations, the Board noted that it could not draw any conclusions regarding the profitability of the New Fund. The Board, however, reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Other Funds, including the Comparable Fund. The Board considered other direct and indirect benefits received by the Adviser and the affiliated service providers in connection with their relationships with the Other Funds, together with the profitability of each of the affiliated service providers with respect to their services to the Other Funds. The Board also considered the various risks borne by the Adviser and the affiliated service providers in connection with their various roles in servicing the New Fund and the Other Funds, including enterprise, litigation, business, operational and entrepreneurial risk.

The Board concluded that the expected profitability of the Adviser with respect to the New Fund, and the expected profitability range of each of the affiliated service providers with respect to its services to the New Fund, were expected to be reasonable in relation to the services provided.

Economies of Scale

In reviewing expected management fees and anticipated profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the New Fund, on the other hand, can expect to realize benefits from economies of scale as the New Fund’s assets increase. The Board acknowledged the difficulty in accurately measuring the expected benefits resulting from the economies of scale with respect to the management of the New Fund in view of the fact that the New Fund had not yet commenced operations, although the Board noted that SSGA FM expected the New Fund to receive substantial assets following the commencement of its operations. The Board concluded that, in light of the fact that the New Fund had not yet commenced operations, and the comparative management fee and expense ratio of the New Fund, it did not appear that the Adviser or its affiliates expected to realize benefits from economies of scale in managing the assets of the New Fund to such an extent that the proposed advisory fee should be reduced or that breakpoints in such fee should be implemented for the New Fund at this time.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Conclusions

In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement.

Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the New Fund and its shareholders, and (2) the rates to be payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

19

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.

Annual Report

December 31, 2017

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Portfolio Statistics (Unaudited)	1
Schedule of Investments	2
Statement of Assets and Liabilities	5
Statement of Operations	6
Statements of Changes in Net Assets	7
Financial Highlights	8
Notes to Financial Statements	9
Report of Independent Registered Public Accounting Firm	13
Other Information (Unaudited)	14

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Treasury Debt		49.8	%
Treasury Repurchase Agreements		46.9
Other Assets in Excess of Liabilities		3.3
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Maturity Ladder as of December 31, 2017

	% of Net Assets
2 to 30 Days		53.6	%
31 to 60 Days		15.1
61 to 90 Days		18.6
Over 90 Days		9.4
TOTAL		96.7	%
Average days to maturity		28
Weighted average life		46

(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements.

1

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT — 49.8%
U.S. Treasury Bill (a)		1.041	%		01/02/2018		01/02/2018	$	249,900,000	$	249,892,774
U.S. Treasury Bill (a)		1.090	%		01/18/2018		01/18/2018		100,000,000		99,948,528
U.S. Treasury Bill (a)		1.100	%		01/25/2018		01/25/2018		200,000,000		199,852,198
U.S. Treasury Bill (a)		1.130	%		01/04/2018		01/04/2018		400,000,000		399,964,667
U.S. Treasury Bill (a)		1.178	%		03/22/2018		03/22/2018		852,000,000		849,488,927
U.S. Treasury Bill (a)		1.185	%		02/08/2018		02/08/2018		200,000,000		199,749,833
U.S. Treasury Bill (a)		1.240	%		02/15/2018		02/15/2018		450,000,000		449,302,500
U.S. Treasury Bill (a)		1.240	%		04/19/2018		04/19/2018		100,000,000		99,628,000
U.S. Treasury Bill (a)		1.285	%		02/22/2018		02/22/2018		450,000,000		449,163,667
U.S. Treasury Bill (a)		1.288	%		03/01/2018		03/01/2018		550,000,000		548,841,080
U.S. Treasury Bill (a)		1.293	%		03/08/2018		03/08/2018		550,000,000		548,698,343
U.S. Treasury Bill (a)		1.310	%		03/15/2018		03/15/2018		600,000,000		598,399,186
U.S. Treasury Bill (a)		1.360	%		05/17/2018		05/17/2018		250,000,000		248,715,556
U.S. Treasury Bill (a)		1.415	%		03/29/2018		03/29/2018		650,000,000		647,757,913
U.S. Treasury Note, 3 Month USD MMY + 0.07% (b)		1.520	%		01/02/2018		04/30/2019		64,398,000		64,427,216
U.S. Treasury Note, 3 Month USD MMY + 0.14% (b)		1.590	%		01/02/2018		01/31/2019		205,000,000		205,221,672
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.620	%		01/02/2018		10/31/2018		130,000,000		130,189,907
U.S. Treasury Note, 3 Month USD MMY + 0.17% (b)		1.624	%		01/02/2018		07/31/2018		245,000,000		245,150,174
U.S. Treasury Note, 3 Month USD MMY + 0.19% (b)		1.640	%		01/02/2018		04/30/2018		333,836,000		333,912,833
U.S. Treasury Note, 3 Month USD MMY + 0.27% (b)		1.722	%		01/02/2018		01/31/2018		489,750,000		489,848,119
TOTAL TREASURY DEBT											7,058,153,093
TREASURY REPURCHASE AGREEMENTS — 46.9%
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 7.500% due 11/15/2024, and a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $3,000,416,690); expected proceeds $3,000,416,667		1.250	%		01/02/2018		01/02/2018		3,000,000,000		3,000,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/26/2017 (collateralized by U.S. Treasury Bonds, 3.375% — 7.500% due 11/15/2024 — 05/15/2044, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, U.S. Treasury Notes, 1.375% — 2.000% due 07/31/2018 — 08/15/2025, and U.S. Treasury Strips, 0.000% due 08/15/2024 — 11/15/2027, valued at $51,001,517); expected proceeds $50,012,833		1.320	%		01/02/2018		01/02/2018		50,000,000		50,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/27/2017 (collateralized by a U.S. Treasury Note, 1.625% due 04/30/2023, and a U.S. Treasury Strip, 0.000% due 11/15/2027, valued at $127,503,803); expected proceeds $125,032,326		1.330	%		01/03/2018		01/03/2018		125,000,000		125,000,000
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 02/15/2044, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, and U.S. Treasury Inflation Index Notes, 0.125% — 0.375% due 04/15/2018 — 07/15/2025, valued at $185,667,934); expected proceeds $182,027,300		1.350	%		01/02/2018		01/02/2018		182,000,000		182,000,000
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.250% — 8.875% due 02/15/2019 — 11/15/2046, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% — 0.375% due 04/15/2020 — 01/15/2027, and U.S. Treasury Notes, 0.750% — 3.500% due 07/31/2018 — 08/15/2025, valued at $714,000,064); expected proceeds $700,105,000		1.350	%		01/02/2018		01/02/2018		700,000,000		700,000,000

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.500% — 7.625% due 02/15/2025 — 08/15/2047, U.S. Treasury Inflation Index Notes, 0.125% — 0.675% due 04/15/2019 — 01/15/2026, and U.S. Treasury Notes, 1.125% — 3.625% due 12/31/2019 — 08/15/2026, valued at $764,737,788); expected proceeds $750,112,500		1.350	%		01/02/2018		01/02/2018	$	750,000,000	$	750,000,000
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.000% due 02/15/2023, valued at $8,273,249); expected proceeds $8,112,235		1.370	%		01/02/2018		01/02/2018		8,111,000		8,111,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Bond, 5.250% due 02/15/2029, and a U.S. Treasury Note, 2.000% due 08/31/2021, valued at $51,000,033); expected proceeds $50,013,319		1.370	%		01/05/2018		01/05/2018		50,000,000		50,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bills, 0.000% due 03/01/2018 — 10/11/2018, U.S. Treasury Bonds, 2.875% — 8.750% due 05/15/2020 — 05/15/2043, a U.S. Treasury Inflation Index Bond, 2.000% due 01/15/2026, U.S. Treasury Inflation Index Notes, 0.125% — 2.125% due 07/15/2018 — 04/15/2019, U.S. Treasury Notes, 0.750% — 3.625% due 01/15/2018 — 02/15/2020, and U.S. Treasury Strips, 0.000% due 11/15/2020 — 08/15/2026, valued at $342,092,757); expected proceeds $335,436,426		1.380	%		01/02/2018		01/02/2018		335,385,000		335,385,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.250% — 3.000% due 02/15/2045 — 05/15/2047, U.S. Treasury Inflation Index Bonds, 0.750% — 0.875% due 02/15/2045 — 02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2019 — 07/15/2026, and U.S. Treasury Notes, 1.250% — 3.375% due 11/15/2019 — 11/15/2023, valued at $410,040,073); expected proceeds $402,061,640		1.380	%		01/02/2018		01/02/2018		402,000,000		402,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 1.250% — 3.625% due 11/30/2018 — 02/15/2021, valued at $94,860,070); expected proceeds $93,014,260		1.380	%		01/02/2018		01/02/2018		93,000,000		93,000,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Notes, 0.750% — 2.375% due 07/31/2018 — 05/15/2027, valued at $306,047,320); expected proceeds $300,046,333		1.390	%		01/02/2018		01/02/2018		300,000,000		300,000,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/26/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 01/18/2018, U.S. Treasury Bonds, 6.125% — 8.125% due 02/15/2021 — 11/15/2027, and a U.S. Treasury Note, 4.000% due 08/15/2018, valued at $102,000,018); expected proceeds $100,027,222		1.400	%		01/02/2018		01/02/2018		100,000,000		100,000,000
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/29/2017 (collateralized by U.S. Treasury Bonds, 2.500% due 02/15/2046 — 05/15/2046, and U.S. Treasury Notes, 1.125% — 1.750% due 02/28/2021 — 05/15/2023, valued at $510,079,378); expected proceeds $500,077,778		1.400	%		01/02/2018		01/02/2018		500,000,000		500,000,000

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/29/2017 (collateralized by a U.S. Treasury Note, 2.750% due 11/15/2023, valued at $59,162,606); expected proceeds $58,009,087		1.410	%		01/02/2018		01/02/2018	$	58,000,000	$	58,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											6,653,496,000
TOTAL INVESTMENTS — 96.7% (c) (d)											13,711,649,093
Other Assets in Excess of Liabilities — 3.3%											468,631,429
NET ASSETS — 100.0%										$	14,180,280,522

(a) Rate shown is the discount rate at time of purchase.

(b) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(c) Also represents the cost for federal tax purposes.

(d) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

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STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value and cost	$	7,058,153,093
Repurchase agreements, at value and amortized cost		6,653,496,000
Total Investments		13,711,649,093
Cash		464,834,754
Interest receivable — unaffiliated issuers		4,502,311
Prepaid expenses and other assets		42,497
TOTAL ASSETS		14,181,028,655
LIABILITIES
Advisory fee payable		587,245
Administration, custody and transfer agent fees payable		84,667
Professional fees payable		48,831
Printing fees payable		1,221
Accrued expenses and other liabilities		26,169
TOTAL LIABILITIES		748,133
NET ASSETS	$	14,180,280,522

See accompanying notes to financial statements.

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STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	96,449,534
EXPENSES
Advisory fee		5,328,640
Administration, custodian and transfer agent fees		1,336,595
Trustees’ fees and expenses		171,593
Professional fees		139,212
Printing and postage fees		3,851
Insurance expense		43,456
TOTAL EXPENSES		7,023,347
NET INVESTMENT INCOME (LOSS)		89,426,187
REALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(118	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	89,426,069

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	89,426,187		$	12,173,416
Net realized gain (loss)		(118	)		21,479
Net increase (decrease) in net assets resulting from operations		89,426,069			12,194,895
CAPITAL TRANSACTIONS
Contributions		28,396,151,811			12,712,264,167
Proceeds in connection with Reorganization (Note 8)		—			7,471,889,450
Withdrawals		(24,934,249,332	)		(11,312,210,340	)
Net increase (decrease) in net assets from capital transactions		3,461,902,479			8,871,943,277
Net increase (decrease) in net assets during the period		3,551,328,548			8,884,138,172
Net assets at beginning of period		10,628,951,974			1,744,813,802
NET ASSETS AT END OF PERIOD	$	14,180,280,522		$	10,628,951,974

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13
Total return (a)		0.82	%		0.23	%		(0.01	)%		(0.02	)%		0.00	%(b)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	14,180,281		$	10,628,952		$	1,744,814		$	2,765,530		$	2,753,017
Ratios to average net assets:
Total expenses		0.07	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.84	%		0.27	%		(0.01	)%		(0.02	)%		0.00	%(b)

(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) Amount is less than 0.005%.

See accompanying notes to financial statements.

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STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Plus Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.

Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

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

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

3. Securities and Other Investments

Repurchase Agreements

The 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 the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

As of December 31, 2017, the Portfolio had invested in repurchase agreements with the gross values of $6,653,496,000 and associated collateral equal to $6,726,883,300.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust has 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 which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly 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 Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At December 31, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

7. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

8. Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

9. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

12

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and the Board of Trustees of

State Street Treasury Plus Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Treasury Plus Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), as of December 31, 2017, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

13

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Treasury Plus Money Market Portfolio		0.07	%	$	1,005.10	$	0.35	$	1,024.90	$	0.36

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

14

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

15

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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;	73	None.
			Member, Financial Planners Association.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

16

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

17

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

18

STATE STREET MASTER FUNDS

STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

19

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent

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 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

STTTROBAR1

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Aggregate Bond Index Fund

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

State Street Small/Mid Cap Equity Index Fund

State Street Aggregate Bond Index Portfolio

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

State Street Small/Mid Cap Equity Index Portfolio

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance & Performance Summary (Unaudited)	1
State Street Aggregate Bond Index Fund	1
State Street Global Equity ex-U.S. Index Fund	3
State Street Small/Mid Cap Equity Index Fund	5
Financial Statements	7
Financial Highlights	11
Portfolio Statistics (Unaudited)	20
State Street Aggregate Bond Index Portfolio	20
State Street Global Equity Ex-U.S. Index Portfolio	21
State Street Small/Mid Cap Equity Index Portfolio	22
Schedule of Investments	23
State Street Aggregate Bond Index Portfolio	23
State Street Global Equity ex-U.S. Index Portfolio	59
State Street Small/Mid Cap Equity Index Portfolio	83
Financial Statements	113
Notes to Financial Statements	119
Report of Independent Registered Public Accounting Firm	131
Other Information (Unaudited)	133

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET AGGREGATE BOND INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Aggregate Bond Index Fund (the “Fund”) normally invests substantially all of its investable assets in the State Street Aggregate Bond Index Portfolio (the “Portfolio”). As a result, the Fund invests indirectly through the Portfolio. The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. dollar denominated investment grade bond market over the long term. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 3.30%, and the Index was 3.54%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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. Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.

Federal Reserve rate hikes, fiscal policy expectations and the search for yield were primary drivers of Fund performance during the Reporting Period. From the Federal Reserve, the market navigated both three rate hikes and the implementation of balance sheet normalization. By year end, the yield curve flattened as the front end moved higher while the back end trended lower, the flattening detracted from the Fund’s performance. On the fiscal policy side, the new administration garnered high expectations for pushing through pro-business policies and ultimately did pass tax reform by year end, which detracted from the Fund’s performance. Finally, investors’ continued search for yield in this low rate global environment helped the Fund’s performance.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

1

STATE STREET AGGREGATE BOND INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Aggregate Bond Index Fund Class A		2.93%		2.14%
State Street Aggregate Bond Index Fund Class I		3.29%		2.46%
State Street Aggregate Bond Index Fund Class K		3.30%		2.46%
Bloomberg Barclays U.S. Aggregate Index (1)		3.54%		2.68%

* Inception date is September 19, 2014.

(1) The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.)

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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

2

STATE STREET GLOBAL EQUITY EX-U.S. INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Global Equity ex-U.S. Index Fund (the “Fund”) normally invests substantially all of its investable assets in the State Street Global Equity ex-U.S. Index Portfolio (the “Portfolio”). As a result, the Fund invests indirectly through the Portfolio. The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based index of world (ex-U.S.) equity markets over the long term. The Fund’s benchmark is the MSCI ACWI ex-USA Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 27.11%, and the Index was 27.19%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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. Fees and expenses, cash drag, cumulative effect of security misweights and tax withholding differences contributed to the difference between the Fund’s performance and that of the Index.

The first quarter of 2017 witnessed an optimistic tone in all regions in the Fund, largely on the back of growth expectations and an improving economic backdrop. European shares in the Fund additionally benefitted from an easing of political uncertainty with the defeat of populist candidates in the Netherlands in February and in presidential polls in France that spanned April and May. The third quarter of 2017 also saw a positive performance for the Fund as markets continued to rally on the back of strong retail sales and improved macroeconomic and manufacturing data. The positive momentum edged forward in the fourth quarter of 2017 as well on the back of a strong global economy, Spain dissolving Catalan’s parliament, U.S. tax reform, and stabilizing oil prices. The success of emerging markets in the Fund in 2017 can be chalked up to a number of supporting factors, including the emergence of Brazil and Russia from two years in recession, strong advances made by China and South Korea, a weaker U.S. dollar that kept currency financing costs down and an acceleration in global trade.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Tencent Holdings Ltd., Alibaba Group Holding Ltd. Sponsored ADR, and Samsung Electronics Co., Ltd. The top negative contributors to the Fund’s performance during the Reporting Period were BT Group plc, Teva Pharmaceutical Industries Limited Sponsored ADR, and Steinhoff International Holdings NV.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

3

STATE STREET GLOBAL EQUITY EX-U.S. INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment

(Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Global Equity ex-U.S. Index Fund Class A		26.68%		4.26%
State Street Global Equity ex-U.S. Index Fund Class I		27.00%		4.52%
State Street Global Equity ex-U.S. Index Fund Class K		27.11%		4.56%
MSCI ACWI ex-USA Index(1)		27.19%		4.77%

* Inception date is September 17, 2014.

(1) The MSCI ACWI ex-USA Index is a float-adjusted market capitalization index that is designed to measure the combined equity market performance of developed and emerging market countries excluding the United States.

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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

4

STATE STREET SMALL/MID CAP EQUITY INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Small/Mid Cap Equity Index Fund (the “Fund”) normally invests substantially all of its investable assets in the State Street Small/Mid Cap Equity Index Portfolio, (the “Portfolio”). As a result, the Fund invests indirectly through the Portfolio. The Fund seeks to provide investment results that, before expenses, correspond generally to the total return of an index that tracks the performance of mid to small capitalization exchange traded U.S. equity securities. The Fund’s benchmark is the Russell Small Cap Completeness Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 18.16%, and the Index was 18.27%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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, managing cash inflows to and outflows from the Fund, futures, and small security misweights contributed to the difference between the Fund’s performance and that of the Index.

Global markets ushered in 2017 on a cautiously positive note in January with new all-time highs established in U.S. equity markets, even as a number of other reflationary market trends paused or reversed. While global equity markets continued to muscle higher in January for a third consecutive month, post-election rallies that took U.S. treasury yields and the U.S. dollar to multi year highs in December of 2016 showed hesitation in January. The change in tone in some markets was consistent with a ‘wait and see’ approach as the new U.S. presidential administration took office on January 20th after two months of market action anticipating the unveiling of the pro-growth, business friendly Trump agenda. February saw a continuation of the positive sentiment evident in global equity markets during the first month of the year, and by some measures, an acceleration of it. After opening 2017 with a respectable gain of approximately 2.0% in January, the Russell Small Cap Completeness Total Return Index increased on this performance in February, rising approximately 2.5% on the month. March showed some mixed signals as to the staying power of the U.S. led global reflation rally that manifested itself in global equity markets to start the year. The positive surge in U.S. stocks to open the month coincided with a very positive response to U.S. President Donald Trump’s address to Congress on February 28th. But political and policy concerns weighed on markets toward the end of the month as the failed attempt to advance a health care bill exposed fissures in the Republican Party and caused some market participants to question the likelihood of other policy priorities.

April 2017 saw a measure of investor fear return in global risk markets following a four and a half month period of relative complacency coinciding with implied volatility levels across many asset classes declining to multi year lows and strong gains in global equity markets. Despite this, the Russell Small Cap Completeness Total Return Index returned approximately 1.2% for April 2017. However, the fear carried over into May with the Index down approximately 0.7%. The end of the second quarter had the Index up approximately 2.3% in June.

In the third quarter of 2017, the global growth story that had provided firm foundation for broad advances in global equities year-to-date continued to show strength in August economic releases. In the U.S., economic growth for the second quarter of 2017 was revised higher to approximately 3.0% on August 30th from an initial release of approximately 2.6%. During this time, the Russell Small Cap Completeness Total Return Index was up approximately 5.0% for the quarter.

The final quarter of 2017 got underway in early October with a notable move higher in both U.S. interest rates and global equities as the reflation thematic that had powered growth assets higher up to that point in 2017 gained strength anew. With this renewed strength, the Index returned approximately 4.9% for the quarter.

The Fund used futures in order to expose cash and dividends to the market during the Reporting Period. The Fund’s use of futures helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Tesla Inc, ServiceNow, Inc., and Las Vegas Sands Corp.. The top negative contributors to the Fund’s performance during the Reporting Period were Frontier Communications Corporation Class B, Nabors Industries Ltd., and Rite Aid Corporation.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

5

STATE STREET SMALL/MID CAP EQUITY INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment

(Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Small/Mid Cap Equity Index Fund Class A		17.87%		10.81%
State Street Small/Mid Cap Equity Index Fund Class I		18.16%		11.09%
State Street Small/Mid Cap Equity Index Fund Class K		18.16%		11.07%
Russell Small Cap Completeness Index(1)		18.27%		11.24%

* Inception date is October 15, 2015 for Class A and Class I and inception date is August 11, 2015 for Class K.

(1) The Russell Small Cap Completeness Index is a float-adjusted, market capitalization index which measures the performance of the Russell 3000^® Index companies excluding S&P 500^® constituents. The Index is constructed to provide a comprehensive and unbiased barometer of the extended broad market beyond the S&P 500 exposure. The Index is completely reconstituted annually.

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.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017

	State Street Aggregate Bond Index Fund			State Street Global Equity ex-U.S. Index Fund			State Street Small/Mid Cap Equity Index Fund
ASSETS
Investment in corresponding affiliated Portfolio, at value*	$	108,497,611		$	458,601,816		$	23,895,787
Receivable for investments sold		1,624			—			—
Receivable for fund shares sold		24,733			5,428,289			4,782
Receivable from Adviser		15,427			—			8,892
Prepaid expenses and other assets		22			2,792			3
TOTAL ASSETS		108,539,417			464,032,897			23,909,464
LIABILITIES
Payable for investments purchased		—			5,321,694			3,214
Payable for fund shares repurchased		24,789			105,028			—
Advisory fee payable		2,728			42,435			598
Custodian fees payable		1,177			1,219			1,209
Administration fees payable		4,568			20,369			999
Distribution fees payable		62			198			207
Accrued Trustees’ fees and expenses		2			2			7
Transfer agent fees payable		7,501			7,602			5,279
Sub-transfer agent fee payable		548			—			—
Registration and filing fees payable		1,679			11,303			378
Professional fees payable		22,190			22,191			18,494
Printing and postage fees payable		8,655			8,267			7,138
TOTAL LIABILITIES		73,899			5,540,308			37,523
NET ASSETS	$	108,465,518		$	458,492,589		$	23,871,941
NET ASSETS CONSIST OF:
Paid-in Capital	$	109,514,148		$	399,932,882		$	21,346,747
Undistributed (distribution in excess of) net investment income (loss)		1,658			—			—
Accumulated net realized gain (loss) on investments		(83,613	)		10,118,412			428,630
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		(966,675	)		48,441,295			2,096,564
NET ASSETS	$	108,465,518		$	458,492,589		$	23,871,941
Class A
Net Assets	$	339,839		$	926,524		$	987,729
Shares Outstanding		34,590			86,858			82,678
Net asset value, offering and redemption price per share	$	9.82		$	10.67		$	11.95
Maximum sales charge		3.75	%		5.25	%		5.25	%
Maximum offering price per share	$	10.20		$	11.26		$	12.61
Class I
Net Assets	$	10,807,231		$	999,223		$	4,134,640
Shares Outstanding		1,098,172			93,646			346,010
Net asset value, offering and redemption price per share	$	9.84		$	10.67		$	11.95
Class K
Net Assets	$	97,318,448		$	456,566,842		$	18,749,572
Shares Outstanding		9,895,853			42,748,415			1,568,762
Net asset value, offering and redemption price per share	$	9.83		$	10.68		$	11.95
COST OF INVESTMENTS:
*Investment in corresponding affiliated Portfolio, at cost	$	109,464,286		$	410,160,521		$	21,799,223

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF OPERATIONS (continued)

For the Year Ended December 31, 2017

	State Street Aggregate Bond Index Fund			State Street Global Equity ex-U.S. Index Fund			State Street Small/Mid Cap Equity Index Fund
INVESTMENT INCOME
Interest income — unaffiliated income	$	466		$	468		$	—
Dividend income from corresponding affiliated Portfolio		2,503,533			11,307,427			285,211
TOTAL INVESTMENT INCOME (LOSS)		2,503,999			11,307,895			285,211
EXPENSES
Advisory fee		30,752			209,047			5,467
Administration fees		56,530			218,110			15,927
Sub-transfer agent fee
Class A		90			1,875			128
Class I		—			594			904
Distribution fees
Class A		333			4,482			635
Custodian fees		13,590			13,624			13,136
Trustees’ fees and expenses		22,064			22,087			22,055
Transfer agent fees		41,815			42,549			31,941
Registration and filing fees		43,263			54,118			41,389
Professional fees and expenses		41,790			41,814			27,747
Printing and postage fees		18,209			16,344			15,470
Insurance expense		221			386			17
TOTAL EXPENSES		268,657			625,030			174,816
Expenses waived/reimbursed by the Adviser		(186,229	)		(269,672	)		(164,052	)
NET EXPENSES		82,428			355,358			10,764
NET INVESTMENT INCOME (LOSS)		2,421,571			10,952,537			274,447
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment in corresponding affiliated Portfolio		(123,311	)		18,089,262			744,087
Capital gain distributions from corresponding affiliated Portfolio		—			2,097,454			623,039
Net realized gain (loss)		(123,311	)		20,186,716			1,367,126
Net change in unrealized appreciation/depreciation on:
Investment in corresponding affiliated Portfolio		847,638			50,094,878			1,339,927
NET REALIZED AND UNREALIZED GAIN (LOSS)		724,327			70,281,594			2,707,053
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	3,145,898		$	81,234,131		$	2,981,500

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

For the Year Ended December 31, 2017

	State Street Aggregate Bond Index Fund						State Street Global Equity ex-U.S. Index Fund						State Street Small/Mid Cap Equity Index Fund
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	2,421,571		$	1,277,712		$	10,952,537		$	2,975,353		$	274,447		$	109,227
Net realized gain (loss)		(123,311	)		197,087			20,186,716			(2,955,156	)		1,367,126			95,812
Net change in unrealized appreciation/depreciation		847,638			(741,648	)		50,094,878			6,185,977			1,339,927			1,057,970
Net increase (decrease) in net assets resulting from operations		3,145,898			733,151			81,234,131			6,206,174			2,981,500			1,263,009
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Class A		(2,944	)		(3,618	)		(22,917	)		(19,511	)		(19,983	)		(1,186	)
Class I		(270,047	)		(99,762	)		(26,359	)		(5,566	)		(93,439	)		(2,663	)
Class K		(2,146,127	)		(1,273,579	)		(12,035,422	)		(2,954,328	)		(425,860	)		(163,533	)
Total distributions from net investment income		(2,419,118	)		(1,376,959	)		(12,084,698	)		(2,979,405	)		(539,282	)		(167,382	)
Net Realized Gains
Class A		(269	)		(143	)		(12,480	)		—			(29,525	)		(5	)
Class I		(9,292	)		(8,369	)		(12,975	)		—			(122,787	)		(10	)
Class K		(83,519	)		(51,264	)		(5,924,470	)		—			(559,618	)		(591	)
Total distributions from net realized gains		(93,080	)		(59,776	)		(5,949,925	)		—			(711,930	)		(606	)
Total distributions to shareholders		(2,512,198	)		(1,436,735	)		(18,034,623	)		(2,979,405	)		(1,251,212	)		(167,988	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class A
Proceeds from sale of shares sold		279,238			25,519			964,577			1,529,865			985,177			2,000
Reinvestment of distributions		2,143			2,814			35,397			18,958			42,820			23
Cost of shares redeemed		(153,080	)		—			(2,022,178	)		(3,212	)		(145,350	)		—
Net increase (decrease) from capital share transactions		128,301			28,333			(1,022,204	)		1,545,611			882,647			2,023
Class I
Proceeds from sale of shares sold		2,050,309			8,726,563			676,051			461,922			4,032,197			179,144
Reinvestment of distributions		85,288			84,817			39,333			4,904			216,225			1,219
Cost of shares redeemed		(3,817,467	)		(1,036,767	)		(413,077	)		(43,088	)		(440,293	)		—
Net increase (decrease) from capital share transactions		(1,681,870	)		7,774,613			302,307			423,738			3,808,129			180,363
Class K
Proceeds from sale of shares sold		39,320,634			34,423,585			299,071,533			179,462,524			8,509,161			9,280,415
Reinvestment of distributions		2,209,176			1,313,224			16,548,709			2,954,328			940,462			164,124
Cost of shares redeemed		(21,154,747	)		(8,159,404	)		(143,968,371	)		(20,555,137	)		(6,508,163	)		(337,475	)
Net increase (decrease) from capital share transactions		20,375,063			27,577,405			171,651,871			161,861,715			2,941,460			9,107,064
Net increase (decrease) in net assets from beneficial interest transactions		18,821,494			35,380,351			170,931,974			163,831,064			7,632,236			9,289,450
Net increase (decrease) in net assets during the period		19,455,194			34,676,767			234,131,482			167,057,833			9,362,524			10,384,471
Net assets at beginning of period		89,010,324			54,333,557			224,361,107			57,303,274			14,509,417			4,124,946
NET ASSETS AT END OF PERIOD	$	108,465,518		$	89,010,324		$	458,492,589		$	224,361,107		$	23,871,941		$	14,509,417
Undistributed (distribution in excess of) net investment income (loss)	$	1,658		$	—		$	—		$	—		$	—		$	2,247

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

For the Year Ended December 31, 2017

	State Street Aggregate Bond Index Fund						State Street Global Equity ex-U.S. Index Fund						State Street Small/Mid Cap Equity Index Fund
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
SHARES OF BENEFICIAL INTEREST:
Class A
Shares sold	$	28,379		$	2,536		$	92,268		$	172,029		$	80,265		$	202
Reinvestment of distributions		218			282			3,355			2,189			3,574			2
Shares redeemed		(15,694	)		—			(187,618	)		(365	)		(11,836	)		—
Net increase (decrease)		12,903			2,818			(91,995	)		173,853			72,003			204
Class I
Shares sold		208,151			899,938			71,898			56,831			337,993			17,279
Reinvestment of distributions		8,660			8,500			3,728			567			18,049			113
Shares redeemed		(385,999	)		(103,787	)		(39,309	)		(5,069	)		(37,895	)		—
Net increase (decrease)		(169,188	)		804,651			36,317			52,329			318,147			17,392
Class K
Shares sold		3,978,064			3,420,492			29,446,359			20,681,990			751,517			916,650
Reinvestment of distributions		224,438			131,785			1,567,113			341,541			78,503			15,239
Shares redeemed		(2,142,554	)		(813,019	)		(13,697,753	)		(2,360,232	)		(582,563	)		(33,261	)
Net increase (decrease)		2,059,948			2,739,258			17,315,719			18,663,299			247,457			898,628

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/19/14* - 12/31/14
Net asset value, beginning of period	$	9.75		$	9.75		$	10.14		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.21			0.16			0.21			0.02
Net realized and unrealized gain (loss)		0.08			0.03			(0.18	)		0.16
Total from investment operations		0.29			0.19			0.03			0.18
Distributions to shareholders from:
Net investment income		(0.21	)		(0.18	)		(0.26	)		(0.04	)
Net realized gains		(0.01	)		(0.01	)		(0.14	)		—
Return of Capital		—			—			(0.02	)		—
Total distributions		(0.22	)		(0.19	)		(0.42	)		(0.04	)
Net asset value, end of period	$	9.82		$	9.75		$	9.75		$	10.14
Total return (b)		2.93	%		1.91	%		0.35	%		1.85	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	340		$	211		$	184		$	51
Ratios to Average Net Assets:
Total expenses (c)		0.58	%		0.67	%		0.66	%		0.91	%(d)
Net expenses (c)		0.40	%		0.40	%		0.31	%		0.52	%(d)
Net investment income (loss)		2.11	%		1.65	%		2.11	%		0.58	%(d)
Portfolio turnover rate (e)		99	%		194	%		62	%(f)		16	%(f)(g)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Portfolio turnover rate excludes to-be-announced (“TBA”) transactions.

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/19/14* - 12/31/14
Net asset value, beginning of period	$	9.76		$	9.74		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.23			0.18			0.20			0.08
Net realized and unrealized gain (loss)		0.09			0.06			(0.14	)		0.09
Total from investment operations		0.32			0.24			0.06			0.17
Distributions to shareholders from:
Net investment income		(0.23	)		(0.21	)		(0.29	)		(0.04	)
Net realized gains		(0.01	)		(0.01	)		(0.14	)		—
Return of Capital		—			—			(0.02	)		—
Total distributions		(0.24	)		(0.22	)		(0.45	)		(0.04	)
Net asset value, end of period	$	9.84		$	9.76		$	9.74		$	10.13
Total return (b)		3.29	%		2.37	%		0.60	%		1.82	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	10,807		$	12,370		$	4,508		$	4,484
Ratios to Average Net Assets:
Total expenses (c)		0.26	%		0.33	%		0.41	%		0.88	%(d)
Net expenses (c)		0.08	%		0.06	%		0.06	%		0.28	%(d)
Net investment income (loss)		2.30	%		1.83	%		1.95	%		2.91	%(d)
Portfolio turnover rate (e)		99	%		194	%		62	%(f)		16	%(f)(g)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Portfolio turnover rate excludes to-be-announced (“TBA”) transactions.

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/19/14* - 12/31/14
Net asset value, beginning of period	$	9.75		$	9.74		$	10.14		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.23			0.20			0.20			0.04
Net realized and unrealized gain (loss)		0.09			0.03			(0.15	)		0.15
Total from investment operations		0.32			0.23			0.05			0.19
Distributions to shareholders from:
Net investment income		(0.23	)		(0.21	)		(0.29	)		(0.05	)
Net realized gains		(0.01	)		(0.01	)		(0.14	)		—
Return of Capital		—			—			(0.02	)		—
Total distributions		(0.24	)		(0.22	)		(0.45	)		(0.05	)
Net asset value, end of period	$	9.83		$	9.75		$	9.74		$	10.14
Total return (b)		3.30	%		2.27	%		0.54	%		1.97	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	97,318		$	76,429		$	49,641		$	70,950
Ratios to Average Net Assets:
Total expenses (c)		0.26	%		0.33	%		0.41	%		0.50	%(d)
Net expenses (c)		0.08	%		0.06	%		0.06	%		0.09	%(d)
Net investment income (loss)		2.37	%		1.98	%		1.88	%		1.33	%(d)
Portfolio turnover rate (e)		99	%		194	%		62	%(f)		16	%(f)(g)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Portfolio turnover rate excludes to-be-announced (“TBA”) transactions.

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

13

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	8.74		$	8.45		$	9.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.08			0.31			0.15			0.04
Net realized and unrealized gain (loss)		2.25			0.09			(0.71	)		(0.83	)
Total from investment operations		2.33			0.40			(0.56	)		(0.79	)
Distributions to shareholders from:
Net investment income		(0.26	)		(0.11	)		(0.16	)		(0.04	)
Net realized gains		(0.14	)		—			—			—
Total distributions		(0.40	)		(0.11	)		(0.16	)		(0.04	)
Net asset value, end of period	$	10.67		$	8.74		$	8.45		$	9.17
Total return (b)		26.68	%		4.75	%		(6.17	)%		(7.88	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	927		$	1,564		$	42		$	46
Ratios to Average Net Assets:
Total expenses (c)		0.53	%		0.58	%		0.70	%		1.17	%(d)
Net expenses (c)		0.44	%		0.42	%		0.32	%		0.60	%(d)
Net investment income (loss)		0.79	%		3.51	%		1.64	%		1.55	%(d)
Portfolio turnover rate (e)		2	%		8	%		3	%		0	%(f)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	8.74		$	8.45		$	9.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.21			0.17			0.18			0.05
Net realized and unrealized gain (loss)		2.14			0.25			(0.72	)		(0.83	)
Total from investment operations		2.35			0.42			(0.54	)		(0.78	)
Distributions to shareholders from:
Net investment income		(0.28	)		(0.13	)		(0.18	)		(0.05	)
Net realized gains		(0.14	)		—			—			—
Total distributions		(0.42	)		(0.13	)		(0.18	)		(0.05	)
Net asset value, end of period	$	10.67		$	8.74		$	8.45		$	9.17
Total return (b)		27.00	%		5.02	%		(5.94	)%		(7.81	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	999		$	501		$	42		$	46
Ratios to Average Net Assets:
Total expenses (c)		0.23	%		0.32	%		0.45	%		0.92	%(d)
Net expenses (c)		0.15	%		0.16	%		0.06	%		0.35	%(d)
Net investment income (loss)		2.12	%		2.01	%		1.89	%		1.81	%(d)
Portfolio turnover rate (e)		2	%		8	%		3	%		0	%(f)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	8.74		$	8.45		$	9.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.32			0.20			0.24			0.05
Net realized and unrealized gain (loss)		2.04			0.22			(0.78	)		(0.83	)
Total from investment operations		2.36			0.420			(0.54	)		(0.78	)
Distributions to shareholders from:
Net investment income		(0.28	)		(0.13	)		(0.18	)		(0.05	)
Net realized gains		(0.14	)		—			—			—
Total distributions		(0.42	)		(0.13	)		(0.18	)		(0.05	)
Net asset value, end of period	$	10.68		$	8.74		$	8.45		$	9.17
Total return (b)		27.11	%		5.02	%		(5.94	)%		(7.76	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	456,567		$	222,297		$	57,219		$	40,800
Ratios to Average Net Assets:
Total expenses (c)		0.18	%		0.23	%		0.45	%		0.73	%(d)
Net expenses (c)		0.10	%		0.07	%		0.06	%		0.15	%(d)
Net investment income (loss)		3.16	%		2.28	%		2.59	%		2.00	%(d)
Portfolio turnover rate (e)		2	%		8	%		3	%		0	%(f)

 * 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) Ratio does not include the expenses of the corresponding Portfolio.

(d) Annualized.

(e) Portfolio turnover rate is from the corresponding Portfolio.

(f) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET SMALL/MID CAP EQUITY INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			For the Period 10/16/15* - 12/31/15
Net asset value, beginning of period	$	10.67		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.53			0.07			0.05
Net realized and unrealized gain (loss)		1.37			1.41			(0.69	)
Total from investment operations		1.90			1.48			(0.64	)
Distributions to shareholders from:
Net investment income		(0.25	)		(0.11	)		(0.06	)
Net realized gains		(0.37	)		(0.00	)(b)		—
Total distributions		(0.62	)		(0.11	)		(0.06	)
Net asset value, end of period	$	11.95		$	10.67		$	9.30
Total return (c)		17.87	%		15.67	%		(6.27	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	988		$	114		$	97
Ratios to Average Net Assets:
Total expenses (d)		1.10	%		2.48	%		5.08	%(e)
Net expenses (d)		0.35	%		0.30	%		0.30	%(e)
Net investment income (loss)		4.60	%		0.69	%		2.55	%(e)
Portfolio turnover rate (f)		21	%		21	%		8	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

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

(e) Annualized.

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

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET SMALL/MID CAP EQUITY INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			For the Period 10/16/15* - 12/31/15
Net asset value, beginning of period	$	10.67		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.40			0.14			0.06
Net realized and unrealized gain (loss)		1.53			1.37			(0.70	)
Total from investment operations		1.93			1.51			(0.64	)
Distributions to shareholders from:
Net investment income		(0.28	)		(0.14	)		(0.06	)
Net realized gains		(0.37	)		(0.00	)(b)		—
Total distributions		(0.65	)		(0.14	)		(0.06	)
Net asset value, end of period	$	11.95		$	10.67		$	9.30
Total return (c)		18.16	%		15.96	%		(6.18	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,135		$	297		$	97
Ratios to Average Net Assets:
Total expenses (d)		0.90	%		2.22	%		4.83	%(e)
Net expenses (d)		0.11	%		0.05	%		0.05	%(e)
Net investment income (loss)		3.42	%		1.42	%		2.80	%(e)
Portfolio turnover rate (f)		21	%		21	%		8	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

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

(e) Annualized.

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

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

18

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET SMALL/MID CAP EQUITY INDEX FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			For the Period 8/12/15* - 12/31/15
Net asset value, beginning of period	$	10.67		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.15			0.15			0.06
Net realized and unrealized gain (loss)		1.78			1.36			(0.70	)
Total from investment operations		1.93			1.51			(0.64	)
Distributions to shareholders from:
Net investment income		(0.28	)		(0.14	)		(0.06	)
Net realized gains		(0.37	)		(0.00	)(b)		—
Total distributions		(0.65	)		(0.14	)		(0.06	)
Net asset value, end of period	$	11.95		$	10.67		$	9.30
Total return (c)		18.16	%		16.21	%		(6.38	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	18,750		$	14,098		$	3,930
Ratios to Average Net Assets:
Total expenses (d)		0.96	%		2.21	%		4.71	%(e)
Net expenses (d)		0.05	%		0.05	%		0.05	%(e)
Net investment income (loss)		1.29	%		1.51	%		1.49	%(e)
Portfolio turnover rate (f)		21	%		21	%		8	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

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

(e) Annualized.

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

(g) Not annualized.

See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.

19

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
U.S. Treasury Obligations		35.3	%
U.S. Government Agency Obligations		29.2
Corporate Bonds & Notes		25.2
Foreign Government Obligations		4.0
Mortgage-Backed Securities		1.0
Municipal Bonds & Notes		0.6
Asset-Backed Securities		0.4
Short-Term Investment		6.9
Liabilities in Excess of Other Assets		(2.6	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Banks		5.6	%
Oil & Gas		1.8
Electric		1.5
Telecommunications		1.3
Pharmaceuticals		1.2
TOTAL		11.4	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

20

STATE STREET GLOBAL EQUITY EX-U.S. INDEX PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		101.7	%
Rights		0.0	*
Short-Term Investments		1.8
Liabilities in Excess of Other Assets		(3.5	)
TOTAL		100.0	%

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

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Banks		16.1	%
Pharmaceuticals		5.8
Oil & Gas		5.8
Insurance		5.7
Telecommunications		4.8
TOTAL		38.2	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

21

STATE STREET SMALL/MID CAP EQUITY INDEX PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		99.7	%
Rights		0.0	*
Short-Term Investments		3.4
Liabilities in Excess of Other Assets		(3.1	)
TOTAL		100.0	%

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

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Real Estate Investment Trusts		9.1	%
Banks		6.9
Software		6.1
Commercial Services		5.4
Retail		3.8
TOTAL		31.3	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Principal Amount		Value
CORPORATE BONDS & NOTES — 25.2%
ADVERTISING — 0.0% (a)
Interpublic Group of Cos., Inc. 4.20%, 4/15/2024	$	25,000	$	26,191
Omnicom Group, Inc. 3.60%, 4/15/2026		100,000		100,876
WPP Finance 2010 3.63%, 9/7/2022		25,000		25,745
				152,812
AEROSPACE & DEFENSE — 0.5%
Boeing Co.:
2.60%, 10/30/2025		35,000		34,568
3.38%, 6/15/2046		25,000		24,346
3.65%, 3/1/2047		100,000		101,256
Embraer Netherlands Finance B.V. 5.05%, 6/15/2025		50,000		53,222
General Dynamics Corp. 2.25%, 11/15/2022		25,000		24,659
Harris Corp. 3.83%, 4/27/2025		50,000		51,822
L3 Technologies, Inc.:
3.85%, 12/15/2026		50,000		51,454
4.95%, 2/15/2021		25,000		26,513
Lockheed Martin Corp.:
2.50%, 11/23/2020		100,000		100,713
3.55%, 1/15/2026		100,000		103,909
3.60%, 3/1/2035		50,000		50,365
4.70%, 5/15/2046		110,000		128,473
Northrop Grumman Corp.:
2.55%, 10/15/2022		150,000		148,871
2.93%, 1/15/2025		150,000		148,983
3.25%, 8/1/2023		200,000		204,072
3.25%, 1/15/2028		150,000		150,256
4.03%, 10/15/2047		200,000		208,742
4.75%, 6/1/2043		25,000		28,809
Raytheon Co.:
3.13%, 10/15/2020		25,000		25,590
4.20%, 12/15/2044		25,000		27,914
Rockwell Collins, Inc.:
2.80%, 3/15/2022		200,000		200,088
3.50%, 3/15/2027		136,000		138,267
4.35%, 4/15/2047		100,000		108,926
United Technologies Corp.:
1.90%, 5/4/2020		300,000		297,084
1.95%, 11/1/2021		150,000		146,547
2.65%, 11/1/2026		50,000		48,198
3.13%, 5/4/2027		200,000		199,926
4.50%, 6/1/2042		250,000		277,122
6.13%, 7/15/2038		50,000		66,328
				3,177,023
AGRICULTURE — 0.4%
Altria Group, Inc.:
2.63%, 1/14/2020		150,000		150,971
2.85%, 8/9/2022		200,000		201,336
4.00%, 1/31/2024		25,000		26,557
4.50%, 5/2/2043		25,000		27,176
Archer-Daniels-Midland Co.:
3.75%, 9/15/2047		50,000		50,878
4.02%, 4/16/2043		50,000		52,767
BAT Capital Corp.:
2.76%, 8/15/2022 (b)		300,000		297,996
3.22%, 8/15/2024 (b)		50,000		49,959
3.56%, 8/15/2027 (b)		100,000		100,100
4.39%, 8/15/2037 (b)		285,000		299,065
4.54%, 8/15/2047 (b)		105,000		110,829
Bunge, Ltd. Finance Corp. 3.75%, 9/25/2027		30,000		29,549
Philip Morris International, Inc.:
1.63%, 2/21/2019		100,000		99,452
1.88%, 1/15/2019		50,000		49,885
2.00%, 2/21/2020		150,000		149,043
2.13%, 5/10/2023		75,000		72,351
2.63%, 2/18/2022		25,000		24,992
2.75%, 2/25/2026		125,000		122,402
3.13%, 3/2/2028		200,000		199,266
4.13%, 3/4/2043		25,000		25,804
4.50%, 3/26/2020		25,000		26,161
4.50%, 3/20/2042		50,000		54,345
Reynolds American, Inc.:
4.00%, 6/12/2022		50,000		52,245
5.70%, 8/15/2035		25,000		29,831
5.85%, 8/15/2045		175,000		218,328
				2,521,288
AIRLINES — 0.1%
American Airlines 2014-1 Class A Pass Through Trust, Series A, 3.70%, 4/1/2028		20,767		21,121
American Airlines 2017-2 Pass Through Trust, Class AA Series AA, 3.35%, 4/15/2031		100,000		100,180
Delta Air Lines, Inc.:
2.88%, 3/13/2020		100,000		100,494
3.63%, 3/15/2022		250,000		254,268
Southwest Airlines Co. 2.75%, 11/6/2019		25,000		25,188
United Airlines 2016-1 Pass Through Trust, Class AA Series AA, 3.10%, 1/7/2030		50,000		49,611
				550,862
APPAREL — 0.0% (a)
NIKE, Inc.:
2.38%, 11/1/2026		50,000		47,593
3.88%, 11/1/2045		30,000		31,317
				78,910
AUTO MANUFACTURERS — 0.6%
American Honda Finance Corp.:
Series MTN, 1.95%, 7/20/2020		25,000		24,797
Series MTN, 2.00%, 11/13/2019		250,000		249,130

See accompanying notes to financial statements.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series MTN, 2.25%, 8/15/2019	$	25,000	$	25,035
Series MTN, 2.45%, 9/24/2020		75,000		75,198
Series MTN, 2.90%, 2/16/2024		50,000		50,271
Ford Motor Co.:
4.35%, 12/8/2026		100,000		104,462
4.75%, 1/15/2043		50,000		50,811
5.29%, 12/8/2046		100,000		108,803
Ford Motor Credit Co. LLC:
2.02%, 5/3/2019		150,000		149,166
2.68%, 1/9/2020		300,000		300,612
2.98%, 8/3/2022		200,000		198,986
3.10%, 5/4/2023		100,000		99,371
3.34%, 3/18/2021		150,000		152,424
Series GMTN, 4.39%, 1/8/2026		100,000		104,884
General Motors Co.:
5.15%, 4/1/2038		200,000		213,234
6.60%, 4/1/2036		100,000		121,818
6.75%, 4/1/2046		25,000		31,525
General Motors Financial Co., Inc.:
2.40%, 5/9/2019		200,000		199,832
3.15%, 1/15/2020		35,000		35,371
3.15%, 6/30/2022		250,000		250,120
3.20%, 7/13/2020		25,000		25,313
3.20%, 7/6/2021		100,000		100,812
3.45%, 1/14/2022		50,000		50,657
3.70%, 5/9/2023		100,000		102,004
3.95%, 4/13/2024		150,000		154,428
4.00%, 1/15/2025		35,000		36,037
4.35%, 1/17/2027		185,000		192,457
5.25%, 3/1/2026		100,000		109,792
PACCAR Financial Corp.
Series MTN, 2.30%, 8/10/2022		50,000		49,401
Toyota Motor Credit Corp.:
1.95%, 4/17/2020		100,000		99,379
Series GMTN, 1.90%, 4/8/2021		275,000		271,177
Series GMTN, 2.80%, 7/13/2022		25,000		25,282
Series MTN, 1.40%, 5/20/2019		75,000		74,293
Series MTN, 1.70%, 2/19/2019		25,000		24,905
Series MTN, 2.10%, 1/17/2019		50,000		50,024
Series MTN, 2.15%, 9/8/2022		50,000		49,174
Series MTN, 2.90%, 4/17/2024		50,000		50,533
				4,011,518
AUTO PARTS & EQUIPMENT — 0.0% (a)
Aptiv PLC:
4.25%, 1/15/2026		25,000		26,509
4.40%, 10/1/2046		30,000		31,086
Lear Corp. 5.25%, 1/15/2025		20,000		21,379
				78,974
BANKS — 5.6%
Australia & New Zealand Banking Group, Ltd.:
2.63%, 5/19/2022		250,000		249,225
Series MTN, 2.30%, 6/1/2021		100,000		99,077
Banco Bilbao Vizcaya Argentaria SA 3.00%, 10/20/2020		25,000		25,217
Banco Santander SA 3.13%, 2/23/2023		200,000		198,904
Bank of America Corp.:
6.11%, 1/29/2037		75,000		95,848
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c)		200,000		216,802
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (b) (c)		96,000		96,215
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (b) (c)		110,000		109,857
3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c)		500,000		498,140
Series GMTN, 2.63%, 4/19/2021		600,000		603,042
Series GMTN, 3.50%, 4/19/2026		130,000		133,045
Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021 (c)		250,000		249,450
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c)		250,000		254,205
Series L, 2.60%, 1/15/2019		8,000		8,031
Series L, 2.65%, 4/1/2019		300,000		301,989
Series L, 3.95%, 4/21/2025		50,000		51,683
Series MTN, 2.50%, 10/21/2022		50,000		49,464
Series MTN, 3.25%, 10/21/2027		400,000		396,388
Series MTN, 4.00%, 4/1/2024		50,000		52,808
Series MTN, 4.13%, 1/22/2024		25,000		26,591
Series MTN, 4.20%, 8/26/2024		50,000		52,707
Series MTN, 4.88%, 4/1/2044		50,000		59,934
Series MTN, 5.00%, 1/21/2044		100,000		120,830
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (c)		200,000		202,760
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c)		150,000		168,360
Bank of Montreal:
Series MTN, 1.90%, 8/27/2021		300,000		293,709
Series MTN, 2.55%, 11/6/2022		30,000		29,722
Bank of New York Mellon Corp.:
Series G, 2.15%, 2/24/2020		100,000		99,800
Series G, 3.00%, 2/24/2025		100,000		100,029
Series MTN, 2.05%, 5/3/2021		50,000		49,379
Series MTN, 2.20%, 3/4/2019		25,000		25,036
Series MTN, 2.20%, 8/16/2023		200,000		193,824
Series MTN, 3.25%, 5/16/2027		100,000		100,881
Bank of Nova Scotia:
2.35%, 10/21/2020		100,000		99,765
2.70%, 3/7/2022		100,000		99,978
Series BKNT, 1.95%, 1/15/2019		100,000		99,842

See accompanying notes to financial statements.

24

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series BKNT, 2.45%, 3/22/2021	$	200,000	$	199,742
Barclays Bank PLC 5.14%, 10/14/2020		100,000		105,860
Barclays PLC:
3.20%, 8/10/2021		200,000		201,344
3.68%, 1/10/2023		200,000		203,014
4.38%, 1/12/2026		50,000		52,088
4.84%, 5/9/2028		200,000		207,942
5.20%, 5/12/2026		75,000		80,069
5.25%, 8/17/2045		25,000		29,088
BB&T Corp.:
Series MTN, 2.25%, 2/1/2019		25,000		25,025
Series MTN, 2.63%, 6/29/2020		50,000		50,314
BNP Paribas SA:
Series BKNT, 5.00%, 1/15/2021		100,000		107,334
Series MTN, 4.25%, 10/15/2024		250,000		262,945
BPCE SA
Series MTN, 2.50%, 7/15/2019		100,000		100,371
Branch Banking & Trust Co.:
2.10%, 1/15/2020		250,000		249,220
3.63%, 9/16/2025		25,000		25,921
Series BKNT, 1.45%, 5/10/2019		50,000		49,544
Canadian Imperial Bank of Commerce 2.55%, 6/16/2022		50,000		49,613
Capital One Financial Corp.:
2.45%, 4/24/2019		50,000		50,067
2.50%, 5/12/2020		500,000		499,635
3.30%, 10/30/2024		100,000		99,642
3.75%, 7/28/2026		125,000		124,441
Capital One NA/Mclean:
Series BKNT, 1.85%, 9/13/2019		250,000		247,588
Series BKNT, 2.95%, 7/23/2021		75,000		75,440
Citibank NA Series BKNT, 2.10%, 6/12/2020		250,000		248,153
Citigroup, Inc.:
2.05%, 6/7/2019		300,000		299,070
2.35%, 8/2/2021		50,000		49,449
2.45%, 1/10/2020		300,000		300,138
2.55%, 4/8/2019		50,000		50,165
2.70%, 3/30/2021		175,000		175,583
2.70%, 10/27/2022		250,000		247,665
2.90%, 12/8/2021		250,000		251,303
3.20%, 10/21/2026		300,000		297,645
3.75%, 6/16/2024		25,000		25,931
4.13%, 7/25/2028		70,000		72,222
4.30%, 11/20/2026		50,000		52,282
4.45%, 9/29/2027		150,000		158,430
4.65%, 7/30/2045		25,000		28,437
5.30%, 5/6/2044		50,000		58,987
6.68%, 9/13/2043		175,000		242,485
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (c)		100,000		99,436
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c)		100,000		101,310
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c)		250,000		258,120
Citizens Bank NA/Providence:
2.25%, 10/30/2020		250,000		247,995
Series BKNT, 2.50%, 3/14/2019		50,000		50,125
Commonwealth Bank of Australia Series GMTN, 2.55%, 3/15/2021		100,000		100,036
Cooperatieve Rabobank UA:
2.25%, 1/14/2019		50,000		50,061
3.88%, 2/8/2022		50,000		52,546
4.38%, 8/4/2025		250,000		264,155
4.50%, 1/11/2021		50,000		53,029
5.75%, 12/1/2043		50,000		63,396
Series GMTN, 2.50%, 1/19/2021		300,000		301,059
Credit Suisse AG 5.30%, 8/13/2019		100,000		104,767
Credit Suisse Group Funding Guernsey, Ltd.:
2.75%, 3/26/2020		300,000		301,356
3.13%, 12/10/2020		450,000		455,724
3.80%, 6/9/2023		150,000		154,603
Deutsche Bank AG:
2.50%, 2/13/2019		75,000		74,965
2.95%, 8/20/2020		50,000		50,086
3.70%, 5/30/2024		50,000		50,342
4.25%, 10/14/2021		200,000		207,874
Discover Bank 3.45%, 7/27/2026		25,000		24,679
Fifth Third Bancorp 2.30%, 3/1/2019		50,000		50,045
Fifth Third Bank:
Series BKNT, 2.25%, 6/14/2021		50,000		49,534
Series BKNT, 3.85%, 3/15/2026		225,000		232,079
Goldman Sachs Group, Inc.:
2.00%, 4/25/2019		50,000		49,813
2.30%, 12/13/2019		50,000		49,895
2.35%, 11/15/2021		175,000		172,289
2.55%, 10/23/2019		25,000		25,062
2.60%, 12/27/2020		250,000		250,305
2.63%, 1/31/2019		200,000		200,854
2.63%, 4/25/2021		150,000		149,917
2.75%, 9/15/2020		250,000		251,083
2.88%, 2/25/2021		25,000		25,178
3.00%, 4/26/2022		250,000		250,930
3.50%, 1/23/2025		50,000		50,726
3.50%, 11/16/2026		250,000		251,037
3.63%, 1/22/2023		25,000		25,751
3.75%, 2/25/2026		50,000		51,327
4.00%, 3/3/2024		50,000		52,458

See accompanying notes to financial statements.

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.75%, 10/21/2045	$	50,000	$	57,156
5.95%, 1/15/2027		50,000		58,380
6.25%, 2/1/2041		200,000		269,022
6.75%, 10/1/2037		150,000		200,754
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (c)		250,000		247,922
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c)		200,000		205,780
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c)		250,000		253,215
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c)		325,000		323,476
Series MTN, 4.80%, 7/8/2044		50,000		57,190
HSBC Holdings PLC:
2.65%, 1/5/2022		325,000		322,891
2.95%, 5/25/2021		250,000		251,815
4.30%, 3/8/2026		250,000		265,818
5.10%, 4/5/2021		50,000		53,724
5.25%, 3/14/2044		200,000		235,828
6.50%, 9/15/2037		200,000		263,696
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c)		250,000		260,330
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (c)		250,000		250,430
Huntington Bancshares, Inc. 2.30%, 1/14/2022		25,000		24,594
Industrial & Commercial Bank of China, Ltd. Series MTN, 3.23%, 11/13/2019		50,000		50,434
Intesa Sanpaolo SpA 5.25%, 1/12/2024		50,000		54,688
JPMorgan Chase & Co.:
1.85%, 3/22/2019		350,000		348,750
2.20%, 10/22/2019		300,000		299,820
2.25%, 1/23/2020		150,000		149,890
2.35%, 1/28/2019		50,000		50,113
2.40%, 6/7/2021		550,000		547,107
2.70%, 5/18/2023		125,000		124,102
2.95%, 10/1/2026		350,000		343,731
2.97%, 1/15/2023		50,000		50,331
3.38%, 5/1/2023		75,000		76,228
3.88%, 2/1/2024		50,000		52,641
4.13%, 12/15/2026		50,000		52,739
4.25%, 10/1/2027		80,000		85,021
4.85%, 2/1/2044		50,000		59,161
4.95%, 6/1/2045		50,000		58,009
5.40%, 1/6/2042		50,000		63,030
5.50%, 10/15/2040		150,000		189,576
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (c)		338,000		337,523
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c)		100,000		100,675
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c)		250,000		258,790
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c)		200,000		205,352
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c)		200,000		203,020
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c)		100,000		102,802
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c)		50,000		51,970
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c)		100,000		107,980
KeyBank NA:
Series BKNT, 2.30%, 9/14/2022		250,000		245,018
Series MTN, 3.40%, 5/20/2026		25,000		24,923
KeyCorp.
Series MTN, 2.90%, 9/15/2020		100,000		100,984
Landwirtschaftliche Rentenbank:
2.00%, 1/13/2025		25,000		24,170
2.25%, 10/1/2021		50,000		49,952
Series GMTN, 1.75%, 7/27/2026		50,000		46,857
Lloyds Banking Group PLC:
3.00%, 1/11/2022		200,000		200,946
4.65%, 3/24/2026		100,000		105,614
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (c)		200,000		198,070
Mitsubishi UFJ Financial Group, Inc.:
2.19%, 9/13/2021		50,000		49,056
2.67%, 7/25/2022		300,000		296,838
2.76%, 9/13/2026		25,000		23,924
3.00%, 2/22/2022		50,000		50,294
3.29%, 7/25/2027		50,000		49,677
3.68%, 2/22/2027		50,000		51,280
3.85%, 3/1/2026		25,000		25,894
Mizuho Financial Group, Inc. 2.95%, 2/28/2022		200,000		200,206
Morgan Stanley:
2.75%, 5/19/2022		150,000		149,400
2.80%, 6/16/2020		350,000		352,975
3.63%, 1/20/2027		100,000		102,320
3.95%, 4/23/2027		25,000		25,451
4.30%, 1/27/2045		50,000		53,905
4.38%, 1/22/2047		100,000		109,779
6.38%, 7/24/2042		65,000		90,354
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c)		100,000		100,921
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c)		100,000		103,236
Series GMTN, 2.38%, 7/23/2019		50,000		50,029
Series GMTN, 2.45%, 2/1/2019		550,000		551,172
Series GMTN, 2.50%, 4/21/2021		225,000		224,167
Series GMTN, 3.75%, 2/25/2023		50,000		51,787
Series GMTN, 3.88%, 1/27/2026		125,000		129,926
Series GMTN, 4.00%, 7/23/2025		500,000		523,605

See accompanying notes to financial statements.

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series GMTN, 4.35%, 9/8/2026	$	50,000	$	52,494
Series MTN, 2.63%, 11/17/2021		250,000		248,775
Series MTN, 3.13%, 7/27/2026		225,000		221,650
MUFG Americas Holdings Corp. 2.25%, 2/10/2020		25,000		24,897
National Australia Bank, Ltd.:
1.38%, 7/12/2019		50,000		49,368
1.88%, 7/12/2021		250,000		243,922
2.50%, 7/12/2026		50,000		47,509
Northern Trust Corp. 3 Month USD LIBOR + 1.13% 3.38%, 5/8/2032 (c)		63,000		62,672
Oesterreichische Kontrollbank AG:
1.13%, 4/26/2019		25,000		24,706
1.63%, 3/12/2019		25,000		24,895
PNC Bank NA:
Series BKNT, 2.15%, 4/29/2021		250,000		247,725
Series BKNT, 2.40%, 10/18/2019		200,000		200,240
Series BKNT, 2.63%, 2/17/2022		250,000		250,427
PNC Financial Services Group, Inc.:
3.15%, 5/19/2027		100,000		100,397
3.30%, 3/8/2022		50,000		51,335
3.90%, 4/29/2024		50,000		52,375
Regions Financial Corp. 3.20%, 2/8/2021		25,000		25,433
Royal Bank of Canada:
1.88%, 2/5/2020		250,000		247,815
2.30%, 3/22/2021		125,000		124,382
Series GMTN, 1.63%, 4/15/2019		50,000		49,659
Series GMTN, 2.13%, 3/2/2020		100,000		99,628
Series GMTN, 2.50%, 1/19/2021		100,000		100,175
Series GMTN, 4.65%, 1/27/2026		100,000		107,743
Royal Bank of Scotland Group PLC:
3.88%, 9/12/2023		75,000		76,278
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (c)		250,000		250,517
Santander Holdings USA, Inc.:
3.40%, 1/18/2023 (b)		50,000		49,875
3.70%, 3/28/2022 (b)		60,000		60,795
4.40%, 7/13/2027 (b)		50,000		51,168
4.50%, 7/17/2025		50,000		52,105
Santander UK Group Holdings PLC:
2.88%, 10/16/2020		100,000		100,418
3.57%, 1/10/2023		250,000		253,347
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c)		200,000		200,302
Skandinaviska Enskilda Banken AB 1.88%, 9/13/2021		50,000		48,831
Sumitomo Mitsui Banking Corp. 1.97%, 1/11/2019		250,000		249,287
Sumitomo Mitsui Financial Group, Inc.:
2.44%, 10/19/2021		70,000		69,220
2.78%, 10/18/2022		100,000		99,352
2.78%, 7/12/2022		50,000		49,724
2.85%, 1/11/2022		250,000		250,233
2.93%, 3/9/2021		100,000		100,880
3.01%, 10/19/2026		50,000		48,723
3.36%, 7/12/2027		50,000		50,010
3.78%, 3/9/2026		30,000		30,969
SunTrust Bank:
Series BKNT, 2.25%, 1/31/2020		50,000		49,915
Series BKNT, 2.45%, 8/1/2022		50,000		49,386
SunTrust Banks, Inc. 2.70%, 1/27/2022		50,000		49,957
Svenska Handelsbanken AB:
1.95%, 9/8/2020		168,000		166,300
Series GMTN, 2.40%, 10/1/2020		75,000		75,076
Synchrony Bank 3.00%, 6/15/2022		250,000		248,438
Synovus Financial Corp. 3.13%, 11/1/2022		15,000		14,886
Toronto-Dominion Bank:
1.45%, 8/13/2019		325,000		321,103
Series GMTN, 2.50%, 12/14/2020		50,000		50,147
Series MTN, 1.95%, 1/22/2019		50,000		49,916
UBS AG
Series GMTN, 2.35%, 3/26/2020		100,000		99,991
US Bancorp:
Series MTN, 2.20%, 4/25/2019		25,000		25,050
Series MTN, 2.35%, 1/29/2021		100,000		100,018
Series MTN, 3.10%, 4/27/2026		50,000		49,629
Series MTN, 3.60%, 9/11/2024		25,000		25,918
US Bank NA
Series BKNT, 1.40%, 4/26/2019		350,000		346,875
Wells Fargo & Co.:
2.10%, 7/26/2021		300,000		295,137
2.15%, 1/15/2019		25,000		25,017
2.50%, 3/4/2021		50,000		49,973
3.00%, 10/23/2026		250,000		245,053
3.07%, 1/24/2023		250,000		252,222
4.13%, 8/15/2023		25,000		26,348
4.48%, 1/16/2024		25,000		26,899
5.61%, 1/15/2044		325,000		400,819
Series GMTN, 4.30%, 7/22/2027		50,000		53,196
Series GMTN, 4.90%, 11/17/2045		150,000		169,726

See accompanying notes to financial statements.

27

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series MTN, 2.63%, 7/22/2022	$	365,000	$	362,876
Series MTN, 3.00%, 1/22/2021		50,000		50,711
Series MTN, 3.30%, 9/9/2024		150,000		152,197
Series MTN, 3.55%, 9/29/2025		50,000		51,327
Series MTN, 4.75%, 12/7/2046		150,000		167,290
Series MTN, 3 Month USD
LIBOR + 1.31%, 3.58%, 5/22/2028 (c)		350,000		356,569
Wells Fargo Bank NA Series BKNT, 2.15%, 12/6/2019		300,000		299,472
Wells Fargo Capital 5.95%, 12/1/2086		25,000		28,424
Westpac Banking Corp.:
2.15%, 3/6/2020		200,000		199,134
2.25%, 1/17/2019		125,000		125,166
2.80%, 1/11/2022		100,000		100,780
2.85%, 5/13/2026		50,000		48,796
3.35%, 3/8/2027		150,000		151,440
				38,520,343
BEVERAGES — 0.8%
Anheuser-Busch InBev Finance, Inc.:
1.90%, 2/1/2019		350,000		349,286
2.15%, 2/1/2019		25,000		25,013
2.65%, 2/1/2021		455,000		457,666
3.30%, 2/1/2023		350,000		358,036
3.65%, 2/1/2026		250,000		257,950
4.70%, 2/1/2036		425,000		476,442
4.90%, 2/1/2046		475,000		550,463
Anheuser-Busch InBev Worldwide, Inc.:
2.50%, 7/15/2022		50,000		49,625
3.75%, 1/15/2022		200,000		208,970
3.75%, 7/15/2042		50,000		48,725
4.95%, 1/15/2042		250,000		289,578
Coca-Cola Co.:
1.38%, 5/30/2019		275,000		272,715
1.55%, 9/1/2021		200,000		195,108
2.25%, 9/1/2026		25,000		23,772
2.88%, 10/27/2025		25,000		25,035
3.20%, 11/1/2023		25,000		25,940
Constellation Brands, Inc.:
2.70%, 5/9/2022		50,000		49,660
3.75%, 5/1/2021		5,000		5,166
3.88%, 11/15/2019		5,000		5,133
4.25%, 5/1/2023		25,000		26,487
4.50%, 5/9/2047		50,000		54,651
6.00%, 5/1/2022		5,000		5,591
Diageo Capital PLC 2.63%, 4/29/2023		75,000		74,899
Diageo Investment Corp. 4.25%, 5/11/2042		25,000		27,483
Dr Pepper Snapple Group, Inc. 3.13%, 12/15/2023		50,000		50,529
Molson Coors Brewing Co.:
2.10%, 7/15/2021		50,000		48,986
2.25%, 3/15/2020		50,000		49,753
3.00%, 7/15/2026		50,000		48,925
4.20%, 7/15/2046		30,000		30,610
PepsiCo, Inc.:
1.50%, 2/22/2019		135,000		134,314
1.70%, 10/6/2021		150,000		146,413
1.85%, 4/30/2020		25,000		24,824
2.00%, 4/15/2021		250,000		247,623
2.15%, 10/14/2020		50,000		49,897
2.25%, 5/2/2022		300,000		297,054
2.85%, 2/24/2026		85,000		84,353
3.45%, 10/6/2046		150,000		145,495
3.60%, 3/1/2024		25,000		26,224
4.45%, 4/14/2046		75,000		85,177
4.60%, 7/17/2045		25,000		28,964
				5,362,535
BIOTECHNOLOGY — 0.4%
Amgen, Inc.:
1.85%, 8/19/2021		200,000		194,970
2.20%, 5/22/2019		50,000		50,008
2.65%, 5/11/2022		150,000		149,524
3.63%, 5/22/2024		100,000		103,941
4.40%, 5/1/2045		50,000		54,229
4.56%, 6/15/2048		200,000		223,552
4.66%, 6/15/2051		225,000		251,631
6.38%, 6/1/2037		50,000		64,704
Baxalta, Inc.:
2.88%, 6/23/2020		25,000		25,148
4.00%, 6/23/2025		25,000		25,839
Biogen, Inc.:
2.90%, 9/15/2020		25,000		25,361
4.05%, 9/15/2025		50,000		52,945
5.20%, 9/15/2045		25,000		29,723
Celgene Corp.:
2.88%, 8/15/2020		225,000		227,101
3.63%, 5/15/2024		25,000		25,734
3.88%, 8/15/2025		25,000		25,913
4.35%, 11/15/2047		225,000		234,358
4.63%, 5/15/2044		50,000		53,421
Gilead Sciences, Inc.:
1.95%, 3/1/2022		5,000		4,880
2.55%, 9/1/2020		250,000		252,160
2.95%, 3/1/2027		25,000		24,583
3.65%, 3/1/2026		85,000		88,212
4.15%, 3/1/2047		120,000		127,686
4.40%, 12/1/2021		25,000		26,667
4.50%, 2/1/2045		25,000		27,753
4.60%, 9/1/2035		100,000		112,188
4.75%, 3/1/2046		25,000		28,908
4.80%, 4/1/2044		25,000		28,968
				2,540,107
CHEMICALS — 0.4%
Agrium, Inc. 4.13%, 3/15/2035		25,000		25,765
Celanese US Holdings LLC:
4.63%, 11/15/2022		10,000		10,641

See accompanying notes to financial statements.

28

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
5.88%, 6/15/2021	$	10,000	$	10,947
Dow Chemical Co.:
3.00%, 11/15/2022		275,000		276,598
4.25%, 11/15/2020		25,000		26,094
4.25%, 10/1/2034		50,000		52,518
4.38%, 11/15/2042		50,000		52,529
Eastman Chemical Co. 3.80%, 3/15/2025		25,000		26,024
EI du Pont de Nemours & Co.:
2.20%, 5/1/2020		183,000		182,755
3.63%, 1/15/2021		25,000		25,860
4.63%, 1/15/2020		50,000		52,400
LYB International Finance B.V. 4.88%, 3/15/2044		25,000		27,981
LyondellBasell Industries NV:
4.63%, 2/26/2055		25,000		26,351
5.00%, 4/15/2019		100,000		102,644
5.75%, 4/15/2024		100,000		113,819
Monsanto Co.:
2.13%, 7/15/2019		200,000		199,144
2.75%, 7/15/2021		50,000		50,157
4.70%, 7/15/2064		25,000		26,054
Mosaic Co.:
4.05%, 11/15/2027		250,000		250,545
5.63%, 11/15/2043		25,000		27,062
Potash Corp. of Saskatchewan, Inc.:
3.00%, 4/1/2025		50,000		48,856
4.00%, 12/15/2026		50,000		51,973
PPG Industries, Inc. 2.30%, 11/15/2019		25,000		24,988
Praxair, Inc.:
3.20%, 1/30/2026		25,000		25,570
3.55%, 11/7/2042		25,000		25,377
RPM International, Inc.:
3.75%, 3/15/2027		50,000		50,664
4.25%, 1/15/2048		200,000		199,326
5.25%, 6/1/2045		25,000		28,807
Sherwin-Williams Co.:
2.25%, 5/15/2020		50,000		49,853
2.75%, 6/1/2022		200,000		199,414
3.45%, 6/1/2027		30,000		30,471
4.50%, 6/1/2047		150,000		164,584
Westlake Chemical Corp.:
4.63%, 2/15/2021		100,000		102,323
5.00%, 8/15/2046		100,000		112,231
				2,680,325
COMMERCIAL SERVICES — 0.2%
Automatic Data Processing, Inc. 2.25%, 9/15/2020		20,000		20,050
Ecolab, Inc.:
2.38%, 8/10/2022		150,000		148,210
2.70%, 11/1/2026		150,000		144,029
4.35%, 12/8/2021		20,000		21,269
Massachusetts Institute of Technology 3.96%, 7/1/2038		50,000		54,515
Moody’s Corp.:
2.75%, 7/15/2019		50,000		50,315
2.75%, 12/15/2021		200,000		200,434
Northwestern University Series 2017, 3.66%, 12/1/2057		. 150,000		152,175
President and Fellows of Harvard College 3.15%, 7/15/2046		225,000		219,748
S&P Global, Inc. 3.30%, 8/14/2020		50,000		50,919
University of Southern California 3.03%, 10/1/2039		25,000		23,577
				1,085,241
CONSTRUCTION MATERIALS — 0.1%
Johnson Controls International PLC:
4.50%, 2/15/2047		70,000		76,645
3.63%, 7/2/2024 (d)		25,000		25,911
Masco Corp.:
3.50%, 4/1/2021		30,000		30,413
4.38%, 4/1/2026		170,000		179,607
Owens Corning 4.30%, 7/15/2047		100,000		98,612
				411,188
DISTRIBUTION & WHOLESALE — 0.0% (a)
WW Grainger, Inc. 4.60%, 6/15/2045		50,000		55,022
DIVERSIFIED FINANCIAL SERVICES — 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust:
3.65%, 7/21/2027		150,000		148,362
3.95%, 2/1/2022		150,000		154,650
4.50%, 5/15/2021		300,000		314,643
Air Lease Corp.:
2.75%, 1/15/2023		50,000		49,335
3.00%, 9/15/2023		25,000		24,824
3.63%, 4/1/2027		70,000		70,015
4.25%, 9/15/2024		25,000		26,198
American Express Co.:
2.20%, 10/30/2020		60,000		59,542
2.50%, 8/1/2022		250,000		246,972
3.00%, 10/30/2024		100,000		99,690
American Express Credit Corp.:
2.13%, 3/18/2019		50,000		49,997
Series GMTN, 2.25%, 8/15/2019		50,000		50,008
Series MTN, 2.25%, 5/5/2021		350,000		346,839
Ameriprise Financial, Inc. 3.70%, 10/15/2024		50,000		52,141

See accompanying notes to financial statements.

29

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Ares Capital Corp. 3.50%, 2/10/2023	$	50,000	$	49,299
BlackRock, Inc.:
3.20%, 3/15/2027		56,000		56,682
3.50%, 3/18/2024		25,000		26,034
Brookfield Finance, Inc. 4.70%, 9/20/2047		50,000		52,357
Cboe Global Markets, Inc. 1.95%, 6/28/2019		30,000		29,794
Charles Schwab Corp.:
3.20%, 1/25/2028		50,000		50,282
3.45%, 2/13/2026		50,000		51,275
Credit Suisse USA, Inc. 7.13%, 7/15/2032		50,000		68,820
Discover Financial Services:
3.85%, 11/21/2022		50,000		51,293
4.10%, 2/9/2027		75,000		76,847
E*TRADE Financial Corp. 2.95%, 8/24/2022		175,000		173,436
Eaton Vance Corp. 3.50%, 4/6/2027		150,000		153,514
GE Capital International Funding Co. Unlimited Co.:
2.34%, 11/15/2020		200,000		199,000
4.42%, 11/15/2035		550,000		595,485
HSBC Finance Corp. 6.68%, 1/15/2021		8,000		8,895
Intercontinental Exchange, Inc.:
2.75%, 12/1/2020		50,000		50,519
3.75%, 12/1/2025		180,000		189,351
Invesco Finance PLC 3.75%, 1/15/2026		50,000		51,691
Jefferies Group LLC:
4.85%, 1/15/2027		90,000		95,981
6.50%, 1/20/2043		50,000		58,596
National Rural Utilities Cooperative Finance Corp.:
1.65%, 2/8/2019		50,000		49,753
2.95%, 2/7/2024		100,000		100,623
4.02%, 11/1/2032		50,000		52,697
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c)		75,000		78,424
Nomura Holdings, Inc. Series GMTN, 2.75%, 3/19/2019		200,000		200,814
ORIX Corp.:
2.90%, 7/18/2022		30,000		29,875
3.70%, 7/18/2027		50,000		50,388
Synchrony Financial:
2.60%, 1/15/2019		50,000		50,102
4.50%, 7/23/2025		50,000		52,246
TD Ameritrade Holding Corp.:
2.95%, 4/1/2022		150,000		151,558
5.60%, 12/1/2019		25,000		26,508
Visa, Inc.:
2.80%, 12/14/2022		75,000		76,060
3.15%, 12/14/2025		250,000		255,508
3.65%, 9/15/2047		200,000		205,072
4.15%, 12/14/2035		50,000		55,368
4.30%, 12/14/2045		50,000		56,951
				5,274,314
ELECTRIC — 1.5%
AEP Texas, Inc.:
2.40%, 10/1/2022 (b)		150,000		147,684
3.80%, 10/1/2047 (b)		25,000		25,803
AEP Transmission Co. LLC 3.75%, 12/1/2047 (b)		100,000		102,800
Alabama Power Co. 3.85%, 12/1/2042		75,000		77,319
Ameren Corp. 3.65%, 2/15/2026		50,000		51,125
Ameren Illinois Co.:
3.70%, 12/1/2047		50,000		51,153
4.15%, 3/15/2046		50,000		54,979
American Electric Power Co., Inc. Series F, 2.95%, 12/15/2022		50,000		50,699
Appalachian Power Co.:
4.40%, 5/15/2044		25,000		27,557
7.00%, 4/1/2038		25,000		35,601
Arizona Public Service Co.:
3.75%, 5/15/2046		25,000		25,695
4.35%, 11/15/2045		50,000		55,904
Avangrid, Inc. 3.15%, 12/1/2024		50,000		49,836
Baltimore Gas & Electric Co. 6.35%, 10/1/2036		50,000		66,706
Berkshire Hathaway Energy Co.:
2.40%, 2/1/2020		230,000		230,527
4.50%, 2/1/2045		50,000		55,927
5.15%, 11/15/2043		150,000		181,742
6.50%, 9/15/2037		40,000		56,053
Black Hills Corp. 3.15%, 1/15/2027		25,000		24,373
CenterPoint Energy Houston Electric LLC:
Series AA, 3.00%, 2/1/2027		100,000		98,993
Series Z, 2.40%, 9/1/2026		50,000		47,478
Cleco Corporate Holdings LLC 4.97%, 5/1/2046		20,000		22,069
CMS Energy Corp. 3.45%, 8/15/2027		50,000		50,403
Commonwealth Edison Co. 4.00%, 8/1/2020		100,000		103,818
Connecticut Light & Power Co.:
Series A, 3.20%, 3/15/2027		150,000		151,623
Series A, 4.15%, 6/1/2045		100,000		110,223
Consolidated Edison Co. of New York, Inc.:
3.85%, 6/15/2046		50,000		52,150
4.45%, 3/15/2044		75,000		85,253
Series 06-B, 6.20%, 6/15/2036		. 25,000		33,365
Consolidated Edison, Inc. 2.00%, 5/15/2021		180,000		177,226
Consumers Energy Co. 3.25%, 8/15/2046		50,000		47,914

See accompanying notes to financial statements.

30

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Dominion Energy, Inc.:
2.58%, 7/1/2020	$	300,000	$	299,916
4.10%, 4/1/2021 (d)		150,000		155,905
4.70%, 12/1/2044		130,000		147,729
Series A, 1.88%, 1/15/2019		100,000		99,588
Series B, 2.75%, 1/15/2022		150,000		150,030
Series D, 2.85%, 8/15/2026		25,000		24,151
DTE Electric Co. 3.70%, 6/1/2046		75,000		77,308
DTE Energy Co.:
2.40%, 12/1/2019		25,000		24,982
Series B, 3.30%, 6/15/2022		175,000		177,796
Duke Energy Carolinas LLC:
3.88%, 3/15/2046		150,000		157,692
4.25%, 12/15/2041		130,000		143,351
Duke Energy Corp.:
2.40%, 8/15/2022		200,000		196,508
2.65%, 9/1/2026		50,000		47,914
3.15%, 8/15/2027		100,000		99,266
3.75%, 9/1/2046		150,000		148,617
Duke Energy Florida LLC:
3.20%, 1/15/2027		250,000		252,755
6.40%, 6/15/2038		50,000		70,369
Duke Energy Ohio, Inc. 3.70%, 6/15/2046		28,000		28,580
Duke Energy Progress LLC:
2.80%, 5/15/2022		100,000		100,960
3.60%, 9/15/2047		50,000		50,204
4.20%, 8/15/2045		150,000		165,652
Edison International 2.95%, 3/15/2023		50,000		49,883
Emera US Finance L.P.:
2.15%, 6/15/2019		100,000		99,546
4.75%, 6/15/2046		130,000		142,804
Entergy Corp.:
2.95%, 9/1/2026		50,000		48,655
4.00%, 7/15/2022		50,000		52,268
Entergy Louisiana LLC:
3.05%, 6/1/2031		25,000		24,210
3.25%, 4/1/2028		200,000		200,112
Entergy Mississippi, Inc. 2.85%, 6/1/2028		25,000		24,110
Eversource Energy Series K, 2.75%, 3/15/2022		50,000		50,043
Exelon Corp.:
3.40%, 4/15/2026		100,000		100,383
3.95%, 6/15/2025		50,000		52,078
5.10%, 6/15/2045		330,000		390,413
Exelon Generation Co. LLC 3.40%, 3/15/2022		250,000		254,415
FirstEnergy Corp.:
Series B, 3.90%, 7/15/2027		30,000		30,756
Series B, 4.25%, 3/15/2023		10,000		10,536
Series C, 4.85%, 7/15/2047		50,000		55,526
Series C, 7.38%, 11/15/2031		20,000		26,999
Florida Power & Light Co.:
3.25%, 6/1/2024		25,000		25,717
4.05%, 10/1/2044		50,000		54,775
Fortis, Inc. 3.06%, 10/4/2026		50,000		48,352
Interstate Power & Light Co. 3.70%, 9/15/2046		50,000		50,055
ITC Holdings Corp. 3.35%, 11/15/2027 (b)		50,000		50,159
Kansas City Power & Light Co. 4.20%, 6/15/2047		25,000		26,494
NextEra Energy Capital Holdings, Inc.:
2.30%, 4/1/2019		100,000		99,964
2.80%, 1/15/2023		150,000		150,054
3.55%, 5/1/2027		100,000		101,928
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (c)		25,000		25,086
Northern States Power Co. 3.60%, 9/15/2047		50,000		51,070
NSTAR Electric Co. 3.20%, 5/15/2027		50,000		50,523
Oncor Electric Delivery Co. LLC:
3.80%, 9/30/2047 (b)		100,000		103,950
7.50%, 9/1/2038		50,000		76,119
Pacific Gas & Electric Co.:
2.95%, 3/1/2026		50,000		48,670
3.25%, 6/15/2023		50,000		50,664
3.30%, 3/15/2027		150,000		149,382
3.95%, 12/1/2047 (b)		200,000		200,458
4.75%, 2/15/2044		50,000		55,662
6.05%, 3/1/2034		50,000		63,053
PPL Capital Funding, Inc.:
3.50%, 12/1/2022		75,000		77,092
5.00%, 3/15/2044		50,000		58,370
PPL Electric Utilities Corp. 3.95%, 6/1/2047		50,000		53,959
Public Service Co. of Colorado 3.20%, 11/15/2020		25,000		25,526
Public Service Electric & Gas Co.:
Series MTN, 1.90%, 3/15/2021		50,000		49,240
Series MTN, 3.60%, 12/1/2047		100,000		103,257
Series MTN, 3.65%, 9/1/2042		50,000		51,127
Public Service Enterprise Group, Inc. 2.65%, 11/15/2022		100,000		99,047
Puget Sound Energy, Inc. 5.80%, 3/15/2040		50,000		65,541
San Diego Gas & Electric Co. Series RRR, 3.75%, 6/1/2047		50,000		52,473
Sierra Pacific Power Co. 2.60%, 5/1/2026		50,000		48,304
South Carolina Electric & Gas Co.:
4.10%, 6/15/2046		50,000		50,935
4.50%, 6/1/2064		35,000		36,265
Southern California Edison Co.:
4.00%, 4/1/2047		191,000		204,762
4.50%, 9/1/2040		25,000		28,055
Series 13-A, 3.90%, 3/15/2043		50,000		52,595
Series C, 3.60%, 2/1/2045		50,000		50,370

See accompanying notes to financial statements.

31

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Southern Co.:
1.85%, 7/1/2019	$	250,000	$	248,358
2.35%, 7/1/2021		75,000		74,395
3.25%, 7/1/2026		50,000		49,131
4.25%, 7/1/2036		250,000		262,925
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (c)		50,000		52,967
Southern Power Co. Series F, 4.95%, 12/15/2046		150,000		164,773
Southwestern Electric Power Co. Series K, 2.75%, 10/1/2026		50,000		48,097
Southwestern Public Service Co. 3.30%, 6/15/2024		50,000		51,171
Virginia Electric & Power Co.:
3.45%, 2/15/2024		50,000		51,606
8.88%, 11/15/2038		50,000		86,022
Series B, 2.95%, 11/15/2026		30,000		29,707
WEC Energy Group, Inc. 3.55%, 6/15/2025		25,000		25,628
Westar Energy, Inc. 4.13%, 3/1/2042		30,000		32,227
Xcel Energy, Inc. 2.60%, 3/15/2022		200,000		199,496
				10,549,564
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a)
Emerson Electric Co.:
2.63%, 12/1/2021		50,000		50,349
2.63%, 2/15/2023		25,000		24,857
Hubbell, Inc. 3.35%, 3/1/2026		50,000		50,590
				125,796
ELECTRONICS — 0.1%
Allegion US Holding Co., Inc. 3.55%, 10/1/2027		50,000		49,529
Arrow Electronics, Inc.:
3.25%, 9/8/2024		50,000		49,071
3.88%, 1/12/2028		25,000		24,986
Corning, Inc.:
4.38%, 11/15/2057		25,000		24,815
5.75%, 8/15/2040		25,000		30,961
Fortive Corp. 3.15%, 6/15/2026		50,000		49,779
Honeywell International, Inc.:
1.40%, 10/30/2019		150,000		148,249
2.50%, 11/1/2026		150,000		145,266
3.35%, 12/1/2023		50,000		52,114
Keysight Technologies, Inc. 4.60%, 4/6/2027		30,000		31,627
Koninklijke Philips NV 3.75%, 3/15/2022		50,000		52,039
Tyco Electronics Group SA 3.70%, 2/15/2026		50,000		51,810
				710,246
ENGINEERING & CONSTRUCTION — 0.0% (a)
ABB Finance USA, Inc. 2.88%, 5/8/2022		50,000		50,810
ENVIRONMENTAL CONTROL — 0.0% (a)
Republic Services, Inc.:
2.90%, 7/1/2026		45,000		44,005
3.38%, 11/15/2027		60,000		60,531
3.55%, 6/1/2022		25,000		25,776
Waste Management, Inc.:
2.40%, 5/15/2023		150,000		146,935
3.50%, 5/15/2024		25,000		25,883
3.90%, 3/1/2035		50,000		52,233
				355,363
FOOD — 0.3%
General Mills, Inc.:
2.20%, 10/21/2019		25,000		24,967
3.20%, 2/10/2027		100,000		99,904
3.65%, 2/15/2024		50,000		52,441
Hershey Co. 3.20%, 8/21/2025		25,000		25,308
JM Smucker Co.:
2.20%, 12/6/2019		100,000		99,901
2.50%, 3/15/2020		25,000		25,068
4.25%, 3/15/2035		50,000		52,942
Kellogg Co.:
4.15%, 11/15/2019		25,000		25,805
4.50%, 4/1/2046		100,000		106,073
Kraft Heinz Foods Co.:
2.80%, 7/2/2020		100,000		100,556
3.00%, 6/1/2026		150,000		144,214
3.50%, 7/15/2022		50,000		51,163
3.95%, 7/15/2025		50,000		51,636
4.38%, 6/1/2046		50,000		49,525
5.20%, 7/15/2045		200,000		220,052
6.88%, 1/26/2039		50,000		65,552
Kroger Co.:
2.65%, 10/15/2026		50,000		46,718
3.70%, 8/1/2027		35,000		35,430
3.85%, 8/1/2023		75,000		78,037
4.45%, 2/1/2047		100,000		100,278
4.65%, 1/15/2048		100,000		102,792
Mondelez International, Inc. 4.00%, 2/1/2024		100,000		106,181
Sysco Corp.:
3.25%, 7/15/2027		50,000		50,019
3.30%, 7/15/2026		100,000		100,489
3.75%, 10/1/2025		5,000		5,198
4.85%, 10/1/2045		5,000		5,695
Tyson Foods, Inc.:
3.55%, 6/2/2027		150,000		153,378

See accompanying notes to financial statements.

32

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.50%, 6/15/2022	$	30,000	$	32,042
4.55%, 6/2/2047		35,000		38,226
				2,049,590
FOREST PRODUCTS & PAPER — 0.1%
Celulosa Arauco y Constitucion SA:
3.88%, 11/2/2027 (b)		200,000		198,374
4.50%, 8/1/2024		50,000		52,786
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027		25,000		26,819
Georgia-Pacific LLC 7.75%, 11/15/2029		25,000		34,834
International Paper Co.:
3.00%, 2/15/2027		150,000		145,377
3.65%, 6/15/2024		25,000		25,880
4.40%, 8/15/2047		50,000		52,539
5.00%, 9/15/2035		100,000		113,178
				649,787
GAS — 0.1%
Atmos Energy Corp.:
3.00%, 6/15/2027		150,000		149,728
4.15%, 1/15/2043		25,000		26,926
Dominion Energy Gas Holdings LLC:
2.80%, 11/15/2020		50,000		50,415
3.60%, 12/15/2024		50,000		51,177
4.80%, 11/1/2043		25,000		27,883
National Fuel Gas Co. 3.95%, 9/15/2027		50,000		49,746
NiSource Finance Corp.:
3.49%, 5/15/2027		50,000		50,847
4.38%, 5/15/2047		150,000		164,298
4.80%, 2/15/2044		30,000		33,817
Sempra Energy 3.25%, 6/15/2027		50,000		49,620
Southern California Gas Co.:
3.15%, 9/15/2024		25,000		25,519
3.20%, 6/15/2025		50,000		50,747
3.75%, 9/15/2042		30,000		31,218
5.13%, 11/15/2040		25,000		31,370
Southern Co. Gas Capital Corp.:
4.40%, 5/30/2047		150,000		160,867
5.25%, 8/15/2019		25,000		26,054
				980,232
HEALTH CARE PRODUCTS — 0.5%
Abbott Laboratories:
2.35%, 11/22/2019		285,000		285,108
2.90%, 11/30/2021		50,000		50,517
2.95%, 3/15/2025		75,000		73,723
3.40%, 11/30/2023		50,000		50,853
3.75%, 11/30/2026		150,000		154,018
4.75%, 11/30/2036		250,000		280,605
4.75%, 4/15/2043		25,000		27,772
4.90%, 11/30/2046		50,000		57,440
Baxter International, Inc. 3.50%, 8/15/2046		50,000		46,031
Becton Dickinson and Co.:
2.40%, 6/5/2020		20,000		19,885
2.68%, 12/15/2019		44,000		44,161
2.89%, 6/6/2022		235,000		233,612
3.36%, 6/6/2024		50,000		50,135
3.70%, 6/6/2027		250,000		251,810
3.73%, 12/15/2024		50,000		51,111
4.67%, 6/6/2047		210,000		226,636
4.69%, 12/15/2044		25,000		27,400
Boston Scientific Corp. 3.38%, 5/15/2022		50,000		50,779
Covidien International Finance SA 3.20%, 6/15/2022		50,000		51,071
Danaher Corp. 2.40%, 9/15/2020		45,000		45,139
Medtronic Global Holdings SCA 1.70%, 3/28/2019		200,000		199,088
Medtronic, Inc.:
3.15%, 3/15/2022		150,000		153,519
3.50%, 3/15/2025		150,000		155,856
4.38%, 3/15/2035		75,000		84,421
4.63%, 3/15/2045		175,000		203,637
5.55%, 3/15/2040		25,000		31,684
Stryker Corp.:
2.00%, 3/8/2019		150,000		149,673
3.38%, 11/1/2025		25,000		25,603
3.50%, 3/15/2026		25,000		25,791
4.63%, 3/15/2046		25,000		28,451
Thermo Fisher Scientific, Inc.:
3.00%, 4/15/2023		250,000		251,580
3.30%, 2/15/2022		50,000		51,189
4.15%, 2/1/2024		25,000		26,501
Zimmer Biomet Holdings, Inc. 3.55%, 4/1/2025		100,000		100,055
				3,564,854
HEALTH CARE SERVICES — 0.4%
Aetna, Inc.:
2.20%, 3/15/2019		25,000		25,017
2.80%, 6/15/2023		200,000		197,004
3.88%, 8/15/2047		100,000		98,730
4.13%, 11/15/2042		25,000		25,408
Anthem, Inc.:
2.25%, 8/15/2019		50,000		49,880
2.50%, 11/21/2020		15,000		14,978
2.95%, 12/1/2022		50,000		50,042
3.30%, 1/15/2023		50,000		50,739
3.35%, 12/1/2024		50,000		50,686
3.50%, 8/15/2024		25,000		25,508
3.65%, 12/1/2027		130,000		132,466
4.38%, 12/1/2047		130,000		138,290
4.65%, 1/15/2043		50,000		54,945
Ascension Health 3.95%, 11/15/2046		150,000		157,711

See accompanying notes to financial statements.

33

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Catholic Health Initiatives 4.35%, 11/1/2042	$	25,000	$	23,790
Cigna Corp. 3.05%, 10/15/2027		50,000		48,919
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047		50,000		52,136
Howard Hughes Medical Institute 3.50%, 9/1/2023		25,000		26,148
Humana, Inc.:
2.50%, 12/15/2020		25,000		25,001
2.63%, 10/1/2019		50,000		50,093
2.90%, 12/15/2022		150,000		150,048
4.80%, 3/15/2047		100,000		112,784
4.95%, 10/1/2044		50,000		57,692
Kaiser Foundation Hospitals 3.50%, 4/1/2022		50,000		51,402
Laboratory Corp. of America Holdings:
2.63%, 2/1/2020		25,000		25,057
3.25%, 9/1/2024		100,000		100,012
4.70%, 2/1/2045		25,000		27,325
Magellan Health, Inc. 4.40%, 9/22/2024		25,000		25,114
Memorial Sloan-Kettering Cancer Center 4.13%, 7/1/2052		25,000		26,425
Northwell Healthcare, Inc. 4.26%, 11/1/2047		50,000		51,044
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048		100,000		99,885
Quest Diagnostics, Inc.:
2.70%, 4/1/2019		25,000		25,128
4.70%, 3/30/2045		25,000		26,670
UnitedHealth Group, Inc.:
1.70%, 2/15/2019		25,000		24,903
2.13%, 3/15/2021		150,000		148,680
2.38%, 10/15/2022		100,000		98,982
2.70%, 7/15/2020		105,000		106,158
2.88%, 3/15/2022		25,000		25,298
3.10%, 3/15/2026		50,000		50,415
3.38%, 4/15/2027		100,000		102,857
3.75%, 7/15/2025		5,000		5,265
3.75%, 10/15/2047		50,000		51,015
4.25%, 4/15/2047		100,000		109,910
4.63%, 7/15/2035		200,000		234,354
4.75%, 7/15/2045		30,000		35,350
6.88%, 2/15/2038		25,000		36,215
				3,105,479
HOME BUILDERS — 0.0% (a)
DR Horton, Inc.:
2.55%, 12/1/2020		25,000		24,970
3.75%, 3/1/2019		10,000		10,149
4.00%, 2/15/2020		15,000		15,433
				50,552
HOME FURNISHINGS — 0.0% (a)
Whirlpool Corp. 4.50%, 6/1/2046		25,000		26,470
HOUSEHOLD PRODUCTS — 0.2%
Colgate-Palmolive Co.:
Series GMTN, 2.25%, 11/15/2022		30,000		29,702
Series MTN, 1.75%, 3/15/2019		25,000		24,923
Series MTN, 3.70%, 8/1/2047		55,000		56,256
Estee Lauder Cos., Inc. 1.80%, 2/7/2020		100,000		99,261
Procter & Gamble Co.:
1.70%, 11/3/2021		100,000		97,699
1.85%, 2/2/2021		50,000		49,439
2.15%, 8/11/2022		150,000		148,326
2.45%, 11/3/2026		150,000		144,684
3.50%, 10/25/2047		100,000		101,410
Unilever Capital Corp.:
1.38%, 7/28/2021		100,000		96,623
2.00%, 7/28/2026		100,000		92,308
2.90%, 5/5/2027		150,000		148,101
3.10%, 7/30/2025		50,000		50,725
				1,139,457
HOUSEHOLD PRODUCTS & WARES — 0.0% (a)
Clorox Co. 3.10%, 10/1/2027		50,000		50,001
Kimberly-Clark Corp.:
1.40%, 2/15/2019		25,000		24,818
2.75%, 2/15/2026		25,000		24,601
3.90%, 5/4/2047		50,000		52,884
				152,304
HOUSEWARES — 0.1%
Newell Brands, Inc.:
3.15%, 4/1/2021		50,000		50,539
3.85%, 4/1/2023		50,000		51,759
4.20%, 4/1/2026		50,000		52,270
5.38%, 4/1/2036		150,000		175,543
5.50%, 4/1/2046		50,000		59,686
				389,797
INSURANCE — 0.7%
Aflac, Inc. 3.63%, 6/15/2023		50,000		52,149
Alleghany Corp. 4.90%, 9/15/2044		50,000		53,980
Allstate Corp.:
4.20%, 12/15/2046		50,000		54,606
3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c)		25,000		27,287
American Financial Group, Inc.:
3.50%, 8/15/2026		15,000		14,899

See accompanying notes to financial statements.

34

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.50%, 6/15/2047	$	100,000	$	103,941
American International Group, Inc.:
2.30%, 7/16/2019		50,000		49,978
3.30%, 3/1/2021		300,000		305,937
3.88%, 1/15/2035		200,000		200,304
3.90%, 4/1/2026		30,000		31,156
4.50%, 7/16/2044		50,000		54,126
4.88%, 6/1/2022		50,000		54,348
Aon PLC:
3.50%, 6/14/2024		50,000		51,137
3.88%, 12/15/2025		150,000		156,768
Berkshire Hathaway Finance Corp. 1.70%, 3/15/2019		255,000		254,034
Berkshire Hathaway, Inc.:
2.20%, 3/15/2021		155,000		154,403
2.75%, 3/15/2023		50,000		50,313
3.00%, 2/11/2023		25,000		25,495
3.13%, 3/15/2026		55,000		55,563
4.50%, 2/11/2043		180,000		206,494
Brighthouse Financial, Inc.:
3.70%, 6/22/2027 (b)		150,000		147,298
4.70%, 6/22/2047 (b)		150,000		152,904
Chubb INA Holdings, Inc.:
2.88%, 11/3/2022		50,000		50,653
3.35%, 5/3/2026		50,000		51,035
4.15%, 3/13/2043		25,000		27,162
4.35%, 11/3/2045		125,000		141,122
CNA Financial Corp.:
3.45%, 8/15/2027		100,000		98,512
4.50%, 3/1/2026		25,000		26,742
First American Financial Corp. 4.60%, 11/15/2024		25,000		25,917
Hartford Financial Services Group, Inc. 5.13%, 4/15/2022		25,000		27,287
Lincoln National Corp. 6.30%, 10/9/2037		50,000		64,020
Loews Corp. 3.75%, 4/1/2026		50,000		51,806
Manulife Financial Corp. USD 5 year swap rate + 1.65% 4.06%, 2/24/2032 (c)		50,000		50,435
Markel Corp. 3.50%, 11/1/2027		50,000		49,536
Marsh & McLennan Cos., Inc.:
2.75%, 1/30/2022		30,000		30,065
3.30%, 3/14/2023		150,000		153,162
3.75%, 3/14/2026		25,000		26,123
Mercury General Corp. 4.40%, 3/15/2027		50,000		51,298
MetLife, Inc.:
3.60%, 4/10/2024		100,000		104,524
4.05%, 3/1/2045		150,000		157,284
6.40%, 12/15/2066		100,000		115,306
Series D, 4.37%, 9/15/2023		50,000		53,938
Principal Financial Group, Inc. 3 Month USD LIBOR + 3.04% 4.70%, 5/15/2055 (c)		75,000		76,752
Progressive Corp. 3.75%, 8/23/2021		50,000		52,101
Prudential Financial, Inc.:
3.94%, 12/7/2049 (b)		100,000		102,209
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c)		80,000		86,842
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (c)		170,000		172,222
Series MTN, 3.50%, 5/15/2024		50,000		51,958
Series MTN, 4.60%, 5/15/2044		75,000		85,098
Series MTN, 6.63%, 6/21/2040		25,000		35,282
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027		30,000		29,504
Travelers Cos., Inc 4.00%, 5/30/2047		80,000		85,110
Travelers Cos., Inc.:
3.75%, 5/15/2046		10,000		10,197
Series MTN, 6.25%, 6/15/2037		25,000		33,932
Trinity Acquisition PLC 4.40%, 3/15/2026		26,000		27,468
Voya Financial, Inc. 3.65%, 6/15/2026		50,000		50,563
Willis North America, Inc. 3.60%, 5/15/2024		50,000		50,776
XLIT, Ltd. 5.50%, 3/31/2045		125,000		133,684
				4,696,745
INTERNET — 0.4%
Alibaba Group Holding, Ltd.:
2.50%, 11/28/2019		200,000		200,514
3.13%, 11/28/2021		25,000		25,396
3.40%, 12/6/2027		200,000		199,874
3.60%, 11/28/2024		75,000		77,783
4.20%, 12/6/2047		60,000		62,423
Alphabet, Inc.:
2.00%, 8/15/2026		250,000		235,493
3.63%, 5/19/2021		50,000		52,263
Amazon.com, Inc.:
1.90%, 8/21/2020 (b)		165,000		163,759
2.40%, 2/22/2023 (b)		200,000		198,102
2.50%, 11/29/2022		25,000		24,969
2.60%, 12/5/2019		75,000		75,764
2.80%, 8/22/2024 (b)		100,000		99,718
3.15%, 8/22/2027 (b)		100,000		100,428
3.80%, 12/5/2024		30,000		31,735
3.88%, 8/22/2037 (b)		125,000		132,686
4.05%, 8/22/2047 (b)		25,000		26,841
4.25%, 8/22/2057 (b)		135,000		147,709
4.95%, 12/5/2044		125,000		151,736
5.20%, 12/3/2025		50,000		57,362
Baidu, Inc. 2.88%, 7/6/2022		250,000		247,730
eBay, Inc.:
2.75%, 1/30/2023		150,000		148,607

See accompanying notes to financial statements.

35

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
3.45%, 8/1/2024	$	25,000	$	25,350
3.80%, 3/9/2022		50,000		51,896
Expedia, Inc. 3.80%, 2/15/2028		50,000		48,315
				2,586,453
IRON/STEEL — 0.1%
Nucor Corp.:
4.00%, 8/1/2023		25,000		26,328
5.20%, 8/1/2043		50,000		59,996
Vale Overseas, Ltd.:
4.38%, 1/11/2022		25,000		25,888
5.88%, 6/10/2021		300,000		327,243
6.25%, 8/10/2026		150,000		174,015
8.25%, 1/17/2034		25,000		33,111
Vale SA 5.63%, 9/11/2042		50,000		54,788
				701,369
IT SERVICES — 0.7%
Apple, Inc.:
1.55%, 2/8/2019		100,000		99,597
1.55%, 2/7/2020		25,000		24,727
1.55%, 8/4/2021		50,000		48,569
1.70%, 2/22/2019		35,000		34,902
1.80%, 11/13/2019		250,000		248,975
2.25%, 2/23/2021		200,000		199,668
2.40%, 1/13/2023		200,000		198,438
2.40%, 5/3/2023		25,000		24,724
2.45%, 8/4/2026		200,000		191,832
2.50%, 2/9/2022		100,000		100,119
2.75%, 1/13/2025		200,000		198,366
2.85%, 5/6/2021		25,000		25,397
2.85%, 2/23/2023		250,000		252,955
2.85%, 5/11/2024		200,000		200,724
3.00%, 2/9/2024		100,000		101,275
3.00%, 11/13/2027		100,000		99,553
3.25%, 2/23/2026		150,000		153,024
3.75%, 9/12/2047		150,000		153,675
3.75%, 11/13/2047		200,000		205,622
3.85%, 5/4/2043		25,000		26,033
3.85%, 8/4/2046		150,000		156,156
4.38%, 5/13/2045		75,000		84,508
4.50%, 2/23/2036		100,000		114,599
4.65%, 2/23/2046		75,000		87,796
Dell International LLC/EMC Corp.:
3.48%, 6/1/2019 (b)		120,000		121,484
4.42%, 6/15/2021 (b)		50,000		52,152
5.45%, 6/15/2023 (b)		325,000		350,844
6.02%, 6/15/2026 (b)		20,000		22,041
8.35%, 7/15/2046 (b)		270,000		348,203
Hewlett Packard Enterprise Co.:
3.60%, 10/15/2020		10,000		10,200
4.90%, 10/15/2025		70,000		73,746
6.20%, 10/15/2035		10,000		10,887
6.35%, 10/15/2045		10,000		10,663
HP, Inc.:
4.05%, 9/15/2022		25,000		26,082
4.65%, 12/9/2021		50,000		53,215
IBM Credit LLC 2.20%, 9/8/2022		100,000		98,121
International Business Machines Corp.:
1.80%, 5/17/2019		100,000		99,679
2.25%, 2/19/2021		200,000		199,416
2.88%, 11/9/2022		100,000		101,093
3.63%, 2/12/2024		50,000		52,327
4.70%, 2/19/2046		25,000		29,488
5.88%, 11/29/2032		25,000		32,178
Seagate HDD Cayman:
4.25%, 3/1/2022 (b)		150,000		151,654
4.75%, 6/1/2023		50,000		51,041
				4,925,748
LEISURE TIME — 0.0% (a)
Royal Caribbean Cruises, Ltd. 3.70%, 3/15/2028		150,000		148,919
LODGING — 0.0% (a)
Marriott International, Inc.:
2.30%, 1/15/2022		150,000		147,310
2.88%, 3/1/2021		50,000		50,303
3.75%, 3/15/2025		25,000		25,627
Wyndham Worldwide Corp.:
4.15%, 4/1/2024		30,000		30,119
4.50%, 4/1/2027		35,000		35,597
				288,956
MACHINERY, CONSTRUCTION & MINING — 0.1%
Caterpillar Financial Services Corp.:
1.70%, 8/9/2021		150,000		146,167
Series GMTN, 1.85%, 9/4/2020		150,000		148,275
Series MTN, 1.35%, 5/18/2019		100,000		99,038
Series MTN, 2.10%, 1/10/2020		150,000		149,658
Series MTN, 3.75%, 11/24/2023		25,000		26,293
Caterpillar, Inc.:
3.80%, 8/15/2042		125,000		133,590
4.75%, 5/15/2064		25,000		29,479
				732,500
MACHINERY-DIVERSIFIED — 0.1%
CNH Industrial Capital LLC:
3.38%, 7/15/2019		15,000		15,147
3.88%, 10/15/2021		10,000		10,215
4.38%, 11/6/2020		15,000		15,556
4.38%, 4/5/2022		15,000		15,540
4.88%, 4/1/2021		15,000		15,751
CNH Industrial NV Series MTN, 3.85%, 11/15/2027		15,000		14,947
Deere & Co.:
2.60%, 6/8/2022		25,000		25,001

See accompanying notes to financial statements.

36

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
3.90%, 6/9/2042	$	225,000	$	243,358
John Deere Capital Corp.:
Series MTN, 1.95%, 1/8/2019		50,000		49,966
Series MTN, 2.15%, 9/8/2022		150,000		146,796
Series MTN, 2.38%, 7/14/2020		25,000		25,015
Series MTN, 2.80%, 3/6/2023		150,000		150,342
Series MTN, 3.40%, 9/11/2025		25,000		25,828
Roper Technologies, Inc.:
2.80%, 12/15/2021		50,000		50,085
3.80%, 12/15/2026		30,000		30,913
				834,460
MEDIA — 0.9%
21st Century Fox America, Inc.:
3.38%, 11/15/2026		100,000		102,060
3.70%, 10/15/2025		100,000		104,316
4.00%, 10/1/2023		100,000		105,774
5.40%, 10/1/2043		75,000		92,831
CBS Corp.:
2.30%, 8/15/2019		75,000		74,967
2.50%, 2/15/2023		50,000		48,723
2.90%, 1/15/2027		125,000		117,249
3.70%, 6/1/2028 (b)		50,000		49,154
Charter Communications Operating LLC/Charter Communications Operating Capital:
3.58%, 7/23/2020		65,000		66,007
4.46%, 7/23/2022		150,000		156,726
4.91%, 7/23/2025		50,000		53,109
5.38%, 5/1/2047		150,000		154,714
6.48%, 10/23/2045		185,000		216,679
Comcast Corp.:
2.75%, 3/1/2023		175,000		175,485
3.00%, 2/1/2024		350,000		352,720
3.15%, 3/1/2026		225,000		226,485
3.15%, 2/15/2028		200,000		200,692
3.20%, 7/15/2036		250,000		239,277
3.30%, 2/1/2027		150,000		153,039
3.40%, 7/15/2046		100,000		94,406
3.60%, 3/1/2024		25,000		26,049
4.00%, 11/1/2049		69,000		70,615
4.05%, 11/1/2052		150,000		153,568
4.20%, 8/15/2034		100,000		107,045
4.25%, 1/15/2033		50,000		54,186
4.65%, 7/15/2042		75,000		84,806
Discovery Communications LLC:
2.95%, 3/20/2023		275,000		271,983
3.25%, 4/1/2023		25,000		24,961
3.80%, 3/13/2024		100,000		101,447
3.95%, 3/20/2028		30,000		29,765
4.95%, 5/15/2042		50,000		50,023
5.00%, 9/20/2037		170,000		175,867
5.20%, 9/20/2047		30,000		31,262
Grupo Televisa SAB:
5.00%, 5/13/2045		50,000		50,955
6.13%, 1/31/2046		100,000		118,500
NBCUniversal Media LLC 5.15%, 4/30/2020		50,000		53,276
Thomson Reuters Corp.:
3.35%, 5/15/2026		50,000		49,617
3.85%, 9/29/2024		25,000		25,892
Time Warner Cable LLC:
4.00%, 9/1/2021		25,000		25,704
4.50%, 9/15/2042		100,000		93,439
5.00%, 2/1/2020		100,000		104,292
5.50%, 9/1/2041		175,000		182,514
5.88%, 11/15/2040		50,000		54,349
6.75%, 6/15/2039		50,000		59,681
Time Warner, Inc.:
3.55%, 6/1/2024		25,000		25,375
3.60%, 7/15/2025		300,000		300,408
3.80%, 2/15/2027		150,000		149,920
4.65%, 6/1/2044		25,000		25,328
4.85%, 7/15/2045		50,000		52,510
6.50%, 11/15/2036		50,000		63,100
Viacom, Inc.:
4.25%, 9/1/2023		100,000		102,274
4.38%, 3/15/2043		25,000		21,617
5.85%, 9/1/2043		200,000		206,888
Walt Disney Co.:
2.30%, 2/12/2021		200,000		199,914
3.00%, 2/13/2026		50,000		50,177
Series GMTN, 3.15%, 9/17/2025		25,000		25,460
Series MTN, 0.88%, 7/12/2019		25,000		24,544
Series MTN, 1.80%, 6/5/2020		250,000		247,973
Series MTN, 3.00%, 7/30/2046		75,000		67,102
Series MTN, 5.50%, 3/15/2019		25,000		26,011
				6,372,810
METAL FABRICATE & HARDWARE — 0.0% (a)
Precision Castparts Corp. 2.50%, 1/15/2023		75,000		74,561
MINING — 0.2%
Barrick Gold Corp. 5.25%, 4/1/2042		25,000		29,259
Barrick North America Finance LLC 4.40%, 5/30/2021		7,000		7,424
BHP Billiton Finance USA, Ltd.:
4.13%, 2/24/2042		125,000		134,860
5.00%, 9/30/2043		50,000		61,224
Goldcorp, Inc. 3.70%, 3/15/2023		50,000		51,258
Newmont Mining Corp.:
3.50%, 3/15/2022		25,000		25,508
4.88%, 3/15/2042		50,000		55,334
Rio Tinto Finance USA PLC 4.13%, 8/21/2042		25,000		27,050
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025		250,000		262,080

See accompanying notes to financial statements.

37

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Southern Copper Corp. 5.88%, 4/23/2045	$	357,000	$	432,034
				1,086,031
MISCELLANEOUS MANUFACTURER — 0.3%
3M Co.:
2.88%, 10/15/2027		225,000		223,533
Series MTN, 1.63%, 6/15/2019		25,000		24,873
Series MTN, 2.00%, 8/7/2020		100,000		99,730
Series MTN, 3.63%, 10/15/2047		25,000		25,581
Eaton Corp.:
3.10%, 9/15/2027		100,000		98,207
4.15%, 11/2/2042		25,000		25,914
General Electric Co.:
2.70%, 10/9/2022		250,000		249,517
4.13%, 10/9/2042		225,000		235,519
4.50%, 3/11/2044		250,000		277,022
5.30%, 2/11/2021		25,000		26,933
Series GMTN, 2.20%, 1/9/2020		200,000		199,500
Series GMTN, 2.30%, 1/14/2019		25,000		25,036
Series GMTN, 3.45%, 5/15/2024		50,000		51,557
Series MTN, 4.65%, 10/17/2021		50,000		53,631
Series MTN, 5.88%, 1/14/2038		50,000		64,648
Illinois Tool Works, Inc.:
1.95%, 3/1/2019		25,000		24,957
3.90%, 9/1/2042		25,000		26,720
Ingersoll-Rand Global Holding Co., Ltd. 5.75%, 6/15/2043		25,000		31,547
Parker-Hannifin Corp. Series MTN, 3.30%, 11/21/2024		50,000		51,262
Textron, Inc. 4.00%, 3/15/2026		50,000		52,079
				1,867,766
OFFICE & BUSINESS EQUIPMENT — 0.0% (a)
Pitney Bowes, Inc. 4.13%, 5/15/2022		50,000		46,069
Xerox Corp.:
3.50%, 8/20/2020		50,000		50,611
3.63%, 3/15/2023		50,000		48,891
				145,571
OIL & GAS — 1.8%
Anadarko Petroleum Corp.:
3.45%, 7/15/2024		50,000		49,832
6.20%, 3/15/2040		25,000		30,184
6.60%, 3/15/2046		300,000		384,390
Andeavor:
3.80%, 4/1/2028		30,000		30,140
4.50%, 4/1/2048		25,000		25,335
5.13%, 12/15/2026 (b)		150,000		164,646
Apache Corp.:
4.75%, 4/15/2043		25,000		25,986
6.00%, 1/15/2037		50,000		59,256
BP Capital Markets PLC:
2.24%, 5/10/2019		25,000		25,038
2.32%, 2/13/2020		50,000		50,166
2.52%, 9/19/2022		250,000		248,778
3.02%, 1/16/2027		200,000		198,144
3.06%, 3/17/2022		200,000		204,476
3.22%, 4/14/2024		200,000		205,146
3.81%, 2/10/2024		150,000		158,244
Canadian Natural Resources, Ltd.:
2.95%, 1/15/2023		250,000		248,697
3.45%, 11/15/2021		25,000		25,616
3.85%, 6/1/2027		50,000		50,978
3.90%, 2/1/2025		25,000		25,740
Series GMTN, 4.95%, 6/1/2047		100,000		112,195
Cenovus Energy, Inc.:
3.00%, 8/15/2022		20,000		19,825
4.25%, 4/15/2027		50,000		49,845
4.45%, 9/15/2042		45,000		41,848
5.25%, 6/15/2037		100,000		103,035
5.40%, 6/15/2047		50,000		52,575
5.70%, 10/15/2019		30,000		31,519
Chevron Corp.:
1.56%, 5/16/2019		75,000		74,551
1.96%, 3/3/2020		250,000		249,010
1.99%, 3/3/2020		250,000		249,212
2.10%, 5/16/2021		250,000		248,285
2.42%, 11/17/2020		75,000		75,435
2.90%, 3/3/2024		150,000		151,338
2.95%, 5/16/2026		50,000		49,962
3.19%, 6/24/2023		25,000		25,671
Cimarex Energy Co. 3.90%, 5/15/2027		50,000		51,202
CNOOC Finance 2015 Australia Pty, Ltd. 2.63%, 5/5/2020		50,000		49,878
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025		300,000		303,099
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044		100,000		113,132
Concho Resources, Inc. 3.75%, 10/1/2027		50,000		50,530
ConocoPhillips 6.50%, 2/1/2039		75,000		104,629
ConocoPhillips Co.:
2.20%, 5/15/2020		50,000		50,185
4.20%, 3/15/2021		200,000		210,194
4.95%, 3/15/2026		200,000		226,572
ConocoPhillips Holding Co. 6.95%, 4/15/2029		50,000		65,837
Devon Energy Corp.:
3.25%, 5/15/2022		50,000		50,881
5.00%, 6/15/2045		25,000		27,973
5.85%, 12/15/2025		50,000		58,377
Ecopetrol SA:
4.13%, 1/16/2025		100,000		100,905

See accompanying notes to financial statements.

38

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
5.88%, 5/28/2045	$	25,000	$	25,688
7.38%, 9/18/2043		50,000		60,232
Encana Corp. 3.90%, 11/15/2021		25,000		25,688
EOG Resources, Inc.:
2.63%, 3/15/2023		100,000		99,096
3.90%, 4/1/2035		25,000		25,686
EQT Corp.:
2.50%, 10/1/2020		250,000		248,555
3.00%, 10/1/2022		250,000		247,313
3.90%, 10/1/2027		100,000		99,660
Exxon Mobil Corp.:
1.71%, 3/1/2019		250,000		249,315
2.22%, 3/1/2021		200,000		199,834
2.73%, 3/1/2023		150,000		151,018
4.11%, 3/1/2046		125,000		139,072
Hess Corp.:
5.60%, 2/15/2041		75,000		80,668
5.80%, 4/1/2047		250,000		277,920
Marathon Oil Corp.:
2.80%, 11/1/2022		25,000		24,704
4.40%, 7/15/2027		50,000		52,097
5.20%, 6/1/2045		50,000		54,940
Marathon Petroleum Corp. 3.63%, 9/15/2024		50,000		51,077
Nexen Energy ULC 5.88%, 3/10/2035		100,000		122,765
Noble Energy, Inc. 5.25%, 11/15/2043		50,000		55,135
Occidental Petroleum Corp.:
2.60%, 4/15/2022		100,000		100,166
4.40%, 4/15/2046		125,000		138,095
Series 1, 4.10%, 2/1/2021		25,000		26,157
Petro-Canada 5.35%, 7/15/2033		25,000		29,440
Petroleos Mexicanos:
2.46%, 12/15/2025		20,000		19,783
3.50%, 7/23/2020		225,000		227,873
3.50%, 1/30/2023		25,000		24,505
4.25%, 1/15/2025		25,000		24,911
4.50%, 1/23/2026		75,000		74,887
4.63%, 9/21/2023		75,000		77,319
5.38%, 3/13/2022 (b)		50,000		53,096
5.50%, 2/4/2019		50,000		51,607
6.38%, 1/23/2045		250,000		252,383
6.50%, 3/13/2027 (b)		150,000		164,463
6.50%, 3/13/2027 (b)		100,000		109,589
6.75%, 9/21/2047		298,000		312,107
6.75%, 9/21/2047 (b)		150,000		156,454
6.88%, 8/4/2026		250,000		283,208
Phillips 66:
4.30%, 4/1/2022		35,000		37,178
4.88%, 11/15/2044		50,000		57,142
Pioneer Natural Resources Co. 4.45%, 1/15/2026		50,000		53,696
Shell International Finance B.V.:
1.38%, 5/10/2019		25,000		24,773
1.88%, 5/10/2021		250,000		245,982
2.13%, 5/11/2020		100,000		99,771
2.25%, 11/10/2020		200,000		199,772
2.50%, 9/12/2026		150,000		145,174
3.25%, 5/11/2025		100,000		102,699
4.00%, 5/10/2046		50,000		53,156
4.13%, 5/11/2035		75,000		82,186
4.30%, 9/22/2019		25,000		25,911
4.38%, 5/11/2045		250,000		281,100
5.50%, 3/25/2040		25,000		31,861
Statoil ASA:
2.65%, 1/15/2024		75,000		74,751
3.70%, 3/1/2024		100,000		105,064
3.95%, 5/15/2043		50,000		52,234
4.80%, 11/8/2043		30,000		35,217
Suncor Energy, Inc.:
3.60%, 12/1/2024		25,000		25,600
4.00%, 11/15/2047		70,000		71,592
6.50%, 6/15/2038		50,000		67,484
Total Capital International SA:
2.10%, 6/19/2019		250,000		249,958
3.75%, 4/10/2024		25,000		26,466
Valero Energy Corp.:
3.40%, 9/15/2026		50,000		50,122
6.13%, 2/1/2020		25,000		26,823
6.63%, 6/15/2037		250,000		331,250
				12,181,960
OIL & GAS SERVICES — 0.1%
Baker Hughes a GE Co. LLC 3.20%, 8/15/2021		8,000		8,160
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.:
2.77%, 12/15/2022 (b)		200,000		199,974
3.34%, 12/15/2027 (b)		50,000		49,974
4.08%, 12/15/2047 (b)		150,000		153,154
Halliburton Co.:
4.85%, 11/15/2035		150,000		167,229
5.00%, 11/15/2045		35,000		40,147
7.45%, 9/15/2039		25,000		36,024
National Oilwell Varco, Inc. 2.60%, 12/1/2022		75,000		73,272
				727,934
PACKAGING & CONTAINERS — 0.0% (a)
Bemis Co., Inc. 3.10%, 9/15/2026		50,000		48,244
Packaging Corp. of America:
2.45%, 12/15/2020		35,000		35,047
3.40%, 12/15/2027		35,000		35,168
WestRock Co. 3.38%, 9/15/2027 (b)		100,000		99,105
				217,564
PHARMACEUTICALS — 1.2%
AbbVie, Inc.:
2.30%, 5/14/2021		325,000		322,777

See accompanying notes to financial statements.

39

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
2.50%, 5/14/2020	$	25,000	$	25,070
2.90%, 11/6/2022		25,000		25,070
3.20%, 5/14/2026		200,000		199,500
4.30%, 5/14/2036		50,000		53,810
4.40%, 11/6/2042		50,000		53,627
4.45%, 5/14/2046		150,000		162,810
4.50%, 5/14/2035		50,000		54,885
Allergan Funding SCS:
3.00%, 3/12/2020		75,000		75,673
3.45%, 3/15/2022		200,000		203,144
3.80%, 3/15/2025		75,000		76,331
3.85%, 6/15/2024		50,000		51,362
4.55%, 3/15/2035		100,000		105,252
4.75%, 3/15/2045		75,000		79,979
AmerisourceBergen Corp. 3.45%, 12/15/2027		50,000		49,558
AstraZeneca PLC:
2.38%, 6/12/2022		400,000		394,900
3.38%, 11/16/2025		35,000		35,654
4.00%, 9/18/2042		25,000		25,466
6.45%, 9/15/2037		25,000		33,973
Bristol-Myers Squibb Co.:
1.75%, 3/1/2019		25,000		24,915
3.25%, 2/27/2027		250,000		257,003
3.25%, 8/1/2042		50,000		48,228
Cardinal Health, Inc.:
2.40%, 11/15/2019		50,000		49,889
2.62%, 6/15/2022		150,000		147,460
3.08%, 6/15/2024		250,000		246,157
3.41%, 6/15/2027		50,000		49,031
4.90%, 9/15/2045		25,000		26,922
Eli Lilly & Co.:
2.35%, 5/15/2022		50,000		49,891
3.10%, 5/15/2027		24,000		24,361
5.55%, 3/15/2037		25,000		31,953
Express Scripts Holding Co.:
2.25%, 6/15/2019		25,000		24,950
3.00%, 7/15/2023		150,000		149,497
3.30%, 2/25/2021		25,000		25,383
4.50%, 2/25/2026		75,000		79,479
4.80%, 7/15/2046		150,000		159,528
6.13%, 11/15/2041		25,000		30,599
GlaxoSmithKline Capital, Inc.:
2.80%, 3/18/2023		25,000		25,241
4.20%, 3/18/2043		25,000		27,578
6.38%, 5/15/2038		50,000		70,592
Johnson & Johnson:
1.65%, 3/1/2021		50,000		49,161
2.25%, 3/3/2022		250,000		249,582
2.45%, 3/1/2026		30,000		29,256
3.38%, 12/5/2023		25,000		26,124
3.55%, 3/1/2036		150,000		156,207
3.63%, 3/3/2037		200,000		211,136
3.70%, 3/1/2046		50,000		52,896
3.75%, 3/3/2047		100,000		106,612
4.50%, 12/5/2043		50,000		58,790
McKesson Corp.:
2.28%, 3/15/2019		75,000		75,002
2.85%, 3/15/2023		25,000		24,901
4.88%, 3/15/2044		25,000		27,055
Mead Johnson Nutrition Co. 4.60%, 6/1/2044		25,000		27,914
Merck & Co., Inc.:
2.35%, 2/10/2022		50,000		49,916
2.40%, 9/15/2022		25,000		24,907
2.75%, 2/10/2025		325,000		324,012
3.60%, 9/15/2042		25,000		25,472
3.70%, 2/10/2045		50,000		52,121
Mylan NV:
3.15%, 6/15/2021		380,000		381,946
5.25%, 6/15/2046		250,000		273,553
Novartis Capital Corp.:
1.80%, 2/14/2020		175,000		173,820
2.40%, 5/17/2022		300,000		299,244
3.00%, 11/20/2025		25,000		25,261
3.10%, 5/17/2027		30,000		30,531
3.40%, 5/6/2024		25,000		26,007
4.00%, 11/20/2045		50,000		54,176
Novartis Securities Investment, Ltd. 5.13%, 2/10/2019		25,000		25,805
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026		50,000		51,323
Pfizer, Inc.:
1.45%, 6/3/2019		100,000		99,220
2.10%, 5/15/2019		25,000		25,027
2.20%, 12/15/2021		200,000		198,934
3.00%, 12/15/2026		150,000		151,023
3.40%, 5/15/2024		25,000		26,031
4.00%, 12/15/2036		150,000		164,688
7.20%, 3/15/2039		75,000		114,921
Sanofi 4.00%, 3/29/2021		25,000		26,314
Shire Acquisitions Investments Ireland DAC:
1.90%, 9/23/2019		150,000		148,603
2.40%, 9/23/2021		50,000		49,190
2.88%, 9/23/2023		100,000		98,161
3.20%, 9/23/2026		30,000		29,308
Teva Pharmaceutical Finance IV LLC 2.25%, 3/18/2020		25,000		24,181
Teva Pharmaceutical Finance Netherlands III B.V.:
1.70%, 7/19/2019		200,000		194,324
2.20%, 7/21/2021		50,000		45,782
2.80%, 7/21/2023		200,000		174,226
3.15%, 10/1/2026		25,000		20,646
4.10%, 10/1/2046		25,000		19,079
Wyeth LLC 6.00%, 2/15/2036		25,000		33,258
Zoetis, Inc.:
3.00%, 9/12/2027		50,000		48,864

See accompanying notes to financial statements.

40

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.70%, 2/1/2043	$	25,000	$	28,013
				8,210,021
PIPELINES — 0.9%
Andeavor Logistics L.P./Tesoro Logistics Finance Corp.:
3.50%, 12/1/2022		75,000		74,484
5.20%, 12/1/2047		100,000		103,854
Buckeye Partners L.P.:
4.13%, 12/1/2027		50,000		49,434
4.88%, 2/1/2021		25,000		26,158
Columbia Pipeline Group, Inc. 3.30%, 6/1/2020		150,000		152,038
Enable Midstream Partners L.P. 4.40%, 3/15/2027		50,000		50,929
Enbridge Energy Partners L.P. 4.20%, 9/15/2021		25,000		25,998
Enbridge, Inc.:
2.90%, 7/15/2022		50,000		49,728
3.70%, 7/15/2027		50,000		50,193
4.25%, 12/1/2026		50,000		52,433
Energy Transfer L.P.:
4.20%, 4/15/2027		50,000		49,866
4.75%, 1/15/2026		225,000		233,766
5.15%, 2/1/2043		25,000		24,241
5.15%, 3/15/2045		225,000		218,812
5.20%, 2/1/2022		100,000		106,841
EnLink Midstream Partners L.P.:
4.85%, 7/15/2026		25,000		26,111
5.45%, 6/1/2047		50,000		52,557
Enterprise Products Operating LLC:
2.85%, 4/15/2021		75,000		75,595
3.75%, 2/15/2025		75,000		77,272
3.95%, 2/15/2027		200,000		208,194
4.85%, 3/15/2044		50,000		54,741
4.90%, 5/15/2046		50,000		55,406
5.10%, 2/15/2045		200,000		226,962
3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c)		150,000		148,511
Series N, 6.50%, 1/31/2019		25,000		26,059
Kinder Morgan Energy Partners L.P.:
3.50%, 3/1/2021		25,000		25,440
5.40%, 9/1/2044		25,000		26,380
Kinder Morgan, Inc.:
3.05%, 12/1/2019		225,000		226,971
3.15%, 1/15/2023		200,000		198,822
4.30%, 6/1/2025		50,000		51,993
5.05%, 2/15/2046		50,000		51,735
5.30%, 12/1/2034		200,000		213,118
5.55%, 6/1/2045		150,000		163,917
Magellan Midstream Partners L.P.:
4.20%, 10/3/2047		50,000		50,304
5.00%, 3/1/2026		50,000		55,616
MPLX L.P.:
4.88%, 6/1/2025		50,000		53,604
5.20%, 3/1/2047		100,000		109,104
ONEOK Partners L.P. 3.38%, 10/1/2022		25,000		25,191
ONEOK, Inc.:
4.00%, 7/13/2027		30,000		30,416
4.95%, 7/13/2047		150,000		156,703
Phillips 66 Partners L.P.:
3.55%, 10/1/2026		10,000		9,923
4.90%, 10/1/2046		10,000		10,561
3.75%, 3/1/2028		25,000		24,977
Plains All American Pipeline L.P./PAA Finance Corp.:
3.60%, 11/1/2024		25,000		24,343
4.50%, 12/15/2026		50,000		50,845
4.65%, 10/15/2025		50,000		51,474
4.70%, 6/15/2044		25,000		23,400
Sabine Pass Liquefaction LLC:
4.20%, 3/15/2028		100,000		101,528
5.63%, 2/1/2021		95,000		101,682
5.63%, 3/1/2025		200,000		220,836
5.75%, 5/15/2024		75,000		83,029
5.88%, 6/30/2026		250,000		280,858
Sunoco Logistics Partners Operations L.P.:
4.00%, 10/1/2027		50,000		49,052
5.30%, 4/1/2044		25,000		24,671
5.35%, 5/15/2045		25,000		24,749
5.40%, 10/1/2047		150,000		151,408
TransCanada PipeLines, Ltd.:
2.50%, 8/1/2022		100,000		99,310
4.63%, 3/1/2034		250,000		279,055
7.63%, 1/15/2039		25,000		37,750
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026		200,000		256,692
Western Gas Partners L.P. 5.45%, 4/1/2044		25,000		26,521
Williams Partners L.P.:
3.60%, 3/15/2022		100,000		102,081
3.90%, 1/15/2025		50,000		51,108
5.10%, 9/15/2045		125,000		136,794
5.25%, 3/15/2020		25,000		26,424
				5,908,568
REAL ESTATE — 0.0% (a)
CBRE Services, Inc. 4.88%, 3/1/2026		50,000		54,231
Prologis L.P.:
3.75%, 11/1/2025		50,000		52,399
4.25%, 8/15/2023		150,000		160,768
				267,398
REAL ESTATE INVESTMENT TRUSTS — 0.7%
Alexandria Real Estate Equities, Inc. 3.45%, 4/30/2025		100,000		99,687

See accompanying notes to financial statements.

41

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
American Campus Communities Operating Partnership L.P. 3.63%, 11/15/2027	$	30,000	$	29,780
American Tower Corp.:
2.25%, 1/15/2022		100,000		97,314
3.00%, 6/15/2023		250,000		249,412
3.13%, 1/15/2027		100,000		96,366
3.38%, 10/15/2026		75,000		73,697
3.40%, 2/15/2019		25,000		25,277
3.50%, 1/31/2023		50,000		51,030
AvalonBay Communities, Inc.:
Series GMTN, 2.95%, 9/15/2022		25,000		25,231
Series GMTN, 2.95%, 5/11/2026		50,000		49,047
Series MTN, 3.20%, 1/15/2028		40,000		39,841
Series MTN, 3.90%, 10/15/2046		50,000		49,994
Boston Properties L.P.:
2.75%, 10/1/2026		150,000		141,841
3.65%, 2/1/2026		100,000		101,684
3.85%, 2/1/2023		75,000		78,250
Brixmor Operating Partnership L.P.:
3.65%, 6/15/2024		50,000		49,556
4.13%, 6/15/2026		50,000		50,451
CBL & Associates L.P. 5.95%, 12/15/2026		50,000		46,560
Crown Castle International Corp.:
3.70%, 6/15/2026		15,000		15,042
4.00%, 3/1/2027		20,000		20,432
4.75%, 5/15/2047		100,000		105,700
5.25%, 1/15/2023		100,000		109,463
DDR Corp.:
3.50%, 1/15/2021		25,000		25,348
3.90%, 8/15/2024		50,000		50,389
Digital Realty Trust L.P.:
2.75%, 2/1/2023		125,000		123,812
3.70%, 8/15/2027		150,000		151,089
3.95%, 7/1/2022		25,000		26,117
EPR Properties 4.50%, 6/1/2027		50,000		50,340
ERP Operating L.P.:
2.38%, 7/1/2019		50,000		50,132
4.00%, 8/1/2047		50,000		51,035
Essex Portfolio L.P. 3.63%, 5/1/2027		50,000		50,277
Federal Realty Investment Trust 3.25%, 7/15/2027		50,000		49,583
HCP, Inc.:
2.63%, 2/1/2020		25,000		25,093
3.88%, 8/15/2024		50,000		51,230
Healthcare Trust of America Holdings L.P.:
2.95%, 7/1/2022		175,000		174,545
3.50%, 8/1/2026		25,000		24,578
Highwoods Realty L.P. 3.88%, 3/1/2027		50,000		50,130
Hospitality Properties Trust:
4.50%, 6/15/2023		25,000		26,136
4.95%, 2/15/2027		70,000		73,806
Host Hotels & Resorts L.P. 3.88%, 4/1/2024		50,000		50,728
Kilroy Realty L.P. 3.45%, 12/15/2024		50,000		49,777
Kimco Realty Corp.:
2.80%, 10/1/2026		50,000		47,233
3.30%, 2/1/2025		40,000		39,693
3.80%, 4/1/2027		25,000		25,256
Mid-America Apartments L.P. 3.60%, 6/1/2027		50,000		50,034
National Retail Properties, Inc. 3.60%, 12/15/2026		50,000		49,441
Omega Healthcare Investors, Inc. 4.38%, 8/1/2023		150,000		151,949
Physicians Realty L.P. 3.95%, 1/15/2028		100,000		98,852
Public Storage 2.37%, 9/15/2022		125,000		123,295
Realty Income Corp.:
3.65%, 1/15/2028		100,000		100,765
4.13%, 10/15/2026		50,000		52,063
Regency Centers L.P. 4.40%, 2/1/2047		150,000		155,236
Sabra Health Care L.P. 5.13%, 8/15/2026		25,000		25,430
Select Income REIT 4.25%, 5/15/2024		50,000		49,587
Simon Property Group L.P.:
2.50%, 7/15/2021		350,000		350,518
2.63%, 6/15/2022		100,000		99,794
4.25%, 11/30/2046		50,000		52,718
Tanger Properties L.P. 3.88%, 7/15/2027		50,000		49,809
UDR, Inc.:
Series MTN, 2.95%, 9/1/2026		25,000		23,971
Series MTN, 3.50%, 7/1/2027		50,000		49,974
Ventas Realty L.P.:
3.10%, 1/15/2023		50,000		49,971
3.85%, 4/1/2027		100,000		101,824
4.38%, 2/1/2045		75,000		77,090
VEREIT Operating Partnership L.P.:
3.00%, 2/6/2019		10,000		10,040
3.95%, 8/15/2027		40,000		39,458
4.13%, 6/1/2021		5,000		5,190
4.60%, 2/6/2024		5,000		5,218
4.88%, 6/1/2026		10,000		10,587
Vornado Realty L.P. 3.50%, 1/15/2025		50,000		49,979
Welltower, Inc.:
4.00%, 6/1/2025		175,000		181,034
5.25%, 1/15/2022		50,000		54,318

See accompanying notes to financial statements.

42

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Weyerhaeuser Co. 4.63%, 9/15/2023	$	25,000	$	26,956
				4,967,083
RETAIL — 0.8%
AutoNation, Inc. 3.35%, 1/15/2021		25,000		25,346
AutoZone, Inc. 3.75%, 6/1/2027		100,000		101,477
Costco Wholesale Corp. 2.30%, 5/18/2022		150,000		148,830
CVS Health Corp.:
2.13%, 6/1/2021		100,000		97,709
2.80%, 7/20/2020		20,000		20,074
2.88%, 6/1/2026		210,000		201,461
3.38%, 8/12/2024		25,000		25,160
3.88%, 7/20/2025		20,000		20,601
4.00%, 12/5/2023		25,000		26,005
4.88%, 7/20/2035		45,000		49,738
5.13%, 7/20/2045		185,000		211,988
Darden Restaurants, Inc. 3.85%, 5/1/2027		15,000		15,271
Dollar General Corp. 4.15%, 11/1/2025		25,000		26,476
Home Depot, Inc.:
2.00%, 6/15/2019		25,000		25,004
2.00%, 4/1/2021		100,000		99,083
2.13%, 9/15/2026		150,000		140,434
2.63%, 6/1/2022		150,000		150,804
3.00%, 4/1/2026		50,000		50,133
3.75%, 2/15/2024		25,000		26,412
3.90%, 6/15/2047		200,000		210,982
4.25%, 4/1/2046		35,000		39,122
5.95%, 4/1/2041		50,000		67,579
Kohl’s Corp. 5.55%, 7/17/2045		20,000		19,541
Lowe’s Cos., Inc.:
1.15%, 4/15/2019		200,000		197,732
2.50%, 4/15/2026		50,000		48,125
3.10%, 5/3/2027		200,000		200,852
3.38%, 9/15/2025		25,000		25,765
3.70%, 4/15/2046		50,000		50,187
4.05%, 5/3/2047		150,000		159,730
4.25%, 9/15/2044		25,000		27,137
4.38%, 9/15/2045		25,000		27,663
4.65%, 4/15/2042		25,000		28,540
Macy’s Retail Holdings, Inc.:
3.63%, 6/1/2024		25,000		24,147
4.50%, 12/15/2034		50,000		43,073
McDonald’s Corp.:
Series MTN, 1.88%, 5/29/2019		25,000		24,905
Series MTN, 2.75%, 12/9/2020		25,000		25,261
Series MTN, 3.50%, 3/1/2027		50,000		51,484
Series MTN, 3.70%, 1/30/2026		75,000		78,106
Series MTN, 4.45%, 3/1/2047		100,000		109,256
Series MTN, 4.70%, 12/9/2035		150,000		170,130
Series MTN, 4.88%, 12/9/2045		100,000		115,677
O’Reilly Automotive, Inc. 3.60%, 9/1/2027		50,000		50,145
QVC, Inc. 5.45%, 8/15/2034		50,000		50,097
Starbucks Corp.:
2.20%, 11/22/2020		100,000		99,933
3.85%, 10/1/2023		25,000		26,570
Target Corp.:
2.30%, 6/26/2019		275,000		276,034
2.50%, 4/15/2026		50,000		48,060
4.00%, 7/1/2042		50,000		51,674
TJX Cos., Inc. 2.25%, 9/15/2026		50,000		46,912
Walgreen Co. 3.10%, 9/15/2022		25,000		25,207
Walgreens Boots Alliance, Inc.:
3.30%, 11/18/2021		200,000		203,570
4.50%, 11/18/2034		25,000		26,167
4.65%, 6/1/2046		25,000		26,401
Wal-Mart Stores, Inc.:
1.75%, 10/9/2019		250,000		249,065
1.90%, 12/15/2020		250,000		248,353
2.65%, 12/15/2024		150,000		149,628
3.30%, 4/22/2024		325,000		337,860
3.63%, 12/15/2047		250,000		262,085
				5,384,761
SEMICONDUCTORS — 0.3%
Applied Materials, Inc.:
3.90%, 10/1/2025		25,000		26,545
4.35%, 4/1/2047		100,000		112,187
5.10%, 10/1/2035		50,000		60,370
Broadcom Corp./Broadcom Cayman Finance, Ltd.:
2.38%, 1/15/2020 (b)		100,000		99,311
3.00%, 1/15/2022 (b)		100,000		99,136
3.63%, 1/15/2024 (b)		100,000		99,471
3.88%, 1/15/2027 (b)		100,000		98,653
Intel Corp.:
2.35%, 5/11/2022		50,000		49,851
2.45%, 7/29/2020		100,000		100,877
2.60%, 5/19/2026		225,000		219,917
2.88%, 5/11/2024		200,000		201,760
3.15%, 5/11/2027		200,000		203,832
3.30%, 10/1/2021		25,000		25,885
4.10%, 5/19/2046		20,000		21,981
4.10%, 5/11/2047		100,000		110,471
Lam Research Corp. 2.75%, 3/15/2020		25,000		25,171
NVIDIA Corp. 3.20%, 9/16/2026		50,000		50,158
QUALCOMM, Inc.:
2.10%, 5/20/2020		15,000		14,932
2.25%, 5/20/2020		150,000		149,064
2.60%, 1/30/2023		200,000		194,936
2.90%, 5/20/2024		50,000		48,794
3.25%, 5/20/2027		50,000		48,792
3.45%, 5/20/2025		50,000		49,992

See accompanying notes to financial statements.

43

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.30%, 5/20/2047	$	50,000	$	50,419
4.80%, 5/20/2045		25,000		27,063
Texas Instruments, Inc. 2.90%, 11/3/2027		70,000		69,436
Xilinx, Inc. 2.95%, 6/1/2024		50,000		49,685
				2,308,689
SOFTWARE — 0.9%
Activision Blizzard, Inc.:
2.30%, 9/15/2021		250,000		246,942
4.50%, 6/15/2047		150,000		157,959
Adobe Systems, Inc. 3.25%, 2/1/2025		25,000		25,654
Autodesk, Inc. 3.50%, 6/15/2027		50,000		49,296
Electronic Arts, Inc. 3.70%, 3/1/2021		25,000		25,753
Fidelity National Information Services, Inc.:
3.00%, 8/15/2026		200,000		193,550
3.63%, 10/15/2020		28,000		28,772
3.88%, 6/5/2024		7,000		7,293
Fiserv, Inc. 2.70%, 6/1/2020		100,000		100,668
Microsoft Corp.:
1.10%, 8/8/2019		100,000		98,664
1.55%, 8/8/2021		200,000		194,790
1.85%, 2/6/2020		250,000		248,878
2.00%, 11/3/2020		150,000		149,394
2.00%, 8/8/2023		50,000		48,552
2.40%, 2/6/2022		300,000		300,006
2.40%, 8/8/2026		200,000		192,780
3.13%, 11/3/2025		50,000		51,077
3.30%, 2/6/2027		280,000		289,047
3.45%, 8/8/2036		50,000		51,518
3.63%, 12/15/2023		25,000		26,342
3.70%, 8/8/2046		200,000		208,480
3.95%, 8/8/2056		75,000		80,428
4.00%, 2/12/2055		75,000		80,785
4.10%, 2/6/2037		250,000		279,080
4.20%, 11/3/2035		65,000		73,449
4.45%, 11/3/2045		25,000		29,299
4.50%, 2/6/2057		250,000		295,327
5.20%, 6/1/2039		50,000		63,151
Series 30Y, 4.25%, 2/6/2047		150,000		171,568
Oracle Corp.:
1.90%, 9/15/2021		200,000		196,698
2.25%, 10/8/2019		75,000		75,303
2.38%, 1/15/2019		25,000		25,096
2.40%, 9/15/2023		200,000		197,586
2.50%, 5/15/2022		50,000		50,056
2.63%, 2/15/2023		235,000		235,489
2.65%, 7/15/2026		45,000		43,816
2.95%, 11/15/2024		200,000		200,994
2.95%, 5/15/2025		10,000		10,032
3.25%, 11/15/2027		50,000		50,849
3.80%, 11/15/2037		180,000		189,067
3.85%, 7/15/2036		150,000		158,770
3.90%, 5/15/2035		5,000		5,311
4.00%, 7/15/2046		180,000		191,543
4.00%, 11/15/2047		35,000		37,214
4.30%, 7/8/2034		200,000		222,550
4.38%, 5/15/2055		10,000		11,180
VMware, Inc.:
2.30%, 8/21/2020		150,000		149,082
3.90%, 8/21/2027		150,000		151,491
				5,970,629
TELECOMMUNICATIONS — 1.3%
America Movil SAB de CV:
3.13%, 7/16/2022		100,000		101,293
4.38%, 7/16/2042		50,000		53,085
6.13%, 3/30/2040		100,000		127,025
AT&T, Inc.:
2.30%, 3/11/2019		25,000		25,014
2.85%, 2/14/2023		250,000		250,855
3.20%, 3/1/2022		250,000		252,735
3.90%, 3/11/2024		25,000		25,672
3.90%, 8/14/2027		260,000		261,459
4.10%, 2/15/2028 (b)		584,000		585,740
4.13%, 2/17/2026		350,000		357,417
4.30%, 2/15/2030 (b)		130,000		130,131
4.45%, 4/1/2024		25,000		26,417
4.50%, 5/15/2035		300,000		297,798
4.55%, 3/9/2049		208,000		195,537
4.75%, 5/15/2046		30,000		29,346
4.80%, 6/15/2044		50,000		49,244
4.90%, 8/14/2037		165,000		166,935
5.15%, 11/15/2046 (b)		50,000		51,001
5.15%, 2/14/2050		300,000		302,571
5.25%, 3/1/2037		400,000		423,492
5.30%, 8/14/2058		100,000		100,401
5.65%, 2/15/2047		150,000		164,917
British Telecommunications PLC 2.35%, 2/14/2019		75,000		75,075
Cisco Systems, Inc.:
1.40%, 9/20/2019		200,000		197,834
1.85%, 9/20/2021		200,000		196,256
2.13%, 3/1/2019		25,000		25,034
2.20%, 2/28/2021		100,000		99,625
3.00%, 6/15/2022		25,000		25,535
3.50%, 6/15/2025		25,000		26,213
3.63%, 3/4/2024		25,000		26,371
5.50%, 1/15/2040		50,000		66,149
Deutsche Telekom International Finance B.V. 6.00%, 7/8/2019		100,000		105,449
Motorola Solutions, Inc. 4.00%, 9/1/2024		25,000		25,584
Orange SA:
1.63%, 11/3/2019		150,000		148,188
2.75%, 2/6/2019		25,000		25,145
5.38%, 7/8/2019		100,000		104,561
5.50%, 2/6/2044		50,000		61,628
Rogers Communications, Inc.:

See accompanying notes to financial statements.

44

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
3.00%, 3/15/2023	$	30,000	$	29,890
5.00%, 3/15/2044		50,000		57,626
Telefonica Emisiones SAU:
5.21%, 3/8/2047		300,000		339,423
7.05%, 6/20/2036		25,000		33,248
Telefonica Europe B.V. 8.25%, 9/15/2030		25,000		35,242
Telefonos de Mexico SAB de CV 5.50%, 11/15/2019		100,000		105,724
Verizon Communications, Inc.:
1.75%, 8/15/2021		350,000		340,648
2.63%, 8/15/2026		50,000		47,087
3.00%, 11/1/2021		50,000		50,582
3.13%, 3/16/2022		400,000		405,664
3.38%, 2/15/2025 (b)		250,000		251,340
3.50%, 11/1/2024		50,000		50,874
4.27%, 1/15/2036		28,000		27,874
4.40%, 11/1/2034		250,000		254,445
4.50%, 8/10/2033		250,000		261,948
4.52%, 9/15/2048		25,000		24,616
4.67%, 3/15/2055		250,000		242,388
4.81%, 3/15/2039		100,000		104,639
4.86%, 8/21/2046		250,000		260,355
5.01%, 4/15/2049		203,000		212,809
5.15%, 9/15/2023		50,000		55,597
5.25%, 3/16/2037		150,000		164,985
Vodafone Group PLC:
2.50%, 9/26/2022		50,000		49,577
2.95%, 2/19/2023		125,000		125,549
4.38%, 2/19/2043		75,000		77,141
				8,796,003
TEXTILES — 0.0% (a)
Cintas Corp. No. 2 3.70%, 4/1/2027		150,000		156,071
TOYS/GAMES/HOBBIES — 0.0% (a)
Hasbro, Inc. 3.50%, 9/15/2027		30,000		29,326
TRANSPORTATION — 0.5%
Burlington Northern Santa Fe LLC:
3.40%, 9/1/2024		100,000		103,661
3.75%, 4/1/2024		25,000		26,484
3.90%, 8/1/2046		100,000		106,194
4.13%, 6/15/2047		150,000		165,216
4.45%, 3/15/2043		50,000		56,403
4.55%, 9/1/2044		50,000		57,468
4.90%, 4/1/2044		125,000		149,927
Canadian National Railway Co.:
2.75%, 3/1/2026		100,000		99,087
2.95%, 11/21/2024		50,000		50,525
3.20%, 8/2/2046		25,000		24,175
Canadian Pacific Railway Co. 4.80%, 9/15/2035		30,000		34,829
CSX Corp.:
3.25%, 6/1/2027		50,000		49,931
3.40%, 8/1/2024		25,000		25,712
3.80%, 11/1/2046		100,000		99,684
4.10%, 3/15/2044		75,000		78,120
FedEx Corp.:
3.90%, 2/1/2035		200,000		204,022
4.00%, 1/15/2024		25,000		26,592
4.55%, 4/1/2046		100,000		109,651
4.75%, 11/15/2045		25,000		28,063
Norfolk Southern Corp.:
2.90%, 6/15/2026		150,000		147,444
3.00%, 4/1/2022		25,000		25,350
3.15%, 6/1/2027		50,000		49,956
3.94%, 11/1/2047 (b)		15,000		15,461
4.45%, 6/15/2045		19,000		21,118
Ryder System, Inc.:
Series MTN, 2.45%, 9/3/2019		25,000		24,983
Series MTN, 2.80%, 3/1/2022		100,000		99,761
Series MTN, 3.45%, 11/15/2021		100,000		102,491
Union Pacific Corp.:
2.75%, 3/1/2026		50,000		49,374
3.80%, 10/1/2051		52,000		53,138
4.05%, 3/1/2046		175,000		188,545
4.10%, 9/15/2067		15,000		15,689
United Parcel Service, Inc.:
2.05%, 4/1/2021		150,000		148,915
2.35%, 5/16/2022		50,000		49,778
2.40%, 11/15/2026		30,000		28,638
2.45%, 10/1/2022		125,000		124,567
2.50%, 4/1/2023		150,000		148,987
3.05%, 11/15/2027		200,000		200,044
3.75%, 11/15/2047		175,000		180,625
				3,170,608
TRUCKING & LEASING — 0.0% (a)
GATX Corp.:
2.50%, 3/15/2019		50,000		50,020
3.85%, 3/30/2027		50,000		50,809
				100,829
WATER — 0.0% (a)
American Water Capital Corp.:
2.95%, 9/1/2027		121,000		119,768
3.40%, 3/1/2025		25,000		25,740
3.75%, 9/1/2047		100,000		103,012
4.30%, 12/1/2042		25,000		27,497
				276,017
TOTAL CORPORATE BONDS & NOTES (Cost $171,936,770)				173,536,113
FOREIGN GOVERNMENT OBLIGATIONS — 4.0%
AUSTRIA — 0.1%
Oesterreichische Kontrollbank AG:
1.75%, 01/24/2020		200,000		198,646

See accompanying notes to financial statements.

45

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
1.88%, 01/20/2021	$	100,000	$	98,935
				297,581
CANADA — 0.5%
Canada Government International Bond:
1.63%, 02/27/2019		300,000		299,154
2.00%, 11/15/2022		275,000		271,538
Export Development Canada:
1.00%, 09/13/2019		150,000		147,510
1.38%, 10/21/2021		50,000		48,372
1.50%, 05/26/2021		50,000		48,835
2.00%, 05/17/2022		50,000		49,343
Province of Alberta Canada:
1.90%, 12/06/2019		50,000		49,676
2.20%, 07/26/2022		50,000		49,267
Province of British Columbia Canada:
2.25%, 06/02/2026		150,000		145,029
2.65%, 09/22/2021		50,000		50,569
Province of Manitoba Canada 2.13%, 6/22/2026		250,000		236,130
Province of Ontario Canada:
1.25%, 06/17/2019		200,000		197,550
1.63%, 01/18/2019		100,000		99,620
1.88%, 05/21/2020		250,000		247,850
2.20%, 10/03/2022		250,000		246,407
2.40%, 02/08/2022		100,000		99,655
2.50%, 09/10/2021		25,000		25,053
2.50%, 04/27/2026		350,000		343,028
4.40%, 04/14/2020		50,000		52,369
Province of Quebec Canada:
2.38%, 01/31/2022		200,000		199,372
2.50%, 04/20/2026		250,000		245,075
2.63%, 02/13/2023		250,000		250,435
2.75%, 08/25/2021		50,000		50,576
2.75%, 04/12/2027		200,000		198,356
				3,650,769
CHILE — 0.1%
Chile Government International Bond:
3.13%, 01/21/2026		50,000		50,813
3.86%, 06/21/2047		300,000		308,883
				359,696
COLOMBIA — 0.1%
Colombia Government International Bond:
3.88%, 04/25/2027		200,000		203,804
4.00%, 02/26/2024		275,000		285,318
5.00%, 06/15/2045		200,000		213,092
5.63%, 02/26/2044		200,000		231,176
				933,390
GERMANY — 0.7%
FMS Wertmanagement AoeR:
1.75%, 01/24/2020		200,000		198,754
Series MTN, 1.00%, 08/16/2019		200,000		196,728
Kreditanstalt fuer Wiederaufbau:
0.01%, 06/29/2037		100,000		56,212
1.00%, 07/15/2019		100,000		98,495
1.25%, 09/30/2019		200,000		197,328
1.50%, 02/06/2019		750,000		746,550
1.50%, 09/09/2019		250,000		247,812
1.50%, 06/15/2021		700,000		682,689
1.63%, 05/29/2020		250,000		247,215
1.75%, 03/31/2020		150,000		148,931
1.88%, 04/01/2019		25,000		24,975
1.88%, 12/15/2020		350,000		347,109
2.00%, 05/02/2025		100,000		96,452
2.13%, 03/07/2022		250,000		248,125
2.13%, 06/15/2022		250,000		247,840
2.13%, 01/17/2023		100,000		98,766
2.50%, 11/20/2024		300,000		299,658
2.63%, 01/25/2022		50,000		50,648
Landwirtschaftliche Rentenbank:
Series 36, 2.00%, 12/06/2021		150,000		148,395
Series 37, 2.50%, 11/15/2027		50,000		49,563
				4,432,245
HUNGARY — 0.1%
Hungary Government International Bond:
5.38%, 03/25/2024		150,000		170,022
6.38%, 03/29/2021		150,000		166,668
				336,690
INDONESIA — 0.0% (a)
Indonesia Government International Bond 2.95%, 1/11/2023		275,000		273,878
ISRAEL — 0.0% (a)
Israel Government International Bond:
2.88%, 03/16/2026		100,000		99,848
4.00%, 06/30/2022		50,000		53,011
				152,859
ITALY — 0.0% (a)
Republic of Italy Government International Bond 5.38%, 6/15/2033		50,000		59,082
JAPAN — 0.2%
Japan Bank for International Cooperation:
1.50%, 07/21/2021		25,000		24,116
2.13%, 07/21/2020		200,000		198,700
2.50%, 06/01/2022		200,000		199,226
2.75%, 11/16/2027		200,000		199,300
2.88%, 07/21/2027		100,000		100,613
Series DTC, 1.88%, 04/20/2021		225,000		220,401

See accompanying notes to financial statements.

46

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series DTC, 2.38%, 04/20/2026	$	200,000	$	194,044
				1,136,400
MEXICO — 0.2%
Mexico Government International Bond:
3.63%, 03/15/2022		100,000		103,701
4.00%, 10/02/2023		80,000		83,830
4.13%, 01/21/2026		125,000		130,588
4.15%, 03/28/2027		400,000		415,560
4.60%, 02/10/2048		200,000		198,702
5.55%, 01/21/2045		300,000		338,937
6.05%, 01/11/2040		30,000		35,418
Series GMTN, 3.50%, 01/21/2021		200,000		206,834
Series MTN, 4.75%, 03/08/2044		100,000		101,154
				1,614,724
PANAMA — 0.1%
Panama Government International Bond:
3.75%, 03/16/2025		150,000		156,467
3.88%, 03/17/2028		200,000		209,178
4.50%, 05/15/2047		50,000		53,937
6.70%, 01/26/2036		50,000		66,749
				486,331
PERU — 0.0% (a)
Peruvian Government International Bond:
4.13%, 08/25/2027		150,000		163,569
5.63%, 11/18/2050		50,000		64,247
6.55%, 03/14/2037		25,000		33,940
				261,756
PHILIPPINES — 0.1%
Philippine Government International Bond:
3.70%, 02/02/2042		100,000		99,532
3.95%, 01/20/2040		200,000		206,520
4.00%, 01/15/2021		100,000		105,032
4.20%, 01/21/2024		100,000		108,651
5.00%, 01/13/2037		150,000		177,411
7.75%, 01/14/2031		100,000		142,810
				839,956
POLAND — 0.1%
Poland Government International Bond:
3.00%, 03/17/2023		50,000		50,907
5.00%, 03/23/2022		50,000		54,776
Republic of Poland Government International Bond:
3.25%, 04/06/2026		175,000		179,118
4.00%, 01/22/2024		150,000		160,102
				444,903
SOUTH KOREA — 0.1%
Export-Import Bank of Korea:
2.13%, 02/11/2021		100,000		97,596
2.38%, 04/21/2027		25,000		23,185
3.00%, 11/01/2022		250,000		249,077
3.25%, 11/10/2025		150,000		150,023
5.13%, 06/29/2020		100,000		105,474
Korea Development Bank:
2.50%, 01/13/2021		100,000		98,876
3.00%, 01/13/2026		100,000		98,352
Korea International Bond 7.13%, 4/16/2019		100,000		105,962
				928,545
SUPRANATIONAL — 1.5%
African Development Bank:
Series GDIC, 1.88%, 03/16/2020		200,000		199,200
Series GDIF, 1.00%, 05/15/2019		50,000		49,342
Series GDIF, 1.25%, 07/26/2021		25,000		24,146
Asian Development Bank:
Series GMTN, 1.38%, 01/15/2019		375,000		372,915
Series GMTN, 1.63%, 03/16/2021		150,000		147,390
Series GMTN, 1.75%, 01/10/2020		250,000		248,687
Series GMTN, 1.75%, 06/08/2021		100,000		98,459
Series GMTN, 1.75%, 09/13/2022		250,000		243,495
Series GMTN, 2.00%, 02/16/2022		150,000		148,396
Series GMTN, 2.00%, 04/24/2026		100,000		96,040
Series GMTN, 2.13%, 11/24/2021		75,000		74,581
Series GMTN, 2.38%, 08/10/2027		50,000		49,113
Series GMTN, 2.50%, 11/02/2027		100,000		99,261
Series GMTN, 2.63%, 01/12/2027		50,000		50,159
Corp. Andina de Fomento:
2.13%, 09/27/2021		50,000		48,984
2.20%, 07/18/2020		250,000		248,240
2.75%, 01/06/2023		100,000		98,978
Council Of Europe Development Bank:
1.63%, 03/16/2021		50,000		49,089
1.88%, 01/27/2020		100,000		99,570
European Bank for Reconstruction & Development:
Series GMTN, 1.13%, 08/24/2020		100,000		97,472
Series GMTN, 1.88%, 02/23/2022		75,000		73,774

See accompanying notes to financial statements.

47

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Series GMTN, 2.00%, 02/01/2021	$	250,000	$	248,567
European Investment Bank:
1.25%, 12/16/2019		375,000		369,315
1.63%, 08/14/2020		250,000		246,895
1.63%, 06/15/2021		150,000		146,911
1.75%, 06/17/2019		25,000		24,919
1.75%, 05/15/2020		400,000		396,856
1.88%, 03/15/2019		50,000		49,960
1.88%, 02/10/2025		100,000		95,750
2.00%, 03/15/2021		225,000		223,546
2.13%, 10/15/2021		50,000		49,704
2.13%, 04/13/2026		100,000		96,858
2.25%, 03/15/2022		250,000		249,195
2.38%, 06/15/2022		350,000		350,353
2.38%, 05/24/2027		100,000		98,173
2.50%, 04/15/2021		50,000		50,421
2.50%, 10/15/2024		25,000		25,054
Series DIP, 1.38%, 09/15/2021		. 200,000		193,618
Series MTN, 1.25%, 05/15/2019		350,000		346,626
Inter-American Development Bank:
1.00%, 05/13/2019		125,000		123,390
1.88%, 03/15/2021		250,000		247,612
2.13%, 11/09/2020		25,000		24,989
2.38%, 07/07/2027		100,000		98,313
3.00%, 02/21/2024		100,000		102,944
4.38%, 01/24/2044		75,000		92,129
Series GDP, 1.25%, 10/15/2019		100,000		98,656
Series GMTN, 1.63%, 05/12/2020		200,000		197,984
Series GMTN, 1.75%, 09/14/2022		350,000		340,823
Series GMTN, 1.88%, 06/16/2020		135,000		134,348
Series GMTN, 2.13%, 01/18/2022		100,000		99,409
International Bank for Reconstruction & Development:
2.00%, 01/26/2022		300,000		296,772
2.13%, 11/01/2020		25,000		25,010
Series gDIF, 1.88%, 04/21/2020		200,000		199,200
Series GDIF, 1.13%, 11/27/2019		50,000		49,163
Series GDIF, 1.25%, 07/26/2019		350,000		346,097
Series GDIF, 1.38%, 04/22/2019		200,000		198,318
Series GDIF, 1.38%, 05/24/2021		275,000		267,633
Series GDIF, 1.38%, 09/20/2021		300,000		290,808
Series GDIF, 2.13%, 12/13/2021		400,000		398,176
Series GDIF, 2.50%, 11/25/2024		300,000		300,174
Series GDIF, 2.50%, 07/29/2025		200,000		199,554
Series GMTN, 0.88%, 08/15/2019		50,000		49,115
Series GMTN, 4.75%, 02/15/2035		25,000		32,145
International Finance Corp.:
1.75%, 09/16/2019		25,000		24,889
Series GMTN, 1.13%, 07/20/2021		125,000		120,285
Series GMTN, 2.13%, 04/07/2026		100,000		96,912
Nordic Investment Bank:
1.13%, 02/25/2019		50,000		49,555
2.13%, 02/01/2022		200,000		198,788
				10,583,203
SWEDEN — 0.1%
Svensk Exportkredit AB:
2.00%, 08/30/2022		200,000		196,096
Series GMTN, 1.25%, 04/12/2019		100,000		99,024
Series MTN, 1.13%, 08/28/2019		150,000		147,648
				442,768
URUGUAY — 0.0% (a)
Uruguay Government International Bond:
4.38%, 10/27/2027		25,000		26,966
5.10%, 06/18/2050		175,000		195,009
				221,975
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $27,563,491)				27,456,751
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.2%
Federal Farm Credit Banks:
1.55%, 1/10/2020		300,000		297,318
3.50%, 12/20/2023		50,000		52,883
1.50%, 12/19/2019		50,000		49,472
Federal Home Loan Bank:
1.13%, 6/21/2019		225,000		222,525
1.13%, 7/14/2021		100,000		96,659
1.25%, 1/16/2019		250,000		248,437
1.38%, 11/15/2019		750,000		742,185
1.38%, 2/18/2021		100,000		97,902
1.50%, 10/21/2019		350,000		347,413
1.88%, 3/8/2019		50,000		50,007
1.88%, 11/29/2021		700,000		692,650
2.15%, 9/26/2022		50,000		49,276
2.88%, 9/13/2024		50,000		51,287
5.50%, 7/15/2036		35,000		48,078
1.38%, 9/28/2020		500,000		491,275
2.25%, 6/11/2021		75,000		75,296
2.30%, 7/19/2022		100,000		99,511

See accompanying notes to financial statements.

48

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
0.88%, 7/19/2019	$	50,000	$	49,214
1.25%, 8/1/2019		100,000		98,970
1.25%, 10/2/2019		75,000		74,027
1.38%, 8/15/2019		500,000		495,725
1.60%, 7/26/2019		100,000		99,399
1.63%, 10/25/2019		50,000		49,696
1.63%, 9/29/2020		500,000		494,380
2.38%, 1/13/2022		325,000		327,606
2.50%, 10/1/2029		57,098		57,238
2.50%, 1/1/2031		112,591		112,645
2.50%, 5/1/2031		182,981		182,759
2.50%, 6/1/2031		331,915		331,511
2.50%, 10/1/2031		303,755		303,386
2.50%, 12/1/2031		353,919		353,488
3.00%, 12/1/2030		146,152		148,994
3.00%, 5/1/2031		117,154		119,394
3.00%, 12/1/2031		567,762		578,620
3.00% 2/1/2032		2,267,891		2,311,262
3.00%, 5/1/2032		907,672		924,762
3.00%, 7/1/2032		282,536		287,856
3.00%, 5/1/2035		78,625		79,856
3.00%, 6/1/2036		345,656		350,956
3.00%, 6/1/2045		118,215		118,417
3.00%, 8/1/2045		241,421		241,834
3.00%, 4/1/2046		527,311		527,558
3.00%, 6/1/2046		177,296		177,379
3.00%, 8/1/2046		902,992		903,416
3.00%, 9/1/2046		296,132		296,271
3.00%, 10/1/2046		505,415		505,652
3.00% 11/1/2046		1,608,178		1,608,932
3.00%, 12/1/2046		490,345		490,576
3.00%, 1/1/2047		1,037,814		1,038,301
3.00% 2/1/2047		1,910,588		1,911,485
3.00%, 11/1/2047		993,673		994,147
3.50%, 4/1/2032		530,417		549,791
3.50%, 11/1/2034		341,050		354,252
3.50%, 3/1/2037		461,162		477,715
3.50%, 4/1/2042		370,909		383,561
3.50%, 8/1/2043		781,268		806,577
3.50%, 11/1/2044		66,671		68,644
3.50%, 1/1/2045		87,177		89,756
3.50% 7/1/2045		149,656		153,796
3.50%, 10/1/2045		88,112		90,549
3.50% 12/1/2045		1,006,944		1,034,789
3.50%, 1/1/2046		130,873		134,492
3.50%, 3/1/2046		269,971		277,379
3.50%, 4/1/2046		398,831		409,774
3.50%, 6/1/2046		459,087		471,684
3.50%, 12/1/2046		1,349,266		1,386,288
3.50%, 2/1/2047		923,277		948,611
3.50%, 3/1/2047		929,923		955,539
3.50%, 4/1/2047		607,443		624,175
3.50%, 6/1/2047		641,260		658,924
3.50% 10/1/2047		964,765		991,341
3.50%, 11/1/2047		249,368		256,237
3.50%, 12/1/2047		500,000		513,773
3.75%, 3/27/2019		150,000		153,462
4.00%, 4/1/2025		59,118		61,499
4.00%, 4/1/2042		51,251		53,966
4.00%, 6/1/2042		124,990		131,627
4.00%, 12/1/2044		65,588		68,686
4.00%, 4/1/2045		54,399		56,965
4.00%, 10/1/2045		127,118		133,114
4.00%, 12/1/2045		209,529		219,411
4.00%, 1/1/2046		860,581		901,171
4.00%, 2/1/2046		325,677		341,037
4.00%, 1/1/2047		878,316		919,704
4.00%, 2/1/2047		437,520		458,137
4.00%, 6/1/2047		932,645		977,143
4.00%, 9/1/2047		1,073,981		1,125,222
4.00%, 11/1/2047		793,309		831,160
4.50%, 5/1/2044		166,116		176,884
4.50%, 12/1/2045		755,432		804,403
4.50%, 9/1/2046		586,747		624,678
4.50%, 4/1/2047		519,577		554,225
4.50%, 10/1/2047		686,686		732,478
4.50%, 12/1/2047		298,315		318,208
5.00%, 7/1/2041		216,191		234,835
5.50%, 8/1/2038		651,401		718,952
6.00%, 7/1/2040		239,660		267,208
6.25%, 7/15/2032		460,000		644,639
1.25%, 7/26/2019		250,000		247,080
1.70%, 9/29/2020		100,000		98,669
1.75%, 6/29/2020		50,000		49,631
Series K005, Class A2, 4.32%, 11/25/2019		200,000		205,830
Series K025, Class A2, 2.68%, 10/25/2022		125,000		126,276
Series K028, Class A2, 3.11%, 2/25/2023		100,000		102,934
Series K039, Class A2, 3.30%, 7/25/2024		400,000		415,997
Series K040, Class A2, 3.24%, 9/25/2024		75,000		77,785
Series K049, Class A2, 3.01%, 7/25/2025		200,000		203,669
Series K054, Class A2, 2.75%, 1/25/2026		500,000		499,190
Series K062, Class A2, 3.41%, 12/25/2026		400,000		417,820
Series K716, Class A2, 3.13%, 6/25/2021		250,000		255,735
Series K718, Class A2, 2.79%, 1/25/2022		500,000		507,166
Series K724, Class A2, 3.06%, 11/25/2023 (c)		500,000		512,829
TBA 2.50%, 1/1/2033 (e)		2,150,000		2,146,809
TBA 3.00%, 1/1/2033 (e)		1,500,000		1,527,891
TBA 3.00%, 1/1/2048 (e)		2,500,000		2,500,488
TBA 3.50%, 1/1/2048 (e)		3,750,000		3,851,807
TBA 4.00%, 1/1/2048 (e)		2,500,000		2,614,844
Federal National Mortgage Association:

See accompanying notes to financial statements.

49

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
1.00%, 10/24/2019	$	200,000	$	196,684
1.25%, 5/6/2021		275,000		267,627
1.38%, 1/28/2019		750,000		746,355
1.38%, 10/7/2021		325,000		316,033
1.50%, 6/22/2020		100,000		98,800
1.50%, 7/30/2020		500,000		493,680
1.75%, 9/12/2019		75,000		74,789
1.88%, 9/24/2026		500,000		471,680
2.00%, 1/5/2022		150,000		149,021
2.00%, 10/5/2022		250,000		246,690
2.00%, 11/1/2031		179,625		174,994
2.13%, 4/24/2026		200,000		193,562
2.50%, 3/1/2029		334,820		336,400
2.50%, 2/1/2031		175,621		175,716
2.50%, 10/1/2031		288,339		288,019
2.50%, 12/1/2031		513,200		512,630
2.50%, 1/1/2032		172,777		172,585
2.50%, 10/1/2032		731,049		730,116
3.00%, 10/1/2028		118,540		120,961
3.00%, 8/1/2029		59,005		60,200
3.00%, 5/1/2030		378,224		385,932
3.00%, 6/1/2030		77,554		79,072
3.00%, 9/1/2030		63,243		64,481
3.00%, 11/1/2030		131,307		133,876
3.00%, 12/1/2030		96,232		98,115
3.00%, 4/1/2031		338,492		345,030
3.00%, 12/1/2031		509,393		519,232
3.00% 2/1/2032		2,065,524		2,105,423
3.00%, 5/1/2032		823,389		839,080
3.00%, 8/1/2032		285,055		290,487
3.00%, 10/1/2032		487,031		496,313
3.00%, 6/1/2036		104,333		105,920
3.00%, 8/1/2036		524,170		532,146
3.00%, 10/1/2036		269,857		273,963
3.00%, 12/1/2036		457,796		464,762
3.00%, 6/1/2043		346,185		348,373
3.00%, 7/1/2043		101,890		102,455
3.00%, 1/1/2045		1,450,536		1,458,579
3.00%, 9/1/2045		99,871		100,031
3.00% 11/1/2045		782,397		783,648
3.00%, 12/1/2045		138,135		138,356
3.00%, 5/1/2046		974,070		974,442
3.00%, 7/1/2046		1,118,237		1,118,664
3.00%, 10/1/2046		277,445		277,551
3.00%, 11/1/2046		1,394,670		1,395,203
3.00% 12/1/2046		1,105,815		1,106,238
3.00% 1/1/2047		3,033,971		3,035,130
3.00%, 2/1/2047		952,157		952,521
3.00%, 5/1/2047		967,657		968,005
3.00%, 11/1/2047		697,763		698,015
3.50%, 11/1/2025		55,860		57,690
3.50%, 1/1/2027		64,049		66,148
3.50%, 5/1/2029		67,030		69,287
3.50%, 10/1/2029		53,846		55,659
3.50%, 2/1/2031		684,606		707,147
3.50%, 3/1/2032		480,479		497,479
3.50%, 4/1/2032		684,932		709,166
3.50%, 12/1/2035		71,795		74,484
3.50%, 1/1/2037		455,617		471,931
3.50%, 2/1/2037		690,554		715,281
3.50%, 7/1/2037		383,337		397,043
3.50%, 2/1/2041		149,404		154,468
3.50%, 10/1/2044		54,834		56,447
3.50% 1/1/2045		157,378		162,006
3.50%, 5/1/2045		66,192		68,014
3.50% 8/1/2045		215,487		221,418
3.50%, 11/1/2045		87,936		90,356
3.50% 12/1/2045		1,091,475		1,121,515
3.50%, 1/1/2046		832,039		854,938
3.50% 2/1/2046		953,140		979,372
3.50% 4/1/2046		650,306		668,052
3.50% 5/1/2046		1,010,264		1,037,832
3.50%, 6/1/2046		269,563		276,918
3.50%, 7/1/2046		617,333		634,179
3.50%, 1/1/2047		874,046		897,898
3.50%, 2/1/2047		881,538		905,594
3.50%, 3/1/2047		928,537		953,875
3.50%, 4/1/2047		1,873,673		1,924,963
3.50%, 5/1/2047		701,978		721,134
3.50%, 6/1/2047		949,849		975,850
3.50%, 9/1/2047		785,891		807,404
3.50%, 10/1/2047		937,049		962,700
3.50%, 11/1/2047		198,439		203,871
3.50%, 12/1/2047		1,395,546		1,433,747
3.50%, 1/1/2048		400,000		410,950
4.00%, 8/1/2018		13,369		13,759
4.00%, 1/1/2019		11,751		12,094
4.00%, 9/1/2019		39,076		40,215
4.00%, 3/1/2021		36,842		37,916
4.00%, 10/1/2033		218,174		229,341
4.00%, 12/1/2040		84,440		88,900
4.00%, 2/1/2043		482,553		508,041
4.00% 10/1/2043		1,160,342		1,221,758
4.00%, 11/1/2043		382,021		401,611
4.00%, 12/1/2043		349,147		367,052
4.00% 10/1/2044		86,208		90,278
4.00%, 3/1/2045		73,666		77,170
4.00%, 7/1/2045		79,420		83,197
4.00% 9/1/2045		334,850		350,776
4.00% 12/1/2045		160,716		168,360
4.00%, 4/1/2046		394,059		412,703
4.00%, 7/1/2046		501,327		525,047
4.00%, 11/1/2046		814,744		853,292
4.00%, 12/1/2046		875,656		917,086
4.00%, 4/1/2047		950,122		995,065
4.00%, 7/1/2047		1,045,482		1,094,936
4.00%, 8/1/2047		894,961		937,296
4.00%, 9/1/2047		856,030		896,523
4.00%, 12/1/2047		1,097,135		1,149,033
4.50%, 4/1/2018		3,639		3,696
4.50%, 5/1/2020		10,304		10,464
4.50%, 12/1/2040		200,301		214,746
4.50%, 1/1/2042		94,325		101,080
4.50% 9/1/2043		184,467		197,540

See accompanying notes to financial statements.

50

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.50%, 11/1/2043	$	105,523	$	112,556
4.50%, 5/1/2044		371,165		395,615
4.50%, 6/1/2044		106,708		113,738
4.50%, 2/1/2046		369,296		395,929
4.50%, 3/1/2046		1,255,486		1,339,171
4.50%, 7/1/2046		499,919		533,487
5.00%, 1/1/2039		790,328		855,584
5.00%, 6/1/2040		393,721		426,441
5.00%, 7/1/2041		66,915		72,476
5.00%, 5/1/2042		74,797		81,013
5.00%, 11/1/2044		990,127		1,072,488
5.00%, 1/1/2045		86,655		93,250
5.50%, 2/1/2037		41,718		46,126
5.50%, 4/1/2038		199,384		220,268
5.50%, 9/1/2040		61,251		67,600
5.50%, 9/1/2041		97,340		107,536
5.50% 5/1/2044		1,113,173		1,231,261
5.63%, 7/15/2037		80,000		111,857
6.63%, 11/15/2030		115,000		161,628
7.25%, 5/15/2030		75,000		109,542
1.00%, 8/28/2019		200,000		197,032
1.50%, 2/28/2020		500,000		495,020
Series 2011-M5, Class A2, 2.94%, 7/25/2021		133,691		136,328
Series 2013-M12, Class APT, 2.39%, 3/25/2023 (c)		37,704		37,665
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (c)		150,000		150,553
Series 2014-M3, Class A2, 3.47%, 1/25/2024 (c)		50,000		52,382
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c)		250,000		251,745
Series 2017-M12, Class A2, 3.08%, 6/25/2027 (c)		400,000		406,542
TBA 2.50%, 1/1/2033 (e)		2,600,000		2,596,750
TBA 3.00%, 1/1/2033 (e)		1,500,000		1,528,125
TBA 3.00%, 1/1/2048 (e)		4,000,000		4,000,625
TBA 3.50%, 1/1/2048 (e)		5,700,000		5,854,078
TBA 4.00%, 1/1/2048 (e)		3,500,000		3,660,781
TBA 4.50%, 1/1/2048 (e)		1,750,000		1,861,973
Government National Mortgage Association:
3.00%, 1/20/2043		763,684		774,912
3.00%, 5/20/2043		385,931		390,969
3.00%, 12/20/2044		85,435		86,376
3.00%, 3/20/2045		47,195		47,668
3.00%, 4/20/2045		137,882		139,264
3.00%, 6/20/2045		69,729		70,428
3.00%, 7/20/2045		127,037		128,311
3.00%, 8/20/2045		113,097		114,231
3.00%, 4/20/2046		118,124		119,247
3.00%, 5/20/2046		203,820		205,758
3.00%, 7/20/2046		129,374		130,604
3.00%, 8/20/2046		417,966		421,940
3.00%, 9/20/2046		291,642		294,415
3.00%, 10/20/2046		295,209		298,016
3.00%, 11/20/2046		526,886		531,896
3.00%, 12/20/2046		2,060,245		2,079,835
3.00%, 2/20/2047		979,822		989,139
3.00%, 4/20/2047		1,405,541		1,418,992
3.00%, 5/20/2047		1,039,014		1,048,957
3.00%, 6/20/2047		483,993		488,625
3.00%, 7/20/2047		489,820		494,508
3.00%, 8/20/2047		468,776		473,263
3.00%, 10/20/2047		696,550		703,216
3.50%, 10/20/2042		615,600		639,934
3.50%, 5/20/2043		91,887		95,516
3.50%, 9/20/2043		63,501		66,010
3.50%, 11/20/2043		518,028		538,489
3.50%, 10/20/2044		68,581		71,097
3.50%, 12/20/2044		47,308		49,043
3.50%, 3/20/2045		44,520		46,084
3.50%, 4/20/2045		134,505		139,229
3.50%, 6/20/2045		89,932		93,091
3.50%, 10/20/2045		97,909		101,348
3.50%, 1/20/2046		1,436,172		1,486,614
3.50%, 3/20/2046		314,068		325,033
3.50%, 4/20/2046		166,827		172,651
3.50%, 5/20/2046		173,527		179,585
3.50%, 6/20/2046		379,117		392,353
3.50%, 7/20/2046		425,643		440,503
3.50%, 10/20/2046		807,119		835,298
3.50%, 11/20/2046		518,294		536,389
3.50%, 1/20/2047		1,218,824		1,261,376
3.50%, 3/20/2047		1,828,944		1,893,026
3.50%, 5/20/2047		1,427,307		1,477,317
3.50%, 6/20/2047		972,458		1,006,530
3.50%, 7/20/2047		736,547		762,354
3.50%, 8/20/2047		1,159,640		1,200,271
3.50%, 9/20/2047		495,844		513,218
3.50%, 10/20/2047		472,702		489,265
4.00%, 4/15/2040		74,025		77,674
4.00%, 2/20/2042		30,612		32,326
4.00%, 7/20/2042		20,665		21,807
4.00%, 7/15/2044		72,229		75,718
4.00%, 8/20/2044		44,068		46,354
4.00%, 10/20/2044		396,925		417,515
4.00%, 5/15/2045		78,375		82,181
4.00%, 6/15/2045		164,650		172,645
4.00%, 8/20/2045		48,497		50,944
4.00%, 11/20/2045		586,031		615,609
4.00%, 2/20/2046		458,642		481,791
4.00%, 5/20/2046		483,753		508,169
4.00%, 6/20/2046		322,788		337,760
4.00%, 1/20/2047		1,067,741		1,117,269
4.00%, 3/20/2047		538,812		563,806
4.00%, 4/20/2047		1,040,791		1,086,479
4.00%, 5/20/2047		739,423		771,882
4.00%, 7/20/2047		728,988		760,989
4.00%, 8/20/2047		293,792		306,689
4.50%, 1/20/2044		188,883		200,652
4.50%, 11/20/2044		59,517		63,042
4.50%, 12/20/2044		48,162		51,014
4.50%, 4/20/2046		298,145		315,803
4.50%, 6/20/2046		214,432		227,132

See accompanying notes to financial statements.

51

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
4.50%, 7/20/2046	$	270,041	$	286,035
4.50%, 4/20/2047		1,178,657		1,235,352
4.50%, 8/20/2047		389,137		411,049
4.50%, 12/20/2047		200,000		211,262
5.00%, 6/15/2040		59,692		64,767
5.00%, 10/15/2041		94,910		102,720
5.00%, 3/20/2044		84,951		91,306
5.00%, 12/20/2045		310,555		334,439
5.50%, 10/20/2043		75,427		83,349
5.50%, 5/20/2045		907,858		998,228
TBA 3.00%, 1/1/2048 (e)		3,800,000		3,835,031
TBA 3.50%, 1/1/2048 (e)		6,500,000		6,722,422
TBA 4.00%, 1/1/2048 (e)		2,250,000		2,346,152
TBA 4.50%, 1/1/2048 (e)		1,250,000		1,312,012
Iraq Government AID Bond 2.15%, 1/18/2022		200,000		199,322
Tennessee Valley Authority:
2.88%, 9/15/2024		100,000		102,560
3.50%, 12/15/2042		175,000		187,308
4.25%, 9/15/2065		50,000		59,232
5.25%, 9/15/2039		150,000		202,986
Series A, 2.88%, 2/1/2027		150,000		152,751
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $202,241,128)				200,591,065
U.S. TREASURY OBLIGATIONS — 35.3%
Treasury Bonds:
2.25%, 8/15/2046		1,425,000		1,285,436
2.50%, 2/15/2045		840,000		801,024
2.50%, 2/15/2046		1,400,000		1,332,618
2.50%, 5/15/2046		1,100,000		1,046,683
2.75%, 8/15/2042		400,000		402,880
2.75%, 11/15/2042		500,000		503,215
2.75%, 8/15/2047		450,000		450,630
2.88%, 5/15/2043		1,200,000		1,234,068
2.88%, 8/15/2045		730,000		748,892
2.88%, 11/15/2046		1,950,000		2,000,758
3.00%, 5/15/2042		325,000		342,225
3.00%, 11/15/2044		675,000		709,256
3.00%, 5/15/2045		3,225,000		3,387,540
3.00%, 11/15/2045		400,000		420,164
3.00%, 2/15/2047		700,000		736,183
3.00%, 5/15/2047		700,000		736,092
3.13%, 11/15/2041		800,000		860,256
3.13%, 2/15/2042		475,000		510,739
3.13%, 2/15/2043		425,000		456,692
3.13%, 8/15/2044		750,000		806,077
3.38%, 5/15/2044		850,000		953,896
3.63%, 8/15/2043		850,000		992,205
3.63%, 2/15/2044		1,225,000		1,431,951
3.75%, 8/15/2041		700,000		829,906
3.75%, 11/15/2043		1,425,000		1,698,059
3.88%, 8/15/2040		750,000		903,908
4.25%, 11/15/2040		3,000,000		3,810,420
4.38%, 2/15/2038		775,000		990,783
4.38%, 11/15/2039		350,000		450,408
4.38%, 5/15/2040		575,000		741,457
4.38%, 5/15/2041		300,000		388,257
4.50%, 2/15/2036		2,500,000		3,219,625
4.50%, 8/15/2039		650,000		849,225
4.63%, 2/15/2040		1,190,000		1,582,474
4.75%, 2/15/2037		2,600,000		3,464,188
4.75%, 2/15/2041		650,000		882,524
5.25%, 11/15/2028		450,000		570,821
Treasury Notes:
0.88%, 4/15/2019		150,000		148,143
0.88%, 6/15/2019		4,500,000		4,437,090
0.88%, 9/15/2019		825,000		811,239
1.00%, 8/31/2019		500,000		492,935
1.00%, 9/30/2019		750,000		738,923
1.00%, 10/15/2019		1,000,000		984,720
1.13%, 1/15/2019		2,050,000		2,035,240
1.13%, 1/31/2019		1,500,000		1,488,735
1.13%, 2/28/2019		750,000		743,813
1.13%, 4/30/2020		100,000		98,222
1.13%, 2/28/2021		850,000		826,625
1.13%, 6/30/2021		2,250,000		2,179,283
1.13%, 7/31/2021		1,175,000		1,136,483
1.13%, 8/31/2021		2,350,000		2,270,288
1.13%, 9/30/2021		1,300,000		1,254,448
1.25%, 3/31/2019		1,600,000		1,588,192
1.25%, 4/30/2019		1,500,000		1,488,105
1.25%, 5/31/2019		1,775,000		1,760,356
1.25%, 6/30/2019		2,250,000		2,230,065
1.25%, 1/31/2020		5,250,000		5,180,857
1.25%, 3/31/2021		200,000		195,076
1.25%, 10/31/2021		1,400,000		1,356,460
1.25%, 7/31/2023		250,000		236,905
1.38%, 2/28/2019		500,000		497,290
1.38%, 7/31/2019		3,500,000		3,473,855
1.38%, 9/30/2019		7,500,000		7,435,425
1.38%, 12/15/2019		6,000,000		5,941,200
1.38%, 2/29/2020		500,000		494,405
1.38%, 4/30/2020		350,000		345,664
1.38%, 5/31/2020		500,000		493,605
1.38%, 8/31/2020		3,200,000		3,153,536
1.38%, 9/15/2020		1,500,000		1,478,670
1.38%, 9/30/2020		550,000		541,657
1.38%, 10/31/2020		1,100,000		1,082,257
1.38%, 1/31/2021		5,500,000		5,395,555
1.38%, 4/30/2021		525,000		513,676
1.38%, 5/31/2021		275,000		268,835
1.38%, 6/30/2023		2,500,000		2,388,475
1.38%, 9/30/2023		550,000		523,952
1.50%, 2/28/2019		2,750,000		2,739,193
1.50%, 5/31/2020		300,000		297,057
1.50%, 1/31/2022		450,000		438,957
1.50%, 2/28/2023		5,000,000		4,825,050
1.50%, 8/15/2026		1,850,000		1,721,203
1.63%, 3/31/2019		5,600,000		5,583,816
1.63%, 8/31/2019		800,000		796,768
1.63%, 12/31/2019		750,000		746,100

See accompanying notes to financial statements.

52

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
1.63%, 3/15/2020	$	3,500,000	$	3,478,825
1.63%, 6/30/2020		75,000		74,449
1.63%, 7/31/2020		5,600,000		5,557,160
1.63%, 10/15/2020		1,150,000		1,139,799
1.63%, 8/31/2022		1,150,000		1,121,583
1.63%, 5/31/2023		1,250,000		1,210,837
1.63%, 2/15/2026		1,925,000		1,817,854
1.63%, 5/15/2026		1,350,000		1,271,768
1.75%, 11/30/2019		2,500,000		2,493,650
1.75%, 10/31/2020		650,000		646,347
1.75%, 11/15/2020		1,350,000		1,342,278
1.75%, 12/31/2020		5,500,000		5,462,380
1.75%, 11/30/2021		1,500,000		1,479,255
1.75%, 2/28/2022		300,000		295,431
1.75%, 3/31/2022		250,000		245,930
1.75%, 4/30/2022		300,000		294,822
1.75%, 5/31/2022		1,000,000		982,550
1.75%, 6/30/2022		3,750,000		3,682,613
1.75%, 1/31/2023		2,925,000		2,859,509
1.75%, 5/15/2023		250,000		243,878
1.88%, 1/31/2022		1,850,000		1,831,111
1.88%, 2/28/2022		5,500,000		5,440,765
1.88%, 3/31/2022		5,500,000		5,437,905
1.88%, 5/31/2022		100,000		98,864
1.88%, 7/31/2022		1,000,000		986,530
1.88%, 8/31/2022		150,000		147,897
1.88%, 9/30/2022		500,000		492,790
1.88%, 8/31/2024		1,850,000		1,800,531
2.00%, 2/28/2021		750,000		749,602
2.00%, 5/31/2021		350,000		349,440
2.00%, 8/31/2021		300,000		299,031
2.00%, 11/15/2021		500,000		498,530
2.00%, 12/31/2021		3,000,000		2,985,240
2.00%, 7/31/2022		100,000		99,249
2.00%, 10/31/2022		5,000,000		4,957,100
2.00%, 11/30/2022		2,000,000		1,981,920
2.00%, 2/15/2023		500,000		494,870
2.00%, 5/31/2024		1,750,000		1,717,485
2.00%, 6/30/2024		350,000		343,326
2.00%, 2/15/2025		625,000		610,975
2.00%, 8/15/2025		1,500,000		1,462,365
2.00%, 11/15/2026		2,250,000		2,177,663
2.13%, 8/31/2020		1,650,000		1,657,771
2.13%, 8/15/2021		5,500,000		5,507,645
2.13%, 6/30/2022		4,500,000		4,491,720
2.13%, 12/31/2022		650,000		647,406
2.13%, 11/30/2023		1,000,000		991,940
2.13%, 3/31/2024		975,000		965,123
2.13%, 11/30/2024		1,250,000		1,233,613
2.13%, 5/15/2025		2,350,000		2,314,209
2.25%, 12/31/2023		1,750,000		1,746,937
2.25%, 1/31/2024		1,000,000		997,890
2.25%, 10/31/2024		1,250,000		1,244,238
2.25%, 11/15/2024		1,675,000		1,666,424
2.25%, 12/31/2024		1,250,000		1,243,363
2.25%, 11/15/2025		1,975,000		1,957,719
2.25%, 2/15/2027		2,000,000		1,974,200
2.25%, 8/15/2027		2,000,000		1,972,160
2.25%, 11/15/2027		500,000		493,035
2.38%, 8/15/2024		1,950,000		1,956,571
2.38%, 5/15/2027		1,400,000		1,396,164
2.50%, 5/15/2024		5,000,000		5,057,000
2.63%, 8/15/2020		150,000		152,622
2.63%, 11/15/2020		250,000		254,512
2.75%, 11/15/2023		1,500,000		1,540,785
2.75%, 2/15/2024		100,000		102,633
3.63%, 2/15/2020		1,350,000		1,398,262
3.63%, 2/15/2021		1,600,000		1,677,968
TOTAL U.S. TREASURY OBLIGATIONS (Cost $244,717,353)				242,695,956
MUNICIPAL BONDS & NOTES — 0.6%
CALIFORNIA — 0.2%
Bay Area Toll Authority 6.91%, 10/1/2050		25,000		39,486
California, State General Obligation:
7.30%, 10/1/2039		125,000		186,482
7.50%, 4/1/2034		100,000		148,082
7.55%, 4/1/2039		100,000		157,361
California, State University Series B, 3.90%, 11/1/2047		100,000		105,175
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039		100,000		131,938
Los Angeles Unified School District/CA 5.75%, 7/1/2034		25,000		31,880
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048		50,000		70,890
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034		275,000		270,930
University of California Series AX, 3.06%, 7/1/2025		300,000		303,267
				1,445,491
FLORIDA — 0.1%
State Board of Administration Finance Corp.:
Series A, 2.64%, 7/1/2021		150,000		150,154
Series A, 3.00%, 7/1/2020		100,000		101,309
				251,463
GEORGIA — 0.0% (a)
Municipal Electric Authority of Georgia 6.66%, 4/1/2057		165,000		207,834
ILLINOIS — 0.1%
Sales Tax Securitization Corp. 3.59%, 1/1/2043		275,000		274,541
State of Illinois:

See accompanying notes to financial statements.

53

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
5.10%, 6/1/2033	$	50,000	$	49,917
7.35%, 7/1/2035		100,000		115,617
				440,075
MASSACHUSETTS — 0.0% (a)
Commonwealth of Massachusetts Series E, 4.20%, 12/1/2021		100,000		104,862
NEW JERSEY — 0.0% (a)
New Jersey Turnpike Authority Revenue 7.10%, 1/1/2041		100,000		149,393
NEW YORK — 0.1%
New York City Water & Sewer System 5.44%, 6/15/2043		25,000		32,895
Port Authority of New York & New Jersey:
4.46%, 10/1/2062		250,000		288,682
5.65%, 11/1/2040		100,000		131,163
Series 192, 4.81%, 10/15/2065		25,000		30,454
				483,194
OHIO — 0.0% (a)
American Municipal Power Inc. 7.83%, 2/15/2041		150,000		234,156
PENNSYLVANIA — 0.0% (a)
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038		125,000		132,513
TEXAS — 0.1%
Dallas Area Rapid Transit 5.02%, 12/1/2048		100,000		124,690
Permanent University Fund - University of Texas System 3.38%, 7/1/2047		150,000		150,666
				275,356
VIRGINIA — 0.0% (a)
University of Virginia Series C, 4.18%, 9/1/2117		50,000		52,141
TOTAL MUNICIPAL BONDS & NOTES (Cost $3,670,660)				3,776,478
ASSET-BACKED SECURITIES — 0.4%
AUTOMOBILE — 0.2%
AmeriCredit Automobile Receivables Trust 2017-2 Series 2017-2, Class B, 2.40%, 5/18/2022		200,000		199,066
CarMax Auto Owner Trust 2017-2 Series 2017-2, Class B, 2.41%, 12/15/2022		200,000		198,770
Ford Credit Auto Owner Trust 2016-C Series 2016-C, Class A4, 1.40%, 2/15/2022		200,000		196,128
Ford Credit Floorplan Master Owner Trust A Series 2017-2, Class A1, 2.16%, 9/15/2022		150,000		149,326
Nissan Auto Lease Trust 2017-B Series 2017-B, Class A3, 2.05%, 9/15/2020		300,000		299,185
Nissan Auto Receivables 2016-B Owner Trust Series 2016-B, Class A3, 1.32%, 1/15/2021		169,000		167,808
Toyota Auto Receivables 2017-B Owner Trust Series 2017-B, Class A3, 1.76%, 7/15/2021		200,000		198,669
				1,408,952
CREDIT CARD — 0.2%
Capital One Multi-Asset Execution Trust Series 2016-A5, Class A5, 1.66%, 6/17/2024		200,000		195,022
Chase Issuance Trust Series 2016-A5, Class A5, 1.27%, 7/15/2021		300,000		295,760
Citibank Credit Card Issuance Trust:
Series 2017-A3, Class A3, 1.92%, 4/7/2022		300,000		298,149
Series 2014-A1, Class A1, 2.88%, 1/23/2023		100,000		101,691
Discover Card Execution Note Trust Series 2016-A1, Class A1, 1.64%, 7/15/2021		100,000		99,644
Synchrony Credit Card Master Note Trust Series 2016-2, Class A, 2.21%, 5/15/2024		400,000		397,498
				1,387,764
TOTAL ASSET-BACKED SECURITIES (Cost $2,814,260)				2,796,716
MORTGAGE-BACKED SECURITIES — 1.0%
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class A4, 3.71%, 9/15/2048		100,000		104,522
BANK 2017-BNK8:
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050		90,000		92,714
Series 2017-BNK8, Class B, 3.93%, 11/15/2050		50,000		51,327
CD 2017-CD6 Mortgage Trust Series 2017-CD6, Class A5, 3.46%, 11/13/2050		100,000		102,974

See accompanying notes to financial statements.

54

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046	$	75,000	$	76,138
Citigroup Commercial Mortgage Trust 2015-GC33 Series 2015-GC33, Class A4, 3.78%, 9/10/2058		300,000		314,595
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050		250,000		256,191
COMM 2013-CCRE8 Mortgage Trust Series 2013-CR8, Class A4, 3.33%, 6/10/2046		65,000		66,845
COMM 2014-CCRE16 Mortgage Trust:
Series 2014-CR16, Class A4, 4.05%, 4/10/2047		100,000		106,159
Series 2014-CR16, Class B, 4.58%, 4/10/2047		400,000		418,892
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047		100,000		103,804
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048		50,000		52,214
Commercial Mortgage Pass Through Certificates Series 2014-CR14, Class A3, 3.96%, 2/10/2047		400,000		422,866
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c)		150,000		154,738
CSAIL 2017-CX10 Commercial Mortgage Trust Series 2017-CX10, Class A5, 3.46%, 11/15/2050		250,000		256,009
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.06%, 7/10/2046 (c)		80,000		85,541
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046		100,000		107,270
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046		150,000		152,650
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049		200,000		196,277
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046		60,000		64,095
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c)		50,000		53,260
JPMBB Commercial Mortgage Securities Trust 2015-C29 Series 2015-C29, Class A4, 3.61%, 5/15/2048		100,000		103,526
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048		100,000		104,686
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.75%, 3/15/2049 (c)		300,000		323,696
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050		500,000		513,980
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4, 3.25%, 2/15/2048		200,000		203,106
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 Series 2012-C6, Class A4, 2.86%, 11/15/2045		200,000		201,055
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046		300,000		302,586
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 Series 2016-C29, Class A2, 2.79%, 5/15/2049		200,000		201,066
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048		220,000		227,870
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047		225,000		229,711
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048		100,000		102,736
Wells Fargo Commercial Mortgage Trust 2015-P2 Series 2015-P2, Class A3, 3.54%, 12/15/2048		300,000		310,738
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050		300,000		299,686
WFRBS Commercial Mortgage Trust 2014-C19:
Series 2014-C19, Class A3, 3.66%, 3/15/2047		75,000		77,049
Series 2014-C19, Class A4, 3.83%, 3/15/2047		110,000		115,302

See accompanying notes to financial statements.

55

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Principal Amount		Value
WFRBS Commercial Mortgage Trust 2014-C21 Series 2014-C21, Class A2, 2.92%, 8/15/2047	$	120,000	$	120,954
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047		100,000		106,060
TOTAL MORTGAGE-BACKED SECURITIES (Cost $6,882,498)				6,782,888
	Shares
SHORT-TERM INVESTMENT — 6.9%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (f) (g) (Cost $47,567,027)		47,567,027		47,567,027
TOTAL INVESTMENTS — 102.6% (Cost $707,393,187)				705,202,994
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.6)%				(17,662,448	)
NET ASSETS — 100.0%			$	687,540,546

(a) Amount is less than 0.05% of net assets.

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.8% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(d) Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of December 31, 2017. Maturity date shown is the final maturity.

(e) When-issued security.

(f) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(g) The rate shown is the annualized seven-day yield at December 31, 2017.

GMTN = Global Medium Term Note

LIBOR = London Interbank Offered Rate

MTN = Medium Term Note

REIT = Real Estate Investment Trust

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS
INVESTMENTS:
Corporate Bonds & Notes
Advertising	$	—	$	152,812	$	—	$	152,812
Aerospace & Defense		—		3,177,023		—		3,177,023
Agriculture		—		2,521,288		—		2,521,288
Airlines		—		550,862		—		550,862
Apparel		—		78,910		—		78,910
Auto Manufacturers		—		4,011,518		—		4,011,518
Auto Parts & Equipment		—		78,974		—		78,974
Banks		—		38,520,343		—		38,520,343
Beverages		—		5,362,535		—		5,362,535
Biotechnology		—		2,540,107		—		2,540,107
Chemicals		—		2,680,325		—		2,680,325
Commercial Services		—		1,085,241		—		1,085,241
Construction Materials		—		411,188		—		411,188
Distribution & Wholesale		—		55,022		—		55,022
Diversified Financial Services		—		5,274,314		—		5,274,314
Electric		—		10,549,564		—		10,549,564
Electrical Components & Equipment		—		125,796		—		125,796
Electronics		—		710,246		—		710,246
Engineering & Construction		—		50,810		—		50,810

See accompanying notes to financial statements.

56

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Environmental Control	$	—	$	355,363	$	—	$	355,363
Food		—		2,049,590		—		2,049,590
Forest Products & Paper		—		649,787		—		649,787
Gas		—		980,232		—		980,232
Health Care Products		—		3,564,854		—		3,564,854
Health Care Services		—		3,105,479		—		3,105,479
Home Builders		—		50,552		—		50,552
Home Furnishings		—		26,470		—		26,470
Household Products		—		1,139,457		—		1,139,457
Household Products & Wares		—		152,304		—		152,304
Housewares		—		389,797		—		389,797
Insurance		—		4,696,745		—		4,696,745
Internet		—		2,586,453		—		2,586,453
Iron/Steel		—		701,369		—		701,369
IT Services		—		4,925,748		—		4,925,748
Leisure Time		—		148,919		—		148,919
Lodging		—		288,956		—		288,956
Machinery, Construction & Mining		—		732,500		—		732,500
Machinery-Diversified		—		834,460		—		834,460
Media		—		6,372,810		—		6,372,810
Metal Fabricate & Hardware		—		74,561		—		74,561
Mining		—		1,086,031		—		1,086,031
Miscellaneous Manufacturer		—		1,867,766		—		1,867,766
Office & Business Equipment		—		145,571		—		145,571
Oil & Gas		—		12,181,960		—		12,181,960
Oil & Gas Services		—		727,934		—		727,934
Packaging & Containers		—		217,564		—		217,564
Pharmaceuticals		—		8,210,021		—		8,210,021
Pipelines		—		5,908,568		—		5,908,568
Real Estate		—		267,398		—		267,398
Real Estate Investment Trusts		—		4,967,083		—		4,967,083
Retail		—		5,384,761		—		5,384,761
Semiconductors		—		2,308,689		—		2,308,689
Software		—		5,970,629		—		5,970,629
Telecommunications		—		8,796,003		—		8,796,003
Textiles		—		156,071		—		156,071
Toys/Games/Hobbies		—		29,326		—		29,326
Transportation		—		3,170,608		—		3,170,608
Trucking & Leasing		—		100,829		—		100,829
Water		—		276,017		—		276,017
Foreign Government Obligations		—		27,456,751		—		27,456,751
U.S. Government Agency Obligations		—		200,591,065		—		200,591,065
U.S. Treasury Obligations		—		242,695,956		—		242,695,956
Municipal Bonds & Notes		—		3,776,478		—		3,776,478
Asset-Backed Securities
Automobile		—		1,408,952		—		1,408,952
Credit Card		—		1,387,764		—		1,387,764
Mortgage-Backed Securities		—		6,782,888		—		6,782,888
Short-Term Investment		47,567,027		—		—		47,567,027
TOTAL INVESTMENTS	$	47,567,027	$	657,635,967	$	—	$	705,202,994

See accompanying notes to financial statements.

57

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET AGGREGATE BOND INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	213,321,243	$	165,754,216	$	—	$	—		47,567,027	$	47,567,027	$	85,324	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		11,977,648		11,977,648		146,578,397		158,556,045		—		—		—		—		64,268		—
Total			$	11,977,648	$	359,899,640	$	324,310,261	$	—	$	—			$	47,567,027	$	149,592	$	—

See accompanying notes to financial statements.

58

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 101.7%
AUSTRALIA — 4.8%
AGL Energy, Ltd.		44,820	$	853,963
Alumina, Ltd.		181,849		345,627
Amcor, Ltd.		89,308		1,077,122
AMP, Ltd.		198,276		804,873
APA Group		76,362		497,522
Aristocrat Leisure, Ltd.		36,809		682,327
ASX, Ltd.		13,290		570,257
Aurizon Holdings, Ltd.		140,049		543,315
AusNet Services		166,782		235,460
Australia & New Zealand Banking Group, Ltd.		218,468		4,910,941
Bank of Queensland, Ltd.		29,099		289,504
Bendigo & Adelaide Bank, Ltd.		27,864		254,334
BHP Billiton PLC		158,087		3,255,899
BHP Billiton, Ltd.		238,742		5,521,667
BlueScope Steel, Ltd.		45,657		548,872
Boral, Ltd.		94,366		574,967
Brambles, Ltd.		124,071		977,214
Caltex Australia, Ltd.		21,064		560,981
Challenger, Ltd.		47,153		517,437
CIMIC Group, Ltd.		8,408		338,352
Coca-Cola Amatil, Ltd.		33,346		221,954
Cochlear, Ltd.		4,589		614,594
Commonwealth Bank of Australia		128,307		8,062,547
Computershare, Ltd.		38,022		484,744
Crown Resorts, Ltd.		24,360		248,072
CSL, Ltd.		33,758		3,730,860
Dexus REIT		69,882		532,918
Domino’s Pizza Enterprises, Ltd. (a)		4,890		178,614
Flight Centre Travel Group, Ltd. (a)		4,796		165,953
Fortescue Metals Group, Ltd.		127,518		486,722
Goodman Group REIT		139,664		919,786
GPT Group REIT		124,761		498,643
Harvey Norman Holdings, Ltd. (a)		23,187		75,626
Healthscope, Ltd.		133,386		219,089
Incitec Pivot, Ltd.		140,506		428,597
Insurance Australia Group, Ltd.		182,880		1,035,607
LendLease Group		44,646		570,940
Macquarie Group, Ltd.		24,445		1,904,892
Medibank Pvt, Ltd.		221,790		570,726
Mirvac Group REIT		298,378		548,435
National Australia Bank, Ltd.		199,824		4,621,565
Newcrest Mining, Ltd.		59,306		1,058,533
Oil Search, Ltd.		95,019		578,946
Orica, Ltd.		31,202		441,724
Origin Energy, Ltd. (b)		119,356		879,398
QBE Insurance Group, Ltd.		107,557		898,463
Ramsay Health Care, Ltd.		9,693		531,606
REA Group, Ltd.		4,706		282,133
Santos, Ltd. (b)		150,423		641,211
Scentre Group REIT		406,151		1,331,042
SEEK, Ltd.		20,880		310,458
Sonic Healthcare, Ltd.		32,042		572,909
South32, Ltd. (c)		10,757		29,503
South32, Ltd. (c)		347,569		948,760
Stockland REIT		165,311		579,255
Suncorp Group, Ltd.		99,564		1,079,334
Sydney Airport		89,714		494,697
Tabcorp Holdings, Ltd.		116,908		510,232
Telstra Corp., Ltd.		323,223		917,696
TPG Telecom, Ltd. (a)		37,098		190,636
Transurban Group Stapled Security		167,347		1,626,969
Treasury Wine Estates, Ltd.		58,287		727,603
Vicinity Centres REIT		233,018		495,734
Wesfarmers, Ltd.		84,900		2,949,690
Westfield Corp. REIT		151,820		1,126,900
Westpac Banking Corp.		251,924		6,177,279
Woodside Petroleum, Ltd.		63,967		1,655,052
Woolworths, Ltd.		97,618		2,084,408
				78,601,689
AUSTRIA — 0.2%
ANDRITZ AG		4,639		262,288
Erste Group Bank AG (b)		23,300		1,010,169
OMV AG		11,628		737,660
Raiffeisen Bank International AG (b)		9,777		354,555
voestalpine AG		9,270		554,845
				2,919,517
BELGIUM — 0.7%
Ageas		14,846		725,830
Anheuser-Busch InBev SA		56,536		6,322,450
Colruyt SA		4,570		237,945
Groupe Bruxelles Lambert SA		5,541		598,760
KBC Group NV		19,035		1,625,378
Proximus SADP		12,663		415,877
Solvay SA		5,011		697,395
Telenet Group Holding NV (b)		3,963		276,437
UCB SA		8,612		684,387
Umicore SA		13,246		627,563
				12,212,022
BRAZIL — 1.7%
Ambev SA		354,667		2,275,275
Atacadao Distribuicao Comercio e Industria Ltda (b)		39,400		181,137
B3 SA — Brasil Bolsa Balcao		158,701		1,089,870
Banco Bradesco SA Preference Shares		229,679		2,343,805
Banco Bradesco SA		72,585		701,539
Banco do Brasil SA		68,900		660,938
Banco Santander Brasil SA		26,400		253,725
BB Seguridade Participacoes SA		57,100		490,422
BR Malls Participacoes SA		53,082		203,712
Braskem SA Class A, Preference Shares		12,900		166,719
BRF SA (b)		31,600		348,666
CCR SA		99,100		482,489

See accompanying notes to financial statements.

59

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Centrais Eletricas Brasileiras SA (b)		16,300	$	95,035
Centrais Eletricas Brasileiras SA Class B, Preference Shares		6,800		46,535
Cia Brasileira de Distribuicao Preference Shares		10,000		237,949
Cia de Saneamento Basico do Estado de Sao Paulo		25,900		268,049
Cia Energetica de Minas Gerais Preference Shares		31,300		64,825
Cia Energetica de Minas Gerais (b)		5,564		11,574
Cia Energetica de Minas Gerais (b)		320		637
Cia Paranaense de Energia Preference Shares		1,300		9,778
Cia Siderurgica Nacional SA (b)		41,500		104,842
Cielo SA		83,039		588,791
Cosan SA Industria e Comercio		10,500		131,365
EDP — Energias do Brasil SA		4,474		18,883
Embraer SA		44,700		269,512
Engie Brasil Energia SA		12,853		137,593
Equatorial Energia SA		15,000		296,871
Fibria Celulose SA		16,100		232,247
Gerdau SA Preference Shares		58,600		218,705
Hypermarcas SA		30,200		327,756
Itau Unibanco Holding SA Preference Shares		241,669		3,102,187
Itausa — Investimentos Itau SA Preference Shares		307,875		1,004,253
JBS SA		45,600		134,858
Klabin SA		37,628		199,648
Kroton Educacional SA		110,800		614,609
Localiza Rent a Car SA		34,020		226,246
Lojas Americanas SA Preference Shares		44,081		226,578
Lojas Renner SA		57,110		611,026
M Dias Branco SA		7,900		124,081
Multiplan Empreendimentos Imobiliarios SA		5,238		111,957
Natura Cosmeticos SA		13,800		137,538
Odontoprev SA		3,400		16,308
Petroleo Brasileiro SA Preference Shares (b)		299,100		1,451,723
Petroleo Brasileiro SA (b)		229,000		1,167,402
Porto Seguro SA		12,800		140,190
Qualicorp SA		18,591		173,742
Raia Drogasil SA		18,800		520,286
Rumo SA (b)		69,087		270,133
Sul America SA		2,891		16,263
Suzano Papel e Celulose SA		25,800		145,369
Telefonica Brasil SA Preference Shares		35,985		527,446
TIM Participacoes SA		56,500		223,132
Transmissora Alianca de Energia Eletrica SA		11,700		75,270
Ultrapar Participacoes SA		24,700		558,470
Vale SA		237,807		2,886,286
WEG SA		35,900		260,935
				27,185,180
CANADA — 6.4%
Agnico Eagle Mines, Ltd.		18,300		847,705
Agrium, Inc.		10,600		1,223,152
Alimentation Couche-Tard, Inc. Class B		31,900		1,669,916
AltaGas, Ltd.		12,300		280,958
ARC Resources, Ltd. (a)		25,500		300,192
Atco, Ltd. Class I		4,900		175,985
Bank of Montreal		48,400		3,885,675
Bank of Nova Scotia (a)		88,900		5,755,671
Barrick Gold Corp.		89,200		1,294,270
BCE, Inc.		10,579		509,805
BlackBerry, Ltd. (b)		35,900		402,279
Bombardier, Inc. Class B (b)		151,000		365,162
Brookfield Asset Management, Inc. Class A		62,950		2,749,211
CAE, Inc.		19,300		359,675
Cameco Corp. (a)		23,300		215,901
Canadian Imperial Bank of Commerce		32,600		3,188,319
Canadian National Railway Co.		55,900		4,624,315
Canadian Natural Resources, Ltd.		81,900		2,936,229
Canadian Pacific Railway, Ltd.		11,000		2,016,250
Canadian Tire Corp., Ltd. Class A		4,600		601,732
Canadian Utilities, Ltd. Class A		9,200		274,689
CCL Industries, Inc. Class B		9,700		449,640
Cenovus Energy, Inc.		82,000		751,315
CGI Group, Inc. Class A (b)		14,400		784,963
CI Financial Corp. (a)		18,800		446,687
Constellation Software, Inc.		1,600		973,089
Crescent Point Energy Corp.		39,500		302,015
Dollarama, Inc.		8,300		1,040,357
Element Fleet Management Corp. (a)		30,500		231,254
Emera, Inc.		4,400		164,980
Empire Co., Ltd.		13,400		261,915
Enbridge, Inc.		122,400		4,802,413
Encana Corp.		66,500		890,063
Fairfax Financial Holdings, Ltd.		2,200		1,175,265
Finning International, Inc.		10,000		253,163
First Capital Realty, Inc.		10,500		173,638
First Quantum Minerals, Ltd.		54,400		764,583
Fortis, Inc.		32,100		1,181,317
Franco-Nevada Corp.		14,300		1,146,556
George Weston, Ltd.		3,700		322,353
Gildan Activewear, Inc.		15,900		515,343
Goldcorp, Inc.		68,100		871,258
Great-West Lifeco, Inc.		20,300		568,682
H&R Real Estate Investment Trust		7,500		127,858
Husky Energy, Inc. (b)		25,655		363,443
Hydro One, Ltd. (d)		21,100		377,222
IGM Financial, Inc. (a)		6,600		232,563
Imperial Oil, Ltd.		20,200		632,464

See accompanying notes to financial statements.

60

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Industrial Alliance Insurance & Financial Services, Inc.		7,700	$	367,624
Intact Financial Corp.		10,800		904,978
Inter Pipeline, Ltd.		25,500		529,762
Jean Coutu Group PJC, Inc. Class A		3,900		76,011
Keyera Corp.		13,100		370,328
Kinross Gold Corp. (b)		88,700		383,698
Linamar Corp.		3,900		227,877
Loblaw Cos., Ltd.		14,700		800,378
Lundin Mining Corp.		41,400		276,231
Magna International, Inc.		26,700		1,518,104
Manulife Financial Corp.		147,900		3,095,046
Methanex Corp.		5,200		316,080
Metro, Inc.		15,800		507,562
National Bank of Canada		26,100		1,306,510
Onex Corp.		5,700		419,397
Open Text Corp.		18,000		642,308
Pembina Pipeline Corp.		38,336		1,392,451
Potash Corp. of Saskatchewan, Inc.		64,200		1,320,943
Power Corp. of Canada		24,200		625,208
Power Financial Corp.		17,400		479,665
PrairieSky Royalty, Ltd. (a)		15,294		391,337
Restaurant Brands International, Inc.		17,246		1,063,569
RioCan Real Estate Investment Trust		12,200		237,194
Rogers Communications, Inc. Class B		27,600		1,410,894
Royal Bank of Canada		108,000		8,848,078
Saputo, Inc.		17,000		613,001
Seven Generations Energy, Ltd. Class A (b)		17,900		254,010
Shaw Communications, Inc. Class B		28,400		650,302
Shopify, Inc. Class A (b)		5,500		557,967
Smart Real Estate Investment Trust		5,700		140,618
SNC-Lavalin Group, Inc.		14,000		637,456
Sun Life Financial, Inc.		46,400		1,921,251
Suncor Energy, Inc.		123,564		4,551,242
Teck Resources, Ltd. Class B		44,000		1,154,300
TELUS Corp.		13,500		513,085
Thomson Reuters Corp.		22,300		975,152
Toronto-Dominion Bank		136,600		8,029,522
Tourmaline Oil Corp. (b)		16,400		298,170
TransCanada Corp.		65,100		3,178,752
Turquoise Hill Resources, Ltd. (b)		78,900		270,147
Valeant Pharmaceuticals International, Inc. (b)		22,900		478,854
Vermilion Energy, Inc.		6,500		236,977
West Fraser Timber Co., Ltd.		4,400		272,403
Wheaton Precious Metals Corp.		30,000		665,390
				106,391,322
CHILE — 0.3%
AES Gener SA		22,037		7,299
Aguas Andinas SA Class A		220,856		146,308
Antofagasta PLC		28,888		392,736
Banco de Chile		1,599,969		256,524
Banco de Credito e Inversiones		4,013		279,157
Banco Santander Chile		4,206,222		329,601
Cencosud SA		81,884		241,918
Cia Cervecerias Unidas SA		7,183		107,778
Colbun SA		622,750		143,237
Embotelladora Andina SA Class B, Preference Shares		3,273		16,343
Empresa Nacional de Telecomunicaciones SA		7,195		80,883
Empresas CMPC SA		107,700		366,227
Empresas COPEC SA		37,051		585,340
Enel Americas SA		2,355,987		524,962
Enel Chile SA		898,435		106,369
Enel Generacion Chile SA		299,048		270,791
Itau CorpBanca		3,102,407		28,230
Latam Airlines Group SA		19,970		283,093
SACI Falabella		46,639		465,215
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares		6,150		365,492
				4,997,503
CHINA — 7.2%
3SBio, Inc. (b) (d)		100,500		197,213
58.com, Inc. ADR (b)		7,400		529,618
AAC Technologies Holdings, Inc.		56,500		1,007,522
Agile Group Holdings, Ltd.		148,000		224,538
Agricultural Bank of China, Ltd. Class H		2,025,000		942,909
Air China, Ltd. Class H		148,000		179,479
Alibaba Group Holding, Ltd. ADR (a) (b)		85,100		14,673,793
Alibaba Health Information Technology, Ltd. (a) (b)		341,500		172,556
Aluminum Corp. of China, Ltd. Class H (a) (b)		188,000		134,435
Anhui Conch Cement Co., Ltd. Class H		77,500		364,336
ANTA Sports Products, Ltd.		68,000		308,367
Autohome, Inc. ADR (b)		3,900		252,213
AviChina Industry & Technology Co., Ltd. Class H		188,000		100,045
Baidu, Inc. ADR (b)		20,400		4,777,884
Bank of China, Ltd. Class H		5,947,000		2,921,275
Bank of Communications Co., Ltd. Class H		708,000		525,296
Beijing Capital International Airport Co., Ltd. Class H		110,000		165,761
Beijing Enterprises Holdings, Ltd.		38,000		225,551
Beijing Enterprises Water Group, Ltd.		324,000		250,752
Brilliance China Automotive Holdings, Ltd.		242,000		647,001
Byd Co., Ltd. Class H (a)		41,000		357,169

See accompanying notes to financial statements.

61

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
BYD Electronic International Co., Ltd.		72,000	$	156,760
CGN Power Co., Ltd. Class H (d)		958,600		259,966
China Cinda Asset Management Co., Ltd. Class H		563,592		206,193
China CITIC Bank Corp., Ltd. Class H		732,000		458,828
China Communications Construction Co., Ltd. Class H		369,000		419,163
China Communications Services Corp., Ltd. Class H		250,000		167,577
China Conch Venture Holdings, Ltd.		113,500		262,795
China Construction Bank Corp. Class H		6,249,000		5,755,542
China Everbright Bank Co., Ltd. Class H		42,300		19,750
China Everbright International, Ltd.		158,000		225,561
China Everbright, Ltd.		66,000		147,580
China Evergrande Group (b)		256,000		882,555
China Galaxy Securities Co., Ltd. Class H		212,300		156,428
China Huarong Asset Management Co., Ltd. Class H (d)		841,000		396,977
China Huishan Dairy Holdings Co., Ltd. (b) (e)		66,000		—
China Jinmao Holdings Group, Ltd.		240,000		105,612
China Life Insurance Co., Ltd. Class H		563,000		1,768,085
China Longyuan Power Group Corp., Ltd. Class H		127,000		90,328
China Medical System Holdings, Ltd.		122,000		284,349
China Mengniu Dairy Co., Ltd.		220,000		654,318
China Merchants Bank Co., Ltd. Class H		299,000		1,189,528
China Merchants Port Holdings Co., Ltd.		92,776		242,701
China Minsheng Banking Corp., Ltd. Class H		455,500		456,240
China Mobile, Ltd.		457,000		4,632,961
China Molybdenum Co., Ltd. Class H		354,000		227,327
China National Building Material Co., Ltd. Class H (a)		176,000		157,374
China Oilfield Services, Ltd. Class H		86,000		83,719
China Overseas Land & Investment, Ltd.		298,000		958,733
China Pacific Insurance Group Co., Ltd. Class H		204,000		979,904
China Petroleum & Chemical Corp. Class H		1,946,000		1,426,398
China Railway Construction Corp., Ltd. Class H		187,000		216,727
China Railway Group, Ltd. Class H		239,000		176,713
China Resources Beer Holdings Co., Ltd.		102,721		368,583
China Resources Gas Group, Ltd.		78,000		282,873
China Resources Land, Ltd.		221,333		651,204
China Resources Pharmaceutical Group, Ltd. (d)		177,000		229,138
China Resources Power Holdings Co., Ltd.		126,055		234,782
China Shenhua Energy Co., Ltd. Class H		269,500		698,115
China Southern Airlines Co., Ltd. Class H		162,000		167,237
China State Construction International Holdings, Ltd.		184,750		258,550
China Taiping Insurance Holdings Co., Ltd.		132,000		494,749
China Telecom Corp., Ltd. Class H		1,120,000		532,972
China Unicom Hong Kong, Ltd. (b)		484,000		653,811
China Vanke Co., Ltd. Class H		100,200		399,913
Chongqing Rural Commercial Bank Co., Ltd. Class H		198,000		139,813
CITIC Securities Co., Ltd. Class H		190,500		392,829
CITIC, Ltd.		462,000		666,644
CNOOC, Ltd.		1,348,000		1,934,755
COSCO SHIPPING Ports, Ltd.		131,698		136,966
Country Garden Holdings Co., Ltd.		422,000		804,344
CRRC Corp., Ltd. Class H		263,350		281,633
CSPC Pharmaceutical Group, Ltd.		368,000		742,845
Ctrip.com International, Ltd. ADR (b)		30,000		1,323,000
Dongfeng Motor Group Co., Ltd. Class H		186,000		225,085
ENN Energy Holdings, Ltd.		48,000		342,318
Far East Horizon, Ltd.		121,000		103,242
Fosun International, Ltd.		168,500		373,328
Fuyao Glass Industry Group Co., Ltd. Class H (d)		23,600		99,474
Geely Automobile Holdings, Ltd.		377,000		1,306,935
GF Securities Co., Ltd. Class H		93,400		187,820
GOME Retail Holdings, Ltd. (a)		972,000		116,879
Great Wall Motor Co., Ltd. Class H (a)		201,000		230,124
Guangdong Investment, Ltd.		176,000		235,498
Guangzhou Automobile Group Co., Ltd. Class H		142,000		336,413
Guangzhou R&F Properties Co., Ltd.		77,600		174,908
Haitian International Holdings, Ltd.		53,000		159,326

See accompanying notes to financial statements.

62

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Haitong Securities Co., Ltd. Class H		271,200	$	393,411
Hanergy Thin Film Power Group, Ltd. (b) (e)		68,000		—
Hengan International Group Co., Ltd.		58,000		643,637
Huaneng Power International, Inc. Class H		388,000		243,204
Huaneng Renewables Corp., Ltd. Class H		418,629		141,912
Huatai Securities Co., Ltd. Class H (d)		115,000		228,903
Industrial & Commercial Bank of China, Ltd. Class H		5,492,000		4,419,004
JD.com, Inc. ADR (b)		49,500		2,050,290
Jiangsu Expressway Co., Ltd. Class H		98,000		149,182
Jiangxi Copper Co., Ltd. Class H		75,000		118,967
Kingsoft Corp., Ltd. (a)		54,000		179,602
Kunlun Energy Co., Ltd.		290,000		301,971
Lenovo Group, Ltd.		620,000		349,763
Longfor Properties Co., Ltd.		128,000		320,602
Meitu, Inc. (b) (d)		130,000		180,932
Minth Group, Ltd.		48,000		289,512
Momo, Inc. ADR (b)		6,000		146,880
NetEase, Inc. ADR		6,000		2,070,420
New China Life Insurance Co., Ltd. Class H		50,100		342,233
New Oriental Education & Technology Group, Inc. ADR		10,400		977,600
Nexteer Automotive Group, Ltd. (b)		84,000		200,079
People’s Insurance Co. Group of China, Ltd. Class H		446,000		219,654
PetroChina Co., Ltd. Class H		1,622,000		1,130,812
PICC Property & Casualty Co., Ltd. Class H		363,800		698,998
Ping An Insurance Group Co. of China, Ltd. Class H		388,500		4,042,889
Semiconductor Manufacturing International Corp. (b)		249,300		431,164
Shandong Weigao Group Medical Polymer Co., Ltd. Class H		204,000		148,486
Shanghai Electric Group Co., Ltd. Class H (a) (b)		24,000		9,886
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H		33,500		214,911
Shanghai Industrial Holdings, Ltd.		53,000		151,868
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B		46,620		67,506
Shanghai Pharmaceuticals Holding Co., Ltd. Class H		50,200		135,818
Shenzhou International Group Holdings, Ltd.		48,000		456,833
Sihuan Pharmaceutical Holdings Group, Ltd.		326,000		117,184
SINA Corp. (b)		3,600		361,116
Sino-Ocean Group Holding, Ltd.		192,000		132,383
Sinopec Shanghai Petrochemical Co., Ltd. Class H		210,000		119,543
Sinopharm Group Co., Ltd. Class H		100,000		432,374
SOHO China, Ltd.		46,000		26,892
Sunac China Holdings, Ltd.		163,000		674,536
Sunny Optical Technology Group Co., Ltd.		56,000		715,643
TAL Education Group ADR		22,700		674,417
Tencent Holdings, Ltd.		423,200		21,979,353
Tingyi Cayman Islands Holding Corp.		170,000		330,549
TravelSky Technology, Ltd. Class H		42,000		125,990
Tsingtao Brewery Co., Ltd. Class H		38,000		195,899
Vipshop Holdings, Ltd. ADR (b)		30,900		362,148
Want Want China Holdings, Ltd.		361,000		302,477
Weibo Corp. ADR (a) (b)		2,910		301,069
Weichai Power Co., Ltd. Class H		164,000		179,581
Yangzijiang Shipbuilding Holdings, Ltd.		155,200		170,715
Yanzhou Coal Mining Co., Ltd. Class H		150,000		175,380
Yum China Holdings, Inc.		29,400		1,176,588
YY, Inc. ADR (b)		2,500		282,650
Zhejiang Expressway Co., Ltd. Class H		114,000		125,268
Zhuzhou CRRC Times Electric Co., Ltd. Class H		38,000		247,183
Zijin Mining Group Co., Ltd. Class H		346,000		130,569
ZTE Corp. Class H (b)		45,800		171,956
				118,378,903
COLOMBIA — 0.1%
Bancolombia SA ADR		500		19,830
Bancolombia SA		13,000		130,588
Bancolombia SA Preference Shares		24,343		244,042
Cementos Argos SA		35,710		137,839
Ecopetrol SA ADR		700		10,241
Ecopetrol SA		307,726		227,869
Grupo Argos SA		22,062		154,349
Grupo Aval Acciones y Valores SA Preference Shares		302,656		130,818
Grupo de Inversiones Suramericana SA Preference Shares		9,428		123,200
Grupo de Inversiones Suramericana SA		14,284		192,878

See accompanying notes to financial statements.

63

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Interconexion Electrica SA ESP		32,243	$	153,409
				1,525,063
CZECH REPUBLIC — 0.0% (f)
CEZ A/S		11,088		258,946
Komercni banka A/S		4,855		208,952
Moneta Money Bank A/S (d)		21,059		81,621
O2 Czech Republic A/S		227		2,953
				552,472
DENMARK — 1.2%
AP Moeller — Maersk A/S Class B		513		896,865
AP Moller — Maersk A/S Class A		260		434,424
Carlsberg A/S Class B		8,339		1,001,960
Chr Hansen Holding A/S		6,836		641,660
Coloplast A/S Class B		8,029		639,041
Danske Bank A/S		56,426		2,198,652
DONG Energy A/S (d)		14,801		808,512
DSV A/S		14,605		1,150,894
Genmab A/S (b)		3,837		636,777
H Lundbeck A/S		4,000		203,213
ISS A/S		11,626		450,572
Novo Nordisk A/S Class B		138,177		7,454,391
Novozymes A/S Class B		15,582		890,881
Pandora A/S		7,497		816,758
TDC A/S		48,200		296,411
Tryg A/S		8,961		224,300
Vestas Wind Systems A/S		16,626		1,149,801
William Demant Holding A/S (b)		9,101		254,665
				20,149,777
EGYPT — 0.0% (f)
Commercial International Bank Egypt SAE		60,651		265,050
Global Telecom Holding SAE (b)		13,479		5,610
				270,660
FINLAND — 0.6%
Elisa Oyj		11,697		459,577
Fortum Oyj		30,718		608,622
Kone Oyj Class B		25,809		1,387,797
Metso Oyj		7,380		252,298
Neste Oyj		9,149		586,109
Nokia Oyj (c)		439,955		2,057,193
Nokian Renkaat Oyj		9,752		442,646
Orion Oyj Class B		7,170		267,591
Sampo Oyj Class A		33,800		1,858,887
Stora Enso Oyj Class R		38,044		603,932
UPM-Kymmene Oyj		40,866		1,271,453
Wartsila Oyj Abp		10,073		636,232
				10,432,337
FRANCE — 7.0%
Accor SA		12,624		651,833
Aeroports de Paris		1,897		361,050
Air Liquide SA		31,819		4,013,778
Airbus SE		43,238		4,309,377
Alstom SA		12,537		520,959
Amundi SA (d)		3,819		323,991
Arkema SA		5,410		659,702
Atos SE		7,274		1,059,946
AXA SA		144,394		4,288,761
BioMerieux		3,590		321,979
BNP Paribas SA		83,362		6,231,294
Bollore SA		57,415		312,178
Bollore SA (b)		329		1,798
Bouygues SA		14,460		752,016
Bureau Veritas SA		21,307		583,092
Capgemini SE		12,240		1,453,465
Carrefour SA		45,051		975,914
Casino Guichard Perrachon SA		3,845		233,439
Cie de Saint-Gobain		37,985		2,097,258
Cie Generale des Etablissements Michelin		12,942		1,857,897
CNP Assurances		12,637		292,185
Credit Agricole SA		86,608		1,435,185
Danone SA		45,016		3,781,163
Dassault Aviation SA		155		241,570
Dassault Systemes SE		9,993		1,063,044
Edenred		15,581		452,400
Eiffage SA		5,094		558,716
Electricite de France SA		46,112		576,969
Engie SA		137,235		2,362,291
Essilor International SA		15,639		2,158,682
Eurazeo SA		3,310		306,048
Eutelsat Communications SA		10,404		241,055
Faurecia		4,796		375,086
Fonciere Des Regions REIT		2,253		255,606
Gecina SA REIT		3,748		692,642
Groupe Eurotunnel SE		38,208		491,835
Hermes International		2,423		1,298,382
ICADE REIT		2,406		236,706
Iliad SA		2,145		514,499
Imerys SA		2,719		256,431
Ingenico Group SA		4,829		516,139
Ipsen SA		3,193		381,767
JCDecaux SA		6,672		269,235
Kering		5,683		2,681,890
Klepierre SA REIT		14,963		658,781
Lagardere SCA		7,117		228,437
Legrand SA		20,225		1,558,930
L’Oreal SA		18,767		4,167,926
LVMH Moet Hennessy Louis Vuitton SE		20,696		6,098,622
Natixis SA		75,431		597,450
Orange SA		149,657		2,601,276
Pernod Ricard SA		15,947		2,526,732
Peugeot SA		45,683		930,086
Publicis Groupe SA		15,964		1,085,956
Remy Cointreau SA		1,573		218,163
Renault SA		14,629		1,474,006
Rexel SA		24,964		453,249
Safran SA		25,027		2,581,804
Sanofi		84,204		7,264,910

See accompanying notes to financial statements.

64

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Schneider Electric SE		42,309	$	3,600,018
SCOR SE		11,972		482,242
SEB SA		1,476		273,744
Societe BIC SA		1,850		203,621
Societe Generale SA		57,408		2,967,675
Sodexo SA		6,176		830,979
Suez		29,711		523,203
Teleperformance		4,591		658,513
Thales SA		7,105		766,828
TOTAL SA		175,783		9,719,191
Ubisoft Entertainment SA (b)		3,984		306,845
Unibail-Rodamco SE REIT		7,542		1,901,851
Valeo SA		18,315		1,369,483
Veolia Environnement SA		37,426		956,123
Vinci SA		37,625		3,847,086
Vivendi SA		77,855		2,096,008
Wendel SA		1,683		291,825
Zodiac Aerospace		16,684		499,451
				116,190,267
GERMANY — 6.7%
adidas AG		14,104		2,830,867
Allianz SE		33,306		7,658,823
Axel Springer SE		4,179		326,832
BASF SE		68,060		7,497,586
Bayer AG		61,271		7,651,720
Bayerische Motoren Werke AG		24,851		2,591,101
Bayerische Motoren Werke AG Preference Shares		4,642		416,052
Beiersdorf AG		7,876		925,889
Brenntag AG		10,515		666,296
Commerzbank AG (b)		81,548		1,224,525
Continental AG		8,280		2,237,588
Covestro AG (d)		9,421		973,235
Daimler AG		71,467		6,075,885
Deutsche Bank AG		154,628		2,947,628
Deutsche Boerse AG		14,617		1,699,043
Deutsche Lufthansa AG		18,664		688,488
Deutsche Post AG		72,490		3,460,079
Deutsche Telekom AG		248,080		4,407,349
Deutsche Wohnen SE		27,222		1,191,811
Drillisch AG		3,350		276,881
E.ON SE		166,453		1,811,084
Evonik Industries AG		13,289		500,585
Fraport AG Frankfurt Airport Services Worldwide		3,084		340,182
Fresenius Medical Care AG & Co. KGaA		16,329		1,721,179
Fresenius SE & Co. KGaA		31,219		2,439,330
Fuchs Petrolub SE Preference Shares		4,276		227,207
GEA Group AG		14,475		695,437
Hannover Rueck SE		4,812		606,138
HeidelbergCement AG		11,406		1,236,094
Henkel AG & Co. KGaA Preference Shares		13,475		1,785,549
Henkel AG & Co. KGaA		8,045		966,044
HOCHTIEF AG		1,698		300,950
HUGO BOSS AG		3,854		328,302
Infineon Technologies AG		85,380		2,341,143
Innogy SE (d)		11,409		447,645
KION Group AG		4,535		391,976
KS AG (a)		16,198		403,696
Lanxess AG		7,361		585,943
Linde AG (b)		13,883		3,244,954
MAN SE		2,275		260,616
Merck KGaA		9,962		1,073,623
METRO AG (b)		9,695		193,835
MTU Aero Engines AG		4,101		735,718
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		11,652		2,529,004
OSRAM Licht AG		7,883		709,280
Porsche Automobil Holding SE Preference Shares		10,437		874,535
ProSiebenSat.1 Media SE		15,759		543,197
QIAGEN NV (b)		17,397		547,118
RWE AG (b)		34,931		713,068
SAP SE		72,788		8,167,889
Schaeffler AG Preference Shares		15,093		267,959
Siemens AG		56,677		7,904,908
Symrise AG		8,403		722,669
Telefonica Deutschland Holding AG		44,734		224,858
ThyssenKrupp AG		33,780		982,234
TUI AG		34,933		727,736
Uniper SE		12,715		396,973
United Internet AG		9,750		671,325
Volkswagen AG		2,628		532,367
Volkswagen AG Preference Shares		13,903		2,778,837
Vonovia SE		36,708		1,824,429
Wirecard AG		9,085		1,015,326
Zalando SE (b) (d)		7,116		376,958
				110,895,578
GREECE — 0.1%
Alpha Bank AE (b)		126,379		271,188
Eurobank Ergasias SA (b)		144,579		147,569
FF Group (b)		122		2,783
Hellenic Telecommunications Organization SA		21,711		299,812
JUMBO SA		4,872		87,169
National Bank of Greece SA (b)		418,723		160,394
OPAP SA		10,008		126,185
Piraeus Bank SA (b)		26,223		96,670
Titan Cement Co. SA		393		10,807
				1,202,577
HONG KONG — 2.5%
AIA Group, Ltd.		895,000		7,630,736
Alibaba Pictures Group, Ltd. (a) (b)		460,000		61,786
ASM Pacific Technology, Ltd.		19,700		274,434
Bank of East Asia, Ltd.		101,395		439,055
BOC Hong Kong Holdings, Ltd.		281,500		1,425,991
China Gas Holdings, Ltd.		112,000		309,468
CK Asset Holdings, Ltd.		196,024		1,712,668

See accompanying notes to financial statements.

65

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
CK Hutchison Holdings, Ltd.		202,524	$	2,541,492
CK Infrastructure Holdings, Ltd.		54,500		468,151
CLP Holdings, Ltd.		125,500		1,283,528
First Pacific Co., Ltd.		180,000		122,037
Fullshare Holdings, Ltd.		625,000		287,823
Galaxy Entertainment Group, Ltd.		179,000		1,435,700
GCL-Poly Energy Holdings, Ltd. (a) (b)		1,071,000		191,805
Haier Electronics Group Co., Ltd.		110,000		301,127
Hang Lung Group, Ltd.		53,000		194,920
Hang Lung Properties, Ltd.		126,000		307,856
Hang Seng Bank, Ltd.		58,300		1,446,817
Henderson Land Development Co., Ltd.		96,006		632,483
HK Electric Investments & HK Electric Investments, Ltd. (a) (d)		246,664		225,608
HKT Trust & HKT, Ltd.		318,000		405,163
Hong Kong & China Gas Co., Ltd.		642,500		1,259,143
Hong Kong Exchanges & Clearing, Ltd.		87,814		2,693,743
Hongkong Land Holdings, Ltd.		80,300		565,312
Hysan Development Co., Ltd.		48,000		254,512
Jardine Matheson Holdings, Ltd.		16,700		1,014,525
Jardine Strategic Holdings, Ltd.		15,000		593,700
Kerry Properties, Ltd.		30,000		134,893
Kingboard Chemical Holdings, Ltd.		56,000		302,662
Kingston Financial Group, Ltd. (a)		258,000		247,528
Lee & Man Paper Manufacturing, Ltd.		156,000		184,391
Li & Fung, Ltd.		530,000		290,855
Link REIT		167,500		1,552,374
Melco Resorts & Entertainment, Ltd. ADR		17,430		506,167
MTR Corp., Ltd.		100,988		591,669
New World Development Co., Ltd.		412,902		620,095
Nine Dragons Paper Holdings, Ltd.		80,000		128,126
NWS Holdings, Ltd.		140,968		254,263
PCCW, Ltd.		337,000		195,717
Power Assets Holdings, Ltd.		108,500		915,351
Sands China, Ltd.		187,200		966,257
Shangri-La Asia, Ltd.		100,000		226,933
Shimao Property Holdings, Ltd.		90,500		196,807
Sino Biopharmaceutical, Ltd.		294,000		521,259
Sino Land Co., Ltd.		259,273		459,025
SJM Holdings, Ltd.		96,000		85,963
Sun Art Retail Group, Ltd.		104,000		109,890
Sun Hung Kai Properties, Ltd.		110,000		1,834,905
Swire Pacific, Ltd. Class A		30,000		277,653
Swire Properties, Ltd.		74,800		241,127
Techtronic Industries Co., Ltd.		109,000		710,418
WH Group, Ltd. (d)		690,000		778,504
Wharf Holdings, Ltd.		70,000		241,771
Wharf Real Estate Investment Co., Ltd. (b)		96,000		638,584
Wheelock & Co., Ltd.		67,000		478,247
Yue Yuen Industrial Holdings, Ltd.		56,500		221,886
				41,992,903
HUNGARY — 0.1%
MOL Hungarian Oil & Gas PLC		31,397		365,220
OTP Bank PLC		18,758		778,401
Richter Gedeon Nyrt		8,926		234,265
				1,377,886
INDIA — 2.1%
ACC, Ltd.		889		24,569
Adani Ports & Special Economic Zone, Ltd.		52,116		332,076
Ambuja Cements, Ltd.		25,405		107,965
Ashok Leyland, Ltd.		96,463		180,904
Asian Paints, Ltd.		24,080		437,630
Aurobindo Pharma, Ltd.		16,816		180,971
Axis Bank, Ltd.		129,288		1,139,796
Bajaj Auto, Ltd.		5,404		282,085
Bajaj Finance, Ltd.		10,534		290,468
Bajaj Finserv, Ltd.		3,439		282,006
Bharat Forge, Ltd.		16,336		186,606
Bharat Heavy Electricals, Ltd.		73,012		105,982
Bharat Petroleum Corp., Ltd.		61,945		502,237
Bharti Airtel, Ltd.		83,034		690,394
Bharti Infratel, Ltd.		35,434		210,486
Bosch, Ltd.		698		219,633
Britannia Industries, Ltd.		2,757		203,671
Cadila Healthcare, Ltd.		4,054		27,616
Cipla, Ltd.		30,767		292,594
Coal India, Ltd.		61,898		255,050
Container Corp. Of India, Ltd.		151		3,274
Dabur India, Ltd.		47,756		261,684
Dr Reddy’s Laboratories, Ltd.		6,332		239,505
Eicher Motors, Ltd.		1,089		517,837
GAIL India, Ltd.		29,235		229,428
GAIL India, Ltd. GDR		533		25,344
Glenmark Pharmaceuticals, Ltd.		6,301		58,743
Godrej Consumer Products, Ltd.		15,225		238,534
Grasim Industries, Ltd.		19,909		363,432
Havells India, Ltd.		19,396		170,751
HCL Technologies, Ltd.		36,475		512,002
Hero MotoCorp, Ltd.		4,570		272,578
Hindalco Industries, Ltd.		79,663		342,166
Hindustan Petroleum Corp., Ltd.		38,951		255,697
Hindustan Unilever, Ltd.		50,139		1,070,101
Housing Development Finance Corp., Ltd.		113,255		3,035,097
ICICI Bank, Ltd. ADR		3,933		38,268
ICICI Bank, Ltd.		151,813		747,440
Idea Cellular, Ltd. (b)		76,577		129,993
IDFC Bank, Ltd.		72,488		61,554
Indiabulls Housing Finance, Ltd.		26,026		486,452
Indian Oil Corp., Ltd.		33,593		204,708

See accompanying notes to financial statements.

66

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Infosys, Ltd. ADR (a)		7,300	$	118,406
Infosys, Ltd.		119,543		1,950,165
ITC, Ltd.		262,935		1,084,449
JSW Steel, Ltd.		50,000		211,860
Larsen & Toubro, Ltd., GDR		3,180		61,533
Larsen & Toubro, Ltd.		34,455		680,922
LIC Housing Finance, Ltd.		27,542		243,154
Lupin, Ltd.		12,371		171,927
Mahindra & Mahindra Financial Services, Ltd.		27,266		201,780
Mahindra & Mahindra, Ltd. GDR		1,651		38,468
Mahindra & Mahindra, Ltd.		55,908		658,256
Marico, Ltd.		31,723		159,690
Maruti Suzuki India, Ltd.		8,120		1,238,504
Motherson Sumi Systems, Ltd.		54,804		325,849
Nestle India, Ltd.		2,089		256,956
NTPC, Ltd.		103,864		286,967
Oil & Natural Gas Corp., Ltd.		84,461		258,104
Petronet LNG, Ltd.		45,619		181,683
Piramal Enterprises, Ltd.		5,262		236,111
Power Finance Corp., Ltd.		49,755		94,712
Reliance Industries, Ltd., GDR (d)		6,884		196,538
Reliance Industries, Ltd.		181,136		2,611,151
Rural Electrification Corp., Ltd.		54,149		132,260
Shree Cement, Ltd.		574		162,593
Shriram Transport Finance Co., Ltd.		9,802		226,209
Siemens, Ltd.		6,013		117,288
State Bank of India		108,851		528,672
State Bank of India GDR		1,020		49,674
Sun Pharmaceutical Industries, Ltd.		77,071		688,208
Tata Consultancy Services, Ltd.		34,993		1,480,257
Tata Motors, Ltd. ADR (b)		1,078		35,649
Tata Motors, Ltd. (b)		32,277		123,287
Tata Motors, Ltd. (b)		101,056		682,705
Tata Power Co., Ltd.		115,538		169,069
Tata Steel, Ltd.		25,361		290,453
Tata Steel, Ltd. GDR		1,300		14,820
Tech Mahindra, Ltd.		28,497		224,976
Titan Co., Ltd.		21,038		282,918
UltraTech Cement, Ltd.		7,230		489,678
United Spirits, Ltd. (b)		5,192		298,786
UPL, Ltd.		22,155		264,496
Vakrangee, Ltd. (c)		19,696		129,296
Vakrangee, Ltd. (b) (c) (g)		19,696		129,681
Vedanta, Ltd.		114,419		592,553
Vedanta, Ltd. ADR		1,433		29,849
Wipro, Ltd. ADR		5,876		32,142
Wipro, Ltd.		79,046		386,391
Yes Bank, Ltd.		116,150		573,403
Zee Entertainment Enterprises, Ltd.		33,339		303,630
				34,923,455
INDONESIA — 0.5%
Adaro Energy Tbk PT		619,000		84,860
AKR Corporindo Tbk PT		22,500		10,531
Astra International Tbk PT		1,570,100		960,518
Bank Central Asia Tbk PT		757,000		1,221,913
Bank Danamon Indonesia Tbk PT		361,600		185,231
Bank Mandiri Persero Tbk PT		1,460,700		861,294
Bank Negara Indonesia Persero Tbk PT		493,000		359,735
Bank Rakyat Indonesia Persero Tbk PT		4,274,000		1,146,664
Bumi Serpong Damai Tbk PT		103,500		12,968
Charoen Pokphand Indonesia Tbk PT		573,000		126,700
Gudang Garam Tbk PT		43,700		269,914
Hanjaya Mandala Sampoerna Tbk PT		833,400		290,546
Indocement Tunggal Prakarsa Tbk PT		115,500		186,860
Indofood CBP Sukses Makmur Tbk PT		115,000		75,438
Indofood Sukses Makmur Tbk PT		409,500		230,141
Jasa Marga Persero Tbk PT		13,875		6,545
Kalbe Farma Tbk PT		1,941,600		241,850
Matahari Department Store Tbk PT		247,100		182,126
Pakuwon Jati Tbk PT		1,357,000		68,513
Perusahaan Gas Negara Persero Tbk		473,000		61,010
Semen Indonesia Persero Tbk PT		112,000		81,725
Surya Citra Media Tbk PT		50,000		9,139
Telekomunikasi Indonesia Persero Tbk PT		3,864,700		1,264,733
Tower Bersama Infrastructure Tbk PT		16,500		7,814
Unilever Indonesia Tbk PT		125,000		515,017
United Tractors Tbk PT		107,200		279,704
Waskita Karya Persero Tbk PT		124,000		20,198
XL Axiata Tbk PT (b)		78,125		17,044
				8,778,731
IRELAND — 0.4%
AerCap Holdings NV (b)		11,123		585,181
AIB Group PLC		51,442		339,744
Bank of Ireland Group PLC (b)		73,323		624,688
CRH PLC		62,961		2,264,705
James Hardie Industries PLC		30,562		540,710
Kerry Group PLC Class A		12,101		1,358,638
Paddy Power Betfair PLC		6,317		752,477
Ryanair Holdings PLC ADR (b)		2,363		246,201
				6,712,344
ISRAEL — 0.3%
Azrieli Group, Ltd.		2,906		162,642
Bank Hapoalim BM		85,636		631,235
Bank Leumi Le-Israel BM		115,266		696,248
Bezeq The Israeli Telecommunication Corp., Ltd.		135,675		205,565

See accompanying notes to financial statements.

67

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Check Point Software Technologies, Ltd. (b)		10,110	$	1,047,598
Elbit Systems, Ltd.		1,528		204,663
Frutarom Industries, Ltd.		2,616		246,028
Israel Chemicals, Ltd.		35,345		143,553
Mizrahi Tefahot Bank, Ltd.		9,263		171,164
Nice, Ltd.		3,808		344,970
Teva Pharmaceutical Industries, Ltd. ADR (a)		34,553		654,779
Teva Pharmaceutical Industries, Ltd.		35,775		676,517
				5,184,962
ITALY — 1.4%
Assicurazioni Generali SpA		94,629		1,727,184
Atlantia SpA		34,938		1,104,218
Davide Campari-Milano SpA		36,691		283,957
Enel SpA		606,332		3,735,069
Eni SpA		190,199		3,151,796
Ferrari NV		9,489		996,440
Intesa Sanpaolo SpA (c)		1,006,701		3,348,506
Intesa Sanpaolo SpA (c)		72,222		230,686
Leonardo SpA		28,056		334,201
Luxottica Group SpA		11,461		703,945
Mediobanca SpA		46,403		527,118
Poste Italiane SpA (d)		34,001		256,198
Prysmian SpA		14,439		471,430
Recordati SpA		8,823		392,638
Snam SpA		153,615		752,601
Telecom Italia SpA/Milano (b)		768,458		664,852
Telecom Italia SpA/Milano		376,441		269,410
Terna Rete Elettrica Nazionale SpA		96,677		562,339
UniCredit SpA (b)		149,930		2,804,960
UnipolSai Assicurazioni SpA		47,138		110,207
				22,427,755
JAPAN — 18.8%
ABC-Mart, Inc.		1,500		86,152
Acom Co., Ltd. (a) (b)		18,400		77,585
Aeon Co., Ltd.		57,400		969,405
AEON Financial Service Co., Ltd.		10,500		244,581
Aeon Mall Co., Ltd.		8,700		170,216
Air Water, Inc.		11,600		244,872
Aisin Seiki Co., Ltd.		13,900		781,065
Ajinomoto Co., Inc.		51,100		962,122
Alfresa Holdings Corp.		12,300		289,020
Alps Electric Co., Ltd.		14,000		400,178
Amada Holdings Co., Ltd.		21,700		295,498
ANA Holdings, Inc.		7,700		321,671
Aozora Bank, Ltd.		7,400		288,051
Asahi Glass Co., Ltd.		15,900		688,788
Asahi Group Holdings, Ltd.		34,800		1,726,871
Asahi Kasei Corp.		114,500		1,477,370
Asics Corp.		12,400		197,696
Astellas Pharma, Inc.		183,300		2,338,234
Bandai Namco Holdings, Inc.		16,200		529,933
Bank of Kyoto, Ltd.		4,400		229,277
Benesse Holdings, Inc.		6,600		232,889
Bridgestone Corp.		57,300		2,664,336
Brother Industries, Ltd.		19,300		476,289
Calbee, Inc. (a)		6,100		198,460
Canon, Inc.		93,200		3,474,834
Casio Computer Co., Ltd.		17,500		251,820
Central Japan Railway Co.		12,800		2,292,978
Chiba Bank, Ltd.		57,000		474,621
Chubu Electric Power Co., Inc.		62,400		775,776
Chugai Pharmaceutical Co., Ltd.		20,900		1,070,510
Chugoku Electric Power Co., Inc.		17,800		191,352
Coca-Cola Bottlers Japan, Inc.		9,200		336,067
Concordia Financial Group, Ltd.		86,500		522,148
Credit Saison Co., Ltd.		12,000		218,375
CYBERDYNE, Inc. (a) (b)		5,300		91,321
Dai Nippon Printing Co., Ltd.		21,300		475,161
Daicel Corp.		16,900		192,328
Daifuku Co., Ltd.		10,100		550,502
Dai-ichi Life Holdings, Inc.		96,100		1,982,569
Daiichi Sankyo Co., Ltd.		51,800		1,350,525
Daikin Industries, Ltd.		22,000		2,604,261
Daito Trust Construction Co., Ltd.		6,300		1,284,887
Daiwa House Industry Co., Ltd.		50,500		1,939,756
Daiwa House REIT Investment Corp.		87		206,746
Daiwa Securities Group, Inc.		126,000		790,674
DeNA Co., Ltd.		7,100		146,412
Denso Corp.		42,100		2,527,495
Dentsu, Inc.		20,600		873,191
Disco Corp.		2,300		511,860
Don Quijote Holdings Co., Ltd.		11,900		622,202
East Japan Railway Co.		28,800		2,810,972
Eisai Co., Ltd.		24,400		1,389,706
Electric Power Development Co., Ltd.		9,100		245,171
FamilyMart UNY Holdings Co., Ltd.		6,700		469,862
FANUC Corp.		16,900		4,059,601
Fast Retailing Co., Ltd.		4,700		1,873,742
Fuji Electric Co., Ltd.		43,000		324,075
FUJIFILM Holdings Corp.		37,300		1,524,780
Fujitsu, Ltd.		180,000		1,282,610
Fukuoka Financial Group, Inc.		52,000		292,197
Hachijuni Bank Ltd.		38,300		219,974
Hakuhodo DY Holdings, Inc.		17,800		231,171
Hamamatsu Photonics KK		9,000		302,796
Hankyu Hanshin Holdings, Inc.		22,800		916,858
Hikari Tsushin, Inc.		1,900		273,236
Hino Motors, Ltd.		19,900		257,914
Hirose Electric Co., Ltd.		2,000		292,410
Hisamitsu Pharmaceutical Co., Inc.		4,000		242,521
Hitachi Chemical Co., Ltd.		7,900		202,953
Hitachi Construction Machinery Co., Ltd.		9,300		338,069
Hitachi High-Technologies Corp.		5,400		227,696

See accompanying notes to financial statements.

68

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Hitachi Metals, Ltd.		16,600	$	238,427
Hitachi, Ltd.		423,000		3,296,509
Honda Motor Co., Ltd.		149,100		5,111,622
Hoshizaki Corp.		4,500		399,068
Hoya Corp.		35,000		1,748,602
Hulic Co., Ltd.		22,800		256,234
Idemitsu Kosan Co., Ltd.		13,800		554,328
IHI Corp.		12,900		429,427
Iida Group Holdings Co., Ltd.		13,400		252,774
Inpex Corp.		88,200		1,103,185
Isetan Mitsukoshi Holdings, Ltd.		19,600		243,064
Isuzu Motors, Ltd.		43,600		730,344
ITOCHU Corp.		132,300		2,469,835
J Front Retailing Co., Ltd.		15,100		284,574
Japan Airlines Co., Ltd.		7,500		293,475
Japan Airport Terminal Co., Ltd.		2,000		74,212
Japan Exchange Group, Inc.		49,600		863,432
Japan Post Bank Co., Ltd.		33,400		434,956
Japan Post Holdings Co., Ltd.		142,100		1,629,767
Japan Prime Realty Investment Corp. REIT		53		168,433
Japan Real Estate Investment Corp. REIT		101		479,672
Japan Retail Fund Investment Corp. REIT		222		407,148
Japan Tobacco, Inc.		96,400		3,107,221
JFE Holdings, Inc.		48,300		1,160,229
JGC Corp.		12,100		234,051
JSR Corp.		14,500		285,495
JTEKT Corp.		14,200		244,041
JXTG Holdings, Inc.		276,600		1,785,071
Kajima Corp.		86,000		827,554
Kakaku.com, Inc.		13,300		224,913
Kamigumi Co., Ltd.		10,700		236,796
Kaneka Corp.		26,000		237,497
Kansai Electric Power Co., Inc.		67,600		828,122
Kansai Paint Co., Ltd.		20,900		543,233
Kao Corp.		43,500		2,942,091
Kawasaki Heavy Industries, Ltd.		15,500		544,186
KDDI Corp.		157,700		3,926,051
Keihan Holdings Co., Ltd.		7,000		206,303
Keikyu Corp.		19,700		378,611
Keio Corp.		9,600		422,264
Keisei Electric Railway Co., Ltd.		9,100		292,428
Keyence Corp.		8,400		4,706,684
Kikkoman Corp.		14,800		599,095
Kintetsu Group Holdings Co., Ltd.		17,800		682,610
Kirin Holdings Co., Ltd.		77,500		1,954,183
Kobe Steel, Ltd. (b)		23,600		218,926
Koito Manufacturing Co., Ltd.		9,000		632,756
Komatsu, Ltd.		81,100		2,935,870
Konami Holdings Corp.		6,000		330,226
Konica Minolta, Inc.		50,300		484,023
Kose Corp.		2,300		359,139
Kubota Corp.		94,500		1,853,509
Kuraray Co., Ltd.		28,700		541,644
Kurita Water Industries, Ltd.		8,800		285,912
Kyocera Corp.		28,700		1,878,430
Kyowa Hakko Kirin Co., Ltd.		26,900		520,329
Kyushu Electric Power Co., Inc.		45,300		474,916
Kyushu Financial Group, Inc.		14,200		85,969
Kyushu Railway Co.		13,300		412,636
Lawson, Inc.		3,700		246,010
LINE Corp. (a) (b)		2,000		81,580
Lion Corp.		14,000		265,335
LIXIL Group Corp.		21,400		579,405
M3, Inc.		14,800		520,923
Mabuchi Motor Co., Ltd.		4,500		244,075
Makita Corp.		21,300		895,300
Marubeni Corp.		153,300		1,110,591
Marui Group Co., Ltd.		15,200		278,363
Maruichi Steel Tube, Ltd.		2,600		76,165
Mazda Motor Corp.		55,300		741,997
McDonald’s Holdings Co. Japan, Ltd. (a)		5,000		219,929
Mebuki Financial Group, Inc.		66,600		282,008
Medipal Holdings Corp.		13,000		254,692
MEIJI Holdings Co., Ltd.		11,500		979,006
MINEBEA MITSUMI, Inc.		30,600		641,880
MISUMI Group, Inc.		22,400		652,215
Mitsubishi Chemical Holdings Corp.		130,100		1,428,039
Mitsubishi Corp.		131,800		3,642,196
Mitsubishi Electric Corp.		169,900		2,822,617
Mitsubishi Estate Co., Ltd.		111,800		1,945,211
Mitsubishi Gas Chemical Co., Inc.		13,400		384,811
Mitsubishi Heavy Industries, Ltd.		24,900		930,573
Mitsubishi Materials Corp.		8,400		299,015
Mitsubishi Motors Corp.		41,800		302,043
Mitsubishi Tanabe Pharma Corp.		18,900		391,254
Mitsubishi UFJ Financial Group, Inc.		1,026,700		7,531,868
Mitsubishi UFJ Lease & Finance Co., Ltd.		40,900		243,621
Mitsui & Co., Ltd.		150,900		2,454,051
Mitsui Chemicals, Inc.		18,500		595,317
Mitsui Fudosan Co., Ltd.		80,000		1,793,165
Mitsui OSK Lines, Ltd.		8,600		287,048
Mixi, Inc.		2,100		94,328
Mizuho Financial Group, Inc.		2,102,300		3,818,292
MS&AD Insurance Group Holdings, Inc.		43,100		1,459,240
Murata Manufacturing Co., Ltd.		17,000		2,281,758
Nabtesco Corp.		8,500		325,965
Nagoya Railroad Co., Ltd.		15,500		390,355
NEC Corp.		18,100		488,451
Nexon Co., Ltd. (b)		13,100		381,429
NGK Insulators, Ltd.		21,900		413,699
NGK Spark Plug Co., Ltd.		11,400		277,182
NH Foods, Ltd.		15,000		365,912
Nidec Corp.		20,900		2,933,236
Nikon Corp.		27,400		552,135
Nintendo Co., Ltd.		9,900		3,619,893

See accompanying notes to financial statements.

69

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Nippon Building Fund, Inc. REIT		108	$	528,256
Nippon Electric Glass Co., Ltd.		7,500		286,285
Nippon Express Co., Ltd.		5,200		345,743
Nippon Paint Holdings Co., Ltd. (a)		13,500		427,230
Nippon Prologis REIT, Inc.		106		224,233
Nippon Steel & Sumitomo Metal Corp.		68,300		1,752,821
Nippon Telegraph & Telephone Corp.		60,800		2,861,081
Nippon Yusen KK (b)		12,400		302,597
Nissan Chemical Industries, Ltd.		12,600		502,770
Nissan Motor Co., Ltd.		206,700		2,061,495
Nisshin Seifun Group, Inc.		13,600		274,777
Nissin Foods Holdings Co., Ltd.		3,900		284,927
Nitori Holdings Co., Ltd.		6,200		884,181
Nitto Denko Corp.		15,100		1,341,775
NOK Corp.		4,000		93,422
Nomura Holdings, Inc.		324,500		1,915,889
Nomura Real Estate Holdings, Inc.		11,300		253,385
Nomura Real Estate Master Fund, Inc.		317		393,682
Nomura Research Institute, Ltd.		10,800		502,370
NSK, Ltd.		38,700		609,443
NTT Data Corp.		61,400		729,823
NTT DOCOMO, Inc.		120,000		2,834,621
Obayashi Corp.		62,900		761,612
Obic Co., Ltd.		4,200		308,708
Odakyu Electric Railway Co., Ltd.		23,900		511,309
Oji Holdings Corp.		87,000		579,228
Olympus Corp.		27,200		1,043,089
Omron Corp.		17,900		1,067,803
Ono Pharmaceutical Co., Ltd.		39,100		911,466
Oracle Corp. Japan		3,300		273,609
Oriental Land Co., Ltd.		19,600		1,786,880
ORIX Corp.		118,100		1,996,640
Osaka Gas Co., Ltd.		36,700		706,960
Otsuka Corp.		3,900		299,121
Otsuka Holdings Co., Ltd.		35,300		1,550,505
Panasonic Corp.		194,100		2,842,148
Park24 Co., Ltd.		7,900		189,137
Pola Orbis Holdings, Inc. (a)		8,100		284,381
Rakuten, Inc. (b)		89,400		819,401
Recruit Holdings Co., Ltd.		97,400		2,420,950
Renesas Electronics Corp. (b)		50,600		589,772
Resona Holdings, Inc.		170,800		1,020,555
Ricoh Co., Ltd.		49,600		460,996
Rinnai Corp.		2,300		208,256
Rohm Co., Ltd.		8,900		985,992
Ryohin Keikaku Co., Ltd.		1,900		592,011
Sankyo Co., Ltd.		3,800		119,583
Santen Pharmaceutical Co., Ltd.		29,700		466,921
SBI Holdings, Inc.		17,300		361,818
Secom Co., Ltd.		19,100		1,442,376
Sega Sammy Holdings, Inc.		7,300		90,594
Seibu Holdings, Inc.		23,900		452,116
Seiko Epson Corp.		22,600		533,452
Sekisui Chemical Co., Ltd.		32,100		644,565
Sekisui House, Ltd.		45,900		829,378
Seven & i Holdings Co., Ltd.		66,300		2,756,173
Seven Bank, Ltd.		42,900		146,999
Sharp Corp. (a) (b)		15,400		529,055
Shimadzu Corp.		20,800		473,055
Shimamura Co., Ltd.		1,700		187,128
Shimano, Inc.		7,000		984,909
Shimizu Corp.		45,000		464,980
Shin-Etsu Chemical Co., Ltd.		34,000		3,455,837
Shinsei Bank, Ltd.		14,900		257,790
Shionogi & Co., Ltd.		26,900		1,455,919
Shiseido Co., Ltd.		34,200		1,653,379
Shizuoka Bank, Ltd.		53,000		547,643
Showa Shell Sekiyu KK		8,600		116,804
SMC Corp.		5,100		2,099,760
SoftBank Group Corp.		71,400		5,653,688
Sohgo Security Services Co., Ltd.		4,800		261,198
Sompo Holdings, Inc.		27,200		1,053,713
Sony Corp.		109,600		4,945,378
Sony Financial Holdings, Inc.		13,400		237,429
Stanley Electric Co., Ltd.		9,500		385,819
Start Today Co., Ltd.		15,400		468,220
Subaru Corp.		55,300		1,758,898
SUMCO Corp.		23,600		605,032
Sumitomo Chemical Co., Ltd.		147,000		1,056,991
Sumitomo Corp.		106,500		1,810,453
Sumitomo Dainippon Pharma Co., Ltd.		15,000		222,903
Sumitomo Electric Industries, Ltd.		58,400		987,590
Sumitomo Heavy Industries, Ltd.		7,800		330,280
Sumitomo Metal Mining Co., Ltd.		19,500		896,325
Sumitomo Mitsui Financial Group, Inc.		116,400		5,030,051
Sumitomo Mitsui Trust Holdings, Inc.		25,600		1,016,501
Sumitomo Realty & Development Co., Ltd.		28,000		920,408
Sumitomo Rubber Industries, Ltd.		14,000		260,488
Sundrug Co., Ltd.		5,700		265,140
Suntory Beverage & Food, Ltd.		11,300		502,557
Suruga Bank, Ltd.		11,300		242,451
Suzuken Co., Ltd.		6,500		267,443
Suzuki Motor Corp.		30,800		1,786,482
Sysmex Corp.		14,500		1,141,722
T&D Holdings, Inc.		41,300		706,481
Taiheiyo Cement Corp.		12,400		535,517
Taisei Corp.		19,400		966,125
Taisho Pharmaceutical Holdings Co., Ltd.		2,900		231,691
Taiyo Nippon Sanso Corp.		9,900		138,591
Takashimaya Co., Ltd.		23,000		242,148

See accompanying notes to financial statements.

70

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Takeda Pharmaceutical Co., Ltd.		62,200	$	3,534,329
TDK Corp.		12,200		973,617
Teijin, Ltd.		12,200		271,833
Temp Holdings Co., Ltd.		11,200		280,771
Terumo Corp.		29,400		1,393,662
THK Co., Ltd.		9,000		337,949
Tobu Railway Co., Ltd.		15,700		507,306
Toho Co., Ltd.		7,500		259,987
Toho Gas Co., Ltd.		5,800		159,095
Tohoku Electric Power Co., Inc.		37,000		473,298
Tokio Marine Holdings, Inc.		59,700		2,724,525
Tokyo Electric Power Co. Holdings, Inc. (b)		118,200		467,973
Tokyo Electron, Ltd.		13,900		2,517,177
Tokyo Gas Co., Ltd.		37,200		851,489
Tokyo Tatemono Co., Ltd.		18,500		249,951
Tokyu Corp.		51,000		814,008
Tokyu Fudosan Holdings Corp.		35,300		255,388
Toppan Printing Co., Ltd.		44,000		398,012
Toray Industries, Inc.		113,100		1,066,744
Toshiba Corp. (b)		589,000		1,657,461
Tosoh Corp.		23,700		537,326
TOTO, Ltd.		11,300		667,066
Toyo Seikan Group Holdings, Ltd.		12,700		204,057
Toyo Suisan Kaisha, Ltd.		5,900		252,184
Toyoda Gosei Co., Ltd.		5,300		134,888
Toyota Industries Corp.		15,300		983,329
Toyota Motor Corp.		223,500		14,310,746
Toyota Tsusho Corp.		16,900		680,351
Trend Micro, Inc. (b)		9,600		544,554
Tsuruha Holdings, Inc.		2,400		326,391
Unicharm Corp.		37,900		985,602
United Urban Investment Corp. REIT		258		371,254
USS Co., Ltd.		14,000		296,529
West Japan Railway Co.		12,800		934,803
Yahoo! Japan Corp.		115,300		529,162
Yakult Honsha Co., Ltd.		7,100		535,730
Yamada Denki Co., Ltd. (a)		47,700		262,953
Yamaguchi Financial Group, Inc.		19,000		225,841
Yamaha Corp.		13,700		505,921
Yamaha Motor Co., Ltd.		26,700		875,779
Yamato Holdings Co., Ltd.		34,300		690,415
Yamazaki Baking Co., Ltd. (a)		10,300		200,880
Yaskawa Electric Corp.		19,800		872,676
Yokogawa Electric Corp.		14,900		285,435
Yokohama Rubber Co., Ltd.		10,800		264,895
				311,094,148
LUXEMBOURG — 0.2%
ArcelorMittal (b)		50,413		1,641,432
Eurofins Scientific SE		893		544,307
Millicom International Cellular SA SDR		4,271		288,994
RTL Group SA		2,437		196,270
SES SA		24,802		387,467
Tenaris SA		32,627		515,589
				3,574,059
MACAU — 0.0% (f)
MGM China Holdings, Ltd.		85,200		257,759
Wynn Macau, Ltd.		116,000		367,262
				625,021
MALAYSIA — 0.6%
AirAsia Bhd		140,400		116,219
Alliance Bank Malaysia Bhd		9,200		9,275
AMMB Holdings Bhd		132,400		144,276
Astro Malaysia Holdings Bhd		13,200		8,643
Axiata Group Bhd		183,225		248,556
British American Tobacco Malaysia Bhd		2,800		27,675
CIMB Group Holdings Bhd		364,668		589,308
Dialog Group Bhd		282,300		175,086
DiGi.Com Bhd		221,300		278,881
Felda Global Ventures Holdings Bhd		4,700		1,963
Gamuda Bhd		128,616		157,632
Genting Bhd		190,200		432,380
Genting Malaysia Bhd		188,600		262,372
Genting Plantations Bhd		900		2,335
HAP Seng Consolidated Bhd		66,200		156,217
Hartalega Holdings Bhd		69,100		182,354
Hong Leong Bank Bhd		49,032		205,966
Hong Leong Financial Group Bhd		4,800		21,207
IHH Healthcare Bhd		185,200		268,167
IJM Corp. Bhd		126,600		95,411
IOI Corp. Bhd		149,800		168,048
IOI Properties Group Bhd		38,750		17,714
Kuala Lumpur Kepong Bhd		43,300		267,482
Malayan Banking Bhd		332,299		804,678
Malaysia Airports Holdings Bhd		66,124		143,620
Maxis Bhd		176,500		262,111
MISC Bhd		86,500		158,594
Nestle Malaysia Bhd		6,300		160,652
Petronas Chemicals Group Bhd		151,900		289,012
Petronas Dagangan Bhd		22,600		135,477
Petronas Gas Bhd		48,700		210,347
PPB Group Bhd		36,900		157,192
Press Metal Aluminium Holdings Bhd		136,100		181,265
Public Bank Bhd		223,900		1,149,652
RHB Capital Bhd		9,259		11,439
Sapura Energy Bhd		192,900		33,842
Sime Darby Bhd		142,535		77,836
Sime Darby Plantation Bhd (b)		142,535		211,320
Sime Darby Property Bhd (b)		142,535		62,691
Telekom Malaysia Bhd		91,003		141,665
Tenaga Nasional Bhd		262,600		990,184
UMW Holdings Bhd (b)		4,900		6,296
Westports Holdings Bhd		8,800		8,045
YTL Corp. Bhd		82,008		27,762

See accompanying notes to financial statements.

71

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
YTL Power International Bhd		7,548	$	2,406
				9,063,253
MEXICO — 0.7%
Alfa SAB de CV Class A		167,200		185,013
America Movil SAB de CV Series L		2,531,700		2,191,970
Arca Continental SAB de CV		28,000		194,843
Cemex SAB de CV Series CPO (b)		1,142,364		858,868
Coca-Cola Femsa SAB de CV Series L		32,200		225,732
El Puerto de Liverpool SAB de CV Series C1 (a)		13,000		82,616
Fibra Uno Administracion SA de CV REIT		252,200		374,971
Fomento Economico Mexicano SAB de CV		148,200		1,400,763
Fresnillo PLC		13,020		251,687
Gentera SAB de CV		67,100		56,038
Gruma SAB de CV Class B		14,700		187,342
Grupo Aeroportuario del Pacifico SAB de CV Class B		23,300		240,556
Grupo Aeroportuario del Sureste SAB de CV Class B		13,750		252,055
Grupo Bimbo SAB de CV Series A		97,500		217,121
Grupo Carso SAB de CV Series A1		23,000		76,163
Grupo Financiero Banorte SAB de CV Series O		192,700		1,062,999
Grupo Financiero Inbursa SAB de CV Series O		147,800		243,167
Grupo Financiero Santander Mexico SAB de CV Class B		116,000		170,453
Grupo Lala SAB de CV		45,300		63,995
Grupo Mexico SAB de CV Series B		295,800		981,641
Grupo Televisa SAB Series CPO		163,600		615,836
Industrias Penoles SAB de CV		9,730		204,342
Infraestructura Energetica Nova SAB de CV		48,600		238,957
Kimberly-Clark de Mexico SAB de CV Class A		103,300		182,783
Mexichem SAB de CV		73,357		182,479
Promotora y Operadora de Infraestructura SAB de CV		18,200		180,712
Wal-Mart de Mexico SAB de CV		405,700		999,865
				11,922,967
NETHERLANDS — 3.1%
ABN AMRO Group NV (d)		32,664		1,055,097
Aegon NV		137,426		877,087
Akzo Nobel NV		19,108		1,675,436
Altice NV Class A (a) (b)		44,323		465,489
ASML Holding NV		28,867		5,031,407
Boskalis Westminster		6,961		262,716
EXOR NV		7,596		466,097
Heineken Holding NV		8,980		889,505
Heineken NV		19,556		2,041,364
ING Groep NV		288,686		5,312,476
Koninklijke Ahold Delhaize NV		96,524		2,125,137
Koninklijke DSM NV		13,858		1,325,764
Koninklijke KPN NV		267,167		932,928
Koninklijke Philips NV		70,510		2,670,442
Koninklijke Vopak NV		4,863		213,550
NN Group NV		23,656		1,026,029
NXP Semiconductors NV (b)		22,454		2,629,139
Randstad Holding NV		8,264		508,476
Royal Dutch Shell PLC Class A		333,613		11,192,114
Royal Dutch Shell PLC Class B		277,254		9,408,262
Wolters Kluwer NV		23,144		1,208,367
				51,316,882
NEW ZEALAND — 0.2%
Auckland International Airport, Ltd.		80,421		370,626
Fisher & Paykel Healthcare Corp., Ltd.		57,800		589,891
Fletcher Building, Ltd.		76,325		412,546
Mercury NZ, Ltd.		58,363		139,881
Meridian Energy, Ltd.		118,222		245,933
Ryman Healthcare, Ltd.		36,039		271,432
Spark New Zealand, Ltd.		154,370		398,530
				2,428,839
NORWAY — 0.5%
DNB ASA		74,541		1,386,135
Gjensidige Forsikring ASA		15,042		284,864
Marine Harvest ASA (b)		26,793		455,321
Norsk Hydro ASA		92,762		707,111
Orkla ASA		55,826		594,137
Schibsted ASA Class B		9,073		241,818
Statoil ASA		86,811		1,859,474
Telenor ASA		57,521		1,237,011
Yara International ASA		12,393		570,760
				7,336,631
PAKISTAN — 0.0% (f)
Habib Bank, Ltd.		53,000		80,252
PERU — 0.1%
Cia de Minas Buenaventura SAA ADR		12,300		173,184
Credicorp, Ltd.		5,200		1,078,636
Southern Copper Corp. (a)		7,400		351,130
				1,602,950
PHILIPPINES — 0.3%
Aboitiz Equity Ventures, Inc.		180,220		267,153
Aboitiz Power Corp.		12,500		10,404
Alliance Global Group, Inc. (b)		450,900		144,519
Ayala Corp.		25,640		521,326
Ayala Land, Inc.		596,600		533,020
Bank of the Philippine Islands		60,060		130,058
BDO Unibank, Inc.		160,333		526,735
DMCI Holdings, Inc.		33,730		9,730
Globe Telecom, Inc.		2,995		113,992
GT Capital Holdings, Inc.		5,280		136,654

See accompanying notes to financial statements.

72

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
International Container Terminal Services, Inc.		4,320	$	9,130
JG Summit Holdings, Inc.		167,600		242,066
Jollibee Foods Corp.		33,510		169,832
Manila Electric Co.		24,040		158,244
Megaworld Corp.		95,000		9,820
Metro Pacific Investments Corp.		974,000		133,652
Metropolitan Bank & Trust Co.		14,550		29,555
PLDT, Inc.		6,380		189,151
Robinsons Land Corp.		31,800		13,569
Security Bank Corp.		5,920		29,813
SM Investments Corp.		25,175		499,264
SM Prime Holdings, Inc.		703,600		528,546
Universal Robina Corp.		80,890		244,679
				4,650,912
POLAND — 0.3%
Alior Bank SA (b)		7,214		165,049
Bank Handlowy w Warszawie SA		120		2,828
Bank Millennium SA (b)		64,815		166,757
Bank Pekao SA		12,925		481,693
Bank Zachodni WBK SA		2,218		252,930
CCC SA		2,236		183,395
CD Projekt SA		6,706		187,200
Cyfrowy Polsat SA		19,389		138,716
Grupa Azoty SA		626		12,539
Grupa Lotos SA		8,131		135,017
Jastrzebska Spolka Weglowa SA (b)		3,376		93,533
KGHM Polska Miedz SA		8,940		286,096
LPP SA		90		230,776
mBank SA (b)		1,215		162,592
Orange Polska SA (b)		5,574		9,288
PGE Polska Grupa Energetyczna SA (b)		75,453		261,658
PLAY Communications SA (b) (d)		13,499		131,346
Polski Koncern Naftowy ORLEN SA		23,663		721,848
Polskie Gornictwo Naftowe i Gazownictwo SA		155,896		282,199
Powszechna Kasa Oszczednosci Bank Polski SA (b)		73,049		931,507
Powszechny Zaklad Ubezpieczen SA		38,600		468,337
Tauron Polska Energia SA (b)		21,367		18,755
				5,324,059
PORTUGAL — 0.1%
EDP — Energias de Portugal SA		189,986		658,170
Galp Energia SGPS SA		39,475		726,429
Jeronimo Martins SGPS SA		14,746		286,765
				1,671,364
QATAR — 0.1%
Barwa Real Estate Co.		826		7,348
Commercial Bank PQSC (b)		16,545		131,742
Doha Bank QPSC		1,923		14,995
Ezdan Holding Group QSC		52,409		176,855
Industries Qatar QSC		9,460		254,552
Masraf Al Rayan QSC		21,475		218,760
Ooredoo QSC		5,832		145,720
Qatar Electricity & Water Co. QSC		2,273		112,964
Qatar Gas Transport Co., Ltd.		2,813		12,428
Qatar Insurance Co. SAQ		8,467		124,843
Qatar Islamic Bank SAQ		1,177		31,671
Qatar National Bank QPSC		14,756		514,515
				1,746,393
ROMANIA — 0.0% (f)
NEPI Rockcastle PLC		27,380		472,338
RUSSIA — 0.9%
Alrosa PJSC		161,438		210,255
Gazprom PAO		946,910		2,134,407
Inter RAO UES PJSC		2,290,000		133,809
LUKOIL PJSC ADR		420		24,032
LUKOIL PJSC		37,380		2,152,047
Magnit PJSC GDR		27,829		761,123
Magnitogorsk Iron & Steel Works PJSC		226,900		165,333
MMC Norilsk Nickel PJSC		4,926		927,937
Mobile TeleSystems PJSC ADR		26,400		269,016
Mobile TeleSystems PJSC		31,200		149,927
Moscow Exchange MICEX-RTS PJSC		132,585		250,103
Novatek PJSC GDR		7,106		854,141
Novolipetsk Steel PJSC		90,720		232,365
PhosAgro PJSC GDR		11,644		178,735
Polyus PJSC		2,617		206,828
Rosneft Oil Co. PJSC		95,170		480,551
RushHydro PJSC		8,993,000		113,887
Sberbank of Russia PJSC		941,560		3,683,077
Severstal PJSC		18,520		286,817
Surgutneftegas OJSC Preference Shares (b)		446,300		217,486
Surgutneftegas OJSC		456,700		220,174
Tatneft PJSC		117,840		969,391
Transneft PJSC Preference Shares		30		92,755
VTB Bank PJSC		437,390,000		358,660
				15,072,856
SINGAPORE — 0.9%
Ascendas REIT		206,875		421,057
CapitaLand Commercial Trust		191,690		276,834
CapitaLand Mall Trust REIT		161,700		257,723
CapitaLand, Ltd.		178,700		472,023
City Developments, Ltd.		31,000		289,726
ComfortDelGro Corp., Ltd.		128,600		190,533
DBS Group Holdings, Ltd.		134,548		2,501,884
Genting Singapore PLC		493,100		483,359
Global Logistic Properties, Ltd.		188,300		474,836
Golden Agri-Resources, Ltd.		309,500		85,689
Hutchison Port Holdings Trust		421,800		175,047
Jardine Cycle & Carriage, Ltd.		6,211		189,016
Keppel Corp., Ltd.		101,200		556,585

See accompanying notes to financial statements.

73

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Oversea-Chinese Banking Corp., Ltd.		236,650	$	2,194,024
SATS, Ltd.		53,300		207,393
Sembcorp Industries, Ltd.		66,700		151,228
Singapore Airlines, Ltd.		34,400		274,654
Singapore Exchange, Ltd.		47,300		263,328
Singapore Press Holdings, Ltd. (a)		95,500		189,371
Singapore Technologies Engineering, Ltd.		98,400		240,036
Singapore Telecommunications, Ltd.		618,100		1,651,165
StarHub, Ltd.		57,700		123,051
Suntec Real Estate Investment Trust		182,700		293,928
United Overseas Bank, Ltd.		100,693		1,992,914
UOL Group, Ltd.		37,533		249,115
Wilmar International, Ltd.		107,500		248,559
				14,453,078
SOUTH AFRICA — 1.8%
Anglo American Platinum, Ltd. (b)		5,854		167,137
AngloGold Ashanti, Ltd.		23,021		239,173
Aspen Pharmacare Holdings, Ltd.		26,493		593,846
Barclays Africa Group, Ltd.		54,499		801,153
Bid Corp., Ltd.		26,882		653,571
Bidvest Group, Ltd.		20,421		359,743
Brait SE (a) (b)		12,533		42,175
Capitec Bank Holdings, Ltd.		2,901		257,284
Coronation Fund Managers, Ltd.		1,931		11,527
Discovery, Ltd.		23,630		355,023
Exxaro Resources, Ltd.		13,613		178,684
FirstRand, Ltd.		259,576		1,410,055
Fortress REIT, Ltd. Class A,		115,468		173,109
Fortress REIT, Ltd. Class B,		34,720		118,351
Foschini Group, Ltd.		20,758		330,870
Gold Fields, Ltd.		56,782		248,135
Growthpoint Properties, Ltd. REIT		139,006		310,574
Hyprop Investments, Ltd.		16,182		153,324
Imperial Holdings, Ltd.		12,323		260,933
Investec PLC		40,401		292,391
Investec, Ltd.		19,854		143,885
Kumba Iron Ore, Ltd.		6,528		199,916
Liberty Holdings, Ltd.		972		9,769
Life Healthcare Group Holdings, Ltd.		120,788		270,749
Mediclinic International PLC (c)		2,421		20,803
Mediclinic International PLC (a) (c)		21,434		188,321
MMI Holdings, Ltd.		83,371		141,421
Mondi PLC		24,890		650,167
Mondi, Ltd.		10,770		277,749
Mr. Price Group, Ltd.		15,482		306,226
MTN Group, Ltd.		129,910		1,433,417
Naspers, Ltd. Class N		32,456		9,047,307
Nedbank Group, Ltd.		14,950		309,265
Netcare, Ltd.		41,109		83,513
Pick n Pay Stores, Ltd.		16,148		90,731
Pioneer Foods Group, Ltd.		10,377		114,901
PSG Group, Ltd.		6,572		143,331
Rand Merchant Investment Holdings, Ltd.		50,635		187,734
Redefine Properties, Ltd. REIT		298,765		258,222
Remgro, Ltd.		36,115		688,460
Resilient REIT, Ltd.		26,491		323,456
RMB Holdings, Ltd.		53,367		341,282
Sanlam, Ltd.		112,003		787,097
Sappi, Ltd.		37,361		270,098
Sasol, Ltd.		42,261		1,461,657
Shoprite Holdings, Ltd.		36,097		644,935
Sibanye Gold, Ltd.		110,851		141,653
SPAR Group, Ltd.		17,539		288,062
Standard Bank Group, Ltd.		99,082		1,565,944
Steinhoff International Holdings NV		197,420		74,152
Telkom SA SOC, Ltd.		13,170		51,191
Tiger Brands, Ltd. (a)		13,544		503,250
Truworths International, Ltd.		40,455		308,706
Vodacom Group, Ltd.		48,980		576,366
Woolworths Holdings, Ltd.		85,060		448,729
				29,309,523
SOUTH KOREA — 3.7%
Amorepacific Corp.		2,529		719,332
Amorepacific Corp. Preference Shares		740		114,745
AMOREPACIFIC Group		1,798		236,811
BGF retail Co., Ltd. (b)		502		98,473
BNK Financial Group, Inc.		10,927		96,149
Celltrion Healthcare Co., Ltd. (b)		3,133		317,821
Celltrion, Inc. (a) (b)		6,238		1,288,330
Cheil Worldwide, Inc. (b)		7,506		148,641
CJ CheilJedang Corp.		711		243,077
CJ Corp.		1,354		229,556
CJ E&M Corp.		1,969		179,694
CJ Logistics Corp. (b)		100		13,077
Coway Co., Ltd.		3,120		284,736
Daelim Industrial Co., Ltd.		2,118		163,022
Daewoo Engineering & Construction Co., Ltd. (b)		380		2,101
DB Insurance Co., Ltd.		3,165		210,497
DGB Financial Group, Inc.		13,309		131,157
Dongsuh Cos., Inc.		874		23,757
Doosan Bobcat, Inc.		4,079		136,405
Doosan Heavy Industries & Construction Co., Ltd.		457		6,553
E-MART, Inc.		1,356		343,259
GS Engineering & Construction Corp. (b)		5,552		146,767
GS Holdings Corp.		3,356		194,987
GS Retail Co., Ltd.		360		13,552
Hana Financial Group, Inc.		22,874		1,064,056
Hankook Tire Co., Ltd.		4,760		242,769
Hanmi Pharm Co., Ltd. (b)		443		241,663

See accompanying notes to financial statements.

74

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Hanmi Science Co., Ltd. (b)		187	$	19,389
Hanon Systems		8,270		107,377
Hanssem Co., Ltd.		770		129,466
Hanwha Chemical Corp. (b)		6,970		205,737
Hanwha Corp.		3,640		141,105
Hanwha Life Insurance Co., Ltd.		16,650		107,470
Hanwha Techwin Co., Ltd. (b)		2,840		94,309
Hotel Shilla Co., Ltd.		2,730		216,503
Hyosung Corp.		1,344		175,132
Hyundai Department Store Co., Ltd.		1,309		127,776
Hyundai Development Co-Engineering & Construction		3,730		134,316
Hyundai Engineering & Construction Co., Ltd.		4,572		155,026
Hyundai Glovis Co., Ltd.		1,744		221,553
Hyundai Heavy Industries Co., Ltd. (b)		1,750		164,285
Hyundai Marine & Fire Insurance Co., Ltd.		5,728		251,474
Hyundai Mobis Co., Ltd.		5,217		1,281,651
Hyundai Motor Co.		11,696		1,704,335
Hyundai Motor Co. Preference Shares		2,519		240,006
Hyundai Motor Co. Preference Shares		1,762		154,219
Hyundai Robotics Co., Ltd. (b)		624		222,076
Hyundai Steel Co.		5,155		282,175
Hyundai Wia Corp.		139		8,440
Industrial Bank of Korea (b)		15,890		244,165
ING Life Insurance Korea, Ltd. (d)		3,399		169,545
Kakao Corp.		2,034		260,294
Kangwon Land, Inc.		7,520		244,450
KB Financial Group, Inc. (b)		30,099		1,782,520
KCC Corp.		458		162,998
KEPCO Plant Service & Engineering Co., Ltd.		180		6,826
Kia Motors Corp.		17,963		562,104
Korea Aerospace Industries, Ltd.		3,940		174,633
Korea Electric Power Corp. (b)		17,453		621,953
Korea Gas Corp. (b)		340		13,514
Korea Investment Holdings Co., Ltd.		2,958		190,652
Korea Zinc Co., Ltd.		577		265,715
Korean Air Lines Co., Ltd. (b)		4,004		126,603
KT Corp.		110		3,108
KT&G Corp.		9,026		973,801
Kumho Petrochemical Co., Ltd.		1,926		179,008
LG Chem, Ltd. (b)		3,510		1,327,869
LG Chem, Ltd. Preference Shares		491		114,202
LG Corp.		7,582		644,493
LG Display Co., Ltd. (b)		18,859		526,724
LG Electronics, Inc. (b)		8,361		827,860
LG Household & Health Care, Ltd.		734		815,213
LG Household & Health Care, Ltd. Preference Shares		50		32,600
LG Innotek Co., Ltd.		1,061		142,715
Lotte Chemical Corp.		1,278		439,311
Lotte Corp.		917		55,763
Lotte Shopping Co., Ltd.		576		107,070
Medy-Tox, Inc.		329		149,019
Mirae Asset Daewoo Co., Ltd.		23,737		203,767
NAVER Corp.		2,125		1,726,916
NCSoft Corp.		1,398		584,377
Netmarble Games Corp. (b) (d)		1,313		231,190
NH Investment & Securities Co., Ltd.		11,490		149,186
OCI Co., Ltd.		1,629		206,944
Orion Corp/Republic of Korea (b)		974		95,075
Ottogi Corp.		17		12,799
Pan Ocean Co., Ltd. (b)		24,680		121,492
POSCO		5,612		1,743,020
Posco Daewoo Corp.		570		9,664
S-1 Corp. (b)		1,546		154,521
Samsung Biologics Co., Ltd. (b) (d)		1,110		384,671
Samsung C&T Corp.		5,143		605,313
Samsung Card Co., Ltd.		501		18,532
Samsung Electro-Mechanics Co., Ltd.		3,673		343,095
Samsung Electronics Co., Ltd. Preference Shares		1,314		2,565,280
Samsung Electronics Co., Ltd.		7,187		17,105,671
Samsung Fire & Marine Insurance Co., Ltd.		2,462		614,034
Samsung Heavy Industries Co., Ltd. (b)		11,059		75,720
Samsung Life Insurance Co., Ltd.		5,568		647,533
Samsung SDI Co., Ltd. (b)		4,289		819,299
Samsung SDS Co., Ltd.		2,824		527,579
Samsung Securities Co., Ltd.		4,928		168,479
Shinhan Financial Group Co., Ltd.		32,495		1,499,466
Shinsegae, Inc.		635		177,946
SillaJen, Inc. (b)		3,359		293,369
SK Holdings Co., Ltd.		2,387		631,004
SK Hynix, Inc. (b)		43,559		3,112,665
SK Innovation Co., Ltd.		4,406		841,649
SK Networks Co., Ltd.		410		2,547
SK Telecom Co., Ltd.		1,684		419,997
S-Oil Corp.		2,869		313,552
Woori Bank		30,642		450,807
Yuhan Corp.		685		140,129
				61,196,823
SPAIN — 2.1%
Abertis Infraestructuras SA		53,204		1,185,111
ACS Actividades de Construccion y Servicios SA		16,606		650,459
Aena SME SA (d)		5,208		1,056,887
Amadeus IT Group SA		32,980		2,380,500

See accompanying notes to financial statements.

75

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Banco Bilbao Vizcaya Argentaria SA		496,593	$	4,240,949
Banco de Sabadell SA		359,083		714,045
Banco Santander SA		1,196,591		7,872,593
Bankia SA		69,326		331,904
Bankinter SA		54,743		519,573
CaixaBank SA		274,364		1,281,256
Enagas SA		15,780		452,304
Endesa SA		21,819		467,806
Ferrovial SA		33,297		756,679
Gas Natural SDG SA		23,940		553,383
Grifols SA		20,358		597,091
Iberdrola SA		424,756		3,294,904
Industria de Diseno Textil SA		81,612		2,846,401
Mapfre SA		65,454		210,483
Red Electrica Corp. SA		29,353		659,473
Repsol SA		92,609		1,639,716
Siemens Gamesa Renewable Energy SA (a)		13,355		183,299
Telefonica SA		338,694		3,304,469
				35,199,285
SWEDEN — 1.8%
Alfa Laval AB		23,706		561,126
Assa Abloy AB Class B		76,156		1,584,975
Atlas Copco AB Class B		30,017		1,153,386
Atlas Copco AB Class A		50,587		2,188,448
Boliden AB		18,846		645,886
Electrolux AB Series B		16,497		532,538
Essity AB Class B (b)		46,224		1,315,443
Getinge AB Class B		14,687		213,466
Hennes & Mauritz AB Class B		71,892		1,486,573
Hexagon AB Class B		20,009		1,004,177
Husqvarna AB Class B		23,027		219,653
ICA Gruppen AB		6,173		224,603
Industrivarden AB Class C		10,068		249,010
Investor AB Class B		34,569		1,579,513
Kinnevik AB Class B		16,200		548,673
L E Lundbergforetagen AB Class B		2,900		217,124
Lundin Petroleum AB (b)		12,340		283,048
Nordea Bank AB		227,649		2,760,983
Sandvik AB		85,962		1,508,732
Securitas AB Class B		25,819		451,576
Skandinaviska Enskilda Banken AB Class A		115,875		1,362,902
Skanska AB Class B		23,297		483,724
SKF AB Class B		25,941		577,276
Svenska Handelsbanken AB Class A		115,953		1,588,999
Swedbank AB Class A		68,682		1,660,112
Swedish Match AB		13,121		517,949
Tele2 AB Class B		26,718		328,937
Telefonaktiebolaget LM Ericsson Class B		233,409		1,535,154
Telia Co. AB		203,301		907,560
Volvo AB Class B		117,300		2,187,690
				29,879,236
SWITZERLAND — 6.7%
ABB, Ltd. (b)		160,207		4,294,107
Adecco Group AG		12,605		964,292
Baloise Holding AG		3,437		535,036
Barry Callebaut AG (b)		139		289,982
Chocoladefabriken Lindt & Spruengli AG (c)		104		634,992
Chocoladefabriken Lindt & Spruengli AG (c)		8		578,635
Cie Financiere Richemont SA		45,417		4,115,260
Clariant AG (b)		23,031		644,017
Coca-Cola HBC AG (b)		14,958		489,673
Credit Suisse Group AG (b)		211,731		3,780,523
Dufry AG (b)		2,498		371,432
EMS-Chemie Holding AG		674		449,910
Ferguson PLC		19,324		1,393,291
Geberit AG		3,362		1,480,384
Givaudan SA		826		1,908,827
Glencore PLC		910,986		4,806,111
Julius Baer Group, Ltd. (b)		17,297		1,057,877
Kuehne + Nagel International AG		5,122		906,665
LafargeHolcim, Ltd. (b) (c)		39,525		2,228,731
LafargeHolcim, Ltd. (b) (c)		852		48,126
Lonza Group AG (b)		6,681		1,805,138
Nestle SA		265,777		22,854,913
Novartis AG		190,281		16,089,435
Pargesa Holding SA		2,959		256,578
Partners Group Holding AG (a)		1,357		930,196
Roche Holding AG		60,123		15,208,127
Schindler Holding AG (c)		3,865		889,604
Schindler Holding AG (c)		1,281		289,852
SGS SA		491		1,280,278
Sika AG		195		1,548,794
Sonova Holding AG		5,048		788,410
STMicroelectronics NV		49,389		1,079,672
Straumann Holding AG		827		584,289
Swatch Group AG (c)		2,409		982,387
Swatch Group AG (c)		3,666		280,264
Swiss Life Holding AG (b)		2,549		902,417
Swiss Prime Site AG (b)		4,981		460,021
Swiss Re AG		27,744		2,597,886
Swisscom AG		1,998		1,063,071
UBS Group AG		316,332		5,823,495
Vifor Pharma AG		3,449		442,052
Zurich Insurance Group AG		13,178		4,010,872
				111,145,622
TAIWAN — 2.7%
Acer, Inc.		255,000		206,941
Advanced Semiconductor Engineering, Inc.		530,650		680,286
Advantech Co., Ltd.		33,199		234,837
Airtac International Group		12,000		215,737
Asia Cement Corp.		140,000		132,668

See accompanying notes to financial statements.

76

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STATE STREET GLOBAL EQUITY EX-U.S. INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Asia Pacific Telecom Co., Ltd. (b)		7,000	$	2,348
Asustek Computer, Inc.		57,000		535,360
AU Optronics Corp.		594,000		247,512
Catcher Technology Co., Ltd.		53,000		584,169
Cathay Financial Holding Co., Ltd.		628,000		1,129,022
Chailease Holding Co., Ltd.		68,480		199,283
Chang Hwa Commercial Bank, Ltd.		435,405		242,148
Cheng Shin Rubber Industry Co., Ltd.		124,000		218,761
Chicony Electronics Co., Ltd.		46,260		116,589
China Airlines, Ltd. (b)		23,000		9,004
China Development Financial Holding Corp.		888,000		302,878
China Life Insurance Co., Ltd.		175,899		177,031
China Steel Corp.		850,000		706,941
Chunghwa Telecom Co., Ltd.		294,000		1,047,230
Compal Electronics, Inc.		378,000		270,558
CTBC Financial Holding Co., Ltd.		1,371,009		944,459
Delta Electronics, Inc.		131,630		634,740
E.Sun Financial Holding Co., Ltd.		750,834		476,864
Eclat Textile Co., Ltd.		8,182		81,797
Eva Airways Corp.		17,304		9,216
Evergreen Marine Corp. Taiwan, Ltd. (b)		25,808		14,180
Far Eastern New Century Corp.		292,620		263,529
Far EasTone Telecommunications Co., Ltd.		102,000		251,928
Feng TAY Enterprise Co., Ltd.		30,273		137,843
First Financial Holding Co., Ltd.		749,096		492,122
Formosa Chemicals & Fibre Corp.		231,000		799,536
Formosa Petrochemical Corp.		111,000		430,818
Formosa Plastics Corp.		320,000		1,061,344
Formosa Taffeta Co., Ltd.		3,000		3,155
Foxconn Technology Co., Ltd.		84,180		241,011
Fubon Financial Holding Co., Ltd.		449,000		764,968
General Interface Solution Holding, Ltd.		11,000		73,559
Giant Manufacturing Co., Ltd.		23,000		126,367
Globalwafers Co., Ltd.		14,000		187,005
Highwealth Construction Corp. .		72,900		103,623
Hiwin Technologies Corp.		18,431		199,431
Hon Hai Precision Industry Co., Ltd.		1,163,650		3,722,616
Hotai Motor Co., Ltd.		19,000		226,019
HTC Corp. (b)		13,000		31,934
Hua Nan Financial Holdings Co., Ltd.		489,546		275,548
Innolux Corp.		561,000		233,762
Inventec Corp.		197,000		157,224
Largan Precision Co., Ltd.		7,000		945,612
Lite-On Technology Corp.		145,419		198,397
Macronix International (b)		166,000		246,558
MediaTek, Inc.		116,000		1,146,026
Mega Financial Holding Co., Ltd.		861,601		696,322
Micro-Star International Co., Ltd.		33,000		84,944
Nan Ya Plastics Corp.		372,000		973,799
Nanya Technology Corp.		69,000		176,682
Nien Made Enterprise Co., Ltd.		3,000		32,058
Novatek Microelectronics Corp.		24,000		91,537
Pegatron Corp.		165,000		399,214
Phison Electronics Corp.		13,000		127,560
Pou Chen Corp.		201,000		260,381
Powertech Technology, Inc.		51,000		150,814
President Chain Store Corp.		47,000		448,544
Quanta Computer, Inc.		222,000		461,777
Realtek Semiconductor Corp.		34,000		124,536
Ruentex Development Co., Ltd. (b)		9,936		10,668
Ruentex Industries, Ltd.		5,000		8,502
Shin Kong Financial Holding Co., Ltd.		736,551		259,885
Siliconware Precision Industries Co., Ltd.		145,135		245,318
SinoPac Financial Holdings Co., Ltd.		658,923		214,116
Standard Foods Corp.		51,417		127,858
Synnex Technology International Corp.		70,550		96,134
TaiMed Biologics, Inc. (b)		4,000		24,867
Taishin Financial Holding Co., Ltd.		589,170		274,208
Taiwan Business Bank		66,042		18,620
Taiwan Cement Corp.		212,000		259,670
Taiwan Cooperative Financial Holding Co., Ltd.		507,876		283,305
Taiwan High Speed Rail Corp.		152,000		120,033
Taiwan Mobile Co., Ltd.		132,000		476,839
Taiwan Semiconductor Manufacturing Co., Ltd.		1,820,000		14,035,990
Teco Electric and Machinery Co., Ltd.		90,000		86,194
Uni-President Enterprises Corp.		377,880		838,083
United Microelectronics Corp.		979,000		467,154
Vanguard International Semiconductor Corp.		39,000		86,496
Win Semiconductors Corp.		30,000		285,297
Winbond Electronics Corp.		274,000		215,915
Wistron Corp.		111,142		89,448
WPG Holdings, Ltd.		66,000		87,383
Yageo Corp.		20,000		237,243
Yuanta Financial Holding Co., Ltd.		608,022		281,960
Zhen Ding Technology Holding, Ltd.		3,000		6,603
				44,906,451
THAILAND — 0.6%
Advanced Info Service PCL (g) .		84,900		497,573
Airports of Thailand PCL (g)		340,200		709,837

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Bangkok Bank PCL NVDR		5,100	$	31,611
Bangkok Dusit Medical Services PCL (g)		357,100		229,009
Bangkok Expressway & Metro PCL (g)		649,000		153,338
Banpu PCL (g)		243,400		145,637
Berli Jucker PCL (g)		55,900		113,207
BTS Group Holdings PCL (g)		619,900		157,876
Bumrungrad Hospital PCL (g)		16,400		95,109
Central Pattana PCL (g)		118,200		309,191
Charoen Pokphand Foods PCL (g)		285,300		210,101
CP ALL PCL (g)		384,300		907,981
Delta Electronics Thailand PCL (g)		55,900		125,642
Energy Absolute PCL (g)		112,813		181,733
Glow Energy PCL (g)		11,100		27,673
Home Product Center PCL (g)		417,200		163,859
Indorama Ventures PCL (g)		143,700		234,797
IRPC PCL (g)		971,500		210,159
Kasikornbank PCL		112,400		824,290
Kasikornbank PCL		58,700		417,871
Krung Thai Bank PCL (g)		265,400		156,357
Minor International PCL (g)		196,350		263,587
PTT Exploration & Production PCL (g)		88,800		272,476
PTT Global Chemical PCL (g)		184,800		481,988
PTT PCL (g)		96,800		1,306,904
Robinson PCL (g)		12,700		28,447
Siam Cement PCL		56,565		850,471
Siam Commercial Bank PCL (g) .		145,200		668,303
Thai Oil PCL (g)		66,100		209,922
Thai Union Group PCL Class F (g)		43,700		26,684
TMB Bank PCL (g)		1,483,700		137,489
True Corp. PCL (b) (g)		1,001,312		190,492
				10,339,614
TURKEY — 0.2%
Akbank Turk AS		181,543		471,621
Anadolu Efes Biracilik Ve Malt Sanayii A/S		23,020		146,926
Arcelik A/S		4,778		27,119
Aselsan Elektronik Sanayi Ve Ticaret A/S		18,895		158,472
BIM Birlesik Magazalar A/S		13,969		287,736
Coca-Cola Icecek A/S		648		5,848
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT (b)		30,919		22,915
Eregli Demir ve Celik Fabrikalari TAS		83,264		220,040
Ford Otomotiv Sanayi A/S		1,307		20,769
Haci Omer Sabanci Holding A/S .		58,478		171,504
KOC Holding A/S		51,437		250,700
Petkim Petrokimya Holding A/S .		11,722		24,022
TAV Havalimanlari Holding A/S .		1,388		8,222
Tofas Turk Otomobil Fabrikasi A/S		2,262		19,699
Tupras Turkiye Petrol Rafinerileri A/S		7,975		255,555
Turk Hava Yollari AO (b)		53,950		223,250
Turk Telekomunikasyon A/S (b) .		4,204		7,141
Turkcell Iletisim Hizmetleri A/S .		92,714		378,524
Turkiye Garanti Bankasi A/S		188,439		532,774
Turkiye Halk Bankasi A/S		29,437		83,693
Turkiye Is Bankasi Class C		144,348		265,351
Turkiye Sise ve Cam Fabrikalari A/S		6,787		8,413
Turkiye Vakiflar Bankasi TAO		68,469		122,253
Ulker Biskuvi Sanayi A/S		1,307		6,780
Yapi ve Kredi Bankasi A/S (b)		7,385		8,453
				3,727,780
UNITED ARAB EMIRATES — 0.2%
Abu Dhabi Commercial Bank PJSC		114,059		211,174
Aldar Properties PJSC		245,613		147,122
DAMAC Properties Dubai Co. PJSC		160,578		144,279
DP World, Ltd.		10,129		253,225
Dubai Islamic Bank PJSC		85,420		143,964
Emaar Malls PJSC		24,972		14,482
Emaar Properties PJSC		224,250		423,735
Emirates Telecommunications Group Co. PJSC		139,059		662,583
First Abu Dhabi Bank PJSC		115,574		322,542
				2,323,106
UNITED KINGDOM — 10.8%
3i Group PLC		76,121		940,655
Admiral Group PLC		11,866		321,356
Anglo American PLC (a)		100,811		2,113,085
Ashtead Group PLC		38,828		1,046,289
Associated British Foods PLC		27,456		1,047,379
AstraZeneca PLC		93,927		6,506,729
Auto Trader Group PLC (d)		55,276		263,805
Aviva PLC		303,938		2,082,485
Babcock International Group PLC		17,191		164,065
BAE Systems PLC		240,811		1,866,588
Barclays PLC		1,271,801		3,494,190
Barratt Developments PLC		69,399		607,870
Berkeley Group Holdings PLC		10,402		590,573
BP PLC		1,461,497		10,333,987
British American Tobacco PLC ADR		27,066		1,813,151
British American Tobacco PLC		142,455		9,669,986
British Land Co. PLC REIT		67,293		629,477
BT Group PLC		633,987		2,330,169
Bunzl PLC		22,672		635,473
Burberry Group PLC		29,734		720,790
Capita PLC		38,049		206,346
Carnival PLC		14,622		967,633
Centrica PLC		437,244		812,104
CNH Industrial NV		78,950		1,058,952

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Cobham PLC (b)		152,270	$	260,157
Coca-Cola European Partners PLC		14,800		590,558
Compass Group PLC		118,765		2,570,549
ConvaTec Group PLC (d)		117,552		326,783
Croda International PLC		10,510		628,978
DCC PLC		6,090		614,985
Diageo PLC		186,823		6,886,750
Direct Line Insurance Group PLC		111,078		573,545
easyJet PLC		14,188		280,983
Experian PLC		70,758		1,565,944
Fiat Chrysler Automobiles NV		81,904		1,466,404
G4S PLC		128,363		463,627
GKN PLC		118,262		510,973
GlaxoSmithKline PLC		364,871		6,527,585
Hammerson PLC REIT		65,172		482,243
Hargreaves Lansdown PLC		21,307		519,391
HSBC Holdings PLC		1,484,651		15,402,123
IMI PLC		17,012		306,763
Imperial Brands PLC		71,752		3,072,999
InterContinental Hotels Group PLC		12,150		775,611
International Consolidated Airlines Group SA		40,270		349,906
Intertek Group PLC		10,977		770,670
ITV PLC		247,262		553,570
J Sainsbury PLC		135,851		443,627
John Wood Group PLC		42,683		375,306
Johnson Matthey PLC		13,358		555,654
Kingfisher PLC		152,628		697,241
Land Securities Group PLC REIT		50,048		682,440
Legal & General Group PLC		451,991		1,671,040
Lloyds Banking Group PLC		5,350,728		4,926,316
London Stock Exchange Group PLC		23,944		1,228,562
Marks & Spencer Group PLC (a)		112,301		478,229
Meggitt PLC		64,415		420,176
Merlin Entertainments PLC (d)		42,079		206,571
Micro Focus International PLC		5,465		186,520
Micro Focus International PLC ADR (b)		28,000		940,520
National Grid PLC		222,399		2,632,740
Next PLC		10,128		619,954
Old Mutual PLC		380,795		1,193,534
Pearson PLC		56,672		564,240
Persimmon PLC		20,982		777,137
Prudential PLC		192,342		4,957,932
Randgold Resources, Ltd.		6,420		643,533
Reckitt Benckiser Group PLC		49,737		4,655,222
RELX NV		73,204		1,684,668
RELX PLC		80,611		1,896,319
Rio Tinto PLC		91,910		4,901,137
Rio Tinto, Ltd.		32,124		1,904,786
Rolls-Royce Holdings PLC		126,217		1,446,168
Royal Bank of Scotland Group PLC (b)		275,634		1,036,561
Royal Mail PLC		74,250		454,499
RSA Insurance Group PLC		69,903		598,100
Sage Group PLC		73,122		789,348
Schroders PLC		7,543		358,765
Segro PLC REIT		79,933		634,719
Severn Trent PLC		19,097		558,519
Shire PLC		67,834		3,578,735
Sky PLC (b)		79,466		1,087,876
Smith & Nephew PLC		67,168		1,170,296
Smiths Group PLC		27,065		545,521
SSE PLC		76,137		1,359,525
St James’s Place PLC		36,146		599,471
Standard Chartered PLC (b)		246,964		2,606,162
Standard Life Aberdeen PLC		205,610		1,214,354
Taylor Wimpey PLC		225,131		628,583
Tesco PLC		620,025		1,755,061
Travis Perkins PLC		20,759		440,041
Unilever NV		120,779		6,809,952
Unilever PLC		93,829		5,236,380
United Utilities Group PLC		46,787		525,000
Vodafone Group PLC		1,979,041		6,291,296
Weir Group PLC		18,196		522,569
Whitbread PLC		12,434		672,804
Wm Morrison Supermarkets PLC		181,224		539,086
Worldpay Group PLC (d)		137,024		789,630
WPP PLC		96,191		1,744,941
				178,961,600
TOTAL COMMON STOCKS (Cost $1,449,678,904)				1,682,727,945
RIGHTS — 0.0% (f)
AUSTRALIA — 0.0% (f)
Transurban Group (expiring 1/24/18) (b) (g)		10,947		—
SPAIN — 0.0% (f)
Repsol SA (expiring 1/10/18) (b)		92,609		42,146
TOTAL RIGHTS (Cost $42,445)				42,146
SHORT-TERM INVESTMENTS — 1.8%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (h) (i)		20,078,160		20,078,160

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
State Street Navigator Securities Lending Government Money Market Portfolio (h) (j)		10,302,133	$	10,302,133
TOTAL SHORT-TERM INVESTMENTS (Cost $ 30,380,293)				30,380,293
TOTAL INVESTMENTS — 103.5% (Cost $ 1,480,101,642)				1,713,150,384
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%				(57,889,557	)
NET ASSETS — 100.0%			$	1,655,260,827

(a) All or a portion of the shares of the security are on loan at December 31, 2017.

(b) Non-income producing security.

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

(d) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(e) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Portfolio’s net assets.

(f) Amount is less than 0.05% of net assets.

(g) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of December 31, 2017, total aggregate fair value of securities is $8,345,052, representing 0.5% of net assets.

(h) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(i) The rate shown is the annualized seven-day yield at December 31, 2017.

(j) Investment of cash collateral for securities loaned.

ADR = American Depositary Receipt

GDR = Global Depositary Receipt

NVDR = Non Voting Depositary Receipt

REIT = Real Estate Investment Trust

SDR = Swedish Depositary Receipt

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
Mini MSCI Emerging Markets (long)		03/16/2018		187	$	10,286,369	$	10,880,595	$	594,226
Mini MSCI EAFE (long)		03/16/2018		212		21,210,652		21,682,300	$	471,648
Total unrealized depreciation on open futures contracts purchased									$	1,065,874

During the period ended December 31, 2017, average notional value related to futures contracts was $30,211,281 or less than 0.5% of net assets.

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs			Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	78,601,689	$	—	$	—		$	78,601,689
Austria		2,919,517		—		—			2,919,517
Belgium		12,212,022		—		—			12,212,022
Brazil		27,185,180		—		—			27,185,180
Canada		106,391,322		—		—			106,391,322
Chile		4,997,503		—		—			4,997,503
China		118,378,903		—		0	(a)		118,378,903
Colombia		1,525,063		—		—			1,525,063
Czech Republic		552,472		—		—			552,472
Denmark		20,149,777		—		—			20,149,777
Egypt		270,660		—		—			270,660
Finland		10,432,337		—		—			10,432,337
France		116,190,267		—		—			116,190,267
Germany		110,895,578		—		—			110,895,578
Greece		1,202,577		—		—			1,202,577
Hong Kong		41,992,903		—		—			41,992,903
Hungary		1,377,886		—		—			1,377,886
India		34,793,774		129,681		—			34,923,455
Indonesia		8,778,731		—		—			8,778,731
Ireland		6,712,344		—		—			6,712,344
Israel		5,184,962		—		—			5,184,962
Italy		22,427,755		—		—			22,427,755
Japan		311,094,148		—		—			311,094,148
Luxembourg		3,574,059		—		—			3,574,059
Macau		625,021		—		—			625,021
Malaysia		9,063,253		—		—			9,063,253
Mexico		11,922,967		—		—			11,922,967
Netherlands		51,316,882		—		—			51,316,882
New Zealand		2,428,839		—		—			2,428,839
Norway		7,336,631		—		—			7,336,631
Pakistan		80,252		—		—			80,252
Peru		1,602,950		—		—			1,602,950
Philippines		4,650,912		—		—			4,650,912
Poland		5,324,059		—		—			5,324,059
Portugal		1,671,364		—		—			1,671,364
Qatar		1,746,393		—		—			1,746,393
Romania		472,338		—		—			472,338
Russia		15,072,856		—		—			15,072,856
Singapore		14,453,078		—		—			14,453,078
South Africa		29,309,523		—		—			29,309,523
South Korea		61,196,823		—		—			61,196,823
Spain		35,199,285		—		—			35,199,285
Sweden		29,879,236		—		—			29,879,236
Switzerland		111,145,622		—		—			111,145,622
Taiwan		44,906,451		—		—			44,906,451
Thailand		2,124,243		8,215,371		—			10,339,614
Turkey		3,727,780		—		—			3,727,780
United Arab Emirates		2,323,106		—		—			2,323,106

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
United Kingdom	$	178,961,600	$	—		$	—	$	178,961,600
Rights
Australia		—		0	(b)		—		—
Spain		42,146		—			—		42,146
Short-Term Investments		30,380,293		—			—		30,380,293
TOTAL INVESTMENTS	$	1,704,805,332	$	8,345,052		$	0	$	1,713,150,384
OTHER FINANCIAL INSTRUMENTS:
Futures Contracts (c)		1,065,874		—			—		1,065,874
TOTAL OTHER FINANCIAL INSTRUMENTS:	$	1,065,874	$	—		$	—	$	1,065,874
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	1,705,871,206	$	8,345,052		$	0	$	1,714,216,258

(a) Fund held Level 3 securities that were valued at $0 at December 31, 2017.

(b) Fund held a Level 2 security that was valued at $0 at December 31, 2017.

(c) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	395,831,755	$	375,753,595	$	—	$	—		20,078,160	$	20,078,160	$	150,999	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		16,717,694		16,717,694		358,390,139		375,107,833		—		—		—		—		51,266		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		131,688,229		121,386,096		—		—		10,302,133		10,302,133		124,608		—
Total			$	16,717,694	$	885,910,123	$	872,247,524	$	—	$	—			$	30,380,293	$	326,873	$	—

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 99.7%
AEROSPACE & DEFENSE — 1.7%
AAR Corp.		3,060	$	120,227
Aerojet Rocketdyne Holdings, Inc. (a)		6,600		205,920
Aerovironment, Inc. (a)		2,000		112,320
Astronics Corp. (a)		2,019		83,728
Axon Enterprise, Inc. (a) (b)		4,992		132,288
BWX Technologies, Inc.		9,090		549,854
Cubic Corp.		2,400		141,480
Curtiss-Wright Corp.		4,207		512,623
Ducommun, Inc. (a)		1,000		28,450
Engility Holdings, Inc. (a)		1,700		48,229
Esterline Technologies Corp. (a)		2,500		186,750
HEICO Corp.		2,401		226,534
HEICO Corp. Class A		4,647		367,345
Hexcel Corp.		8,611		532,590
Huntington Ingalls Industries, Inc.		4,307		1,015,160
KeyW Holding Corp. (a) (b)		4,600		27,002
KLX, Inc. (a)		4,943		337,360
Kratos Defense & Security Solutions, Inc. (a) (b)		8,200		86,838
Mercury Systems, Inc. (a)		4,500		231,075
Moog, Inc. Class A (a)		3,054		265,240
National Presto Industries, Inc.		495		49,228
Orbital ATK, Inc.		5,548		729,562
Sparton Corp. (a)		900		20,754
Spirit AeroSystems Holdings, Inc. Class A		11,123		970,482
Teledyne Technologies, Inc. (a)		3,351		607,034
Triumph Group, Inc. (b)		4,645		126,344
Vectrus, Inc. (a)		1,100		33,935
Wesco Aircraft Holdings, Inc. (a)		6,000		44,400
				7,792,752
AIR FREIGHT & LOGISTICS — 0.4%
Air Transport Services Group, Inc. (a)		5,600		129,584
Atlas Air Worldwide Holdings, Inc. (a)		2,282		133,839
Echo Global Logistics, Inc. (a)		2,500		70,000
Forward Air Corp.		2,800		160,832
Hub Group, Inc. Class A (a)		3,117		149,305
Radiant Logistics, Inc. (a)		3,600		16,560
XPO Logistics, Inc. (a) (b)		11,400		1,044,126
				1,704,246
AIRLINES — 0.4%
Allegiant Travel Co.		1,176		181,986
Copa Holdings SA Class A		3,009		403,387
Hawaiian Holdings, Inc.		4,945		197,058
JetBlue Airways Corp. (a)		30,936		691,110
SkyWest, Inc.		4,900		260,190
Spirit Airlines, Inc. (a)		6,658		298,611
				2,032,342
AUTO COMPONENTS — 1.2%
Adient PLC		9,100		716,170
American Axle & Manufacturing Holdings, Inc. (a)		9,450		160,933
Cooper Tire & Rubber Co. (b)		4,900		173,215
Cooper-Standard Holdings, Inc. (a)		1,690		207,025
Dana, Inc.		14,047		449,644
Delphi Technologies PLC (a)		8,600		451,242
Dorman Products, Inc. (a)		2,599		158,903
Fox Factory Holding Corp. (a)		3,400		132,090
Gentex Corp.		27,366		573,318
Gentherm, Inc. (a)		3,554		112,840
Horizon Global Corp. (a) (b)		2,374		33,283
LCI Industries		2,298		298,740
Lear Corp.		6,570		1,160,656
Modine Manufacturing Co. (a)		4,783		96,617
Motorcar Parts of America, Inc. (a)		1,800		44,982
Shiloh Industries, Inc. (a)		1,000		8,200
Standard Motor Products, Inc.		2,108		94,670
Stoneridge, Inc. (a)		2,582		59,025
Superior Industries International, Inc.		2,688		39,917
Tenneco, Inc.		4,835		283,041
Tower International, Inc.		1,861		56,854
Visteon Corp. (a)		3,037		380,050
VOXX International Corp. (a)		1,400		7,840
				5,699,255
AUTOMOBILES — 1.1%
Tesla, Inc. (a)		12,890		4,013,301
Thor Industries, Inc.		4,808		724,662
Winnebago Industries, Inc.		3,000		166,800
				4,904,763
BANKS — 7.1%
1st Source Corp.		1,500		74,175
Access National Corp.		1,399		38,948
ACNB Corp.		700		20,685
Allegiance Bancshares, Inc. (a)		1,200		45,180
American National Bankshares, Inc.		900		34,470
Ameris Bancorp		3,500		168,700
Ames National Corp.		800		22,280
Arrow Financial Corp.		1,138		38,635
Associated Banc-Corp.		14,600		370,840
Atlantic Capital Bancshares, Inc. (a)		2,000		35,200
Banc of California, Inc. (b)		4,200		86,730
BancFirst Corp.		1,652		84,500
Banco Latinoamericano de Comercio Exterior SA Class E		2,900		78,010
Bancorp, Inc. (a)		4,700		46,436
BancorpSouth Bank		8,155		256,475
Bank of Commerce Holdings		1,500		17,250

See accompanying notes to financial statements.

83

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December 31, 2017

Security Description	Shares		Value
Bank of Hawaii Corp.		4,034	$	345,714
Bank of Marin Bancorp		672		45,696
Bank of NT Butterfield & Son, Ltd.		5,200		188,708
Bank of the Ozarks, Inc. (b)		11,654		564,636
BankUnited, Inc.		10,072		410,132
Bankwell Financial Group, Inc.		400		13,736
Banner Corp.		3,200		176,384
Bar Harbor Bankshares		1,480		39,975
BCB Bancorp, Inc.		1,500		21,750
Berkshire Hills Bancorp, Inc.		3,800		139,080
Blue Hills Bancorp, Inc.		2,326		46,753
BOK Financial Corp.		2,409		222,399
Boston Private Financial Holdings, Inc.		8,000		123,600
Bridge Bancorp, Inc.		1,800		63,000
Brookline Bancorp, Inc.		7,200		113,040
Bryn Mawr Bank Corp.		1,800		79,560
Byline Bancorp, Inc. (a)		500		11,485
C&F Financial Corp.		300		17,400
Cadence BanCorp (a)		1,900		51,528
Camden National Corp.		1,482		62,437
Capital City Bank Group, Inc.		1,100		25,234
Capstar Financial Holdings, Inc. (a) (b)		800		16,616
Carolina Financial Corp.		1,900		70,585
Cathay General Bancorp		7,354		310,118
CBTX, Inc.		400		11,864
CenterState Bank Corp.		5,200		133,796
Central Pacific Financial Corp.		2,879		85,881
Central Valley Community Bancorp		900		18,162
Century Bancorp, Inc. Class A		236		18,467
Chemical Financial Corp.		6,745		360,655
Chemung Financial Corp.		300		14,430
CIT Group, Inc.		12,686		624,532
Citizens & Northern Corp.		1,100		26,400
City Holding Co.		1,449		97,764
Civista Bancshares, Inc.		1,000		22,000
CNB Financial Corp.		1,400		36,736
CoBiz Financial, Inc.		3,700		73,963
Codorus Valley Bancorp, Inc.		651		17,922
Columbia Banking System, Inc.		6,928		300,952
Commerce Bancshares, Inc.		9,059		505,849
Community Bank System, Inc. (b)		4,739		254,721
Community Bankers Trust Corp. (a)		2,100		17,115
Community Financial Corp.		300		11,490
Community Trust Bancorp, Inc.		1,513		71,262
ConnectOne Bancorp, Inc.		2,923		75,267
County Bancorp, Inc.		300		8,928
Cullen/Frost Bankers, Inc.		5,475		518,209
Customers Bancorp, Inc. (a)		2,700		70,173
CVB Financial Corp.		9,900		233,244
DNB Financial Corp.		200		6,740
Eagle Bancorp, Inc. (a)		3,000		173,700
East West Bancorp, Inc.		13,871		843,773
Enterprise Bancorp, Inc.		1,078		36,706
Enterprise Financial Services Corp.		2,100		94,815
Equity Bancshares, Inc. Class A (a)		1,000		35,410
Evans Bancorp, Inc.		400		16,760
Farmers & Merchants Bancorp, Inc.		800		32,640
Farmers Capital Bank Corp.		749		28,836
Farmers National Banc Corp.		2,500		36,875
FB Financial Corp. (a)		1,200		50,388
FCB Financial Holdings, Inc. Class A (a)		3,482		176,886
Fidelity Southern Corp.		2,100		45,780
Financial Institutions, Inc.		1,400		43,540
First BanCorp (a)		18,400		93,840
First Bancorp, Inc.		1,000		27,230
First Bancorp/Southern Pines		2,713		95,796
First Bancshares, Inc.		1,000		34,200
First Busey Corp.		3,949		118,233
First Business Financial Services, Inc.		800		17,696
First Citizens BancShares, Inc. Class A		709		285,727
First Commonwealth Financial Corp.		9,300		133,176
First Community Bancshares, Inc.		1,600		45,968
First Connecticut Bancorp, Inc.		1,400		36,610
First Financial Bancorp		5,900		155,465
First Financial Bankshares, Inc. (b)		6,051		272,598
First Financial Corp.		1,000		45,350
First Financial Northwest, Inc.		600		9,306
First Foundation, Inc. (a)		2,900		53,766
First Guaranty Bancshares, Inc.		330		8,250
First Hawaiian, Inc.		5,100		148,818
First Horizon National Corp.		28,119		562,099
First Internet Bancorp		800		30,520
First Interstate BancSystem, Inc. Class A		2,482		99,404
First Merchants Corp.		3,978		167,315
First Mid-Illinois Bancshares, Inc.		1,000		38,540
First Midwest Bancorp, Inc.		9,800		235,298
First Northwest Bancorp (a)		700		11,410
First of Long Island Corp.		2,250		64,125
First Republic Bank		15,434		1,337,202
Flushing Financial Corp.		2,700		74,250
FNB Bancorp		400		14,596
FNB Corp.		31,133		430,258
Franklin Financial Network, Inc. (a)		1,155		39,385
Fulton Financial Corp.		16,400		293,560
German American Bancorp, Inc.		2,064		72,921
Glacier Bancorp, Inc.		7,500		295,425
Great Southern Bancorp, Inc.		1,068		55,162
Great Western Bancorp, Inc.		5,703		226,979
Green Bancorp, Inc. (a)		2,000		40,600

See accompanying notes to financial statements.

84

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December 31, 2017

Security Description	Shares		Value
Guaranty Bancorp		2,300	$	63,595
Guaranty Bancshares, Inc.		200		6,130
Hancock Holding Co.		8,100		400,950
Hanmi Financial Corp.		3,000		91,050
HarborOne Bancorp, Inc. (a)		1,500		28,740
Heartland Financial USA, Inc.		2,400		128,760
Heritage Commerce Corp.		3,500		53,620
Heritage Financial Corp.		2,800		86,240
Hilltop Holdings, Inc.		7,000		177,310
Home BancShares, Inc.		15,114		351,400
HomeTrust Bancshares, Inc. (a)		1,600		41,200
Hope Bancorp, Inc.		12,488		227,906
Horizon Bancorp		2,200		61,160
Howard Bancorp, Inc. (a)		800		17,600
IBERIABANK Corp.		4,892		379,130
Independent Bank Corp. (c)		2,633		183,915
Independent Bank Corp. (c)		2,100		46,935
Independent Bank Group, Inc.		1,651		111,608
International Bancshares Corp.		5,252		208,504
Investar Holding Corp.		800		19,280
Investors Bancorp, Inc.		24,914		345,806
KKR Real Estate Finance Trust, Inc. (b)		1,200		24,012
Lakeland Bancorp, Inc.		4,300		82,775
Lakeland Financial Corp.		2,328		112,885
LCNB Corp.		900		18,405
LegacyTexas Financial Group, Inc.		4,548		191,971
Live Oak Bancshares, Inc.		2,200		52,470
Macatawa Bank Corp.		2,500		25,000
MainSource Financial Group, Inc.		2,370		86,055
MB Financial, Inc.		7,800		347,256
MBT Financial Corp.		1,700		18,020
Mercantile Bank Corp.		1,500		53,055
Metropolitan Bank Holding Corp. (a)		300		12,630
Middlefield Banc Corp.		200		9,640
Midland States Bancorp, Inc.		1,500		48,720
MidSouth Bancorp, Inc.		1,100		14,575
MidWestOne Financial Group, Inc.		1,151		38,593
MutualFirst Financial, Inc.		700		26,985
National Bank Holdings Corp. Class A		2,400		77,832
National Bankshares, Inc.		637		28,952
National Commerce Corp. (a)		1,163		46,811
NBT Bancorp, Inc.		4,100		150,880
Nicolet Bankshares, Inc. (a)		800		43,792
Northeast Bancorp		700		16,205
Northrim BanCorp, Inc.		600		20,310
Norwood Financial Corp.		450		14,850
OFG Bancorp		4,100		38,540
Ohio Valley Banc Corp.		300		12,120
Old Line Bancshares, Inc.		800		23,552
Old National Bancorp		12,861		224,424
Old Point Financial Corp.		300		8,925
Old Second Bancorp, Inc.		2,800		38,220
Opus Bank (a)		1,900		51,870
Orrstown Financial Services, Inc.		700		17,675
Pacific Mercantile Bancorp (a)		1,100		9,625
Pacific Premier Bancorp, Inc. (a)		3,751		150,040
PacWest Bancorp		12,315		620,676
Paragon Commercial Corp. (a)		400		21,284
Park National Corp.		1,299		135,096
Parke Bancorp, Inc.		400		8,220
Peapack Gladstone Financial Corp.		1,700		59,534
Penns Woods Bancorp, Inc.		447		20,821
Peoples Bancorp of North Carolina, Inc.		330		10,128
Peoples Bancorp, Inc.		1,600		52,192
Peoples Financial Services Corp.		639		29,765
People’s Utah Bancorp		1,300		39,390
Pinnacle Financial Partners, Inc.		6,853		454,354
Popular, Inc.		9,710		344,608
Preferred Bank		1,300		76,414
Premier Financial Bancorp, Inc.		730		14,658
Prosperity Bancshares, Inc.		6,422		449,990
QCR Holdings, Inc.		1,200		51,420
RBB Bancorp		300		8,211
Reliant Bancorp, Inc.		500		12,820
Renasant Corp.		4,361		178,321
Republic Bancorp, Inc. Class A		900		34,218
Republic First Bancorp, Inc. (a) (b)		5,200		43,940
S&T Bancorp, Inc.		3,253		129,502
Sandy Spring Bancorp, Inc.		2,300		89,746
Seacoast Banking Corp. of Florida (a)		4,100		103,361
ServisFirst Bancshares, Inc.		4,400		182,600
Shore Bancshares, Inc.		1,000		16,700
Sierra Bancorp		1,300		34,528
Signature Bank (a)		5,232		718,144
Simmons First National Corp. Class A		3,943		225,145
SmartFinancial, Inc. (a)		700		15,190
South State Corp.		3,445		300,232
Southern First Bancshares, Inc. (a)		600		24,750
Southern National Bancorp of Virginia, Inc.		2,300		36,869
Southside Bancshares, Inc.		2,704		91,071
State Bank Financial Corp.		3,600		107,424
Sterling Bancorp		20,516		504,694
Stock Yards Bancorp, Inc.		2,100		79,170
Summit Financial Group, Inc.		1,000		26,320
Sun Bancorp, Inc.		1,000		24,300
Sunshine Bancorp, Inc. (a)		600		13,764
SVB Financial Group (a)		5,045		1,179,370
Synovus Financial Corp.		11,371		545,126
TCF Financial Corp.		15,300		313,650
Texas Capital Bancshares, Inc. (a)		4,746		421,919
Tompkins Financial Corp.		1,393		113,321
Towne Bank		5,400		166,050
TriCo Bancshares		1,976		74,811

See accompanying notes to financial statements.

85

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
TriState Capital Holdings, Inc. (a)		2,100	$	48,300
Triumph Bancorp, Inc. (a)		1,700		53,550
Trustmark Corp.		6,477		206,357
Two River Bancorp		500		9,065
UMB Financial Corp.		4,296		308,968
Umpqua Holdings Corp.		21,387		444,850
Union Bankshares Corp.		4,100		148,297
Union Bankshares, Inc./Morrisville		300		15,885
United Bankshares, Inc. (b)		9,613		334,052
United Community Banks, Inc.		7,061		198,697
United Security Bancshares		900		9,900
Unity Bancorp, Inc.		700		13,825
Univest Corp. of Pennsylvania		2,444		68,554
Valley National Bancorp		24,800		278,256
Veritex Holdings, Inc. (a)		1,600		44,144
Washington Trust Bancorp, Inc.		1,413		75,242
WashingtonFirst Bankshares, Inc.		915		31,348
Webster Financial Corp.		8,831		495,949
WesBanco, Inc.		4,042		164,307
West Bancorp, Inc.		1,500		37,725
Westamerica Bancorporation (b)		2,485		147,982
Western Alliance Bancorp (a)		9,465		535,908
Wintrust Financial Corp.		5,328		438,867
Xenith Bankshares, Inc. (a)		450		15,223
				32,979,366
BEVERAGES — 0.1%
Boston Beer Co., Inc. Class A (a) (b)		832		158,995
Castle Brands, Inc. (a) (b)		6,000		7,320
Coca-Cola Bottling Co. Consolidated		484		104,186
Craft Brew Alliance, Inc. (a)		1,200		23,040
MGP Ingredients, Inc. (b)		1,200		92,256
National Beverage Corp. (b)		1,100		107,184
Primo Water Corp. (a)		2,800		35,196
				528,177
BIOTECHNOLOGY — 4.5%
Abeona Therapeutics, Inc. (a) (b)		2,700		42,795
ACADIA Pharmaceuticals, Inc. (a) (b)		9,509		286,316
Acceleron Pharma, Inc. (a)		3,600		152,784
Achaogen, Inc. (a) (b)		3,300		35,442
Achillion Pharmaceuticals, Inc. (a)		11,200		32,256
Acorda Therapeutics, Inc. (a)		4,200		90,090
Adamas Pharmaceuticals, Inc. (a) (b)		1,400		47,446
Aduro Biotech, Inc. (a) (b)		4,354		32,655
Advaxis, Inc. (a) (b)		2,200		6,248
Agenus, Inc. (a) (b)		7,100		23,146
Agios Pharmaceuticals, Inc. (a) (b)		3,968		226,851
Aileron Therapeutics, Inc. (a)		400		4,216
Aimmune Therapeutics, Inc. (a)		3,400		128,588
Akebia Therapeutics, Inc. (a)		4,300		63,941
Alder Biopharmaceuticals, Inc. (a)		6,052		69,295
Alkermes PLC (a) (b)		14,662		802,451
Allena Pharmaceuticals, Inc. (a)		500		5,030
Alnylam Pharmaceuticals, Inc. (a)		8,316		1,056,548
AMAG Pharmaceuticals, Inc. (a)		3,400		45,050
Amicus Therapeutics, Inc. (a) (b)		16,041		230,830
AnaptysBio, Inc. (a)		1,700		171,224
Anavex Life Sciences Corp. (a) (b)		2,700		8,694
Apellis Pharmaceuticals, Inc. (a)		1,000		21,700
Ardelyx, Inc. (a)		3,200		21,120
Arena Pharmaceuticals, Inc. (a)		3,730		126,708
Array BioPharma, Inc. (a)		19,083		244,262
Asterias Biotherapeutics, Inc. (a) (b)		1,400		3,150
Atara Biotherapeutics, Inc. (a) (b)		2,600		47,060
Athenex, Inc. (a) (b)		500		7,950
Athersys, Inc. (a) (b)		9,800		17,738
Audentes Therapeutics, Inc. (a)		1,600		50,000
Avexis, Inc. (a)		2,400		265,608
Axovant Sciences, Ltd. (a) (b)		3,137		16,532
Bellicum Pharmaceuticals, Inc. (a) (b)		2,582		21,715
BioCryst Pharmaceuticals, Inc. (a) (b)		9,400		46,154
Biohaven Pharmaceutical Holding Co., Ltd. (a)		1,000		26,980
BioMarin Pharmaceutical, Inc. (a)		16,811		1,499,037
BioSpecifics Technologies Corp. (a)		526		22,792
BioTime, Inc. (a) (b)		8,300		17,845
Bioverativ, Inc. (a)		10,500		566,160
Bluebird Bio, Inc. (a) (b)		4,719		840,454
Blueprint Medicines Corp. (a)		4,100		309,181
Calithera Biosciences, Inc. (a)		2,900		24,215
Calyxt, Inc. (a) (b)		800		17,624
Cara Therapeutics, Inc. (a) (b)		2,900		35,496
Cascadian Therapeutics, Inc. (a)		2,400		8,880
Catalyst Pharmaceuticals, Inc. (a)		8,000		31,280
Celcuity, Inc. (a)		100		1,895
Celldex Therapeutics, Inc. (a) (b)		12,600		35,784
ChemoCentryx, Inc. (a)		1,700		10,115
Chimerix, Inc. (a)		4,497		20,821
Clovis Oncology, Inc. (a)		4,180		284,240
Coherus Biosciences, Inc. (a) (b)		4,200		36,960
Conatus Pharmaceuticals, Inc. (a)		1,800		8,316
Concert Pharmaceuticals, Inc. (a)		1,700		43,979
Corbus Pharmaceuticals Holdings, Inc. (a) (b)		4,600		32,660
Corvus Pharmaceuticals, Inc. (a) (b)		600		6,216
Curis, Inc. (a)		8,500		5,950
Cytokinetics, Inc. (a)		4,500		36,675
CytomX Therapeutics, Inc. (a)		2,776		58,601
Deciphera Pharmaceuticals, Inc. (a)		800		18,136

See accompanying notes to financial statements.

86

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Dynavax Technologies Corp. (a) (b)		5,838	$	109,171
Eagle Pharmaceuticals, Inc. (a) (b)		805		43,003
Edge Therapeutics, Inc. (a)		1,900		17,803
Editas Medicine, Inc. (a) (b)		3,300		101,409
Emergent BioSolutions, Inc. (a)		3,200		148,704
Enanta Pharmaceuticals, Inc. (a)		1,500		88,020
Epizyme, Inc. (a) (b)		4,738		59,462
Esperion Therapeutics, Inc. (a)		1,600		105,344
Exact Sciences Corp. (a)		11,305		593,965
Exelixis, Inc. (a)		27,936		849,254
Fate Therapeutics, Inc. (a)		3,700		22,607
FibroGen, Inc. (a)		6,700		317,580
Five Prime Therapeutics, Inc. (a)		2,647		58,022
Flexion Therapeutics, Inc. (a) (b)		3,100		77,624
Fortress Biotech, Inc. (a)		2,000		7,980
Foundation Medicine, Inc. (a) (b)		1,400		95,480
G1 Therapeutics, Inc. (a)		600		11,904
Genocea Biosciences, Inc. (a) (b)		2,000		2,320
Genomic Health, Inc. (a)		1,900		64,980
Geron Corp. (a) (b)		16,483		29,669
Global Blood Therapeutics, Inc. (a)		3,538		139,220
Halozyme Therapeutics, Inc. (a)		11,452		232,018
Heron Therapeutics, Inc. (a) (b)		4,326		78,301
Idera Pharmaceuticals, Inc. (a)		13,500		28,485
Ignyta, Inc. (a)		5,600		149,520
Immune Design Corp. (a) (b)		4,300		16,770
ImmunoGen, Inc. (a)		9,600		61,536
Immunomedics, Inc. (a) (b)		9,772		157,916
Inovio Pharmaceuticals, Inc. (a) (b)		7,811		32,259
Insmed, Inc. (a)		7,333		228,643
Insys Therapeutics, Inc. (a) (b)		2,253		21,674
Intellia Therapeutics, Inc. (a) (b)		1,600		30,752
Intercept Pharmaceuticals, Inc. (a) (b)		1,717		100,307
Intrexon Corp. (a) (b)		5,841		67,288
Invitae Corp. (a) (b)		4,100		37,228
Ionis Pharmaceuticals, Inc. (a) (b)		11,973		602,242
Iovance Biotherapeutics, Inc. (a)		6,400		51,200
Ironwood Pharmaceuticals, Inc. (a) (b)		12,900		193,371
Jounce Therapeutics, Inc. (a) (b)		1,100		14,025
Juno Therapeutics, Inc. (a)		6,602		301,777
Karyopharm Therapeutics, Inc. (a)		3,200		30,720
Keryx Biopharmaceuticals, Inc. (a) (b)		8,603		40,004
Kindred Biosciences, Inc. (a)		2,400		22,680
Kura Oncology, Inc. (a) (b)		2,300		35,190
La Jolla Pharmaceutical Co. (a) (b)		1,700		54,706
Lexicon Pharmaceuticals, Inc. (a) (b)		4,121		40,715
Ligand Pharmaceuticals, Inc. (a) (b)		1,979		270,984
Loxo Oncology, Inc. (a) (b)		2,177		183,260
MacroGenics, Inc. (a) (b)		3,247		61,693
Madrigal Pharmaceuticals, Inc. (a)		400		36,716
Matinas BioPharma Holdings, Inc. (a)		3,700		4,292
MediciNova, Inc. (a)		3,300		21,351
Merrimack Pharmaceuticals, Inc. (b)		940		9,635
Mersana Therapeutics, Inc. (a)		400		6,572
MiMedx Group, Inc. (a) (b)		9,893		124,751
Minerva Neurosciences, Inc. (a)		2,080		12,584
Miragen Therapeutics, Inc. (a)		900		9,387
Momenta Pharmaceuticals, Inc. (a) (b)		7,287		101,654
Myriad Genetics, Inc. (a) (b)		6,251		214,691
NantKwest, Inc. (a)		2,100		9,429
Natera, Inc. (a)		3,100		27,869
Neurocrine Biosciences, Inc. (a) (b)		8,485		658,351
NewLink Genetics Corp. (a) (b)		2,758		22,367
Novavax, Inc. (a)		30,000		37,200
Novelion Therapeutics, Inc. (a)		1,100		3,432
Nymox Pharmaceutical Corp. (a)		2,000		6,600
OPKO Health, Inc. (a) (b)		31,980		156,702
Organovo Holdings, Inc. (a) (b)		7,300		9,782
Otonomy, Inc. (a)		2,000		11,100
Ovid therapeutics, Inc. (a)		400		3,948
PDL BioPharma, Inc. (a)		14,655		40,155
Pieris Pharmaceuticals, Inc. (a)		3,400		25,670
Portola Pharmaceuticals, Inc. (a)		5,441		264,868
Progenics Pharmaceuticals, Inc. (a) (b)		7,600		45,220
Protagonist Therapeutics, Inc. (a)		1,300		27,040
Prothena Corp. PLC (a) (b)		3,700		138,713
PTC Therapeutics, Inc. (a) (b)		3,800		63,384
Puma Biotechnology, Inc. (a)		2,730		269,860
Ra Pharmaceuticals, Inc. (a) (b)		800		6,800
Radius Health, Inc. (a) (b)		3,715		118,026
Recro Pharma, Inc. (a)		900		8,325
REGENXBIO, Inc. (a)		2,600		86,450
Repligen Corp. (a)		3,600		130,608
Retrophin, Inc. (a)		3,700		77,959
Rhythm Pharmaceuticals, Inc. (a) (b)		800		23,248
Rigel Pharmaceuticals, Inc. (a)		14,200		55,096
Sage Therapeutics, Inc. (a) (b)		3,636		598,886
Sangamo Therapeutics, Inc. (a)		8,000		131,200
Sarepta Therapeutics, Inc. (a) (b)		5,882		327,274
Seattle Genetics, Inc. (a)		9,220		493,270
Selecta Biosciences, Inc. (a) (b)		1,000		9,810
Seres Therapeutics, Inc. (a) (b)		1,946		19,732
Spark Therapeutics, Inc. (a) (b)		2,642		135,852
Spectrum Pharmaceuticals, Inc. (a)		8,362		158,460
Spero Therapeutics, Inc. (a)		600		7,050
Stemline Therapeutics, Inc. (a) (b)		2,200		34,320

See accompanying notes to financial statements.

87

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December 31, 2017

Security Description	Shares		Value
Strongbridge Biopharma PLC (a) (b)		2,400	$	17,400
Syndax Pharmaceuticals, Inc. (a)		800		7,008
Synergy Pharmaceuticals, Inc. (a) (b)		23,818		53,114
Syros Pharmaceuticals, Inc. (a) (b)		900		8,757
TESARO, Inc. (a) (b)		3,627		300,569
TG Therapeutics, Inc. (a) (b)		4,900		40,180
Tocagen, Inc. (a)		1,700		17,425
Trevena, Inc. (a)		4,000		6,400
Ultragenyx Pharmaceutical, Inc. (a) (b)		3,765		174,621
United Therapeutics Corp. (a)		4,129		610,886
Vanda Pharmaceuticals, Inc. (a)		4,200		63,840
VBI Vaccines, Inc. (a)		4,400		18,788
Veracyte, Inc. (a)		2,300		15,019
Versartis, Inc. (a)		2,400		5,280
Voyager Therapeutics, Inc. (a) (b)		2,000		33,200
vTv Therapeutics, Inc. Class A (a)		500		3,005
XBiotech, Inc. (a)		1,000		3,940
Xencor, Inc. (a)		3,685		80,775
ZIOPHARM Oncology, Inc. (a) (b)		12,600		52,164
				20,838,730
BUILDING PRODUCTS — 1.1%
AAON, Inc		4,000		146,800
Advanced Drainage Systems, Inc		3,400		81,090
American Woodmark Corp. (a)		1,359		177,010
Apogee Enterprises, Inc.		2,709		123,883
Armstrong Flooring, Inc. (a)		2,077		35,143
Armstrong World Industries, Inc. (a)		4,255		257,640
Builders FirstSource, Inc. (a)		10,600		230,974
Caesarstone, Ltd. (a)		2,127		46,794
Continental Building Products, Inc. (a)		3,600		101,340
CSW Industrials, Inc. (a)		1,437		66,030
Gibraltar Industries, Inc. (a)		3,000		99,000
Griffon Corp.		2,800		56,980
Insteel Industries, Inc.		1,700		48,144
JELD-WEN Holding, Inc. (a)		6,500		255,905
Lennox International, Inc		3,671		764,522
Masonite International Corp. (a)		2,693		199,686
NCI Building Systems, Inc. (a)		3,828		73,880
Owens Corning		10,736		987,068
Patrick Industries, Inc. (a)		2,300		159,735
PGT Innovations, Inc. (a)		4,600		77,510
Ply Gem Holdings, Inc. (a)		2,100		38,850
Quanex Building Products Corp.		3,268		76,471
Simpson Manufacturing Co., Inc.		4,000		229,640
Trex Co., Inc. (a)		2,799		303,384
Universal Forest Products, Inc.		5,709		214,773
USG Corp. (a)		8,200		316,192
				5,168,444
CAPITAL MARKETS — 2.3%
Arlington Asset Investment Corp. Class A (b)		2,600		30,628
Artisan Partners Asset Management, Inc. Class A		4,355		172,022
Associated Capital Group, Inc. Class A (b)		333		11,355
B. Riley Financial, Inc. (b)		2,034		36,815
BGC Partners, Inc. Class A		22,400		338,464
Cohen & Steers, Inc.		2,009		95,006
Cowen, Inc. (a) (b)		2,450		33,443
Diamond Hill Investment Group, Inc.		303		62,618
Donnelley Financial Solutions, Inc. (a)		3,212		62,602
Eaton Vance Corp.		10,856		612,170
Evercore, Inc. Class A		3,643		327,870
FactSet Research Systems, Inc. (b)		3,689		711,092
Federated Investors, Inc. Class B (b)		9,100		328,328
Financial Engines, Inc.		5,595		169,529
GAIN Capital Holdings, Inc. (b)		3,300		33,000
GAMCO Investors, Inc. Class A		333		9,873
Greenhill & Co., Inc. (b)		2,317		45,182
Hamilton Lane, Inc. Class A		1,400		49,546
Houlihan Lokey, Inc.		2,600		118,118
Interactive Brokers Group, Inc. Class A		6,700		396,707
INTL. FCStone, Inc. (a)		1,500		63,795
Investment Technology Group, Inc.		3,200		61,600
Ladenburg Thalmann Financial Services, Inc.		11,300		35,708
Lazard, Ltd. Class A		11,302		593,355
Legg Mason, Inc.		7,900		331,642
LPL Financial Holdings, Inc.		8,550		488,547
MarketAxess Holdings, Inc.		3,543		714,800
Medley Management, Inc. Class A		300		1,950
Moelis & Co. Class A		3,000		145,500
Morningstar, Inc.		1,792		173,770
MSCI, Inc.		8,592		1,087,232
OM Asset Management PLC		7,200		120,600
Oppenheimer Holdings, Inc. Class A		1,100		29,480
Piper Jaffray Cos		1,400		120,750
PJT Partners, Inc. Class A		1,769		80,666
Pzena Investment Management, Inc. Class A		1,600		17,072
Safeguard Scientifics, Inc. (a)		1,900		21,280
SEI Investments Co.		12,936		929,581
Silvercrest Asset Management Group, Inc. Class A		400		6,420
Stifel Financial Corp.		6,354		378,444
TD Ameritrade Holding Corp.		24,484		1,251,867

See accompanying notes to financial statements.

88

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Virtu Financial, Inc. Class A (b)		2,400	$	43,920
Virtus Investment Partners, Inc.		646		74,322
Waddell & Reed Financial, Inc. Class A (b)		7,839		175,123
Westwood Holdings Group, Inc.		780		51,644
WisdomTree Investments, Inc.		11,100		139,305
				10,782,741
CHEMICALS — 2.7%
A Schulman, Inc.		2,790		103,928
Advanced Emissions Solutions, Inc. (b)		1,500		14,490
AdvanSix, Inc. (a)		2,900		122,003
AgroFresh Solutions, Inc. (a)		2,100		15,540
American Vanguard Corp.		2,752		54,077
Ashland Global Holdings, Inc.		6,017		428,410
Axalta Coating Systems, Ltd. (a)		20,502		663,445
Balchem Corp.		3,044		245,346
Cabot Corp.		5,888		362,642
Calgon Carbon Corp.		4,800		102,240
Celanese Corp. Series A		13,067		1,399,214
Chase Corp.		733		88,327
Chemours Co.		17,800		891,068
Codexis, Inc. (a)		4,500		37,575
Core Molding Technologies, Inc.		700		15,190
Ferro Corp. (a)		8,009		188,932
Flotek Industries, Inc. (a) (b)		5,300		24,698
FutureFuel Corp.		2,400		33,816
GCP Applied Technologies, Inc. (a)		6,897		220,014
Hawkins, Inc.		900		31,680
HB Fuller Co.		4,799		258,522
Huntsman Corp.		19,400		645,826
Ingevity Corp. (a)		4,038		284,558
Innophos Holdings, Inc.		1,900		88,787
Innospec, Inc.		2,317		163,580
Intrepid Potash, Inc. (a) (b)		9,100		43,316
KMG Chemicals, Inc.		1,300		85,904
Koppers Holdings, Inc. (a)		2,000		101,800
Kraton Corp. (a)		2,900		139,693
Kronos Worldwide, Inc.		2,200		56,694
LSB Industries, Inc. (a) (b)		2,100		18,396
Minerals Technologies, Inc.		3,343		230,166
NewMarket Corp.		710		282,147
Olin Corp.		16,000		569,280
OMNOVA Solutions, Inc. (a)		4,100		41,000
Platform Specialty Products Corp. (a)		21,300		211,296
PolyOne Corp.		7,733		336,385
PQ Group Holdings, Inc. (a)		2,800		46,060
Quaker Chemical Corp.		1,230		185,472
Rayonier Advanced Materials, Inc.		4,100		83,845
RPM International, Inc.		12,685		664,948
Scotts Miracle-Gro Co.		4,133		442,190
Sensient Technologies Corp.		4,219		308,620
Stepan Co.		1,882		148,622
Trecora Resources (a)		1,900		25,650
Tredegar Corp.		2,507		48,134
Trinseo SA		4,274		310,292
Tronox, Ltd. Class A		8,669		177,801
Valhi, Inc.		2,400		14,808
Valvoline, Inc.		19,794		496,038
Westlake Chemical Corp.		3,459		368,487
WR Grace & Co.		6,576		461,175
				12,382,127
COMMERCIAL SERVICES & SUPPLIES — 1.5%
ABM Industries, Inc.		5,400		203,688
ACCO Brands Corp. (a)		10,116		123,415
Advanced Disposal Services, Inc. (a)		4,200		100,548
Aqua Metals, Inc. (a) (b)		1,200		2,556
ARC Document Solutions, Inc. (a)		2,500		6,375
Brady Corp. Class A		4,500		170,550
Brink’s Co.		4,354		342,660
Casella Waste Systems, Inc. Class A (a)		3,800		87,476
CECO Environmental Corp.		2,156		11,060
Clean Harbors, Inc. (a)		5,044		273,385
Copart, Inc. (a)		19,176		828,211
Covanta Holding Corp.		11,200		189,280
Deluxe Corp.		4,681		359,688
Ennis, Inc.		2,600		53,950
Essendant, Inc.		4,149		38,461
Healthcare Services Group, Inc.		6,765		356,651
Heritage-Crystal Clean, Inc. (a)		1,600		34,800
Herman Miller, Inc.		5,700		228,285
HNI Corp.		4,189		161,570
Hudson Technologies, Inc. (a) (b)		3,500		21,245
InnerWorkings, Inc. (a)		4,400		44,132
Interface, Inc.		5,700		143,355
KAR Auction Services, Inc.		13,102		661,782
Kimball International, Inc. Class B		3,500		65,345
Knoll, Inc.		4,590		105,754
LSC Communications, Inc.		3,312		50,177
Matthews International Corp. Class A		3,031		160,037
McGrath RentCorp		2,200		103,356
Mobile Mini, Inc.		4,200		144,900
MSA Safety, Inc.		3,221		249,692
Multi-Color Corp.		1,321		98,877
NL Industries, Inc. (a)		600		8,550
Pitney Bowes, Inc.		18,000		201,240
Quad/Graphics, Inc.		3,000		67,800
Rollins, Inc. (b)		9,263		431,007
RR Donnelley & Sons Co. (b)		6,733		62,617
SP Plus Corp. (a)		1,700		63,070
Steelcase, Inc. Class A		8,100		123,120
Team, Inc. (a) (b)		2,800		41,720
Tetra Tech, Inc.		5,380		259,047
UniFirst Corp.		1,508		248,669
US Ecology, Inc.		2,096		106,896
Viad Corp.		1,954		108,252

See accompanying notes to financial statements.

89

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
VSE Corp.		880	$	42,618
				7,185,867
COMMUNICATIONS EQUIPMENT — 1.5%
Acacia Communications, Inc. (a)		1,800		65,214
ADTRAN, Inc.		4,700		90,945
Aerohive Networks, Inc. (a)		3,100		18,073
Applied Optoelectronics, Inc. (a)		1,800		68,076
Arista Networks, Inc. (a)		5,089		1,198,867
ARRIS International PLC (a)		17,053		438,092
CalAmp Corp. (a)		3,300		70,719
Calix, Inc. (a)		4,100		24,395
Ciena Corp. (a)		13,499		282,534
Clearfield, Inc. (a)		1,100		13,475
CommScope Holding Co., Inc. (a)		18,234		689,792
Comtech Telecommunications Corp.		2,200		48,664
Digi International, Inc. (a)		2,500		23,875
EchoStar Corp. Class A (a)		4,521		270,808
EMCORE Corp. (a)		2,600		16,770
Extreme Networks, Inc. (a)		10,700		133,964
Finisar Corp. (a) (b)		10,900		221,815
Harmonic, Inc. (a)		7,600		31,920
Infinera Corp. (a) (b)		14,100		89,253
InterDigital, Inc.		3,338		254,189
KVH Industries, Inc. (a)		1,166		12,068
Lumentum Holdings, Inc. (a) (b)		5,900		288,510
NETGEAR, Inc. (a)		3,000		176,250
NetScout Systems, Inc. (a)		8,100		246,645
Oclaro, Inc. (a)		15,900		107,166
Palo Alto Networks, Inc. (a)		8,584		1,244,165
Plantronics, Inc.		3,148		158,596
Quantenna Communications, Inc. (a) (b)		2,500		30,500
Ribbon Communications, Inc. (a)		4,600		35,558
Ubiquiti Networks, Inc. (a) (b)		2,156		153,119
ViaSat, Inc. (a) (b)		5,111		382,558
Viavi Solutions, Inc. (a)		22,000		192,280
				7,078,855
CONSTRUCTION & ENGINEERING — 0.7%
AECOM (a)		15,059		559,442
Aegion Corp. (a)		3,100		78,833
Ameresco, Inc. Class A (a)		1,800		15,480
Argan, Inc.		1,344		60,480
Chicago Bridge & Iron Co. NV		9,657		155,864
Comfort Systems USA, Inc.		3,543		154,652
Dycom Industries, Inc. (a)		2,852		317,798
EMCOR Group, Inc.		5,653		462,133
Granite Construction, Inc.		3,811		241,732
Great Lakes Dredge & Dock Corp. (a)		5,400		29,160
HC2 Holdings, Inc. (a)		4,800		28,560
IES Holdings, Inc. (a)		600		10,350
KBR, Inc.		13,488		267,467
Layne Christensen Co. (a) (b)		1,700		21,335
MasTec, Inc. (a)		6,400		313,280
MYR Group, Inc. (a)		1,500		53,595
Northwest Pipe Co. (a)		700		13,398
NV5 Global, Inc. (a)		800		43,320
Orion Group Holdings, Inc. (a)		2,200		17,226
Primoris Services Corp.		3,786		102,941
Sterling Construction Co., Inc. (a)		2,500		40,700
Tutor Perini Corp. (a)		3,600		91,260
Valmont Industries, Inc.		2,170		359,895
				3,438,901
CONSTRUCTION MATERIALS — 0.2%
Eagle Materials, Inc.		4,478		507,358
Forterra, Inc. (a) (b)		1,800		19,980
Summit Materials, Inc. Class A (a) (b)		10,652		334,901
United States Lime & Minerals, Inc.		221		17,039
US Concrete, Inc. (a) (b)		1,540		128,821
				1,008,099
CONSUMER FINANCE — 0.8%
Ally Financial, Inc.		42,702		1,245,190
Credit Acceptance Corp. (a)		1,067		345,153
Elevate Credit, Inc. (a) (b)		1,700		12,801
Encore Capital Group, Inc. (a)		2,292		96,493
Enova International, Inc. (a)		3,200		48,640
EZCORP, Inc. Class A (a)		4,800		58,560
FirstCash, Inc.		4,478		302,041
Green Dot Corp. Class A (a)		4,400		265,144
LendingClub Corp. (a)		31,333		129,405
Nelnet, Inc. Class A		1,814		99,371
OneMain Holdings, Inc. (a)		6,062		157,552
PRA Group, Inc. (a) (b)		4,314		143,225
Regional Management Corp. (a)		1,200		31,572
Santander Consumer USA Holdings, Inc.		14,300		266,266
SLM Corp. (a)		41,800		472,340
World Acceptance Corp. (a) (b)		531		42,862
				3,716,615
CONTAINERS & PACKAGING — 0.9%
AptarGroup, Inc.		5,943		512,762
Ardagh Group SA		1,800		37,980
Bemis Co., Inc.		8,740		417,684
Berry Global Group, Inc. (a)		12,525		734,842
Crown Holdings, Inc. (a)		12,479		701,944
Graphic Packaging Holding Co.		29,742		459,514
Greif, Inc. Class A		2,400		145,392
Greif, Inc. Class B		500		34,675
Myers Industries, Inc.		2,500		48,750
Owens-Illinois, Inc. (a)		15,628		346,473
Silgan Holdings, Inc.		7,168		210,667
Sonoco Products Co.		9,491		504,352

See accompanying notes to financial statements.

90

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
UFP Technologies, Inc. (a)		600	$	16,680
				4,171,715
DISTRIBUTORS — 0.1%
Core-Mark Holding Co., Inc.		4,352		137,436
Funko, Inc. Class A (a)		1,600		10,640
Pool Corp.		3,757		487,095
Weyco Group, Inc.		543		16,138
				651,309
DIVERSIFIED CONSUMER SERVICES — 0.8%
Adtalem Global Education, Inc.		5,800		243,890
American Public Education, Inc. (a)		1,700		42,585
Ascent Capital Group, Inc. Class A (a)		800		9,192
Bridgepoint Education, Inc. (a)		1,400		11,620
Bright Horizons Family Solutions, Inc. (a)		5,122		481,468
Cambium Learning Group, Inc. (a)		1,000		5,680
Capella Education Co.		1,100		85,140
Career Education Corp. (a)		6,500		78,520
Carriage Services, Inc.		1,400		35,994
Chegg, Inc. (a) (b)		9,100		148,512
Collectors Universe, Inc.		700		20,048
Graham Holdings Co. Class B		443		247,349
Grand Canyon Education, Inc. (a)		4,530		405,571
Houghton Mifflin Harcourt Co. (a)		9,900		92,070
K12, Inc. (a)		3,700		58,830
Laureate Education, Inc. Class A (a)		5,300		71,868
Liberty Tax, Inc.		400		4,400
Regis Corp. (a)		3,407		52,332
Service Corp. International		17,600		656,832
ServiceMaster Global Holdings, Inc. (a)		13,012		667,125
Sotheby’s (a)		3,609		186,224
Strayer Education, Inc.		1,014		90,834
Weight Watchers International, Inc. (a)		2,700		119,556
				3,815,640
DIVERSIFIED FINANCIAL SERVICES — 0.2%
Cannae Holdings, Inc. (a)		5,900		100,477
Marlin Business Services Corp.		800		17,920
On Deck Capital, Inc. (a)		4,700		26,978
Tiptree, Inc.		1,800		10,710
Voya Financial, Inc.		17,350		858,305
				1,014,390
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4%
ATN International, Inc.		999		55,205
Cincinnati Bell, Inc. (a)		4,013		83,671
Cogent Communications Holdings, Inc.		3,996		181,019
Consolidated Communications Holdings, Inc.		6,249		76,175
Frontier Communications Corp. (b)		7,557		51,085
General Communication, Inc. Class A (a)		2,600		101,452
Globalstar, Inc. (a) (b)		54,544		71,453
Hawaiian Telcom Holdco, Inc. (a)		600		18,516
IDT Corp. Class B (a)		1,700		18,020
Intelsat SA (a)		2,647		8,973
Iridium Communications, Inc. (a)		8,019		94,624
Ooma, Inc. (a)		1,600		19,120
ORBCOMM, Inc. (a)		6,500		66,170
pdvWireless, Inc. (a) (b)		1,000		32,100
Straight Path Communications, Inc. Class B (a)		955		173,610
Vonage Holdings Corp. (a)		19,700		200,349
Windstream Holdings, Inc.		17,511		32,395
Zayo Group Holdings, Inc. (a)		17,924		659,603
				1,943,540
ELECTRIC UTILITIES — 1.0%
ALLETE, Inc.		4,922		366,000
Avangrid, Inc. (b)		5,500		278,190
El Paso Electric Co.		3,863		213,817
Genie Energy, Ltd. Class B		800		3,488
Great Plains Energy, Inc.		20,863		672,623
Hawaiian Electric Industries, Inc.		10,431		377,081
IDACORP, Inc.		4,799		438,437
MGE Energy, Inc.		3,362		212,142
OGE Energy Corp.		19,283		634,603
Otter Tail Corp.		3,776		167,843
PNM Resources, Inc.		7,651		309,483
Portland General Electric Co.		8,567		390,484
Spark Energy, Inc. Class A		800		9,920
Westar Energy, Inc.		13,714		724,099
				4,798,210
ELECTRICAL EQUIPMENT — 0.7%
Allied Motion Technologies, Inc.		662		21,905
Atkore International Group, Inc. (a)		3,200		68,640
AZZ, Inc.		2,540		129,794
Babcock & Wilcox Enterprises, Inc. (a) (b)		4,487		25,486
Encore Wire Corp.		1,954		95,062
Energous Corp. (a) (b)		1,300		25,285
EnerSys		4,141		288,338
Generac Holdings, Inc. (a)		5,849		289,642
General Cable Corp.		4,700		139,120
Hubbell, Inc.		5,229		707,693
LSI Industries, Inc.		1,800		12,384
Plug Power, Inc. (a) (b)		21,900		51,684
Powell Industries, Inc.		1,000		28,650
Preformed Line Products Co.		300		21,315
Regal Beloit Corp.		4,276		327,542

See accompanying notes to financial statements.

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December 31, 2017

Security Description	Shares		Value
Revolution Lighting Technologies, Inc. (a) (b)		900	$	2,961
Sensata Technologies Holding NV (a) (b)		16,334		834,831
Sunrun, Inc. (a) (b)		8,200		48,380
Thermon Group Holdings, Inc. (a)		3,100		73,377
TPI Composites, Inc. (a)		1,000		20,460
Vicor Corp. (a)		1,570		32,813
Vivint Solar, Inc. (a) (b)		2,600		10,530
				3,255,892
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 3.1%
Akoustis Technologies, Inc. (a) (b)		600		3,738
Anixter International, Inc. (a)		2,786		211,736
Arrow Electronics, Inc. (a)		8,512		684,450
Avnet, Inc.		11,530		456,819
AVX Corp.		4,400		76,120
Badger Meter, Inc.		2,676		127,913
Bel Fuse, Inc. Class B		900		22,657
Belden, Inc.		4,063		313,542
Benchmark Electronics, Inc. (a)		4,780		139,098
CDW Corp.		14,459		1,004,756
Cognex Corp.		16,016		979,538
Coherent, Inc. (a)		2,394		675,635
Control4 Corp. (a)		2,412		71,781
CTS Corp.		3,100		79,825
Daktronics, Inc.		3,945		36,018
Dolby Laboratories, Inc. Class A		5,279		327,298
Electro Scientific Industries, Inc. (a)		3,292		70,547
ePlus, Inc. (a)		1,260		94,752
Fabrinet (a)		3,500		100,450
FARO Technologies, Inc. (a)		1,600		75,200
Fitbit, Inc. Class A (a)		18,609		106,257
II-VI, Inc. (a)		5,784		271,559
Insight Enterprises, Inc. (a)		3,452		132,177
IPG Photonics Corp. (a)		3,473		743,673
Iteris, Inc. (a)		2,300		16,031
Itron, Inc. (a)		3,299		224,992
Jabil, Inc.		16,600		435,750
KEMET Corp. (a)		5,300		79,818
Keysight Technologies, Inc. (a)		17,861		743,018
Kimball Electronics, Inc. (a)		2,544		46,428
Knowles Corp. (a)		8,468		124,141
Littelfuse, Inc.		2,134		422,148
Maxwell Technologies, Inc. (a) (b)		3,500		20,160
Mesa Laboratories, Inc.		282		35,053
Methode Electronics, Inc.		3,449		138,305
MicroVision, Inc. (a) (b)		5,700		9,291
MTS Systems Corp.		1,643		88,229
Napco Security Technologies, Inc. (a)		800		7,000
National Instruments Corp.		10,293		428,498
Novanta, Inc. (a)		3,100		155,000
OSI Systems, Inc. (a)		1,697		109,253
Park Electrochemical Corp.		1,800		35,370
PC Connection, Inc.		1,100		28,831
PCM, Inc. (a)		700		6,930
Plexus Corp. (a)		3,200		194,304
Radisys Corp. (a)		2,100		2,110
Rogers Corp. (a)		1,721		278,664
Sanmina Corp. (a)		6,910		228,030
ScanSource, Inc. (a)		2,409		86,242
SYNNEX Corp.		2,749		373,726
Systemax, Inc.		1,100		36,597
Tech Data Corp. (a)		3,339		327,122
Trimble, Inc. (a)		24,181		982,716
TTM Technologies, Inc. (a)		8,900		139,463
Universal Display Corp. (b)		4,024		694,744
VeriFone Systems, Inc. (a)		10,728		189,993
Vishay Intertechnology, Inc. (b)		12,700		263,525
Vishay Precision Group, Inc. (a)		1,100		27,665
Zebra Technologies Corp. Class A (a)		5,000		519,000
				14,303,686
ENERGY EQUIPMENT & SERVICES — 1.1%
Archrock, Inc.		6,700		70,350
Basic Energy Services, Inc. (a)		1,700		39,899
Bristow Group, Inc.		3,100		41,757
C&J Energy Services, Inc. (a)		4,483		150,046
CARBO Ceramics, Inc. (a) (b)		2,231		22,712
Diamond Offshore Drilling, Inc. (a) (b)		6,200		115,258
Dril-Quip, Inc. (a)		3,675		175,298
Ensco PLC Class A		40,980		242,192
Era Group, Inc. (a)		1,900		20,425
Exterran Corp. (a)		3,100		97,464
Fairmount Santrol Holdings, Inc. (a) (b)		14,900		77,927
Forum Energy Technologies, Inc. (a)		7,739		120,341
Frank’s International NV		4,800		31,920
Geospace Technologies Corp. (a)		1,000		12,970
Gulf Island Fabrication, Inc.		1,300		17,453
Helix Energy Solutions Group, Inc. (a)		13,509		101,858
Independence Contract Drilling, Inc. (a)		2,500		9,950
Keane Group, Inc. (a) (b)		3,800		72,238
Key Energy Services, Inc. (a)		700		8,253
Mammoth Energy Services, Inc. (a)		800		15,704
Matrix Service Co. (a)		2,500		44,500
McDermott International, Inc. (a)		27,200		178,976
Nabors Industries, Ltd.		29,699		202,844
Natural Gas Services Group, Inc. (a)		1,400		36,680
NCS Multistage Holdings, Inc. (a) (b)		800		11,792
Newpark Resources, Inc. (a)		8,100		69,660
Noble Corp. PLC (a) (b)		23,400		105,768

See accompanying notes to financial statements.

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December 31, 2017

Security Description	Shares		Value
Oceaneering International, Inc.		9,481	$	200,428
Oil States International, Inc. (a)		4,867		137,736
Parker Drilling Co. (a)		9,800		9,800
Patterson-UTI Energy, Inc.		20,200		464,802
PHI, Inc. NVDR (a)		1,100		12,727
Pioneer Energy Services Corp. (a)		7,300		22,265
ProPetro Holding Corp. (a)		5,500		110,880
Ranger Energy Services, Inc. (a)		400		3,692
RigNet, Inc. (a)		1,300		19,435
Rowan Cos. PLC Class A (a)		11,212		175,580
RPC, Inc. (b)		5,632		143,785
SEACOR Holdings, Inc. (a)		1,568		72,473
SEACOR Marine Holdings, Inc. (a)		1,573		18,404
Select Energy Services, Inc. Class A (a)		2,600		47,424
Smart Sand, Inc. (a) (b)		2,100		18,186
Solaris Oilfield Infrastructure, Inc. Class A (a) (b)		1,700		36,397
Superior Energy Services, Inc. (a)		14,600		140,598
TETRA Technologies, Inc. (a)		11,018		47,047
Transocean, Ltd. (a) (b)		37,900		404,772
Unit Corp. (a)		4,948		108,856
US Silica Holdings, Inc. (b)		7,788		253,577
Weatherford International PLC (a)		85,137		355,021
Willbros Group, Inc. (a)		2,600		3,692
				4,901,812
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.0%
Alexander & Baldwin, Inc.		4,518		125,329
Altisource Residential Corp. REIT		4,727		56,062
Armada Hoffler Properties, Inc. REIT		4,300		66,779
Bluerock Residential Growth REIT, Inc.		2,200		22,242
CareTrust REIT, Inc.		7,200		120,672
CatchMark Timber Trust, Inc. Class A REIT		4,200		55,146
Chatham Lodging Trust REIT		4,283		97,481
City Office REIT, Inc.		2,800		36,428
Clipper Realty, Inc. REIT		1,500		14,985
Colony NorthStar, Inc. Class A REIT		52,018		593,525
Community Healthcare Trust, Inc. REIT		1,600		44,960
CoreCivic, Inc. REIT		11,325		254,812
CorEnergy Infrastructure Trust, Inc. REIT		1,160		44,312
CoreSite Realty Corp. REIT		3,242		369,264
CyrusOne, Inc. REIT		8,746		520,649
Empire State Realty Trust, Inc. Class A REIT		12,424		255,065
EPR Properties REIT		6,049		395,968
Farmland Partners, Inc. REIT (b)		3,000		26,040
Four Corners Property Trust, Inc. REIT		5,909		151,861
Gaming and Leisure Properties, Inc. REIT		19,396		717,652
GEO Group, Inc. REIT		11,700		276,120
Getty Realty Corp. REIT		3,005		81,616
Gladstone Commercial Corp. REIT		2,600		54,756
Global Medical REIT, Inc. (b)		1,300		10,660
Global Net Lease, Inc. REIT		6,541		134,614
Government Properties Income Trust REIT		9,057		167,917
Gramercy Property Trust REIT		15,280		407,365
Healthcare Trust of America, Inc. Class A REIT		19,566		587,763
InfraREIT, Inc. (a)		4,100		76,178
Investors Real Estate Trust		11,600		65,888
iStar, Inc. (a)		6,300		71,190
Jernigan Capital, Inc. REIT (b)		1,300		24,713
Lamar Advertising Co. Class A REIT		7,967		591,470
Lexington Realty Trust REIT		20,800		200,720
MedEquities Realty Trust, Inc. REIT		2,700		30,294
Medical Properties Trust, Inc. REIT		35,077		483,361
Monmouth Real Estate Investment Corp.		6,779		120,666
National Health Investors, Inc. REIT		3,890		293,228
National Retail Properties, Inc. REIT		14,600		629,698
New Senior Investment Group, Inc. REIT		7,900		59,724
Omega Healthcare Investors, Inc. REIT		18,832		518,633
One Liberty Properties, Inc.		1,500		38,880
Outfront Media, Inc. REIT		13,367		310,114
Physicians Realty Trust REIT		17,300		311,227
Potlatch Corp. REIT		3,900		194,610
Preferred Apartment Communities, Inc. Class A		3,500		70,875
QTS Realty Trust, Inc. Class A REIT		4,748		257,152
Rayonier, Inc. REIT		12,362		391,010
Sabra Health Care REIT, Inc.		16,996		319,015
Select Income REIT		6,100		153,293
Spirit Realty Capital, Inc. REIT		43,977		377,323
STAG Industrial, Inc. REIT		9,050		247,337
STORE Capital Corp. REIT (b)		16,495		429,530
Terreno Realty Corp.		5,171		181,295
UMH Properties, Inc.		3,000		44,700
Uniti Group, Inc. REIT (a) (b)		16,000		284,640
Urstadt Biddle Properties, Inc. Class A REIT		2,842		61,785
VEREIT, Inc.		94,294		734,550
Whitestone REIT (b)		3,600		51,876

See accompanying notes to financial statements.

93

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December 31, 2017

Security Description	Shares		Value
WP Carey, Inc. REIT		10,202	$	702,918
				14,017,936
FOOD & STAPLES RETAILING — 0.6%
Andersons, Inc.		2,585		80,523
Casey’s General Stores, Inc. (b)		3,669		410,708
Chefs’ Warehouse, Inc. (a) (b)		1,900		38,950
Ingles Markets, Inc. Class A		1,400		48,440
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		500		4,465
Performance Food Group Co. (a)		8,657		286,547
PriceSmart, Inc.		2,091		180,035
Rite Aid Corp. (a) (b)		101,510		199,975
Smart & Final Stores, Inc. (a)		2,195		18,767
SpartanNash Co.		3,500		93,380
Sprouts Farmers Market, Inc. (a)		12,575		306,201
SUPERVALU, Inc. (a)		3,642		78,667
United Natural Foods, Inc. (a)		4,848		238,861
US Foods Holding Corp. (a)		19,728		629,915
Village Super Market, Inc. Class A		769		17,633
Weis Markets, Inc.		915		37,872
				2,670,939
FOOD PRODUCTS — 1.8%
Alico, Inc.		200		5,900
Amplify Snack Brands, Inc. (a) (b)		3,547		42,599
B&G Foods, Inc. (b)		6,300		221,445
Blue Buffalo Pet Products, Inc. (a) (b)		8,992		294,848
Bob Evans Farms, Inc.		1,949		153,620
Bunge, Ltd.		13,528		907,458
Calavo Growers, Inc. (b)		1,542		130,145
Cal-Maine Foods, Inc. (a) (b)		2,800		124,460
Darling Ingredients, Inc. (a)		15,700		284,641
Dean Foods Co.		8,700		100,572
Farmer Brothers Co. (a)		850		27,327
Flowers Foods, Inc.		17,031		328,869
Fresh Del Monte Produce, Inc.		3,134		149,398
Freshpet, Inc. (a) (b)		2,400		45,480
Hain Celestial Group, Inc. (a)		9,779		414,532
Hostess Brands, Inc. (a) (b)		7,700		114,037
Ingredion, Inc.		6,852		957,910
J&J Snack Foods Corp.		1,440		218,635
John B Sanfilippo & Son, Inc.		778		49,208
Lamb Weston Holdings, Inc.		14,100		795,945
Lancaster Colony Corp.		1,776		229,477
Landec Corp. (a)		2,600		32,760
Lifeway Foods, Inc. (a)		200		1,600
Limoneira Co.		1,200		26,880
Pilgrim’s Pride Corp. (a) (b)		5,100		158,406
Pinnacle Foods, Inc.		11,410		678,553
Post Holdings, Inc. (a)		6,306		499,624
Sanderson Farms, Inc. (b)		1,973		273,813
Seaboard Corp.		25		110,250
Seneca Foods Corp. Class A (a)		549		16,882
Snyder’s-Lance, Inc.		8,272		414,262
Tootsie Roll Industries, Inc. (b)		1,636		59,550
TreeHouse Foods, Inc. (a)		5,339		264,067
				8,133,153
GAS UTILITIES — 1.0%
Atmos Energy Corp.		9,929		852,802
Chesapeake Utilities Corp.		1,538		120,810
National Fuel Gas Co. (b)		7,763		426,266
New Jersey Resources Corp.		8,238		331,167
Northwest Natural Gas Co.		2,760		164,634
ONE Gas, Inc.		4,987		365,348
RGC Resources, Inc.		500		13,540
South Jersey Industries, Inc.		7,662		239,284
Southwest Gas Holdings, Inc.		4,539		365,299
Spire, Inc.		4,539		341,106
UGI Corp.		16,653		781,858
WGL Holdings, Inc.		4,883		419,157
				4,421,271
HEALTH CARE EQUIPMENT & SUPPLIES — 2.5%
Abaxis, Inc.		2,100		103,992
ABIOMED, Inc. (a)		3,979		745,704
Accuray, Inc. (a) (b)		7,800		33,540
Analogic Corp.		1,235		103,431
AngioDynamics, Inc. (a)		3,500		58,205
Anika Therapeutics, Inc. (a)		1,347		72,617
Antares Pharma, Inc. (a) (b)		16,100		32,039
AtriCure, Inc. (a)		3,100		56,544
Atrion Corp.		134		84,500
AxoGen, Inc. (a)		2,600		73,580
Cantel Medical Corp.		3,489		358,913
Cardiovascular Systems, Inc. (a)		3,250		76,993
Cerus Corp. (a) (b)		10,900		36,842
ConforMIS, Inc. (a)		2,900		6,902
CONMED Corp.		2,601		132,573
Corindus Vascular Robotics, Inc. (a) (b)		7,500		7,575
CryoLife, Inc. (a)		3,100		59,365
Cutera, Inc. (a)		1,300		58,955
DexCom, Inc. (a) (b)		8,213		471,344
Endologix, Inc. (a) (b)		7,923		42,388
Entellus Medical, Inc. (a)		1,200		29,268
Exactech, Inc. (a)		1,000		49,450
FONAR Corp. (a)		600		14,610
GenMark Diagnostics, Inc. (a) (b)		4,900		20,433
Glaukos Corp. (a)		2,768		70,999
Globus Medical, Inc. Class A (a) (b)		6,758		277,754
Haemonetics Corp. (a)		5,090		295,627
Halyard Health, Inc. (a)		4,500		207,810
Heska Corp. (a)		602		48,286
Hill-Rom Holdings, Inc.		6,376		537,433
ICU Medical, Inc. (a)		1,438		310,608
Inogen, Inc. (a)		1,651		196,601
Insulet Corp. (a)		5,600		386,400
Integer Holdings Corp. (a)		2,992		135,538
Integra LifeSciences Holdings Corp. (a)		6,054		289,745

See accompanying notes to financial statements.

94

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Invacare Corp.		3,100	$	52,235
iRhythm Technologies, Inc. (a)		1,400		78,470
K2M Group Holdings, Inc. (a)		4,000		72,000
Lantheus Holdings, Inc. (a)		2,900		59,305
LeMaitre Vascular, Inc.		1,400		44,576
LivaNova PLC (a)		4,650		371,628
Masimo Corp. (a)		4,268		361,926
Meridian Bioscience, Inc.		4,000		56,000
Merit Medical Systems, Inc. (a)		4,700		203,040
Natus Medical, Inc. (a)		2,934		112,079
Neogen Corp. (a)		3,591		295,216
Nevro Corp. (a)		2,697		186,201
Novocure, Ltd. (a)		5,555		112,211
NuVasive, Inc. (a)		4,880		285,431
NxStage Medical, Inc. (a)		6,200		150,226
Obalon Therapeutics, Inc. (a)		600		3,966
OraSure Technologies, Inc. (a)		5,400		101,844
Orthofix International NV (a)		1,686		92,224
OrthoPediatrics Corp. (a)		400		7,676
Oxford Immunotec Global PLC (a)		2,400		33,528
Penumbra, Inc. (a)		2,787		262,257
Pulse Biosciences, Inc. (a) (b)		1,100		25,960
Quidel Corp. (a)		2,700		117,045
Quotient, Ltd. (a) (b)		1,900		9,405
Rockwell Medical, Inc. (a) (b)		5,300		30,846
RTI Surgical, Inc. (a)		5,200		21,320
Sientra, Inc. (a)		1,400		19,684
STAAR Surgical Co. (a)		3,900		60,450
STERIS PLC		8,121		710,344
Surmodics, Inc. (a)		1,400		39,200
Tactile Systems Technology, Inc. (a) (b)		1,200		34,776
Teleflex, Inc.		4,335		1,078,635
Utah Medical Products, Inc.		337		27,432
Varex Imaging Corp. (a)		3,600		144,612
ViewRay, Inc. (a) (b)		2,900		26,854
Viveve Medical, Inc. (a) (b)		1,000		4,970
West Pharmaceutical Services, Inc.		7,113		701,840
Wright Medical Group NV (a)		10,009		222,200
				11,704,176
HEALTH CARE PROVIDERS & SERVICES — 1.3%
AAC Holdings, Inc. (a)		1,100		9,900
Acadia Healthcare Co., Inc. (a)		7,582		247,401
Aceto Corp.		2,900		29,957
Addus HomeCare Corp. (a)		767		26,692
Almost Family, Inc. (a)		1,185		65,590
Amedisys, Inc. (a)		2,705		142,581
American Renal Associates Holdings, Inc. (a)		700		12,180
AMN Healthcare Services, Inc. (a)		4,548		223,989
BioScrip, Inc. (a) (b)		12,800		37,248
BioTelemetry, Inc. (a)		3,000		89,700
Brookdale Senior Living, Inc. (a)		17,762		172,291
Capital Senior Living Corp. (a)		2,300		31,027
Chemed Corp. (b)		1,543		374,980
Civitas Solutions, Inc. (a)		1,500		25,650
Community Health Systems, Inc. (a) (b)		9,167		39,051
CorVel Corp. (a)		894		47,293
Cross Country Healthcare, Inc. (a)		3,400		43,384
Diplomat Pharmacy, Inc. (a)		4,663		93,586
Encompass Health Corp.		9,412		465,047
Ensign Group, Inc.		4,570		101,454
Genesis Healthcare, Inc. (a) (b)		2,200		1,678
HealthEquity, Inc. (a)		4,763		222,242
Kindred Healthcare, Inc.		8,200		79,540
LHC Group, Inc. (a)		1,500		91,875
LifePoint Health, Inc. (a)		3,512		174,898
Magellan Health, Inc. (a)		2,285		220,617
MEDNAX, Inc. (a)		8,794		469,951
Molina Healthcare, Inc. (a)		4,254		326,197
National HealthCare Corp.		1,158		70,568
National Research Corp. Class A		1,000		37,300
Owens & Minor, Inc.		5,838		110,221
PetIQ, Inc. (a)		700		15,288
Premier, Inc. Class A (a)		5,445		158,939
Providence Service Corp. (a)		1,100		65,274
R1 RCM, Inc. (a)		9,600		42,336
RadNet, Inc. (a)		3,500		35,350
Select Medical Holdings Corp. (a)		10,300		181,795
Surgery Partners, Inc. (a) (b)		1,800		21,780
Teladoc, Inc. (a) (b)		5,192		180,941
Tenet Healthcare Corp. (a) (b)		7,769		117,778
Tivity Health, Inc. (a)		3,500		127,925
Triple-S Management Corp. Class B (a)		2,189		54,397
US Physical Therapy, Inc.		1,200		86,640
WellCare Health Plans, Inc. (a)		4,248		854,315
				6,026,846
HEALTH CARE TECHNOLOGY — 0.6%
Allscripts Healthcare Solutions, Inc. (a)		17,434		253,665
athenahealth, Inc. (a)		3,804		506,084
Castlight Health, Inc. Class B (a) (b)		6,100		22,875
Computer Programs & Systems, Inc.		1,213		36,451
Cotiviti Holdings, Inc. (a)		3,500		112,735
Evolent Health, Inc. Class A (a) (b)		5,700		70,110
HealthStream, Inc. (a)		2,500		57,900
HMS Holdings Corp. (a)		8,041		136,295
Inovalon Holdings, Inc. Class A (a) (b)		6,100		91,500
Medidata Solutions, Inc. (a)		5,369		340,233
NantHealth, Inc. (a)		1,300		3,965
Omnicell, Inc. (a)		3,564		172,854
Quality Systems, Inc. (a)		5,100		69,258
Simulations Plus, Inc.		1,000		16,100

See accompanying notes to financial statements.

95

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Tabula Rasa HealthCare, Inc. (a)		900	$	25,245
Veeva Systems, Inc. Class A (a)		10,521		581,601
Vocera Communications, Inc. (a)		2,734		82,621
				2,579,492
HOTELS, RESTAURANTS & LEISURE — 3.4%
Aramark		23,395		999,902
Belmond, Ltd. Class A (a)		8,600		105,350
Biglari Holdings, Inc. (a)		96		39,782
BJ’s Restaurants, Inc.		1,906		69,378
Bloomin’ Brands, Inc.		8,900		189,926
Bojangles’, Inc. (a)		1,700		20,060
Boyd Gaming Corp.		8,000		280,400
Brinker International, Inc. (b)		4,430		172,061
Buffalo Wild Wings, Inc. (a)		1,526		238,590
Caesars Entertainment Corp. (a)		13,050		165,083
Carrols Restaurant Group, Inc. (a)		3,300		40,095
Century Casinos, Inc. (a)		1,600		14,608
Cheesecake Factory, Inc.		4,155		200,188
Choice Hotels International, Inc.		3,249		252,122
Churchill Downs, Inc.		1,288		299,718
Chuy’s Holdings, Inc. (a)		1,600		44,880
Cracker Barrel Old Country Store, Inc. (b)		1,835		291,563
Dave & Buster’s Entertainment, Inc. (a)		3,948		217,811
Del Frisco’s Restaurant Group, Inc. (a)		2,000		30,500
Del Taco Restaurants, Inc. (a)		3,500		42,420
Denny’s Corp. (a)		6,100		80,764
DineEquity, Inc. (b)		1,695		85,987
Domino’s Pizza, Inc. (b)		4,218		797,033
Drive Shack, Inc.		6,000		33,180
Dunkin’ Brands Group, Inc.		8,680		559,600
El Pollo Loco Holdings, Inc. (a)		1,900		18,810
Eldorado Resorts, Inc. (a) (b)		4,500		149,175
Empire Resorts, Inc. (a) (b)		200		5,400
Extended Stay America, Inc.		18,500		351,500
Fiesta Restaurant Group, Inc. (a) (b)		2,499		47,481
Fogo De Chao, Inc. (a)		700		8,120
Golden Entertainment, Inc. (a)		1,200		39,180
Habit Restaurants, Inc. Class A (a) (b)		1,900		18,145
Hilton Grand Vacations, Inc. (a)		6,641		278,590
Hyatt Hotels Corp. Class A (a)		4,429		325,709
ILG, Inc.		10,199		290,468
Inspired Entertainment, Inc. (a)		300		2,940
International Game Technology PLC		10,400		275,704
International Speedway Corp. Class A		2,306		91,894
J Alexander’s Holdings, Inc. (a)		1,269		12,309
Jack in the Box, Inc.		2,780		272,746
La Quinta Holdings, Inc. (a)		7,777		143,564
Las Vegas Sands Corp.		34,915		2,426,243
Lindblad Expeditions Holdings, Inc. (a)		1,900		18,601
Marcus Corp.		1,800		49,230
Marriott Vacations Worldwide Corp.		2,027		274,071
Monarch Casino & Resort, Inc. (a)		1,000		44,820
Nathan’s Famous, Inc.		300		22,650
Noodles & Co. (a) (b)		700		3,675
Papa John’s International, Inc. (b)		2,510		140,836
Penn National Gaming, Inc. (a)		8,100		253,773
Pinnacle Entertainment, Inc. (a)		5,100		166,923
Planet Fitness, Inc. Class A (a)		8,300		287,429
Potbelly Corp. (a)		2,200		27,060
RCI Hospitality Holdings, Inc.		700		19,586
Red Lion Hotels Corp. (a)		1,200		11,820
Red Robin Gourmet Burgers, Inc. (a)		1,236		69,710
Red Rock Resorts, Inc. Class A		6,586		222,212
Ruth’s Hospitality Group, Inc.		2,800		60,620
Scientific Games Corp. Class A (a)		5,100		261,630
SeaWorld Entertainment, Inc. (a) (b)		6,590		89,426
Shake Shack, Inc. Class A (a) (b)		2,130		92,016
Six Flags Entertainment Corp. (b)		6,310		420,057
Sonic Corp. (b)		3,770		103,600
Speedway Motorsports, Inc.		1,100		20,757
Texas Roadhouse, Inc.		6,355		334,782
Vail Resorts, Inc.		3,830		813,760
Wendy’s Co.		17,827		292,719
Wingstop, Inc.		2,770		107,975
Yum China Holdings, Inc.		35,563		1,423,231
Zoe’s Kitchen, Inc. (a) (b)		1,800		30,096
				15,692,044
HOUSEHOLD DURABLES — 1.3%
AV Homes, Inc. (a) (b)		1,200		19,980
Bassett Furniture Industries, Inc.		1,000		37,600
Beazer Homes USA, Inc. (a)		3,000		57,630
CalAtlantic Group, Inc.		7,766		437,925
Cavco Industries, Inc. (a)		795		121,317
Century Communities, Inc. (a)		1,815		56,446
CSS Industries, Inc.		1,000		27,830
Ethan Allen Interiors, Inc.		2,400		68,640
Flexsteel Industries, Inc.		700		32,746
GoPro, Inc. Class A (a) (b)		10,500		79,485
Green Brick Partners, Inc. (a)		2,700		30,510
Hamilton Beach Brands Holding Co. Class A		282		7,244
Helen of Troy, Ltd. (a)		2,644		254,749
Hooker Furniture Corp.		1,200		50,940
Hovnanian Enterprises, Inc. Class A (a) (b)		13,700		45,895
Installed Building Products, Inc. (a)		2,100		159,495
iRobot Corp. (a) (b)		2,500		191,750

See accompanying notes to financial statements.

96

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STATE STREET SMALL/MID CAP EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
KB Home		8,200	$	261,990
La-Z-Boy, Inc.		4,633		144,550
LGI Homes, Inc. (a) (b)		1,700		127,551
Libbey, Inc.		1,642		12,348
Lifetime Brands, Inc		700		11,550
M/I Homes, Inc. (a)		2,500		86,000
MDC Holdings, Inc.		4,318		137,664
Meritage Homes Corp. (a)		3,658		187,290
New Home Co. Inc (a)		1,200		15,036
NVR, Inc. (a)		317		1,112,106
PICO Holdings, Inc. (a)		2,500		32,000
Taylor Morrison Home Corp. Class A (a)		7,800		190,866
Tempur Sealy International, Inc. (a)		4,449		278,908
Toll Brothers, Inc		14,283		685,870
TopBuild Corp. (a)		3,352		253,880
TRI Pointe Group, Inc. (a) (b)		14,383		257,743
Tupperware Brands Corp.		4,881		306,039
Universal Electronics, Inc. (a)		1,339		63,268
William Lyon Homes Class A (a)		2,600		75,608
ZAGG, Inc. (a)		2,600		47,970
				5,968,419
HOUSEHOLD PRODUCTS — 0.2%
Central Garden & Pet Co. Class A (a)		3,400		128,214
Central Garden & Pet Co. (a)		1,000		38,920
Energizer Holdings, Inc. (b)		5,812		278,860
HRG Group, Inc. (a)		11,400		193,230
Oil-Dri Corp. of America		448		18,592
Orchids Paper Products Co. (b)		560		7,168
Spectrum Brands Holdings, Inc. (b)		2,318		260,543
WD-40 Co. (b)		1,310		154,580
				1,080,107
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4%
Atlantic Power Corp. (a)		10,900		25,615
Calpine Corp. (a)		34,754		525,828
Dynegy, Inc. (a)		10,584		125,420
NRG Yield, Inc. Class A		3,300		62,205
NRG Yield, Inc. Class C		6,300		119,070
Ormat Technologies, Inc.		3,842		245,734
Pattern Energy Group, Inc.		7,500		161,175
TerraForm Power, Inc. Class A (b)		4,759		56,918
Vistra Energy Corp. (a) (b)		23,400		428,688
				1,750,653
INDUSTRIAL CONGLOMERATES — 0.2%
Carlisle Cos., Inc.		5,905		671,103
Raven Industries, Inc.		3,500		120,225
				791,328
INSURANCE — 3.7%
Alleghany Corp. (a)		1,451		864,927
Ambac Financial Group, Inc. (a)		4,400		70,312
American Equity Investment Life Holding Co.		8,268		254,076
American Financial Group, Inc.		6,759		733,622
American National Insurance Co.		686		87,979
AMERISAFE, Inc.		1,881		115,870
AmTrust Financial Services, Inc. (b)		8,170		82,272
Arch Capital Group, Ltd. (a)		11,823		1,073,174
Argo Group International Holdings, Ltd.		2,757		169,969
Aspen Insurance Holdings, Ltd.		5,688		230,933
Assured Guaranty, Ltd.		11,219		379,987
Athene Holding, Ltd. Class A (a)		10,400		537,784
Atlas Financial Holdings, Inc. (a)		800		16,440
Axis Capital Holdings, Ltd.		7,916		397,858
Baldwin & Lyons, Inc. Class B		900		21,555
Blue Capital Reinsurance Holdings, Ltd.		400		4,820
Brown & Brown, Inc.		11,366		584,894
Citizens, Inc. (a) (b)		5,100		37,485
CNA Financial Corp.		2,591		137,453
CNO Financial Group, Inc.		16,179		399,459
Crawford & Co. Class B		891		8,571
Donegal Group, Inc. Class A		800		13,840
eHealth, Inc. (a)		1,700		29,529
EMC Insurance Group, Inc.		1,000		28,690
Employers Holdings, Inc.		3,000		133,200
Enstar Group, Ltd. (a)		1,051		210,988
Erie Indemnity Co. Class A		2,338		284,862
FBL Financial Group, Inc. Class A		926		64,496
Federated National Holding Co.		1,100		18,227
First American Financial Corp.		10,348		579,902
FNF Group		25,222		989,711
Genworth Financial, Inc. Class A (a)		48,200		149,902
Global Indemnity, Ltd. (a)		654		27,481
Greenlight Capital Re, Ltd. Class A (a)		2,900		58,290
Hallmark Financial Services, Inc. (a)		1,141		11,901
Hanover Insurance Group, Inc.		4,126		445,938
HCI Group, Inc.		745		22,275
Health Insurance Innovations, Inc. Class A (a) (b)		1,100		27,445
Heritage Insurance Holdings, Inc. (b)		1,900		34,238
Horace Mann Educators Corp.		3,900		171,990
Independence Holding Co.		600		16,470
Infinity Property & Casualty Corp.		1,067		113,102
Investors Title Co.		142		28,166

See accompanying notes to financial statements.

97

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STATE STREET SMALL/MID CAP EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
James River Group Holdings, Ltd.		2,400	$	96,024
Kemper Corp.		3,783		260,649
Kingstone Cos., Inc.		900		16,920
Kinsale Capital Group, Inc.		1,400		63,000
Maiden Holdings, Ltd.		6,700		44,220
Markel Corp. (a)		1,313		1,495,678
MBIA, Inc. (a) (b)		8,500		62,220
Mercury General Corp.		2,637		140,921
National General Holdings Corp.		4,699		92,288
National Western Life Group, Inc. Class A		277		91,692
Navigators Group, Inc.		1,992		97,010
NI Holdings, Inc. (a)		700		11,886
Old Republic International Corp.		23,662		505,894
Primerica, Inc.		4,202		426,713
ProAssurance Corp.		5,042		288,150
Reinsurance Group of America, Inc.		6,204		967,390
RenaissanceRe Holdings, Ltd.		3,888		488,294
RLI Corp.		3,718		225,534
Safety Insurance Group, Inc.		1,438		115,615
Selective Insurance Group, Inc.		5,500		322,850
State Auto Financial Corp.		1,500		43,680
Stewart Information Services Corp.		2,049		86,673
Third Point Reinsurance, Ltd. (a)		8,800		128,920
Trupanion, Inc. (a)		2,169		63,487
United Fire Group, Inc.		2,098		95,627
United Insurance Holdings Corp.		2,200		37,950
Universal Insurance Holdings, Inc.		3,000		82,050
Validus Holdings, Ltd.		7,492		351,525
White Mountains Insurance Group, Ltd.		338		287,733
WMIH Corp. (a)		18,334		15,567
WR Berkley Corp.		9,167		656,816
				17,333,059
INTERNET & CATALOG RETAIL — 0.6%
1-800-Flowers.com, Inc. Class A (a)		3,000		32,100
Duluth Holdings, Inc. Class B (a) (b)		899		16,047
FTD Cos., Inc. (a)		1,200		8,628
Gaia, Inc. (a)		600		7,440
Groupon, Inc. (a) (b)		32,622		166,372
HSN, Inc.		3,110		125,488
Lands’ End, Inc. (a) (b)		1,500		29,325
Liberty Expedia Holdings, Inc. Class A (a)		5,187		229,940
Liberty Interactive Corp. QVC Group Class A (a)		37,862		924,590
Liberty TripAdvisor Holdings, Inc. Class A (a)		7,000		65,975
Liberty Ventures Series A (a)		7,680		416,563
Nutrisystem, Inc.		2,851		149,963
Overstock.com, Inc. (a) (b)		1,700		108,630
PetMed Express, Inc. (b)		1,900		86,450
Shutterfly, Inc. (a)		3,151		156,762
Wayfair, Inc. Class A (a)		3,751		301,093
				2,825,366
INTERNET SOFTWARE & SERVICES — 2.6%
2U, Inc. (a) (b)		4,605		297,069
Actua Corp. (a)		2,900		45,240
Alarm.com Holdings, Inc. (a)		1,900		71,725
Alteryx, Inc. Class A (a)		2,300		58,121
Amber Road, Inc. (a)		1,500		11,010
Appfolio, Inc. Class A (a)		900		37,350
Apptio, Inc. Class A (a)		2,200		51,744
Bazaarvoice, Inc. (a)		8,200		44,690
Benefitfocus, Inc. (a) (b)		1,541		41,607
Blucora, Inc. (a)		4,200		92,820
Box, Inc. Class A (a)		7,765		163,997
Brightcove, Inc. (a)		3,226		22,905
Carbonite, Inc. (a)		2,400		60,240
Care.com, Inc. (a)		1,300		23,452
Cars.com, Inc. (a) (b)		6,900		198,996
ChannelAdvisor Corp. (a)		2,400		21,600
Cimpress NV (a) (b)		2,430		291,308
Cloudera, Inc. (a)		9,400		155,288
CommerceHub, Inc. Series A (a)		1,346		29,599
CommerceHub, Inc. Series C (a)		2,793		57,508
Cornerstone OnDemand, Inc. (a) (b)		5,051		178,452
CoStar Group, Inc. (a)		3,467		1,029,526
Coupa Software, Inc. (a)		3,000		93,660
DHI Group, Inc. (a)		3,000		5,700
Endurance International Group Holdings, Inc. (a)		5,535		46,494
Envestnet, Inc. (a)		4,152		206,977
Etsy, Inc. (a)		11,600		237,220
Five9, Inc. (a)		5,127		127,560
GoDaddy, Inc. Class A (a)		12,153		611,053
Gogo, Inc. (a) (b)		5,510		62,153
GrubHub, Inc. (a) (b)		8,221		590,268
GTT Communications, Inc. (a) (b)		2,995		140,615
Hortonworks, Inc. (a)		4,778		96,086
IAC/InterActiveCorp (a)		6,711		820,621
Instructure, Inc. (a)		2,100		69,510
Internap Corp. (a)		1,899		29,833
j2 Global, Inc.		4,430		332,383
Leaf Group, Ltd. (a)		800		7,920
Limelight Networks, Inc. (a)		7,200		31,752
Liquidity Services, Inc. (a)		1,900		9,215
LivePerson, Inc. (a)		5,300		60,950
LogMeIn, Inc.		4,965		568,492
Match Group, Inc. (a) (b)		3,500		109,585
Meet Group, Inc. (a)		6,400		18,048
MINDBODY, Inc. Class A (a) (b)		4,100		124,845
MuleSoft, Inc. Class A (a)		2,300		53,498
New Relic, Inc. (a)		2,931		169,324
NIC, Inc.		6,200		102,920
Nutanix, Inc. Class A (a)		10,200		359,856

See accompanying notes to financial statements.

98

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STATE STREET SMALL/MID CAP EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Okta, Inc. (a)		1,900	$	48,659
Ominto, Inc. (a) (b)		731		2,478
Pandora Media, Inc. (a)		23,335		112,475
Q2 Holdings, Inc. (a)		3,000		110,550
QuinStreet, Inc. (a)		4,000		33,520
Quotient Technology, Inc. (a)		7,300		85,775
Reis, Inc.		700		14,455
SendGrid, Inc. (a)		800		19,176
Shutterstock, Inc. (a)		1,750		75,302
SPS Commerce, Inc. (a)		1,651		80,222
Stamps.com, Inc. (a)		1,557		292,716
TechTarget, Inc. (a)		1,900		26,448
Tintri, Inc. (a) (b)		700		3,570
Trade Desk, Inc. Class A (a) (b)		2,300		105,179
TrueCar, Inc. (a) (b)		6,766		75,779
Tucows, Inc. Class A (a) (b)		900		63,045
Twilio, Inc. Class A (a) (b)		6,000		141,600
Twitter, Inc. (a)		64,575		1,550,446
Veritone, Inc. (a)		200		4,640
Web.com Group, Inc. (a)		3,700		80,660
XO Group, Inc. (a)		2,311		42,661
Yelp, Inc. (a)		7,691		322,714
Yext, Inc. (a)		2,300		27,669
Zillow Group, Inc. Class A (a)		5,229		213,029
Zillow Group, Inc. (a) (b)		10,383		424,872
				12,028,425
IT SERVICES — 3.5%
Acxiom Corp. (a)		7,600		209,456
Amdocs, Ltd.		13,883		909,059
Black Knight, Inc. (a)		10,452		461,456
Blackhawk Network Holdings, Inc. (a)		5,236		186,663
Booz Allen Hamilton Holding Corp.		13,800		526,194
Broadridge Financial Solutions, Inc.		11,340		1,027,177
CACI International, Inc. Class A (a)		2,366		313,140
Cardtronics PLC Class A (a)		4,328		80,155
Cass Information Systems, Inc.		1,150		66,941
Conduent, Inc. (a)		18,300		295,728
Convergys Corp.		9,042		212,487
CoreLogic, Inc. (a)		7,900		365,059
CSG Systems International, Inc.		3,200		140,224
DST Systems, Inc.		5,715		354,730
EPAM Systems, Inc. (a)		4,774		512,871
Euronet Worldwide, Inc. (a)		4,852		408,878
Everi Holdings, Inc. (a)		6,200		46,748
EVERTEC, Inc.		5,800		79,170
ExlService Holdings, Inc. (a)		3,137		189,318
First Data Corp. Class A (a)		45,905		767,073
FleetCor Technologies, Inc. (a)		8,575		1,650,087
Genpact, Ltd.		14,760		468,482
Hackett Group, Inc.		2,290		35,976
Information Services Group, Inc. (a)		1,900		7,923
Jack Henry & Associates, Inc.		7,502		877,434
Leidos Holdings, Inc.		13,711		885,319
ManTech International Corp. Class A		2,458		123,367
MAXIMUS, Inc.		6,134		439,072
MoneyGram International, Inc. (a)		2,753		36,285
Perficient, Inc. (a)		3,300		62,931
Presidio, Inc. (a)		2,100		40,257
Sabre Corp.		19,988		409,754
Science Applications International Corp.		4,147		317,536
ServiceSource International, Inc. (a)		7,400		22,866
Square, Inc. Class A (a)		23,441		812,699
StarTek, Inc. (a)		700		6,979
Switch, Inc. Class A		3,500		63,665
Sykes Enterprises, Inc. (a)		3,753		118,032
Syntel, Inc. (a)		3,200		73,568
TeleTech Holdings, Inc.		1,300		52,325
Teradata Corp. (a)		11,601		446,174
Travelport Worldwide, Ltd.		11,900		155,533
Unisys Corp. (a) (b)		4,800		39,120
Vantiv, Inc. Class A (a) (b)		15,499		1,139,951
Virtusa Corp. (a)		2,600		114,608
WEX, Inc. (a)		3,785		534,556
				16,087,026
LEISURE EQUIPMENT & PRODUCTS — 0.4%
Acushnet Holdings Corp. (b)		3,000		63,240
American Outdoor Brands Corp. (a) (b)		5,188		66,614
Brunswick Corp.		8,428		465,394
Callaway Golf Co.		9,012		125,537
Clarus Corp. (a)		2,000		15,700
Escalade, Inc.		800		9,840
Johnson Outdoors, Inc. Class A		500		31,045
Malibu Boats, Inc. Class A (a)		2,000		59,460
Marine Products Corp.		687		8,753
MCBC Holdings, Inc. (a)		1,800		39,996
Nautilus, Inc. (a)		3,200		42,720
Polaris Industries, Inc.		5,667		702,651
Sturm Ruger & Co., Inc. (b)		1,665		92,990
Vista Outdoor, Inc. (a)		5,521		80,441
				1,804,381
LIFE SCIENCES TOOLS & SERVICES — 0.8%
Accelerate Diagnostics, Inc. (a) (b)		2,500		65,500
Bio-Rad Laboratories, Inc. Class A (a)		2,023		482,830
Bio-Techne Corp.		3,557		460,809
Bruker Corp.		9,827		337,263
Cambrex Corp. (a)		3,100		148,800
Charles River Laboratories International, Inc. (a)		4,558		498,873
Enzo Biochem, Inc. (a)		3,900		31,785
Fluidigm Corp. (a)		3,744		22,052

See accompanying notes to financial statements.

99

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
INC Research Holdings, Inc. Class A (a)		5,194	$	226,458
Luminex Corp.		3,900		76,830
Medpace Holdings, Inc. (a)		700		25,382
NanoString Technologies, Inc. (a)		1,500		11,205
NeoGenomics, Inc. (a)		5,400		47,844
Pacific Biosciences of California, Inc. (a) (b)		9,900		26,136
PRA Health Sciences, Inc. (a)		4,794		436,590
QIAGEN NV (a)		21,781		673,686
				3,572,043
MACHINERY — 4.0%
Actuant Corp. Class A		5,700		144,210
AGCO Corp.		6,475		462,509
Alamo Group, Inc.		892		100,680
Albany International Corp. Class A		2,748		168,865
Allison Transmission Holdings, Inc.		12,057		519,295
Altra Industrial Motion Corp.		2,774		139,810
American Railcar Industries, Inc.		796		33,145
Astec Industries, Inc.		2,040		119,340
Barnes Group, Inc.		4,814		304,582
Blue Bird Corp. (a)		700		13,930
Briggs & Stratton Corp.		4,000		101,480
Chart Industries, Inc. (a)		2,900		135,894
CIRCOR International, Inc.		1,547		75,308
Colfax Corp. (a)		8,479		335,938
Columbus McKinnon Corp.		2,100		83,958
Commercial Vehicle Group, Inc. (a)		2,800		29,932
Crane Co.		4,848		432,539
DMC Global, Inc.		1,600		40,080
Donaldson Co., Inc.		12,579		615,742
Douglas Dynamics, Inc.		2,077		78,511
Eastern Co.		400		10,460
Energy Recovery, Inc. (a) (b)		3,500		30,625
EnPro Industries, Inc.		2,045		191,228
ESCO Technologies, Inc.		2,443		147,191
ExOne Co. (a) (b)		700		5,880
Federal Signal Corp.		5,700		114,513
Franklin Electric Co., Inc.		4,449		204,209
FreightCar America, Inc.		1,200		20,496
Gardner Denver Holdings, Inc. (a)		6,300		213,759
Gencor Industries, Inc. (a)		800		13,240
Global Brass & Copper Holdings, Inc.		2,100		69,510
Gorman-Rupp Co.		1,700		53,057
Graco, Inc.		15,813		715,064
Graham Corp.		900		18,837
Greenbrier Cos., Inc. (b)		2,594		138,260
Hardinge, Inc.		1,100		19,162
Harsco Corp. (a)		7,691		143,437
Hillenbrand, Inc.		6,100		272,670
Hurco Cos., Inc.		566		23,885
Hyster-Yale Materials Handling, Inc.		989		84,223
IDEX Corp.		7,322		966,284
ITT, Inc.		8,603		459,142
John Bean Technologies Corp.		2,990		331,292
Kadant, Inc.		1,000		100,400
Kennametal, Inc.		7,684		371,982
LB Foster Co. Class A (a)		800		21,720
Lincoln Electric Holdings, Inc.		5,656		517,976
Lindsay Corp.		970		85,554
Lydall, Inc. (a)		1,600		81,200
Manitowoc Co., Inc. (a)		3,075		120,970
Meritor, Inc. (a)		8,000		187,680
Middleby Corp. (a)		5,270		711,186
Milacron Holdings Corp. (a)		5,200		99,528
Miller Industries, Inc.		1,100		28,380
Mueller Industries, Inc.		5,484		194,298
Mueller Water Products, Inc. Class A		14,800		185,444
Navistar International Corp. (a)		4,800		205,824
NN, Inc.		2,616		72,202
Nordson Corp.		5,534		810,178
Omega Flex, Inc.		300		21,423
Oshkosh Corp.		7,208		655,135
Park-Ohio Holdings Corp.		846		38,874
Proto Labs, Inc. (a)		2,354		242,462
RBC Bearings, Inc. (a)		2,269		286,802
REV Group, Inc.		2,200		71,566
Rexnord Corp. (a)		9,990		259,940
Spartan Motors, Inc.		3,300		51,975
SPX Corp. (a)		4,100		128,699
SPX FLOW, Inc. (a)		4,000		190,200
Standex International Corp.		1,215		123,748
Sun Hydraulics Corp.		2,248		145,423
Tennant Co.		1,676		121,761
Terex Corp.		7,490		361,168
Timken Co.		6,692		328,912
Titan International, Inc.		4,800		61,824
Toro Co.		10,174		663,650
TriMas Corp. (a)		4,400		117,700
Trinity Industries, Inc.		14,569		545,755
Twin Disc, Inc. (a)		800		21,256
Wabash National Corp. (b)		5,600		121,520
WABCO Holdings, Inc. (a)		4,861		697,553
Wabtec Corp. (b)		8,301		675,950
Watts Water Technologies, Inc. Class A		2,683		203,774
Welbilt, Inc. (a)		12,400		291,524
Woodward, Inc.		5,159		394,870
				18,800,158
MARINE — 0.1%
Costamare, Inc.		4,800		27,696
Eagle Bulk Shipping, Inc. (a)		3,700		16,576
Genco Shipping & Trading, Ltd. (a)		500		6,660
Kirby Corp. (a)		5,140		343,352
Matson, Inc.		4,082		121,807
Navios Maritime Holdings, Inc. (a) (b)		6,200		7,440
Safe Bulkers, Inc. (a)		4,700		15,181

See accompanying notes to financial statements.

100

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Scorpio Bulkers, Inc.		5,374	$	39,767
				578,479
MEDIA — 2.1%
AMC Entertainment Holdings, Inc. Class A (b)		5,084		76,768
AMC Networks, Inc. Class A (a) (b)		4,686		253,419
Beasley Broadcast Group, Inc. Class A		300		4,020
Cable One, Inc.		468		329,168
Central European Media Enterprises, Ltd. Class A (a)		7,900		36,735
Cinemark Holdings, Inc.		10,216		355,721
Clear Channel Outdoor Holdings, Inc. Class A		3,500		16,100
Daily Journal Corp. (a) (b)		81		18,648
Emerald Expositions Events, Inc. (b)		1,700		34,578
Entercom Communications Corp. Class A		12,200		131,760
Entravision Communications Corp. Class A		6,400		45,760
Eros International PLC (a) (b)		2,847		27,474
EW Scripps Co. Class A (a)		5,500		85,965
Gannett Co., Inc.		10,800		125,172
Global Eagle Entertainment, Inc. (a) (b)		3,700		8,473
Gray Television, Inc. (a)		6,100		102,175
Hemisphere Media Group, Inc. (a) (b)		1,100		12,705
IMAX Corp. (a)		5,400		125,010
John Wiley & Sons, Inc. Class A		4,250		279,438
Liberty Broadband Corp. Class A (a)		2,444		207,862
Liberty Broadband Corp. Class C (a)		10,044		855,347
Liberty Media Corp.-Liberty Braves Class A (a)		994		21,918
Liberty Media Corp.-Liberty Formula One Class C (a)		18,050		616,588
Liberty Media Corp.-Liberty Formula One Class A (a) (b)		2,436		79,706
Liberty Media Corp.-Liberty SiriusXM Class A (a)		8,575		340,084
Liberty Media Corp.-Liberty SiriusXM Class C (a)		17,259		684,492
Liberty Media Corp-Liberty Braves Class C (a)		3,310		73,548
Lions Gate Entertainment Corp. Class A (a) (b)		5,024		169,861
Lions Gate Entertainment Corp. Class B (a)		9,879		313,559
Live Nation Entertainment, Inc. (a)		12,959		551,665
Loral Space & Communications, Inc. (a)		1,200		52,860
Madison Square Garden Co. Class A (a)		1,775		374,259
MDC Partners, Inc. Class A (a)		5,500		53,625
Meredith Corp. (b)		3,801		251,056
MSG Networks, Inc. Class A (a)		5,721		115,850
National CineMedia, Inc.		5,900		40,474
New Media Investment Group, Inc.		4,900		82,222
New York Times Co. Class A		12,000		222,000
Nexstar Media Group, Inc. Class A		4,211		329,300
Reading International, Inc. Class A (a)		1,600		26,720
Regal Entertainment Group. Class A		10,900		250,809
Saga Communications, Inc. Class A		244		9,870
Salem Media Group, Inc.		800		3,600
Scholastic Corp.		2,695		108,096
Sinclair Broadcast Group, Inc. Class A (b)		6,862		259,727
Sirius XM Holdings, Inc. (b)		140,799		754,683
TEGNA, Inc.		20,700		291,456
Time, Inc.		9,600		177,120
Townsquare Media, Inc. Class A (a)		500		3,840
Tribune Media Co. Class A		7,632		324,131
tronc, Inc. (a)		1,900		33,421
WideOpenWest, Inc. (a)		2,000		21,140
World Wrestling Entertainment, Inc. Class A		3,727		113,972
				9,883,950
METALS & MINING — 1.5%
AK Steel Holding Corp. (a) (b)		30,300		171,498
Alcoa Corp. (a)		17,821		960,017
Allegheny Technologies, Inc. (a) (b)		12,100		292,094
Ampco-Pittsburgh Corp.		600		7,440
Carpenter Technology Corp.		4,455		227,161
Century Aluminum Co. (a)		4,800		94,272
Cleveland-Cliffs, Inc. (a) (b)		28,542		205,788
Coeur Mining, Inc. (a)		17,800		133,500
Commercial Metals Co.		11,100		236,652
Compass Minerals International, Inc. (b)		3,214		232,212
Ferroglobe Representation & Warranty Insurance Trust (a) (d)		2,200		—
Gold Resource Corp.		5,000		22,000
Haynes International, Inc.		1,200		38,460
Hecla Mining Co.		37,764		149,923
Kaiser Aluminum Corp.		1,611		172,135
Klondex Mines, Ltd. (a)		17,100		44,631
Materion Corp.		1,955		95,013
Olympic Steel, Inc.		900		19,341
Ramaco Resources, Inc. (a) (b)		400		2,752
Reliance Steel & Aluminum Co.		6,809		584,144
Royal Gold, Inc.		6,258		513,907
Ryerson Holding Corp. (a)		1,200		12,480
Schnitzer Steel Industries, Inc. Class A		2,572		86,162

See accompanying notes to financial statements.

101

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Southern Copper Corp. (b)		7,903	$	374,997
Steel Dynamics, Inc.		22,023		949,852
SunCoke Energy, Inc. (a)		6,200		74,338
Tahoe Resources, Inc.		29,784		142,665
TimkenSteel Corp. (a) (b)		3,800		57,722
United States Steel Corp.		16,900		594,711
Warrior Met Coal, Inc. (b)		3,200		80,480
Worthington Industries, Inc.		4,300		189,458
				6,765,805
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 0.9%
AGNC Investment Corp. REIT		37,793		763,041
Apollo Commercial Real Estate Finance, Inc. REIT (b)		10,340		190,773
Ares Commercial Real Estate Corp. REIT		2,600		33,540
Capstead Mortgage Corp. REIT		9,110		78,801
Cherry Hill Mortgage Investment Corp.		1,100		19,789
Chimera Investment Corp. REIT		18,026		333,120
CYS Investments, Inc. REIT		14,800		118,844
Dynex Capital, Inc. REIT		4,800		33,648
Ellington Residential Mortgage REIT		600		7,224
Granite Point Mortgage Trust, Inc.		4,182		74,189
Great Ajax Corp. REIT		1,500		20,730
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		4,897		117,822
Invesco Mortgage Capital, Inc. REIT		10,800		192,564
Ladder Capital Corp. REIT		7,528		102,606
MFA Financial, Inc. REIT		38,091		301,681
MTGE Investment Corp. REIT		4,400		81,400
New Residential Investment Corp. REIT		29,700		531,036
New York Mortgage Trust, Inc. REIT (b)		10,700		66,019
Orchid Island Capital, Inc. REIT (b)		4,200		38,976
Owens Realty Mortgage, Inc. REIT		700		11,207
PennyMac Mortgage Investment Trust REIT		6,241		100,293
Redwood Trust, Inc. REIT		7,300		108,186
Resource Capital Corp. REIT		3,375		31,624
Starwood Property Trust, Inc. REIT		24,700		527,345
Sutherland Asset Management Corp.		2,000		30,300
TPG RE Finance Trust, Inc. REIT.		1,100		20,955
Western Asset Mortgage Capital Corp.		3,900		38,805
				3,974,518
MULTI-UTILITIES — 0.4%
Avista Corp.		6,200		319,238
Black Hills Corp.		5,093		306,140
MDU Resources Group, Inc.		18,800		505,344
NorthWestern Corp.		4,655		277,904
Unitil Corp.		1,300		59,306
Vectren Corp.		8,092		526,142
				1,994,074
MULTILINE RETAIL — 0.1%
Big Lots, Inc.		4,120		231,338
Dillard’s, Inc. Class A (b)		1,305		78,365
Fred’s, Inc. Class A (b)		2,800		11,340
JC Penney Co., Inc. (a) (b)		29,800		94,168
Ollie’s Bargain Outlet Holdings, Inc. (a)		4,602		245,057
Sears Holdings Corp. (a) (b)		700		2,506
				662,774
OIL, GAS & CONSUMABLE FUELS — 3.3%
Abraxas Petroleum Corp. (a)		16,900		41,574
Adams Resources & Energy, Inc.		166		7,221
Antero Resources Corp. (a)		22,174		421,306
Approach Resources, Inc. (a) (b)		2,800		8,288
Arch Coal, Inc. Class A		1,796		167,315
Ardmore Shipping Corp. (a)		2,700		21,600
Bill Barrett Corp. (a)		7,200		36,936
Bonanza Creek Energy, Inc. (a)		1,900		52,421
California Resources Corp. (a) (b)		4,102		79,743
Callon Petroleum Co. (a) (b)		19,304		234,544
Carrizo Oil & Gas, Inc. (a)		7,400		157,472
Centennial Resource Development, Inc. Class A (a) (b)		12,700		251,460
Cheniere Energy, Inc. (a)		19,668		1,058,925
Clean Energy Fuels Corp. (a)		15,300		31,059
Cloud Peak Energy, Inc. (a)		7,100		31,595
CNX Resources Corp. (a)		22,000		321,860
CONSOL Energy, Inc. (a)		2,750		108,652
Contango Oil & Gas Co. (a)		2,300		10,833
Continental Resources, Inc. (a) (b)		8,447		447,438
CVR Energy, Inc. (b)		1,500		55,860
Delek US Holdings, Inc.		7,508		262,329
Denbury Resources, Inc. (a)		38,115		84,234
DHT Holdings, Inc.		8,196		29,424
Diamondback Energy, Inc. (a)		9,500		1,199,375
Dorian LPG, Ltd. (a)		1,758		14,451
Earthstone Energy, Inc. Class A (a) (b)		2,700		28,701
Eclipse Resources Corp. (a)		8,400		20,160
Energen Corp. (a)		9,412		541,849
Energy XXI Gulf Coast, Inc. (a)		2,800		16,072
EP Energy Corp. Class A (a) (b)		2,300		5,428
Evolution Petroleum Corp.		1,900		13,015
Extraction Oil & Gas, Inc. (a) (b) .		11,600		165,996
Frontline, Ltd. (b)		8,320		38,189
GasLog, Ltd.		3,900		86,775
Gastar Exploration, Inc. (a) (b)		12,700		13,335
Gener8 Maritime, Inc. (a)		4,500		29,790

See accompanying notes to financial statements.

102

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Golar LNG, Ltd. (b)		9,200	$	274,252
Green Plains, Inc.		3,747		63,137
Gulfport Energy Corp. (a)		15,400		196,504
Halcon Resources Corp. (a) (b)		12,400		93,868
Hallador Energy Co.		1,100		6,699
HollyFrontier Corp.		17,055		873,557
International Seaways, Inc. (a)		2,799		51,669
Isramco, Inc. (a)		44		4,605
Jagged Peak Energy, Inc. (a) (b)		5,500		86,790
Jones Energy, Inc. Class A (a) (b)		3,697		4,067
Kosmos Energy, Ltd. (a) (b)		22,300		152,755
Laredo Petroleum, Inc. (a) (b)		15,600		165,516
Lilis Energy, Inc. (a) (b)		4,100		20,951
Matador Resources Co. (a) (b)		9,300		289,509
Midstates Petroleum Co., Inc. (a)		1,100		18,238
Murphy Oil Corp. (b)		15,700		487,485
NACCO Industries, Inc. Class A		341		12,839
Navios Maritime Acquisition Corp.		4,800		5,328
Nordic American Tankers, Ltd.		9,540		23,468
Oasis Petroleum, Inc. (a)		25,600		215,296
Overseas Shipholding Group, Inc. Class A (a)		3,300		9,042
Pacific Ethanol, Inc. (a)		4,100		18,655
Panhandle Oil and Gas, Inc. Class A		1,500		30,825
Par Pacific Holdings, Inc. (a)		3,089		59,556
Parsley Energy, Inc. Class A (a)		22,649		666,787
PBF Energy, Inc. Class A		10,549		373,962
PDC Energy, Inc. (a)		6,348		327,176
Peabody Energy Corp. (a)		6,403		252,086
Penn Virginia Corp. (a)		1,400		54,754
QEP Resources, Inc. (a)		23,123		221,287
Renewable Energy Group, Inc. (a) (b)		3,700		43,660
Resolute Energy Corp. (a) (b)		2,100		66,087
REX American Resources Corp. (a)		525		43,465
Ring Energy, Inc. (a)		4,800		66,720
RSP Permian, Inc. (a)		12,661		515,049
Sanchez Energy Corp. (a)		7,900		41,949
SandRidge Energy, Inc. (a)		3,300		69,531
Scorpio Tankers, Inc.		22,900		69,845
SemGroup Corp. Class A		6,329		191,136
Ship Finance International, Ltd.		5,700		88,350
SilverBow Resources, Inc. (a)		700		20,804
SM Energy Co.		10,656		235,284
Southwestern Energy Co. (a)		48,700		271,746
SRC Energy, Inc. (a) (b)		22,600		192,778
Stone Energy Corp. (a)		1,900		61,104
Targa Resources Corp.		20,410		988,252
Teekay Corp. (b)		5,143		47,933
Teekay Tankers, Ltd. Class A		19,600		27,440
Tellurian, Inc. (a) (b)		5,500		53,570
Ultra Petroleum Corp. (a)		18,722		169,621
Uranium Energy Corp. (a) (b)		13,000		23,010
W&T Offshore, Inc. (a)		10,600		35,086
Westmoreland Coal Co. (a)		1,100		1,331
Whiting Petroleum Corp. (a) (b)		8,700		230,376
WildHorse Resource Development Corp. (a) (b)		4,700		86,527
World Fuel Services Corp.		6,449		181,475
WPX Energy, Inc. (a)		38,300		538,881
				15,516,898
PAPER & FOREST PRODUCTS — 0.3%
Boise Cascade Co.		3,700		147,630
Clearwater Paper Corp. (a)		1,579		71,686
Deltic Timber Corp.		1,075		98,416
Domtar Corp.		6,014		297,813
KapStone Paper and Packaging Corp.		8,298		188,282
Louisiana-Pacific Corp. (a)		13,926		365,697
Neenah Paper, Inc.		1,546		140,145
PH Glatfelter Co.		4,200		90,048
Schweitzer-Mauduit International, Inc.		2,900		131,544
Verso Corp. Class A (a)		3,259		57,261
				1,588,522
PERSONAL PRODUCTS — 0.3%
Edgewell Personal Care Co. (a)		5,479		325,398
elf Beauty, Inc. (a) (b)		2,000		44,620
Herbalife, Ltd. (a) (b)		6,165		417,494
Inter Parfums, Inc.		1,700		73,865
Medifast, Inc.		1,000		69,810
Natural Health Trends Corp.		551		8,370
Nature’s Sunshine Products, Inc.		800		9,240
Nu Skin Enterprises, Inc. Class A		4,958		338,284
Revlon, Inc. Class A (a) (b)		1,100		23,980
USANA Health Sciences, Inc. (a)		1,108		82,047
				1,393,108
PHARMACEUTICALS — 1.1%
Aclaris Therapeutics, Inc. (a) (b)		2,258		55,682
Aerie Pharmaceuticals, Inc. (a)		3,200		191,200
Akcea Therapeutics, Inc. (a) (b)		1,400		24,304
Akorn, Inc. (a)		8,644		278,596
Amphastar Pharmaceuticals, Inc. (a)		3,500		67,340
ANI Pharmaceuticals, Inc. (a)		786		50,658
Aratana Therapeutics, Inc. (a) (b)		4,000		21,040
Assembly Biosciences, Inc. (a)		1,500		67,875
Catalent, Inc. (a)		12,882		529,193
Clearside Biomedical, Inc. (a)		1,400		9,800
Collegium Pharmaceutical, Inc. (a) (b)		2,367		43,695
Corcept Therapeutics, Inc. (a) (b)		8,700		157,122
Corium International, Inc. (a)		2,300		22,103
Depomed, Inc. (a)		6,100		49,105
Dermira, Inc. (a) (b)		3,700		102,897
Dova Pharmaceuticals, Inc. (a) (b)		400		11,520
Durect Corp. (a)		9,800		9,034
Endo International PLC (a)		21,500		166,625
Horizon Pharma PLC (a)		15,637		228,300

See accompanying notes to financial statements.

103

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December 31, 2017

Security Description	Shares		Value
Impax Laboratories, Inc. (a)		6,990	$	116,383
Innoviva, Inc. (a)		7,200		102,168
Intersect ENT, Inc. (a)		2,500		81,000
Intra-Cellular Therapies, Inc. (a)		4,056		58,731
Kala Pharmaceuticals, Inc. (a) (b)		600		11,094
Lannett Co., Inc. (a) (b)		2,697		62,570
Mallinckrodt PLC (a)		9,100		205,296
Medicines Co. (a) (b)		6,659		182,057
Melinta Therapeutics, Inc. (a)		840		13,272
MyoKardia, Inc. (a)		1,900		79,990
Nektar Therapeutics (a)		14,200		848,024
Neos Therapeutics, Inc. (a)		2,400		24,480
Ocular Therapeutix, Inc. (a)		1,600		7,120
Omeros Corp. (a) (b)		4,400		85,492
Optinose, Inc. (a)		500		9,450
Pacira Pharmaceuticals, Inc. (a)		3,737		170,594
Paratek Pharmaceuticals, Inc. (a)		2,300		41,170
Phibro Animal Health Corp. Class A		1,900		63,650
Prestige Brands Holdings, Inc. (a)		5,116		227,202
Reata Pharmaceuticals, Inc. Class A (a) (b)		1,300		36,816
Revance Therapeutics, Inc. (a)		2,200		78,650
Sienna Biopharmaceuticals, Inc. (a)		400		7,260
Sucampo Pharmaceuticals, Inc. Class A (a) (b)		2,362		42,398
Supernus Pharmaceuticals, Inc. (a)		4,600		183,310
Teligent, Inc. (a) (b)		2,900		10,527
Tetraphase Pharmaceuticals, Inc. (a)		5,700		35,910
TherapeuticsMD, Inc. (a) (b)		15,900		96,036
Theravance Biopharma, Inc. (a) (b)		4,004		111,672
WaVe Life Sciences, Ltd. (a) (b)		1,100		38,610
Zogenix, Inc. (a)		3,269		130,923
Zynerba Pharmaceuticals, Inc. (a) (b)		800		10,016
				5,257,960
PROFESSIONAL SERVICES — 1.0%
Acacia Research Corp. (a)		4,700		19,035
Barrett Business Services, Inc.		639		41,209
BG Staffing, Inc.		500		7,970
CBIZ, Inc. (a)		4,900		75,705
Cogint, Inc. (a)		1,500		6,600
CRA International, Inc.		800		35,960
Dun & Bradstreet Corp.		3,600		426,276
Exponent, Inc.		2,475		175,973
Forrester Research, Inc.		1,100		48,620
Franklin Covey Co. (a)		883		18,322
FTI Consulting, Inc. (a)		3,600		154,656
GP Strategies Corp. (a)		1,400		32,480
Heidrick & Struggles International, Inc.		1,800		44,190
Hill International, Inc. (a)		3,300		17,985
Huron Consulting Group, Inc. (a)		2,120		85,754
ICF International, Inc. (a)		1,702		89,355
Insperity, Inc.		3,450		197,857
Kelly Services, Inc. Class A		2,900		79,083
Kforce, Inc.		2,200		55,550
Korn/Ferry International		5,055		209,176
ManpowerGroup, Inc.		6,416		809,122
Mistras Group, Inc. (a)		1,687		39,594
Navigant Consulting, Inc. (a)		4,400		85,404
On Assignment, Inc. (a)		4,760		305,925
Pendrell Corp.		8		4,600
Resources Connection, Inc.		2,800		43,260
RPX Corp.		4,400		59,136
TransUnion (a)		15,226		836,821
TriNet Group, Inc. (a)		4,000		177,360
TrueBlue, Inc. (a)		3,900		107,250
WageWorks, Inc. (a)		3,844		238,328
Willdan Group, Inc. (a)		700		16,758
				4,545,314
REAL ESTATE INVESTMENT TRUSTS (REITS) — 5.2%
Acadia Realty Trust REIT		7,947		217,430
AG Mortgage Investment Trust, Inc. REIT		2,700		51,327
Agree Realty Corp. REIT		2,756		141,769
Alexander’s, Inc. REIT		204		80,753
American Assets Trust, Inc. REIT.		3,842		146,918
American Campus Communities, Inc. REIT		13,172		540,447
American Homes 4 Rent Class A REIT		23,197		506,622
Annaly Capital Management, Inc. REIT		110,071		1,308,744
Anworth Mortgage Asset Corp. REIT		9,300		50,592
Apple Hospitality REIT, Inc.		20,200		396,122
ARMOUR Residential REIT, Inc. (b)		4,000		102,880
Ashford Hospitality Prime, Inc. REIT		2,523		24,549
Ashford Hospitality Trust, Inc. REIT		7,351		49,472
Brandywine Realty Trust REIT		16,700		303,773
Brixmor Property Group, Inc. REIT		29,539		551,198
Camden Property Trust REIT		8,752		805,709
CBL & Associates Properties, Inc. REIT (b)		16,200		91,692
Cedar Realty Trust, Inc. REIT		8,453		51,394
Chesapeake Lodging Trust REIT		5,700		154,413
Columbia Property Trust, Inc. REIT		11,508		264,109
Corporate Office Properties Trust REIT		9,600		280,320
Cousins Properties, Inc. REIT		40,065		370,601
CubeSmart REIT		17,442		504,423
DCT Industrial Trust, Inc. REIT		8,984		528,080
DDR Corp. REIT		29,803		267,035

See accompanying notes to financial statements.

104

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December 31, 2017

Security Description	Shares		Value
DiamondRock Hospitality Co. REIT		19,200	$	216,768
Douglas Emmett, Inc. REIT		15,337		629,737
Easterly Government Properties, Inc. REIT (b)		4,000		85,360
EastGroup Properties, Inc. REIT		3,228		285,291
Education Realty Trust, Inc. REIT		7,296		254,776
Equity Commonwealth REIT (a)		11,586		353,489
Equity LifeStyle Properties, Inc. REIT		7,889		702,279
First Industrial Realty Trust, Inc. REIT		11,373		357,908
Forest City Realty Trust, Inc. Class A REIT		24,401		588,064
Franklin Street Properties Corp. REIT		10,061		108,055
Healthcare Realty Trust, Inc. REIT		11,754		377,538
Hersha Hospitality Trust REIT		3,700		64,380
Highwoods Properties, Inc. REIT		9,770		497,391
Hospitality Properties Trust REIT		15,600		465,660
Hudson Pacific Properties, Inc. REIT		15,037		515,017
Independence Realty Trust, Inc. REIT		8,073		81,457
Invitation Homes, Inc. REIT		28,263		666,159
JBG SMITH Properties REIT		8,300		288,259
Kilroy Realty Corp. REIT		9,340		697,231
Kite Realty Group Trust REIT		7,983		156,467
LaSalle Hotel Properties REIT (b)		10,876		305,289
Liberty Property Trust REIT		14,197		610,613
Life Storage, Inc. REIT		4,465		397,698
LTC Properties, Inc. REIT		3,754		163,487
Mack-Cali Realty Corp. REIT		8,700		187,572
National Storage Affiliates Trust REIT		4,200		114,492
NexPoint Residential Trust, Inc. REIT		1,700		47,498
NorthStar Realty Europe Corp. REIT		5,200		69,836
Paramount Group, Inc. REIT (b)		19,900		315,415
Park Hotels & Resorts, Inc. REIT		13,806		396,922
Pebblebrook Hotel Trust REIT		6,619		246,028
Pennsylvania Real Estate Investment Trust (b)		6,592		78,379
Piedmont Office Realty Trust, Inc. Class A REIT		14,005		274,638
PS Business Parks, Inc. REIT		1,852		231,667
Quality Care Properties, Inc. REIT (a)		9,100		125,671
RAIT Financial Trust		5,493		2,060
Ramco-Gershenson Properties Trust REIT		7,500		110,475
Retail Opportunity Investments Corp. REIT		10,400		207,480
Retail Properties of America, Inc. Class A REIT		21,900		294,336
Rexford Industrial Realty, Inc. REIT		7,407		215,988
RLJ Lodging Trust REIT		16,268		357,408
Ryman Hospitality Properties, Inc. REIT		4,227		291,748
Safety Income and Growth, Inc. REIT		800		14,080
Saul Centers, Inc. REIT		1,112		68,666
Senior Housing Properties Trust REIT		22,777		436,180
Seritage Growth Properties Class A REIT		2,438		98,641
Summit Hotel Properties, Inc. REIT		9,900		150,777
Sun Communities, Inc. REIT		7,446		690,840
Sunstone Hotel Investors, Inc. REIT		21,643		357,759
Tanger Factory Outlet Centers, Inc. REIT (b)		8,887		235,594
Taubman Centers, Inc. REIT (b)		5,648		369,549
Tier REIT, Inc.		4,555		92,876
Two Harbors Investment Corp.		16,700		271,542
Universal Health Realty Income Trust REIT		1,200		90,132
Urban Edge Properties REIT		9,900		252,351
Washington Prime Group, Inc. REIT (b)		17,900		127,448
Washington Real Estate Investment Trust REIT		7,602		236,574
Weingarten Realty Investors REIT		11,617		381,851
Xenia Hotels & Resorts, Inc. REIT		10,300		222,377
				24,323,595
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5%
Altisource Portfolio Solutions SA (a)		1,200		33,600
Consolidated-Tomoka Land Co.		323		20,511
Forestar Group, Inc. (a) (b)		1,051		23,122
FRP Holdings, Inc. (a)		545		24,116
HFF, Inc. Class A		3,546		172,477
Howard Hughes Corp. (a)		3,241		425,446
Jones Lang LaSalle, Inc.		4,385		653,058
Kennedy-Wilson Holdings, Inc.		11,642		201,989
Marcus & Millichap, Inc. (a)		1,500		48,915
Maui Land & Pineapple Co., Inc. (a)		500		8,650
RE/MAX Holdings, Inc. Class A		1,700		82,450
Realogy Holdings Corp. (b)		12,761		338,166
Redfin Corp. (a) (b)		1,000		31,320
RMR Group, Inc. Class A		746		44,238
St. Joe Co. (a)		4,300		77,615
Stratus Properties, Inc.		400		11,880
Tejon Ranch Co. (a)		1,800		37,368
Transcontinental Realty Investors, Inc. (a)		6		188

See accompanying notes to financial statements.

105

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Trinity Place Holdings, Inc. (a)		1,500	$	10,425
				2,245,534
ROAD & RAIL — 0.9%
AMERCO		489		184,798
ArcBest Corp.		2,500		89,375
Avis Budget Group, Inc. (a)		6,902		302,860
Covenant Transportation Group, Inc. Class A (a)		1,100		31,603
Daseke, Inc. (a)		2,300		32,867
Genesee & Wyoming, Inc. Class A (a)		5,924		466,397
Heartland Express, Inc.		4,500		105,030
Hertz Global Holdings, Inc. (a)		5,266		116,379
Knight-Swift Transportation Holdings, Inc.		12,059		527,219
Landstar System, Inc.		3,983		414,630
Marten Transport, Ltd.		3,755		76,226
Old Dominion Freight Line, Inc.		5,943		781,802
Roadrunner Transportation Systems, Inc. (a)		2,900		22,359
Ryder System, Inc.		5,100		429,267
Saia, Inc. (a)		2,400		169,800
Schneider National, Inc. Class B (b)		4,000		114,240
Universal Logistics Holdings, Inc.		800		19,000
Werner Enterprises, Inc.		4,600		177,790
YRC Worldwide, Inc. (a)		3,200		46,016
				4,107,658
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.6%
Advanced Energy Industries, Inc. (a)		3,800		256,424
Alpha & Omega Semiconductor, Ltd. (a)		1,887		30,871
Ambarella, Inc. (a) (b)		3,080		180,950
Amkor Technology, Inc. (a)		9,752		98,008
Aquantia Corp. (a)		1,100		12,463
Axcelis Technologies, Inc. (a)		2,875		82,513
AXT, Inc. (a)		3,600		31,320
Brooks Automation, Inc.		6,600		157,410
Cabot Microelectronics Corp.		2,381		224,004
Cavium, Inc. (a)		6,501		544,979
CEVA, Inc. (a)		2,100		96,915
Cirrus Logic, Inc. (a)		6,140		318,420
Cohu, Inc.		2,600		57,070
Cree, Inc. (a)		9,348		347,185
CyberOptics Corp. (a) (b)		500		7,500
Cypress Semiconductor Corp. (b)		31,833		485,135
Diodes, Inc. (a)		3,692		105,850
DSP Group, Inc. (a)		2,100		26,250
Entegris, Inc.		13,598		414,059
First Solar, Inc. (a)		7,865		531,045
FormFactor, Inc. (a)		7,165		112,132
GSI Technology, Inc. (a)		1,000		7,960
Ichor Holdings, Ltd. (a)		1,800		44,280
Impinj, Inc. (a) (b)		1,700		38,301
Inphi Corp. (a) (b)		4,049		148,193
Integrated Device Technology, Inc. (a)		12,811		380,871
IXYS Corp. (a)		2,430		58,199
Kopin Corp. (a) (b)		5,900		18,880
Lattice Semiconductor Corp. (a)		11,780		68,088
MACOM Technology Solutions Holdings, Inc. (a) (b)		3,852		125,344
Marvell Technology Group, Ltd.		38,462		825,779
Maxim Integrated Products, Inc.		27,125		1,418,095
MaxLinear, Inc. (a)		5,900		155,878
Microsemi Corp. (a)		11,308		584,058
MKS Instruments, Inc.		5,149		486,580
Monolithic Power Systems, Inc.		3,823		429,552
Nanometrics, Inc. (a)		2,300		57,316
NeoPhotonics Corp. (a) (b)		3,200		21,056
NVE Corp.		426		36,636
NXP Semiconductors NV (a)		33,050		3,869,824
ON Semiconductor Corp. (a)		40,307		844,029
PDF Solutions, Inc. (a) (b)		2,700		42,390
Photronics, Inc. (a)		6,400		54,560
Pixelworks, Inc. (a)		3,200		20,256
Power Integrations, Inc.		2,800		205,940
Rambus, Inc. (a)		10,400		147,888
Rudolph Technologies, Inc. (a)		2,953		70,577
Semtech Corp. (a)		6,232		213,134
Sigma Designs, Inc. (a)		3,600		25,020
Silicon Laboratories, Inc. (a)		4,069		359,293
SMART Global Holdings, Inc. (a)		600		20,220
SunPower Corp. (a) (b)		5,755		48,515
Synaptics, Inc. (a) (b)		3,338		133,320
Teradyne, Inc.		19,168		802,564
Ultra Clean Holdings, Inc. (a)		3,200		73,888
Veeco Instruments, Inc. (a)		4,508		66,944
Versum Materials, Inc.		10,400		393,640
Xcerra Corp. (a)		5,100		49,929
Xperi Corp.		4,742		115,705
				16,583,205
SOFTWARE — 4.8%
8x8, Inc. (a)		8,500		119,850
A10 Networks, Inc. (a)		4,800		37,056
ACI Worldwide, Inc. (a)		11,200		253,904
Agilysys, Inc. (a)		1,157		14,208
American Software, Inc. Class A		3,000		34,890
Aspen Technology, Inc. (a)		6,955		460,421
Atlassian Corp. PLC Class A (a)		8,800		400,576
Barracuda Networks, Inc. (a)		2,400		66,000
Blackbaud, Inc.		4,590		433,709
Blackline, Inc. (a)		1,500		49,200
Bottomline Technologies de, Inc. (a)		3,800		131,784
BroadSoft, Inc. (a) (b)		3,012		165,359
Callidus Software, Inc. (a)		6,503		186,311
CDK Global, Inc.		12,335		879,239
CommVault Systems, Inc. (a)		3,842		201,705

See accompanying notes to financial statements.

106

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Dell Technologies, Inc. Class V (a)		19,774	$	1,607,231
Digimarc Corp. (a)		940		33,981
Ebix, Inc. (b)		2,300		182,275
Ellie Mae, Inc. (a) (b)		3,258		291,265
Everbridge, Inc. (a)		1,600		47,552
Fair Isaac Corp.		2,854		437,233
FireEye, Inc. (a)		17,478		248,188
ForeScout Technologies, Inc. (a)		500		15,945
Fortinet, Inc. (a)		14,082		615,243
Glu Mobile, Inc. (a)		10,100		36,764
Guidewire Software, Inc. (a)		7,336		544,771
HubSpot, Inc. (a) (b)		3,275		289,510
Imperva, Inc. (a)		3,273		129,938
Manhattan Associates, Inc. (a)		6,706		332,215
MicroStrategy, Inc. Class A (a)		921		120,927
Mitek Systems, Inc. (a)		2,900		25,955
MobileIron, Inc. (a)		5,504		21,466
Model N, Inc. (a)		2,300		36,225
Monotype Imaging Holdings, Inc.		3,993		96,231
Nuance Communications, Inc. (a)		27,816		454,792
Park City Group, Inc. (a) (b)		1,300		12,415
Paycom Software, Inc. (a) (b)		4,700		377,551
Paylocity Holding Corp. (a)		2,574		121,390
Pegasystems, Inc.		3,561		167,901
Progress Software Corp.		4,600		195,822
Proofpoint, Inc. (a) (b)		4,191		372,203
PROS Holdings, Inc. (a) (b)		2,600		68,770
PTC, Inc. (a)		11,092		674,061
QAD, Inc. Class A		1,000		38,850
Qualys, Inc. (a)		3,073		182,382
Rapid7, Inc. (a)		2,000		37,320
RealNetworks, Inc. (a)		1,400		4,788
RealPage, Inc. (a)		5,641		249,896
RingCentral, Inc. Class A (a)		6,185		299,354
Rosetta Stone, Inc. (a)		1,600		19,952
Rubicon Project, Inc. (a)		3,107		5,810
SecureWorks Corp. Class A (a)		600		5,322
ServiceNow, Inc. (a)		16,118		2,101,626
Silver Spring Networks, Inc. (a)		4,100		66,584
Splunk, Inc. (a)		13,394		1,109,559
SS&C Technologies Holdings, Inc.		16,652		674,073
Synchronoss Technologies, Inc. (a)		4,197		37,521
Tableau Software, Inc. Class A (a)		6,199		428,971
Take-Two Interactive Software, Inc. (a)		10,750		1,180,135
Telenav, Inc. (a)		2,752		15,136
TiVo Corp.		11,469		178,916
Tyler Technologies, Inc. (a)		3,314		586,744
Ultimate Software Group, Inc. (a)		2,735		596,859
Upland Software, Inc. (a)		600		12,996
Varonis Systems, Inc. (a)		1,890		91,759
VASCO Data Security International, Inc. (a)		2,900		40,310
Verint Systems, Inc. (a)		6,129		256,499
VirnetX Holding Corp. (a) (b)		4,900		18,130
VMware, Inc. Class A (a) (b)		6,883		862,577
Workday, Inc. Class A (a)		12,897		1,312,141
Workiva, Inc. (a)		2,400		51,360
Zendesk, Inc. (a)		9,587		324,424
Zix Corp. (a)		5,100		22,338
Zynga, Inc. Class A (a)		74,200		296,800
				22,101,164
SPECIALTY RETAIL — 1.7%
Aaron’s, Inc.		6,038		240,614
Abercrombie & Fitch Co. Class A		6,596		114,968
American Eagle Outfitters, Inc.		15,550		292,340
America’s Car-Mart, Inc. (a)		644		28,755
Asbury Automotive Group, Inc. (a)		1,822		116,608
Ascena Retail Group, Inc. (a) (b)		18,863		44,328
At Home Group, Inc. (a)		500		15,195
AutoNation, Inc. (a)		5,600		287,448
Barnes & Noble Education, Inc. (a)		4,200		34,608
Barnes & Noble, Inc.		5,754		38,552
Bed Bath & Beyond, Inc.		13,200		290,268
Big 5 Sporting Goods Corp. (b)		1,500		11,400
Boot Barn Holdings, Inc. (a) (b)		1,200		19,932
Buckle, Inc. (b)		2,784		66,120
Build-A-Bear Workshop, Inc. (a)		1,300		11,960
Burlington Stores, Inc. (a)		6,584		810,030
Caleres, Inc.		4,000		133,920
Camping World Holdings, Inc. Class A		3,000		134,190
Carvana Co. (a)		1,400		26,768
Cato Corp. Class A		2,500		39,800
Chico’s FAS, Inc.		12,300		108,486
Children’s Place, Inc. (b)		1,662		241,572
Citi Trends, Inc.		1,300		34,398
Conn’s, Inc. (a) (b)		1,743		61,964
Container Store Group Inc. (a)		1,000		4,740
Dick’s Sporting Goods, Inc.		7,944		228,311
DSW, Inc. Class A		6,300		134,883
Express, Inc. (a)		7,449		75,607
Finish Line, Inc. Class A (b)		3,800		55,214
Five Below, Inc. (a)		5,154		341,813
Floor & Decor Holdings, Inc. Class A (a)		2,100		102,228
Francesca’s Holdings Corp. (a)		3,575		26,133
GameStop Corp. Class A (b)		9,565		171,692
Genesco, Inc. (a)		1,905		61,912
GNC Holdings, Inc. Class A (b)		7,478		27,594
Group 1 Automotive, Inc.		1,952		138,533
Guess?, Inc. (b)		5,700		96,216
Haverty Furniture Cos., Inc.		1,800		40,770
Hibbett Sports, Inc. (a) (b)		2,234		45,574
J. Jill, Inc. (a)		800		6,240
Kirkland’s, Inc. (a)		1,500		17,948
Lithia Motors, Inc. Class A (b)		2,214		251,488
Lumber Liquidators Holdings, Inc. (a) (b)		2,676		84,000

See accompanying notes to financial statements.

107

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
MarineMax, Inc. (a)		1,978	$	37,384
Michaels Cos., Inc. (a)		10,691		258,615
Monro, Inc. (b)		2,998		170,736
Murphy USA, Inc. (a)		3,186		256,027
National Vision Holdings, Inc. (a)		1,800		73,098
Office Depot, Inc.		49,098		173,807
Party City Holdco, Inc. (a) (b)		2,600		36,270
Penske Automotive Group, Inc.		3,477		166,374
Pier 1 Imports, Inc.		6,900		28,566
Rent-A-Center, Inc. (b)		4,100		45,510
RH (a) (b)		1,929		166,299
Sally Beauty Holdings, Inc. (a)		12,407		232,755
Shoe Carnival, Inc.		1,300		34,775
Sleep Number Corp. (a)		3,776		141,940
Sonic Automotive, Inc. Class A		2,400		44,280
Sportsman’s Warehouse Holdings, Inc. (a) (b)		3,500		23,135
Tailored Brands, Inc.		4,752		103,736
Tile Shop Holdings, Inc.		3,819		36,662
Tilly’s, Inc. Class A		1,300		19,188
Urban Outfitters, Inc. (a)		7,814		273,959
Vitamin Shoppe, Inc. (a) (b)		1,500		6,600
Williams-Sonoma, Inc. (b)		8,148		421,252
Winmark Corp		174		22,516
Zumiez, Inc. (a)		1,800		37,485
				7,926,089
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.3%
3D Systems Corp. (a) (b)		10,500		90,720
Avid Technology, Inc. (a)		3,200		17,248
CPI Card Group, Inc. (b)		254		931
Cray, Inc. (a)		3,866		93,557
Diebold Nixdorf, Inc. (b)		7,251		118,554
Eastman Kodak Co. (a) (b)		1,000		3,100
Electronics For Imaging, Inc. (a)		4,405		130,080
Immersion Corp. (a) (b)		2,835		20,015
Intevac, Inc. (a)		1,400		9,590
NCR Corp. (a)		11,667		396,561
Pure Storage, Inc. Class A (a)		9,300		147,498
Quantum Corp. (a)		2,700		15,201
Stratasys, Ltd. (a)		4,782		95,449
Super Micro Computer, Inc. (a)		3,772		78,929
USA Technologies, Inc. (a)		4,600		44,850
				1,262,283
TEXTILES,APPAREL & LUXURY GOODS — 0.7%
Carter’s, Inc.		4,477		526,003
Columbia Sportswear Co.		2,787		200,330
Crocs, Inc. (a)		7,000		88,480
Culp, Inc.		1,100		36,850
Deckers Outdoor Corp. (a)		3,038		243,799
Delta Apparel, Inc. (a)		500		10,100
Fossil Group, Inc. (a) (b)		4,900		38,073
G-III Apparel Group, Ltd. (a)		4,181		154,237
Iconix Brand Group, Inc. (a)		3,500		4,515
lululemon athletica, Inc. (a)		9,232		725,543
Movado Group, Inc.		1,500		48,300
Oxford Industries, Inc.		1,530		115,041
Perry Ellis International, Inc. (a)		1,400		35,056
Sequential Brands Group, Inc. (a) (b)		2,310		4,112
Skechers U.S.A., Inc. Class A (a)		12,547		474,778
Steven Madden, Ltd. (a)		5,642		263,481
Superior Uniform Group, Inc.		800		21,368
Unifi, Inc. (a)		1,500		53,805
Vera Bradley, Inc. (a)		1,900		23,142
Wolverine World Wide, Inc.		9,100		290,108
				3,357,121
THRIFTS & MORTGAGE FINANCE — 1.1%
Bank Mutual Corp.		4,100		43,665
BankFinancial Corp.		1,400		21,476
Bear State Financial, Inc.		2,000		20,460
Beneficial Bancorp, Inc.		6,600		108,570
BofI Holding, Inc. (a) (b)		5,800		173,420
BSB Bancorp, Inc. (a)		779		22,786
Capitol Federal Financial, Inc.		12,300		164,943
Charter Financial Corp.		1,400		24,556
Clifton Bancorp, Inc.		2,120		36,252
Dime Community Bancshares, Inc.		3,000		62,850
Entegra Financial Corp. (a)		800		23,400
ESSA Bancorp, Inc.		600		9,402
Essent Group, Ltd. (a)		7,800		338,676
Federal Agricultural Mortgage Corp. Class C		845		66,113
First Defiance Financial Corp.		948		49,268
Flagstar Bancorp, Inc. (a)		2,000		74,840
Greene County Bancorp, Inc.		200		6,520
Hingham Institution for Savings		97		20,079
Home Bancorp, Inc.		700		30,254
HomeStreet, Inc. (a)		2,574		74,517
Impac Mortgage Holdings, Inc. (a) (b)		589		5,984
Kearny Financial Corp.		7,600		109,820
LendingTree, Inc. (a)		591		201,206
Malvern Bancorp, Inc. (a)		600		15,720
Merchants Bancorp		700		13,776
Meridian Bancorp, Inc.		4,600		94,760
Meta Financial Group, Inc.		881		81,625
MGIC Investment Corp. (a)		35,600		502,316
Nationstar Mortgage Holdings, Inc. (a)		2,800		51,800
New York Community Bancorp, Inc.		46,023		599,219
NMI Holdings, Inc. Class A (a)		5,500		93,500
Northfield Bancorp, Inc.		4,100		70,028
Northwest Bancshares, Inc.		9,100		152,243
OceanFirst Financial Corp.		3,000		78,750
Oconee Federal Financial Corp.		100		2,870
Ocwen Financial Corp. (a) (b)		11,600		36,308
Oritani Financial Corp.		3,800		62,320
PCSB Financial Corp. (a)		1,700		32,385

See accompanying notes to financial statements.

108

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
PennyMac Financial Services, Inc. Class A (a)		1,500	$	33,525
PHH Corp. (a)		3,100		31,930
Provident Bancorp, Inc. (a)		300		7,935
Provident Financial Holdings, Inc.		400		7,360
Provident Financial Services, Inc.		5,900		159,123
Prudential Bancorp, Inc.		600		10,560
Radian Group, Inc.		20,900		430,749
Riverview Bancorp, Inc.		1,600		13,872
SI Financial Group, Inc.		700		10,290
Southern Missouri Bancorp, Inc.		700		26,313
Territorial Bancorp, Inc.		755		23,307
TFS Financial Corp.		5,029		75,133
Timberland Bancorp, Inc.		600		15,930
TrustCo Bank Corp. NY		8,900		81,880
United Community Financial Corp.		4,700		42,911
United Financial Bancorp, Inc.		4,900		86,436
Walker & Dunlop, Inc. (a)		2,700		128,250
Washington Federal, Inc.		8,317		284,857
Waterstone Financial, Inc.		2,700		46,035
Western New England Bancorp, Inc.		3,100		33,790
WSFS Financial Corp.		2,900		138,765
				5,265,628
TOBACCO — 0.1%
Turning Point Brands, Inc. (b)		400		8,452
Universal Corp.		2,341		122,902
Vector Group, Ltd. (b)		9,397		210,305
				341,659
TRADING COMPANIES & DISTRIBUTORS — 1.2%
Air Lease Corp.		9,300		447,237
Aircastle, Ltd.		4,600		107,594
Applied Industrial Technologies, Inc.		3,661		249,314
Beacon Roofing Supply, Inc. (a)		6,349		404,812
BMC Stock Holdings, Inc. (a)		6,325		160,023
CAI International, Inc. (a)		1,500		42,480
DXP Enterprises, Inc. (a)		1,500		44,355
EnviroStar, Inc. (b)		300		12,000
Foundation Building Materials, Inc. (a) (b)		1,200		17,748
GATX Corp.		3,685		229,060
GMS, Inc. (a)		2,600		97,864
H&E Equipment Services, Inc.		3,000		121,950
HD Supply Holdings, Inc. (a)		18,030		721,741
Herc Holdings, Inc. (a)		2,338		146,382
Huttig Building Products, Inc. (a) (b)		1,700		11,305
Kaman Corp.		2,699		158,809
Lawson Products, Inc. (a)		400		9,900
MRC Global, Inc. (a)		8,600		145,512
MSC Industrial Direct Co., Inc. Class A		4,240		409,838
Nexeo Solutions, Inc. (a)		2,500		22,750
NOW, Inc. (a)		10,300		113,609
Rush Enterprises, Inc. Class A (a)		2,900		147,349
Rush Enterprises, Inc. Class B (a)		500		24,105
SiteOne Landscape Supply, Inc. (a)		3,300		253,110
Textainer Group Holdings, Ltd. (a)		2,600		55,900
Titan Machinery, Inc. (a)		1,800		38,106
Triton International, Ltd. (a)		4,500		168,525
Univar, Inc. (a)		11,001		340,591
Veritiv Corp. (a)		1,091		31,530
Watsco, Inc.		2,936		499,238
WESCO International, Inc. (a)		4,528		308,583
Willis Lease Finance Corp. (a)		200		4,994
				5,546,314
TRANSPORTATION INFRASTRUCTURE — 0.1%
Macquarie Infrastructure Corp.		7,720		495,624
WATER UTILITIES — 0.3%
American States Water Co.		3,446		199,558
Aqua America, Inc.		17,164		673,344
AquaVenture Holdings, Ltd. (a) (b)		1,100		17,072
Artesian Resources Corp. Class A		851		32,814
Cadiz, Inc. (a) (b)		2,400		34,200
California Water Service Group		4,576		207,522
Connecticut Water Service, Inc.		1,100		63,151
Consolidated Water Co., Ltd.		1,100		13,860
Evoqua Water Technologies Corp. (a)		3,100		73,501
Global Water Resources, Inc.		700		6,538
Middlesex Water Co.		1,500		59,865
Pure Cycle Corp. (a)		1,200		10,020
SJW Group		1,600		102,128
York Water Co.		1,200		40,680
				1,534,253
WIRELESS TELECOMMUNICATION SERVICES — 0.6%
Boingo Wireless, Inc. (a)		3,600		81,000
Shenandoah Telecommunications Co.		4,450		150,410
Spok Holdings, Inc.		2,200		34,430
Sprint Corp. (a)		60,774		357,959
Telephone & Data Systems, Inc.		9,300		258,540
T-Mobile US, Inc. (a)		28,423		1,805,145
United States Cellular Corp. (a)		1,300		48,918
				2,736,402
TOTAL COMMON STOCKS (Cost $414,512,005)				463,372,227
RIGHTS — 0.0% (e)
BIOTECHNOLOGY — 0.0% (e)
Dyax Corp. (CVR) (expiring 12/31/19) (a) (f)		1,009		2,472

See accompanying notes to financial statements.

109

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Tobira Therapeutics, Inc. (CVR) (expiring 12/31/28) (a) (f)		200	$	2,354
				4,826
DIVERSIFIED FINANCIAL SERVICES — 0.0% (e)
NewStar Financial, Inc. (CVR) (a) (f)		2,400		1,296
MEDIA — 0.0% (e)
Media General, Inc. (CVR) (a) (f)		6,500		650
TOTAL RIGHTS (Cost $2,428)				6,772
SHORT-TERM INVESTMENTS — 3.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (g) (h)		8,226,262		8,226,262
State Street Navigator Securities Lending Government Money Market Portfolio (g) (i)		7,878,272		7,878,272
TOTAL SHORT-TERM INVESTMENTS (Cost $16,104,534)				16,104,534
TOTAL INVESTMENTS — 103.1% (Cost $430,618,967)				479,483,533
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.1)%				(14,613,789	)
NET ASSETS — 100.0%			$	464,869,744

(a) Non-income producing security.

(b) All or a portion of the shares of the security are on loan at December 31, 2017.

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

(d) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Portfolio’s net assets.

(e) Amount is less than 0.05% of net assets.

(f) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of December 31, 2017, total aggregate fair value of securities is $6,772, representing less than 0.05% of net assets.

(g) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(h) The rate shown is the annualized seven-day yield at December 31, 2017.

(i) Investment of cash collateral for securities loaned.

NVDR = Non Voting Depositary Receipt

REIT = Real Estate Investment Trust

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
E-mini S&P MidCap 400 Index (long)		03/16/2018		25	$	4,733,986	$	4,756,000	$	22,014
Russell 2000 Mini Index Futures (long)		03/16/2018		45		3,428,617		3,457,125	$	28,508
Total unrealized depreciation on open futures contracts purchased									$	50,522

During the period ended December 31, 2017, average notional value related to futures contracts was $6,136,479 or less than 0.5% of net assets.

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	7,792,752	$	—	$	—	$	7,792,752

See accompanying notes to financial statements.

110

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs			Total
Air Freight & Logistics	$	1,704,246	$	—	$	—		$	1,704,246
Airlines		2,032,342		—		—			2,032,342
Auto Components		5,699,255		—		—			5,699,255
Automobiles		4,904,763		—		—			4,904,763
Banks		32,979,366		—		—			32,979,366
Beverages		528,177		—		—			528,177
Biotechnology		20,838,730		—		—			20,838,730
Building Products		5,168,444		—		—			5,168,444
Capital Markets		10,782,741		—		—			10,782,741
Chemicals		12,382,127		—		—			12,382,127
Commercial Services & Supplies		7,185,867		—		—			7,185,867
Communications Equipment		7,078,855		—		—			7,078,855
Construction & Engineering		3,438,901		—		—			3,438,901
Construction Materials		1,008,099		—		—			1,008,099
Consumer Finance		3,716,615		—		—			3,716,615
Containers & Packaging		4,171,715		—		—			4,171,715
Distributors		651,309		—		—			651,309
Diversified Consumer Services		3,815,640		—		—			3,815,640
Diversified Financial Services		1,014,390		—		—			1,014,390
Diversified Telecommunication Services		1,943,540		—		—			1,943,540
Electric Utilities		4,798,210		—		—			4,798,210
Electrical Equipment		3,255,892		—		—			3,255,892
Electronic Equipment, Instruments & Components		14,303,686		—		—			14,303,686
Energy Equipment & Services		4,901,812		—		—			4,901,812
Equity Real Estate Investment Trusts (REITS)		14,017,936		—		—			14,017,936
Food & Staples Retailing		2,670,939		—		—			2,670,939
Food Products		8,133,153		—		—			8,133,153
Gas Utilities		4,421,271		—		—			4,421,271
Health Care Equipment & Supplies		11,704,176		—		—			11,704,176
Health Care Providers & Services		6,026,846		—		—			6,026,846
Health Care Technology		2,579,492		—		—			2,579,492
Hotels, Restaurants & Leisure		15,692,044		—		—			15,692,044
Household Durables		5,968,419		—		—			5,968,419
Household Products		1,080,107		—		—			1,080,107
Independent Power Producers & Energy Traders		1,750,653		—		—			1,750,653
Industrial Conglomerates		791,328		—		—			791,328
Insurance		17,333,059		—		—			17,333,059
Internet & Catalog Retail		2,825,366		—		—			2,825,366
Internet Software & Services		12,028,425		—		—			12,028,425
IT Services		16,087,026		—		—			16,087,026
Leisure Equipment & Products		1,804,381		—		—			1,804,381
Life Sciences Tools & Services		3,572,043		—		—			3,572,043
Machinery		18,800,158		—		—			18,800,158
Marine		578,479		—		—			578,479
Media		9,883,950		—		—			9,883,950
Metals & Mining		6,765,805		—		0	(a)		6,765,805
Mortgage Real Estate Investment Trust (REITs)		3,974,518		—		—			3,974,518
Multi-Utilities		1,994,074		—		—			1,994,074
Multiline Retail		662,774		—		—			662,774
Oil, Gas & Consumable Fuels		15,516,898		—		—			15,516,898
Paper & Forest Products		1,588,522		—		—			1,588,522
Personal Products		1,393,108		—		—			1,393,108
Pharmaceuticals		5,257,960		—		—			5,257,960
Professional Services		4,545,314		—		—			4,545,314

See accompanying notes to financial statements.

111

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Real Estate Investment Trusts (REITs)	$	24,323,595	$	—	$	—	$	24,323,595
Real Estate Management & Development		2,245,534		—		—		2,245,534
Road & Rail		4,107,658		—		—		4,107,658
Semiconductors & Semiconductor Equipment		16,583,205		—		—		16,583,205
Software		22,101,164		—		—		22,101,164
Specialty Retail		7,926,089		—		—		7,926,089
Technology Hardware, Storage & Peripherals		1,262,283		—		—		1,262,283
Textiles, Apparel & Luxury Goods		3,357,121		—		—		3,357,121
Thrifts & Mortgage Finance		5,265,628		—		—		5,265,628
Tobacco		341,659		—		—		341,659
Trading Companies & Distributors		5,546,314		—		—		5,546,314
Transportation Infrastructure		495,624		—		—		495,624
Water Utilities		1,534,253		—		—		1,534,253
Wireless Telecommunication Services		2,736,402		—		—		2,736,402
Rights
Biotechnology		—		4,826		—		4,826
Diversified Financial Services		—		1,296		—		1,296
Media		—		650		—		650
Short-Term Investments		16,104,534		—		—		16,104,534
TOTAL INVESTMENTS	$	479,476,761	$	6,772	$	0	$	479,483,533
Other Financial Instruments:
Futures Contracts (b)		50,522		—		—		50,522
TOTAL OTHER FINANCIAL INSTRUMENTS	$	50,522	$	—	$	—	$	50,522
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	479,527,283	$	6,772	$	0	$	479,534,055

(a) Fund held a Level 3 security that was valued at $0 at December 31, 2017.

(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	153,871,163	$	145,644,901	$	—	$	—		8,226,262	$	8,226,262	$	49,112	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		3,020,616		3,020,616		147,489,916		150,510,532		—		—		—		—		14,475		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		26,193,773		18,315,501		—		—		7,878,272		7,878,272		120,447		—
Total			$	3,020,616	$	327,554,852	$	314,470,934	$	—	$	—			$	16,104,534	$	184,034	$	—

See accompanying notes to financial statements.

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STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017

	State Street Aggregate Bond Index Portfolio			State Street Global Equity ex-U.S. Index Portfolio			State Street Small/Mid Cap Equity Index Portfolio
ASSETS
Investments in unaffiliated issuers, at value*	$	657,635,967		$	1,682,770,091		$	463,378,999
Investments in affiliated issuers, at value		47,567,027			30,380,293			16,104,534
Total Investments		705,202,994			1,713,150,384			479,483,533
Foreign currency, at value		—			7,575,597			—
Cash at broker		—			1,165,250			282,750
Cash		125,454			389			9
Receivable from broker — variation margin on open futures contracts		—			1,449,114			—
Receivable for investments sold		308,993			6,773			—
Receivable for fund shares sold		25,884,452			8,050,694			96,215
Dividends receivable — unaffiliated issuers		—			1,514,779			620,752
Dividends receivable — affiliated issuers		27,986			45,810			11,433
Interest receivable — unaffiliated issuers		3,726,760			—			—
Securities lending income receivable — unaffiliated issuers		—			3,396			7,061
Securities lending income receivable — affiliated issuers		—			15,050			20,974
Receivable from Adviser		53,166			—			47,125
Receivable for foreign taxes recoverable		132			1,099,187			—
Prepaid expenses and other assets		103			270			69
TOTAL ASSETS		735,330,040			1,734,076,693			480,569,921
LIABILITIES
Payable upon return of securities loaned		—			10,302,133			7,878,272
Payable for investments purchased		47,701,621			58,577,625			—
Payable for fund shares repurchased		1,623			9,281,281			7,700,000
Payable to broker — variation margin on open futures contracts		—			—			58,433
Deferred foreign taxes payable		—			534,672			—
Advisory fee payable		5,284			23,868			825
Custodian fees payable		—			348			—
Registration and filing fees payable		18,238			40,575			12,114
Professional fees payable		57,854			55,364			46,605
Printing and postage fees payable		4,780			—			3,864
Accrued expenses and other liabilities		94			—			64
TOTAL LIABILITIES		47,789,494			78,815,866			15,700,177
NET ASSETS	$	687,540,546		$	1,655,260,827		$	464,869,744
NET ASSETS CONSIST OF:
Paid-in Capital	$	690,786,758		$	1,429,802,098		$	415,668,340
Undistributed (distribution in excess of) net investment income (loss)		92,494			(3,403,250	)		48,134
Accumulated net realized gain (loss) on investments		(1,148,513	)		(4,862,611	)		238,182
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers**		(2,190,193	)		232,514,070			48,864,566
Foreign currency translations		—			144,646			—
Futures contracts		—			1,065,874			50,522
NET ASSETS	$	687,540,546		$	1,655,260,827		$	464,869,744
NET ASSET VALUE PER SHARE
Net asset value per share	$	10.00		$	10.81		$	12.10
Shares of beneficial interest		68,767,901			153,151,252			38,404,877
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	659,826,160		$	1,449,721,349		$	414,514,433
Investments in affiliated issuers		47,567,027			30,380,293			16,104,534
Total cost of investments	$	707,393,187		$	1,480,101,642		$	430,618,967
Foreign currency, at cost	$	—		$	7,495,257		$	—
*Includes investments in securities on loan, at value	$	—		$	26,469,410		$	38,743,051
**Includes deferred foreign taxes.	$	—		$	534,672		$	—

See accompanying notes to financial statements.

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STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2017

	State Street Aggregate Bond Index Portfolio			State Street Global Equity ex-U.S. Index Portfolio			State Street Small/Mid Cap Equity Index Portfolio
INVESTMENT INCOME
Interest income — unaffiliated issuers	$	10,784,324		$	12,459		$	14,518
Dividend income — unaffiliated issuers		—			29,885,260			4,497,827
Dividend income — affiliated issuers		149,592			202,265			63,587
Dividend income — non-cash transactions unaffiliated issuers		—			3,428,684			—
Unaffiliated securities lending income		—			43,360			56,222
Affiliated securities lending income		—			124,608			120,447
Foreign taxes withheld		(293	)		(3,001,101	)		(3,700	)
TOTAL INVESTMENT INCOME (LOSS)		10,933,623			30,695,535			4,748,901
EXPENSES
Advisory fee		55,070			136,510			37,528
Custodian fees		—			222,542			—
Trustees’ fees and expenses		27,992			36,043			25,984
Registration and filing fees		19,253			42,662			12,374
Professional fees and expenses		149,612			158,641			139,045
Printing and postage fees		13,734			14,855			11,056
Insurance expense		427			820			184
Miscellaneous expenses		12,826			44,645			8,970
TOTAL EXPENSES		278,914			656,718			235,141
Expenses waived/reimbursed by the Adviser		(129,430	)		—			(139,620	)
NET EXPENSES		149,484			656,718			95,521
NET INVESTMENT INCOME (LOSS)		10,784,139			30,038,817			4,653,380
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers*		1,917			(264,997	)		9,455,997
Foreign currency transactions		—			175,300			4
Futures contracts		—			6,876,009			744,045
Net realized gain (loss)		1,917			6,786,312			10,200,046
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers**		3,585,517			233,090,542			37,886,397
Foreign currency translations		—			220,077			—
Futures contracts		—			1,141,514			88,162
Net change in unrealized appreciation/depreciation		3,585,517			234,452,133			37,974,559
NET REALIZED AND UNREALIZED GAIN (LOSS)		3,587,434			241,238,445			48,174,605
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	14,371,573		$	271,277,262		$	52,827,985
*Includes foreign capital gain taxes	$	—		$	(12,006	)	$	—
**Includes foreign deferred taxes	$	—		$	(509,836	)	$	—

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	State Street Aggregate Bond Index Portfolio						State Street Global Equity ex-U.S. Index Portfolio						State Street Small/Mid Cap Equity Index Portfolio
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	10,784,139		$	3,485,523		$	30,038,817		$	7,946,745		$	4,653,380		$	1,275,800
Net realized gain (loss)		1,917			(287,487	)		6,786,312			(4,607,168	)		10,200,046			1,442,520
Net change in unrealized appreciation/depreciation		3,585,517			(4,935,390	)		234,452,133			13,134,706			37,974,559			12,658,138
Net increase (decrease) in net assets resulting from operations		14,371,573			(1,737,354	)		271,277,262			16,474,283			52,827,985			15,376,458
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(11,429,095	)		(3,169,215	)		(33,180,975	)		(8,017,668	)		(4,609,816	)		(1,296,402	)
Net realized gains		—			(287,585	)		(6,154,854	)		—			(10,070,162	)		(1,204,195	)
Total distributions to shareholders		(11,429,095	)		(3,456,800	)		(39,335,829	)		(8,017,668	)		(14,679,978	)		(2,500,597	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		469,604,095			189,555,151			1,063,226,907			473,015,931			298,451,424			120,269,317
Reinvestment of distributions		11,429,095			3,456,799			39,335,829			8,017,668			14,679,978			2,500,596
Cost of shares redeemed		(46,340,630	)		(21,754,269	)		(231,943,186	)		(54,251,622	)		(28,678,286	)		(21,528,449	)
Net increase (decrease) in net assets from capital transactions		434,692,560			171,257,681			870,619,550			426,781,977			284,453,116			101,241,464
Net increase (decrease) in net assets during the period		437,635,038			166,063,527			1,102,560,983			435,238,592			322,601,123			114,117,325
Net assets at beginning of period		249,905,508			83,841,981			552,699,844			117,461,252			142,268,621			28,151,296
NET ASSETS AT END OF PERIOD	$	687,540,546		$	249,905,508		$	1,655,260,827		$	552,699,844		$	464,869,744		$	142,268,621
Undistributed (distribution in excess of) net investment income (loss)	$	92,494		$	(127,004	)	$	(3,403,250	)	$	(429,427	)	$	48,134		$	(3,954	)
SHARES OF BENEFICIAL INTEREST:
Shares sold		47,044,095			18,529,423			108,794,238			54,609,188			26,285,610			12,187,686
Reinvestment of distributions		1,142,265			341,605			3,735,596			925,828			1,222,313			233,482
Shares redeemed		(4,626,971	)		(2,139,740	)		(22,658,320	)		(6,157,992	)		(2,462,688	)		(2,089,826	)
Net increase (decrease)		43,559,389			16,731,288			89,871,514			49,377,024			25,045,235			10,331,342

See accompanying notes to financial statements.

115

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STATE STREET AGGREGATE BOND INDEX PORTFOLIO

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/19/14* - 12/31/14
Net asset value, beginning of period	$	9.91		$	9.89		$	10.14		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.23			0.23			0.20			0.04
Net realized and unrealized gain (loss)		0.10			0.01			(0.13	)		0.16
Total from investment operations		0.33			0.24			0.07			0.20
Voluntary contribution from Adviser		—			—			0.00	(b)		0.00	(b)
Distributions to shareholders from:
Net investment income		(0.24	)		(0.21	)		(0.19	)		(0.04	)
Net realized gains		—			(0.01	)		(0.11	)		(0.02	)
Return of Capital		—			—			(0.02	)		—
Total distributions		(0.24	)		(0.22	)		(0.32	)		(0.06	)
Net asset value, end of period	$	10.00		$	9.91		$	9.89		$	10.14
Total return (c)		3.38	%		2.39	%		0.65	%(d)		2.00	%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	687,541		$	249,906		$	83,842		$	80,044
Ratios to average net assets:
Total expenses		0.06	%		0.14	%		0.17	%		0.25	%(f)
Net expenses		0.03	%		0.01	%		0.03	%		0.04	%(f)
Net investment income (loss)		2.31	%		2.24	%		2.00	%		1.52	%(f)
Portfolio turnover rate		99	%		194	%		62	%(g)		16	%(g)(h)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) If the Adviser had not made a voluntary contribution during the year ended 12/31/15, the total return would have decreased by less than 0.005%.

(e) 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%.

(f) Annualized.

(g) Portfolio turnover rate excludes to-be-announced (“TBA”) transactions.

(h) Not annualized.

See accompanying notes to financial statements.

116

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL EQUITY EX-U.S. INDEX PORTFOLIO

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/17/14* - 12/31/14
Net asset value, beginning of period	$	8.73		$	8.45		$	9.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.26			0.22			0.25			0.05
Net realized and unrealized gain (loss)		2.12			0.20			(0.79	)		(0.82	)
Total from investment operations		2.38			0.42			(0.54	)		(0.77	)
Voluntary contribution from Adviser		—			—			0.00	(b)		0.00	(b)
Distributions to shareholders from:
Net investment income		(0.25	)		(0.14	)		(0.18	)		(0.06	)
Net realized gains		(0.05	)		—			—			—
Total distributions		(0.30	)		(0.14	)		(0.18	)		(0.06	)
Net asset value, end of period	$	10.81		$	8.73		$	8.45		$	9.17
Total return (c)		27.20	%		5.06	%		(5.84	)%(d)		(7.72	)%(e)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,655,261		$	552,700		$	117,461		$	49,460
Ratios to average net assets:
Total expenses		0.06	%		0.23	%		0.48	%		0.73	%(f)
Net expenses		0.06	%		0.08	%		0.08	%		0.31	%(f)
Net investment income (loss)		2.59	%		2.51	%		2.73	%		1.77	%(f)
Portfolio turnover rate		2	%		8	%		3	%		0	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) If the Adviser had not made a voluntary contribution during the year ended 12/31/15, the total return would have decreased by less than 0.005%.

(e) 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%.

(f) Annualized.

(g) Not annualized.

See accompanying notes to financial statements.

117

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET SMALL/MID CAP EQUITY INDEX PORTFOLIO

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Year Ended 12/31/17			Year Ended 12/31/16			For the Period 8/12/15* - 12/31/15
Net asset value, beginning of period	$	10.65		$	9.30		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.17			0.15			0.06
Net realized and unrealized gain (loss)		1.76			1.38			(0.69	)
Total from investment operations		1.93			1.53			(0.63	)
Distributions to shareholders from:
Net investment income		(0.15	)		(0.09	)		(0.06	)
Net realized gains		(0.33	)		(0.09	)		(0.01	)
Total distributions		(0.48	)		(0.18	)		(0.07	)
Net asset value, end of period	$	12.10		$	10.65		$	9.30
Total return (b)		18.20	%		16.46	%		6.30	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	464,870		$	142,269		$	28,151
Ratios to average net assets:
Total expenses		0.07	%		0.22	%		0.41	%(c)
Net expenses		0.03	%		0.03	%		0.03	%(c)
Net investment income (loss)		1.46	%		1.55	%		1.61	%(c)
Portfolio turnover rate		21	%		21	%		8	%(d)

 * 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) Not annualized.

See accompanying notes to financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate to the following series (each a “Fund” or “Portfolio” and collectively, the “Funds and Portfolios”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Aggregate Bond Index Fund (the “Fund”)	Class A Class I Class K	September 19, 2014 September 19, 2014 September 19, 2014	Diversified Diversified Diversified
State Street Global Equity ex-U.S. Index Fund (the “Fund”)	Class A Class I Class K	September 17, 2014 September 17, 2014 September 17, 2014	Diversified Diversified Diversified
State Street Small/Mid Cap Equity Index Fund (the “Fund”)	Class A Class I Class K	October 16, 2015 October 16, 2015 August 12, 2015	Diversified Diversified Diversified
State Street Aggregate Bond Index Portfolio (the “Portfolio”)		September 19, 2014	Diversified
State Street Global Equity ex-U.S. Index Portfolio (the “Portfolio”)		September 17, 2014	Diversified
State Street Small/Mid Cap Equity Index Portfolio (the “Portfolio”)		August 12, 2015	Diversified

Each Fund is part of a master-feeder structure and invests substantially all of its assets in its respective master portfolio as shown below. Each Portfolio is a separate series of the Trust. The performance of each Fund is directly affected by the performance of its respective Portfolio. The financial statements of the Portfolios, including their Schedules of Investments are attached to this report and should be used in conjunction with the corresponding Fund’s financial statements.

Fund Name	Portfolio Name	Fund Ownership Interest in Portfolio at December 31, 2017
State Street Aggregate Bond Index Fund	State Street Aggregate Bond Index Portfolio		15.78	%
State Street Global Equity ex-U.S. Index Fund	State Street Global Equity ex-U.S. Index Portfolio		27.70	%
State Street Small/Mid Cap Equity Index Fund	State Street Small/Mid Cap Equity Index Portfolio		5.14	%

Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares and Class K shares are sold without a sales charge and only to certain eligible investors.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

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The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund and Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund records its investments in its respective Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolios is discussed below:

Each Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that NYSE is open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Portfolio’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

• Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.

• Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

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

The Portfolios value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an

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investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Portfolio’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in each Portfolio’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolios had no material transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock, are recorded as dividend income at fair value. Distributions received by the Portfolios may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Certain Portfolios invest in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gains distributions at year end based on information provided by the REITs and/or SSGA Funds Management, Inc’s. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

Expenses

Certain expenses, which are directly identifiable to a specific Fund or Portfolio, are applied to that Fund or Portfolio within the Trust. Other expenses which cannot be attributed to a specific Fund or Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds and Portfolios within the Trust. Class specific expenses are borne by each class.

Foreign Currency Translation

The accounting records of the Funds and Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

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Foreign Taxes

The Portfolios may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gain on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolios invest. These foreign taxes, if any, are paid by the Portfolios and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Portfolios’ Statements of Assets and Liabilities.

As of August 17, 2017, State Street Global Equity ex-U.S. Index Portfolio’s NAV was impacted by adjustments to certain foreign tax accruals. The per share impact was less than $0.005 per share.

Distributions

The following Funds and Portfolios declare and distribute from net investment income, if any, to its shareholders:

Name	Frequency
State Street Aggregate Bond Index Fund	Monthly
State Street Global Equity ex-U.S. Index Fund	Annually
State Street Small/Mid Cap Equity Index Fund	Annually
State Street Aggregate Bond Index Portfolio	Monthly
State Street Global Equity ex-U.S. Index  Portfolio	Annually
State Street Small/Mid Cap Equity Index Portfolio	Annually

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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Securities and Other Investments

Delayed Delivery Transactions and When-Issued Securities

During the period, certain Portfolios transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Portfolio’s Schedule of Investments. The Portfolios may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Portfolios identify securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.

4. Derivative Financial Instruments

Futures Contracts

Certain Portfolios may enter into futures contracts to meet the Portfolios’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial

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margin requirements of the clearing house. Subsequent payments are made or received by the Portfolios equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolios recognize a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.

For the period ended December 31, 2017, the following Portfolios entered into futures contracts for the strategies listed below:

Portfolios	Strategies
State Street Global Equity ex-U.S. Index  Portfolio	Cash equitization, reduce tracking error and to facilitate daily liquidity
State Street Small/Mid Cap Equity Index Portfolio	Cash equitization, reduce tracking error and to facilitate daily liquidity

The following tables summarize the value of the Portfolios’ derivative instruments as of December 31, 2017, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Equity ex-U.S. Index Portfolio
Futures Contracts (a)	$	—	$	—	$	—	$	1,065,874	$	—	$	1,065,874

(a) Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Small/Mid Cap Equity Index Portfolio
Futures Contracts (a)	$	—	$	—	$	—	$	50,522	$	—	$	50,522

(a) Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Equity ex-U.S. Index Portfolio
Futures Contracts	$	—	$	—	$	—	$	6,876,009	$	—	$	6,876,009

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December 31, 2017

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Small/Mid Cap Equity Index Portfolio
Futures Contracts	$	—	$	—	$	—	$	744,045	$	—	$	744,045

	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Equity ex-U.S. Index Portfolio
Futures Contracts	$	—	$	—	$	—	$	1,141,514	$	—	$	1,141,514

	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Small/Mid Cap Equity Index Portfolio
Futures Contracts	$	—	$	—	$	—	$	88,162	$	—	$	88,162

5. Fees and Transactions with Affiliates

Advisory Fee

The Funds and Portfolios retained SSGA FM as their investment adviser. Each Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:

	Annual Rate
State Street Aggregate Bond Index Fund		0.03	%
State Street Global Equity ex-U.S. Index Fund		0.06
State Street Small/Mid Cap Equity Index Fund		0.03

The Portfolios pay no investment advisory fees to SSGA FM.

SSGA FM is contractually obligated until April 30, 2018 to waive its management fee and/or to reimburse the State Street Aggregate Bond Index Fund, the State Street Global Equity ex-U.S. Index Fund and the State Street Small/Mid Cap Equity Index Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and expenses and any class-specific expenses, such as distribution, shareholder servicing, administration and sub-transfer agency fees) exceed 0.04%, 0.10% and 0.03%, respectively, of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated prior to April 30, 2018 except with the approval of the Funds’ Board.

SSGA FM is contractually obligated until April 30, 2018, to waive its management fee and/or to reimburse State Street Aggregate Bond Index Portfolio and the State Street Global Equity ex-U.S. Index Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and distribution, shareholder

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servicing and sub-transfer agency expenses) exceed 0.04% and 0.08%, respectively, of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated during the relevant period except with the approval of the Portfolios’ Board.

SSGA FM is contractually obligated until April 30, 2018 to waive its management fee and/or to reimburse the State Street Small/Mid Cap Equity Index Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and expenses and any class-specific expenses, such as distribution, shareholder servicing, administration and sub-transfer agency fees) exceed 0.03% of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated prior to April 30, 2018 except with the approval of the Portfolios’ Board.

With respect to the State Street Aggregate Bond Index Portfolio, SSGA FM agrees to waive up to the portion of the management fee and/or expenses attributable to acquired fund fees and expenses in connection with the Portfolio’s investments in To Be Announced (“TBA”) securities. This fee waiver and/or expense reimbursement may only be terminated with approval of the Portfolio’s Board.

For the period ended December 31, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Funds. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

SSGA FM serves as administrator and State Street serves as the custodian, sub-administrator and transfer agent to the Portfolios. For its administration services, each Portfolio pays SSGA FM an annual fee. The fees are accrued daily and paid monthly. SSGA FM pays State Street for its services as custodian, sub-administrator and transfer agent to the Portfolios.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Funds pay annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which each Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (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. In addition to payments under the Plan, the Funds may reimburse SSGA FD 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.

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Funds and Portfolios, acts as the securities lending agent for the Funds and Portfolios, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

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Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Funds and Portfolios, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securities lending.

Other Transactions with Affiliates

The Portfolios may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Portfolios owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedules of Investments.

6. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds and Portfolios. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

7. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:

	U.S. Government Obligations				Other Securities
	Purchases		Sales		Purchases		Sales
State Street Aggregate Bond Index Portfolio	$	736,551,029	$	442,037,368	$	150,925,411	$	13,448,539
State Street Global Equity ex-U.S. Index Portfolio		—		—		932,527,378		20,097,108
State Street Small/Mid Cap Equity Index Portfolio		—		—		335,068,581		65,370,971

8. Income Tax Information

The Funds and the Portfolios have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund and each Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds and the Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ and Portfolios’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, foreign currencies, futures contracts, REITs, amortization and accretion of premium and discount for financial statement purposes, passive foreign investment companies, partnerships, non-REIT ROC and wash sale loss deferrals.

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The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Aggregate Bond Index Fund	$	2,419,118	$	93,080	$	—	$	2,512,198
State Street Global Equity ex-U.S. Index Fund		12,084,698		5,949,925		—		18,034,623
State Street Small/Mid Cap Equity Index Fund		661,481		589,731		—		1,251,212
State Street Aggregate Bond Index Portfolio		11,429,095		—		—		11,429,095
State Street Global Equity ex-U.S. Index Portfolio		36,284,705		3,051,124		—		39,335,829
State Street Small/Mid Cap Equity Index Portfolio		8,844,308		5,835,670		—		14,679,978

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Aggregate Bond Index Fund	$	1,376,959	$	59,776	$	—	$	1,436,735
State Street Global Equity ex-U.S. Index Fund		2,979,405		—		—		2,979,405
State Street Small/Mid Cap Equity Index Fund		167,382		606		—		167,988
State Street Aggregate Bond Index Portfolio		3,456,800		—		—		3,456,800
State Street Global Equity ex-U.S. Index Portfolio		8,017,668		—		—		8,017,668
State Street Small/Mid Cap Equity Index Portfolio		1,988,642		511,955		—		2,500,597

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards			Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)			Qualified Late-Year Losses*			Total
State Street Aggregate Bond Index Fund	$	1,658	$	—		$	—	$	(998,782	)	$	(51,506	)	$	(1,048,630	)
State Street Global Equity ex-U.S. Index Fund		—		—			13,293,904		45,265,804			—			58,559,708
State Street Small/Mid Cap Equity Index Fund		—		—			428,921		2,096,273			—			2,525,194
State Street Aggregate Bond Index Portfolio		92,494		(1,031,465	)		—		(2,307,241	)		—			(3,246,212	)
State Street Global Equity ex-U.S. Index Portfolio		332,176		—			—		225,126,553			—			225,458,729
State Street Small/Mid Cap Equity Index Portfolio		282,100		—			1,573,276		47,346,020			—			49,201,396

* The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of December 31, 2017, the Funds and Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

	Expiring 2018		Expiring 2019		Non-Expiring Short Term**		Non-Expiring Long Term**
State Street Aggregate Bond Index Portfolio	$	—	$	—	$	436,021	$	595,444

** Must be utilized prior to losses subject to expiration.

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December 31, 2017

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Aggregate Bond Index Fund	$	109,496,393	$	—	$	998,782	$	(998,782	)
State Street Global Equity ex-U.S. Index Fund		413,336,012		45,265,804		—		45,265,804
State Street Small/Mid Cap Equity Index Fund		21,799,514		2,096,273		—		2,096,273
State Street Aggregate Bond Index Portfolio		707,510,235		3,577,029		5,884,270		(2,307,241	)
State Street Global Equity ex-U.S. Index Portfolio		1,488,703,833		248,741,565		23,229,140		225,512,425
State Street Small/Mid Cap Equity Index Portfolio		432,137,505		62,175,513		14,829,485		47,346,028

9. Securities Lending

Each Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Portfolios will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolios may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Portfolio will bear the risk of loss of any cash collateral that it may invest. Each Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2017, and the value of the invested cash collateral are disclosed in the Portfolios’ Statements of Assets and Liabilities . Non-cash collateral is not disclosed in the Portfolios’ Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolios, and the Portfolios do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolios’ Statements of Operations, represents the income earned from the non cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of each Portfolio’s securities lending agreements and related cash and non-cash collateral received as of December 31, 2017:

Fund	Market Value of Securities on Loan		Cash Collateral Received		Non Cash Collateral Received*		Total Collateral Received
State Street Global Equity ex-U.S. Index Portfolio	$	26,469,410	$	10,302,133	$	17,176,637	$	27,478,770
State Street Small/Mid Cap Equity Index Portfolio		38,743,051		7,878,272		32,194,134		40,072,406

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2017:

		Remaining Contractual Maturity of the Agreements As of December 31, 2017
Fund	Securities Lending Transactions	Overnight and Continuous		<30 Days		Between 30 & 90 Days		>90 Days		Total Borrowings		Gross Amount of Recognized Liabilities for Securities Lending Transactions
State Street Global Equity ex-U.S. Index Portfolio	Common Stocks	$	10,302,133	$	—	$	—	$	—	$	10,302,133	$	10,302,133
State Street Small/Mid Cap Equity Index Portfolio	Common Stocks		7,878,272		—		—		—		7,878,272		7,878,272

10. Line of Credit

The Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolios and other affiliated funds participated in a $360 million revolving credit facility.

The Portfolios had no outstanding loans as of December 31, 2017.

11. Risks

Concentration Risk

As a result of the Portfolios’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolios’ investments more than if the Portfolios were more broadly diversified.

Foreign and Emerging Markets Risks

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolios invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

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December 31, 2017

12. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

13. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds and Portfolios through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of State Street Aggregate Bond Index Fund, State Street Global Equity ex-U.S. Index Fund, State Street Small/Mid Cap Equity Index Fund, State Street Aggregate Bond Index Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Portfolio and the Board of Trustees of State Street Institutional Investment Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of State Street Aggregate Bond Index Fund, State Street Global Equity ex-U.S. Index Fund and State Street Small/Mid Cap Equity Index Fund (collectively, the “Funds”), and State Street Aggregate Bond Index Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Portfolio (collectively, the “Portfolios”) (six of the series constituting the State Street Institutional Investment Trust (the “Trust”)), including the schedules of investments of the Portfolios, as of December 31, 2017, and the related statements of operations and changes in net assets and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds and Portfolios (six of the Funds and Portfolios constituting State Street Institutional Investment Trust) at December 31, 2017, and the results of their operations, changes in net assets, and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual fund or portfolio constituting the State Street Institutional Investment Trust	Statement of operations	Statement of changes in net assets	Financial highlights
State Street Aggregate Bond Index Fund	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the three years in the period ended December 31, 2017 and the period from September 14, 2014 (commencement of operations) through December 31, 2014
State Street Global Equity ex-U.S. Index Fund	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the three years in the period ended December 31, 2017 and the period from September 17, 2014 (commencement of operations) through December 31, 2014
State Street Small/Mid Cap Equity Index Fund	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the two years in the period ended December 31, 2017 and the period from August 12, 2015 (commencement of operations) through December 31, 2015
State Street Aggregate Bond Index Portfolio	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the three years in the period ended December 31, 2017 and the period from September 19, 2014 (commencement of operations) through December 31, 2014
State Street Global Equity ex-U.S. Index Portfolio	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the three years in the period ended December 31, 2017 and the period from September 17, 2014 (commencement of operations) through December 31, 2014
State Street Small/Mid Cap Equity Index Portfolio	For the year ended December 31, 2017	For each of the two years in the period ended December 31, 2017	For each of the two years in the period ended December 31, 2017 and the period from August 12, 2015 (commencement of operations) through December 31, 2015

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Fund’s and Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund or Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund or Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund or Portfolio 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s or Portfolio’s cost 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 or Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund or Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund or Portfolio under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return — This section is intended to help you compare your Fund’s or Portfolio’s costs with those of other mutual funds. It assumes that the Fund or Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s or Portfolio’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 (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s or Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual					Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period			Ending Account Value		Expenses Paid During Period
State Street Aggregate Bond Index Fund
Class A		0.36	%	$	1,008.70	$	1.82	(a)	$	1,023.40	$	1.84	(a)
Class I		0.10			1,011.20		0.51	(a)		1,024.70		0.51	(a)
Class K		0.10			1,011.20		0.51	(a)		1,024.70		0.51	(a)
State Street Global Equity ex-U.S. Index Fund
Class A		0.55			1,111.60		2.93	(a)		1,022.40		2.80	(a)
Class I		0.11			1,113.30		0.59	(a)		1,024.70		0.56	(a)
Class K		0.15			1,114.30		0.80	(a)		1,024.40		0.77	(a)
State Street Small/Mid Cap Equity Index Fund
Class A		0.36			1,100.30		1.91	(a)		1,023.40		1.84	(a)
Class I		0.10			1,101.10		0.53	(a)		1,024.70		0.51	(a)
Class K		0.05			1,101.10		0.26	(a)		1,025.00		0.26	(a)
State Street Aggregate Bond Index Portfolio		0.06			1,011.90		0.30	(b)		1,024.90		0.31	(b)
State Street Global Equity Ex-U.S. Index Portfolio		0.05			1,115.10		0.27	(b)		1,025.00		0.26	(b)
State Street Small/Mid Cap Equity Index Portfolio		0.03			1,101.40		0.16	(b)		1,025.10		0.15	(b)

(a) Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365.

(b) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 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. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2017:

	Amount
State Street Aggregate Bond Index Fund	$	93,080
State Street Global Equity ex-U.S. Index Fund		5,949,925
State Street Small/Mid Cap Equity Index Fund		589,731
State Street Global Equity ex-U.S. Index Portfolio		3,051,124
State Street Small/Mid Cap Equity Index Portfolio		5,835,670

Foreign Tax Credit

The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Global Equity ex-U.S. Index Fund	$	1,017,055
State Street Global Equity ex-U.S. Index Portfolio		2,984,489

The amount of foreign source income earned on the following Funds during the year ended December 31, 2017 were as follows:

	Amount
State Street Global Equity ex-U.S. Index Fund	$	11,261,382
State Street Global Equity ex-U.S. Index Portfolio		33,309,335

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Funds and Portfolios have adopted the proxy voting policies of the Adviser. A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ and Portfolios’ investment Adviser to vote proxies relating to the Portfolios’ and Funds’ portfolios of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the SEC’s website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Funds and Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ and Portfolios’ 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s and Portfolio’s website at www.ssgafunds.com.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees (1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.

139

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 of the Funds and the Portfolios and Transfer Agent of the Portfolios

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 02199

Transfer Agent of the Funds

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

SSIITCOREAR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Emerging Markets Equity Index Fund

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS
Management’s Discussion of Fund Performance, Performance Summary  & Portfolio Statistics (Unaudited)	1
Schedule of Investments	4
Statement of Assets and Liabilities	16
Statement of Operations	17
Statements of Changes in Net Assets	18
Financial Highlights	19
Notes to Financial Statements	20
Report of Independent Registered Public Accounting Firm	28
Other Information (Unaudited)	29

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Emerging Markets Equity Index Fund (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return of an index that tracks the performance of emerging market equity securities. The Fund’s benchmark is the MSCI Emerging Markets Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 37.19%, and the Index was 37.28%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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. Fees and expenses, taxes, transaction costs and taxes, cash drag, and compounding contributed to the difference between the Fund’s performance and that of the Index.

The Fund generated positive returns for all four quarters of 2017 — the best of which was a double-digit mark set in the 1st quarter, whereby, backed by strong macro and earnings data, an optimistic tone was set across global markets, particularly in Emerging Markets, despite a faster than anticipated first 2017 interest rate hike by the Federal Reserve in March. This trend continued into the 2nd quarter, where the Fund again benefitted specifically from the continued strength in South Korea and Chinese stocks. Over the final two quarters of 2017, the Fund again exhibited strong performance, as markets continued to rally on the back of strong retail sales and improved macroeconomic and manufacturing data. The Fund benefited from a number of supporting factors, including the emergence of Brazilian and Russian stocks after two years in recession, as well as a weaker U.S. dollar that kept hard currency financing costs down and an acceleration in global trade. Another aspect that benefitted the Fund was recovering oil prices despite ongoing tensions between the U.S. and North Korea and political uncertainty in Saudi Arabia.

The Fund used MSCI Emerging Markets Index futures in order to gain exposure to the Index during the Reporting Period. The Fund’s use of MSCI Emerging Markets Index futures helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Tencent Holdings Ltd., Alibaba Group Holding Ltd. Sponsored ADR, and Samsung Electronics Co., Ltd. The top negative contributors to the Fund’s performance during the Reporting Period were China Huishan Dairy Holdings Co. Ltd., BRF SA, and Steinhoff International Holdings NV.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

1

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date * December 31, 2017
State Street Emerging Markets Equity Index Fund Class K		37.19%		22.90%
MSCI Emerging Markets Index (1)		37.28%		23.53%

* Inception date is December 18, 2015.

(1) The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging market countries. Index returns are net of dividend withholding taxes.

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.

See accompanying notes to financial statements.

2

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		97.1	%
Short-Term Investments		3.5
Liabilities in Excess of Other Assets		(0.6	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Information Technology		26.7	%
Financials		23.3
Consumer Discretionary		10.0
Materials		7.1
Energy		6.7
TOTAL		73.8	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 97.1%
BRAZIL — 6.6%
Ambev SA		511,285	$	3,280,017
Atacadao Distribuicao Comercio e Industria Ltda (a)		45,000		206,882
B3 SA — Brasil Bolsa Balcao		222,492		1,527,951
Banco Bradesco SA Preference Shares		331,089		3,378,663
Banco Bradesco SA		99,268		959,432
Banco do Brasil SA		93,098		893,063
Banco Santander Brasil SA		44,500		427,681
BB Seguridade Participacoes SA		75,937		652,210
BR Malls Participacoes SA		88,603		340,031
Braskem SA Class A, Preference Shares		19,200		248,140
BRF SA(a)		49,123		542,010
CCR SA		131,969		642,519
Centrais Eletricas Brasileiras SA (a)		24,000		139,929
Centrais Eletricas Brasileiras SA Class B, Preference Shares		25,600		175,189
Cia Brasileira de Distribuicao Preference Shares		17,000		404,513
Cia de Saneamento Basico do Estado de Sao Paulo		37,000		382,928
Cia Energetica de Minas Gerais Preference Shares		99,100		205,245
Cia Energetica de Minas Gerais (a)		14,526		30,216
Cia Energetica de Minas Gerais (a)		837		1,665
Cia Siderurgica Nacional SA(a)		68,800		173,810
Cielo SA		132,456		939,183
Cosan SA Industria e Comercio		17,700		221,443
EDP — Energias do Brasil SA		33,550		141,600
Embraer SA		71,317		429,996
Engie Brasil Energia SA		17,870		191,301
Equatorial Energia SA		21,500		425,515
Fibria Celulose SA		26,835		387,102
Gerdau SA Preference Shares		113,900		425,095
Hypermarcas SA		38,400		416,750
Itau Unibanco Holding SA Preference Shares		351,741		4,515,128
Itausa — Investimentos Itau SA Preference Shares		432,205		1,409,803
Itausa — Investimentos Itau SA		248		786
JBS SA		89,000		263,209
Klabin SA		63,907		339,080
Kroton Educacional SA		149,921		831,614
Localiza Rent a Car SA		53,985		359,021
Lojas Americanas SA Preference Shares		77,773		399,756
Lojas Renner SA		77,292		826,955
M Dias Branco SA		10,600		166,489
Multiplan Empreendimentos Imobiliarios SA		8,818		188,477
Natura Cosmeticos SA		18,900		188,367
Odontoprev SA		29,500		141,493
Petroleo Brasileiro SA Preference Shares (a)		427,898		2,076,862
Petroleo Brasileiro SA(a)		321,614		1,639,532
Porto Seguro SA		12,600		137,999
Qualicorp SA		24,636		230,236
Raia Drogasil SA		25,100		694,637
Rumo SA(a)		119,322		466,554
Sul America SA		23,033		129,570
Suzano Papel e Celulose SA		49,600		279,468
Telefonica Brasil SA Preference Shares		48,555		711,689
TIM Participacoes SA		91,000		359,380
Transmissora Alianca de Energia Eletrica SA		20,700		133,170
Ultrapar Participacoes SA		39,182		885,909
Vale SA		343,584		4,170,122
WEG SA		61,100		444,099
				40,179,484
CHILE — 1.2%
AES Gener SA		347,306		115,038
Aguas Andinas SA Class A		287,699		190,589
Banco de Chile		2,692,028		431,614
Banco de Credito e Inversiones		4,880		339,469
Banco Santander Chile		7,157,791		560,886
Cencosud SA		155,514		459,451
Cia Cervecerias Unidas SA		16,265		244,049
Colbun SA		865,407		199,050
Embotelladora Andina SA Class B, Preference Shares		28,953		144,567
Empresa Nacional de Telecomunicaciones SA		16,785		188,689
Empresas CMPC SA		135,628		461,194
Empresas COPEC SA		49,311		779,027
Enel Americas SA		3,115,331		694,159
Enel Chile SA		2,151,997		254,784
Enel Generacion Chile SA		352,870		319,527
Itau CorpBanca		16,977,943		154,491
Latam Airlines Group SA		33,576		475,970
SACI Falabella		79,330		791,301
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares		10,448		620,920
				7,424,775
CHINA — 28.2%
3SBio, Inc. (a)(b)		106,300		208,594
58.com, Inc. ADR(a)		9,900		708,543
AAC Technologies Holdings, Inc.		80,000		1,426,580
Agile Group Holdings, Ltd.		162,000		245,778
Agricultural Bank of China, Ltd. Class H		2,826,000		1,315,881
Air China, Ltd. Class H		206,000		249,815
Alibaba Group Holding, Ltd. ADR (a)		125,282		21,602,375
Alibaba Health Information Technology, Ltd. (a) (c)		368,500		186,199
Aluminum Corp. of China, Ltd. Class H (a) (c)		426,000		304,624

See accompanying notes to financial statements.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Anhui Conch Cement Co., Ltd. Class H		134,000	$	629,949
ANTA Sports Products, Ltd.		117,000		530,573
Autohome, Inc. ADR (a)		5,600		362,152
AviChina Industry & Technology Co., Ltd. Class H		245,000		130,377
Baidu, Inc. ADR (a)		29,800		6,979,458
Bank of China, Ltd. Class H		8,651,000		4,249,529
Bank of Communications Co., Ltd. Class H		949,000		704,105
Beijing Capital International Airport Co., Ltd. Class H		164,000		247,134
Beijing Enterprises Holdings, Ltd.		54,500		323,488
Beijing Enterprises Water Group, Ltd.		536,000		414,824
Brilliance China Automotive Holdings, Ltd.		328,000		876,927
Byd Co., Ltd. Class H (c)		69,500		605,446
BYD Electronic International Co., Ltd.		69,000		150,228
CGN Power Co., Ltd. Class H (b)		1,153,700		312,876
China Cinda Asset Management Co., Ltd. Class H		941,481		344,446
China CITIC Bank Corp., Ltd. Class H		969,000		607,384
China Communications Construction Co., Ltd. Class H		481,000		546,388
China Communications Services Corp., Ltd. Class H		272,000		182,324
China Conch Venture Holdings, Ltd.		176,500		408,664
China Construction Bank Corp. Class H		9,154,000		8,431,146
China Everbright Bank Co., Ltd. Class H		308,000		143,809
China Everbright International, Ltd.		265,000		378,315
China Everbright, Ltd.		104,000		232,551
China Evergrande Group (a)		355,000		1,223,856
China Galaxy Securities Co., Ltd. Class H		356,000		262,311
China Huarong Asset Management Co., Ltd. Class H (b)		1,107,500		522,773
China Huishan Dairy Holdings Co., Ltd. (a) (d)		406,100		—
China Jinmao Holdings Group, Ltd.		388,000		170,739
China Life Insurance Co., Ltd. Class H		811,000		2,546,922
China Longyuan Power Group Corp., Ltd. Class H		343,000		243,956
China Medical System Holdings, Ltd.		152,000		354,271
China Mengniu Dairy Co., Ltd.		298,000		886,303
China Merchants Bank Co., Ltd. Class H		421,500		1,676,877
China Merchants Port Holdings Co., Ltd.		134,360		351,485
China Minsheng Banking Corp., Ltd. Class H		602,000		602,978
China Mobile, Ltd.		668,500		6,777,100
China Molybdenum Co., Ltd. Class H (c)		387,000		248,518
China National Building Material Co., Ltd. Class H (c)		318,000		284,346
China Oilfield Services, Ltd. Class H		206,000		200,537
China Overseas Land & Investment, Ltd.		420,000		1,351,234
China Pacific Insurance Group Co., Ltd. Class H		288,200		1,384,354
China Petroleum & Chemical Corp. Class H		2,784,000		2,040,643
China Railway Construction Corp., Ltd. Class H		220,000		254,973
China Railway Group, Ltd. Class H		428,000		316,457
China Resources Beer Holdings Co., Ltd.		175,333		629,129
China Resources Gas Group, Ltd.		96,000		348,151
China Resources Land, Ltd.		300,000		882,658
China Resources Pharmaceutical Group, Ltd.(b)		211,500		273,800
China Resources Power Holdings Co., Ltd.		206,000		383,682
China Shenhua Energy Co., Ltd. Class H		368,000		953,270
China Southern Airlines Co., Ltd. Class H		206,000		212,659
China State Construction International Holdings, Ltd.		224,000		313,479
China Taiping Insurance Holdings Co., Ltd.		175,400		657,416
China Telecom Corp., Ltd. Class H		1,506,000		716,657
China Unicom Hong Kong, Ltd. (a)		664,000		896,964
China Vanke Co., Ltd. Class H		128,200		511,665
Chongqing Rural Commercial Bank Co., Ltd. Class H		277,000		195,597
CITIC Securities Co., Ltd. Class H		250,500		516,554
CITIC, Ltd.		630,000		909,061
CNOOC, Ltd.		1,947,000		2,794,487
COSCO SHIPPING Ports, Ltd.		184,719		192,108
Country Garden Holdings Co., Ltd.		578,000		1,101,685
CRRC Corp., Ltd. Class H		458,000		489,796
CSPC Pharmaceutical Group, Ltd.		514,000		1,037,560
Ctrip.com International, Ltd. ADR (a)		42,867		1,890,435
Dongfeng Motor Group Co., Ltd. Class H		294,000		355,780
ENN Energy Holdings, Ltd.		82,000		584,793
Far East Horizon, Ltd.		223,000		190,272
Fosun International, Ltd.		279,500		619,260

See accompanying notes to financial statements.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Fuyao Glass Industry Group Co., Ltd. Class H (b)		57,256	$	241,335
Geely Automobile Holdings, Ltd.		532,000		1,844,268
GF Securities Co., Ltd. Class H		148,000		297,617
GOME Retail Holdings, Ltd. (c)		1,146,000		137,802
Great Wall Motor Co., Ltd. Class H (c)		344,500		394,417
Guangdong Investment, Ltd.		326,000		436,207
Guangzhou Automobile Group Co., Ltd. Class H		232,000		549,632
Guangzhou R&F Properties Co., Ltd.		107,200		241,626
Haitian International Holdings, Ltd.		72,000		216,443
Haitong Securities Co., Ltd. Class H		356,400		517,004
Hengan International Group Co., Ltd.		78,500		871,129
Huaneng Power International, Inc. Class H		460,000		288,335
Huaneng Renewables Corp., Ltd. Class H		498,000		168,818
Huatai Securities Co., Ltd. Class H (b)		174,700		347,733
Industrial & Commercial Bank of China, Ltd. Class H		8,028,000		6,459,535
JD.com, Inc. ADR (a)		71,567		2,964,305
Jiangsu Expressway Co., Ltd. Class H		134,000		203,983
Jiangxi Copper Co., Ltd. Class H		141,000		223,658
Kingsoft Corp., Ltd.		82,000		272,728
Kunlun Energy Co., Ltd.		350,000		364,448
Lenovo Group, Ltd.		794,000		447,922
Longfor Properties Co., Ltd.		162,500		407,014
Meitu, Inc. (a) (b)		132,000		183,716
Momo, Inc. ADR (a)		11,500		281,520
NetEase, Inc. ADR		8,673		2,992,792
New China Life Insurance Co., Ltd. Class H		84,200		575,170
New Oriental Education & Technology Group, Inc. ADR		14,700		1,381,800
Nexteer Automotive Group, Ltd. (a)		99,000		235,808
People’s Insurance Co. Group of China, Ltd. Class H		757,000		372,821
PetroChina Co., Ltd. Class H		2,280,000		1,589,551
PICC Property & Casualty Co., Ltd. Class H		498,000		956,847
Ping An Insurance Group Co. of China, Ltd. Class H		567,500		5,905,636
Semiconductor Manufacturing International Corp. (a) (c)		321,300		555,688
Shandong Weigao Group Medical Polymer Co., Ltd. Class H		196,000		142,663
Shanghai Electric Group Co., Ltd. Class H (a) (c)		318,000		130,986
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H		54,000		346,424
Shanghai Industrial Holdings, Ltd.		51,000		146,137
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B		94,960		137,502
Shanghai Pharmaceuticals Holding Co., Ltd. Class H		75,800		205,080
Shenzhou International Group Holdings, Ltd.		82,000		780,423
Sihuan Pharmaceutical Holdings Group, Ltd.		423,000		152,051
SINA Corp. (a)		6,200		621,922
Sino-Ocean Group Holding, Ltd.		311,500		214,778
Sinopec Shanghai Petrochemical Co., Ltd. Class H		380,000		216,315
Sinopharm Group Co., Ltd. Class H		129,600		560,357
SOHO China, Ltd.		241,000		140,889
Sunac China Holdings, Ltd.		221,700		917,452
Sunny Optical Technology Group Co., Ltd.		78,100		998,067
TAL Education Group ADR		30,900		918,039
Tencent Holdings, Ltd.		619,400		32,169,214
Tingyi Cayman Islands Holding Corp.		212,000		412,214
TravelSky Technology, Ltd. Class H		101,000		302,975
Tsingtao Brewery Co., Ltd. Class H		40,000		206,209
Vipshop Holdings, Ltd. ADR (a)		44,088		516,711
Want Want China Holdings, Ltd.		543,000		454,972
Weibo Corp. ADR (a) (c)		5,060		523,508
Weichai Power Co., Ltd. Class H		211,000		231,047
Yanzhou Coal Mining Co., Ltd. Class H		192,000		224,487
Yum China Holdings, Inc.		41,400		1,656,828
YY, Inc. ADR (a)		4,700		531,382
Zhejiang Expressway Co., Ltd. Class H		162,000		178,013
Zhuzhou CRRC Times Electric Co., Ltd. Class H		59,600		387,686
Zijin Mining Group Co., Ltd. Class H		630,000		237,742
ZTE Corp. Class H (a)		80,000		300,359
				171,287,773
COLOMBIA — 0.4%
Bancolombia SA		24,745		248,569
Bancolombia SA Preference Shares		49,759		498,840
Cementos Argos SA		50,813		196,135
Ecopetrol SA		532,983		394,670
Grupo Argos SA		31,797		222,457
Grupo Aval Acciones y Valores SA Preference Shares		366,121		158,250
Grupo de Inversiones Suramericana SA Preference Shares		11,829		154,576
Grupo de Inversiones Suramericana SA		25,441		343,532

See accompanying notes to financial statements.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Interconexion Electrica SA ESP		42,597	$	202,673
				2,419,702
CZECH REPUBLIC — 0.2%
CEZ A/S		17,511		408,947
Komercni banka A/S		8,245		354,853
Moneta Money Bank A/S (b)		53,364		206,830
O2 Czech Republic A/S		6,222		80,921
				1,051,551
EGYPT — 0.1%
Commercial International Bank Egypt SAE		115,133		503,140
Egyptian Financial Group-Hermes Holding Co.		60,598		80,434
Global Telecom Holding SAE (a)		216,036		89,914
				673,488
GREECE — 0.3%
Alpha Bank AE (a)		150,648		323,265
Eurobank Ergasias SA (a)		201,024		205,181
FF Group (a)		3,869		88,272
Hellenic Telecommunications Organization SA		26,249		362,478
JUMBO SA		11,587		207,314
National Bank of Greece SA (a)		567,163		217,255
OPAP SA		24,021		302,866
Piraeus Bank SA (a)		30,958		114,125
Titan Cement Co. SA		5,183		142,524
				1,963,280
HONG KONG — 0.7%
Alibaba Pictures Group, Ltd. (a) (c)		1,415,900		190,180
China Gas Holdings, Ltd.		188,000		519,463
Fullshare Holdings, Ltd.		753,600		347,046
GCL-Poly Energy Holdings, Ltd. (a) (c)		1,456,000		260,755
Haier Electronics Group Co., Ltd.		139,000		380,515
Kingboard Chemical Holdings, Ltd.		67,500		364,816
Lee & Man Paper Manufacturing, Ltd.		179,000		211,577
Nine Dragons Paper Holdings, Ltd.		177,000		283,479
Shimao Property Holdings, Ltd.		131,000		284,881
Sino Biopharmaceutical, Ltd.		482,000		854,581
Sun Art Retail Group, Ltd.		259,500		274,196
				3,971,489
HUNGARY — 0.3%
MOL Hungarian Oil & Gas PLC		39,041		454,137
OTP Bank PLC		26,080		1,082,242
Richter Gedeon Nyrt		14,989		393,391
				1,929,770
INDIA — 8.4%
ACC, Ltd.		5,064		139,954
Adani Ports & Special Economic Zone, Ltd.		78,724		501,618
Ambuja Cements, Ltd.		64,796		275,366
Ashok Leyland, Ltd.		124,370		233,239
Asian Paints, Ltd.		31,235		567,664
Aurobindo Pharma, Ltd.		28,214		303,634
Axis Bank, Ltd.		181,340		1,598,684
Bajaj Auto, Ltd.		9,077		473,813
Bajaj Finance, Ltd.		18,149		500,446
Bajaj Finserv, Ltd.		4,138		339,325
Bharat Forge, Ltd.		23,132		264,236
Bharat Heavy Electricals, Ltd.		91,879		133,369
Bharat Petroleum Corp., Ltd.		82,331		667,523
Bharti Airtel, Ltd.		129,890		1,079,983
Bharti Infratel, Ltd.		71,857		426,847
Bosch, Ltd.		792		249,211
Britannia Industries, Ltd.		3,249		240,017
Cadila Healthcare, Ltd.		21,302		145,112
Cipla, Ltd.		37,074		352,574
Coal India, Ltd.		73,365		302,299
Container Corp. Of India, Ltd.		4,453		96,549
Dabur India, Ltd.		59,004		323,319
Dr Reddy’s Laboratories, Ltd. ADR		1,119		42,030
Dr Reddy’s Laboratories, Ltd.		11,487		434,491
Eicher Motors, Ltd.		1,446		687,596
GAIL India, Ltd.		43,512		341,470
GAIL India, Ltd. GDR		1,917		91,153
Glenmark Pharmaceuticals, Ltd.		16,028		149,426
Godrej Consumer Products, Ltd.		26,349		412,816
Grasim Industries, Ltd.		35,653		650,834
Havells India, Ltd.		27,370		240,950
HCL Technologies, Ltd.		61,134		858,141
Hero MotoCorp, Ltd.		5,418		323,157
Hindalco Industries, Ltd.		126,701		544,202
Hindustan Petroleum Corp., Ltd.		67,205		441,172
Hindustan Unilever, Ltd.		70,977		1,514,840
Housing Development Finance Corp., Ltd.		164,806		4,416,602
ICICI Bank, Ltd. ADR		10,702		104,130
ICICI Bank, Ltd.		238,278		1,173,144
Idea Cellular, Ltd. (a)		159,267		270,363
IDFC Bank, Ltd.		158,938		134,964
Indiabulls Housing Finance, Ltd.		34,523		645,270
Indian Oil Corp., Ltd.		63,011		383,974
Infosys, Ltd. ADR		2,607		42,286
Infosys, Ltd.		175,791		2,867,767
ITC, Ltd.		368,529		1,519,960
JSW Steel, Ltd.		91,696		388,534
Larsen & Toubro, Ltd. GDR		8,125		157,219
Larsen & Toubro, Ltd.		44,061		870,762
LIC Housing Finance, Ltd.		32,033		282,803
Lupin, Ltd.		24,007		333,640
Mahindra & Mahindra Financial Services, Ltd.		30,712		227,282
Mahindra & Mahindra, Ltd. GDR		6,767		157,671
Mahindra & Mahindra, Ltd.		68,113		801,957
Marico, Ltd.		48,755		245,427
Maruti Suzuki India, Ltd.		11,420		1,741,837
Motherson Sumi Systems, Ltd.		67,613		402,008
Nestle India, Ltd.		2,494		306,772

See accompanying notes to financial statements.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
NTPC, Ltd.		181,415	$	501,234
Oil & Natural Gas Corp., Ltd.		139,294		425,668
Petronet LNG, Ltd.		51,095		203,491
Piramal Enterprises, Ltd.		8,427		378,127
Power Finance Corp., Ltd.		65,689		125,044
Reliance Industries, Ltd. GDR (b)		5,825		166,304
Reliance Industries, Ltd.		270,265		3,895,983
Rural Electrification Corp., Ltd.		75,115		183,470
Shree Cement, Ltd.		903		255,787
Shriram Transport Finance Co., Ltd.		15,929		367,607
Siemens, Ltd.		8,143		158,835
State Bank of India		157,462		764,768
State Bank of India GDR		2,954		143,860
Sun Pharmaceutical Industries, Ltd.		103,982		928,511
Tata Consultancy Services, Ltd.		50,136		2,120,829
Tata Motors, Ltd. ADR (a)		1,291		42,693
Tata Motors, Ltd. (a)		42,282		161,503
Tata Motors, Ltd. (a)		165,512		1,118,151
Tata Power Co., Ltd.		115,506		169,022
Tata Steel, Ltd.		21,865		250,414
Tata Steel, Ltd. GDR		10,534		120,088
Tech Mahindra, Ltd.		50,172		396,094
Titan Co., Ltd.		33,437		449,660
UltraTech Cement, Ltd.		9,529		645,386
United Spirits, Ltd. (a)		6,273		360,994
UPL, Ltd.		39,212		468,130
Vakrangee, Ltd.		23,108		151,694
Vakrangee, Ltd. (a) (e)		21,838		143,785
Vedanta, Ltd.		152,646		790,523
Vedanta, Ltd. ADR		2,124		44,243
Wipro, Ltd. ADR		18,541		101,419
Wipro, Ltd.		86,221		421,463
Yes Bank, Ltd.		183,478		905,784
Zee Entertainment Enterprises, Ltd.		57,360		522,398
				51,304,394
INDONESIA — 2.2%
Adaro Energy Tbk PT		1,562,200		214,166
AKR Corporindo Tbk PT		209,700		98,146
Astra International Tbk PT		2,188,900		1,339,073
Bank Central Asia Tbk PT		1,065,000		1,719,071
Bank Danamon Indonesia Tbk PT		371,500		190,302
Bank Mandiri Persero Tbk PT		2,021,100		1,191,730
Bank Negara Indonesia Persero Tbk PT		809,600		590,753
Bank Rakyat Indonesia Persero Tbk PT		5,997,200		1,608,978
Bank Tabungan Negara Persero Tbk PT		468,600		123,302
Bumi Serpong Damai Tbk PT		811,500		101,681
Charoen Pokphand Indonesia Tbk PT		830,600		183,660
Gudang Garam Tbk PT		51,700		319,326
Hanjaya Mandala Sampoerna Tbk PT		1,000,900		348,941
Indocement Tunggal Prakarsa Tbk PT		198,300		320,817
Indofood CBP Sukses Makmur Tbk PT		244,000		160,059
Indofood Sukses Makmur Tbk PT		471,100		264,761
Jasa Marga Persero Tbk PT		247,489		116,744
Kalbe Farma Tbk PT		2,267,100		282,395
Matahari Department Store Tbk PT		281,000		207,113
Pakuwon Jati Tbk PT		2,464,100		124,408
Perusahaan Gas Negara Persero Tbk		1,245,900		160,702
Semen Indonesia Persero Tbk PT		321,100		234,302
Surya Citra Media Tbk PT		683,500		124,937
Telekomunikasi Indonesia Persero Tbk PT		5,442,900		1,781,203
Tower Bersama Infrastructure Tbk PT		224,500		106,314
Unilever Indonesia Tbk PT		165,500		681,883
United Tractors Tbk PT		181,600		473,826
Waskita Karya Persero Tbk PT		568,400		92,586
XL Axiata Tbk PT (a)		351,500		76,686
				13,237,865
MALAYSIA — 2.3%
AirAsia Bhd		175,800		145,523
Alliance Bank Malaysia Bhd		98,800		99,606
AMMB Holdings Bhd		180,000		196,145
Astro Malaysia Holdings Bhd		175,300		114,788
Axiata Group Bhd		295,493		400,854
British American Tobacco Malaysia Bhd		16,200		160,119
CIMB Group Holdings Bhd		497,278		803,607
Dialog Group Bhd		335,800		208,267
DiGi.Com Bhd		336,900		424,559
Felda Global Ventures Holdings Bhd		158,000		65,980
Gamuda Bhd		185,400		227,226
Genting Bhd		247,900		563,548
Genting Malaysia Bhd		327,400		455,464
Genting Plantations Bhd		23,600		61,231
HAP Seng Consolidated Bhd		63,800		150,553
Hartalega Holdings Bhd		70,000		184,729
Hong Leong Bank Bhd		71,200		299,086
Hong Leong Financial Group Bhd		23,900		105,592
IHH Healthcare Bhd		223,600		323,770
IJM Corp. Bhd		311,600		234,836
IOI Corp. Bhd		244,000		273,724
IOI Properties Group Bhd		196,525		89,837
Kuala Lumpur Kepong Bhd		51,600		318,755
Malayan Banking Bhd		463,316		1,121,941
Malaysia Airports Holdings Bhd		85,700		186,139
Maxis Bhd		209,400		310,970
MISC Bhd		144,600		265,118
Nestle Malaysia Bhd		6,400		163,202
Petronas Chemicals Group Bhd		264,200		502,679
Petronas Dagangan Bhd		28,500		170,845
Petronas Gas Bhd		74,500		321,784
PPB Group Bhd		53,600		228,333

See accompanying notes to financial statements.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Press Metal Aluminium Holdings Bhd		148,700	$	198,046
Public Bank Bhd		314,600		1,615,366
RHB Capital Bhd		81,910		101,198
Sapura Energy Bhd		400,000		70,175
Sime Darby Bhd		262,969		143,603
Sime Darby Plantation Bhd (a)		262,969		389,872
Sime Darby Property Bhd (a)		262,969		115,662
SP Setia Bhd Group		131,480		129,953
Telekom Malaysia Bhd		127,600		198,636
Tenaga Nasional Bhd		367,100		1,384,222
UMW Holdings Bhd (a)		50,300		64,631
Westports Holdings Bhd		109,900		100,477
YTL Corp. Bhd		453,696		153,586
YTL Power International Bhd		256,938		81,900
				13,926,137
MEXICO — 2.9%
Alfa SAB de CV Class A		325,840		360,555
America Movil SAB de CV Series L		3,647,921		3,158,405
Arca Continental SAB de CV		47,900		333,321
Cemex SAB de CV Series CPO (a)		1,594,417		1,198,736
Coca-Cola Femsa SAB de CV Series L		55,500		389,072
El Puerto de Liverpool SAB de CV Series C1(c)		19,300		122,653
Fibra Uno Administracion SA de CV REIT		327,058		486,270
Fomento Economico Mexicano SAB de CV		212,280		2,006,437
Gentera SAB de CV		108,500		90,613
Gruma SAB de CV Class B		23,495		299,429
Grupo Aeroportuario del Pacifico SAB de CV Class B		38,300		395,420
Grupo Aeroportuario del Sureste SAB de CV Class B		22,950		420,702
Grupo Bimbo SAB de CV Series A		182,915		407,329
Grupo Carso SAB de CV Series A1		49,200		162,923
Grupo Financiero Banorte SAB de CV Series O		269,803		1,488,326
Grupo Financiero Inbursa SAB de CV Series O		244,626		402,469
Grupo Financiero Santander Mexico SAB de CV Class B		195,591		287,406
Grupo Lala SAB de CV (c)		64,600		91,260
Grupo Mexico SAB de CV Series B		412,636		1,369,372
Grupo Televisa SAB Series CPO		264,829		996,890
Industrias Penoles SAB de CV		14,920		313,339
Infraestructura Energetica Nova SAB de CV		58,300		286,650
Kimberly-Clark de Mexico SAB de CV Class A		165,689		293,177
Mexichem SAB de CV		113,210		281,615
Promotora y Operadora de Infraestructura SAB de CV		24,855		246,791
Wal-Mart de Mexico SAB de CV		566,394		1,395,902
				17,285,062
PAKISTAN — 0.1%
Habib Bank, Ltd.		58,100		87,974
Lucky Cement, Ltd.		12,800		60,017
MCB Bank, Ltd.		48,800		93,894
Oil & Gas Development Co., Ltd.		76,400		112,706
United Bank, Ltd.		48,500		82,615
				437,206
PERU — 0.4%
Cia de Minas Buenaventura SAA ADR		20,500		288,640
Credicorp, Ltd.		7,400		1,534,982
Southern Copper Corp.		9,167		434,974
				2,258,596
PHILIPPINES — 1.1%
Aboitiz Equity Ventures, Inc.		214,690		318,250
Aboitiz Power Corp.		150,600		125,349
Alliance Global Group, Inc. (a)		457,100		146,507
Ayala Corp.		26,975		548,470
Ayala Land, Inc.		798,400		713,314
Bank of the Philippine Islands		81,790		177,113
BDO Unibank, Inc.		213,209		700,446
DMCI Holdings, Inc.		443,930		128,057
Globe Telecom, Inc.		3,395		129,217
GT Capital Holdings, Inc.		8,995		232,803
International Container Terminal Services, Inc.		53,670		113,425
JG Summit Holdings, Inc.		315,710		455,983
Jollibee Foods Corp.		47,570		241,090
Manila Electric Co.		25,860		170,224
Megaworld Corp.		1,275,800		131,874
Metro Pacific Investments Corp.		1,540,300		211,359
Metropolitan Bank & Trust Co.		72,180		146,616
PLDT, Inc.		9,391		278,419
Robinsons Land Corp.		197,200		84,142
Security Bank Corp.		25,200		126,909
SM Investments Corp.		26,490		525,343
SM Prime Holdings, Inc.		939,500		705,754
Universal Robina Corp.		96,220		291,050
				6,701,714
POLAND — 1.3%
Alior Bank SA (a)		10,032		229,522
Bank Handlowy w Warszawie SA		3,954		93,172
Bank Millennium SA (a)		63,394		163,101
Bank Pekao SA		17,085		636,729
Bank Zachodni WBK SA		3,712		423,299
CCC SA		3,225		264,512
CD Projekt SA		6,922		193,230
Cyfrowy Polsat SA		24,629		176,205
Dino Polska SA (a) (b)		5,424		123,003
Grupa Azoty SA		4,738		94,902
Grupa Lotos SA		10,561		175,368

See accompanying notes to financial statements.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Jastrzebska Spolka Weglowa SA (a)		5,438	$	150,661
KGHM Polska Miedz SA		15,420		493,468
LPP SA		139		356,420
mBank SA (a)		1,659		222,008
Orange Polska SA (a)		77,570		129,254
PGE Polska Grupa Energetyczna SA (a)		90,233		312,912
PLAY Communications SA (a) (b)		11,270		109,658
Polski Koncern Naftowy ORLEN SA		32,424		989,106
Polskie Gornictwo Naftowe i Gazownictwo SA		191,154		346,022
Powszechna Kasa Oszczednosci Bank Polski SA (a)		101,450		1,293,671
Powszechny Zaklad Ubezpieczen SA		65,510		794,838
Tauron Polska Energia SA (a)		109,548		96,156
				7,867,217
QATAR — 0.6%
Barwa Real Estate Co.		11,610		103,285
Commercial Bank PQSC (a)		21,835		173,865
Doha Bank QPSC		17,640		137,555
Ezdan Holding Group QSC		85,403		288,194
Industries Qatar QSC		16,761		451,010
Masraf Al Rayan QSC		40,583		413,407
Ooredoo QSC		8,725		218,005
Qatar Electricity & Water Co. QSC		3,133		155,704
Qatar Gas Transport Co., Ltd.		27,940		123,436
Qatar Insurance Co. SAQ		14,602		215,301
Qatar Islamic Bank SAQ		6,765		182,035
Qatar National Bank QPSC		25,015		872,228
				3,334,025
ROMANIA — 0.1%
NEPI Rockcastle PLC		40,725		702,556
RUSSIA — 3.2%
Alrosa PJSC		272,456		354,843
Gazprom PAO		1,161,478		2,618,060
Inter RAO UES PJSC		3,310,928		193,464
LUKOIL PJSC		46,367		2,669,447
Magnit PJSC GDR		2,000		54,700
Magnit PJSC		9,091		1,000,351
Magnitogorsk Iron & Steel Works PJSC		242,500		176,701
MMC Norilsk Nickel PJSC		6,848		1,289,994
Mobile TeleSystems PJSC ADR		45,670		465,377
Mobile TeleSystems PJSC		18,473		88,769
Moscow Exchange MICEX-RTS PJSC		160,981		303,668
Novatek PJSC		101,850		1,192,028
Novolipetsk Steel PJSC		129,153		330,806
PhosAgro PJSC GDR		12,128		186,165
Polyus PJSC		2,782		219,868
Rosneft Oil Co. PJSC		126,461		638,552
RushHydro PJSC		12,188,000		154,349
Sberbank of Russia PJSC		1,175,154		4,596,820
Severstal PJSC		23,340		361,464
Surgutneftegas OJSC Preference Shares (a)		741,600		361,388
Surgutneftegas OJSC		765,100		368,853
Tatneft PJSC		166,766		1,371,872
Transneft PJSC Preference Shares		52		160,775
VTB Bank PJSC		571,290,000		468,458
				19,626,772
SOUTH AFRICA — 6.8%
Anglo American Platinum, Ltd. (a)		6,209		177,272
AngloGold Ashanti, Ltd.		45,197		469,567
Aspen Pharmacare Holdings, Ltd.		42,029		942,088
Barclays Africa Group, Ltd.		73,427		1,079,401
Bid Corp., Ltd.		36,350		883,763
Bidvest Group, Ltd.		36,389		641,040
Brait SE (a)(c)		38,117		128,268
Capitec Bank Holdings, Ltd.		4,401		390,317
Coronation Fund Managers, Ltd.		23,914		142,750
Discovery, Ltd.		38,616		580,176
Exxaro Resources, Ltd.		26,299		345,201
FirstRand, Ltd.		363,796		1,976,194
Fortress REIT, Ltd. Class A,		110,128		165,103
Fortress REIT, Ltd. Class B,		88,328		301,086
Foschini Group, Ltd.		24,314		387,551
Gold Fields, Ltd.		88,013		384,612
Growthpoint Properties, Ltd. REIT		235,287		525,690
Hyprop Investments, Ltd.		26,846		254,365
Imperial Holdings, Ltd.		16,416		347,600
Investec, Ltd.		29,666		214,995
Kumba Iron Ore, Ltd.		7,058		216,147
Liberty Holdings, Ltd.		13,571		136,401
Life Healthcare Group Holdings, Ltd.		143,455		321,557
MMI Holdings, Ltd.		104,070		176,532
Mondi, Ltd.		12,674		326,852
Mr. Price Group, Ltd.		26,316		520,517
MTN Group, Ltd.		185,119		2,042,589
Naspers, Ltd. Class N		47,659		13,285,235
Nedbank Group, Ltd.		24,349		503,698
Netcare, Ltd.		116,648		236,971
Pick n Pay Stores, Ltd.		37,863		212,742
Pioneer Foods Group, Ltd.		14,297		158,306
PSG Group, Ltd.		9,608		209,544
Rand Merchant Investment Holdings, Ltd.		74,644		276,750
Redefine Properties, Ltd. REIT		555,461		480,083
Remgro, Ltd.		57,303		1,092,367
Resilient REIT, Ltd.		32,226		393,480
RMB Holdings, Ltd.		75,704		484,126
Sanlam, Ltd.		152,462		1,071,421
Sappi, Ltd.		60,236		435,470
Sasol, Ltd.		60,433		2,090,162
Shoprite Holdings, Ltd.		48,758		871,146
Sibanye Gold, Ltd.		189,325		241,932
SPAR Group, Ltd.		21,046		345,661
Standard Bank Group, Ltd.		141,261		2,232,563

See accompanying notes to financial statements.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Steinhoff International Holdings NV		324,262	$	121,795
Telkom SA SOC, Ltd.		26,589		103,349
Tiger Brands, Ltd. (c)		17,712		658,120
Truworths International, Ltd.		47,575		363,038
Vodacom Group, Ltd.		65,313		768,562
Woolworths Holdings, Ltd.		108,081		570,175
				41,284,330
SOUTH KOREA — 14.9%
Amorepacific Corp.		3,482		990,397
Amorepacific Corp. Preference Shares		920		142,656
AMOREPACIFIC Group		3,132		412,509
BGF retail Co., Ltd. (a)		940		184,391
BNK Financial Group, Inc.		28,050		246,818
Celltrion Healthcare Co., Ltd. (a)		3,798		385,281
Celltrion, Inc. (a) (c)		8,782		1,813,741
Cheil Worldwide, Inc. (a)		7,200		142,581
CJ CheilJedang Corp.		850		290,598
CJ Corp.		1,570		266,176
CJ E&M Corp.		2,105		192,105
CJ Logistics Corp. (a)		835		109,196
Coway Co., Ltd.		5,788		528,222
Daelim Industrial Co., Ltd.		3,061		235,605
Daewoo Engineering & Construction Co., Ltd.(a)		14,196		78,502
DB Insurance Co., Ltd.		5,387		358,278
DGB Financial Group, Inc.		17,554		172,990
Dongsuh Cos., Inc.		3,452		93,833
Doosan Bobcat, Inc.		3,911		130,787
Doosan Heavy Industries & Construction Co., Ltd.		6,241		89,486
E-MART, Inc.		2,269		574,377
GS Engineering & Construction Corp. (a)		5,455		144,203
GS Holdings Corp.		5,465		317,522
GS Retail Co., Ltd.		3,214		120,988
Hana Financial Group, Inc.		32,004		1,488,767
Hankook Tire Co., Ltd.		8,210		418,725
Hanmi Pharm Co., Ltd. (a)		693		378,041
Hanmi Science Co., Ltd. (a)		1,359		140,908
Hanon Systems		20,794		269,989
Hanssem Co., Ltd.		1,170		196,721
Hanwha Chemical Corp. (a)		11,601		342,433
Hanwha Corp.		5,038		195,299
Hanwha Life Insurance Co., Ltd.		28,486		183,866
Hanwha Techwin Co., Ltd. (a)		4,274		141,928
Hotel Shilla Co., Ltd.		3,430		272,016
Hyosung Corp.		2,260		294,494
Hyundai Construction Equipment Co., Ltd. (a)		2		316
Hyundai Department Store Co., Ltd.		1,567		152,960
Hyundai Development Co-Engineering & Construction		6,756		243,280
Hyundai Engineering & Construction Co., Ltd.		8,480		287,538
Hyundai Glovis Co., Ltd.		2,018		256,362
Hyundai Heavy Industries Co., Ltd. (a)		3,456		324,439
Hyundai Marine & Fire Insurance Co., Ltd.		6,739		295,860
Hyundai Mobis Co., Ltd.		7,358		1,807,626
Hyundai Motor Co.		16,817		2,450,565
Hyundai Motor Co. Preference Shares (f)		4,033		384,257
Hyundai Motor Co. Preference Shares (f)		2,676		234,217
Hyundai Robotics Co., Ltd. (a)		1,027		365,501
Hyundai Steel Co.		8,821		482,846
Hyundai Wia Corp.		1,902		115,483
Industrial Bank of Korea (a)		27,380		420,719
ING Life Insurance Korea, Ltd. (b)		3,722		185,657
Kakao Corp.		3,596		460,186
Kangwon Land, Inc.		12,438		404,318
KB Financial Group, Inc. (a)		43,310		2,564,900
KCC Corp.		649		230,974
KEPCO Plant Service & Engineering Co., Ltd.		2,320		87,985
Kia Motors Corp.		28,547		893,302
Korea Aerospace Industries, Ltd.		7,305		323,780
Korea Electric Power Corp. (a)		27,809		990,998
Korea Gas Corp. (a)		3,203		127,306
Korea Investment Holdings Co., Ltd.		4,289		276,438
Korea Zinc Co., Ltd.		942		433,801
Korean Air Lines Co., Ltd. (a)		5,215		164,894
KT Corp.		3,240		91,551
KT&G Corp.		12,760		1,376,657
Kumho Petrochemical Co., Ltd.		2,053		190,812
LG Chem, Ltd. (a)		5,010		1,895,334
LG Chem, Ltd. Preference Shares		842		195,841
LG Corp.		10,283		874,086
LG Display Co., Ltd. (a)		25,221		704,412
LG Electronics, Inc. (a)		11,523		1,140,944
LG Household & Health Care, Ltd.		1,026		1,139,521
LG Household & Health Care, Ltd. Preference Shares		234		152,568
LG Innotek Co., Ltd.		1,539		207,011
Lotte Chemical Corp.		1,674		575,435
Lotte Corp.		3,725		226,517
Lotte Shopping Co., Ltd.		1,225		227,710
Medy-Tox, Inc.		458		207,449
Mirae Asset Daewoo Co., Ltd.		39,112		335,752
NAVER Corp.		3,055		2,482,696
NCSoft Corp.		1,902		795,054
Netmarble Games Corp. (a) (b)		1,889		332,611
NH Investment & Securities Co., Ltd.		16,027		208,094
OCI Co., Ltd.		1,730		219,775
Orion Corp/Republic of Korea (a)		2,265		221,094
Ottogi Corp.		123		92,605
Pan Ocean Co., Ltd. (a)		24,124		118,755
POSCO		8,081		2,509,862
Posco Daewoo Corp.		4,545		77,056

See accompanying notes to financial statements.

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
S-1 Corp. (a)		1,915	$	191,402
Samsung Biologics Co., Ltd. (a) (b)		1,795		622,059
Samsung C&T Corp.		8,143		958,403
Samsung Card Co., Ltd.		3,365		124,472
Samsung Electro-Mechanics Co., Ltd.		6,080		567,932
Samsung Electronics Co., Ltd. Preference Shares		1,897		3,703,452
Samsung Electronics Co., Ltd.		10,580		25,181,299
Samsung Fire & Marine Insurance Co., Ltd.		3,337		832,263
Samsung Heavy Industries Co., Ltd. (a)		27,249		186,572
Samsung Life Insurance Co., Ltd.		7,584		881,984
Samsung SDI Co., Ltd. (a)		5,954		1,137,353
Samsung SDS Co., Ltd.		3,775		705,245
Samsung Securities Co., Ltd.		6,974		238,427
Shinhan Financial Group Co., Ltd.		46,561		2,148,534
Shinsegae, Inc.		775		217,178
SillaJen, Inc. (a)		5,641		492,675
SK Holdings Co., Ltd.		3,430		906,721
SK Hynix, Inc. (a)		63,415		4,531,547
SK Innovation Co., Ltd.		7,001		1,337,354
SK Networks Co., Ltd.		14,664		91,089
SK Telecom Co., Ltd.		2,191		546,445
S-Oil Corp.		4,888		534,208
Woori Bank		40,340		593,485
Yuhan Corp.		979		200,272
				90,840,510
TAIWAN — 11.0%
Acer, Inc.		305,000		247,518
Advanced Semiconductor Engineering, Inc.		726,615		931,511
Advantech Co., Ltd.		37,098		262,417
Airtac International Group		13,000		233,715
Asia Cement Corp.		256,000		242,593
Asia Pacific Telecom Co., Ltd. (a)		240,000		80,488
Asustek Computer, Inc.		77,000		723,205
AU Optronics Corp.		958,000		399,187
Catcher Technology Co., Ltd.		71,000		782,566
Cathay Financial Holding Co., Ltd.		882,000		1,585,665
Chailease Holding Co., Ltd.		134,000		389,952
Chang Hwa Commercial Bank, Ltd.		506,688		281,791
Cheng Shin Rubber Industry Co., Ltd.		210,000		370,482
Chicony Electronics Co., Ltd.		62,476		157,458
China Airlines, Ltd. (a)		279,000		109,224
China Development Financial Holding Corp.		1,464,000		499,340
China Life Insurance Co., Ltd.		276,608		278,388
China Steel Corp.		1,363,000		1,133,601
Chunghwa Telecom Co., Ltd.		416,000		1,481,795
Compal Electronics, Inc.		451,000		322,809
CTBC Financial Holding Co., Ltd.		1,898,040		1,307,520
Delta Electronics, Inc.		211,000		1,017,474
E.Sun Financial Holding Co., Ltd.		1,009,660		641,248
Eclat Textile Co., Ltd.		19,550		195,444
Eva Airways Corp.		243,888		129,900
Evergreen Marine Corp. Taiwan, Ltd. (a)		202,726		111,382
Far Eastern New Century Corp.		358,000		322,409
Far EasTone Telecommunications Co., Ltd.		176,000		434,699
Feng TAY Enterprise Co., Ltd.		37,880		172,480
First Financial Holding Co., Ltd.		993,377		652,604
Formosa Chemicals & Fibre Corp.		317,000		1,097,199
Formosa Petrochemical Corp.		147,000		570,543
Formosa Plastics Corp.		452,000		1,499,148
Formosa Taffeta Co., Ltd.		88,000		92,558
Foxconn Technology Co., Ltd.		99,830		285,818
Fubon Financial Holding Co., Ltd.		720,000		1,226,675
General Interface Solution Holding, Ltd.		18,000		120,369
Giant Manufacturing Co., Ltd.		33,000		181,310
Globalwafers Co., Ltd.		24,000		320,581
Highwealth Construction Corp.		82,000		116,558
Hiwin Technologies Corp.		21,807		235,961
Hon Hai Precision Industry Co., Ltd.		1,698,000		5,432,048
Hotai Motor Co., Ltd.		29,000		344,977
HTC Corp. (a)		75,000		184,233
Hua Nan Financial Holdings Co., Ltd.		768,813		432,737
Innolux Corp.		989,000		412,104
Inventec Corp.		275,000		219,475
Largan Precision Co., Ltd.		11,000		1,485,962
Lite-On Technology Corp.		225,958		308,278
Macronix International (a)		189,000		280,720
MediaTek, Inc.		164,000		1,620,243
Mega Financial Holding Co., Ltd.		1,179,000		952,835
Micro-Star International Co., Ltd.		75,000		193,054
Nan Ya Plastics Corp.		515,000		1,348,136
Nanya Technology Corp.		72,000		184,364
Nien Made Enterprise Co., Ltd.		16,000		170,976
Novatek Microelectronics Corp.		62,000		236,470
Pegatron Corp.		211,000		510,510
Phison Electronics Corp.		17,000		166,809
Pou Chen Corp.		240,000		310,903
Powertech Technology, Inc.		78,000		230,657
President Chain Store Corp.		62,000		591,697
Quanta Computer, Inc.		293,000		609,463
Realtek Semiconductor Corp.		52,000		190,467
Ruentex Development Co., Ltd. (a)		110,400		118,530
Ruentex Industries, Ltd.		57,000		96,920
Shin Kong Financial Holding Co., Ltd.		884,000		311,911
Siliconware Precision Industries Co., Ltd.		220,000		371,860
SinoPac Financial Holdings Co., Ltd.		1,139,586		370,308
Standard Foods Corp.		66,512		165,394
Synnex Technology International Corp.		147,700		201,261

See accompanying notes to financial statements.

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
TaiMed Biologics, Inc. (a)		19,000	$	118,118
Taishin Financial Holding Co., Ltd.		1,043,892		485,841
Taiwan Business Bank		388,516		109,537
Taiwan Cement Corp.		398,000		487,494
Taiwan Cooperative Financial Holding Co., Ltd.		873,445		487,228
Taiwan High Speed Rail Corp.		187,000		147,672
Taiwan Mobile Co., Ltd.		174,000		628,560
Taiwan Semiconductor Manufacturing Co., Ltd.		2,678,000		20,652,956
Teco Electric and Machinery Co., Ltd.		209,000		200,161
Uni-President Enterprises Corp.		523,000		1,159,938
United Microelectronics Corp.		1,301,000		620,804
Vanguard International Semiconductor Corp.		94,000		208,478
Win Semiconductors Corp.		36,000		342,356
Winbond Electronics Corp.		305,000		240,343
Wistron Corp.		278,882		224,448
WPG Holdings, Ltd.		175,000		231,699
Yageo Corp.		22,000		260,967
Yuanta Financial Holding Co., Ltd.		1,108,000		513,816
Zhen Ding Technology Holding, Ltd.		47,000		103,449
				66,522,752
THAILAND — 2.2%
Advanced Info Service PCL (e)		112,900		661,672
Airports of Thailand PCL (e)		464,200		968,567
Bangkok Bank PCL		12,400		83,326
Bangkok Bank PCL NVDR		14,000		86,775
Bangkok Dusit Medical Services PCL (e)		418,500		268,384
Bangkok Expressway & Metro PCL (e)		780,599		184,431
Banpu PCL (e)		233,700		139,833
Berli Jucker PCL (e)		131,600		266,511
BTS Group Holdings PCL (e)		664,284		169,179
Bumrungrad Hospital PCL (e)		39,000		226,174
Central Pattana PCL (e)		144,600		378,249
Charoen Pokphand Foods PCL (e)		325,100		239,411
CP ALL PCL (e)		534,500		1,262,857
Delta Electronics Thailand PCL (e)		55,300		124,294
Electricity Generating PCL (e)		14,000		92,789
Energy Absolute PCL (e)		117,800		189,767
Glow Energy PCL (e)		57,400		143,104
Home Product Center PCL (e)		437,600		171,871
Indorama Ventures PCL (e)		162,900		266,168
IRPC PCL (e)		1,135,600		245,658
Kasikornbank PCL		124,300		911,559
Kasikornbank PCL		83,900		597,263
KCE Electronics PCL (e)		29,100		73,888
Krung Thai Bank PCL (e)		390,800		230,235
Minor International PCL (e)		232,400		311,982
PTT Exploration & Production PCL (e)		146,700		450,138
PTT Exploration & Production PCL NVDR		7,100		21,786
PTT Global Chemical PCL (e)		239,000		623,351
PTT Global Chemical PCL NVDR		8,100		21,126
PTT PCL (e)		114,200		1,541,823
Robinson PCL (e)		50,800		113,790
Siam Cement PCL		46,450		698,389
Siam Commercial Bank PCL (e)		198,600		914,084
Thai Oil PCL (e)		117,800		374,112
Thai Oil PCL NVDR		6,300		20,008
Thai Union Group PCL Class F (e)		212,900		130,000
TMB Bank PCL (e)		1,388,800		128,695
True Corp. PCL (a) (e)		1,106,037		210,415
				13,541,664
TURKEY — 1.0%
Akbank Turk AS		240,215		624,042
Anadolu Efes Biracilik Ve Malt Sanayii A/S		21,564		137,633
Arcelik A/S		27,503		156,099
Aselsan Elektronik Sanayi Ve Ticaret A/S		21,979		184,337
BIM Birlesik Magazalar A/S		23,408		482,162
Coca-Cola Icecek A/S		8,063		72,770
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT (a)		195,088		144,582
Eregli Demir ve Celik Fabrikalari TAS		149,956		396,286
Ford Otomotiv Sanayi A/S		7,319		116,302
Haci Omer Sabanci Holding A/S		99,795		292,679
KOC Holding A/S		81,512		397,284
Petkim Petrokimya Holding A/S		71,953		147,451
TAV Havalimanlari Holding A/S		17,198		101,874
Tofas Turk Otomobil Fabrikasi A/S		14,483		126,129
Tupras Turkiye Petrol Rafinerileri A/S		13,814		442,663
Turk Hava Yollari AO (a)		61,347		253,860
Turk Telekomunikasyon A/S (a)		54,130		91,939
Turkcell Iletisim Hizmetleri A/S		121,177		494,730
Turkiye Garanti Bankasi A/S		250,540		708,352
Turkiye Halk Bankasi A/S		67,517		191,959
Turkiye Is Bankasi Class C		170,790		313,959
Turkiye Sise ve Cam Fabrikalari A/S		79,336		98,344
Turkiye Vakiflar Bankasi TAO		82,683		147,633
Ulker Biskuvi Sanayi A/S		18,155		94,184
Yapi ve Kredi Bankasi A/S (a)		96,852		110,860
				6,328,113
UNITED ARAB EMIRATES — 0.6%
Abu Dhabi Commercial Bank PJSC		230,743		427,209
Aldar Properties PJSC		344,389		206,288
DAMAC Properties Dubai Co. PJSC		197,091		177,086

See accompanying notes to financial statements.

13

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
DP World, Ltd.		17,543	$	438,575
Dubai Investments PJSC		144,834		95,037
Dubai Islamic Bank PJSC		134,116		226,034
DXB Entertainments PJSC (a)		334,886		57,899
Emaar Malls PJSC		228,012		132,233
Emaar Properties PJSC		380,352		718,700
Emirates Telecommunications Group Co. PJSC		188,437		897,857
First Abu Dhabi Bank PJSC		157,096		438,421
				3,815,339
TOTAL COMMON STOCKS (Cost $432,690,644)				589,915,564
SHORT-TERM INVESTMENTS — 3.5%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (g) (h)		16,356,427		16,356,427
State Street Navigator Securities Lending Government Money Market Portfolio (g) (i)		5,074,039		5,074,039
TOTAL SHORT-TERM INVESTMENTS (Cost $21,430,466)				21,430,466
TOTAL INVESTMENTS — 100.6% (Cost $454,121,110)				611,346,030
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)%				(3,399,455	)
NET ASSETS — 100.0%			$	607,946,575

(a) Non-income producing security.

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) All or a portion of the shares of the security are on loan at December 31, 2017.

(d) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Fund’s net assets.

(e) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of December 31, 2017, total aggregate fair value of securities is $11,245,217, representing 1.8% of net assets.

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

(g) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(h) The rate shown is the annualized seven-day yield at December 31, 2017.

(i) Investment of cash collateral for securities loaned.

ADR = American Depositary Receipt

GDR = Global Depositary Receipt

NVDR = Non Voting Depositary Receipt

REIT = Real Estate Investment Trust

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
Mini MSCI Emerging Markets (long)		03/16/2018		305	$	16,892,444	$	17,746,425	$	853,981

During the period ended December 31, 2017, average notional value related to futures contracts was $15,030,833 or 2% of net assets.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs			Total
ASSETS:
INVESTMENTS:
Common Stocks
Brazil	$	40,179,484	$	—	$	—		$	40,179,484
Chile		7,424,775		—		—			7,424,775
China		171,287,773		—		0	(a)		171,287,773

See accompanying notes to financial statements.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Colombia	$	2,419,702	$	—	$	—	$	2,419,702
Czech Republic		1,051,551		—		—		1,051,551
Egypt		673,488		—		—		673,488
Greece		1,963,280		—		—		1,963,280
Hong Kong		3,971,489		—		—		3,971,489
Hungary		1,929,770		—		—		1,929,770
India		51,160,609		143,785		—		51,304,394
Indonesia		13,237,865		—		—		13,237,865
Malaysia		13,926,137		—		—		13,926,137
Mexico		17,285,062		—		—		17,285,062
Pakistan		437,206		—		—		437,206
Peru		2,258,596		—		—		2,258,596
Philippines		6,701,714		—		—		6,701,714
Poland		7,867,217		—		—		7,867,217
Qatar		3,334,025		—		—		3,334,025
Romania		702,556		—		—		702,556
Russia		19,626,772		—		—		19,626,772
South Africa		41,284,330		—		—		41,284,330
South Korea		90,840,510		—		—		90,840,510
Taiwan		66,522,752		—		—		66,522,752
Thailand		2,440,232		11,101,432		—		13,541,664
Turkey		6,328,113		—		—		6,328,113
United Arab Emirates		3,815,339		—		—		3,815,339
Short-Term Investments		21,430,466		—		—		21,430,466
TOTAL INVESTMENTS	$	600,100,813	$	11,245,217	$	—	$	611,346,030
OTHER FINANCIAL INSTRUMENTS:
Futures Contracts (b)		853,981		—		—		853,981
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	600,954,794	$	11,245,217	$	—	$	612,200,011

(a) Fund held a Level 3 security that was valued at $0 at December 31, 2017.

(b) Futures Contracts are valued at unrealized appreciation (depreciation)

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	117,732,251	$	101,375,824	$	—	$	—		16,356,427	$	16,356,427	$	74,425	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		7,130,539		7,130,539		30,663,347		37,793,886		—		—		—		—		23,577		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		24,293,923		19,219,884		—		—		5,074,039		5,074,039		41,365		—
Total			$	7,130,539	$	172,689,521	$	158,389,594	$	—	$	—			$	21,430,466	$	139,367	$	—

See accompanying notes to financial statements.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

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STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value*	$	589,915,564
Investments in affiliated issuers, at value		21,430,466
Total Investments		611,346,030
Foreign currency, at value		3,004,059
Cash at broker		655,750
Cash		20,319
Receivable from broker — variation margin on open futures contracts		552,303
Receivable for fund shares sold		747,330
Dividends receivable — unaffiliated issuers		1,248,668
Dividends receivable — affiliated issuers		12,744
Securities lending income receivable — unaffiliated issuers		3,994
Securities lending income receivable — affiliated issuers		6,344
Receivable from Adviser		46,250
Receivable for foreign taxes recoverable		50,759
Prepaid expenses and other assets		105
TOTAL ASSETS		617,694,655
LIABILITIES
Payable upon return of securities loaned		5,074,039
Payable for investments purchased		3,177,683
Payable for fund shares repurchased		659,500
Deferred foreign taxes payable		640,280
Advisory fee payable		69,161
Custodian fees payable		55,572
Administration fees payable		24,702
Transfer agent fees payable		2,145
Registration and filing fees payable		5,708
Professional fees payable		29,596
Printing and postage fees payable		8,840
Accrued expenses and other liabilities		854
TOTAL LIABILITIES		9,748,080
NET ASSETS	$	607,946,575
NET ASSETS CONSIST OF:
Paid-in Capital	$	451,622,698
Undistributed (distribution in excess of) net investment income (loss)		(1,048,860	)
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts		(85,601	)
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers**		156,584,639
Foreign currency translations		19,718
Futures contracts		853,981
NET ASSETS	$	607,946,575
Class K
Net Assets	$	607,946,575
Shares Outstanding		42,047,797
Net asset value, offering and redemption price per share	$	14.46
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	432,690,644
Investments in affiliated issuers		21,430,466
Total cost of investments	$	454,121,110
Foreign currency, at cost	$	2,988,518
* Includes investments in securities on loan, at value	$	23,774,200
** Includes deferred foreign taxes	$	640,280

See accompanying notes to financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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STATEMENT OF OPERATIONS

For theYear Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated income	$	3,005
Dividend income — unaffiliated issuers		13,562,992
Dividend income — affiliated issuers		98,002
Unaffiliated securities lending income		21,698
Affiliated securities lending income		41,365
Foreign taxes withheld		(1,781,092	)
TOTAL INVESTMENT INCOME (LOSS)		11,945,970
EXPENSES
Advisory fee		695,392
Administration fees		248,354
Custodian fees		474,718
Trustees’ fees and expenses		28,866
Transfer agent fees		12,462
Registration and filing fees		44,668
Professional fees		59,546
Printing and postage fees		24,369
Insurance expense		901
Miscellaneous expenses		83,674
TOTAL EXPENSES		1,672,950
Expenses waived/reimbursed by the Adviser		(826,234	)
NET EXPENSES		846,716
NET INVESTMENT INCOME (LOSS)		11,099,254
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers*		4,479,523
Foreign currency transactions		110,430
Futures contracts		3,381,125
Net realized gain (loss)		7,971,078
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers**		131,360,571
Foreign currency translations		27,630
Futures contracts		1,008,339
Net change in unrealized appreciation/depreciation		132,396,540
NET REALIZED AND UNREALIZED GAIN (LOSS)		140,367,618
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	151,466,872
* Includes foreign capital gain taxes	$	(17,081	)
** Includes foreign deferred taxes	$	(453,379	)

See accompanying notes to financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

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STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	11,099,254		$	5,953,466
Net realized gain (loss)		7,971,078			(2,698,919	)
Net change in unrealized appreciation/depreciation		132,396,540			25,062,251
Net increase (decrease) in net assets resulting from operations		151,466,872			28,316,798
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Class K
Net investment income		(12,150,448	)		(7,284,652	)
Net realized gains		(2,816,731	)		(1,121,498	)
Total distributions to shareholders		(14,967,179	)		(8,406,150	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class K
Proceeds from sale of shares sold		201,363,121			261,800,037
Reinvestment of distributions		14,967,180			8,406,150
Cost of shares redeemed		(119,691,600	)		(81,116,142	)
Net increase (decrease) in net assets from beneficial interest transactions		96,638,701			189,090,045
Net increase (decrease) in net assets during the period		233,138,394			209,000,693
Net assets at beginning of period		374,808,181			165,807,488
NET ASSETS AT END OF PERIOD	$	607,946,575		$	374,808,181
Undistributed (distribution in excess of) net investment income (loss)	$	(1,048,860	)	$	(114,932	)
SHARES OF BENEFICIAL INTEREST:
Class K
Shares sold		15,292,001			25,354,524
Reinvestment of distributions		1,075,229			782,695
Shares redeemed		(8,963,314	)		(8,082,733	)
Net increase (decrease)		7,403,916			18,054,486

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			For the Period 12/21/15* - 12/31/15
Net asset value, beginning of period	$	10.82		$	9.99		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.29			0.21			0.02
Net realized and unrealized gain (loss)		3.72			0.87			(0.01	)
Total from investment operations		4.01			1.08			0.01
Distributions to shareholders from:
Net investment income		(0.30	)		(0.22	)		(0.02	)
Net realized gains		(0.07	)		(0.03	)		—
Total distributions		(0.37	)		(0.25	)		(0.02	)
Net asset value, end of period	$	14.46		$	10.82		$	9.99
Total return (b)		37.19	%		10.81	%		0.14	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	607,947		$	374,808		$	165,807
Ratios to Average Net Assets:
Total expenses		0.34	%		0.56	%		0.83	%(c)
Net expenses		0.17	%		0.18	%		0.17	%(c)
Net investment income (loss)		2.23	%		1.98	%		8.03	%(c)
Portfolio turnover rate		6	%		14	%		0	%(d)(e)

 * Commencement of operations.

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(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) Amount shown represents less than 0.5%.

(e) Not annualized.

See accompanying notes to financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements relate only to the following series (the “Fund”):

Fund	Classes	Commencement     of Operations	Diversification     Classification
State Street Emerging Markets Equity Index Fund	Class A	Not Commenced	Diversified
	Class I	Not Commenced	Diversified
	Class K	December 21, 2015	Diversified

Class K shares are sold without a sales charge and only to certain eligible investors.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Fund’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Fund’s investments.

The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Fund’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Fund had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Fund may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Trust. Class specific expenses are borne by each class.

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

As of December 31, 2017, the Fund’s NAV was impacted by adjustments to certain foreign tax accruals. The per share impact was less than $0.005 per share on August 17, 2017.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Derivative Financial Instruments

Futures Contracts

The Fund may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.

For the period ended December 31, 2017, the Fund entered into futures contracts for cash equitization, for return enhancement and to facilitate daily liquidity.

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2017, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts (a)	$	—	$	—	$	—	$	853,981	$	—	$	853,981

(a) Unrealized appreciation on open futures contracts. The Statement of Assets and Liabilities only reflect the current day’s net variation margin.

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	3,381,125	$	—	$	3,381,125
	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	1,008,339	$	—	$	1,008,339

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Fund pays the Adviser a management fee at an annual rate of 0.14% of its average daily net assets. The fees are accrued daily and paid monthly.

The Adviser is contractually obligated until April 30, 2018, 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 any class-specific expenses, such as distribution, shareholder servicing, administration and sub-transfer agency fees) exceed 0.12% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board. For the period ended December 31, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $826,234.

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (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. As of December 31, 2017, the Fund’s Class A shares have not commenced operations. In addition to payments under the Plan, the Fund may reimburse SSGA FD 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.

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Fund, acts as the securities lending agent for the Fund, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.

Other Transactions with Affiliates

The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Emerging Markets Equity Index Fund	$	119,253,695	$	29,274,097

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

7. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, foreign currencies, forward contracts, futures contracts, passive foreign investment companies and wash sale loss deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Emerging Markets Equity Index Fund	$	12,150,448	$	2,816,731	$	—	$	14,967,179

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Emerging Markets Equity Index Fund	$	7,559,097	$	847,053	$	—	$	8,406,150

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Emerging Markets Equity Index Fund	$	283,580	$	—	$	4,055,167	$	151,985,130	$	—	$	156,323,877

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Emerging Markets Equity Index Fund	$	459,595,238	$	163,600,259	$	10,995,485	$	152,604,774

8. Securities Lending

The Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Fund will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Fund may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Fund will bear the risk of loss of any cash collateral that it may invest. The Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2017, and the value of the invested cash collateral are disclosed in the Fund’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Fund’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Fund, and the Fund does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Fund’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of the Fund’s securities lending agreements and related cash and non-cash collateral received as of December 31, 2017:

Fund	Market Value of Securities on Loan		Cash Collateral Received		Non Cash Collateral Received*		Total Collateral Received
State Street Emerging Markets Equity Index Fund	$	23,774,200	$	5,074,039	$	19,402,234	$	24,476,273

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2017:

		Remaining Contractual Maturity of the Agreements As of December 31, 2017
Fund	Securities Lending Transactions	Overnight and Continuous		<30 Days		Between 30 & 90 Days		>90 Days		Total Borrowings		Gross Amount of Recognized Liabilities for Securities Lending Transactions
State Street Emerging Markets Equity Index Fund	Common Stocks	$	5,074,039	$	—	$	—	$	—	$	5,074,039	$	5,074,039

9. Line of Credit

The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Fund and other affiliated funds participated in a $360 million revolving credit facility.

The Funds had no outstanding loans as of December 31, 2017.

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

10. Risks

Concentration Risk

As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund was more broadly diversified.

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Fund trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

11. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

27

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of State Street Emerging Markets Equity Index Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Emerging Markets Equity Index Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), including the schedule of investments, as of December 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period ended and the period from December 21, 2015 (commencement of operations) through December 31, 2015 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of State Street Emerging Markets Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the two years in the period ended and the period from December 21, 2015 (commencement of operations) through December 31, 2015, in conformity with U.S. generally accepted accounting principles.

Basis of Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provides a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

28

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Emerging Markets Equity Index Fund		0.17	%	$	1,158.80	$	0.93	$	1,024.30	$	0.87

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

29

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Fund during the fiscal year ended December 31, 2017 is considered qualified dividend income and is eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. The Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the Fund during the year ended December 31, 2017:

	Amount
State Street Emerging Markets Equity Index Fund	$	2,816,731

Foreign Tax Credit

The Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Emerging Markets Equity Index Fund	$	1,744,145

The amount of foreign source income earned on the Fund during the year ended December 31, 2017 was as follows:

	Amount
State Street Emerging Markets Equity Index Fund	$	13,553,669

30

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Fund’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.

31

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

32

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address andYear of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

33

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

34

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EMERGING MARKETS EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-800-997-7327.

35

Trustees

Michael F. Holland

Patrick J. Riley

William L. Marshall

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

James E. Ross

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

SSIITEMAR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Global Value Spotlight Fund

State Street International Value Spotlight Fund

State Street European Value Spotlight Fund

State Street Asia Pacific Value Spotlight Fund

State Street U.S. Value Spotlight Fund

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance, Performance Summary  & Portfolio Statistics (Unaudited)	1
State Street Global Value Spotlight Fund	1
State Street International Value Spolight Fund	4
State Street European Value Spotlight Fund	7
State Street Asia Pacific Value Spolight Fund	10
State Street U.S. Value Spolight Fund	13
Schedules of Investments	16
State Street Global Value Spotlight Fund	16
State Street International Value Spotlight Fund	19
State Street European Value Spotlight Fund	21
State Street Asia Pacific Value Spotlight Fund	23
State Street U.S. Value Spotlight Fund	25
Financial Statements	27
Financial Highlights	32
Notes to Financial Statements	37
Report of Independent Registered Public Accounting Firm	46
Other Information (Unaudited)	48

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET GLOBAL VALUE SPOLIGHT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Global Value Spotlight Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the MSCI ACWI Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 26.47%, and the Index was 23.97%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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.

We believe stock selection was the primary driver of Fund performance during the Reporting Period relative to the Index. The Fundamental Value Equity Team applies a value investing discipline in managing the Fund. We endeavor to purchase shares in companies where the team believes, based on its bottom-up fundamental analysis, that there is a disconnect between the valuation of the shares in the market and our assessment of the long-term earnings power and return on investment potential of the company’s assets. This approach usually overlaps with the more lowly valued segments of the market, the performance of which is partially captured by comparing the returns of global value style indices to their growth brethren. For the Reporting Period, the MSCI ACWI Value Index total return trailed the MSCI ACWI Growth Index return by just over 11 percentage points, pointing to a performance headwind for the team’s approach. We were able to overcome the market’s apparent preference for more highly valued growth stocks this year by identifying a relatively small subset of securities, residing in that more lowly valued segment of the market, which performed well compared to the unmanaged index as their fundamental performance outperformed the market’s expectations.

Interest rates have risen, leading to a selloff in so called “bond proxy” equities (i.e., stable growth companies that have been in vogue as interest rates were falling to record low levels). Lowly valued, more economically cyclical shares have risen as investors so far seem to have focused on the new United States Administration’s pro-growth agenda and the lengthy legal challenges to Brexit, while hoping the anti-trade and anti-globalization rhetoric of these two events are just that: political rhetoric.

The Fund used currency forwards in order to reduce the underweight position to the US Dollar brought about by the bottom-up stock selection decisions in the Fund. The Fund’s use of these forwards did not have a material impact on the Fund’s performance relative to the Index.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Easyjet PLC, Koninklijke DSM and WH Group. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Tempur Sealy, Schaeffler AG and Mosaic Co.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

1

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Global Value Spotlight Fund Class K		26.47%		24.62%
MSCI ACWI Index (1)		23.97%		18.66%

* Inception date is September 22, 2016.

(1) The MSCI ACWI Index captures large and mid cap representation across 23 Developed Markets and 23 Emerging Markets countries. The index covers approximately 85% of the global investable equity opportunity set.

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.

See accompanying notes to financial statements.

2

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		98.0	%
Short-Term Investment		2.3
Liabilities in Excess of Other Assets		(0.3	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Financials		29.2	%
Industrials		18.1
Health Care		11.8
Energy		11.4
Consumer Discretionary		8.0
Consumer Staples		6.1
Materials		5.6
Information Technology		5.2
Telecommunication Services		2.6
Short-Term Investment		2.3
Liabilities in Excess of Other Assets		(0.3	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

3

STATE STREET INTERNATIONAL VALUE SPOLIGHT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street International Value Spotlight Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the MSCI ACWI ex USA Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 25.03%, and the Index was 27.19%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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.

Security selection remained the primary driver of Fund performance during the Reporting Period relative to the Index, but we do not operate in a vacuum, and our performance will always be affected by investor behavior. As value investors, our portfolios tend to underperform when our style, or this factor, falls out of favor.

After a brief period of respite for value in 2016, this year has seen the broad trend, in place since the Great Financial Crisis reassert itself. In International equity markets, the MSCI ACWI ex USA Value Index underperformed the MSCI ACWI ex USA Index by approximately 6%, and the MSCI ACWI ex USA Growth Index by approximately 12%. In terms of the relative performance of the Fund through the Reporting Period, the year can be considered in three phases.

Over the course of the first six months of the year, we had a number of stocks that delivered strong performance — Easyjet, Volvo, and KB Financial in particular — that were sufficient to (i) overcome the factor headwind and (ii) offset some struggling names — notably PetroChina, Teva, and Vallourec. As a result the Fund finished the first half slightly ahead of the benchmark.

Things changed over the course of July and August. Our top performers ran out of steam, or were sold into strength as they reached our estimate of intrinsic value. Several of our holdings were marked down following weak Q2 earnings releases, resulting in the portfolio ending the summer significantly behind the Index for the year to date.

Value securities did better for the remainder of the year, and relative performance improved, as rising commodity prices and bond yields provided a more constructive backdrop for the cheaper parts of the market.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Easyjet plc, Volvo AB, and CNH Industrial NV. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Teva Pharmaceutical Industries, Vallourec SA, and PetroChina Company Ltd.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

4

STATE STREET INTERNATIONAL VALUE SPOTLIGHT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street International Value Spotlight Fund Class K		25.03%		27.73%
MSCI ACWI ex USA Index (1)		27.19%		15.65%

* Inception date is July 13, 2016.

(1) The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries, excluding the US., and 23 Emerging Markets countries. The index covers approximately 85% of the global equity opportunity set outside the U.S.

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.

See accompanying notes to financial statements.

5

STATE STREET INTERNATIONAL VALUE SPOTLIGHT FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		97.3	%
Short-Term Investment		0.8
Other Assets in Excess of Liabilities		1.9
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Financials		30.6	%
Industrials		22.4
Health Care		12.2
Energy		11.8
Consumer Discretionary		5.8
Materials		5.7
Consumer Staples		3.2
Information Technology		3.0
Telecommunication Services		2.6
Short-Term Investment		0.8
Other Assets in Excess of Liabilities		1.9
TOTAL		100.0	%

See accompanying notes to financial statements.

6

STATE STREET EUROPEAN VALUE SPOLIGHT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street European Value Spotlight Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the MSCI Europe Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 24.61%, and the Index was 25.51%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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.

European Equity markets performed well in 2017, driven by a continuing recovery in the underlying economic conditions and company profits growth. However, it was a poor year for value investors as the value style underperformed growth by approximately 4% in Europe (source: MSCI), partially reversing the strong value outperformance in 2016. This was a headwind for the Fund given our value philosophy, although the performance was solid against this backdrop. Longer term the value style continues to lag significantly. Given our concentrated Fund holdings, the relative performance of the Fund is primarily driven by individual stock contributions.

The Fund used currency forwards in order to decrease underweight currency exposure during the Reporting Period. This had no material impact on performance.

On an individual security level, the top positive contributors to the Fund’s performance on a relative basis during the Reporting Period were EasyJet PLC, Aryzta AG and Royal DSM NV. The top negative contributors to the Fund’s performance on a relative basis during the Reporting Period were Tullow Oil PLC, Barclays PLC and BT Group PLC.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

7

STATE STREET EUROPEAN VALUE SPOTLIGHT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street European Value Spotlight Fund Class K		24.61%		22.96%
MSCI Europe Index (1)		25.51%		17.94%

* Inception date is September 22, 2016.

(1) The MSCI Europe Index captures large and mid cap representation across 15 Developed Markets countries in Europe. The index covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe.

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.

See accompanying notes to financial statements.

8

STATE STREET EUROPEAN VALUE SPOTLIGHT FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		101.7	%
Liabilities in Excess of Other Assets		(1.7	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Financials		33.1	%
Industrials		23.5
Materials		12.0
Energy		10.1
Health Care		9.1
Consumer Discretionary		6.3
Consumer Staples		4.0
Information Technology		3.6
Liabilities in Excess of Other Assets		(1.7	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

9

STATE STREET ASIA PACIFIC VALUE SPOLIGHT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Asia Pacific Value Spotlight Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the MSCI All Country Asia Pacific Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 30.86%, and the Index was 31.67%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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.

We believe stock selection was the primary driver of Fund performance during the Reporting Period relative to the Index. The Fundamental Value Equity Team applies a value investing discipline in managing the Fund. We endeavor to purchase shares in companies where the team believes, on the basis of its bottom-up fundamental research analysis, that there is a disconnect between the valuation of the shares in the market and our assessment of the long term earnings power and return on investment potential of the company’s assets. This approach usually overlaps with the more lowly valued segments of the market, the performance of which is partially captured by comparing the returns of value style indices to their growth brethren.

Being a value investor can sometimes involve long periods where your approach and your holdings are out of favor, as value has effectively been since the Global Financial Crisis. In recent times, Asian markets have presented more abundant value investing opportunities compared to any other regions.

However, the Information Technology space presented less value opportunities, and as a result we were underweight over the last 12 months; the Technology sector was the best performing sector in the MSCI Asia Pacific Index during 2017, returning approximately 54.2% in USD. We managed to offset some, but not all, of this drag on performance through stock selection in other sectors such as Consumer Staples.

We were also underweight the two worst performing sectors in the MSCI Asia Pacific Index for the calendar year 2017, Utilities and Telecoms, where we found fewer companies that show strong, sustainable earnings power.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Techtronic Industries, SMC Corp. and WH Group. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Hankook Tire, Petrochina, and KDDI.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

10

STATE STREET ASIA PACIFIC VALUE SPOTLIGHT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Asia Pacific Value Spotlight Fund Class K		30.86%		20.22%
MSCI All Country Asia Pacific Index (1)		31.67%		19.73%

* Inception date is September 22, 2016.

(1) The MSCI All Country Asia Pacific Index captures large and mid cap representation across 5 Developed Markets countries and 7 Emerging Markets countries in the Asia Pacific region. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

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.

See accompanying notes to financial statements.

11

STATE STREET ASIA PACIFIC VALUE SPOTLIGHT FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		98.4	%
Short-Term Investment		4.0
Liabilities in Excess of Other Assets		(2.4	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Financials		28.0	%
Industrials		19.6
Information Technology		14.3
Consumer Discretionary		8.6
Consumer Staples		8.1
Energy		5.6
Telecommunication Services		5.5
Health Care		4.7
Materials		4.0
Short-Term Investment		4.0
Liabilities in Excess of Other Assets		(2.4	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

12

STATE STREET U.S. VALUE SPOLIGHT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street U.S. Value Spotlight Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the Russell 1000 Value Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 17.98%, and the Index was 13.66%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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.

We believe stock selection was the primary driver of Fund performance during the Reporting Period relative to the Index. The Fundamental Value Equity Team applies a value investing discipline in managing the Fund. We endeavor to purchase shares in companies where the team believes, based on its bottom-up fundamental analysis, that there is a disconnect between the valuation of the shares in the market and our assessment of the long-term earnings power and return on investment potential of the company’s assets. This approach usually overlaps with the more lowly valued segments of the market, the performance of which is partially captured by comparing the returns of value style indices to their growth brethren.

Excitement about so called “pro-business” government policies such as the 2017 U.S. corporate tax cut plan has given investors in U.S. assets more confidence that normal valuation norms may no longer apply and certain segments of the market, especially those beneficiaries of government support, have reached valuation levels that our team finds it difficult to justify. However, applying our approach we have been able to construct a portfolio of companies that appear undervalued to us and several contributed to performance versus the Index this year.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Cigna Corp., Copa Holdings and Wal-Mart Stores. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Chicago Bridge & Iron, EQT Corp., and Mosaic Company.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

13

STATE STREET U.S. VALUE SPOTLIGHT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street U.S. Value Spotlight Fund Class K		17.98%		18.19%
Russell 1000 Value Index (1)		13.66%		16.20%

* Inception date is September 22, 2016.

(1) The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values.

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.

See accompanying notes to financial statements.

14

STATE STREET U.S. VALUE SPOTLIGHT FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		99.8	%
Short-Term Investment		6.0
Liabilities in Excess of Other Assets		(5.8	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets and may change over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Information Technology		20.8	%
Financials		16.5
Industrials		15.0
Health Care		14.3
Energy		13.7
Consumer Discretionary		9.9
Materials		6.9
Utilities		2.7
Short-Term Investment		6.0
Liabilities in Excess of Other Assets		(5.8	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 98.0%
AUSTRALIA — 3.1%
Woodside Petroleum, Ltd.		2,910	$	75,292
CHINA — 2.6%
CITIC Securities Co., Ltd. Class H		30,000		61,863
FRANCE — 5.1%
Publicis Groupe SA		923		62,787
Vallourec SA (a)		10,098		61,053
				123,840
GERMANY — 2.8%
Deutsche Bank AG		3,605		68,721
HONG KONG — 3.1%
WH Group, Ltd.		66,000		74,466
HUNGARY — 2.8%
Richter Gedeon Nyrt		2,604		68,343
ITALY — 2.8%
Eni SpA		4,017		66,566
JAPAN — 15.0%
Alfresa Holdings Corp.		3,100		72,843
JGC Corp.		4,200		81,241
KDDI Corp.		2,500		62,239
Sony Financial Holdings, Inc.		3,900		69,103
Sumitomo Mitsui Trust Holdings, Inc.		1,900		75,443
				360,869
SOUTH KOREA — 8.2%
Hankook Tire Co., Ltd.		1,447		73,799
KT&G Corp.		675		72,825
Samsung Life Insurance Co., Ltd.		433		50,356
				196,980
SPAIN — 5.6%
ACS Actividades de Construccion y Servicios SA		1,595		62,476
Siemens Gamesa Renewable Energy SA		5,223		71,687
				134,163
SWEDEN — 2.8%
Telefonaktiebolaget LM Ericsson Class B		10,385		68,303
SWITZERLAND — 5.7%
ABB, Ltd.		2,690		72,101
Credit Suisse Group AG (a)		3,630		64,815
				136,916
THAILAND — 2.8%
Bangkok Bank PCL		10,100		67,870
UNITED KINGDOM — 8.5%
Barclays PLC		23,851		65,529
easyJet PLC		3,824		75,732
Standard Chartered PLC (a)		5,983		63,137
				204,398
UNITED STATES — 27.1%
Affiliated Managers Group, Inc.		287		58,907
Arconic, Inc.		2,651		72,240
Eli Lilly & Co.		820		69,257
EQT Corp.		1,264		71,947
McKesson Corp.		481		75,012
MetLife, Inc.		1,144		57,840
Mosaic Co.		3,089		79,264
Oracle Corp.		1,225		57,918
Owens-Illinois, Inc. (a)		2,518		55,824
Skechers U.S.A., Inc. Class A (a)		1,474		55,775
				653,984
TOTAL COMMON STOCKS (Cost $2,039,673)				2,362,574
SHORT-TERM INVESTMENT — 2.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $54,742)		54,742		54,742
TOTAL INVESTMENTS — 100.3% (Cost $2,094,415)				2,417,316
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)%				(7,102	)
NET ASSETS — 100.0%			$	2,410,214

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

At December 31, 2017, open forward foreign currency exchange contracts were as follows:

Counterparty	Amount Sold		Amount Bought		Settlement Date	Net Unrealized Appreciation/ (Depreciation)
JP Morgan Chase Bank, N.A.	CHF	25,604	USD	26,000	02/16/2018	$	(354	)

See accompanying notes to financial statements.

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Counterparty	Amount Sold		Amount Bought		Settlement Date	Net Unrealized Appreciation/ (Depreciation)
JP Morgan Chase Bank, N.A.	JPY	4,837,912	USD	43,000	02/16/2018	$	(34	)
JP Morgan Chase Bank, N.A.	SEK	142,002	USD	17,000	02/16/2018		(389	)
JP Morgan Chase Bank, N.A.	EUR	28,728	USD	34,000	02/16/2018		(584	)
Royal Bank of Canada	EUR	28,735	USD	34,000	02/16/2018		(593	)
Royal Bank of Canada	JPY	4,838,192	USD	43,000	02/16/2018		(37	)
Royal Bank of Canada	SEK	141,993	USD	17,000	02/16/2018		(388	)
Royal Bank of Canada	CHF	25,605	USD	26,000	02/16/2018		(355	)
Westpac Banking Corp.	EUR	28,713	USD	34,000	02/16/2018		(567	)
Westpac Banking Corp.	SEK	141,922	USD	17,000	02/16/2018		(379	)
Westpac Banking Corp.	CHF	25,608	USD	26,000	02/16/2018		(358	)
Westpac Banking Corp.	JPY	4,836,218	USD	43,000	02/16/2018		(19	)
Total						$	(4,057	)

During the period ended December 31, 2017, average notional value related to foreign currency exchange contracts was $272,500 or 11% of net assets.

CHF	=	Swiss Franc
EUR	=	Euro
JPY	=	Japanese Yen
SEK	=	Swedish Krona
USD	=	U.S. Dollar

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	75,292	$	—	$	—	$	75,292
China		61,863		—		—		61,863
France		123,840		—		—		123,840
Germany		68,721		—		—		68,721
Hong Kong		74,466		—		—		74,466
Hungary		68,343		—		—		68,343
Italy		66,566		—		—		66,566
Japan		360,869		—		—		360,869
South Korea		196,980		—		—		196,980
Spain		134,163		—		—		134,163
Sweden		68,303		—		—		68,303
Switzerland		136,916		—		—		136,916
Thailand		67,870		—		—		67,870
United Kingdom		204,398		—		—		204,398

See accompanying notes to financial statements.

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
United States	$	653,984	$	—		$	—	$	653,984
Short-Term Investment		54,742		—			—		54,742
TOTAL INVESTMENTS	$	2,417,316	$	—		$	—	$	2,417,316
LIABILITIES:
OTHER FINANCIAL INSTRUMENTS:
Forward Foreign Currency Exchange Contracts (a)		—		(4,057	)		—		(4,057	)
TOTAL OTHER FINANCIAL INSTRUMENTS:	$	—	$	(4,057	)	$	—	$	(4,057	)

(a) Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	928,901	$	874,159	$	—	$	—		54,742	$	54,742	$	880	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		120,334		120,334		212,831		333,165		—		—		—		—		198		—
Total			$	120,334	$	1,141,732	$	1,207,324	$	—	$	—			$	54,742	$	1,078	$	—

See accompanying notes to financial statements.

18

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INTERNATIONAL VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 97.3%
AUSTRALIA — 5.6%
Incitec Pivot, Ltd.		22,669	$	69,149
Woodside Petroleum, Ltd.		2,762		71,463
				140,612
CHINA — 9.0%
China Construction Bank Corp. Class H		84,000		77,367
PetroChina Co., Ltd. Class H		112,000		78,083
Shanghai Industrial Holdings, Ltd.		25,000		71,636
				227,086
FRANCE — 8.5%
Publicis Groupe SA		1,042		70,882
Sanofi		714		61,602
Vallourec SA (a)		13,416		81,114
				213,598
GERMANY — 3.1%
Deutsche Bank AG		4,095		78,062
HONG KONG — 3.2%
WH Group, Ltd.		72,500		81,799
HUNGARY — 3.2%
Richter Gedeon Nyrt		3,049		80,022
ISRAEL — 3.2%
Teva Pharmaceutical Industries, Ltd ADR		4,237		80,291
ITALY — 5.4%
Assicurazioni Generali SpA		3,846		70,198
Eni SpA		3,945		65,373
				135,571
JAPAN — 18.4%
Alfresa Holdings Corp.		3,600		84,591
JGC Corp.		4,200		81,241
KDDI Corp.		2,600		64,729
Sony Financial Holdings, Inc.		4,400		77,962
Sumitomo Mitsui Financial Group, Inc.		1,700		73,463
Sumitomo Mitsui Trust Holdings, Inc.		2,000		79,414
				461,400
NORWAY — 3.0%
Yara International ASA		1,620		74,609
SOUTH KOREA — 5.8%
Hankook Tire Co., Ltd.		1,493		76,146
Samsung Fire & Marine Insurance Co., Ltd.		285		71,080
				147,226
SPAIN — 6.2%
ACS Actividades de Construccion y Servicios SA		2,011		78,771
Siemens Gamesa Renewable Energy SA		5,628		77,245
				156,016
SWEDEN — 3.0%
Telefonaktiebolaget LM Ericsson Class B		11,388		74,900
SWITZERLAND — 6.6%
ABB, Ltd.		3,083		82,635
Credit Suisse Group AG (a)		4,711		84,116
				166,751
THAILAND — 3.4%
Bangkok Bank PCL		12,600		84,670
UNITED KINGDOM — 9.7%
CNH Industrial NV		6,370		85,440
easyJet PLC		4,294		85,040
Standard Chartered PLC (a)		6,874		72,540
				243,020
TOTAL COMMON STOCKS (Cost $2,000,342)				2,445,633
SHORT-TERM INVESTMENT — 0.8%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $19,189)		19,189		19,189
TOTAL INVESTMENTS — 98.1% (Cost $2,019,531)				2,464,822
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.9%				47,565
NET ASSETS — 100.0%			$	2,512,387

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

ADR = American Depositary Receipt

See accompanying notes to financial statements.

19

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INTERNATIONAL VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	140,612	$	—	$	—	$	140,612
China		227,086		—		—		227,086
France		213,598		—		—		213,598
Germany		78,062		—		—		78,062
Hong Kong		81,799		—		—		81,799
Hungary		80,022		—		—		80,022
Israel		80,291		—		—		80,291
Italy		135,571		—		—		135,571
Japan		461,400		—		—		461,400
Norway		74,609		—		—		74,609
South Korea		147,226		—		—		147,226
Spain		156,016		—		—		156,016
Sweden		74,900		—		—		74,900
Switzerland		166,751		—		—		166,751
Thailand		84,670		—		—		84,670
United Kingdom		243,020		—		—		243,020
Short-Term Investment		19,189		—		—		19,189
TOTAL INVESTMENTS	$	2,464,822	$	—	$	—	$	2,464,822

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	850,283	$	831,094	$	—	$	—		19,189	$	19,189	$	940	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		41,185		41,185		276,675		317,860		—		—		—		—		184		—
Total			$	41,185	$	1,126,958	$	1,148,954	$	—	$	—			$	19,189	$	1,124	$	—

See accompanying notes to financial statements.

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EUROPEAN VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 101.7%
AUSTRIA — 3.4%
ANDRITZ AG		727	$	41,104
FRANCE — 22.2%
Alstom SA		951		39,518
AXA SA		1,408		41,820
BNP Paribas SA		368		27,508
Publicis Groupe SA		595		40,475
Sanofi		447		38,566
TOTAL SA		750		41,468
Vallourec SA (a)		6,697		40,490
				269,845
GERMANY — 9.5%
Continental AG		134		36,212
Deutsche Bank AG		2,028		38,659
HeidelbergCement AG		373		40,423
				115,294
HUNGARY — 3.2%
Richter Gedeon Nyrt		1,480		38,843
IRELAND — 7.1%
Bank of Ireland Group PLC (a)		5,278		44,967
CRH PLC		1,155		41,545
				86,512
ITALY — 6.9%
Assicurazioni Generali SpA		2,417		44,115
Eni SpA		2,441		40,450
				84,565
NETHERLANDS — 8.5%
Akzo Nobel NV		307		26,918
Boskalis Westminster		1,165		43,968
Euronext NV		518		32,227
				103,113
NORWAY — 3.1%
Yara International ASA		813		37,443
SPAIN — 9.7%
ACS Actividades de Construccion y Servicios SA		1,078		42,225
Banco Bilbao Vizcaya Argentaria SA		4,491		38,354
Siemens Gamesa Renewable Energy SA		2,737		37,566
				118,145
SWEDEN — 3.6%
Telefonaktiebolaget LM Ericsson Class B		6,614		43,501
SWITZERLAND — 13.7%
ABB, Ltd.		1,474		39,508
Aryzta AG		1,217		48,268
Credit Suisse Group AG (a)		2,512		44,853
Novartis AG		399		33,738
				166,367
UNITED KINGDOM — 10.8%
Barclays PLC		16,753		46,028
easyJet PLC		2,106		41,708
Standard Chartered PLC (a)		4,178		44,090
				131,826
TOTAL COMMON STOCKS (Cost $1,064,579)				1,236,558
TOTAL INVESTMENTS — 101.7% (Cost $1,064,579)				1,236,558
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.7)%				(20,446	)
NET ASSETS — 100.0%			$	1,216,112

(a) Non-income producing security.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Austria	$	41,104	$	—	$	—	$	41,104
France		269,845		—		—		269,845
Germany		115,294		—		—		115,294
Hungary		38,843		—		—		38,843
Ireland		86,512		—		—		86,512
Italy		84,565		—		—		84,565
Netherlands		103,113		—		—		103,113

See accompanying notes to financial statements.

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EUROPEAN VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Norway	$	37,443	$	—	$	—	$	37,443
Spain		118,145		—		—		118,145
Sweden		43,501		—		—		43,501
Switzerland		166,367		—		—		166,367
United Kingdom		131,826		—		—		131,826
TOTAL INVESTMENTS	$	1,236,558	$	—	$	—	$	1,236,558

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	501,509	$	501,509	$	—	$	—		—	$	—	$	404	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		41,566		41,566		222,020		263,586		—		—		—		—		156		—
Total			$	41,566	$	723,529	$	765,095	$	—	$	—			$	—	$	560	$	—

See accompanying notes to financial statements.

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET ASIA PACIFIC VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 98.4%
AUSTRALIA — 5.2%
Incitec Pivot, Ltd.		16,635	$	50,743
Woodside Petroleum, Ltd.		2,859		73,972
				124,715
CHINA — 12.7%
China Construction Bank Corp. Class H		84,000		77,367
China Mobile, Ltd.		5,500		55,758
Industrial & Commercial Bank of China, Ltd. Class H		88,000		70,807
PetroChina Co., Ltd. Class H		86,000		59,957
Shanghai Industrial Holdings, Ltd.		15,000		42,981
				306,870
HONG KONG — 6.9%
Techtronic Industries Co., Ltd.		8,500		55,400
WH Group, Ltd.		99,000		111,698
				167,098
JAPAN — 42.3%
Alfresa Holdings Corp.		4,800		112,788
ITOCHU Corp.		5,200		97,076
JGC Corp.		3,200		61,898
Kansai Paint Co., Ltd.		1,800		46,786
KDDI Corp.		3,100		77,177
Kinden Corp.		4,800		78,317
Komatsu, Ltd.		1,600		57,921
Kurita Water Industries, Ltd.		1,600		51,984
Mitsubishi UFJ Financial Group, Inc.		7,800		57,221
SMC Corp.		200		82,343
Sony Financial Holdings, Inc.		4,500		79,734
Sumitomo Mitsui Financial Group, Inc.		1,800		77,784
Toyota Motor Corp.		1,200		76,836
Trend Micro, Inc.		1,100		62,397
				1,020,262
SINGAPORE — 2.9%
United Overseas Bank, Ltd.		3,511		69,490
SOUTH KOREA — 15.6%
Hankook Tire Co., Ltd.		1,469		74,922
KT&G Corp.		771		83,182
Samsung Electronics Co., Ltd. Preference Shares		55		107,375
Samsung Fire & Marine Insurance Co., Ltd.		154		38,408
Shinhan Financial Group Co., Ltd.		1,575		72,677
				376,564
TAIWAN — 7.3%
Catcher Technology Co., Ltd.		7,000		77,154
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		2,458		97,460
				174,614
THAILAND — 3.3%
Bangkok Bank PCL		1,200		8,064
Bangkok Bank PCL NVDR		11,400		70,659
				78,723
UNITED KINGDOM — 2.2%
Standard Chartered PLC (a)		5,100		52,975
TOTAL COMMON STOCKS (Cost $2,013,629)				2,371,311
SHORT-TERM INVESTMENT — 4.0%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $96,815)		96,815		96,815
TOTAL INVESTMENTS — 102.4% (Cost $2,110,444)				2,468,126
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)%				(57,373	)
NET ASSETS — 100.0%			$	2,410,753

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

ADR = American Depositary Receipt

NVDR = Non Voting Depositary Receipt

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	124,715	$	—	$	—	$	124,715
China		306,870		—		—		306,870
Hong Kong		167,098		—		—		167,098
Japan		1,020,262		—		—		1,020,262
Singapore		69,490		—		—		69,490

See accompanying notes to financial statements.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET ASIA PACIFIC VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
South Korea	$	376,564	$	—	$	—	$	376,564
Taiwan		174,614		—		—		174,614
Thailand		78,723		—		—		78,723
United Kingdom		52,975		—		—		52,975
Short-Term Investment		96,815		—		—		96,815
TOTAL INVESTMENTS	$	2,468,126	$	—	$	—	$	2,468,126

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	731,755	$	634,940	$	—	$	—		96,815	$	96,815	$	657	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		100,447		100,447		276,659		377,106		—		—		—		—		198		—
Total			$	100,447	$	1,008,414	$	1,012,046	$	—	$	—			$	96,815	$	855	$	—

See accompanying notes to financial statements.

24

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET U.S. VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 99.8%
AEROSPACE & DEFENSE — 6.3%
Arconic, Inc.		1,518	$	41,365
United Technologies Corp.		259		33,041
				74,406
AIRLINES — 2.6%
Copa Holdings SA Class A		229		30,700
BANKS — 6.4%
Citigroup, Inc.		516		38,396
Wells Fargo & Co.		602		36,523
				74,919
CAPITAL MARKETS — 4.0%
Affiliated Managers Group, Inc.		232		47,618
CHEMICALS — 3.9%
Mosaic Co.		1,808		46,393
COMMUNICATIONS EQUIPMENT — 6.9%
Cisco Systems, Inc.		1,113		42,628
F5 Networks, Inc. (a)		292		38,316
				80,944
CONSTRUCTION & ENGINEERING — 3.0%
Chicago Bridge & Iron Co. NV		2,182		35,218
CONTAINERS & PACKAGING — 3.0%
Owens-Illinois, Inc. (a)		1,567		34,740
ELECTRIC UTILITIES — 2.7%
Exelon Corp.		793		31,252
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 3.1%
Avnet, Inc.		935		37,045
ENERGY EQUIPMENT & SERVICES — 2.9%
National Oilwell Varco, Inc.		953		34,327
HEALTH CARE PROVIDERS & SERVICES — 5.9%
Cigna Corp.		122		24,777
McKesson Corp.		283		44,134
				68,911
INSURANCE — 6.1%
Hartford Financial Services Group, Inc.		609		34,274
MetLife, Inc.		730		36,909
				71,183
LEISURE EQUIPMENT & PRODUCTS — 2.8%
Polaris Industries, Inc.		269		33,353
MACHINERY — 3.1%
AGCO Corp.		504		36,001
MULTILINE RETAIL — 3.5%
Nordstrom, Inc.		872		41,315
OIL, GAS & CONSUMABLE FUELS — 10.8%
Chevron Corp.		279		34,928
ConocoPhillips		462		25,359
EQT Corp.		658		37,453
Occidental Petroleum Corp.		393		28,949
				126,689
PHARMACEUTICALS — 8.5%
Eli Lilly & Co.		446		37,669
Johnson & Johnson		213		29,760
Merck & Co., Inc.		568		31,962
				99,391
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT —  3.2%
Intel Corp.		804		37,113
SOFTWARE — 4.8%
CA, Inc.		596		19,835
Oracle Corp.		771		36,453
				56,288
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.8%
NCR Corp. (a)		984		33,446
TEXTILES, APPAREL & LUXURY GOODS — 3.5%
Skechers U.S.A., Inc. Class A (a)		1,083		40,981
TOTAL COMMON STOCKS (Cost $1,017,165)				1,172,233
SHORT-TERM INVESTMENT — 6.0%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $70,581)		70,581		70,581
TOTAL INVESTMENTS — 105.8% (Cost $1,087,746)				1,242,814
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.8)%				(67,743	)
NET ASSETS — 100.0%			$	1,175,071

See accompanying notes to financial statements.

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET U.S. VALUE SPOTLIGHT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	74,406	$	—	$	—	$	74,406
Airlines		30,700		—		—		30,700
Banks		74,919		—		—		74,919
Capital Markets		47,618		—		—		47,618
Chemicals		46,393		—		—		46,393
Communications Equipment		80,944		—		—		80,944
Construction & Engineering		35,218		—		—		35,218
Containers & Packaging		34,740		—		—		34,740
Electric Utilities		31,252		—		—		31,252
Electronic Equipment, Instruments & Components		37,045		—		—		37,045
Energy Equipment & Services		34,327		—		—		34,327
Health Care Providers & Services		68,911		—		—		68,911
Insurance		71,183		—		—		71,183
Leisure Equipment & Products		33,353		—		—		33,353
Machinery		36,001		—		—		36,001
Multiline Retail		41,315		—		—		41,315
Oil, Gas & Consumable Fuels		126,689		—		—		126,689
Pharmaceuticals		99,391		—		—		99,391
Semiconductors & Semiconductor Equipment		37,113		—		—		37,113
Software		56,288		—		—		56,288
Technology Hardware, Storage & Peripherals		33,446		—		—		33,446
Textiles, Apparel & Luxury Goods		40,981		—		—		40,981
Short-Term Investment		70,581		—		—		70,581
TOTAL INVESTMENTS	$	1,242,814	$	—	$	—	$	1,242,814

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	414,019	$	343,438	$	—	$	—		70,581	$	70,581	$	602	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		101,767		101,767		59,098		160,865		—		—		—		—		169		—
Total			$	101,767	$	473,117	$	504,303	$	—	$	—			$	70,581	$	771	$	—

See accompanying notes to financial statements.

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017

	State Street Global Value Spotlight Fund			State Street International Value Spotlight Fund		State Street European Value Spotlight Fund		State Street Asia Pacific Value Spotlight Fund		State Street U.S. Value Spotlight Fund
ASSETS
Investments in unaffiliated issuers, at value	$	2,362,574		$	2,445,633	$	1,236,558	$	2,371,311	$	1,172,233
Investments in affiliated issuers, at value		54,742			19,189		—		96,815		70,581
Total Investments		2,417,316			2,464,822		1,236,558		2,468,126		1,242,814
Foreign currency, at value		60,456			100,351		89,510		2,388		—
Dividends receivable — unaffiliated issuers		2,853			1,968		420		7,011		1,061
Dividends receivable — affiliated issuers		124			117		7		111		88
Receivable for foreign taxes recoverable		911			3,102		2,197		656		—
TOTAL ASSETS		2,481,660			2,570,360		1,328,692		2,478,292		1,243,963
LIABILITIES
Due to custodian		—			—		46,231		—		—
Unrealized depreciation on forward foreign currency exchange contracts		4,057			—		—		—		—
Advisory fee payable		33,014			24,337		31,866		35,029		43,104
Custodian fees payable		5,246			3,049		5,853		3,291		1,303
Administration fees payable		108			114		57		104		55
Transfer agent fees payable		1,396			1,713		1,396		1,395		1,396
Registration and filing fees payable		29			24		15		29		15
Professional fees payable		24,014			24,012		24,013		24,013		23,019
Printing and postage fees payable		3,582			4,724		3,149		3,678		—
TOTAL LIABILITIES		71,446			57,973		112,580		67,539		68,892
NET ASSETS	$	2,410,214		$	2,512,387	$	1,216,112	$	2,410,753	$	1,175,071
NET ASSETS CONSIST OF:
Paid-in Capital	$	2,000,000		$	2,000,000	$	1,000,000	$	2,000,000	$	1,000,000
Undistributed (distribution in excess of) net investment income (loss)		4,057			288		575		408		—
Accumulated net realized gain (loss) on investments, foreign currency transactions and forward foreign currency exchange contracts		86,573			65,341		42,243		52,606		20,003
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		322,901			445,291		171,979		357,682		155,068
Foreign currency translations		740			1,467		1,315		57		—
Forward foreign currency exchange transactions		(4,057	)		—		—		—		—
NET ASSETS	$	2,410,214		$	2,512,387	$	1,216,112	$	2,410,753	$	1,175,071
NET ASSET VALUE PER SHARE
Class K
Net Assets	$	2,410,214		$	2,512,387	$	1,216,112	$	2,410,753	$	1,175,071
Shares Outstanding		200,000			200,000		100,000		200,000		100,000
Net asset value, offering and redemption price per share	$	12.05		$	12.56	$	12.16	$	12.05	$	11.75
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	2,039,673		$	2,000,342	$	1,064,579	$	2,013,629	$	1,017,165
Investments in affiliated issuers		54,742			19,189		—		96,815		70,581
Total cost of investments	$	2,094,415		$	2,019,531	$	1,064,579	$	2,110,444	$	1,087,746
Foreign currency, at cost	$	59,752		$	99,042	$	88,309	$	2,356	$	—

See accompanying notes to financial statements.

27

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2017

	State Street Global Value Spotlight Fund			State Street International Value Spotlight Fund			State Street European Value Spotlight Fund			State Street Asia Pacific Value Spotlight Fund			State Street U.S. Value Spotlight Fund
INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	49,248		$	72,905		$	30,429		$	67,551		$	19,324
Dividend income — affiliated issuers		1,078			1,124			560			855			771
Foreign taxes withheld		(4,304	)		(7,918	)		(4,401	)		(8,044	)		—
TOTAL INVESTMENT INCOME (LOSS)		46,022			66,111			26,588			60,362			20,095
EXPENSES
Advisory fee		17,621			18,990			8,861			16,581			7,219
Administration fees		1,175			1,266			591			1,105			555
Custodian fees		51,855			43,958			53,555			41,535			14,598
Trustees’ fees and expenses		22,082			22,084			22,064			22,080			22,064
Transfer agent fees		9,521			5,673			9,522			9,521			9,522
Registration and filing fees		20,443			20,454			20,443			20,443			20,443
Professional fees		58,397			58,828			58,397			58,397			56,403
Printing and postage fees		10,297			7,666			9,245			10,304			6,104
Miscellaneous expenses		5,142			4,878			5,140			5,117			5,097
TOTAL EXPENSES		196,533			183,797			187,818			185,083			142,005
Expenses waived/reimbursed by the Adviser		(178,912	)		(164,807	)		(178,927	)		(168,501	)		(134,786	)
NET EXPENSES		17,621			18,990			8,891			16,582			7,219
NET INVESTMENT INCOME (LOSS)		28,401			47,121			17,697			43,780			12,876
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers*		270,004			268,756			104,293			112,430			56,803
Forward foreign currency exchange contracts		(7,217	)		—			(588	)		—			—
Foreign currency transactions		803			1,367			852			626			—
Net realized gain (loss)		263,590			270,123			104,557			113,056			56,803
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers**		260,608			241,679			132,265			438,908			118,069
Forward foreign currency exchange contracts		(3,168	)		—			—			—			—
Foreign currency translations		799			1,589			1,267			88			—
Net change in unrealized appreciation/depreciation		258,239			243,268			133,532			438,996			118,069
NET REALIZED AND UNREALIZED GAIN (LOSS)		521,829			513,391			238,089			552,052			174,872
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	550,230		$	560,512		$	255,786		$	595,832		$	187,748
*Includes foreign capital gain taxes	$	(156	)	$	(110	)	$	—		$	—		$	—
**Includes foreign deferred taxes	$	126		$	—		$	—		$	—		$	—

See accompanying notes to financial statements.

28

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29

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	State Street Global Value Spotlight Fund						State Street International Value Spotlight Fund
	Year Ended 12/31/17			For the Period 9/22/16* - 12/31/16			Year Ended 12/31/17			For the Period 7/13/16* - 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	28,401		$	1,857		$	47,121		$	4,463
Net realized gain (loss)		263,590			32,174			270,123			83,583
Net change in unrealized appreciation/depreciation		258,239			61,345			243,268			203,490
Net increase (decrease) in net assets resulting from operations		550,230			95,376			560,512			291,536
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(24,993	)		(8,100	)		(48,090	)		(3,800	)
Net realized gains		(201,799	)		(500	)		(250,231	)		(37,540	)
Total distributions to shareholders		(226,792	)		(8,600	)		(298,321	)		(41,340	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		—			2,000,000			—			2,000,000
Net increase (decrease) in net assets from beneficial interest transactions		—			2,000,000			—			2,000,000
Net increase (decrease) in net assets during the period		323,438			2,086,776			262,191			2,250,196
Net assets at beginning of period		2,086,776			—			2,250,196			—
NET ASSETS AT END OF PERIOD	$	2,410,214		$	2,086,776		$	2,512,387		$	2,250,196
Undistributed (distribution in excess of) net investment income (loss)	$	4,057		$	2,425		$	288		$	—
SHARES OF BENEFICIAL INTEREST:
Shares sold		—			200,000			—			200,000
Net increase (decrease)		—			200,000			—			200,000

* Inception date.

See accompanying notes to financial statements.

30

State Street European Value Spotlight Fund						State Street Asia Pacific Value Spotlight Fund						State Street U.S. Value Spotlight Fund
Year Ended 12/31/17			For the Period 9/22/16* - 12/31/16			Year Ended 12/31/17			For the Period 9/22/16* - 12/31/16			Year Ended 12/31/17			For the Period 9/22/16* - 12/31/16
$	17,697		$	(889	)	$	43,780		$	7,095		$	12,876		$	3,534
	104,557			6,209			113,056			7,262			56,803			9,052
	133,532			39,762			438,996			(81,257	)		118,069			36,999
	255,786			45,082			595,832			(66,900	)		187,748			49,585
	(18,944	)		(840	)		(44,016	)		(3,480	)		(12,898	)		(3,530	)
	(64,932	)		(40	)		(70,683	)		—			(45,124	)		(710	)
	(83,876	)		(880	)		(114,699	)		(3,480	)		(58,022	)		(4,240	)
	—			1,000,000			—			2,000,000			—			1,000,000
	—			1,000,000			—			2,000,000			—			1,000,000
	171,910			1,044,202			481,133			1,929,620			129,726			1,045,345
	1,044,202			—			1,929,620			—			1,045,345			—
$	1,216,112		$	1,044,202		$	2,410,753		$	1,929,620		$	1,175,071		$	1,045,345
$	575		$	1,558		$	408		$	—		$	—		$	—
	—			100,000			—			200,000			—			100,000
	—			100,000			—			200,000			—			100,000

31

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET GLOBAL VALUE SPOTLIGHT FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			For the Period 9/23/16* - 12/31/16
Net asset value, beginning of period	$	10.43		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.14			0.01
Net realized and unrealized gain (loss)		2.61			0.46
Total from investment operations		2.75			0.47
Distributions to shareholders from:
Net investment income		(0.12	)		(0.04	)
Net realized gains		(1.01	)		(0.00	)(b)
Total distributions		(1.13	)		(0.04	)
Net asset value, end of period	$	12.05		$	10.43
Total return (c)		26.47	%		4.73	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,410		$	2,087
Ratios to average net assets:
Total expenses		8.36	%		9.46	%(d)
Net expenses		0.75	%		0.75	%(d)
Net investment income (loss)		1.21	%		0.34	%(d)
Portfolio turnover rate		70	%		18	%(e)

 * 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 the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results.

(d) Annualized.

(e) Not annualized.

See accompanying notes to financial statements.

32

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET INTERNATIONAL VALUE SPOTLIGHT FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			For the Period 7/14/16* - 12/31/16
Net asset value, beginning of period	$	11.25		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.24			0.02
Net realized and unrealized gain (loss)		2.56			1.44
Total from investment operations		2.80			1.46
Distributions to shareholders from:
Net investment income		(0.24	)		(0.02	)
Net realized gains		(1.25	)		(0.19	)
Total distributions		(1.49	)		(0.21	)
Net asset value, end of period	$	12.56		$	11.25
Total return (b)		25.03	%		14.57	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,512		$	2,250
Ratios to average net assets:
Total expenses		7.26	%		7.76	%(c)
Net expenses		0.75	%		0.75	%(c)
Net investment income (loss)		1.86	%		0.44	%(c)
Portfolio turnover rate		45	%		26	%(d)

 * 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 the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results.

(c) Annualized.

(d) Not annualized.

See accompanying notes to financial statements.

33

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET EUROPEAN VALUE SPOTLIGHT FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			For the Period 9/23/16* - 12/31/16
Net asset value, beginning of period	$	10.44		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.18			(0.01	)
Net realized and unrealized gain (loss)		2.38			0.46
Total from investment operations		2.56			0.45
Distributions to shareholders from:
Net investment income		(0.19	)		(0.01	)
Net realized gains		(0.65	)		(0.00	)(b)
Total distributions		(0.84	)		(0.01	)
Net asset value, end of period	$	12.16		$	10.44
Total return (c)		24.61	%		4.49	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,216		$	1,044
Ratios to average net assets:
Total expenses		15.90	%		19.10	%(d)
Net expenses		0.75	%		0.75	%(d)
Net investment income (loss)		1.50	%		(0.33	)%(d)
Portfolio turnover rate		70	%		28	%(e)

 * Commencement of operations.

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

(b) Amount shown represents less than 0.5%.

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

(d) Annualized.

(e) Not annualized.

See accompanying notes to financial statements.

34

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET ASIA PACIFIC VALUE SPOTLIGHT FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	For the Year Ended 12/31/17			Period 9/23/16 - 12/31/16*
Net asset value, beginning of period	$	9.65		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.22			0.04
Net realized and unrealized gain (loss)		2.75			(0.37	)
Total from investment operations		2.97			(0.33	)
Distributions to shareholders from:
Net investment income		(0.22	)		(0.02	)
Net realized gains		(0.35	)		—
Total distributions		(0.57	)		(0.02	)
Net asset value, end of period	$	12.05		$	9.65
Total return (b)		30.86	%		(3.33	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,411		$	1,930
Ratios to average net assets:
Total expenses		8.37	%		9.48	%(c)
Net expenses		0.75	%		0.75	%(c)
Net investment income (loss)		1.98	%		1.33	%(c)
Portfolio turnover rate		37	%		8	%(d)

 * 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 the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results.

(c) Annualized.

(d) Not annualized.

See accompanying notes to financial statements.

35

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET U.S. VALUE SPOTLIGHT FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			For the Period 9/23/16* - 12/31/16
Net asset value, beginning of period	$	10.45		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.13			0.04
Net realized and unrealized gain (loss)		1.75			0.46
Total from investment operations		1.88			0.50
Distributions to shareholders from:
Net investment income		(0.13	)		(0.04	)
Net realized gains		(0.45	)		(0.01	)
Total distributions		(0.58	)		(0.05	)
Net asset value, end of period	$	11.75		$	10.45
Total return (b)		17.98	%		4.92	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,175		$	1,045
Ratios to average net assets:
Total expenses		12.79	%		14.28	%(c)
Net expenses		0.65	%		0.65	%(c)
Net investment income (loss)		1.16	%		1.27	%(c)
Portfolio turnover rate		50	%		11	%(d)

 * 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 the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results.

(c) Annualized.

(d) Not annualized.

See accompanying notes to financial statements.

36

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following series (each a “Fund” and collectively the “Funds”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Global Value Spotlight Fund	Class A Class I Class K	Not commenced Not commenced September 23, 2016	Non-diversified
State Street International Value Spotlight Fund	Class A Class I Class K	Not commenced Not commenced July 14, 2016	Non-diversified
State Street European Value Spotlight Fund	Class A Class I Class K	Not commenced Not commenced September 23, 2016	Non-diversified
State Street Asia Pacific Value Spotlight Fund	Class A Class I Class K	Not commenced Not commenced September 23, 2016	Non-diversified
State Street U.S. Value Spotlight Fund	Class A Class I Class K	Not commenced Not commenced September 23, 2016	Non-diversified

The State Street Global Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund were formed on September 22, 2016 and commenced operations on September 23, 2016. The State Street International Value Spotlight Fund was formed on July 13, 2016 and commenced operations on July 14, 2016.

Class K shares are sold without a sales charge and only to certain eligible investors.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly

37

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

• Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy and procedures approved by the Board.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Funds’ investments.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in each Fund’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Funds had no transfers between levels for the period ended December 31, 2017.

38

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust.

Foreign Currency Translation

The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

As of December 31, 2017, State Street Global Value Spotlight Fund and State Street International Value Spotlight Fund NAV’s were impacted by adjustments to certain foreign tax accruals. The per share impacts were $0.007 and $0.006, respectively, on August 17, 2017.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Derivative Financial Instruments

Forward Foreign Currency Exchange Contracts

Certain Funds may engage in forward foreign currency contracts to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund

39

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Certain risks may arise upon entering into forward foreign currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated contracts, if any. Additionally, when utilizing forward foreign currency exchange contracts to hedge, the Funds give up the opportunity to profit from favorable exchange rate movements during the term of the contract.

For the period ended December 31, 2017, the following Funds entered into forward foreign currency exchange contracts for the strategies listed below:

Funds	Strategies
State Street Global Value Spotlight Fund	Managing the Fund’s Currency Exposure Relative to the Benchmark
State Street European Value Spotlight Fund	Managing the Fund’s Currency Exposure Relative to the Benchmark

The following tables summarize the value of the Funds’ derivative instruments as of December 31, 2017, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:

	Liability Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Value Spotlight Fund
Forward Foreign Currency Exchange Contracts (a)	$	—	$	4,057	$	—	$	—	$	—	$	4,057

(a) Unrealized depreciation on forward foreign currency exchange contracts.

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Value Spotlight Fund
Forward Foreign Currency Exchange Contracts	$	—	$	(7,217	)	$	—	$	—	$	—	$	(7,217	)
State Street European Value Spotlight Fund
Forward Foreign Currency Exchange Contracts		—		(588	)		—		—		—		(588	)

	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Global Value Spotlight Fund
Forward Foreign Currency Exchange Contracts	$	—	$	(3,168	)	$	—	$	—	$	—	$	(3,168	)

For financial reporting purposes, the Funds do not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on their Statements of Assets and Liabilities. The following tables set forth the Funds’ net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2017:

40

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Offsetting of Financial Liabilities and Derivative Liabilities
	Forward Foreign Currency Exchange Contracts
Counterparty	Gross Amounts of Liabilities			Amount Eligible to Offset		Collateral (Received) Pledged		Net Amount
JP Morgan Chase Bank, N.A.	$	(1,361	)	$	—	$	—	$	(1,361	)
Royal Bank of Canada		(1,373	)		—		—		(1,373	)
Westpac Banking Corp.		(1,323	)		—		—		(1,323	)
	$	(4,057	)	$	—	$	—	$	(4,057	)

Amounts presented on the Schedules of Investments and Statements of Assets and Liabilities are not net settlement amounts but gross.

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust, on behalf of the Funds, has entered into an investment advisory agreement with SSGA FM. For the services provided under the investment advisory agreement, each Fund pays the Adviser a fee at an annual rate set forth below, of the Fund’s average daily net assets.

	Annual Rate
State Street Global Value Spotlight Fund		0.75	%
State Street International Value Spotlight Fund		0.75
State Street European Value Spotlight Fund		0.75
State Street Asia Pacific Value Spotlight Fund		0.75
State Street U.S. Value Spotlight Fund		0.65

The Adviser has entered into a sub-advisory agreement with State Street Global Advisors Ireland Limited (the “Sub-Adviser”), a wholly-owned subsidiary of State Street Corporation, pursuant to which the Sub-Adviser will be responsible for the day-to-day management of any assets of the Funds. The Sub-Adviser receives fees from the Adviser for its services provided to the Funds.

SSGA FM is contractually obligated until April 30, 2018, to waive up to the full amount of its advisory fee payable and/or to reimburse the Funds for expenses to the extent that total annual operating expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and any class specific expenses, such as distribution, shareholder servicing, sub-transfer agency fees, and administration fees) exceed the following percentages of average daily net assets on an annual basis.

	Percentage of average net assets
State Street Global Value Spotlight Fund		0.70	%
State Street International Value Spotlight Fund		0.70
State Street European Value Spotlight Fund		0.70
State Street Asia Pacific Value Spotlight Fund		0.70
State Street U.S. Value Spotlight Fund		0.60

The waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

For the period ended December 31, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Funds. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Funds pay annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedules of Investments.

From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 10% Affiliated Account Holders		Percentage of Affiliated Ownership
State Street Global Value Spotlight Fund		1		100.00	%
State Street International Value Spotlight Fund		1		100.00	%
State Street European Value Spotlight Fund		1		100.00	%
State Street Asia Pacific Value Spotlight Fund		1		100.00	%
State Street U.S. Value Spotlight Fund		1		100.00	%

Due to Custodian

In certain circumstances, the Funds may have cash overdraft with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Funds. As of December 31, 2017, the State Street European Value Spotlight Fund has a cash overdraft related to dividend distributions.

42

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Global Value Spotlight Fund	$	1,564,439	$	1,698,868
State Street International Value Spotlight Fund		1,083,081		1,356,491
State Street European Value Spotlight Fund		791,034		789,738
State Street Asia Pacific Value Spotlight Fund		789,117		803,614
State Street U.S. Value Spotlight Fund		560,516		521,313

7. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, foreign currencies, forward foreign currency exchange contracts, passive foreign investment companies and wash sale deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Global Value Spotlight Fund	$	210,536	$	16,256	$	—	$	226,792
State Street International Value Spotlight Fund		257,146		41,175		—		298,321
State Street European Value Spotlight Fund		70,990		12,886		—		83,876
State Street Asia Pacific Value Spotlight Fund		109,831		4,868		—		114,699
State Street U.S. Value Spotlight Fund		55,879		2,143		—		58,022

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Global Value Spotlight Fund	$	8,600	$	—	$	—	$	8,600
State Street International Value Spotlight Fund		41,340		—		—		41,340
State Street European Value Spotlight Fund		880		—		—		880
State Street Asia Pacific Value Spotlight Fund		3,480		—		—		3,480
State Street U.S. Value Spotlight Fund		4,240		—		—		4,240

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Global Value Spotlight Fund	$	13,069	$	—	$	75,040	$	322,105	$	—	$	410,214
State Street International Value Spotlight Fund		12,534		—		53,427		446,426		—		512,387
State Street European Value Spotlight Fund		6,198		—		39,625		170,289		—		216,112
State Street Asia Pacific Value Spotlight Fund		19,502		—		48,514		342,737		—		410,753
State Street U.S. Value Spotlight Fund		4,239		—		19,127		151,705		—		175,071

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Global Value Spotlight Fund	$	2,091,894	$	329,203	$	7,838	$	321,365
State Street International Value Spotlight Fund		2,019,863		474,670		29,711		444,959
State Street European Value Spotlight Fund		1,067,584		170,683		1,709		168,974
State Street Asia Pacific Value Spotlight Fund		2,125,446		383,889		41,209		342,680
State Street U.S. Value Spotlight Fund		1,091,109		163,378		11,673		151,705

8. Line of Credit

The Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Funds and other affiliated funds participated in a $360 million revolving credit facility.

The Funds had no outstanding loans as of December 31, 2017.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

9. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the Funds were more broadly diversified.

Foreign and Emerging Markets Risks

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds’ invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

45

STATE STREET INSTITUTIONAL INVESTMENT TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of State Street Global Value Spotlight Fund, State Street International Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund and the Board of Trustees of State Street Institutional Investment Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of State Street Global Value Spotlight Fund, State Street International Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund (collectively referred to as the “Funds”) (five of the funds constituting State Street Institutional Investment Trust (the “Trust”)), including the schedules of investments, as of December 31, 2017, and the related statements of operations, changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (five of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

Individual fund or portfolio constituting the State Street Institutional Investment Trust	Statement of operations	Statement of changes in net assets	Financial highlights
State Street Global Value Spotlight Fund	For the year ended December 31, 2017	For the year ended December 31, 2017 and the period from September 22, 2016 (commencement of operations) through December 31, 2016
State Street International Value Spotlight Fund	For the year ended December 31, 2017	For the year ended December 31, 2017 and the period from July 13, 2016 (commencement of operations) through December 31, 2016
State Street European Value Spotlight Fund	For the year ended December 31, 2017	For the year ended December 31, 2017 and the period from September 22, 2016 (commencement of operations) through December 31, 2016
State Street Asia Pacific Value Spotlight Fund	For the year ended December 31, 2017	For the year ended December 31, 2017 and the period from September 22, 2016 (commencement of operations) through December 31, 2016
State Street U.S. Value Spotlight Fund	For the year ended December 31, 2017	For the year ended December 31, 2017 and the period from September 22, 2016 (commencement of operations) through December 31, 2016

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as

46

STATE STREET INSTITUTIONAL INVESTMENT TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 each 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Global Value Spotlight Fund		0.75	%	$	1,102.90	$	3.98	$	1,021.40	$	3.82
State Street International Value Spotlight Fund		0.75			1,086.20		3.94		1,021.40		3.82
State Street European Value Spotlight Fund		0.75			1,086.80		3.94		1,021.40		3.82
State Street Asia Pacific Value Spotlight Fund		0.75			1,140.70		4.05		1,021.40		3.82
State Street U.S. Value Spotlight Fund		0.65			1,119.80		3.47		1,021.90		3.31

(a) Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the year multiplied by 184, then divided by 365.

48

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 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. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Qualified Interest Income

Each fund reports the maximum amount allowable of its net taxable income and short-term capital gain as qualified interest income.

Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2017:

	Amount
State Street Global Value Spotlight Fund	$	16,256
State Street International Value Spotlight Fund		41,175
State Street European Value Spotlight Fund		12,886
State Street Asia Pacific Value Spotlight Fund		4,868
State Street U.S. Value Spotlight Fund		2,143

Foreign Tax Credit

The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Global Value Spotlight Fund	$	4,460
State Street International Value Spotlight Fund		8,028
State Street European Value Spotlight Fund		4,127
State Street Asia Pacific Value Spotlight Fund		7,255

The amount of foreign source income earned on the following Funds during the year ended December 31, 2017 were as follows:

	Amount
State Street Global Value Spotlight Fund	$	41,436
State Street International Value Spotlight Fund		72,905
State Street European Value Spotlight Fund		30,429
State Street Asia Pacific Value Spotlight Fund		67,543

49

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.

50

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

51

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees (1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

52

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005- Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

53

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.

54

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 Registered Public 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 Funds

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

SSIITSPOTLTAR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

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

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance, Performance Summary  & Portfolio Statistics (Unaudited)	1
State Street Target Retirement Fund	1
State Street Target Retirement 2015 Fund	4
State Street Target Retirement 2020 Fund	7
State Street Target Retirement 2025 Fund	10
State Street Target Retirement 2030 Fund	13
State Street Target Retirement 2035 Fund	16
State Street Target Retirement 2040 Fund	19
State Street Target Retirement 2045 Fund	22
State Street Target Retirement 2050 Fund	25
State Street Target Retirement 2055 Fund	28
State Street Target Retirement 2060 Fund	31
Schedules of Investments	34
State Street Target Retirement Fund	34
State Street Target Retirement 2015 Fund	36
State Street Target Retirement 2020 Fund	38
State Street Target Retirement 2025 Fund	40
State Street Target Retirement 2030 Fund	42
State Street Target Retirement 2035 Fund	44
State Street Target Retirement 2040 Fund	46
State Street Target Retirement 2045 Fund	48
State Street Target Retirement 2050 Fund	50
State Street Target Retirement 2055 Fund	52
State Street Target Retirement 2060 Fund	53
Financial Statements	54
Financial Highlights	63
Notes to Financial Statements	96
Report of Independent Registered Public Accounting Firm	104
Other Information (Unaudited)	105

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET TARGET RETIREMENT FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement Fund (the “Fund”) seeks current income and, secondarily, capital growth. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.83%, and the Index was 3.54%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement Composite Index (the “Secondary Index”), was 8.77% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its outperformance relative to the fixed income only Index. The Fund slightly outperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, the State Street Global Equity ex-US Index Portfolio, and the State Street Aggregate Bond Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Portfolio Short Term Corporate Bond ETF, the SPDR Portfolio Short Term Treasury ETF, and the SPDR Dow Jones Wilshire Global Real Estate ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

1

STATE STREET TARGET RETIREMENT FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement Fund Class A		8.65%		4.13%
State Street Target Retirement Fund Class I		8.92%		4.39%
State Street Target Retirement Fund Class K		8.83%		4.35%
Bloomberg Barclays U.S. Aggregate Index (1)		3.54%		2.62%

* Inception date is September 30, 2014.

(1) The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.)

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.

See accompanying notes to financial statements.

2

STATE STREET TARGET RETIREMENT FUND

PORTFOLIO STATISTICS (UNAUDITED)

The Target 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 Funds are referred to individually as a “Fund” and collectively as the “Target Retirement Funds” or the “Funds”.

SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) invests the assets of 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 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.

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Fixed Income		46.7	%
Domestic Equity		19.7
Inflation Linked		17.9
International Equity		10.1
Real Estate		5.0
Short Term Investments		1.1
Liabilities in Excess of Other Assets		(0.5	)
TOTAL		100.0	%

See accompanying notes to financial statements.

3

STATE STREET TARGET RETIREMENT 2015 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2015 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 10.39%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2015 Composite Index (the “Secondary Index”), was 10.35% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly outperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, the State Street Global Equity ex-US Index Portfolio, and the State Street Aggregate Bond Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Portfolio Short Term Corporate Bond ETF, the SPDR Portfolio Short Term Treasury ETF, and the SPDR Dow Jones Wilshire Global Real Estate ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

4

STATE STREET TARGET RETIREMENT 2015 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2015 Fund Class A		10.02%		4.75%
State Street Target Retirement 2015 Fund Class I		10.39%		5.04%
State Street Target Retirement 2015 Fund Class K		10.39%		5.06%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

5

STATE STREET TARGET RETIREMENT 2015 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Fixed Income		39.0	%
Domestic Equity		22.9
Inflation Linked		21.1
International Equity		12.2
Real Estate		5.0
Short Term Investments		0.4
Liabilities in Excess of Other Assets		(0.6	)
TOTAL		100.0	%

See accompanying notes to financial statements.

6

STATE STREET TARGET RETIREMENT 2020 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2020 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 13.38%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2020 Composite Index (the “Secondary Index”), was 13.54% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, the State Street Global Equity ex-US Index Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Barclays TIPS ETF, the SPDR Barclays 1-10 Year TIPS ETF, and the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

7

STATE STREET TARGET RETIREMENT 2020 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2020 Fund Class A		13.08%		6.03%
State Street Target Retirement 2020 Fund Class I		13.38%		6.26%
State Street Target Retirement 2020 Fund Class K		13.38%		6.28%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

8

STATE STREET TARGET RETIREMENT 2020 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Fixed Income		32.7	%
Domestic Equity		30.7
International Equity		17.7
Inflation Linked		14.5
Real Estate		4.0
Short Term Investments		0.7
Liabilities in Excess of Other Assets		(0.3	)
TOTAL		100.0	%

See accompanying notes to financial statements.

9

STATE STREET TARGET RETIREMENT 2025 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2025 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 16.52%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2025 Composite Index (the “Secondary Index”), was 16.74% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, the State Street Global Equity ex-US Index Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Dow Jones Wilshire Global Real Estate ETF, the SPDR Barclays TIPS ETF, and the SPDR Barclays Capital US High Yield Bond ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

10

STATE STREET TARGET RETIREMENT 2025 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2025 Fund Class A		16.25%		7.09%
State Street Target Retirement 2025 Fund Class I		16.54%		7.35%
State Street Target Retirement 2025 Fund Class K		16.52%		7.40%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

11

STATE STREET TARGET RETIREMENT 2025 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		39.4	%
Domestic Fixed Income		27.8
International Equity		24.0
Inflation Linked		7.0
Real Estate		1.5
Short Term Investments		0.3
Other Assets in Excess of Liabilities		0.0	*
TOTAL		100.0	%

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

See accompanying notes to financial statements.

12

STATE STREET TARGET RETIREMENT 2030 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2030 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 18.35%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2030 Composite Index (the “Secondary Index”), was 18.47% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Barclays TIPS ETF, the SPDR Barclays Capital US High Yield Bond ETF, and the State Street Aggregate Bond Index Portfolio.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

13

STATE STREET TARGET RETIREMENT 2030 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2030 Fund Class A		17.94%		7.73%
State Street Target Retirement 2030 Fund Class I		18.27%		7.95%
State Street Target Retirement 2030 Fund Class K		18.35%		8.02%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

14

STATE STREET TARGET RETIREMENT 2030 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		44.7	%
International Equity		27.7
Domestic Fixed Income		25.2
Inflation Linked		2.1
Short Term Investments		0.2
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

See accompanying notes to financial statements.

15

STATE STREET TARGET RETIREMENT 2035 FUND

MANAGEMENT’S DISCUSSION OF PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2035 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 19.73%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2035 Composite Index (the “Secondary Index”), was 19.83% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributors to the Fund’s performance were the State Street Aggregate Bond Index Portfolio and the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

16

STATE STREET TARGET RETIREMENT 2035 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2035 Fund Class A		19.34%		8.19%
State Street Target Retirement 2035 Fund Class I		19.56%		8.41%
State Street Target Retirement 2035 Fund Class K		19.73%		8.50%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

17

STATE STREET TARGET RETIREMENT 2035 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		49.1	%
International Equity		30.7
Domestic Fixed Income		19.8
Short Term Investments		0.3
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

See accompanying notes to financial statements.

18

STATE STREET TARGET RETIREMENT 2040 FUND

MANAGMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2040 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 20.69%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2040 Composite Index (the “Secondary Index”), was 20.81% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributors to the Fund’s performance were the State Street Aggregate Bond Index Portfolio and the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

19

STATE STREET TARGET RETIREMENT 2040 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2040 Fund Class A		20.29%		8.46%
State Street Target Retirement 2040 Fund Class I		20.59%		8.73%
State Street Target Retirement 2040 Fund Class K		20.69%		8.77%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

20

STATE STREET TARGET RETIREMENT 2040 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		52.1	%
International Equity		32.7
Domestic Fixed Income		14.8
Short Term Investments		0.2
Other Assets in Excess of Liabilities		0.2
TOTAL		100.0	%

See accompanying notes to financial statements.

21

STATE STREET TARGET RETIREMENT 2045 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2045 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 21.45%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2045 Composite Index (the “Secondary Index”), was 21.67% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributor to the Fund’s performance was the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

22

STATE STREET TARGET RETIREMENT 2045 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2045 Fund Class A		21.15%		8.74%
State Street Target Retirement 2045 Fund Class I		21.45%		9.01%
State Street Target Retirement 2045 Fund Class K		21.45%		9.03%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.    

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

23

STATE STREET TARGET RETIREMENT 2045 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)    

	% of Net Assets
Domestic Equity		55.0	%
International Equity		34.7
Domestic Fixed Income		9.8
Short Term Investments		0.2
Other Assets in Excess of Liabilities		0.3
TOTAL		100.0	%

See accompanying notes to financial statements.

24

STATE STREET TARGET RETIREMENT 2050 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2050 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 21.42%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2050 Composite Index (the “Secondary Index”), was 21.67% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributor to the Fund’s performance was the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

25

STATE STREET TARGET RETIREMENT 2050 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2050 Fund Class A		21.19%		8.69%
State Street Target Retirement 2050 Fund Class I		21.30%		8.91%
State Street Target Retirement 2050 Fund Class K		21.42%		8.92%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

26

STATE STREET TARGET RETIREMENT 2050 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		55.0	%
International Equity		34.7
Domestic Fixed Income		9.8
Short Term Investments		0.3
Other Assets in Excess of Liabilities		0.2
TOTAL		100.0	%

See accompanying notes to financial statements.

27

STATE STREET TARGET RETIREMENT 2055 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2055 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 21.53%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2055 Composite Index (the “Secondary Index”), was 21.67% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributor to the Fund’s performance was the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

28

STATE STREET TARGET RETIREMENT 2055 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED) (CONTINUED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2055 Fund Class A		21.20%		8.67%
State Street Target Retirement 2055 Fund Class I		21.60%		8.97%
State Street Target Retirement 2055 Fund Class K		21.53%		8.93%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

29

STATE STREET TARGET RETIREMENT 2055 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		54.8	%
International Equity		34.6
Domestic Fixed Income		9.8
Short Term Investments		0.2
Other Assets in Excess of Liabilities		0.6
TOTAL		100.0	%

See accompanying notes to financial statements.

30

STATE STREET TARGET RETIREMENT 2060 FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Target Retirement 2060 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 21.57%, and the Index was 21.83%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2060 Composite Index (the “Secondary Index”), was 21.67% for the Reporting Period. The Fund and both the Index and Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund is a “fund of funds” that invests in wide variety of asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. The Fund slightly underperformed the composite Secondary Index. 2017 marked the best year for global equity markets since 2009 as measured by the MSCI All Country World Index (ACWI), posting an approximately 24.6% return for the year. The reflation thematic drove growth assets higher throughout much of 2017 with better than expected global economic data releases, evidenced by the Organization for Economic Cooperation and Expansion (OECD) estimating that all 45 economies it follows were on track to expand in 2017. In the U.S., the S&P 500 Index gained approximately 21.8% for the year as companies posted strong earnings growth and economic data hit multi-year highs with the ISM manufacturing index notching 60.8% in September, which was the highest reading since June of 2004. Outside the U.S., the global equity rally was even more pronounced in 2017 as the MSCI Emerging Markets Index surged nearly 38%, and the MSCI Europe and MSCI Pacific indices gained approximately 26% and 25%, respectively. Subdued volatility and healthy economic growth in the Eurozone, Japan, and China worked in concert with a weaker U.S. dollar to provide tailwinds throughout the year for non-U.S. equities as the dollar declined approximately 10% in 2017. Certain commodities benefited from the weaker U.S. dollar and the pickup in global growth, as oil rallied to 2.5 year highs on improved supply/demand fundamentals with OPEC’s ability to rebalance the market taking shape over the second half of the year. As a group, industrial metals returned close to 30% with copper reaching 3 year highs spurred on by the surge in global Purchasing Managers Index readings and particularly strong demand out of China. However, these gains were offset by weakness in the agriculture complex and the broad Bloomberg Commodities Index experienced only a modest gain of approximately 1.7% on the year.

Within fixed income, 2017 could be characterized by the flattening of the U.S. yield curve as short-term interest rates were pushed up 70 basis points by the Fed’s three interest rate hikes, while long-term interest rates remained well anchored by the drop in inflation expectations. Both the U.S. 10 year treasury yield and the 10 year breakeven rate closed the year nearly unchanged from where they started 2017, settling at just over 2.4% and 2%, respectively. As a result of the flatter yield curve environment, long duration treasury bonds experienced strong performance in 2017, ending the year up over 8.5%. U.S. credit markets fared especially well and were beneficiaries of investors’ appetite for risky assets with option adjusted spreads (OAS) in investment grade and high yield bonds steadily declining throughout the year before finishing 2017 near the lowest levels of this economic cycle. The tighter spread and flatter yield curve combined to help the Bloomberg Barclays U.S. Long Credit Index finish the year with a robust 12.2% approximate gain, while the Barclays U.S. High Yield Index returned approximately 7.5% for the year.

The Fund did not invest in derivatives during the Reporting Period.

The top positive contributors to the Fund’s performance were the State Street Global Equity ex-US Index Portfolio, the State Street Equity 500 Index II Portfolio, and the State Street Small/Mid Cap Equity Index Portfolio. The top negative contributor to the Fund’s performance was the SPDR Portfolio Long Term Treasury ETF.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

31

STATE STREET TARGET RETIREMENT 2060 FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Target Retirement 2060 Fund Class A		21.24%		8.65%
State Street Target Retirement 2060 Fund Class I		21.45%		8.89%
State Street Target Retirement 2060 Fund Class K		21.57%		8.91%
S&P 500 Index (1)		21.83%		12.13%

* Inception date is September 30, 2014.

(1) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500^® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups.

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.

See accompanying notes to financial statements.

32

STATE STREET TARGET RETIREMENT 2060 FUND

PORTFOLIO STATISTICS (UNAUDITED)

Asset Allocation as of December 31, 2017 (as a percentage of Net Assets)

	% of Net Assets
Domestic Equity		54.8	%
International Equity		34.5
Domestic Fixed Income		9.8
Short Term Investments		1.1
Liabilities in Excess of Other Assets		(0.2	)
TOTAL		100.0	%

See accompanying notes to financial statements.

33

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a)
DOMESTIC EQUITY — 19.7%
State Street Equity 500 Index II Portfolio		1,722,843	$	22,517,564
State Street Small/Mid Cap Equity Index Portfolio		350,686		4,243,297
				26,760,861
DOMESTIC FIXED INCOME — 46.7%
SPDR Bloomberg Barclays High Yield Bond ETF		257,521		9,456,171
SPDR Portfolio Short Term Corporate Bond ETF		177,386		5,396,082
SPDR Portfolio Short Term Treasury ETF		714,687		21,351,060
State Street Aggregate Bond Index Portfolio		2,706,569		27,065,687
				63,269,000
INFLATION LINKED — 17.9%
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		1,261,325		24,330,959
INTERNATIONAL EQUITY — 10.1%
State Street Global Equity ex-U.S. Index Portfolio		1,271,615		13,746,163
REAL ESTATE — 5.0%
SPDR Dow Jones Global Real Estate ETF		138,619		6,775,697
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $132,240,022)				134,882,680
SHORT-TERM INVESTMENT — 1.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $1,512,269)		1,512,269		1,512,269
TOTAL INVESTMENTS — 100.5% (Cost $133,752,291)				136,394,949
Liabilities In Excess Of Other Assets — (0.5)%				(736,114	)
NET ASSETS — 100.0%			$	135,658,835

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	26,760,861	$	—	$	—	$	26,760,861
Domestic Fixed Income		63,269,000		—		—		63,269,000
Inflation Linked		24,330,959		—		—		24,330,959
International Equity		13,746,163		—		—		13,746,163
Real Estate		6,775,697		—		—		6,775,697
Short-Term Investment		1,512,269		—		—		1,512,269
TOTAL INVESTMENTS	$	136,394,949	$	—	$	—	$	136,394,949

See accompanying notes to financial statements.

34

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		522,357	$	10,107,608	$	16,826,661	$	2,422,658	$	32,217		$	(212,869	)		1,261,325	$	24,330,959	$	519,910	$	—
SPDR Bloomberg Barclays High Yield Bond ETF		108,415		3,951,727		6,738,202		1,252,237		75,412			(56,933	)		257,521		9,456,171		356,312		—
SPDR Dow Jones Global Real Estate ETF		60,746		2,846,557		4,587,071		819,786		7,284			154,571			138,619		6,775,697		151,720		—
SPDR Portfolio Short Term Corporate Bond ETF		73,883		2,255,648		5,928,287		2,764,574		(7,297	)		(15,982	)		177,386		5,396,082		72,650		—
SPDR Portfolio Short Term Treasury ETF		295,962		8,893,658		15,476,683		2,911,220		(28,535	)		(79,526	)		714,687		21,351,060		173,754		—
State Street Aggregate Bond Index Portfolio		1,140,689		11,304,230		19,119,989		3,486,953		(41,546	)		169,967			2,706,569		27,065,687		429,769		—
State Street Equity 500 Index II Portfolio		828,939		9,383,593		15,859,986		4,754,077		757,218			1,270,844			1,722,843		22,517,564		336,383		525,061
State Street Global Equity ex-U.S. Index Portfolio		659,493		5,763,966		9,254,246		3,234,708		474,542			1,488,117			1,271,615		13,746,163		227,980		42,289
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		41,201,569		39,689,300		—			—			1,512,269		1,512,269		4,310		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		106,318		106,318		21,061,084		21,167,402		—			—			—		—		983		—
State Street Small/Mid Cap Equity Index Portfolio		166,447		1,772,660		2,845,910		729,890		146,220			208,397			350,686		4,243,297		37,924		82,846
Total			$	56,385,965	$	158,899,688	$	83,232,805	$	1,415,515		$	2,926,586				$	136,394,949	$	2,311,695	$	650,196

See accompanying notes to financial statements.

35

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2015 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.2% (a)
DOMESTIC EQUITY — 22.9%
State Street Equity 500 Index II Portfolio		3,712,837	$	48,526,773
State Street Small/Mid Cap Equity Index Portfolio		648,841		7,850,978
				56,377,751
DOMESTIC FIXED INCOME — 39.0%
SPDR Bloomberg Barclays High Yield Bond ETF		471,983		17,331,216
SPDR Portfolio Short Term Corporate Bond ETF		162,611		4,946,627
SPDR Portfolio Short Term Treasury ETF		645,897		19,295,979
State Street Aggregate Bond Index Portfolio		5,447,111		54,471,108
				96,044,930
INFLATION LINKED — 21.1%
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		2,695,928		52,004,451
INTERNATIONAL EQUITY — 12.2%
State Street Global Equity ex-U.S. Index Portfolio		2,782,326		30,076,951
REAL ESTATE — 5.0%
SPDR Dow Jones Global Real Estate ETF		253,572		12,394,599
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $241,458,763)				246,898,682
SHORT-TERM INVESTMENT — 0.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $959,567)		959,567		959,567
TOTAL INVESTMENTS — 100.6% (Cost $242,418,330)				247,858,249
Liabilities In Excess Of Other Assets — (0.6)%				(1,562,370	)
NET ASSETS — 100.0%			$	246,295,879

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	56,377,751	$	—	$	—	$	56,377,751
Domestic Fixed Income		96,044,930		—		—		96,044,930
Inflation Linked		52,004,451		—		—		52,004,451
International Equity		30,076,951		—		—		30,076,951
Real Estate		12,394,599		—		—		12,394,599
Short-Term Investment		959,567		—		—		959,567
TOTAL INVESTMENTS	$	247,858,249	$	—	$	—	$	247,858,249

See accompanying notes to financial statements.

36

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2015 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		749,088	$	14,494,853	$	44,383,573	$	6,455,126	$	(138,660	)	$	(280,189	)		2,695,928	$	52,004,451	$	1,034,705	$	—
SPDR Bloomberg Barclays High Yield Bond ETF		139,926		5,100,303		16,190,133		3,975,858		76,152			(59,514	)		471,983		17,331,216		599,383		—
SPDR Dow Jones Global Real Estate ETF		78,412		3,674,386		10,483,226		1,990,203		(133,905	)		361,095			253,572		12,394,599		247,001		—
SPDR Portfolio Short Term Corporate Bond ETF		35,759		1,091,722		6,834,829		2,958,826		(13,436	)		(7,662	)		162,611		4,946,627		53,634		—
SPDR Portfolio Short Term Treasury ETF		139,454		4,190,593		17,796,542		2,597,203		(40,755	)		(53,198	)		645,897		19,295,979		128,389		—
State Street Aggregate Bond Index Portfolio		1,693,129		16,778,907		45,292,868		7,855,422		(244,727	)		499,482			5,447,111		54,471,108		801,298		—
State Street Equity 500 Index II Portfolio		1,327,710		15,029,680		42,368,600		12,936,418		1,460,439			2,604,472			3,712,837		48,526,773		635,079		991,297
State Street Global Equity ex-U.S. Index Portfolio		1,104,279		9,651,396		25,671,054		9,475,927		1,255,869			2,974,559			2,782,326		30,076,951		441,147		81,830
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		66,707,281		65,747,714		—			—			959,567		959,567		3,976		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		206,879		206,879		43,457,647		43,664,526		—			—			—		—		1,566		—
State Street Small/Mid Cap Equity Index Portfolio		246,404		2,624,201		6,879,957		2,291,510		329,423			308,905			648,841		7,850,978		62,774		137,132
Total			$	72,842,920	$	326,065,710	$	159,948,733	$	2,550,400		$	6,347,950				$	247,858,249	$	4,008,952	$	1,210,259

See accompanying notes to financial statements.

37

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2020 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a)
DOMESTIC EQUITY — 30.7%
State Street Equity 500 Index II Portfolio		15,046,398	$	196,656,415
State Street Small/Mid Cap Equity Index Portfolio		3,453,558		41,788,055
				238,444,470
DOMESTIC FIXED INCOME — 32.7%
SPDR Bloomberg Barclays High Yield Bond ETF		1,266,946		46,522,257
SPDR Portfolio Long Term Treasury ETF		382,227		13,985,686
State Street Aggregate Bond Index Portfolio		19,384,934		193,849,339
				254,357,282
INFLATION LINKED — 14.5%
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		4,622,893		89,175,606
SPDR Bloomberg Barclays TIPS ETF		413,971		23,285,869
				112,461,475
INTERNATIONAL EQUITY — 17.7%
State Street Global Equity ex-U.S. Index Portfolio		12,706,587		137,358,201
REAL ESTATE — 4.0%
SPDR Dow Jones Global Real Estate ETF		636,734		31,123,558
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $738,461,141)				773,744,986
SHORT-TERM INVESTMENT — 0.7%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $5,094,506)		5,094,506		5,094,506
TOTAL INVESTMENTS — 100.3% (Cost $743,555,647)				778,839,492
Liabilities In Excess Of Other Assets —(0.3)%				(2,376,314	)
NET ASSETS — 100.0%			$	776,463,178

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	238,444,470	$	—	$	—	$	238,444,470
Domestic Fixed Income		254,357,282		—		—		254,357,282
Inflation Linked		112,461,475		—		—		112,461,475
International Equity		137,358,201		—		—		137,358,201
Real Estate		31,123,558		—		—		31,123,558
Short-Term Investment		5,094,506		—		—		5,094,506
TOTAL INVESTMENTS	$	778,839,492	$	—	$	—	$	778,839,492

See accompanying notes to financial statements.

38

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2020 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays 1-10 Year TIPS ETF		851,877	$	16,483,820	$	75,203,470	$	1,722,904	$	(1,639	)	$	(787,141	)		4,622,893	$	89,175,606	$	1,645,683	$	—
SPDR Bloomberg Barclays High Yield Bond ETF		389,698		14,204,492		36,876,048		4,575,544		133,669			(116,408	)		1,266,946		46,522,257		1,798,819		—
SPDR Bloomberg Barclays TIPS ETF		253,001		14,216,430		24,814,952		15,683,227		(392,209	)		329,923			413,971		23,285,869		753,672		—
SPDR Dow Jones Global Real Estate ETF		178,473		8,363,245		22,562,595		466,851		6,790			657,779			636,734		31,123,558		665,882		—
SPDR Portfolio Long Term Treasury ETF		94,754		6,527,603		12,360,070		5,518,186		(586,963	)		1,203,162			382,227		13,985,686		329,807		—
State Street Aggregate Bond Index Portfolio		5,500,578		54,510,728		145,999,530		7,517,858		(72,940	)		929,879			19,384,934		193,849,339		3,026,718		—
State Street Equity 500 Index II Portfolio		5,538,453		62,695,292		143,460,665		27,715,511		3,928,580			14,287,389			15,046,398		196,656,415		3,109,341		4,853,384
State Street Global Equity ex-U.S. Index Portfolio		5,133,472		44,866,542		97,234,461		25,278,346		3,584,660			16,950,884			12,706,587		137,358,201		2,427,335		450,255
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		127,700,042		122,605,536		—			—			5,094,506		5,094,506		10,836		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		275,062		275,062		98,269,189		98,544,251		—			—			—		—		4,264		—
State Street Small/Mid Cap Equity Index Portfolio		1,320,755		14,066,036		29,765,890		5,713,432		1,023,307			2,646,254			3,453,558		41,788,055		400,629		875,175
Total			$	236,209,250	$	814,246,912	$	315,341,646	$	7,623,255		$	36,101,721				$	778,839,492	$	14,172,986	$	6,178,814

See accompanying notes to financial statements.

39

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2025 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a)
DOMESTIC EQUITY — 39.4%
State Street Equity 500 Index II Portfolio		20,090,344	$	262,580,800
State Street Small/Mid Cap Equity Index Portfolio		5,428,619		65,686,288
				328,267,088
DOMESTIC FIXED INCOME — 27.8%
SPDR Bloomberg Barclays High Yield Bond ETF		1,359,223		49,910,669
SPDR Portfolio Long Term Treasury ETF		1,548,775		56,669,677
State Street Aggregate Bond Index Portfolio		12,478,413		124,784,128
				231,364,474
INFLATION LINKED — 7.0%
SPDR Bloomberg Barclays TIPS ETF		1,036,247		58,288,894
INTERNATIONAL EQUITY — 24.0%
State Street Global Equity ex-U.S. Index Portfolio		18,474,392		199,708,175
REAL ESTATE — 1.5%
SPDR Dow Jones Global Real Estate ETF		256,072		12,516,799
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $780,097,530)				830,145,430
SHORT-TERM INVESTMENT — 0.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $2,186,781)		2,186,781		2,186,781
TOTAL INVESTMENTS — 100.0% (Cost $782,284,311)				832,332,211
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (d)				95,077
NET ASSETS — 100.0%			$	832,427,288

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

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

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	328,267,088	$	—	$	—	$	328,267,088
Domestic Fixed Income		231,364,474		—		—		231,364,474
Inflation Linked		58,288,894		—		—		58,288,894
International Equity		199,708,175		—		—		199,708,175
Real Estate		12,516,799		—		—		12,516,799
Short-Term Investment		2,186,781		—		—		2,186,781
TOTAL INVESTMENTS	$	832,332,211	$	—	$	—	$	832,332,211

See accompanying notes to financial statements.

40

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2025 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays High Yield Bond ETF		303,086	$	11,047,485	$	41,923,128	$	2,994,244	$	97,393		$	(163,093	)		1,359,223	$	49,910,669	$	1,717,251	$	—
SPDR Bloomberg Barclays TIPS ETF		211,621		11,891,238		46,986,649		409,528		11,713			(191,178	)		1,036,247		58,288,894		1,176,318		—
SPDR Dow Jones Global Real Estate ETF		44,954		2,106,544		10,202,939		30,148		(346	)		237,810			256,072		12,516,799		226,440		—
SPDR Portfolio Long Term Treasury ETF		235,114		16,197,004		42,909,011		4,380,316		(409,986	)		2,353,964			1,548,775		56,669,677		1,062,199		—
State Street Aggregate Bond Index Portfolio		3,053,373		30,258,930		95,869,653		1,840,409		(6,165	)		502,119			12,478,413		124,784,128		1,908,510		—
State Street Equity 500 Index II Portfolio		5,917,934		66,991,012		192,715,504		19,160,304		2,913,200			19,121,388			20,090,344		262,580,800		4,114,227		6,421,915
State Street Global Equity ex-U.S. Index Portfolio		5,955,335		52,049,631		141,934,054		21,350,689		3,105,402			23,969,777			18,474,392		199,708,175		3,488,465		647,088
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		123,910,180		121,723,399		—			—			2,186,781		2,186,781		12,046		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		476,724		476,724		93,121,478		93,598,202		—			—			—		—		4,429		—
State Street Small/Mid Cap Equity Index Portfolio		1,640,714		17,473,607		47,670,514		4,704,210		793,743			4,452,634			5,428,619		65,686,288		621,180		1,356,971
Total			$	208,492,175	$	837,243,110	$	270,191,449	$	6,504,954		$	50,283,421				$	832,332,211	$	14,331,065	$	8,425,974

See accompanying notes to financial statements.

41

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2030 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a)
DOMESTIC EQUITY — 44.7%
State Street Equity 500 Index II Portfolio		20,629,499	$	269,627,548
State Street Small/Mid Cap Equity Index Portfolio		6,549,784		79,252,393
				348,879,941
DOMESTIC FIXED INCOME — 25.2%
SPDR Bloomberg Barclays High Yield Bond ETF		616,596		22,641,405
SPDR Portfolio Long Term Treasury ETF		2,094,654		76,643,390
State Street Aggregate Bond Index Portfolio		9,758,539		97,585,390
				196,870,185
INFLATION LINKED — 2.1%
SPDR Bloomberg Barclays TIPS ETF		291,802		16,413,862
INTERNATIONAL EQUITY — 27.7%
State Street Global Equity ex-U.S. Index Portfolio		20,041,728		216,651,082
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $719,893,945)				778,815,070
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $1,259,043)		1,259,043		1,259,043
TOTAL INVESTMENTS — 99.9% (Cost $721,152,988)				780,074,113
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				718,908
NET ASSETS — 100.0%			$	780,793,021

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	348,879,941	$	—	$	—	$	348,879,941
Domestic Fixed Income		196,870,185		—		—		196,870,185
Inflation Linked		16,413,862		—		—		16,413,862
International Equity		216,651,082		—		—		216,651,082
Short-Term Investment		1,259,043		—		—		1,259,043
TOTAL INVESTMENTS	$	780,074,113	$	—	$	—	$	780,074,113

See accompanying notes to financial statements.

42

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2030 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays High Yield Bond ETF		142,960	$	5,210,892	$	17,544,775	$	80,265	$	5,933		$	(39,930	)		616,596	$	22,641,405	$	763,353	$	—
SPDR Bloomberg Barclays TIPS ETF		68,601		3,854,773		12,626,100		20,072		513			(47,452	)		291,802		16,413,862		338,326		—
SPDR Portfolio Long Term Treasury ETF		321,497		22,147,928		53,310,766		1,418,798		25,578			2,577,916			2,094,654		76,643,390		1,379,778		—
State Street Aggregate Bond Index Portfolio		2,746,525		27,218,059		70,683,133		720,000		(17,571	)		421,769			9,758,539		97,585,390		1,547,407		—
State Street Equity 500 Index II Portfolio		6,991,050		79,138,687		180,929,014		14,002,256		2,262,109			21,299,994			20,629,499		269,627,548		4,410,337		6,884,116
State Street Global Equity ex-U.S. Index Portfolio		7,389,682		64,585,823		139,380,954		17,421,259		1,842,039			28,263,525			20,041,728		216,651,082		3,948,216		732,368
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		100,066,904		98,807,861		—			—			1,259,043		1,259,043		10,684		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		519,504		519,504		72,129,689		72,649,193		—			—			—		—		3,652		—
State Street Small/Mid Cap Equity Index Portfolio		2,246,580		23,926,080		51,979,875		3,160,125		630,023			5,876,540			6,549,784		79,252,393		780,158		1,704,256
Total			$	226,601,746	$	698,651,210	$	208,279,829	$	4,748,624		$	58,352,362				$	780,074,113	$	13,181,911	$	9,320,740

See accompanying notes to financial statements.

43

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2035 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a)
DOMESTIC EQUITY — 49.1%
State Street Equity 500 Index II Portfolio		16,467,535	$	215,230,681
State Street Small/Mid Cap Equity Index Portfolio		5,944,860		71,932,805
				287,163,486
DOMESTIC FIXED INCOME — 19.8%
SPDR Portfolio Long Term Treasury ETF		1,570,857		57,477,658
State Street Aggregate Bond Index Portfolio		5,850,989		58,509,891
				115,987,549
INTERNATIONAL EQUITY — 30.7%
State Street Global Equity ex-U.S. Index Portfolio		16,628,131		179,750,100
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $535,210,617)				582,901,135
SHORT-TERM INVESTMENT — 0.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $1,564,695)		1,564,695		1,564,695
TOTAL INVESTMENTS — 99.9% (Cost $536,775,312)				584,465,830
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				749,676
NET ASSETS — 100.0%			$	585,215,506

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	287,163,486	$	—	$	—	$	287,163,486
Domestic Fixed Income		115,987,549		—		—		115,987,549
International Equity		179,750,100		—		—		179,750,100
Short-Term Investment		1,564,695		—		—		1,564,695
TOTAL INVESTMENTS	$	584,465,830	$	—	$	—	$	584,465,830

See accompanying notes to financial statements.

44

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2035 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		235,292	$	16,209,266	$	40,658,034	$	1,296,988	$	(95,411	)	$	2,002,757		1,570,857	$	57,477,658	$	1,009,701	$	—
State Street Aggregate Bond Index Portfolio		1,507,436		14,938,693		43,747,114		395,908		(2,780	)		222,772		5,850,989		58,509,891		873,399		—
State Street Equity 500 Index II Portfolio		5,409,606		61,236,743		144,407,604		8,584,636		1,597,429			16,573,541		16,467,535		215,230,681		3,462,388		5,404,456
State Street Global Equity ex-U.S. Index Portfolio		5,944,761		51,957,210		114,639,055		11,069,474		1,560,991			22,662,318		16,628,131		179,750,100		3,222,124		597,683
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		69,730,959		68,166,264		—			—		1,564,695		1,564,695		8,037		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		415,810		415,810		51,674,649		52,090,459		—			—		—		—		2,782		—
State Street Small/Mid Cap Equity Index Portfolio		1,982,769		21,116,491		47,322,984		2,261,970		502,844			5,252,456		5,944,860		71,932,805		697,504		1,523,700
Total			$	165,874,213	$	512,180,399	$	143,865,699	$	3,563,073		$	46,713,844			$	584,465,830	$	9,275,935	$	7,525,839

See accompanying notes to financial statements.

45

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2040 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a)
DOMESTIC EQUITY — 52.1%
State Street Equity 500 Index II Portfolio		13,164,131	$	172,055,194
State Street Small/Mid Cap Equity Index Portfolio		5,537,195		67,000,062
				239,055,256
DOMESTIC FIXED INCOME — 14.8%
SPDR Portfolio Long Term Treasury ETF		1,230,947		45,040,351
State Street Aggregate Bond Index Portfolio		2,291,585		22,915,850
				67,956,201
INTERNATIONAL EQUITY — 32.7%
State Street Global Equity ex-U.S. Index Portfolio		13,911,675		150,385,201
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $413,141,332)				457,396,658
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $977,747)		977,747		977,747
TOTAL INVESTMENTS — 99.8% (Cost $414,119,079)				458,374,405
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				777,389
NET ASSETS — 100.0%			$	459,151,794

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	239,055,256	$	—	$	—	$	239,055,256
Domestic Fixed Income		67,956,201		—		—		67,956,201
International Equity		150,385,201		—		—		150,385,201
Short-Term Investment		977,747		—		—		977,747
TOTAL INVESTMENTS	$	458,374,405	$	—	$	—	$	458,374,405

See accompanying notes to financial statements.

See accompanying notes to financial statements.

46

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2040 FUND

SCHEDULE OF INVESTMENTS (continued)    

December 31, 2017    

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		204,304	$	14,074,503	$	29,861,484	$	492,838	$	19,291		$	1,577,911		1,230,947	$	45,040,351	$	831,079	$	—
State Street Aggregate Bond Index Portfolio		581,656		5,764,211		17,136,136		70,000		(1,345	)		86,848		2,291,585		22,915,850		338,462		—
State Street Equity 500 Index II Portfolio		4,792,971		54,256,435		107,993,568		5,702,141		846,835			14,660,497		13,164,131		172,055,194		2,869,399		4,478,859
State Street Global Equity ex-U.S. Index Portfolio		5,494,710		48,023,763		90,560,235		9,570,361		572,566			20,798,998		13,911,675		150,385,201		2,791,436		517,793
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		48,834,939		47,857,192		—			—		977,747		977,747		5,981		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		383,493		383,493		41,014,703		41,398,196		—			—		—		—		2,231		—
State Street Small/Mid Cap Equity Index Portfolio		2,031,247		21,632,779		41,451,413		1,720,663		284,315			5,352,218		5,537,195		67,000,062		672,069		1,468,136
Total			$	144,135,184	$	376,852,478	$	106,811,391	$	1,721,662		$	42,476,472			$	458,374,405	$	7,510,657	$	6,464,788

See accompanying notes to financial statements.

47

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2045 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a)
DOMESTIC EQUITY — 55.0%
State Street Equity 500 Index II Portfolio		8,771,581	$	114,644,564
State Street Small/Mid Cap Equity Index Portfolio		4,225,019		51,122,726
				165,767,290
DOMESTIC FIXED INCOME — 9.8%
SPDR Portfolio Long Term Treasury ETF		806,650		29,515,324
INTERNATIONAL EQUITY — 34.7%
State Street Global Equity ex-U.S. Index Portfolio		9,683,484		104,678,466
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $271,582,809)				299,961,080
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $581,194)		581,194		581,194
TOTAL INVESTMENTS — 99.7% (Cost $272,164,003)				300,542,274
OTHER ASSETS IN EXCESS OF LIABILITIES —0.3%				804,447
NET ASSETS — 100.0%S			$	301,346,721

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	165,767,290	$	—	$	—	$	165,767,290
Domestic Fixed Income		29,515,324		—		—		29,515,324
International Equity		104,678,466		—		—		104,678,466
Short-Term Investment		581,194		—		—		581,194
TOTAL INVESTMENTS	$	300,542,274	$	—	$	—	$	300,542,274

See accompanying notes to financial statements.

48

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2045 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		109,425	$	7,538,288	$	21,662,057	$	680,190	$	(20,555	)	$	1,015,724		806,650	$	29,515,324	$	526,862	$	—
State Street Equity 500 Index II Portfolio		2,591,396		29,334,598		78,738,840		3,070,963		608,137			9,033,952		8,771,581		114,644,564		1,923,164		3,001,874
State Street Global Equity ex-U.S. Index Portfolio		3,085,449		26,966,824		68,963,419		5,178,372		763,650			13,162,945		9,683,484		104,678,466		1,950,686		361,840
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		42,092,975		41,511,781		—			—		581,194		581,194		4,255		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		186,283		186,283		32,484,163		32,670,446		—			—		—		—		1,551		—
State Street Small/Mid Cap Equity Index Portfolio		1,230,788		13,107,891		34,483,275		470,000		104,443			3,897,117		4,225,019		51,122,726		512,690		1,119,973
Total			$	77,133,884	$	278,424,729	$	83,581,752	$	1,455,675		$	27,109,738			$	300,542,274	$	4,919,208	$	4,483,687

See accompanying notes to financial statements.

49

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2050 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a)
DOMESTIC EQUITY — 55.0%
State Street Equity 500 Index II Portfolio		6,186,960	$	80,863,563
State Street Small/Mid Cap Equity Index Portfolio		2,977,585		36,028,778
				116,892,341
DOMESTIC FIXED INCOME — 9.8%
SPDR Portfolio Long Term Treasury ETF		569,877		20,851,799
INTERNATIONAL EQUITY — 34.7%
State Street Global Equity ex-U.S. Index Portfolio		6,823,378		73,760,721
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $190,623,592)				211,504,861
SHORT-TERM INVESTMENT — 0.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $573,931)		573,931		573,931
TOTAL INVESTMENTS — 99.8% (Cost $191,197,523)				212,078,792
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				486,613
NET ASSETS — 100.0%			$	212,565,405

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	116,892,341	$	—	$	—	$	116,892,341
Domestic Fixed Income		20,851,799		—		—		20,851,799
International Equity		73,760,721		—		—		73,760,721
Short-Term Investment		573,931		—		—		573,931
TOTAL INVESTMENTS	$	212,078,792	$	—	$	—	$	212,078,792

See accompanying notes to financial statements.

50

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2050 FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		68,486	$	4,718,001	$	15,705,064	$	295,638	$	(7,413	)	$	731,785		569,877	$	20,851,799	$	388,318	$	—
State Street Equity 500 Index II Portfolio		1,623,760		18,380,960		57,456,463		2,141,611		408,962			6,758,789		6,186,960		80,863,563		1,407,972		2,197,710
State Street Global Equity ex-U.S. Index Portfolio		1,931,105		16,877,862		50,484,802		3,827,435		538,582			9,686,910		6,823,378		73,760,721		1,428,048		264,893
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		28,637,788		28,063,857		—			—		573,931		573,931		3,018		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		151,225		151,225		26,241,646		26,392,871		—			—		—		—		1,227		—
State Street Small/Mid Cap Equity Index Portfolio		770,307		8,203,774		25,392,554		518,990		102,286			2,849,154		2,977,585		36,028,778		375,385		820,031
Total			$	48,331,822	$	203,918,317	$	61,240,402	$	1,042,417		$	20,026,638			$	212,078,792	$	3,603,968	$	3,282,634

See accompanying notes to financial statements.

51

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2055 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.2% (a)
DOMESTIC EQUITY — 54.8%
State Street Equity 500 Index II Portfolio		2,371,392	$	30,994,088
State Street Small/Mid Cap Equity Index Portfolio		1,141,704		13,814,619
				44,808,707
DOMESTIC FIXED INCOME — 9.8%
SPDR Portfolio Long Term Treasury ETF		218,345		7,989,244
INTERNATIONAL EQUITY — 34.6%
State Street Global Equity ex-U.S. Index Portfolio		2,616,740		28,286,957
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $74,293,612)				81,084,908
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $184,759)		184,759		184,759
TOTAL INVESTMENTS — 99.4% (Cost $74,478,371)				81,269,667
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%				466,196
NET ASSETS — 100.0%			$	81,735,863

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	44,808,707	$	—	$	—	$	44,808,707
Domestic Fixed Income		7,989,244		—		—		7,989,244
International Equity		28,286,957		—		—		28,286,957
Short-Term Investment		184,759		—		—		184,759
TOTAL INVESTMENTS	$	81,269,667	$	—	$	—	$	81,269,667

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		26,978	$	1,858,515	$	6,151,881	$	275,360	$	(2,622	)	$	256,830		218,345	$	7,989,244	$	133,211	$	—
State Street Equity 500 Index II Portfolio		638,889		7,232,227		22,594,377		1,143,461		192,045			2,118,900		2,371,392		30,994,088		538,195		840,072
State Street Global Equity ex-U.S. Index Portfolio		760,683		6,648,369		19,751,295		1,472,047		164,665			3,194,675		2,616,740		28,286,957		546,040		101,287
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		17,275,301		17,090,542		—			—		184,759		184,759		1,460		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		40,625		40,625		12,707,173		12,747,798		—			—		—		—		559		—
State Street Small/Mid Cap Equity Index Portfolio		303,441		3,231,648		9,817,032		218,688		32,321			952,306		1,141,704		13,814,619		143,528		313,537
Total			$	19,011,384	$	88,297,059	$	32,947,896	$	386,409		$	6,522,711			$	81,269,667	$	1,362,993	$	1,254,896

See accompanying notes to financial statements.

52

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT 2060 FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.1% (a)
DOMESTIC EQUITY — 54.8%
State Street Equity 500 Index II Portfolio		357,976	$	4,678,748
State Street Small/Mid Cap Equity Index Portfolio		172,166		2,083,218
				6,761,966
DOMESTIC FIXED INCOME — 9.8%
SPDR Portfolio Long Term Treasury ETF		33,036		1,208,787
INTERNATIONAL EQUITY — 34.5%
State Street Global Equity ex-U.S. Index Portfolio		394,362		4,263,053
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $11,381,122)				12,233,806
SHORT-TERM INVESTMENT — 1.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $130,547)		130,547		130,547
TOTAL INVESTMENTS — 100.2% (Cost $11,511,669)				12,364,353
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%				(20,123	)
NET ASSETS — 100.0%			$	12,344,230

(a) Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	6,761,966	$	—	$	—	$	6,761,966
Domestic Fixed Income		1,208,787		—		—		1,208,787
International Equity		4,263,053		—		—		4,263,053
Short-Term Investment		130,547		—		—		130,547
TOTAL INVESTMENTS	$	12,364,353	$	—	$	—	$	12,364,353

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Portfolio Long Term Treasury ETF		5,203	$	358,434	$	1,171,879	$	354,299	$	(26,643	)	$	59,416		33,036	$	1,208,787	$	18,012	$	—
State Street Equity 500 Index II Portfolio		123,213		1,394,774		3,407,240		434,103		61,804			249,033		357,976		4,678,748		77,871		121,548
State Street Global Equity ex-U.S. Index Portfolio		145,739		1,273,762		2,924,133		385,946		57,882			393,222		394,362		4,263,053		79,003		14,654
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		3,962,931		3,832,384		—			—		130,547		130,547		349		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		—		—		1,358,761		1,358,761		—			—		—		—		57		—
State Street Small/Mid Cap Equity Index Portfolio		58,520		623,241		1,416,290		93,100		14,657			122,130		172,166		2,083,218		20,768		45,366
Total			$	3,650,211	$	14,241,234	$	6,458,593	$	107,700		$	823,801			$	12,364,353	$	196,060	$	181,568

See accompanying notes to financial statements.

53

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017

	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 affiliated issuers, at value	$	136,394,949		$	247,858,249		$	778,839,492		$	832,332,211
Cash		350,070			191			134			479
Receivable for investments sold		1,610,377			5,330,769			20,799,007			14,100,207
Receivable for fund shares sold		787,677			184,427			1,450,342			1,095,243
Dividends receivable — affiliated issuers		5,080			3,946			4,677			13,900
Receivable from Adviser		2,901			—			—			—
Prepaid expenses and other assets		19			33			116			119
TOTAL ASSETS		139,151,073			253,377,615			801,093,768			847,542,159
LIABILITIES
Payable for investments purchased		3,205,020			5,781,772			24,361,766			14,650,270
Payable for fund shares repurchased		221,254			1,216,822			34,830			262,771
Advisory fee payable		4,740			18,202			138,376			101,818
Custodian fees payable		3,987			3,794			4,150			3,378
Administration fees payable		4,913			8,373			28,324			30,423
Distribution fees payable		24			24			29			28
Transfer agent fees payable		12,645			12,642			12,899			13,035
Sub-transfer agent fee payable		282			149			336			323
Registration and filing fees payable		2,041			4,235			18,634			22,542
Professional fees payable		30,172			30,172			30,174			30,173
Printing and postage fees payable		7,142			5,521			968			—
Accrued expenses and other liabilities		18			30			104			110
TOTAL LIABILITIES		3,492,238			7,081,736			24,630,590			15,114,871
NET ASSETS	$	135,658,835		$	246,295,879		$	776,463,178		$	832,427,288
NET ASSETS CONSIST OF:
Paid-in Capital	$	132,494,403		$	239,413,115		$	734,557,635		$	773,443,870
Undistributed (distribution in excess of) net investment income (loss)		—			—			—			—
Accumulated net realized gain (loss) on investments		521,774			1,442,845			6,621,698			8,935,518
Net unrealized appreciation (depreciation) on:
Investments — affiliated issuers		2,642,658			5,439,919			35,283,845			50,047,900
NET ASSETS	$	135,658,835		$	246,295,879		$	776,463,178		$	832,427,288
Class A
Net Assets	$	99,786		$	100,905		$	140,196		$	115,324
Shares Outstanding		9,299			9,310			12,352			9,821
Net asset value, offering and redemption price per share	$	10.73		$	10.84		$	11.35		$	11.74
Maximum sales charge		4.50	%		4.50	%		4.50	%		4.50	%
Maximum offering price per share	$	11.24		$	11.35		$	11.88		$	12.29
Class I
Net Assets	$	138,575		$	189,039		$	680,411		$	2,231,786
Shares Outstanding		12,915			17,423			60,023			190,134
Net asset value, offering and redemption price per share	$	10.73		$	10.85		$	11.34		$	11.74
Class K
Net Assets	$	135,420,474		$	246,005,935		$	775,642,571		$	830,080,178
Shares Outstanding		12,642,470			22,672,882			68,394,379			70,623,026
Net asset value, offering and redemption price per share	$	10.71		$	10.85		$	11.34		$	11.75
COST OF INVESTMENTS:
Investments in affiliated issuers		133,752,291			242,418,330			743,555,647			782,284,311

See accompanying notes to financial statements.

54

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
	780,074,113		$	584,465,830		$	458,374,405		$	300,542,274		$	212,078,792		$	81,269,667		$	12,364,353
	356			256			170			41			25			9			2
	9,852,622			5,549,880			3,840,000			1,800,000			1,290,000			492,003			74,000
	692,438			1,282,296			957,678			866,954			826,558			526,680			121,120
	2,570			2,144			1,550			1,035			706			342			98
	—			—			—			—			2,913			13,506			16,560
	116			85			70			44			33			11			1
	790,622,215			591,300,491			463,173,873			303,210,348			214,199,027			82,302,218			12,576,134
	9,553,068			5,946,015			3,904,614			1,782,519			1,443,770			514,828			180,498
	115,344			6,096			8,587			3,393			125,008			1,289			163
	64,000			51,401			37,529			16,095			8,148			3,103			453
	3,395			3,132			3,145			3,216			3,305			3,249			3,259
	29,219			21,696			17,414			11,438			8,212			3,167			516
	26			29			26			30			26			24			1,574
	13,111			11,454			8,060			7,959			7,929			7,829			7,556
	323			96			192			93			4			121			151
	20,427			14,796			11,449			8,670			7,017			2,563			303
	30,174			30,173			30,173			30,172			30,172			30,171			30,171
	—			19			825			—			—			—			7,259
	107			78			65			42			31			11			1
	9,829,194			6,084,985			4,022,079			1,863,627			1,633,622			566,355			231,904
$	780,793,021		$	585,215,506		$	459,151,794		$	301,346,721		$	212,565,405		$	81,735,863		$	12,344,230
$	712,782,279		$	530,457,258		$	409,635,342		$	269,062,197		$	188,847,203		$	73,874,438		$	11,350,877
	—			—			—			—			(1	)		—			—
	9,089,617			7,067,730			5,261,126			3,906,253			2,836,934			1,070,129			140,669
	58,921,125			47,690,518			44,255,326			28,378,271			20,881,269			6,791,296			852,684
$	780,793,021		$	585,215,506		$	459,151,794		$	301,346,721		$	212,565,405		$	81,735,863		$	12,344,230
$	107,309		$	126,885		$	108,641		$	140,654		$	108,737		$	101,871		$	100,248
	8,942			10,403			8,862			11,442			8,871			8,319			8,409
$	12.00		$	12.20		$	12.26		$	12.29		$	12.26		$	12.25		$	11.92
	4.50	%		4.50	%		4.50	%		4.50	%		4.50	%		4.50	%		4.50	%
$	12.57		$	12.77		$	12.84		$	12.87		$	12.84		$	12.83		$	12.48
$	1,716,457		$	371,248		$	911,621		$	761,977		$	239,696		$	104,674		$	102,508
	143,222			30,488			74,365			61,999			19,580			8,544			8,605
$	11.98		$	12.18		$	12.26		$	12.29		$	12.24		$	12.25		$	11.91
$	778,969,255		$	584,717,373		$	458,131,532		$	300,444,090		$	212,216,972		$	81,529,318		$	12,141,474
	64,916,428			47,904,711			37,346,189			24,446,528			17,334,158			6,665,782			1,019,480
$	12.00		$	12.21		$	12.27		$	12.29		$	12.24		$	12.23		$	11.91
	721,152,988			536,775,312			414,119,079			272,164,003			191,197,523			74,478,371			11,511,669

55

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF OPERATIONS

For the Period Ended December 31, 2017

	State Street Target Retirement Fund			State Street Target Retirement 2015 Fund			State Street Target Retirement 2020 Fund			State Street Target Retirement 2025 Fund
INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	812		$	671		$	656		$	1,079
Dividend income — affiliated issuers		2,311,695			4,008,952			14,172,986			14,331,065
Unaffiliated securities lending income		874			—			1,034			118
TOTAL INVESTMENT INCOME (LOSS)		2,313,381			4,009,623			14,174,676			14,332,262
EXPENSES
Advisory fee		44,816			74,716			263,653			268,410
Administration fees		44,816			74,716			263,653			268,410
Distribution fees Class A		942			1,472			433			424
Custodian fees		26,999			26,944			27,309			26,672
Trustees’ fees and expenses		23,272			24,111			28,694			28,502
Transfer agent fees		70,649			74,404			75,428			76,184
Registration and filing fees		43,163			44,987			60,769			64,846
Professional fees		49,092			49,103			49,210			49,188
Printing and postage fees		14,267			18,027			22,904			23,540
Insurance expense		107			65			331			231
Miscellaneous expenses		6,025			6,081			12,140			12,537
TOTAL EXPENSES		324,148			394,626			804,524			818,944
Expenses waived/reimbursed by the Adviser		(341,683	)		(423,040	)		(698,629	)		(603,809	)
NET EXPENSES		(17,535	)		(28,414	)		105,895			215,135
NET INVESTMENT INCOME (LOSS)		2,330,916			4,038,037			14,068,781			14,117,127
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — affiliated issuers		1,415,515			2,550,400			7,623,255			6,504,954
Capital gain distributions — affiliated issuers		650,196			1,210,259			6,178,814			8,425,974
Net realized gain (loss)		2,065,711			3,760,659			13,802,069			14,930,928
Net change in unrealized appreciation/depreciation on:
Investments — affiliated issuers		2,926,586			6,347,950			36,101,721			50,283,421
NET REALIZED AND UNREALIZED GAIN (LOSS)		4,992,297			10,108,609			49,903,790			65,214,349
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	7,323,213		$	14,146,646		$	63,972,571		$	79,331,476

See accompanying notes to financial statements.

56

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
	891		$	719		$	630		$	502		$	525		$	418		$	440
	13,181,911			9,275,935			7,510,657			4,919,208			3,603,968			1,362,993			196,060
	—			—			—			—			—			—			—
	13,182,802			9,276,654			7,511,287			4,919,710			3,604,493			1,363,411			196,500
	262,083			191,740			158,713			100,111			73,976			25,012			3,362
	262,083			191,740			158,713			100,111			73,976			25,012			3,362
	420			1,332			445			879			527			419			470
	26,260			26,258			26,305			25,898			26,060			25,739			25,900
	28,453			26,702			25,973			24,415			23,765			22,611			22,123
	76,139			65,730			43,419			43,606			43,422			42,926			41,581
	62,693			57,970			54,366			50,498			48,752			43,073			42,588
	49,199			49,159			49,146			49,101			49,082			49,064			49,054
	24,312			22,447			22,134			20,922			20,243			18,040			15,232
	318			172			225			94			68			26			5
	12,093			9,972			8,914			6,896			6,401			4,658			3,716
	804,053			643,222			548,353			422,531			366,272			256,580			207,393
	(489,132	)		(335,106	)		(325,707	)		(281,497	)		(262,180	)		(221,144	)		(202,216	)
	314,921			308,116			222,646			141,034			104,092			35,436			5,177
	12,867,881			8,968,538			7,288,641			4,778,676			3,500,401			1,327,975			191,323
	4,748,624			3,563,073			1,721,662			1,455,675			1,042,417			386,409			107,700
	9,320,740			7,525,839			6,464,788			4,483,687			3,282,634			1,254,896			181,568
	14,069,364			11,088,912			8,186,450			5,939,362			4,325,051			1,641,305			289,268
	58,352,362			46,713,844			42,476,472			27,109,738			20,026,638			6,522,711			823,801
	72,421,726			57,802,756			50,662,922			33,049,100			24,351,689			8,164,016			1,113,069
$	85,289,607		$	66,771,294		$	57,951,563		$	37,827,776		$	27,852,090		$	9,491,991		$	1,304,392

57

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	State Street Target Retirement Fund						State Street Target Retirement 2015 Fund
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	2,330,916		$	926,160		$	4,038,037		$	1,092,386
Net realized gain (loss)		2,065,711			(148,979	)		3,760,659			611,967
Net change in unrealized appreciation/depreciation		2,926,586			674,997			6,347,950			(706,029	)
Net increase (decrease) in net assets resulting from operations		7,323,213			1,452,178			14,146,646			998,324
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Class A		(1,605	)		(6,166	)		(1,520	)		(8,155	)
Class I		(2,525	)		(10,426	)		(3,252	)		(12,230	)
Class K		(2,455,898	)		(935,057	)		(4,260,954	)		(1,117,808	)
Total distributions from net investment income		(2,460,028	)		(951,649	)		(4,265,726	)		(1,138,193	)
Net Realized Gains
Class A		(845	)		(513	)		(891	)		(4,222	)
Class I		(1,148	)		(738	)		(1,631	)		(5,318	)
Class K		(1,116,587	)		(66,213	)		(2,137,354	)		(486,094	)
Total distributions from net realized gains		(1,118,580	)		(67,464	)		(2,139,876	)		(495,634	)
Total distributions to shareholders		(3,578,608	)		(1,019,113	)		(6,405,602	)		(1,633,827	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class A
Proceeds from sale of shares sold		20,000			—			149,000			—
Reinvestment of distributions		516			—			502			389
Cost of shares redeemed		(371,835	)		—			(712,078	)		—
Net increase (decrease) from capital share transactions		(351,319	)		—			(562,576	)		389
Class I
Proceeds from sale of shares sold		16,254			41,463			23,896			102,889
Reinvestment of distributions		3,673			3,414			4,883			4,056
Cost of shares redeemed		(535,489	)		(110,725	)		(724,408	)		(362,937	)
Net increase (decrease) from capital share transactions		(515,562	)		(65,848	)		(695,629	)		(255,992	)
Class K
Proceeds from sale of shares sold		94,443,715			46,143,254			207,348,195			84,189,586
Reinvestment of distributions		3,572,486			1,001,270			6,398,308			1,603,902
Cost of shares redeemed		(21,767,716	)		(14,304,713	)		(46,846,848	)		(17,311,502	)
Net increase (decrease) from capital share transactions		76,248,485			32,839,811			166,899,655			68,481,986
Net increase (decrease) in net assets from beneficial interest transactions		75,381,604			32,773,963			165,641,450			68,226,383
Net increase (decrease) in net assets during the period		79,126,209			33,207,028			173,382,494			67,590,880
Net assets at beginning of period		56,532,626			23,325,598			72,913,385			5,322,505
NET ASSETS AT END OF PERIOD	$	135,658,835		$	56,532,626		$	246,295,879		$	72,913,385
Undistributed (distribution in excess of) net investment income (loss)	$	—		$	3,562		$	—		$	—
SHARES OF BENEFICIAL INTEREST:
Class A
Shares sold		1,950			—			14,466			—
Reinvestment of distributions		48			—			47			39
Shares redeemed		(34,366	)		—			(65,467	)		—
Net increase (decrease)		(32,368	)		—			(50,954	)		39
Class I
Shares sold		1,553			4,126			2,206			10,254
Reinvestment of distributions		343			337			451			402
Shares redeemed		(49,467	)		(10,716	)		(66,454	)		(35,371	)
Net increase (decrease)		(47,571	)		(6,253	)		(63,797	)		(24,715	)
Class K
Shares sold		8,866,173			4,510,309			19,401,928			8,231,250
Reinvestment of distributions		334,502			99,136			591,341			159,117
Shares redeemed		(2,044,773	)		(1,398,704	)		(4,406,789	)		(1,685,474	)
Net increase (decrease)		7,155,902			3,210,741			15,586,480			6,704,893

See accompanying notes to financial statements.

58

State Street Target Retirement 2020 Fund						State Street Target Retirement 2025 Fund						State Street Target Retirement 2030 Fund
Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
$	14,068,781		$	3,711,007		$	14,117,127		$	3,079,915		$	12,867,881		$	3,264,776
	13,802,069			307,846			14,930,928			1,142,261			14,069,364			827,668
	36,101,721			2,463,278			50,283,421			1,078,686			58,352,362			3,859,742
	63,972,571			6,482,131			79,331,476			5,300,862			85,289,607			7,952,186
	(2,432	)		(2,347	)		(1,924	)		(2,252	)		(1,770	)		(2,197	)
	(13,413	)		(13,020	)		(42,022	)		(32,761	)		(32,056	)		(23,233	)
	(15,192,934	)		(3,873,680	)		(15,569,224	)		(3,211,224	)		(14,495,060	)		(3,440,357	)
	(15,208,779	)		(3,889,047	)		(15,613,170	)		(3,246,237	)		(14,528,886	)		(3,465,787	)
	(1,025	)		(229	)		(691	)		(428	)		(490	)		(319	)
	(4,935	)		(1,078	)		(13,100	)		(5,237	)		(7,692	)		(2,820	)
	(5,590,706	)		(320,549	)		(4,853,284	)		(513,326	)		(3,478,192	)		(417,529	)
	(5,596,666	)		(321,856	)		(4,867,075	)		(518,991	)		(3,486,374	)		(420,668	)
	(20,805,445	)		(4,210,903	)		(20,480,245	)		(3,765,228	)		(18,015,260	)		(3,886,455	)
	62,051			34,186			21,486			—			10,212			—
	2,528			525			422			—			228			—
	(108,862	)		—			(98,652	)		—			(97,561	)		—
	(44,283	)		34,711			(76,744	)		—			(87,121	)		—
	210,074			271,677			558,981			640,094			408,325			493,232
	18,349			13,553			55,122			36,777			39,747			24,911
	(426,853	)		(1,418,497	)		(773,218	)		(2,097,980	)		(483,638	)		(1,219,672	)
	(198,430	)		(1,133,267	)		(159,115	)		(1,421,109	)		(35,566	)		(701,529	)
	535,096,164			207,056,245			591,159,847			195,861,516			503,874,463			186,539,670
	20,783,640			4,194,229			20,422,508			3,724,550			17,973,250			3,857,886
	(59,031,999	)		(29,972,089	)		(46,745,552	)		(15,992,219	)		(35,446,298	)		(16,861,337	)
	496,847,805			181,278,385			564,836,803			183,593,847			486,401,415			173,536,219
	496,605,092			180,179,829			564,600,944			182,172,738			486,278,728			172,834,690
	539,772,218			182,451,057			623,452,175			183,708,372			553,553,075			176,900,421
	236,690,960			54,239,903			208,975,113			25,266,741			227,239,946			50,339,525
$	776,463,178		$	236,690,960		$	832,427,288		$	208,975,113		$	780,793,021		$	227,239,946
$	—		$	—		$	—		$	—		$	—		$	—
	5,532			3,289			1,888			—			899			—
	223			51			36			—			19			—
	(9,583	)		—			(8,468	)		—			(8,240	)		—
	(3,828	)		3,340			(6,544	)		—			(7,322	)		—
	19,100			27,060			50,152			63,513			36,085			48,914
	1,624			1,317			4,715			3,557			3,329			2,398
	(38,311	)		(136,507	)		(68,973	)		(200,842	)		(42,905	)		(116,399	)
	(17,587	)		(108,130	)		(14,106	)		(133,772	)		(3,491	)		(65,087	)
	48,954,273			20,069,634			52,977,235			18,931,937			44,782,114			18,046,002
	1,839,260			408,396			1,744,023			360,208			1,504,038			370,951
	(5,337,045	)		(2,907,709	)		(4,088,160	)		(1,540,243	)		(3,088,687	)		(1,628,102	)
	45,456,488			17,570,321			50,633,098			17,751,902			43,197,465			16,788,851

59

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	State Street Target Retirement 2035 Fund						State Street Target Retirement 2040 Fund
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	8,968,538		$	2,263,146		$	7,288,641		$	2,021,715
Net realized gain (loss)		11,088,912			1,006,931			8,186,450			542,330
Net change in unrealized appreciation/depreciation		46,713,844			2,007,762			42,476,472			4,289,308
Net increase (decrease) in net assets resulting from operations		66,771,294			5,277,839			57,951,563			6,853,353
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Class A		(1,868	)		(7,469	)		(1,779	)		(1,958	)
Class I		(6,609	)		(12,402	)		(16,987	)		(10,651	)
Class K		(10,347,721	)		(2,404,522	)		(8,517,559	)		(2,158,308	)
Total distributions from net investment income		(10,356,198	)		(2,424,393	)		(8,536,325	)		(2,170,917	)
Net Realized Gains
Class A		(655	)		(1,501	)		(406	)		(368	)
Class I		(1,995	)		(2,067	)		(3,363	)		(1,668	)
Class K		(3,123,445	)		(400,753	)		(1,686,280	)		(338,081	)
Total distributions from net realized gains		(3,126,095	)		(404,321	)		(1,690,049	)		(340,117	)
Total distributions to shareholders		(13,482,293	)		(2,828,714	)		(10,226,374	)		(2,511,034	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class A
Proceeds from sale of shares sold		20,000			83,713			43,703			2,190
Reinvestment of distributions		2,395			1,229			1,048			33
Cost of shares redeemed		(594,500	)		—			(119,617	)		—
Net increase (decrease) from capital share transactions		(572,105	)		84,942			(74,866	)		2,223
Class I
Proceeds from sale of shares sold		130,634			267,595			242,459			324,824
Reinvestment of distributions		8,604			5,405			20,349			10,563
Cost of shares redeemed		(743,409	)		(966,070	)		(193,056	)		(1,255,980	)
Net increase (decrease) from capital share transactions		(604,171	)		(693,070	)		69,752			(920,593	)
Class K
Proceeds from sale of shares sold		376,829,302			153,466,291			277,503,308			111,674,374
Reinvestment of distributions		13,471,165			2,805,275			10,203,839			2,496,389
Cost of shares redeemed		(23,652,568	)		(10,785,680	)		(20,662,541	)		(10,208,524	)
Net increase (decrease) from capital share transactions		366,647,899			145,485,886			267,044,606			103,962,239
Net increase (decrease) in net assets from beneficial interest transactions		365,471,623			144,877,758			267,039,492			103,043,869
Contribution by Affiliate (Note 3)		—			—			—			—
Net increase (decrease) in net assets during the period		418,760,624			147,326,883			314,764,681			107,386,188
Net assets at beginning of period		166,454,882			19,127,999			144,387,113			37,000,925
NET ASSETS AT END OF PERIOD	$	585,215,506		$	166,454,882		$	459,151,794		$	144,387,113
Undistributed (distribution in excess of) net investment income (loss)	$	—		$	—		$	—		$	—
SHARES OF BENEFICIAL INTEREST:
Class A
Shares sold		1,647			7,941			3,995			210
Reinvestment of distributions		197			118			86			3
Shares redeemed		(49,500	)		—			(9,935	)		—
Net increase (decrease)		(47,656	)		8,059			(5,854	)		213
Class I
Shares sold		11,488			27,102			20,731			32,885
Reinvestment of distributions		709			517			1,667			1,013
Shares redeemed		(62,323	)		(91,943	)		(16,187	)		(120,327	)
Net increase (decrease)		(50,126	)		(64,324	)		6,211			(86,429	)
Class K
Shares sold		33,047,693			14,807,074			24,510,510			10,913,691
Reinvestment of distributions		1,107,826			268,191			835,011			239,347
Shares redeemed		(2,050,562	)		(1,036,398	)		(1,794,529	)		(997,055	)
Net increase (decrease)		32,104,957			14,038,867			23,550,992			10,155,983

See accompanying notes to financial statements.

60

State Street Target Retirement 2045 Fund						State Street Target Retirement 2050 Fund						State Street Target Retirement 2055 Fund
Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/17			Year Ended 12/31/16
$	4,778,676		$	1,061,855		$	3,500,401		$	660,945		$	1,327,975		$	259,110
	5,939,362			343,038			4,325,051			231,371			1,641,305			77,160
	27,109,738			1,861,271			20,026,638			1,277,772			6,522,711			501,998
	37,827,776			3,266,164			27,852,090			2,170,088			9,491,991			838,268
	(2,280	)		(4,699	)		(1,886	)		(2,235	)		(1,771	)		(2,135	)
	(14,438	)		(12,694	)		(4,718	)		(5,403	)		(2,052	)		(4,014	)
	(5,660,307	)		(1,126,768	)		(4,151,805	)		(704,800	)		(1,574,709	)		(273,037	)
	(5,677,025	)		(1,144,161	)		(4,158,409	)		(712,438	)		(1,578,532	)		(279,186	)
	(587	)		(784	)		(479	)		(419	)		(450	)		(362	)
	(3,227	)		(1,762	)		(1,047	)		(841	)		(455	)		(565	)
	(1,265,028	)		(156,335	)		(921,088	)		(109,655	)		(348,847	)		(38,398	)
	(1,268,842	)		(158,881	)		(922,614	)		(110,915	)		(349,752	)		(39,325	)
	(6,945,867	)		(1,303,042	)		(5,081,023	)		(823,353	)		(1,928,284	)		(318,511	)
	61,614			28,972			57,429			7,400			—			—
	1,214			427			1,423			109			—			—
	(362,477	)		—			(167,595	)		—			(100,335	)		—
	(299,649	)		29,399			(108,743	)		7,509			(100,335	)		—
	253,695			458,704			60,125			290,721			35,459			55,860
	17,665			8,519			5,765			3,260			1,616			1,645
	(515,481	)		(464,999	)		(257,661	)		(796,279	)		(249,178	)		(27,906	)
	(244,121	)		2,224			(191,771	)		(502,298	)		(212,103	)		29,599
	200,600,123			70,539,581			146,893,327			43,363,547			57,790,251			16,085,979
	6,925,335			1,283,103			5,072,892			814,456			1,923,556			311,435
	(14,048,966	)		(5,763,109	)		(10,432,999	)		(3,160,116	)		(4,390,583	)		(1,212,086	)
	193,476,492			66,059,575			141,533,220			41,017,887			55,323,224			15,185,328
	192,932,722			66,091,198			141,232,706			40,523,098			55,010,786			15,214,927
	—			—			—			—			—			794
	223,814,631			68,054,320			164,003,773			41,869,833			62,574,493			15,735,478
	77,532,090			9,477,770			48,561,632			6,691,799			19,161,370			3,425,892
$	301,346,721		$	77,532,090		$	212,565,405		$	48,561,632		$	81,735,863		$	19,161,370
$	—		$	—		$	(1	)	$	—		$	—		$	—
	5,188			2,812			5,307			716			—			—
	99			41			117			11			—			—
	(30,032	)		—			(13,947	)		—			(8,348	)		—
	(24,745	)		2,853			(8,523	)		727			(8,348	)		—
	22,069			45,372			5,242			29,798			3,092			5,654
	1,443			820			473			315			132			159
	(43,820	)		(45,053	)		(21,569	)		(77,361	)		(20,956	)		(2,702	)
	(20,308	)		1,139			(15,854	)		(47,248	)		(17,732	)		3,111
	17,734,634			6,941,387			13,176,913			4,288,324			5,074,651			1,587,326
	565,796			123,494			416,152			78,615			157,928			30,119
	(1,219,166	)		(568,753	)		(907,910	)		(314,600	)		(381,955	)		(119,510	)
	17,081,264			6,496,128			12,685,155			4,052,339			4,850,624			1,497,935

61

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	State Street Target Retirement 2060 Fund
	Year Ended 12/31/17			Year Ended 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	191,323		$	46,747
Net realized gain (loss)		289,268			53,022
Net change in unrealized appreciation/depreciation		823,801			66,338
Net increase (decrease) in net assets resulting from operations		1,304,392			166,107
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Class A		(1,667	)		(1,972	)
Class I		(1,981	)		(2,423	)
Class K		(224,161	)		(46,023	)
Total distributions from net investment income		(227,809	)		(50,418	)
Net Realized Gains
Class A		(937	)		(2,158	)
Class I		(966	)		(2,176	)
Class K		(109,326	)		(41,332	)
Total distributions from net realized gains		(111,229	)		(45,666	)
Total distributions to shareholders		(339,038	)		(96,084	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class A
Proceeds from sale of shares sold		33,890			—
Reinvestment of distributions		928			—
Cost of shares redeemed		(136,369	)		—
Net increase (decrease) from capital share transactions		(101,551	)		—
Class I
Proceeds from sale of shares sold		2,392			11,520
Reinvestment of distributions		124			38
Cost of shares redeemed		(99,341	)		(14,264	)
Net increase (decrease) from capital share transactions		(96,825	)		(2,706	)
Class K
Proceeds from sale of shares sold		8,597,760			3,713,026
Reinvestment of distributions		333,487			87,354
Cost of shares redeemed		(1,035,771	)		(774,907	)
Net increase (decrease) from capital share transactions		7,895,476			3,025,473
Net increase (decrease) in net assets from beneficial interest transactions		7,697,100			3,022,767
Net increase (decrease) in net assets during the period		8,662,454			3,092,790
Net assets at beginning of period		3,681,776			588,986
NET ASSETS AT END OF PERIOD	$	12,344,230		$	3,681,776
Undistributed (distribution in excess of) net investment income (loss)	$	—		$	—
SHARES OF BENEFICIAL INTEREST:
Class A
Shares sold		3,269			—
Reinvestment of distributions		78			—
Shares redeemed		(11,605	)		—
Net increase (decrease)		(8,258	)		—
Class I
Shares sold		213			1,180
Reinvestment of distributions		10			4
Shares redeemed		(8,433	)		(1,393	)
Net increase (decrease)		(8,210	)		(209	)
Class K
Shares sold		752,172			371,243
Reinvestment of distributions		28,119			8,640
Shares redeemed		(92,506	)		(76,528	)
Net increase (decrease)		687,785			303,355

See accompanying notes to financial statements.

62

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT FUND    

FINANCIAL HIGHLIGHTS    

Selected data for a share outstanding throughout each period    

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.12		$	9.79		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.16			0.17			0.15			0.05
Net realized and unrealized gain (loss)		0.71			0.32			(0.21	)		0.01
Total from investment operations		0.87			0.49			(0.06	)		0.06
Distributions to shareholders from:
Net investment income		(0.17	)		(0.15	)		(0.17	)		(0.03	)
Net realized gains		(0.09	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.26	)		(0.16	)		(0.18	)		(0.03	)
Net asset value, end of period	$	10.73		$	10.12		$	9.79		$	10.03
Total return (c)		8.65	%		5.01	%		(0.64	)%		0.64	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	100		$	422		$	408		$	418
Ratios to Average Net Assets:
Total expenses (d)		0.61	%		0.91	%		1.40	%		21.65	%(e)
Net expenses (d)		0.20	%		0.22	%		0.26	%		0.62	%(e)
Net investment income (loss)		1.54	%		1.68	%		1.48	%		1.82	%(e)
Portfolio turnover rate		25	%		37	%		31	%		8	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

63

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT FUND    

FINANCIAL HIGHLIGHTS (continued)    

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.12		$	9.79		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.19			0.19			0.19			0.05
Net realized and unrealized gain (loss)		0.71			0.32			(0.23	)		0.02
Total from investment operations		0.90			0.51			(0.04	)		0.07
Distributions to shareholders from:
Net investment income		(0.20	)		(0.17	)		(0.19	)		(0.04	)
Net realized gains		(0.09	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.18	)		(0.20	)		(0.04	)
Net asset value, end of period	$	10.73		$	10.12		$	9.79		$	10.03
Total return (c)		8.92	%		5.27	%		(0.39	)%		0.70	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	139		$	612		$	653		$	418
Ratios to Average Net Assets:
Total expenses (d)		0.36	%		0.66	%		1.15	%		21.40	%(e)
Net expenses (d)		(0.05	)%(f)		(0.03	)%(f)		0.01	%		0.37	%(e)
Net investment income (loss)		1.78	%		1.89	%		1.94	%		2.07	%(e)
Portfolio turnover rate		25	%		37	%		31	%		8	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Due to the Fund waiving acquired fund fees for the period ended December 31, 2017, the waiver exceed the total fund expenses.

(g) Not annualized.

See accompanying notes to financial statements.

64

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET TARGET RETIREMENT FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.12		$	9.78		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.28			0.23			0.20			0.06
Net realized and unrealized gain (loss)		0.60			0.29			(0.25	)		0.02
Total from investment operations		0.88			0.52			(0.05	)		0.08
Distributions to shareholders from:
Net investment income		(0.20	)		(0.17	)		(0.19	)		(0.05	)
Net realized gains		(0.09	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.18	)		(0.20	)		(0.05	)
Net asset value, end of period	$	10.71		$	10.12		$	9.78		$	10.03
Total return (c)		8.83	%		5.28	%		(0.49	)%		0.75	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	135,420		$	55,499		$	22,265		$	1,558
Ratios to Average Net Assets:
Total expenses (d)		0.36	%		0.66	%		1.15	%		25.06	%(e)
Net expenses (d)		(0.02	)%(f)		(0.04	)%(f)		0.01	%		0.17	%(e)
Net investment income (loss)		2.61	%		2.23	%		1.99	%		2.59	%(e)
Portfolio turnover rate		25	%		37	%		31	%		8	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Due to the Fund waiving acquired fund fees for the period ended December 31, 2017, the waiver exceed the total fund expenses.

(g) Not annualized.

See accompanying notes to financial statements.

65

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2015 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.09		$	9.72		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.16			0.17			0.17			0.05
Net realized and unrealized gain (loss)		0.85			0.41			(0.27	)		0.03
Total from investment operations		1.01			0.58			(0.10	)		0.08
Distributions to shareholders from:
Net investment income		(0.16	)		(0.14	)		(0.16	)		(0.05	)
Net realized gains		(0.10	)		(0.07	)		(0.05	)		(0.00	)(b)
Total distributions		(0.26	)		(0.21	)		(0.21	)		(0.05	)
Net asset value, end of period	$	10.84		$	10.09		$	9.72		$	10.03
Total return (c)		10.02	%		5.92	%		(1.00	)%		0.81	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	101		$	608		$	585		$	585
Ratios to Average Net Assets:
Total expenses (d)		0.52	%		0.83	%		5.32	%		15.05	%(e)
Net expenses (d)		0.19	%		0.25	%		0.27	%		0.62	%(e)
Net investment income (loss)		1.47	%		1.73	%		1.65	%		2.06	%(e)
Portfolio turnover rate		34	%		49	%		55	%		39	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

66

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2015 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.09		$	9.72		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.19			0.19			0.23			0.06
Net realized and unrealized gain (loss)		0.86			0.41			(0.31	)		0.03
Total from investment operations		1.05			0.60			(0.08	)		0.09
Distributions to shareholders from:
Net investment income		(0.19	)		(0.16	)		(0.18	)		(0.06	)
Net realized gains		(0.10	)		(0.07	)		(0.05	)		(0.00	)(b)
Total distributions		(0.29	)		(0.23	)		(0.23	)		(0.06	)
Net asset value, end of period	$	10.85		$	10.09		$	9.72		$	10.03
Total return (c)		10.39	%		6.19	%		(0.75	)%		0.87	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	189		$	819		$	1,030		$	585
Ratios to Average Net Assets:
Total expenses (d)		0.27	%		0.58	%		5.07	%		14.80	%(e)
Net expenses (d)		(0.05	)%(f)		0.01	%		0.02	%		0.37	%(e)
Net investment income (loss)		1.79	%		1.85	%		2.32	%		2.31	%(e)
Portfolio turnover rate		34	%		49	%		55	%		39	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Due to the Fund waiving acquired Fund fees for the period ended December 31, 2017, the waiver exceeded total fund expenses.

(g) Not annualized.

See accompanying notes to financial statements.

67

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2015 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.09		$	9.72		$	10.03		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.29			0.28			0.22			0.06
Net realized and unrealized gain (loss)		0.76			0.32			(0.30	)		0.03
Total from investment operations		1.05			0.60			(0.08	)		0.09
Distributions to shareholders from:
Net investment income		(0.19	)		(0.16	)		(0.18	)		(0.06	)
Net realized gains		(0.10	)		(0.07	)		(0.05	)		(0.00	)(b)
Total distributions		(0.29	)		(0.23	)		(0.23	)		(0.06	)
Net asset value, end of period	$	10.85		$	10.09		$	9.72		$	10.03
Total return (c)		10.39	%		6.19	%		(0.74	)%		0.92	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	246,006		$	71,486		$	3,707		$	1,740
Ratios to Average Net Assets:
Total expenses (d)		0.26	%		0.58	%		5.07	%		18.68	%(e)
Net expenses (d)		(0.02	)%(f)		(0.01	)%(f)		0.02	%		0.17	%(e)
Net investment income (loss)		2.71	%		2.72	%		2.19	%		2.50	%(e)
Portfolio turnover rate		34	%		49	%		55	%		39	%(g)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Due to the Fund waiving acquired Fund fees for the period ended December 31, 2017, the waiver exceeded total fund expenses.

(g) Not annualized.

See accompanying notes to financial statements.

68

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2020 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.29		$	9.76		$	10.14		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.22			0.19			0.24			0.05
Net realized and unrealized gain (loss)		1.12			0.50			(0.41	)		0.12
Total from investment operations		1.34			0.69			(0.17	)		0.17
Distributions to shareholders from:
Net investment income		(0.20	)		(0.15	)		(0.20	)		(0.03	)
Net realized gains		(0.08	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.28	)		(0.16	)		(0.21	)		(0.03	)
Net asset value, end of period	$	11.35		$	10.29		$	9.76		$	10.14
Total return (c)		13.08	%		7.07	%		(1.71	)%		1.66	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	140		$	166		$	125		$	845
Ratios to Average Net Assets:
Total expenses (d)		0.40	%		0.49	%		0.80	%		9.36	%(e)
Net expenses (d)		0.26	%		0.26	%		0.26	%		0.62	%(e)
Net investment income (loss)		2.01	%		1.92	%		2.30	%		2.32	%(e)
Portfolio turnover rate		18	%		28	%		39	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

69

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2020 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.27		$	9.75		$	10.14		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.25			0.16			0.33			0.06
Net realized and unrealized gain (loss)		1.13			0.54			(0.49	)		0.11
Total from investment operations		1.38			0.70			(0.16	)		0.17
Distributions to shareholders from:
Net investment income		(0.23	)		(0.17	)		(0.22	)		(0.03	)
Net realized gains		(0.08	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.31	)		(0.18	)		(0.23	)		(0.03	)
Net asset value, end of period	$	11.34		$	10.27		$	9.75		$	10.14
Total return (c)		13.38	%		7.34	%		(1.56	)%		1.72	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	680		$	797		$	1,811		$	845
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.30	%		0.55	%		9.11	%(e)
Net expenses (d)		0.01	%		0.07	%		0.01	%		0.37	%(e)
Net investment income (loss)		2.29	%		1.54	%		3.28	%		2.57	%(e)
Portfolio turnover rate		18	%		28	%		39	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

70

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2020 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.28		$	9.74		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.29			0.27			0.23			0.04
Net realized and unrealized gain (loss)		1.08			0.45			(0.39	)		0.13
Total from investment operations		1.37			0.72			(0.16	)		0.17
Distributions to shareholders from:
Net investment income		(0.23	)		(0.17	)		(0.22	)		(0.04	)
Net realized gains		(0.08	)		(0.01	)		(0.01	)		(0.00	)(b)
Total distributions		(0.31	)		(0.18	)		(0.23	)		(0.04	)
Net asset value, end of period	$	11.34		$	10.28		$	9.74		$	10.13
Total return (c)		13.38	%		7.45	%		(1.57	)%		1.67	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	775,643		$	235,727		$	52,303		$	6,399
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.24	%		0.55	%		11.13	%(e)
Net expenses (d)		0.02	%		0.01	%		0.01	%		0.17	%(e)
Net investment income (loss)		2.67	%		2.60	%		2.29	%		1.62	%(e)
Portfolio turnover rate		18	%		28	%		39	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

71

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2025 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.33		$	9.74		$	10.16		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.19			0.17			0.23			0.06
Net realized and unrealized gain (loss)		1.49			0.59			(0.44	)		0.13
Total from investment operations		1.68			0.76			(0.21	)		0.19
Distributions to shareholders from:
Net investment income		(0.20	)		(0.14	)		(0.18	)		(0.03	)
Net realized gains		(0.07	)		(0.03	)		(0.03	)		(0.00	)(b)
Total distributions		(0.27	)		(0.17	)		(0.21	)		(0.03	)
Net asset value, end of period	$	11.74		$	10.33		$	9.74		$	10.16
Total return (c)		16.25	%		7.74	%		(2.11	)%		1.93	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	115		$	169		$	159		$	677
Ratios to Average Net Assets:
Total expenses (d)		0.40	%		0.53	%		1.56	%		10.90	%(e)
Net expenses (d)		0.28	%		0.29	%		0.28	%		0.62	%(e)
Net investment income (loss)		1.67	%		1.65	%		2.27	%		2.38	%(e)
Portfolio turnover rate		10	%		21	%		51	%		13	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

72

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2025 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.33		$	9.74		$	10.16		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.26			0.15			0.37			0.06
Net realized and unrealized gain (loss)		1.45			0.63			(0.56	)		0.14
Total from investment operations		1.71			0.78			(0.19	)		0.20
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.20	)		(0.04	)
Net realized gains		(0.07	)		(0.03	)		(0.03	)		(0.00	)(b)
Total distributions		(0.30	)		(0.19	)		(0.23	)		(0.04	)
Net asset value, end of period	$	11.74		$	10.33		$	9.74		$	10.16
Total return (c)		16.54	%		8.01	%		(1.87	)%		1.99	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,232		$	2,110		$	3,293		$	677
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.33	%		1.31	%		10.65	%(e)
Net expenses (d)		0.03	%		0.08	%		0.03	%		0.37	%(e)
Net investment income (loss)		2.36	%		1.53	%		3.71	%		5.10	%(e)
Portfolio turnover rate		10	%		21	%		51	%		13	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

73

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2025 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.34		$	9.75		$	10.16		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.30			0.29			0.29			0.05
Net realized and unrealized gain (loss)		1.41			0.49			(0.47	)		0.15
Total from investment operations		1.71			0.78			(0.18	)		0.20
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.20	)		(0.04	)
Net realized gains		(0.07	)		(0.03	)		(0.03	)		(0.00	)(b)
Total distributions		(0.30	)		(0.19	)		(0.23	)		(0.04	)
Net asset value, end of period	$	11.75		$	10.34		$	9.75		$	10.16
Total return (c)		16.52	%		8.00	%		(1.77	)%		2.04	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	830,080		$	206,696		$	21,815		$	5,597
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.28	%		1.31	%		11.75	%(e)
Net expenses (d)		0.04	%		0.04	%		0.03	%		0.17	%(e)
Net investment income (loss)		2.63	%		2.81	%		2.86	%		2.19	%(e)
Portfolio turnover rate		10	%		21	%		51	%		13	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

74

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2030 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.39		$	9.76		$	10.15		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.15			0.15			0.23			0.05
Net realized and unrealized gain (loss)		1.71			0.64			(0.44	)		0.16
Total from investment operations		1.86			0.79			(0.21	)		0.21
Distributions to shareholders from:
Net investment income		(0.20	)		(0.14	)		(0.18	)		(0.06	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.25	)		(0.16	)		(0.18	)		(0.06	)
Net asset value, end of period	$	12.00		$	10.39		$	9.76		$	10.15
Total return (c)		17.94	%		8.04	%		(2.07	)%		2.12	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	107		$	169		$	159		$	676
Ratios to Average Net Assets:
Total expenses (d)		0.40	%		0.51	%		0.84	%		12.85	%(e)
Net expenses (d)		0.31	%		0.29	%		0.28	%		0.62	%(e)
Net investment income (loss)		1.37	%		1.47	%		2.21	%		2.05	%(e)
Portfolio turnover rate		7	%		18	%		33	%		18	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

75

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2030 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.37		$	9.76		$	10.15		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.25			0.14			0.35			0.06
Net realized and unrealized gain (loss)		1.64			0.65			(0.54	)		0.16
Total from investment operations		1.89			0.79			(0.19	)		0.22
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.20	)		(0.07	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.28	)		(0.18	)		(0.20	)		(0.07	)
Net asset value, end of period	$	11.98		$	10.37		$	9.76		$	10.15
Total return (c)		18.27	%		8.10	%		(1.83	)%		2.18	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,716		$	1,522		$	2,066		$	676
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.30	%		0.59	%		12.59	%(e)
Net expenses (d)		0.06	%		0.08	%		0.03	%		0.37	%(e)
Net investment income (loss)		2.25	%		1.39	%		3.52	%		2.30	%(e)
Portfolio turnover rate		7	%		18	%		33	%		18	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

76

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2030 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.38		$	9.76		$	10.15		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.28			0.25			0.25			0.07
Net realized and unrealized gain (loss)		1.62			0.55			(0.44	)		0.15
Total from investment operations		1.90			0.80			(0.19	)		0.22
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.20	)		(0.07	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.28	)		(0.18	)		(0.20	)		(0.07	)
Net asset value, end of period	$	12.00		$	10.38		$	9.76		$	10.15
Total return (c)		18.35	%		8.20	%		(1.83	)%		2.23	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	778,969		$	225,549		$	48,114		$	3,243
Ratios to Average Net Assets:
Total expenses (d)		0.15	%		0.26	%		0.59	%		14.05	%(e)
Net expenses (d)		0.06	%		0.05	%		0.03	%		0.17	%(e)
Net investment income (loss)		2.46	%		2.48	%		2.42	%		2.64	%(e)
Portfolio turnover rate		7	%		18	%		33	%		18	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

77

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2035 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.44		$	9.78		$	10.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.06			0.15			0.17			0.06
Net realized and unrealized gain (loss)		1.96			0.67			(0.39	)		0.15
Total from investment operations		2.02			0.82			(0.22	)		0.21
Distributions to shareholders from:
Net investment income		(0.19	)		(0.13	)		(0.15	)		(0.04	)
Net realized gains		(0.07	)		(0.03	)		(0.02	)		(0.00	)(b)
Total distributions		(0.26	)		(0.16	)		(0.17	)		(0.04	)
Net asset value, end of period	$	12.20		$	10.44		$	9.78		$	10.17
Total return (c)		19.34	%		8.33	%		(2.15	)%		2.13	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	127		$	606		$	489		$	508
Ratios to Average Net Assets:
Total expenses (d)		0.42	%		0.58	%		2.08	%		17.04	%(e)
Net expenses (d)		0.31	%		0.30	%		0.28	%		0.62	%(e)
Net investment income (loss)		0.51	%		1.48	%		1.65	%		2.53	%(e)
Portfolio turnover rate		6	%		18	%		38	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

78

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2035 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.43		$	9.77		$	10.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.13			0.11			0.31			0.07
Net realized and unrealized gain (loss)		1.91			0.74			(0.51	)		0.15
Total from investment operations		2.04			0.85			(0.20	)		0.22
Distributions to shareholders from:
Net investment income		(0.22	)		(0.16	)		(0.18	)		(0.05	)
Net realized gains		(0.07	)		(0.03	)		(0.02	)		(0.00	)(b)
Total distributions		(0.29	)		(0.19	)		(0.20	)		(0.05	)
Net asset value, end of period	$	12.18		$	10.43		$	9.77		$	10.17
Total return (c)		19.56	%		8.61	%		(2.00	)%		2.20	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	371		$	840		$	1,416		$	508
Ratios to Average Net Assets:
Total expenses (d)		0.17	%		0.36	%		1.83	%		16.79	%(e)
Net expenses (d)		0.07	%		0.09	%		0.03	%		0.37	%(e)
Net investment income (loss)		1.10	%		1.08	%		3.07	%		2.78	%(e)
Portfolio turnover rate		6	%		18	%		38	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

79

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2035 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.44		$	9.78		$	10.17		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.27			0.27			0.32			0.03
Net realized and unrealized gain (loss)		1.79			0.58			(0.51	)		0.20
Total from investment operations		2.06			0.85			(0.19	)		0.23
Distributions to shareholders from:
Net investment income		(0.22	)		(0.16	)		(0.18	)		(0.06	)
Net realized gains		(0.07	)		(0.03	)		(0.02	)		(0.00	)(b)
Total distributions		(0.29	)		(0.19	)		(0.20	)		(0.06	)
Net asset value, end of period	$	12.21		$	10.44		$	9.78		$	10.17
Total return (c)		19.73	%		8.60	%		(1.90	)%		2.25	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	584,717		$	165,008		$	17,223		$	3,208
Ratios to Average Net Assets:
Total expenses (d)		0.17	%		0.33	%		1.83	%		17.89	%(e)
Net expenses (d)		0.08	%		0.06	%		0.03	%		0.17	%(e)
Net investment income (loss)		2.34	%		2.64	%		3.12	%		1.28	%(e)
Portfolio turnover rate		6	%		18	%		38	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

80

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2040 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.40		$	9.71		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.12			0.13			0.21			0.06
Net realized and unrealized gain (loss)		1.99			0.72			(0.47	)		0.16
Total from investment operations		2.11			0.85			(0.26	)		0.22
Distributions to shareholders from:
Net investment income		(0.20	)		(0.13	)		(0.16	)		(0.09	)
Net realized gains		(0.05	)		(0.03	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.25	)		(0.16	)		(0.16	)		(0.09	)
Net asset value, end of period	$	12.26		$	10.40		$	9.71		$	10.13
Total return (c)		20.29	%		8.73	%		(2.53	)%		2.17	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	109		$	153		$	141		$	506
Ratios to Average Net Assets:
Total expenses (d)		0.42	%		0.57	%		1.04	%		18.29	%(e)
Net expenses (d)		0.32	%		0.29	%		0.27	%		0.62	%(e)
Net investment income (loss)		1.07	%		1.34	%		2.07	%		2.28	%(e)
Portfolio turnover rate		6	%		16	%		38	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

81

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2040 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.39		$	9.71		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.24			0.09			0.40			0.06
Net realized and unrealized gain (loss)		1.91			0.78			(0.63	)		0.16
Total from investment operations		2.15			0.87			(0.23	)		0.22
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.19	)		(0.09	)
Net realized gains		(0.05	)		(0.03	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.28	)		(0.19	)		(0.19	)		(0.09	)
Net asset value, end of period	$	12.26		$	10.39		$	9.71		$	10.13
Total return (c)		20.59	%		9.00	%		(2.28	)%		2.23	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	912		$	708		$	1,501		$	506
Ratios to Average Net Assets:
Total expenses (d)		0.17	%		0.38	%		0.79	%		18.04	%(e)
Net expenses (d)		0.07	%		0.10	%		0.02	%		0.37	%(e)
Net investment income (loss)		2.14	%		0.86	%		4.02	%		2.53	%(e)
Portfolio turnover rate		6	%		16	%		38	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

82

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2040 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.40		$	9.72		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.26			0.24			0.25			0.05
Net realized and unrealized gain (loss)		1.89			0.63			(0.47	)		0.18
Total from investment operations		2.15			0.87			(0.22	)		0.23
Distributions to shareholders from:
Net investment income		(0.23	)		(0.16	)		(0.19	)		(0.10	)
Net realized gains		(0.05	)		(0.03	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.28	)		(0.19	)		(0.19	)		(0.10	)
Net asset value, end of period	$	12.27		$	10.40		$	9.72		$	10.13
Total return (c)		20.69	%		8.89	%		(2.18	)%		2.28	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	458,132		$	143,526		$	35,359		$	1,512
Ratios to Average Net Assets:
Total expenses (d)		0.17	%		0.32	%		0.79	%		20.53	%(e)
Net expenses (d)		0.07	%		0.05	%		0.02	%		0.17	%(e)
Net investment income (loss)		2.30	%		2.31	%		2.47	%		1.90	%(e)
Portfolio turnover rate		6	%		16	%		38	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

83

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2045 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.36		$	9.64		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.07			0.14			0.17			0.05
Net realized and unrealized gain (loss)		2.12			0.73			(0.43	)		0.17
Total from investment operations		2.19			0.87			(0.26	)		0.22
Distributions to shareholders from:
Net investment income		(0.21	)		(0.13	)		(0.15	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.26	)		(0.15	)		(0.16	)		(0.16	)
Net asset value, end of period	$	12.29		$	10.36		$	9.64		$	10.06
Total return (c)		21.15	%		9.04	%		(2.64	)%		2.14	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	141		$	375		$	321		$	335
Ratios to Average Net Assets:
Total expenses (d)		0.46	%		0.82	%		3.50	%		30.47	%(e)
Net expenses (d)		0.31	%		0.29	%		0.26	%		0.62	%(e)
Net investment income (loss)		0.62	%		1.41	%		1.63	%		2.07	%(e)
Portfolio turnover rate		5	%		17	%		35	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

84

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2045 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.36		$	9.64		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.20			0.15			0.30			0.06
Net realized and unrealized gain (loss)		2.02			0.75			(0.54	)		0.16
Total from investment operations		2.22			0.90			(0.24	)		0.22
Distributions to shareholders from:
Net investment income		(0.24	)		(0.16	)		(0.17	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.18	)		(0.18	)		(0.16	)
Net asset value, end of period	$	12.29		$	10.36		$	9.64		$	10.06
Total return (c)		21.45	%		9.31	%		(2.40	)%		2.20	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	762		$	853		$	782		$	335
Ratios to Average Net Assets:
Total expenses (d)		0.21	%		0.59	%		3.25	%		30.22	%(e)
Net expenses (d)		0.06	%		0.06	%		0.01	%		0.37	%(e)
Net investment income (loss)		1.73	%		1.46	%		2.97	%		2.32	%(e)
Portfolio turnover rate		5	%		17	%		35	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

85

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2045 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.36		$	9.63		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.28			0.27			0.30			0.06
Net realized and unrealized gain (loss)		1.94			0.64			(0.55	)		0.17
Total from investment operations		2.22			0.91			(0.25	)		0.23
Distributions to shareholders from:
Net investment income		(0.24	)		(0.16	)		(0.17	)		(0.17	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.18	)		(0.18	)		(0.17	)
Net asset value, end of period	$	12.29		$	10.36		$	9.63		$	10.06
Total return (c)		21.45	%		9.31	%		(2.40	)%		2.25	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	300,444		$	76,304		$	8,374		$	335
Ratios to Average Net Assets:
Total expenses (d)		0.21	%		0.57	%		3.25	%		30.02	%(e)
Net expenses (d)		0.07	%		0.05	%		0.01	%		0.17	%(e)
Net investment income (loss)		2.39	%		2.62	%		2.99	%		2.53	%(e)
Portfolio turnover rate		5	%		17	%		35	%		5	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

86

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2050 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.34		$	9.62		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.10			0.13			0.16			0.05
Net realized and unrealized gain (loss)		2.09			0.74			(0.45	)		0.16
Total from investment operations		2.19			0.87			(0.29	)		0.21
Distributions to shareholders from:
Net investment income		(0.22	)		(0.13	)		(0.15	)		(0.15	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.27	)		(0.15	)		(0.15	)		(0.15	)
Net asset value, end of period	$	12.26		$	10.34		$	9.62		$	10.06
Total return (c)		21.19	%		9.07	%		(2.85	)%		2.13	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	109		$	180		$	160		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.50	%		1.15	%		4.90	%		59.96	%(e)
Net expenses (d)		0.31	%		0.29	%		0.27	%		0.62	%(e)
Net investment income (loss)		0.86	%		1.35	%		1.61	%		2.03	%(e)
Portfolio turnover rate		5	%		16	%		35	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

87

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2050 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.33		$	9.62		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.15			0.08			0.43			0.06
Net realized and unrealized gain (loss)		2.06			0.80			(0.69	)		0.16
Total from investment operations		2.21			0.88			(0.26	)		0.22
Distributions to shareholders from:
Net investment income		(0.25	)		(0.15	)		(0.18	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.30	)		(0.17	)		(0.18	)		(0.16	)
Net asset value, end of period	$	12.24		$	10.33		$	9.62		$	10.06
Total return (c)		21.30	%		9.34	%		(2.61	)%		2.20	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	240		$	366		$	795		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.25	%		0.97	%		4.65	%		59.71	%(e)
Net expenses (d)		0.06	%		0.12	%		0.02	%		0.37	%(e)
Net investment income (loss)		1.34	%		0.76	%		4.40	%		2.28	%(e)
Portfolio turnover rate		5	%		16	%		35	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

88

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2050 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.33		$	9.61		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.27			0.26			0.28			0.06
Net realized and unrealized gain (loss)		1.94			0.63			(0.55	)		0.16
Total from investment operations		2.21			0.89			(0.27	)		0.22
Distributions to shareholders from:
Net investment income		(0.25	)		(0.15	)		(0.18	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.00	)(b)		(0.00	)(b)
Total distributions		(0.30	)		(0.17	)		(0.18	)		(0.16	)
Net asset value, end of period	$	12.24		$	10.33		$	9.61		$	10.06
Total return (c)		21.42	%		9.35	%		(2.71	)%		2.25	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	212,217		$	48,016		$	5,736		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.25	%		0.90	%		4.65	%		59.52	%(e)
Net expenses (d)		0.07	%		0.05	%		0.02	%		0.17	%(e)
Net investment income (loss)		2.37	%		2.61	%		2.82	%		2.48	%(e)
Portfolio turnover rate		5	%		16	%		35	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

89

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2055 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.32		$	9.60		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.12			0.13			0.16			0.05
Net realized and unrealized gain (loss)		2.07			0.74			(0.45	)		0.16
Total from investment operations		2.19			0.87			(0.29	)		0.21
Distributions to shareholders from:
Net investment income		(0.21	)		(0.13	)		(0.16	)		(0.15	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.26	)		(0.15	)		(0.17	)		(0.15	)
Net asset value, end of period	$	12.25		$	10.32		$	9.60		$	10.06
Total return (c)		21.20	%		9.06	%		(2.90	)%		2.13	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	102		$	172		$	160		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.77	%		2.34	%		7.94	%		59.87	%(e)
Net expenses (d)		0.31	%		0.29	%		0.27	%		0.62	%(e)
Net investment income (loss)		1.04	%		1.30	%		1.62	%		2.03	%(e)
Portfolio turnover rate		7	%		14	%		40	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

90

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2055 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.32		$	9.60		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.11			0.16			0.22			0.06
Net realized and unrealized gain (loss)		2.11			0.73			(0.49	)		0.16
Total from investment operations		2.22			0.89			(0.27	)		0.22
Distributions to shareholders from:
Net investment income		(0.24	)		(0.15	)		(0.18	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.17	)		(0.19	)		(0.16	)
Net asset value, end of period	$	12.25		$	10.32		$	9.60		$	10.06
Total return (c)		21.60	%		9.33	%		(2.65	)%		2.20	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	105		$	271		$	222		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.52	%		2.09	%		7.69	%		59.62	%(e)
Net expenses (d)		0.06	%		0.04	%		0.02	%		0.37	%(e)
Net investment income (loss)		0.95	%		1.58	%		2.20	%		2.28	%(e)
Portfolio turnover rate		7	%		14	%		40	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

91

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2055 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.31		$	9.59		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.31			0.26			0.27			0.06
Net realized and unrealized gain (loss)		1.90			0.63			(0.55	)		0.16
Total from investment operations		2.21			0.89			(0.28	)		0.22
Distributions to shareholders from:
Net investment income		(0.24	)		(0.15	)		(0.18	)		(0.16	)
Net realized gains		(0.05	)		(0.02	)		(0.01	)		(0.00	)(b)
Total distributions		(0.29	)		(0.17	)		(0.19	)		(0.16	)
Net asset value, end of period	$	12.23		$	10.31		$	9.59		$	10.06
Total return (c)		21.53	%		9.34	%		(2.75	)%		2.25	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	81,529		$	18,718		$	3,043		$	168
Ratios to Average Net Assets:
Total expenses (d)		0.51	%		2.09	%		7.69	%		59.42	%(e)
Net expenses (d)		0.07	%		0.05	%		0.02	%		0.17	%(e)
Net investment income (loss)		2.67	%		2.61	%		2.64	%		2.48	%(e)
Portfolio turnover rate		7	%		14	%		40	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

92

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2060 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class A
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.09		$	9.50		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.10			0.13			0.17			0.05
Net realized and unrealized gain (loss)		2.04			0.71			(0.45	)		0.16
Total from investment operations		2.14			0.84			(0.28	)		0.21
Distributions to shareholders from:
Net investment income		(0.20	)		(0.12	)		(0.17	)		(0.15	)
Net realized gains		(0.11	)		(0.13	)		(0.11	)		(0.00	)(b)
Total distributions		(0.31	)		(0.25	)		(0.28	)		(0.15	)
Net asset value, end of period	$	11.92		$	10.09		$	9.50		$	10.06
Total return (c)		21.24	%		8.81	%		(2.78	)%		2.12	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	100		$	168		$	158		$	168
Ratios to Average Net Assets:
Total expenses (d)		3.39	%		11.61	%		30.01	%		59.73	%(e)
Net expenses (d)		0.31	%		0.30	%		0.27	%		0.62	%(e)
Net investment income (loss)		0.91	%		1.30	%		1.68	%		2.04	%(e)
Portfolio turnover rate		18	%		55	%		73	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

93

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2060 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.09		$	9.50		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.15			0.15			0.20			0.06
Net realized and unrealized gain (loss)		2.01			0.71			(0.46	)		0.16
Total from investment operations		2.16			0.86			(0.26	)		0.22
Distributions to shareholders from:
Net investment income		(0.23	)		(0.14	)		(0.19	)		(0.16	)
Net realized gains		(0.11	)		(0.13	)		(0.11	)		(0.00	)(b)
Total distributions		(0.34	)		(0.27	)		(0.30	)		(0.16	)
Net asset value, end of period	$	11.91		$	10.09		$	9.50		$	10.06
Total return (c)		21.45	%		9.09	%		(2.53	)%		2.18	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	103		$	170		$	162		$	168
Ratios to Average Net Assets:
Total expenses (d)		3.13	%		11.36	%		29.76	%		59.48	%(e)
Net expenses (d)		0.06	%		0.05	%		0.02	%		0.37	%(e)
Net investment income (loss)		1.31	%		1.51	%		1.96	%		2.29	%(e)
Portfolio turnover rate		18	%		55	%		73	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

94

STATE STREET INSTITUTIONAL INVESTMENT TRUST    

STATE STREET TARGET RETIREMENT 2060 FUND    

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class K
	Year Ended 12/31/17			Year Ended 12/31/16			Year Ended 12/31/15			For the Period 9/30/14* - 12/31/14
Net asset value, beginning of period	$	10.08		$	9.49		$	10.06		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.33			0.29			0.19			0.06
Net realized and unrealized gain (loss)		1.84			0.57			(0.45	)		0.16
Total from investment operations		2.17			0.86			(0.26	)		0.22
Distributions to shareholders from:
Net investment income		(0.23	)		(0.14	)		(0.20	)		(0.16	)
Net realized gains		(0.11	)		(0.13	)		(0.11	)		(0.00	)(b)
Total distributions		(0.34	)		(0.27	)		(0.31	)		(0.16	)
Net asset value, end of period	$	11.91		$	10.08		$	9.49		$	10.06
Total return (c)		21.57	%		8.98	%		(2.53	)%		2.24	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	12,141		$	3,344		$	269		$	168
Ratios to Average Net Assets:
Total expenses (d)		3.07	%		11.36	%		29.76	%		59.28	%(e)
Net expenses (d)		0.07	%		0.06	%		0.02	%		0.17	%(e)
Net investment income (loss)		2.94	%		2.91	%		1.88	%		2.49	%(e)
Portfolio turnover rate		18	%		55	%		73	%		7	%(f)

 * 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(d) Does not include expenses of the Underlying Funds in which the Fund invests.

(e) Annualized.

(f) Not annualized.

See accompanying notes to financial statements.

95

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following series (each a “Fund” and collectively the “Funds”):

Fund	Classes	Commencement of Operations	Diversification Classification
State Street Target Retirement Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2015 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2020 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2025 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2030 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2035 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2040 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2045 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2050 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2055 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified
State Street Target Retirement 2060 Fund	Class A Class I Class K	September 30, 2014 September 30, 2014 September 30, 2014	Diversified

Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares and Class K shares are sold without a sales charge and only to certain eligible investors.

96

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Each Fund is a “fund of funds” that invests in a combination of mutual funds and exchange traded funds (“ETFs”) sponsored by SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) 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.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Funds’ investments.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

97

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in each Fund’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Funds had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of foreign taxes withheld at source, if any. Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

Each Fund has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly at an annual rate of 0.05% of each Fund’s average daily net assets.

The Funds’ investment adviser is contractually obligated until April 30, 2018 (i) to waive up to the full amount of the advisory fee payable by the Funds and/or (ii) to reimburse the Funds to the extent that Total Annual Fund Operating Expenses (exclusive of non-recurring account fees, extraordinary expenses, and distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.13% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board.

98

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Funds. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Funds pay annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of each Fund’s net assets attributable to its Class A shares. In addition to payments under the Plan, each Fund may reimburse SSGA FD 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.

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 7 for additional information regarding securities lending.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedules of Investments.

Contribution by Affiliate

On August 1, 2016, the transfer agent made a reimbursement of $794 to the State Street Target Retirement 2055 Fund in connection with a trade related matter.

99

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Target Retirement Fund	$	96,637,036	$	22,376,104
State Street Target Retirement 2015 Fund		215,900,784		50,536,494
State Street Target Retirement 2020 Fund		588,277,681		94,191,859
State Street Target Retirement 2025 Fund		620,211,452		54,869,848
State Street Target Retirement 2030 Fund		526,454,617		36,822,774
State Street Target Retirement 2035 Fund		390,774,790		23,608,976
State Street Target Retirement 2040 Fund		287,002,839		17,556,004
State Street Target Retirement 2045 Fund		203,847,591		9,399,525
State Street Target Retirement 2050 Fund		149,038,885		6,783,677
State Street Target Retirement 2055 Fund		58,314,586		3,109,557
State Street Target Retirement 2060 Fund		8,919,542		1,267,448

6. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions and wash sale loss deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Target Retirement Fund	$	2,468,554	$	1,110,054	$	—	$	3,578,608
State Street Target Retirement 2015 Fund		5,332,716		1,072,886		—		6,405,602
State Street Target Retirement 2020 Fund		15,910,997		4,894,448		—		20,805,445
State Street Target Retirement 2025 Fund		16,784,458		3,695,787		—		20,480,245
State Street Target Retirement 2030 Fund		14,528,886		3,486,374		—		18,015,260
State Street Target Retirement 2035 Fund		10,490,525		2,991,768		—		13,482,293

100

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Target Retirement 2040 Fund	$	8,536,325	$	1,690,049	$	—	$	10,226,374
State Street Target Retirement 2045 Fund		5,677,025		1,268,842		—		6,945,867
State Street Target Retirement 2050 Fund		4,158,409		922,614		—		5,081,023
State Street Target Retirement 2055 Fund		1,578,532		349,752		—		1,928,284
State Street Target Retirement 2060 Fund		251,773		87,265		—		339,038

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Target Retirement Fund	$	953,295	$	65,818	$	—	$	1,019,113
State Street Target Retirement 2015 Fund		1,587,162		46,665		—		1,633,827
State Street Target Retirement 2020 Fund		3,889,047		321,856		—		4,210,903
State Street Target Retirement 2025 Fund		3,398,765		366,463		—		3,765,228
State Street Target Retirement 2030 Fund		3,476,519		409,936		—		3,886,455
State Street Target Retirement 2035 Fund		2,599,234		229,480		—		2,828,714
State Street Target Retirement 2040 Fund		2,172,277		338,757		—		2,511,034
State Street Target Retirement 2045 Fund		1,202,002		101,040		—		1,303,042
State Street Target Retirement 2050 Fund		750,637		72,716		—		823,353
State Street Target Retirement 2055 Fund		279,549		38,962		—		318,511
State Street Target Retirement 2060 Fund		83,460		12,624		—		96,084

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Target Retirement Fund	$	—	$	—	$	851,367	$	2,313,066	$	—	$	3,164,433
State Street Target Retirement 2015 Fund		—		—		2,114,796		4,767,968		—		6,882,764
State Street Target Retirement 2020 Fund		—		—		8,074,024		33,831,518		—		41,905,542
State Street Target Retirement 2025 Fund		—		—		9,701,281		49,282,134		—		58,983,415
State Street Target Retirement 2030 Fund		—		—		9,679,869		58,330,873		—		68,010,742
State Street Target Retirement 2035 Fund		—		—		7,353,452		47,404,796		—		54,758,248
State Street Target Retirement 2040 Fund		—		—		5,928,792		43,587,660		—		49,516,452
State Street Target Retirement 2045 Fund		—		—		4,096,616		28,187,906		—		32,284,522
State Street Target Retirement 2050 Fund		—		—		2,944,008		20,774,196		—		23,718,204
State Street Target Retirement 2055 Fund		—		—		1,122,522		6,738,903		—		7,861,425
State Street Target Retirement 2060 Fund		1,425		—		172,651		819,277		—		993,353

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Target Retirement Fund	$	134,081,884	$	3,193,167	$	880,102	$	2,313,065
State Street Target Retirement 2015 Fund		243,090,281		5,783,061		1,015,093		4,767,968

101

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Target Retirement 2020 Fund	$	745,007,973	$	35,999,804	$	2,168,285	$	33,831,519
State Street Target Retirement 2025 Fund		783,050,074		50,345,332		1,063,195		49,282,137
State Street Target Retirement 2030 Fund		721,743,240		58,970,404		639,531		58,330,873
State Street Target Retirement 2035 Fund		537,061,034		47,779,600		374,804		47,404,796
State Street Target Retirement 2040 Fund		414,786,745		43,670,354		82,694		43,587,660
State Street Target Retirement 2045 Fund		272,354,366		28,187,908		—		28,187,908
State Street Target Retirement 2050 Fund		191,304,598		20,774,194		—		20,774,194
State Street Target Retirement 2055 Fund		74,530,764		6,738,903		—		6,738,903
State Street Target Retirement 2060 Fund		11,545,076		819,277		—		819,277

7. Securities Lending

Each Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2017, and the value of the invested cash collateral are disclosed in the Funds Statements of Assets and Liabilities if any, as applicable. Non-cash collateral is not disclosed in the Funds Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds Statements of Operations, represents the income earned from the non cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The State Street Target Retirement Fund, the State Street Target Retirement 2020 Fund and the State Street Target Retirement 2025 Fund engaged in securities lending activities during the year ended December 31, 2017, and did not have any securities on loan at December 31, 2017.

8. Line of Credit

The Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Prior to October 12, 2017, the Funds and other affiliated funds participated in a $360 million revolving credit facility.

The Funds had no outstanding loans as of December 31, 2017.

9. Risks

Concentration Risk

As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders 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 and Board of Trustees of State Street Institutional Investment Trust.

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities 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 (collectively referred to as the “Funds”) (eleven of the funds constituting State Street Institutional Investment Trust (the “Trust”)), including the schedules of investments, as of December 31, 2017, 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, the financial highlights for each of the three years in the period then ended and the period from September 30, 2014 (commencement of operations) through December 31, 2014 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eleven of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, 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 their financial highlights for each of the three years in the period then ended and the period from September 30, 2014 (commencement of operations) through December 31, 2014, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 U.S. Securities and Exchange Commission (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual					Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio(a)			Ending Account Value		Expenses Paid During Period(b)			Ending Account Value		Expenses Paid During Period(b)
State Street Target Retirement Fund
Class A		0.19	%	$	1,041.20	$	0.98		$	1,024.20	$	0.97
Class I		(0.06	)		1,042.90		(0.31	)		1,025.50		(0.31	)
Class K		0.01			1,041.00		0.05			1,025.20		0.05
State Street Target Retirement 2015 Fund
Class A		0.22			1,047.30		1.14			1,024.10		1.12
Class I		(0.03	)		1,049.80		(0.15	)		1,025.40		(0.15	)
Class K		(0.10	)		1,048.80		(0.52	)		1,025.70		(0.51	)
State Street Target Retirement 2020 Fund
Class A		0.27			1,062.60		1.40			1,023.80		1.38
Class I		0.02			1,064.40		0.10			1,025.10		0.10
Class K		0.04			1,063.40		0.21			1,025.00		0.20
State Street Target Retirement 2025 Fund
Class A		0.26			1,077.00		1.36			1,023.90		1.33
Class I		0.04			1,078.70		0.21			1,025.00		0.20
Class K		0.05			1,078.60		0.26			1,025.00		0.26
State Street Target Retirement 2030 Fund
Class A		0.30			1,085.40		1.58			1,023.70		1.53
Class I		0.05			1,086.30		0.26			1,025.00		0.26

105

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio(a)			Ending Account Value		Expenses Paid During Period(b)		Ending Account Value		Expenses Paid During Period(b)
Class K		0.06	%	$	1,087.20	$	0.32	$	1,024.90	$	0.31
State Street Target Retirement 2035 Fund
Class A		0.31			1,092.90		1.64		1,023.60		1.58
Class I		0.06			1,093.80		0.32		1,024.90		0.31
Class K		0.09			1,094.60		0.48		1,024.80		0.46
State Street Target Retirement 2040 Fund
Class A		0.32			1,097.40		1.69		1,023.60		1.63
Class I		0.07			1,099.20		0.37		1,024.90		0.36
Class K		0.07			1,099.10		0.37		1,024.90		0.36
State Street Target Retirement 2045 Fund
Class A		0.30			1,101.00		1.59		1,023.70		1.53
Class I		0.06			1,102.80		0.32		1,024.90		0.31
Class K		0.08			1,103.70		0.42		1,024.80		0.41
State Street Target Retirement 2050 Fund
Class A		0.31			1,102.10		1.64		1,023.60		1.58
Class I		0.06			1,103.10		0.32		1,024.90		0.31
Class K		0.08			1,103.10		0.42		1,024.80		0.41
State Street Target Retirement 2055 Fund
Class A		0.31			1,102.00		1.64		1,023.60		1.58
Class I		0.05			1,103.70		0.27		1,025.00		0.26
Class K		0.08			1,102.90		0.42		1,024.80		0.41
State Street Target Retirement 2060 Fund
Class A		0.29			1,102.10		1.54		1,023.70		1.48
Class I		0.04			1,103.00		0.21		1,025.00		0.20
Class K		0.07			1,103.00		0.37		1,024.90		0.36

(a) The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher.

(b) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.

106

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 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. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Qualified Interest Income

Each fund reports the maximum amount allowable of its net taxable income and short-term capital gain as qualified interest income.

Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2017:

	Amount
State Street Target Retirement Fund	$	1,110,054
State Street Target Retirement 2015 Fund		1,072,886
State Street Target Retirement 2020 Fund		4,894,448
State Street Target Retirement 2025 Fund		3,695,787
State Street Target Retirement 2030 Fund		3,486,374
State Street Target Retirement 2035 Fund		2,991,768
State Street Target Retirement 2040 Fund		1,690,049
State Street Target Retirement 2045 Fund		1,268,842
State Street Target Retirement 2050 Fund		922,614
State Street Target Retirement 2055 Fund		349,752
State Street Target Retirement 2060 Fund		87,265

Foreign Tax Credit

The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Target Retirement Fund	$	20,506
State Street Target Retirement 2015 Fund		39,679
State Street Target Retirement 2020 Fund		218,329
State Street Target Retirement 2025 Fund		313,773
State Street Target Retirement 2030 Fund		355,125
State Street Target Retirement 2035 Fund		289,816
State Street Target Retirement 2040 Fund		251,078
State Street Target Retirement 2045 Fund		175,456
State Street Target Retirement 2050 Fund		128,447

107

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

	Amount
State Street Target Retirement 2055 Fund	$	49,114
State Street Target Retirement 2060 Fund		7,106

The amount of foreign source income earned on the following Funds during the year ended December 31, 2017 were as follows:

	Amount
State Street Target Retirement Fund	$	227,053
State Street Target Retirement 2015 Fund		439,351
State Street Target Retirement 2020 Fund		2,417,451
State Street Target Retirement 2025 Fund		3,474,260
State Street Target Retirement 2030 Fund		3,932,138
State Street Target Retirement 2035 Fund		3,209,003
State Street Target Retirement 2040 Fund		2,780,069
State Street Target Retirement 2045 Fund		1,942,742
State Street Target Retirement 2050 Fund		1,422,232
State Street Target Retirement 2055 Fund		543,816
State Street Target Retirement 2060 Fund		78,681

108

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Funds file a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.

113

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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 fund shares.

State Street Institutional Investment Trust

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

SSIITTRAR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Disciplined Global Equity Fund

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance (Unaudited)	1
Performance Summary (Unaudited)	2
Statement of Assets and Liabilities	3
Statement of Operations	4
Statements of Changes in Net Assets	5
Financial Highlights	6
Notes to Financial Statements	7
Report of Independent Registered Public Accounting Firm	11
Other Information (Unaudited)	12
Financial Statements of the State Street Disciplined Global Equity Portfolio	21

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Disciplined Global Equity Fund (the “Fund”) normally invests substantially all of its investable assets in the State Street Disciplined Global Equity Portfolio (the “Portfolio”). As a result, the Fund invests indirectly through the Portfolio. The Fund seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad global equity market. The Fund’s benchmark is the MSCI World Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class I shares was 21.26%, and the Index was 22.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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 Portfolio’s defensive positioning, sector allocation and stock selection were primary drivers of Fund performance during the Reporting Period relative to the Index. A strong global equity market was generally supportive of strong investors’ risk sentiments. High risk/high beta stocks led the market rally through the Reporting Period. The Portfolio’s defensive posture, with higher allocation to lower risk securities, faced a significant headwind on relative performance. Similarly, the Portfolio’s overweight of defensive sectors — Utilities, Consumer Staples and Telecommunication, and underweight of best performing Information Technology detracted from the Fund’s performance relative to the Index. The Portfolio’s stock selection performance was mildly positive and insufficient to fully offset the performance lag from the defensive and sector positioning.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Suzuki Motor, Agilent Technologies and Baxter International. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Foot Locker, Telstra Corp. and Axis Capital Holdings.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements and financial statements of the Master Portfolio.

1

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Disciplined Global Equity Fund Class I		21.26%		16.56%
MSCI World Index (1)		22.40%		20.41%

* Inception date is February 18, 2016.

(1) The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

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.

See accompanying notes to financial statements and financial statements of the Master Portfolio.

2

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investment in affiliated State Street Disciplined Global Equity Portfolio	$	4,998,577
Receivable for investments sold		1,569
TOTAL ASSETS		5,000,146
LIABILITIES
Advisory fee payable		5,153
Custodian fees payable		859
Administration fees payable		214
Transfer agent fees payable		1,722
Registration and filing fees payable		70
Professional fees payable		11,428
Printing and postage fees payable		27,328
TOTAL LIABILITIES		46,774
NET ASSETS	$	4,953,372
NET ASSETS CONSIST OF:
Paid-in Capital	$	4,121,274
Accumulated net realized gain (loss) on investments		65,413
Net unrealized appreciation (depreciation) on:
Investment in affiliated State Street Disciplined Global Equity Portfolio		766,685
NET ASSETS	$	4,953,372
Class I
Net Assets	$	4,953,372
Shares Outstanding		396,972
Net asset value, offering and redemption price per share	$	12.48
COST OF INVESTMENTS:
Investment in affiliated State Street Disciplined Global Equity Portfolio	$	4,231,892
Shares of affiliated State Street Disciplined Global Equity Portfolio		400,848

See accompanying notes to financial statements and financial statements of the Master Portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Dividend income from affiliated State Street Disciplined Global Equity Portfolio	$	151,317
EXPENSES
Advisory fee		32,642
Administration fees		2,176
Shareholder servicing fees Class I		408
Custodian fees		13,724
Trustees’ fees and expenses		22,108
Transfer agent fees		5,273
Registration and filing fees		30,366
Professional fees and expenses		31,691
Printing and postage fees		52,414
Insurance expense		12
Miscellaneous expenses		4,094
TOTAL EXPENSES		194,908
Expenses waived/reimbursed by the Adviser		(161,846	)
NET EXPENSES		33,062
NET INVESTMENT INCOME (LOSS)		118,255
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment in affiliated State Street Disciplined Global Equity Portfolio		50,208
Capital gain distributions from affiliated State Street Disciplined Global Equity Portfolio		60,447
Net realized gain (loss)		110,655
Net change in unrealized appreciation/depreciation on:
Investment in affiliated State Street Disciplined Global Equity Portfolio		579,655
NET REALIZED AND UNREALIZED GAIN (LOSS)		690,310
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	808,565

See accompanying notes to financial statements and financial statements of the Master Portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17		For the Period 2/18/16* - 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	118,255	$	63,303
Net realized gain (loss)		110,655		44,165
Net change in unrealized appreciation/depreciation		579,655		187,030
Net increase (decrease) in net assets resulting from operations		808,565		294,498
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(153,255)		(94,050	)
Net realized gains		(17,210)		(6,450	)
Total distributions to shareholders		(170,465)		(100,500	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class I
Proceeds from sale of shares sold		1,080,700		3,000,000
Reinvestment of distributions		40,574		—
Net increase (decrease) in net assets from beneficial interest transactions		1,121,274		3,000,000
Net increase (decrease) in net assets during the period		1,759,374		3,193,998
Net assets at beginning of period		3,193,998		—
NET ASSETS AT END OF PERIOD	$	4,953,372	$	3,193,998
Undistributed (distribution in excess of) net investment income (loss)	$	—	$	15
SHARES OF BENEFICIAL INTEREST:
Class I
Shares sold		93,710		300,000
Reinvestment of distributions		3,262		—
Net increase (decrease)		96,972		300,000

* Inception date.

See accompanying notes to financial statements and financial statements of the Master Portfolio.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout the period

	Class I
	Year Ended 12/31/17			For the Period 2/19/16* - 12/31/16
Net asset value, beginning of period	$	10.65		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.32			0.21
Net realized and unrealized gain (loss)		1.94			0.77
Total from investment operations		2.26			0.98
Distributions to shareholders from:
Net investment income		(0.39)			(0.31	)
Net realized gains		(0.04)			(0.02	)
Total distributions		(0.43)			(0.33	)
Net asset value, end of period	$	12.48		$	10.65
Total return (b)		21.26	%		9.85	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,953		$	3,194
Ratios to Average Net Assets:
Total expenses		4.48	%		5.37	%(c)
Net expenses		0.76	%		0.75	%(c)
Net investment income (loss)		2.72	%		2.26	%(c)
Portfolio turnover rate (d)		39	%		38	%(e)

 * Commencement of operations.

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(c) Annualized.

(d) Portfolio turnover rate is from the State Street Disciplined Global Equity Portfolio.

(e) Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following series (the “Fund”):

Fund	Classes	Commencement     of Operations	Diversification       Classification
State Street Disciplined Global Equity Fund	Class A   Class C   Class I   Class K	Not commenced   Not commenced   February 19, 2016  Not commenced	Diversified

Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares are sold without a sales charge and only to certain eligible investors.

The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Disciplined Global Equity Portfolio (the “Portfolio”), a separate series of SSGA Active Trust. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (100.00% at December 31, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investment in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of foreign taxes withheld at source, if any.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Trust. Class specific expenses are borne by each class.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, at the rate of 0.75% of the Fund’s average daily net assets.

The Adviser is contractually obligated until April 30, 2018, 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 0.75% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board. For the period ended December 31, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $161,846.

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. As of December 31, 2017, the Fund’s Class A shares have not commenced operations. In addition to payments under the Plan, the Fund may reimburse SSGA FD 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.

The Fund may also pay a sub-transfer agent fee at an annual rate of up to 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.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Other Transactions with Affiliates

From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of December 31, 2017, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 10% Affiliated Account Holders		Percentage of Affiliated Ownership
State Street Disciplined Global Equity Fund		1		75.57	%

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to distribution re-designations and distributions from underlying funds.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Disciplined Global Equity Fund	$	162,042	$	8,423	$	—	$	170,465

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Disciplined Global Equity Fund	$	100,500	$	—	$	—	$	100,500

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Disciplined Global Equity Fund	$	—	$	—	$	65,413	$	766,685	$	—	$	832,098

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Disciplined Global Equity Fund	$	4,231,892	$	766,685	$	—	$	766,685

6. Risks

Market and Credit Risk

In the normal course of business, the Fund trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

7. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of

State Street Disciplined Global Equity Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Disciplined Global Equity Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), as of December 31, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets year and the financial highlights for the year ended December 31, 2017 and the period from February 19, 2016 (commencement of operations) through December 31, 2016 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets and its financial highlights for the year ended December 31, 2017 and the period from February 19, 2016 (commencement of operations) through December 31, 2016, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Disciplined Global Equity Fund Class I(b)		0.76	%	$	1,078.90	$	3.98	$	1,021.40	$	3.87

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

(b) Because the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2017.

Dividends Received Deduction

The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Fund during the fiscal year ended December 31, 2017 is considered qualified dividend income and is eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. The Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the following Fund during the year ended December 31, 2017:

	Amount
State Street Disciplined Global Equity Fund	$	8,423

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Fund’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-800-997-7327.

18

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 of the Fund

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 02199

Transfer Agent of the Fund

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.

Semi-Annual Report

December 31, 2017

SSGA Active Trust

State Street Disciplined Global Equity Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS (UNAUDITED)

Portfolio Statistics	1
Schedule of Investments	2
Statement of Assets and Liabilities	5
Statement of Operations	6
Statements of Changes in Net Assets	7
Financial Highlights	8
Notes to Financial Statements	9
Other Information	14

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017

Description	Market Value		% of Net Assets
Baxter International, Inc.		73,366		1.5	%
Texas Instruments, Inc.		70,810		1.4
Hitachi, Ltd.		70,138		1.4
Mitsui & Co., Ltd.		69,930		1.4
Cummins, Inc.		69,420		1.4
TOTAL		353,664		7.1	%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

Industry Breakdown as of December 31, 2017

	% of Net Assets
Insurance		7.0	%
Banks		6.4
Health Care Providers & Services		5.1
Electric Utilities		4.7
Diversified Telecommunication Services		4.7
Pharmaceuticals		4.3
Health Care Equipment & Supplies		4.2
Multi-Utilities		3.8
Electronic Equipment, Instruments & Components		3.8
Construction & Engineering		2.8
Semiconductors & Semiconductor Equipment		2.6
Food & Staples Retailing		2.6
Real Estate Investment Trusts (REITs)		2.6
Hotels, Restaurants & Leisure		2.4
Automobiles		2.4
Technology Hardware, Storage & Peripherals		2.3
Beverages		2.3
Aerospace & Defense		2.3
Trading Companies & Distributors		2.3
Communications Equipment		1.8
Food Products		1.8
Tobacco		1.8
Household Durables		1.8
Unknown I3		1.6
Commercial Services & Supplies		1.5
Life Sciences Tools & Services		1.4
Machinery		1.4
Consumer Finance		1.3
Textiles, Apparel & Luxury Goods		1.3
Containers & Packaging		1.2
IT Services		1.2
Air Freight & Logistics		1.1
Mortgage Real Estate Investment Trust (REITs)		1.1
Road & Rail		1.1
Airlines		1.1
Metals & Mining		1.1
Electrical Equipment		1.0
Wireless Telecommunication Services		1.0
Media		0.9
Household Products		0.8
Specialty Retail		0.8
Chemicals		0.8
Software		0.7
Capital Markets		0.6
Industrial Conglomerates		0.5
Short-Term Investment		0.5
Other Assets in Excess of Liabilities		0.2
TOTAL		100.0	%

(The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.3%
AUSTRALIA — 1.2%
Qantas Airways, Ltd.		6,574	$	25,915
South32, Ltd.		11,841		32,322
				58,237
CANADA — 1.8%
BCE, Inc.		859		41,396
TELUS Corp.		1,279		48,610
				90,006
DENMARK — 1.8%
Danske Bank A/S		1,682		65,540
Tryg A/S		982		24,580
				90,120
FRANCE — 1.8%
Peugeot SA		1,992		40,556
Sanofi		544		46,935
				87,491
GERMANY — 0.8%
CECONOMY AG		1,496		22,644
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		79		17,146
				39,790
HONG KONG — 6.2%
BOC Hong Kong Holdings, Ltd.		12,000		60,788
CLP Holdings, Ltd.		5,000		51,137
Hang Seng Bank, Ltd.		2,100		52,115
Jardine Matheson Holdings, Ltd.		400		24,300
Link REIT		6,500		60,241
Sun Hung Kai Properties, Ltd.		2,000		33,362
WH Group, Ltd. (a)		23,000		25,950
				307,893
ITALY — 1.4%
Enel SpA		11,140		68,624
JAPAN — 17.5%
Central Japan Railway Co.		300		53,742
Daiwa House Industry Co., Ltd.		800		30,729
FUJIFILM Holdings Corp.		900		36,791
Fujitsu, Ltd.		5,000		35,628
Hitachi, Ltd.		9,000		70,138
Japan Airlines Co., Ltd.		800		31,304
Kajima Corp.		5,000		48,113
Kirin Holdings Co., Ltd.		2,400		60,517
Marubeni Corp.		5,900		42,743
Mitsubishi Materials Corp.		600		21,358
Mitsui & Co., Ltd.		4,300		69,930
Mitsui Chemicals, Inc.		1,200		38,615
Nippon Telegraph & Telephone Corp.		1,200		56,469
NTT DOCOMO, Inc.		2,000		47,244
Sekisui Chemical Co., Ltd.		2,300		46,184
Sekisui House, Ltd.		2,600		46,980
Suzuki Motor Corp.		500		29,001
Taisei Corp.		1,200		59,760
Toyota Motor Corp.		800		51,224
				876,470
NETHERLANDS — 0.7%
NN Group NV		854		37,041
NEW ZEALAND — 0.9%
Spark New Zealand, Ltd.		16,707		43,132
SINGAPORE — 0.6%
Ascendas REIT		6,500		13,230
UOL Group, Ltd.		2,485		16,493
				29,723
SPAIN — 0.6%
ACS Actividades de Construccion y Servicios SA		807		31,610
SWEDEN — 1.1%
Swedish Match AB		1,444		57,002
SWITZERLAND — 3.6%
Sonova Holding AG		246		38,421
Swisscom AG		89		47,354
TE Connectivity, Ltd.		663		63,012
Zurich Insurance Group AG		100		30,436
				179,223
UNITED KINGDOM — 0.9%
Direct Line Insurance Group PLC		8,421		43,481
UNITED STATES — 58.4%
Abbott Laboratories		1,202		68,598
Agilent Technologies, Inc.		1,021		68,376
AGNC Investment Corp. REIT		2,720		54,917
Allstate Corp.		556		58,219
Altria Group, Inc.		478		34,134
Ameren Corp.		768		45,304
American Express Co.		676		67,134
Annaly Capital Management, Inc. REIT		4,735		56,299
Anthem, Inc.		235		52,877
Apple, Inc.		173		29,277
Avery Dennison Corp.		522		59,957
Bank of New York Mellon Corp.		555		29,892
Baxter International, Inc.		1,135		73,366
Carnival Corp.		849		56,348
CenterPoint Energy, Inc.		1,662		47,134
Cisco Systems, Inc.		834		31,942
Comcast Corp. Class A		1,101		44,095
Corning, Inc.		1,700		54,383
Cummins, Inc.		393		69,420
DTE Energy Co.		492		53,854
Eaton Corp. PLC		659		52,068
Edison International		296		18,719
Eli Lilly & Co.		481		40,625
Entergy Corp.		335		27,266
Everest Re Group, Ltd.		84		18,586
Exelon Corp.		1,239		48,829
Express Scripts Holding Co. (b)		534		39,858
General Dynamics Corp.		121		24,617
Harris Corp.		439		62,184
HCA Healthcare, Inc. (b)		522		45,852
Home Depot, Inc.		221		41,886

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Security Description	Shares		Value
HP, Inc.		2,260	$	47,483
IDEXX Laboratories, Inc. (b)		175		27,367
International Business Machines Corp.		150		23,013
Johnson & Johnson		458		63,992
JPMorgan Chase & Co.		642		68,655
KLA-Tencor Corp.		207		21,750
Lincoln National Corp.		408		31,363
Maxim Integrated Products, Inc.		751		39,262
McDonald’s Corp.		373		64,201
Merck & Co., Inc.		809		45,522
Motorola Solutions, Inc.		684		61,793
PepsiCo, Inc.		473		56,722
Pfizer, Inc.		404		14,633
PNC Financial Services Group, Inc.		476		68,682
PPL Corp.		624		19,313
Principal Financial Group, Inc.		667		47,064
Procter & Gamble Co.		421		38,681
Prudential Financial, Inc.		103		11,843
Public Service Enterprise Group, Inc.		846		43,569
PVH Corp.		466		63,940
Quest Diagnostics, Inc.		580		57,124
Raytheon Co.		155		29,117
Republic Services, Inc.		211		14,266
Synopsys, Inc. (b)		404		34,437
Sysco Corp.		659		40,021
Texas Instruments, Inc.		678		70,810
Torchmark Corp.		401		36,375
Tyson Foods, Inc. Class A		785		63,640
United Parcel Service, Inc. Class B		447		53,260
UnitedHealth Group, Inc.		266		58,642
Wal-Mart Stores, Inc.		654		64,583
Waste Management, Inc.		713		61,531
				2,918,670
TOTAL COMMON STOCKS (Cost $4,242,971)				4,958,513
SHORT-TERM INVESTMENT — 0.5%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d) (Cost $26,452)		26,452		26,452
TOTAL INVESTMENTS — 99.8% (Cost $4,269,423)				4,984,965
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				12,041
NET ASSETS — 100.0%			$	4,997,006

(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b) Non-income producing security.

(c) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at December 31, 2017.

REIT = Real Estate Investment Trust

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	58,237	$	—	$	—	$	58,237
Canada		90,006		—		—		90,006
Denmark		90,120		—		—		90,120
France		87,491		—		—		87,491
Germany		39,790		—		—		39,790
Hong Kong		307,893		—		—		307,893
Italy		68,624		—		—		68,624
Japan		876,470		—		—		876,470
Netherlands		37,041		—		—		37,041
New Zealand		43,132		—		—		43,132
Singapore		29,723		—		—		29,723

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Spain	$	31,610	$	—	$	—	$	31,610
Sweden		57,002		—		—		57,002
Switzerland		179,223		—		—		179,223
United Kingdom		43,481		—		—		43,481
United States		2,918,670		—		—		2,918,670
Short-Term Investment		26,452		—		—		26,452
TOTAL INVESTMENTS	$	4,984,965	$	—	$	—	$	4,984,965

Affiliate Table

	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		23,785	$	23,785	$	360,340	$	357,673	$	—	$	—		26,452	$	26,452	$	257	$	—

See accompanying notes to financial statements.

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STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)

ASSETS
Investments in unaffiliated issuers, at value	$	4,958,513
Investments in affiliated issuers, at value		26,452
Total Investments		4,984,965
Foreign currency, at value		3,499
Dividends receivable — unaffiliated issuers		6,739
Dividends receivable — affiliated issuers		21
Receivable from Adviser		1,099
Receivable for foreign taxes recoverable		3,334
TOTAL ASSETS		4,999,657
LIABILITIES
Payable for fund shares repurchased		1,569
Advisory fee payable		1,082
TOTAL LIABILITIES		2,651
NET ASSETS	$	4,997,006
NET ASSETS CONSIST OF:
Paid-in Capital	$	4,168,280
Undistributed (distribution in excess of) net investment income (loss)		(1,324	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		114,328
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		715,542
Foreign currency translations		180
NET ASSETS	$	4,997,006
NET ASSET VALUE PER SHARE
Net asset value per share	$	12.47
Shares outstanding (unlimited amount authorized, no par value)		400,848
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	4,242,971
Investments in affiliated issuers		26,452
Total cost of investments	$	4,269,423
Foreign currency, at cost	$	3,449

See accompanying notes to financial statements.

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STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2017 (Unaudited)

INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	91,000
Dividend income — affiliated issuers		257
Foreign taxes withheld		(1,592	)
TOTAL INVESTMENT INCOME (LOSS)		89,665
EXPENSES
Advisory fee		6,174
Trustees’ fees and expenses		34
Miscellaneous expenses		9
TOTAL EXPENSES		6,217
Expenses waived/reimbursed by the Adviser		(6,217	)
NET EXPENSES		—
NET INVESTMENT INCOME (LOSS)		89,665
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		115,206
Foreign currency transactions		443
Net realized gain (loss)		115,649
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		175,501
Foreign currency translations		(43	)
Net change in unrealized appreciation/depreciation		175,458
NET REALIZED AND UNREALIZED GAIN (LOSS)		291,107
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	380,772

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	89,665		$	99,295
Net realized gain (loss)		115,649			73,293
Net change in unrealized appreciation/depreciation		175,458			333,980
Net increase (decrease) in net assets resulting from operations		380,772			506,568
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(151,316	)		(84,310	)
Net realized gains		(60,448	)		(30,762	)
Total distributions to shareholders		(211,764	)		(115,072	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		198,522			1,071,399
Reinvestment of distributions		211,764			115,072
Cost of shares redeemed		(213,194	)		(217,386	)
Net increase (decrease) in net assets from beneficial interest transactions		197,092			969,085
Net increase (decrease) in net assets during the period		366,100			1,360,581
Net assets at beginning of period		4,630,906			3,270,325
NET ASSETS AT END OF PERIOD	$	4,997,006		$	4,630,906
Undistributed (distribution in excess of) net investment income (loss)	$	(1,324	)	$	60,327
SHARES OF BENEFICIAL INTEREST:
Shares sold		15,848			93,862
Reinvestment of distributions		17,050			10,805
Shares redeemed		(17,017	)		(19,900	)
Net increase (decrease)		15,881			84,767

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			For the Period 2/19/16* - 6/30/16
Net asset value, beginning of period	$	12.03		$	10.89		$	10.00
Net investment income (loss) (a)		0.23			0.31			0.15
Net realized and unrealized gain (loss)		0.74			1.21			0.74
Total from investment operations		0.97			1.52			0.89
Net investment income		(0.38	)		(0.28	)		—
Net realized gains		(0.15	)		(0.10	)		—
Total distributions		(0.53	)		(0.38	)		—
Net asset value, end of period	$	12.47		$	12.03		$	10.89
Total return (b)		8.13	%(c)		14.43	%		8.90	%(c)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,997		$	4,631		$	3,270
Ratios to average net assets:
Total expenses		0.25	%(d)		0.33	%		0.27	%(d)
Net expenses		0.00	%(d)(e)		0.00	%(e)		0.00	%(d)
Net investment income (loss)		3.63	%(d)		2.75	%		4.00	%(d)
Portfolio turnover rate		24	%(c)		30	%		21	%(c)

 * Commencement of operations.

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(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) Not annualized.

(d) Annualized.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1. Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of twelve (12) series each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):

Portfolio	Commencement of   Operations	Diversification   Classification
State Street Disciplined Global Equity Portfolio	February 19, 2016	Diversified

The Portfolio serves as a master fund in a master-feeder structure.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Portfolio’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.

The Portfolio invests in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

Foreign Currency Translation

The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

10

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.

The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2019 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Disciplined Global Equity Fund (the “Feeder Fund”). The waiver may be terminated only by the Portfolio’s Board. The Adviser pays all expenses of the Portfolio other than the management fee, distribution fees pursuant to the Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses. For the period ended December 31, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $6,217.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

11

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

5. Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Disciplined Global Equity Portfolio	$	1,210,891	$	1,155,134

6. Income Tax Information

The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2017, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Disciplined Global Equity Portfolio	$	4,270,246	$	762,152	$	47,433	$	714,719

7. Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolio and other affiliated Funds participated in a $360 million revolving credit facility.

The Portfolio had no outstanding loans as of December 31, 2017.

8. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio was more broadly diversified.

12

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolio trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

9. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

13

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Disciplined Global Equity Portfolio		0.00	%	$	1,081.30	$	0.00	$	1,025.20	$	0.00

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

14

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.

Approval of Advisory Agreement

At in-person meetings held prior to December 31, 2017, the Board of Trustees of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the State Street Disciplined Global Equity Portfolio, an operational series of SSGA Active Trust (the “Fund”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.

To evaluate the Agreement, the Board requested, and SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Fund under the Agreement, (ii) investment performance of the Fund, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of scale would be shared as the Fund grows.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser’s responsibilities for managing investment operations of the Fund in accordance with the Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio management and regulatory compliance of the Fund. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of its seniorpersonnel. The Board specifically considered the Adviser’s experience in active management and managing master-feeder structures.

Investment Performance

The Board then reviewed the Fund’s performance. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). The Board considered that the Fund underperformed the median of its Performance Group for the 1-year period. In addition, the Board

15

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

considered that although the Fund underperformed its benchmark index since inception, its performance was not significantly below the benchmark index and also noted the Fund’s performance information was limited due to the short time period since the Fund’s inception. The Trustees also considered management’s explanation of those factors that contributed to the Fund’s underperformance and steps being taken in response to such factors.

Profits Realized by Adviser

The Board considered the profitability of the advisory arrangement with the Fund to the Adviser, including data on the Fund’s historical profitability to the Adviser. The Board noted that the Adviser had contractually agreed to waive all of its fees related to its management of the Fund and, therefore, did not realize any profits from its advisory arrangement with the Fund. The Board further noted that an affiliated fund that is a series of a separate trust and also advised by the Adviser invests substantially all of its assets in the Fund and that the Adviser receives management fees from that fund.

Fees Charged to Comparable Funds

The Board evaluated the Fund’s unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., global large-cap mutual funds. The Board reviewed the universe of similar mutual funds for the Fund based upon data independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar mutual funds. The Board also reviewed the fee structure of the Fund in connection with the master-feeder structure.

Other Benefits

The Board also considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.

Economies of Scale

The Board reviewed information regarding economies of scale or other efficiencies that may result as the Fund’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the Fund’s advisory fee rate as assets of the Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the Fund by fixing a relatively low advisory fee, effectively sharing the benefits of lower fees with the Fund from inception. The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.

Conclusion

After weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for the Fund. The Board’s conclusions with respect to the Agreement were as follows: (a) the nature and extent of the services provided by the Adviser with respect to the Fund were appropriate; (b) the performance of the Fund had been satisfactory; (c) the Adviser’s unitary fee for the Fund, considered in relation to services provided and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trust’s relationship with the Adviser was not excessive; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) fees paid to the Adviser shared the economies of scale with respect to the Fund by way of the relatively low fee structure of the Trust.

16

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money

Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

Annual Report

30 June 2017

SSGA Active Trust

State Street Disciplined Global Equity Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

SSGA Active Trust

State Street Disciplined Global Equity Portfolio

Annual Report

June 30, 2017

TABLE OF CONTENTS

Management’s Discussion of Fund Performance  & Performance Summary (Unaudited)	1
Portfolio Statistics (Unaudited)	4
Schedule of Investments	5
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Financial Highlights	11
Notes to Financial Statements	12
Report of Independent Registered Public Accounting Firm	17
Other Information (Unaudited)	18

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Disciplined Global Equity Fund Portfolio (the “Portfolio”) seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad global equity market. The Portfolio’s benchmark is the MSCI World Index (the “Index”).

For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Portfolio was 14.43%, and the Index was 18.20% (Net). The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Global equity markets accelerated higher through the third quarter of 2016, while the VIX declined substantially from the post-Brexit high. Collectively, rising crude oil prices and incrementally positive economic releases drove risk sentiment higher. The Portfolio’s lower risk positioning faced a strong head wind on performance as the market reverted to favoring higher beta and higher risk securities. Overall stock selection performance was rather muted as shifts in sentiment and interest rates concerns dominated market dynamics. As a result, the portfolio’s allocation effect was negatively impacted as it was overweight the utilities sector and underweight the financials sector relative to the Index. Diminishing risk aversion saw investors rotating into riskier technology names at the expense of the more defensive health care and consumer staples stocks that were owned by the Portfolio. The health care sector also faced additional pressure from concerns on the rising regulatory and government pricing interference on the sector.

Portfolio positioning into the fourth quarter of 2016 continued to reflect the long term challenges in the global economic recovery, with low allocations to the cyclical industries and the financials sector. However, global equity investors accelerated their rotation into cyclicals after the U.S. elections. The Portfolio was negatively affected by the performance of the financials sector, relative to the Index, as this segment of the market rallied heavily on a more hawkish rate outlook and a sharp steepening in yield curves. Financials were also perceived to benefit from a more benign regulatory environment envisaged under the Trump administration. In addition, lower allocations to energy companies and an emphasis on telecommunication services hurt overall performance for the quarter relative to the Index.

Equity markets ushered in 2017 on a cautiously positive note. However, reflationary market trends and positive sentiment quickly picked up and drove global equity indices to new highs. The Portfolio added value in each of the months during the first quarter, but was particularly successful during February. An overweight in health care, an increase in exposure to banks, and a significant underweight in energy, relative to the Index, provided a boost to performance during the first quarter of 2017.

During April and May 2017, general market sentiment was helped by the unwinding of Eurozone political risk fears, however the materials and energy sectors performed poorly as commodities and oil slumped on China deleveraging and risks to oil production cuts. The Portfolio made relative gains during this period in the energy, health care, and financials sectors from both an allocation and stock selection effect. However performance was hurt by poor stock selection within the information technology and consumer discretionary sectors. As the second quarter of 2017 came to a close, enthusiasm for the current market environment was still positive, although a dip in oil and a rotation away from technology stocks did provide a slight setback. In June, the Portfolio made most of its gains from stock selection within the Information Technology and Industrials sectors, however the portfolio’s significant underweight in Information Technology also contributed to performance against the Index.

In summary, the “risk on” rally which was sustained through the second half of 2016 benefitted pro-cyclical, higher beta equities which negatively impacted the Portfolio’s performance as it was more defensively positioned, relative to the Index. Although, relative to the Index, the Portfolio’s positioning started to pay off during the first half of 2017, it was not enough to offset the losses incurred earlier on.

On an individual security level, the top positive contributors to the Portfolio’s performance on an absolute basis were Quest Diagnostics Inc., Peugeot SA, and NetApp, Inc. The top negative contributors to the Fund’s performance on an absolute basis were DaVita, Inc.*, Astellas Pharma, Inc., and Express Scripts Holding Co.

The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

* The security was not held by the Portfolio as of June 30, 2017 and is therefore not included in the Schedule of Investments.

1

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —

PERFORMANCE SUMMARY (UNAUDITED )

The following performance chart of the Portfolio’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Portfolio’s per share net asset value (“NAV”) is the value of one share of the Portfolio and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Portfolio and the market return is based on the market price per share of the Portfolio. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Portfolio are listed for trading, as of the time that the Portfolio’s NAV is calculated. Since shares of the Portfolio did not trade in the secondary market until one day after the Portfolio’s inception, for the period from inception to the first day of secondary market trading in shares of the Portfolio (2/18/16, 2/19/16, respectively), the NAV of the Portfolio is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Portfolio at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Portfolio’s performance is negatively impacted by these deductions.

Performance as of June 30, 2017

Cumulative Total Return

Average Annual Total Return

Net Asset Value

Market Value

MSCI World Index (USD) (Net)

Net Asset Value

Market Value

MSCI World Index (USD) (Net)

ONE YEAR

14.43%

N/A

18.20%

14.43%

N/A

18.20%

SINCE INCEPTION (1)

24.62%

N/A

27.88%

17.47%

N/A

19.77%

(1) For the period February 18, 2016 to June 30, 2017.

MSCI World Index

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption or sale of Portfolio shares. The total expense ratio for State Street Disciplined Global Equity Portfolio as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 is 0.25%.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —

PERFORMANCE SUMMARY (UNAUDITED) (CONTINUED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Past Performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

Line graph is based on cumulative total return.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —

PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of June 30, 2017

DESCRIPTION	BAXTER INTERNATIONAL, INC.		QUEST DIAGNOSTICS, INC.		AGILENT TECHNOLOGIES, INC.		ENEL SpA		ABBOTT LABORATORIES
MARKET VALUE	$	68,713		64,473		60,555		59,641		58,429
% OF NET ASSETS		1.5		1.4		1.3		1.3		1.3

(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)

Industry Breakdown as of June 30, 2017*

Industry	Percent of Net Assets
Electric Utilities		8.2	%
Health Care Providers & Services		7.1
Insurance		6.0
Health Care Equipment & Supplies		5.7
Diversified Telecommunication Services		5.6
Pharmaceuticals		5.6
Banks		5.2
Multi-Utilities		4.5
Food & Staples Retailing		3.5
Electronic Equipment, Instruments & Components		3.3
Automobiles		3.0
Commercial Services & Supplies		2.4
Household Products		2.3
Airlines		2.2
Beverages		2.2
Real Estate Investment Trusts (REITs)		2.2
Food Products		2.1
Electrical Equipment		2.0
Tobacco		1.9
Media		1.8
Construction & Engineering		1.7
Communications Equipment		1.6

Industry	Percent of Net Assets
Semiconductors & Semiconductor Equipment		1.5	%
Technology Hardware, Storage & Peripherals		1.4
Auto Components		1.3
IT Services		1.3
Life Sciences Tools & Services		1.3
Aerospace & Defense		1.1
Real Estate Management & Development		1.1
Road & Rail		1.1
Containers & Packaging		1.0
Industrial Conglomerates		1.0
Machinery		1.0
Metals & Mining		1.0
Consumer Finance		0.9
Household Durables		0.9
Mortgage Real Estate Investment		0.9
Trading Companies & Distributors		0.8
Building Products		0.6
Software		0.6
Short-Term Investment		0.5
Other Assets in Excess of Liabilities		0.6
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2017

Security Description	Shares		Value
COMMON STOCKS — 98.9%
AUSTRALIA — 1.3%
Qantas Airways, Ltd.		6,574	$	28,844
Telstra Corp., Ltd.		9,964		32,864
				61,708
CANADA — 3.3%
BCE, Inc.		859		38,627
Metro, Inc.		802		26,357
Shaw Communications, Inc. Class B		1,954		42,565
TELUS Corp.		1,279		44,091
				151,640
DENMARK — 1.4%
Danske Bank A/S		548		21,050
Vestas Wind Systems A/S		468		43,147
				64,197
FRANCE — 2.0%
Peugeot SA		1,992		39,680
Sanofi		544		51,970
				91,650
GERMANY — 2.7%
Fresenius SE & Co. KGaA		280		23,971
METRO AG		1,496		50,429
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		79		15,908
RWE AG (a)		1,673		33,287
				123,595
HONG KONG — 7.9%
BOC Hong Kong Holdings, Ltd.		12,000		57,414
CK Hutchison Holdings, Ltd.		1,500		18,831
CLP Holdings, Ltd.		5,000		52,905
Hang Seng Bank, Ltd.		2,100		43,929
Jardine Matheson Holdings, Ltd.		400		25,680
Link REIT		6,500		49,459
Power Assets Holdings, Ltd.		3,500		30,913
Sun Hung Kai Properties, Ltd.		2,000		29,386
WH Group, Ltd. (b)		57,000		57,537
				366,054
ITALY — 1.3%
Enel SpA		11,140		59,641
JAPAN — 14.4%
Asahi Glass Co., Ltd.		600		25,258
Astellas Pharma, Inc.		2,500		30,583
Bridgestone Corp.		700		30,153
Central Japan Railway Co.		300		48,887
Daiichi Sankyo Co., Ltd.		1,500		35,337
Fujitsu, Ltd.		5,000		36,837
Hitachi, Ltd.		9,000		55,221
Hoya Corp.		600		31,148
Kirin Holdings Co., Ltd.		2,400		48,893
Marubeni Corp.		5,900		38,112
Mitsubishi Materials Corp.		600		18,156
Nippon Telegraph & Telephone Corp.		1,100		51,985
Sekisui Chemical Co., Ltd.		2,300		41,165
Sumitomo Rubber Industries, Ltd.		1,900		32,061
Suzuki Motor Corp.		1,200		56,924
Taisei Corp.		5,000		45,657
Toyota Motor Corp.		800		41,958
				668,335
NETHERLANDS — 0.9%
Koninklijke Ahold Delhaize NV		2,135		40,763
NEW ZEALAND — 1.0%
Spark New Zealand, Ltd.		16,707		46,240
NORWAY — 0.6%
Norsk Hydro ASA		5,426		29,978
SINGAPORE — 1.1%
Ascendas REIT		6,500		12,322
Singapore Airlines, Ltd.		2,400		17,640
UOL Group, Ltd.		3,785		21,002
				50,964
SPAIN — 0.7%
ACS Actividades de Construccion y Servicios SA		791		30,516
SWEDEN — 1.1%
Swedish Match AB		1,444		50,795
SWITZERLAND — 2.8%
Sonova Holding AG		246		39,996
Swisscom AG		89		43,002
TE Connectivity, Ltd.		571		44,926
				127,924
UNITED KINGDOM — 0.8%
Direct Line Insurance Group PLC		8,421		38,875
UNITED STATES — 55.6%
Abbott Laboratories		1,202		58,429
Agilent Technologies, Inc.		1,021		60,555
AGNC Investment Corp. REIT		1,953		41,579
Allstate Corp.		556		49,173
Altria Group, Inc.		478		35,597
Ameren Corp.		768		41,987
American Electric Power Co., Inc.		520		36,124
American Express Co.		471		39,677
Annaly Capital Management, Inc. REIT		3,380		40,729
Anthem, Inc.		235		44,211
Avery Dennison Corp.		522		46,129
Axis Capital Holdings, Ltd.		669		43,258
Baxter International, Inc.		1,135		68,713
Cardinal Health, Inc.		391		30,467
CenterPoint Energy, Inc.		1,662		45,506
Cintas Corp.		366		46,131
Cisco Systems, Inc.		834		26,104
Colgate-Palmolive Co.		229		16,976
Comcast Corp. Class A		1,101		42,851
Corning, Inc.		1,700		51,085
Cummins, Inc.		293		47,530
Delta Air Lines, Inc.		481		25,849
DTE Energy Co.		492		52,049
Eaton Corp. PLC		659		51,290
Edison International		520		40,659
Eli Lilly & Co.		330		27,159
Entergy Corp.		494		37,924

See accompanying notes to financial statements.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

June 30, 2017

Security Description	Shares		Value
Everest Re Group, Ltd.		202	$	51,427
Exelon Corp.		1,239		44,691
Express Scripts Holding Co. (a)		534		34,091
General Dynamics Corp.		121		23,970
HCA Healthcare, Inc. (a)		522		45,518
Hologic, Inc. (a)		824		37,393
HP, Inc.		1,887		32,985
IDEXX Laboratories, Inc. (a)		175		28,248
International Business Machines Corp.		150		23,074
Johnson & Johnson		386		51,064
JPMorgan Chase & Co.		589		53,835
Kimberly-Clark Corp.		384		49,578
KLA-Tencor Corp.		207		18,943
Lincoln National Corp.		408		27,573
McKesson Corp.		123		20,238
Merck & Co., Inc.		809		51,849
Motorola Solutions, Inc.		535		46,406
NetApp, Inc.		800		32,040
PepsiCo, Inc.		473		54,627
Pfizer, Inc.		404		13,570
Pinnacle West Capital Corp.		614		52,288
PNC Financial Services Group, Inc.		196		24,474
PPL Corp.		624		24,124
Principal Financial Group, Inc.		667		42,735
Procter & Gamble Co.		421		36,690
Prudential Financial, Inc.		103		11,138
Public Service Enterprise Group, Inc.		846		36,386
Quest Diagnostics, Inc.		580		64,473
Raytheon Co.		155		25,029
Republic Services, Inc.		211		13,447
Southwest Airlines Co.		503		31,256
Synopsys, Inc. (a)		404		29,464
Sysco Corp.		659		33,167
Texas Instruments, Inc.		678		52,159
Tyson Foods, Inc. Class A		599		37,515
UnitedHealth Group, Inc.		266		49,322
Universal Health Services, Inc. Class B		141		17,213
US Bancorp		808		41,951
Wal-Mart Stores, Inc.		164		12,412
Waste Management, Inc.		713		52,299
				2,576,403
TOTAL COMMON STOCKS (Cost $4,039,203)				4,579,278
RIGHTS — 0.0% (c)
SPAIN — 0.0% (c)
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17) (a) (Cost $665)		791		631
SHORT-TERM INVESTMENT — 0.5%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (d) (e) (Cost $23,785)		23,785		23,785
TOTAL INVESTMENTS — 99.4% (Cost $4,063,653)				4,603,694
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%				27,212
NET ASSETS — 100.0%			$	4,630,906

(a) Non-income producing security.

(b) Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 1.2% of net assets as of June 30, 2017, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) Amount is less than 0.05% of net assets.

(d) The rate shown is the annualized seven-day yield at June 30, 2017.

(e) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below.

REIT Real Estate Investment Trust

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	61,708	$	—	$	—	$	61,708
Canada		151,640		—		—		151,640
Denmark		64,197		—		—		64,197
France		91,650		—		—		91,650
Germany		123,595		—		—		123,595
Hong Kong		366,054		—		—		366,054
Italy		59,641		—		—		59,641
Japan		668,335		—		—		668,335
Netherlands		40,763		—		—		40,763

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS (continued)

June 30, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
New Zealand	$	46,240	$	—	$	—	$	46,240
Norway		29,978		—		—		29,978
Singapore		50,964		—		—		50,964
Spain		30,516		—		—		30,516
Sweden		50,795		—		—		50,795
Switzerland		127,924		—		—		127,924
United Kingdom		38,875		—		—		38,875
United States		2,576,403		—		—		2,576,403
Rights
Spain		631		—		—		631
Short-Term Investment		23,785		—		—		23,785
TOTAL INVESTMENTS	$	4,603,694	$	—	$	—	$	4,603,694

Affiliate Table

	Number of Shares Held at 6/30/16		Value at 6/30/16		Shares Purchased		Shares Sold		Number of Shares Held at 6/30/17		Value at 6/30/17		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund, Premier Class		34,046	$	34,046		103,466		137,512		—	$	—	$	32	$	—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		517,282		493,497		23,785		23,785		86		—
State Street Institutional U.S. Government Money Market Fund, Premier Class		—		—		625,675		625,675		—		—		105		—
Total			$	34,046							$	23,785	$	223	$	—

See accompanying notes to financial statements.

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STATEMENT OF ASSETS AND LIABILITIES

June 30, 2017

ASSETS
Investments in unaffiliated issuers, at value (Note 2)	$	4,579,909
Investments in affiliated issuers, at value (Note 2)		23,785
Total Investments		4,603,694
Foreign currency, at value		14,680
Dividends receivable — unaffiliated issuers (Note 2)		9,445
Dividends receivable — affiliated issuers (Note 2)		36
Receivable from Adviser (Note 3)		1,197
Receivable for foreign taxes recoverable		2,804
TOTAL ASSETS		4,631,856
LIABILITIES
Advisory fee payable (Note 3)		948
Trustees’ fees and expenses payable (Note 4)		2
TOTAL LIABILITIES		950
NET ASSETS	$	4,630,906
NET ASSETS CONSIST OF:
Paid-in Capital	$	3,971,188
Undistributed (distribution in excess of) net investment income (loss)		60,327
Accumulated net realized gain (loss) on investments and foreign currency transactions		59,127
Net unrealized appreciation (depreciation) on:
Investments		540,041
Foreign currency transactions		223
NET ASSETS	$	4,630,906
NET ASSET VALUE PER SHARE
Net asset value per share	$	12.03
Shares outstanding (unlimited amount authorized, no par value)		384,967
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	4,039,868
Investments in affiliated issuers		23,785
Total cost of investments	$	4,063,653
Foreign currency, at cost	$	14,534

See accompanying notes to financial statements.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

STATEMENT OF OPERATIONS

For the Year Ended June 30, 2017

INVESTMENT INCOME
Dividend income — unaffiliated issuers (Note 2)	$	104,713
Dividend income — affiliated issuers (Note 2)		223
Foreign taxes withheld		(5,610	)
TOTAL INVESTMENT INCOME (LOSS)		99,326
EXPENSES
Advisory fee (Note 3)		9,037
Trustees’ fee (Note 4)		62
Redemption facility fee		2,583
Miscellaneous expenses		398
TOTAL EXPENSES		12,080
Expenses waived/reimbursed by the Adviser (Note 3)		(12,049	)
NET EXPENSES		31
NET INVESTMENT INCOME (LOSS)		99,295
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		74,426
Foreign currency transactions		(1,133	)
Net realized gain (loss)		73,293
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		333,314
Foreign currency transactions		666
Net change in unrealized appreciation/depreciation		333,980
NET REALIZED AND UNREALIZED GAIN (LOSS)		407,273
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	506,568

See accompanying notes to financial statements.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 6/30/17		For the Period 2/18/16* - 6/30/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	99,295	$	45,676
Net realized gain (loss)		73,293		16,262
Net change in unrealized appreciation/depreciation		333,980		206,284
Net increase (decrease) in net assets resulting from operations		506,568		268,222
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(84,310)		—
Net realized gains		(30,762)		—
Total distributions to shareholders		(115,072)		—
FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares sold		1,071,399		3,036,146
Reinvestment of distributions		115,072		—
Cost of shares redeemed		(217,386)		(34,043	)
Net increase (decrease) in net assets from beneficial interest transactions		969,085		3,002,103
Net increase (decrease) in net assets during the period		1,360,581		3,270,325
Net assets at beginning of period		3,270,325		—
NET ASSETS AT END OF PERIOD	$	4,630,906	$	3,270,325
Undistributed (distribution in excess of) net investment income (loss)	$	60,327	$	46,475
SHARES OF BENEFICIAL INTEREST:
Shares sold		93,862		303,384
Reinvestment of distributions		10,805		—
Shares redeemed		(19,900)		(3,184	)
Net increase (decrease)		84,767		300,200

* Inception date.

See accompanying notes to financial statements.

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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Year Ended 6/30/17			For the Period 2/19/16* - 6/30/16
Net asset value, beginning of period	$	10.89		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.31			0.15
Net realized and unrealized gain (loss)		1.21			0.74
Total from investment operations		1.52			0.89
Distributions to shareholders from:
Net investment income		(0.28)			—
Net realized gains		(0.10)			—
Total distributions		(0.38	)		—
Net asset value, end of period	$	12.03		$	10.89
Total return (b)		14.43	%		8.90	%(c)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,631		$	3,270
Ratios to average net assets:
Total expenses		0.33	%		0.27	%(d)
Net expenses		0.00	%(e)		—	%(d)
Net investment income (loss)		2.75	%		4.00	%(d)
Portfolio turnover rate		30	%		21	%(c)

 * 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 distribution. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(c) Not annualized.

(d) Annualized.

(e) Amount is less than 0.005%.

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

June 30, 2017

1. Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of June 30, 2017, the Trust consists of twelve (12) series and corresponding classes, each of which have the same rights and privileges, including voting rights, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):

Fund	Inception Date	Commencement of    Operations	Diversification   Classification
State Street Disciplined Global Equity Portfolio	February 18, 2016	February 19, 2016	Diversified

The Portfolio serves as a master fund in a master feeder structure.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2017

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Portfolio’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended June 30, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.

The Portfolio invests in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios within the Trust.

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2017

Foreign Currency Translation

The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.

The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2018 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Disciplined Global Equity Fund (the “Feeder Fund”). The waiver may be terminated only by the Portfolio’s Board. The Adviser pays all expenses of the Portfolio other than the management fee, distribution fees pursuant to the Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $12,049.

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to the Portfolio. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2017

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017, were:

	Purchases		Sales
State Street Disciplined Global Equity Portfolio	$	2,064,436	$	1,093,247

6. Income Tax Information

The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for foreign currency transactions, wash sales, REITs and passive foreign investment companies.

The tax character of distributions paid during the period ended June 30, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Disciplined Global Equity Portfolio	$	115,072	$	—	$	—	$	115,072

At June 30, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)		Qualified Late-Year Losses		Total
State Street Disciplined Global Equity Portfolio	$	96,161	$	—	$	24,400	$	539,157	$	—	$	659,718

As of June 30, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Disciplined Global Equity Portfolio	$	4,064,760	$	596,540	$	57,606	$	538,934

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2017

7. Line of Credit

Effective October 13, 2016, the Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participant may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

The Portfolio had no outstanding loans as of June 30, 2017.

8. Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

9. New Accounting Pronouncements

In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

SSGA Active Trust

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Disciplined Global Equity Portfolio (the “Portfolio”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2017, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2017, by correspondence with the custodian, brokers and others. 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 Disciplined Global Equity Portfolio (one of the portfolios constituting SSGA Active Trust) at June 30, 2017, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

August 25, 2017

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION

June 30, 2017 (Unaudited)

Expense Example

As a shareholder of a Portfolio, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.

The table below illustrates your Portfolio’s cost 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 Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual					Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)			Ending Account Value		Expenses Paid During Period(a)
State Street Disciplined Global Equity Portfolio		0.00	%(b)	$	1,127.50	$	0.00	(c)	$	1,024.80	$	0.00	(c)

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

(b) Amount is less than 0.005%.

(c) Amount is less than $0.005.

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2017.

Dividends Received Deduction

The Portfolio reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Portfolio during the fiscal year ended June 30, 2017 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

June 30, 2017 (Unaudited)

individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the website of the SEC, at www.sec.gov.

Information regarding how the investment adviser voted for the most recent 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Portfolio files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

June 30, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During The Past 5 Years
Independent Trustees
Frank Nesvet C/O Ssga Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943	Independent Trustee, Chairman, Trustee Committee Chair	Term: Unlimited Served: since March 2011	Retired.	179	None.
David M. Kelly c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938	Independent Trustee	Term: Unlimited Served: since March 2011	Retired.	179	Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired).
Bonny Eugenia Boatman c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950	Independent Trustee	Term: Unlimited Served: since March 2011	Retired.	179	None.
Dwight D. Churchill c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953	Independent Trustee	Term: Unlimited Served: since March 2011	Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015).	179	Affiliated Managers Group, Inc. (Director).
Carl G. Verboncoeur c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952	Independent Trustee, Audit Committee Chair	Term: Unlimited Served: since March 2011	Self-employed consultant since 2009.	179	The Motley Fool Funds Trust (Trustee).
Interested Trustee
James E. Ross* SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1965	Interested Trustee	Term: Unlimited Served as Trustee: since March 2011	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012).	255	None.

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SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

June 30, 2017 (Unaudited)

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser.

* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser.

Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
Officers
ELLEN M. NEEDHAM SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since October 2012	President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1961	Treasurer	Term: Unlimited Served: since February 2016	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President; Deputy Treasurer	Term: Unlimited Served: since August 2012	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since March 2011	Managing Director, State Street Global Advisors (2005-present).*
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1978	Chief Legal Officer	Term: Unlimited Served: since February 2015	Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2006-2011).
JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976	Secretary	Term: Unlimited Served: since August 2017	Vice President and Senior Counsel, State Street Bank and Trust Company (2013 to present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).**
PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 1973	Assistant Secretary	Term: Unlimited Served: since February 2015	Vice President and Counsel, State Street Bank and Trust Company (2014-present); Assistant Vice President and Counsel, John Hancock Financial Services (2011-2013); Independent legal consultant (2009-2011); Associate, Bingham McCutchen LLP (2003-2009).*,.**

21

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

June 30, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
Officers: (continued)
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Deputy Treasurer	Term: Unlimited Served: since February 2016	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968	Deputy Treasurer	Term: Unlimited Served: since November 2016	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1974	Assistant Treasurer	Term: Unlimited Served: since February 2016	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1972	Assistant Treasurer	Term: Unlimited Served: since February 2016	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980	Assistant Treasurer	Term: Unlimited Served: since May 2017	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973	Chief Compliance Officer; Anti- Money Laundering Officer; Code of Ethics Compliance Officer	Term: Unlimited Served: since November 2013	Managing Director, 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 (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010).

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

** Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period.

Statement of Additional information (SAI) includes additional information about Fund directors and is available, without charge, upon request and by calling 1-800-997-7327.

22

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel Plourde, Assistant Treasurer

Jesse D. Hallee, Secretary

Patricia A. Morisette, Assistant Secretary

Brian Harris, Chief Compliance Officer; Anti-Money

Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

SSIITDISCGBLAR

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Disciplined International Equity Fund

State Street Disciplined U.S. Equity Fund

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance, Performance Summary  & Portfolio Statistics (Unaudited)	1
State Street Disciplined International Equity Fund	1
State Street Disciplined U.S. Equity Fund	4
Schedules of Investments	7
State Street Disciplined International Equity Fund	7
State Street Disciplined U.S. Equity Fund	10
Statements of Assets and Liabilities	14
Statements of Operations	15
Statements of Changes in Net Assets	16
Financial Highlights	17
Notes to Financial Statements	19
Report of Independent Registered Public Accounting Firm	25
Other Information (Unaudited)	26

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Disciplined International Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the MSCI EAFE Net Dividend Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class I shares was 25.20%, and the Index was 25.03%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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 Fund’s defensive positioning, sector allocation and stock selection were primary drivers of Fund performance during the Reporting Period relative to the Index. A strong global equity market was generally supportive of strong investors’ risk sentiments. High risk/high beta stocks led the market rally through the period. The Fund’s defensive posture, with higher allocation to lower risk securities, detracted from performance relative to the Index. Similarly, the Fund’s overweight of defensive sectors – Health Care, Real Estate and Telecommunication, and underweight of best performing Information Technology detracted from the Fund’s relative performance. The Fund’s stock selection performance added value, which more than offset the performance lag from the defensive and sector positioning.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Lonza Group, Sika AG and Qantas Airways. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Telstra, Orion Oyj and Centrica PLC.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

1

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Disciplined International Equity Fund Class I		25.20%		14.79%
MSCI EAFE Net Dividend Index (1)		25.03%		18.77%

* Inception date is February 18, 2016.

(1) The MSCI EAFE Net Dividend Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Index returns are net of dividend withholding taxes.

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.

See accompanying notes to financial statements.

2

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		100.6	%
Short-Term Investment		0.2
Liabilities in Excess of Other Assets		(0.8	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Industrials		24.2	%
Financials		18.9
Health Care		13.5
Materials		9.7
Real Estate		8.7
Telecommunication Services		7.3
Information Technology		6.0
Consumer Discretionary		4.1
Utilities		3.4
Consumer Staples		3.1
Energy		1.7
Short-Term Investment		0.2
Liabilities in Excess of Other Assets		(0.8	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

3

STATE STREET DISCIPLINED U.S. EQUITY FUND

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street Disciplined U.S. Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the Russell 1000 Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class I shares was 20.22%, and the Index was 21.69%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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 Fund’s defensive positioning, sector allocation and stock selection were primary drivers of Fund performance during the Reporting Period relative to the Index. A strong global equity market was generally supportive of strong investors’ risk sentiments. High risk/high beta stocks led the market rally through the period. The Fund’s defensive posture, with higher allocation to lower risk securities, faced a significant headwind on relative performance. The Fund’s overweight of defensive sectors – Utilities and Consumer Staples detracted from the Fund’s performance relative to the Index. This was offset by an underweight to Energy that contributed to the Fund’s performance. The Fund’s underweight to the well performing Information Technology sector detracted both from a sector and stock selection perspective.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Apple Inc., Spirit AeroSystems Holdings Inc. and Agilent Technologies, Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Target Corporation, Kroger Co., and Verizon Communications Inc.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

4

STATE STREET DISCIPLINED U.S. EQUITY FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended         December 31,         2017	Average Annual Total Return Inception to Date*     December 31, 2017
State Street Disciplined U.S. Equity Fund Class I	20.22%	18.39%
Russell 1000 Index(1)	21.69%	22.32%

* Inception date is February 18, 2016.

(1) The Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 Index represents approximately 90% of the U.S. market. Index returns are net of dividend withholding taxes.

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.

See accompanying notes to financial statements.

5

STATE STREET DISCIPLINED U.S. EQUITY FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Common Stocks		100.7	%
Short-Term Investment		0.2
Liabilities in Excess of Other Assets		(0.9	)
TOTAL		100.0	%

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

Sector Breakdown as of December 31, 2017

	% of Net Assets
Industrials		18.2	%
Health Care		17.4
Information Technology		16.6
Financials		16.0
Consumer Staples		11.1
Consumer Discretionary		10.8
Utilities		9.4
Energy		0.6
Materials		0.6
Short-Term Investment		0.2
Liabilities in Excess of Other Assets		(0.9	)
TOTAL		100.0	%

(The sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 100.6%
AUSTRALIA — 12.1%
AGL Energy, Ltd.		1,913	$	36,449
Caltex Australia, Ltd.		848		22,584
CIMIC Group, Ltd.		1,241		49,940
Cochlear, Ltd.		337		45,133
GPT Group REIT		5,504		21,998
Macquarie Group, Ltd.		621		48,392
Mirvac Group REIT		24,763		45,516
Qantas Airways, Ltd.		10,558		41,620
South32, Ltd.		17,065		46,582
Stockland REIT		13,540		47,445
Telstra Corp., Ltd.		9,913		28,145
				433,804
DENMARK — 4.0%
Danske Bank A/S		1,149		44,771
Novo Nordisk A/S Class B		954		51,467
Tryg A/S		1,993		49,886
				146,124
FINLAND — 2.3%
Orion Oyj Class B		760		28,364
Stora Enso Oyj Class R		3,503		55,608
				83,972
FRANCE — 4.7%
Eutelsat Communications SA		1,178		27,294
Gecina SA REIT		229		42,320
Sanofi		493		42,535
Vinci SA		549		56,134
				168,283
GERMANY — 3.8%
CECONOMY AG		1,312		19,859
Deutsche Post AG		1,259		60,094
METRO AG (a)		1,312		26,231
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		138		29,952
				136,136
HONG KONG — 8.4%
BOC Hong Kong Holdings, Ltd.		10,000		50,657
CLP Holdings, Ltd.		3,500		35,796
Hang Seng Bank, Ltd.		2,200		54,597
Jardine Matheson Holdings, Ltd.		400		24,300
Link REIT		5,500		50,973
Sun Hung Kai Properties, Ltd.		3,000		50,043
WH Group, Ltd. (b)		31,500		35,540
				301,906
JAPAN — 32.7%
Asahi Kasei Corp.		3,000		38,708
Canon, Inc.		1,300		48,469
Central Japan Railway Co.		200		35,828
Daito Trust Construction Co., Ltd.		200		40,790
Denso Corp.		400		24,014
FUJIFILM Holdings Corp.		900		36,791
Fujitsu, Ltd.		6,000		42,754
Hitachi, Ltd.		7,000		54,552
Hoya Corp.		600		29,976
ITOCHU Corp.		2,200		41,071
Japan Airlines Co., Ltd.		1,300		50,869
JXTG Holdings, Inc.		2,550		16,457
Kajima Corp.		3,000		28,868
Kuraray Co., Ltd.		1,600		30,196
Marubeni Corp.		6,200		44,916
Mitsubishi Chemical Holdings Corp.		3,200		35,125
Mitsubishi Corp.		900		24,871
Mitsui & Co., Ltd.		2,500		40,657
Mitsui Chemicals, Inc.		1,600		51,487
Nippon Express Co., Ltd.		800		53,191
Nippon Telegraph & Telephone Corp.		900		42,352
NTT DOCOMO, Inc.		1,900		44,881
Obayashi Corp.		2,800		33,903
Seiko Epson Corp.		1,400		33,046
Shionogi & Co., Ltd.		700		37,886
Sumitomo Chemical Co., Ltd.		7,000		50,333
Sumitomo Electric Industries, Ltd.		2,800		47,350
Taisei Corp.		800		39,840
Taisho Pharmaceutical Holdings Co., Ltd.		300		23,968
West Japan Railway Co.		700		51,122
				1,174,271
NETHERLANDS — 2.5%
ABN AMRO Group NV (b)		1,543		49,841
NN Group NV		913		39,600
				89,441
NORWAY — 2.4%
DNB ASA		1,909		35,499
Telenor ASA		2,336		50,237
				85,736
SINGAPORE — 4.6%
CapitaLand Commercial Trust		9,800		14,153
ComfortDelGro Corp., Ltd.		17,500		25,928
Oversea-Chinese Banking Corp., Ltd.		5,400		50,064
StarHub, Ltd.		21,700		46,277
United Overseas Bank, Ltd.		1,526		30,203
				166,625
SPAIN — 4.4%
ACS Actividades de Construccion y Servicios SA		1,294		50,686
Aena SME SA (b)		221		44,849
Enagas SA		803		23,016
Endesa SA		1,796		38,507
				157,058
SWEDEN — 2.1%
Nordea Bank AB		2,159		26,185
Swedish Match AB		1,261		49,778
				75,963
SWITZERLAND — 12.2%
ABB, Ltd.		828		22,193
Adecco Group AG		641		49,037
Baloise Holding AG		300		46,701

See accompanying notes to financial statements.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Lonza Group AG (a)		207	$	55,929
Novartis AG		564		47,690
Roche Holding AG		188		47,555
Sika AG		5		39,713
Sonova Holding AG		276		43,106
Swisscom AG		94		50,014
Zurich Insurance Group AG		119		36,219
				438,157
UNITED KINGDOM — 4.4%
Centrica PLC		5,584		10,371
Direct Line Insurance Group PLC		7,160		36,970
Kingfisher PLC		6,474		29,575
Lloyds Banking Group PLC		51,550		47,461
Smith & Nephew PLC		1,877		32,704
				157,081
TOTAL COMMON STOCKS (Cost $3,159,737)				3,614,557
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d) (Cost $7,213)		7,213		7,213
TOTAL INVESTMENTS — 100.8% (Cost $3,166,950)				3,621,770
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)%				(29,545	)
NET ASSETS — 100.0%			$	3,592,225

(a) Non-income producing security.

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.6% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at December 31, 2017.

REIT = Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	433,804	$	—	$	—	$	433,804
Denmark		146,124		—		—		146,124
Finland		83,972		—		—		83,972
France		168,283		—		—		168,283
Germany		136,136		—		—		136,136
Hong Kong		301,906		—		—		301,906
Japan		1,174,271		—		—		1,174,271
Netherlands		89,441		—		—		89,441
Norway		85,736		—		—		85,736
Singapore		166,625		—		—		166,625
Spain		157,058		—		—		157,058
Sweden		75,963		—		—		75,963
Switzerland		438,157		—		—		438,157

See accompanying notes to financial statements.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
United Kingdom	$	157,081	$	—	$	—	$	157,081
Short-Term Investment		7,213		—		—		7,213
TOTAL INVESTMENTS	$	3,621,770	$	—	$	—	$	3,621,770

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	215,190	$	207,977	$	—	$	—		7,213	$	7,213	$	124	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		—		—		110,555		110,555		—		—		—		—		33		—
Total			$	—	$	325,745	$	318,532	$	—	$	—			$	7,213	$	157	$	—

See accompanying notes to financial statements.

9

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED U.S. EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 100.7%
AEROSPACE & DEFENSE — 8.3%
General Dynamics Corp.		308	$	62,663
Harris Corp.		131		18,556
Huntington Ingalls Industries, Inc.		197		46,433
Lockheed Martin Corp.		157		50,405
Raytheon Co.		226		42,454
Spirit AeroSystems Holdings, Inc. Class A		748		65,263
United Technologies Corp.		211		26,917
				312,691
AIR FREIGHT & LOGISTICS — 0.5%
United Parcel Service, Inc. Class B		149		17,753
BANKS — 4.8%
Bank of America Corp.		704		20,782
Citigroup, Inc.		546		40,628
JPMorgan Chase & Co.		593		63,416
PNC Financial Services Group, Inc.		391		56,417
				181,243
BEVERAGES — 2.2%
Coca-Cola Co.		827		37,943
PepsiCo, Inc.		391		46,888
				84,831
BIOTECHNOLOGY — 1.1%
Amgen, Inc.		240		41,736
CAPITAL MARKETS — 1.9%
Bank of New York Mellon Corp.		664		35,763
S&P Global, Inc.		208		35,235
				70,998
COMMERCIAL SERVICES & SUPPLIES — 4.0%
KAR Auction Services, Inc.		750		37,883
Republic Services, Inc.		734		49,626
Waste Management, Inc.		738		63,689
				151,198
COMMUNICATIONS EQUIPMENT — 2.9%
Cisco Systems, Inc.		1,614		61,816
Motorola Solutions, Inc.		520		46,977
				108,793
CONSUMER FINANCE — 1.2%
American Express Co.		448		44,491
CONTAINERS & PACKAGING — 0.6%
Avery Dennison Corp.		193		22,168
DIVERSIFIED CONSUMER SERVICES — 0.8%
H&R Block, Inc.		1,128		29,576
ELECTRIC UTILITIES — 5.1%
American Electric Power Co., Inc.		543		39,948
Exelon Corp.		1,351		53,243
Pinnacle West Capital Corp.		582		49,575
PPL Corp.		1,098		33,983
Xcel Energy, Inc.		363		17,464
				194,213
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.7%
Corning, Inc.		1,472		47,089
TE Connectivity, Ltd.		577		54,838
				101,927
FOOD & STAPLES RETAILING — 3.1%
Sysco Corp.		886		53,807
Wal-Mart Stores, Inc.		644		63,595
				117,402
FOOD PRODUCTS — 1.6%
Tyson Foods, Inc. Class A		725		58,776
HEALTH CARE EQUIPMENT & SUPPLIES — 3.0%
Abbott Laboratories		809		46,169
Baxter International, Inc.		1,026		66,321
				112,490
HEALTH CARE PROVIDERS & SERVICES — 4.2%
Express Scripts Holding Co. (a)		444		33,140
HCA Healthcare, Inc. (a)		392		34,433
Quest Diagnostics, Inc.		269		26,494
UnitedHealth Group, Inc.		289		63,713
				157,780
HOTELS, RESTAURANTS & LEISURE — 3.9%
Carnival Corp.		747		49,578
Darden Restaurants, Inc.		580		55,692
McDonald’s Corp.		250		43,030
				148,300
HOUSEHOLD PRODUCTS — 2.6%
Kimberly-Clark Corp.		343		41,386
Procter & Gamble Co.		605		55,588
				96,974
INDUSTRIAL CONGLOMERATES — 2.3%
3M Co.		191		44,955
Honeywell International, Inc.		263		40,334
				85,289
INSURANCE — 5.6%
Allstate Corp.		613		64,187
Everest Re Group, Ltd.		97		21,462
Hartford Financial Services Group, Inc.		469		26,396
Marsh & McLennan Cos., Inc.		449		36,544
Principal Financial Group, Inc.		250		17,640
Travelers Cos., Inc.		337		45,711
				211,940
IT SERVICES — 4.1%
Accenture PLC Class A		271		41,487
Amdocs, Ltd.		545		35,686

See accompanying notes to financial statements.

10

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED U.S. EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Broadridge Financial Solutions, Inc.		360	$	32,609
International Business Machines Corp.		297		45,566
				155,348
LIFE SCIENCES TOOLS & SERVICES — 4.1%
Agilent Technologies, Inc.		1,033		69,180
PerkinElmer, Inc.		599		43,799
Thermo Fisher Scientific, Inc.		218		41,394
				154,373
MACHINERY — 2.5%
Cummins, Inc.		189		33,385
Illinois Tool Works, Inc.		179		29,866
Stanley Black & Decker, Inc.		194		32,920
				96,171
MEDIA — 2.6%
Comcast Corp. Class A		1,412		56,551
Time Warner, Inc.		451		41,253
				97,804
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 1.2%
AGNC Investment Corp. REIT		2,234		45,104
MULTI-UTILITIES — 4.3%
Ameren Corp.		289		17,048
CenterPoint Energy, Inc.		1,675		47,503
DTE Energy Co.		444		48,600
Public Service Enterprise Group, Inc.		935		48,153
				161,304
OIL, GAS & CONSUMABLE FUELS — 0.6%
Valero Energy Corp.		255		23,437
PHARMACEUTICALS — 5.0%
Eli Lilly & Co.		533		45,017
Johnson & Johnson		472		65,948
Merck & Co., Inc.		719		40,458
Pfizer, Inc.		1,040		37,669
				189,092
REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.3%
Annaly Capital Management, Inc. REIT		4,235		50,354
ROAD & RAIL — 0.6%
Union Pacific Corp.		177		23,736
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.8%
Intel Corp.		1,234		56,961
Maxim Integrated Products, Inc.		354		18,507
Texas Instruments, Inc.		634		66,215
				141,683
SOFTWARE — 0.6%
Intuit, Inc.		143		22,563
SPECIALTY RETAIL — 2.4%
Best Buy Co., Inc.		642		43,958
Home Depot, Inc.		244		46,245
				90,203
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.5%
Apple, Inc.		363		61,431
HP, Inc.		1,613		33,889
				95,320
TEXTILES,APPAREL & LUXURY GOODS — 1.1%
PVH Corp.		315		43,221
TOBACCO — 1.6%
Altria Group, Inc.		866		61,842
TOTAL COMMON STOCKS (Cost $3,129,238)				3,802,124
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $8,567)		8,567		8,567
TOTAL INVESTMENTS — 100.9% (Cost $3,137,805)				3,810,691
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.9)%				(35,456	)
NET ASSETS — 100.0%			$	3,775,235

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

11

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED U.S. EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	312,691	$	—	$	—	$	312,691
Air Freight & Logistics		17,753		—		—		17,753
Banks		181,243		—		—		181,243
Beverages		84,831		—		—		84,831
Biotechnology		41,736		—		—		41,736
Capital Markets		70,998		—		—		70,998
Commercial Services & Supplies		151,198		—		—		151,198
Communications Equipment		108,793		—		—		108,793
Consumer Finance		44,491		—		—		44,491
Containers & Packaging		22,168		—		—		22,168
Diversified Consumer Services		29,576		—		—		29,576
Electric Utilities		194,213		—		—		194,213
Electronic Equipment, Instruments & Components		101,927		—		—		101,927
Food & Staples Retailing		117,402		—		—		117,402
Food Products		58,776		—		—		58,776
Health Care Equipment & Supplies		112,490		—		—		112,490
Health Care Providers & Services		157,780		—		—		157,780
Hotels, Restaurants & Leisure		148,300		—		—		148,300
Household Products		96,974		—		—		96,974
Industrial Conglomerates		85,289		—		—		85,289
Insurance		211,940		—		—		211,940
IT Services		155,348		—		—		155,348
Life Sciences Tools & Services		154,373		—		—		154,373
Machinery		96,171		—		—		96,171
Media		97,804		—		—		97,804
Mortgage Real Estate Investment Trust (REITs)		45,104		—		—		45,104
Multi-Utilities		161,304		—		—		161,304
Oil, Gas & Consumable Fuels		23,437		—		—		23,437
Pharmaceuticals		189,092		—		—		189,092
Real Estate Investment Trusts (REITs)		50,354		—		—		50,354
Road & Rail		23,736		—		—		23,736
Semiconductors & Semiconductor Equipment		141,683		—		—		141,683
Software		22,563		—		—		22,563
Specialty Retail		90,203		—		—		90,203
Technology Hardware, Storage & Peripherals		95,320		—		—		95,320
Textiles, Apparel & Luxury Goods		43,221		—		—		43,221
Tobacco		61,842		—		—		61,842
Short-Term Investment		8,567		—		—		8,567
TOTAL INVESTMENTS	$	3,810,691	$	—	$	—	$	3,810,691

See accompanying notes to financial statements.

12

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED U.S. EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	439,990	$	431,423	$	—	$	—		8,567	$	8,567	$	218	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		20,233		20,233		90,472		110,705		—		—		—		—		58		—
Total			$	20,233	$	530,462	$	542,128	$	—	$	—			$	8,567	$	276	$	—

See accompanying notes to financial statements.

13

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017

	State Street Disciplined International Equity Fund			State Street Disciplined U.S. Equity Fund
ASSETS
Investments in unaffiliated issuers, at value	$	3,614,557		$	3,802,124
Investments in affiliated issuers, at value		7,213			8,567
Total Investments		3,621,770			3,810,691
Foreign currency, at value		1,441			—
Dividends receivable — unaffiliated issuers		3,899			7,194
Dividends receivable — affiliated issuers		4			44
Receivable from Adviser		6,772			2,900
Receivable for foreign taxes recoverable		7,985			—
TOTAL ASSETS		3,641,871			3,820,829
LIABILITIES
Advisory fee payable		2,653			2,188
Custodian fees payable		4,650			1,222
Administration fees payable		156			168
Transfer agent fees payable		1,710			1,710
Registration and filing fees payable		23			23
Professional fees payable		24,031			24,036
Printing and postage fees payable		16,423			16,247
TOTAL LIABILITIES		49,646			45,594
NET ASSETS	$	3,592,225		$	3,775,235
NET ASSETS CONSIST OF:
Paid-in Capital	$	2,998,996		$	3,000,000
Undistributed (distribution in excess of) net investment income (loss)		(11,954	)		—
Accumulated net realized gain (loss) on investments and foreign currency transactions		150,015			102,349
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		454,820			672,886
Foreign currency translations		348			—
NET ASSETS	$	3,592,225		$	3,775,235
Class I
Net Assets	$	3,592,225		$	3,775,235
Shares Outstanding		300,000			300,000
Net asset value, offering and redemption price per share	$	11.97		$	12.58
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	3,159,737		$	3,129,238
Investments in affiliated issuers		7,213			8,567
Total cost of investments	$	3,166,950		$	3,137,805
Foreign currency, at cost	$	1,414		$	—

See accompanying notes to financial statements.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF OPERATIONS

For the Year Ended December 31, 2017

	State Street Disciplined International Equity Fund			State Street Disciplined U.S. Equity Fund
INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	107,818		$	89,488
Dividend income — affiliated issuers		157			276
Dividend income — non-cash transactions		31,581			—
Foreign taxes withheld		(10,699	)		—
TOTAL INVESTMENT INCOME (LOSS)		128,857			89,764
EXPENSES
Advisory fee		29,183			23,876
Administration fees		1,717			1,836
Custodian fees		39,787			14,617
Trustees’ fees and expenses		22,098			22,188
Transfer agent fees		6,170			6,157
Registration and filing fees		28,683			28,681
Professional fees		46,643			46,776
Printing and postage fees		24,520			25,472
Insurance expense		12			12
Miscellaneous expenses		4,884			5,141
TOTAL EXPENSES		203,697			174,756
Expenses waived/reimbursed by the Adviser		(174,503	)		(150,869	)
NET EXPENSES		29,194			23,887
NET INVESTMENT INCOME (LOSS)		99,663			65,877
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		215,379			220,350
Foreign currency transactions		896			—
Net realized gain (loss)		216,275			220,350
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		438,284			391,737
Foreign currency translations		438			—
Net change in unrealized appreciation/depreciation		438,722			391,737
NET REALIZED AND UNREALIZED GAIN (LOSS)		654,997			612,087
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	754,660		$	677,964

See accompanying notes to financial statements.

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	State Street Disciplined International Equity Fund						State Street Disciplined U.S. Equity Fund
	Year Ended 12/31/17			For the Period 2/18/16* - 12/31/16			Year Ended 12/31/17			For the Period 2/18/16* - 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	99,663		$	67,478		$	65,877		$	53,904
Net realized gain (loss)		216,275			16,509			220,350			88,325
Net change in unrealized appreciation/depreciation		438,722			16,446			391,737			281,149
Net increase (decrease) in net assets resulting from operations		754,660			100,433			677,964			423,378
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(108,756	)		(71,409	)		(68,064	)		(52,500	)
Net realized gains		(47,398	)		(35,314	)		(183,163	)		(22,380	)
Total distributions to shareholders		(156,154	)		(106,723	)		(251,227	)		(74,880	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class I
Proceeds from sale of shares sold		—			3,000,400			—			3,000,000
Cost of shares redeemed		(391	)		—			—			—
Net increase (decrease) in net assets from beneficial interest transactions		(391	)		3,000,400			—			3,000,000
Net increase (decrease) in net assets during the period		598,115			2,994,110			426,737			3,348,498
Net assets at beginning of period		2,994,110			—			3,348,498			—
NET ASSETS AT END OF PERIOD	$	3,592,225		$	2,994,110		$	3,775,235		$	3,348,498
Undistributed (distribution in excess of) net investment income (loss)	$	(11,954	)	$	(4,081	)	$	—		$	—
SHARES OF BENEFICIAL INTEREST:
Class I
Shares sold		—			300,038			—			300,000
Shares redeemed		(38	)		—			—			—
Net increase (decrease)		(38	)		300,038			—			300,000

* Inception date.

See accompanying notes to financial statements.

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED INTERNATIONAL EQUITY FUND

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			For the Period 2/19/16* - 12/31/16
Net asset value, beginning of period	$	9.98		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.33			0.22
Net realized and unrealized gain (loss)		2.18			0.12
Total from investment operations		2.51			0.34
Distributions to shareholders from:
Net investment income		(0.36	)		(0.24	)
Net realized gains		(0.16	)		(0.12	)
Total distributions		(0.52	)		(0.36	)
Net asset value, end of period	$	11.97		$	9.98
Total return (b)		25.20	%		3.39	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	3,592		$	2,994
Ratios to Average Net Assets:
Total expenses		5.93	%		5.69	%(c)
Net expenses		0.85	%		0.85	%(c)
Net investment income (loss)		2.89	%		2.48	%(c)
Portfolio turnover rate		49	%		35	%(d)

 * 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 distribution. 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 accompanying notes to financial statements.

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET DISCIPLINED U.S. EQUITY FUND

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	Class I
	Year Ended 12/31/17			For the Period 2/19/16* - 12/31/16
Net asset value, beginning of period	$	11.16		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.23			0.18
Net realized and unrealized gain (loss)		2.03			1.23
Total from investment operations		2.26			1.41
Distributions to shareholders from:
Net investment income		(0.23	)		(0.18	)
Net realized gains		(0.61	)		(0.07	)
Total distributions		(0.84	)		(0.25	)
Net asset value, end of period	$	12.58		$	11.16
Total return (b)		20.22	%		14.07	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	3,775		$	3,348
Ratios to Average Net Assets:
Total expenses		4.76	%		4.73	%(c)
Net expenses		0.65	%		0.65	%(c)
Net investment income (loss)		1.90	%		1.90	%(c)
Portfolio turnover rate		50	%		33	%(d)

 * 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 distribution. 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 accompanying notes to financial statements.

18

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following series (each a “Fund” and collectively the “Funds” ):

Fund	Class	Commencement of Operations	Diversification Classification
State Street Disciplined International Equity Fund	Class A Class I Class K	Not commenced February 19, 2016 Not commenced	Diversified
State Street Disciplined U.S. Equity Fund	Class A Class I Class K	Not commenced February 19, 2016 Not commenced	Diversified

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value ( “NAV” ) per share or unit.

19

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in each Fund’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Funds had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Interest income is recorded daily on an accrual basis. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust.

Foreign Currency Translation

The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Foreign Taxes

The State Street Disciplined International Equity Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM” ) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory Fees

The Funds have entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, the Funds pay the Adviser a fee accrued daily and paid monthly, at the rate of 0.85% and 0.65% of the State Street Disciplined International Equity Fund’s and State Street Disciplined U.S. Equity Fund’s average daily net assets, respectively.

The Adviser is contractually obligated until April 30, 2018, 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 0.85% and 0.65% for the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund, respectively, of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board. For the period ended December 31, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $174,503 and $150,869 for the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund, respectively.

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Funds. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Funds pay annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, under which each Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (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. As of December 31, 2017, the Funds’ Class A shares have not commenced operations. In addition to payments under the Plan, the Funds may reimburse SSGA FD 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.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedules of Investments.

From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of December 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 10% Affiliated Account Holders		Percentage of Affiliated Ownership
State Street Disciplined International Equity Fund		1		100.00	%
State Street Disciplined U.S. Equity Fund		1		100.00	%

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5. Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street Disciplined International Equity Fund	$	1,674,829	$	1,790,732
State Street Disciplined U.S. Equity Fund		1,847,301		2,042,979

6. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book- tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to distribution re-designations, foreign currencies, REITs, passive foreign investment companies and wash sale loss deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Disciplined International Equity Fund	$	108,756	$	47,398	$	—	$	156,154
State Street Disciplined U.S. Equity Fund		169,867		81,360		—		251,227

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Disciplined International Equity Fund	$	106,723	$	—	$	—	$	106,723
State Street Disciplined U.S. Equity Fund		74,880		—		—		74,880

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards		Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Disciplined International Equity Fund	$	31,623	$	—	$	121,576	$	440,030	$	—	$	593,229
State Street Disciplined U.S. Equity Fund		5,328		—		97,069		672,838		—		775,235

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Disciplined International Equity Fund	$	3,182,088	$	529,140	$	89,458	$	439,682
State Street Disciplined U.S. Equity Fund		3,137,853		691,303		18,465		672,838

7. Line of Credit

The Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 12, 2017, the Funds and other affiliated funds participated in a $360 million revolving credit facility.

The Funds had no outstanding loans as of December 31, 2017.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

8. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the Funds were more broadly diversified.

Foreign and Emerging Markets Risks

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the State Street Disciplined International Equity Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

9. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

24

STATE STREET INSTITUTIONAL INVESTMENT TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund and the Board of Trustees of State Street Institutional Investment Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund (collectively referred to as the “Funds”) (two of the funds constituting State Street Institutional Investment Trust (the “Trust”), including the schedules of investments, as of December 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended December 31, 2017 and the period from February 19, 2016 (commencement of operations) through December 31, 2016 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (two of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, and the results of their operations for the year then ended, the changes in their net assets and financial highlights for the year ended December 31, 2017 and the period from February 19, 2016 (commencement of operations) through December 31, 2016, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 each 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Disciplined International Equity Fund
Class I		0.85	%	$	1,075.30	$	4.45	$	1,020.90	$	4.33
State Street Disciplined U.S. Equity Fund
Class I		0.65			1,096.10		3.43		1,021.90		3.31

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Dividends Received Deduction

Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended December 31, 2017 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. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2017:

	Amount
State Street Disciplined International Equity Fund	$	47,398
State Street Disciplined U.S. Equity Fund		81,360

Foreign Tax Credit

The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Disciplined International Equity Fund	$	10,633

The amount of foreign source income earned on the following Funds during the year ended December 31, 2017 were as follows:

	Amount
State Street Disciplined International Equity Fund	$	139,399

27

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Funds file a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.

28

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

29

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

30

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

31

STATE STREET INSTITUTIONAL INVESTMENT TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.

32

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

SSIITDISCAR

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Institutional Investment Trust

State Street Hedged International Developed Equity Index Fund

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

TABLE OF CONTENTS

Management’s Discussion of Fund Performance  & Performance Summary (Unaudited)	1
Portfolio Statistics (Unaudited)	3
Schedule of Investments	4
Statement of Assets and Liabilities	8
Statement of Operations	9
Statements of Changes in Net Assets	10
Financial Highlights	11
Notes to Financial Statements	12
Report of Independent Registered Public Accounting Firm	20
Other Information (Unaudited)	21

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

MANAGEMENT’S DISCUSSION OF THE FUND PERFORMANCE (UNAUDITED)

The State Street Hedged International Developed Equity Index Fund (the “Fund”) normally invests a majority of its investable assets in the State Street International Developed Equity Index Portfolio (the “Portfolio”). As a result, this Fund invests indirectly through the Portfolio and employs its currency hedging strategy by directly entering into currency hedging transactions. The Fund seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid capitalization equity index, hedged to the U.S. dollar, over the long term. The Fund’s benchmark is the MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Fund’s Class K shares was 16.85%, and the Index was 16.84%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing 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 cumulative effect of small weighting differences between the securities and currencies in the Fund and the Index contributed to the difference between the Fund’s performance and that of the Index.

The Fund had positive performance in each quarter in 2017. The Fund’s performance was driven by the strength of the global economy, tax reform in the United States and mergers and acquisition activity. In the first calendar quarter of 2017, optimism about the global economy, strong macro and earnings data, a positive outlook issued by ECB President Draghi regarding the European economy, and the promise of a new tax plan in the United States helped drive performance. Positive performance in the second calendar quarter of 2017 was helped by a positive start to the earnings season, dovish comments from several central banks, and continued mergers and acquisition activity. The Fund’s performance in the third calendar quarter continued to be positive on strong macro and earnings data and the unveiling of the new tax plan in the U.S. despite geopolitical concerns between the U.S. and North Korea and several natural disasters. The Fund continued to have positive performance in the fourth calendar quarter as a result of the strength in the global economy, ratified U.S. tax reform and recovering oil prices, despite ongoing tensions between the U.S. and North Korea and political uncertainty in the U.K., Germany and Saudi Arabia.

The Fund used MSCI EAFE Index futures contracts in order to gain exposure to the Index during the Reporting Period. The Fund’s use of index futures helped the Fund track the Index. The Fund also used 1-month forward currency contracts in order to replicate the hedging component of the Index during the Reporting Period. The Fund’s use of 1-month forward currency contracts helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Nestle S.A., HSBC Holdings Plc, and Royal Dutch Shell Plc Class B. The top negative contributors to the Fund’s performance during the Reporting Period were Hennes & Mauritz AB Class B, BT Group plc, and Teva Pharmaceutical Industries Limited.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

1

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

PERFORMANCE SUMMARY (UNAUDITED)

Comparison of Change in Value of a $10,000 Investment (Based on Net Asset Value)

Line graph is based on cumulative total return.

Investment Performance as of December 31, 2017

	Total Return One Year Ended December 31, 2017		Average Annual Total Return Inception to Date* December 31, 2017
State Street Hedged International Developed Equity Index Fund Class K		16.85%		4.82%
MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index(1)		16.84%		5.29%

* Inception date is May 29, 2015.

(1) The MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI EAFE Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 21 developed markets countries and its local performance is calculated in 13 different currencies, including the Euro. Index returns are net of dividend withholding taxes.

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.

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

2

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

PORTFOLIO STATISTICS (UNAUDITED)

Portfolio Composition as of December 31, 2017

	% of Net Assets
Mutual Funds and Exchange Traded Products		98.7	%
Short-Term Investment		1.3
Liabilities in Excess of Other Assets		(0.0	)*
TOTAL		100.0	%

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

(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

3

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.7%
UNITED STATES — 98.7%
State Street International Developed Equity Index Portfolio (a) (Cost $2,424,809,676)			$	2,855,656,362
SHORT-TERM INVESTMENT — 1.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $39,174,029)		39,174,029		39,174,029
TOTAL INVESTMENTS — 100.0% (Cost $2,463,983,705)				2,894,830,391
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (d)				(429,981	)
NET ASSETS — 100.0%			$	2,894,400,410

(a) Affiliated fund managed by SSGA Funds Management, Inc.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31, 2017.

(d) Amount is less than 0.05% of net assets.

At December 31, 2017, open forward foreign currency exchange contracts were as follows:

Counterparty	Amount Sold		Amount Bought		Settlement Date		Net Unrealized Appreciation/ (Depreciation)
Bank of Montreal	USD	630,704	AUD	812,000		01/03/2018	$	4,402
Bank of Montreal	USD	729,017	CHF	719,000		01/03/2018		8,797
Bank of Montreal	USD	1,571,929	GBP	1,172,000		01/03/2018		13,494
Bank of Montreal	USD	301,589	HKD	2,356,000		01/03/2018		(206	)
Bank of Montreal	USD	2,178,810	JPY	246,453,000		01/04/2018		8,967
Bank of Montreal	USD	548,110	AUD	702,000		02/02/2018		975
Bank of Montreal	USD	637,612	CHF	620,000		02/02/2018		(84	)
Citibank N.A.	DKK	338,664,566	USD	54,376,867		01/03/2018		(242,926	)
Citibank N.A.	ILS	45,414,174	USD	13,012,098		01/03/2018		(69,340	)
Citibank N.A.	AUD	254,275,050	USD	192,997,814		01/03/2018		(5,883,437	)
Citibank N.A.	SEK	3,501,000	USD	415,593		01/03/2018		(12,010	)
Citibank N.A.	AUD	1,363,000	USD	1,037,450		01/03/2018		(28,621	)
Citibank N.A.	USD	7,211,526	ILS	25,035,174		01/03/2018		(208	)
Citibank N.A.	USD	51,602,246	DKK	319,954,566		01/03/2018		—
Citibank N.A.	USD	199,934,786	AUD	255,622,050		01/03/2018		21
Citibank N.A.	JPY	38,753,275,305	USD	346,950,010		01/04/2018		2,935,139
Citibank N.A.	USD	344,218,243	JPY	38,777,389,805		01/04/2018		10,695
Citibank N.A.	ILS	25,035,174	USD	7,219,429		02/02/2018		108
Citibank N.A.	JPY	38,777,389,805	USD	344,663,400		02/02/2018		(36,421	)
Citibank N.A.	AUD	255,622,050	USD	199,936,064		02/02/2018		(4,151	)
Citibank N.A.	DKK	319,954,566	USD	51,689,779		02/02/2018		(6,733	)
Citibank N.A.	NOK	4,192,000	USD	512,926		02/02/2018		(24	)
Citibank N.A.	DKK	9,564,000	USD	1,545,108		02/02/2018		(191	)
Citibank N.A.	CHF	1,839,000	USD	1,890,767		02/02/2018		(223	)
Citibank N.A.	ILS	1,158,000	USD	333,910		02/02/2018		(19	)
Citibank N.A.	USD	1,443,865	SEK	11,800,000		02/02/2018		(83	)

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

4

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Counterparty	Amount Sold		Amount Bought		Settlement Date	Net Unrealized Appreciation/ (Depreciation)
Goldman Sachs Capital Markets L.P.	CHF	704,000	USD	716,002	01/03/2018	$	(6,420	)
Goldman Sachs Capital Markets L.P.	USD	1,396,937	GBP	1,032,000	02/02/2018		451
Goldman Sachs Capital Markets L.P.	USD	1,907,503	JPY	214,497,000	02/02/2018		(797	)
HSBC Bank USA	HKD	2,308,000	USD	295,382	01/03/2018		139
HSBC Bank USA	HKD	3,953,000	USD	506,662	01/03/2018		988
JP Morgan Chase Bank, N.A.	GBP	189,628,274	USD	257,024,059	01/03/2018		504,449
JP Morgan Chase Bank, N.A.	HKD	755,872,035	USD	96,814,201	01/03/2018		121,988
JP Morgan Chase Bank, N.A.	EUR	2,461,000	USD	2,922,157	01/03/2018		(33,012	)
JP Morgan Chase Bank, N.A.	CHF	1,207,000	USD	1,224,396	01/03/2018		(14,188	)
JP Morgan Chase Bank, N.A.	USD	94,851,935	HKD	741,486,035	01/03/2018		—
JP Morgan Chase Bank, N.A.	USD	249,479,259	GBP	184,423,773	01/03/2018		(36	)
JP Morgan Chase Bank, N.A.	JPY	38,753,275,305	USD	346,956,223	01/04/2018		2,941,351
JP Morgan Chase Bank, N.A.	USD	344,228,938	JPY	38,777,389,805	01/04/2018		—
JP Morgan Chase Bank, N.A.	GBP	11,061,000	USD	14,976,096	02/02/2018		(1,141	)
JP Morgan Chase Bank, N.A.	USD	8,565,196	EUR	7,120,000	02/02/2018		(666	)
JP Morgan Chase Bank, N.A.	JPY	38,777,389,805	USD	344,687,909	02/02/2018		(11,911	)
JP Morgan Chase Bank, N.A.	GBP	184,423,773	USD	249,708,867	02/02/2018		(11,649	)
JP Morgan Chase Bank, N.A.	HKD	741,486,035	USD	94,910,820	02/02/2018		(794	)
Royal Bank of Canada	CHF	225,382,571	USD	230,170,109	01/03/2018		(1,110,107	)
Royal Bank of Canada	GBP	189,628,273	USD	257,022,161	01/03/2018		502,552
Royal Bank of Canada	NOK	160,701,520	USD	19,406,741	01/03/2018		(240,482	)
Royal Bank of Canada	USD	5,840,344	ILS	20,379,000	01/03/2018		29,775
Royal Bank of Canada	USD	3,004,837	DKK	18,710,000	01/03/2018		12,710
Royal Bank of Canada	USD	25,026,255	EUR	20,942,000	01/03/2018		120,903
Royal Bank of Canada	USD	2,343,063	HKD	18,291,000	01/03/2018		(3,253	)
Royal Bank of Canada	USD	16,741,953	GBP	12,351,000	01/03/2018		(34,141	)
Royal Bank of Canada	USD	775,651	NOK	6,422,000	01/03/2018		9,497
Royal Bank of Canada	NZD	752,000	USD	515,806	01/03/2018		(19,017	)
Royal Bank of Canada	USD	3,225,347	SEK	26,804,000	01/03/2018		48,424
Royal Bank of Canada	SGD	392,000	USD	291,043	01/03/2018		(2,282	)
Royal Bank of Canada	USD	232,488,139	CHF	226,574,571	01/03/2018		15,269
Royal Bank of Canada	USD	249,479,260	GBP	184,423,774	01/03/2018		(36	)
Royal Bank of Canada	USD	18,862,076	NOK	154,279,520	01/03/2018		—
Royal Bank of Canada	USD	3,224,855	JPY	360,205,000	01/04/2018		(27,296	)
Royal Bank of Canada	CHF	226,574,571	USD	232,966,951	02/02/2018		(13,080	)
Royal Bank of Canada	NOK	154,279,520	USD	18,877,597	02/02/2018		(657	)
Royal Bank of Canada	GBP	184,423,774	USD	249,711,081	02/02/2018		(9,436	)
Standard Chartered Bank	NZD	6,012,581	USD	4,124,312	01/03/2018		(151,836	)
Standard Chartered Bank	SGD	50,664,299	USD	37,620,095	01/03/2018		(290,934	)
Standard Chartered Bank	EUR	403,798,157	USD	482,510,532	01/03/2018		(2,370,381	)
Standard Chartered Bank	SEK	680,060,531	USD	81,824,098	01/03/2018		(1,236,731	)
Standard Chartered Bank	GBP	1,148,000	USD	1,547,024	01/03/2018		(5,933	)
Standard Chartered Bank	EUR	4,216,000	USD	4,971,760	01/03/2018		(90,814	)
Standard Chartered Bank	USD	80,214,660	SEK	656,757,531	01/03/2018		—

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

5

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Counterparty	Amount Sold		Amount Bought		Settlement Date	Net Unrealized Appreciation/ (Depreciation)
Standard Chartered Bank	USD	38,204,354	SGD	51,056,299	01/03/2018	$	—
Standard Chartered Bank	USD	474,807,316	EUR	395,409,157	01/03/2018		84
Standard Chartered Bank	USD	4,810,970	NZD	6,764,581	01/03/2018		1
Standard Chartered Bank	SEK	656,757,531	USD	80,354,317	02/02/2018		(2,859	)
Standard Chartered Bank	EUR	395,409,157	USD	475,606,042	02/02/2018		(25,070	)
Standard Chartered Bank	SGD	51,056,299	USD	38,219,512	02/02/2018		(1,629	)
Standard Chartered Bank	NZD	6,764,581	USD	4,808,907	02/02/2018		(289	)
Toronto Dominion Bank	EUR	403,798,157	USD	482,506,898	01/03/2018		(2,374,015	)
Toronto Dominion Bank	USD	474,807,316	EUR	395,409,157	01/03/2018		84
Toronto Dominion Bank	EUR	395,409,157	USD	475,603,275	02/02/2018		(27,838	)
UBS AG	USD	2,563,892	EUR	2,130,000	02/02/2018		(1,750	)
Westpac Banking Corp.	AUD	796,000	USD	604,502	01/03/2018		(18,089	)
Westpac Banking Corp.	GBP	1,966,000	USD	2,630,622	01/03/2018		(28,884	)
Westpac Banking Corp.	USD	2,992,571	EUR	2,513,000	01/03/2018		25,040
Westpac Banking Corp.	JPY	241,409,000	USD	2,144,320	01/04/2018		1,319
Westpac Banking Corp.	JPY	413,478,000	USD	3,663,529	01/04/2018		(6,937	)
Westpac Banking Corp.	HKD	10,913,000	USD	1,396,762	02/02/2018		(123	)
Westpac Banking Corp.	AUD	2,879,000	USD	2,251,770	02/02/2018		(101	)
Westpac Banking Corp.	JPY	1,342,637,000	USD	11,933,586	02/02/2018		(1,378	)
Total						$	(7,143,047	)

AUD = Australian Dollar

CHF = Swiss Franc

DKK = Danish Krone

EUR = Euro

GBP = British Pound

HKD = Hong Kong Dollar

ILS = Israeli New Shekel

JPY = Japanese Yen

NOK = Norwegian Krone

NZD = New Zealand Dollar

SEK = Swedish Krona

SGD = Singapore Dollar

USD = U.S. Dollar

During the period ended December 31, 2017, average notional value related to foreign currency exchange contracts was $7,644,073,235 or 264% of net assets.

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
Mini MSCI EAFE (long)		03/16/2018		354	$	35,532,933	$	36,205,350	$	672,417

During the period ended December 31, 2017, average notional value related to futures contracts was $50,106,400 or less than 0.5% of net assets.

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

6

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products	$	2,855,656,362	$	—		$	—	$	2,855,656,362
Short-Term Investment		39,174,029		—			—		39,174,029
TOTAL INVESTMENTS	$	2,894,830,391	$	—		$	—	$	2,894,830,391
OTHER FINANCIAL INSTRUMENTS:
Forward Foreign Currency Exchange Contracts (a)		—		7,317,622			—		7,317,622
Futures Contracts (b)		672,417		—			—		672,417
TOTAL OTHER FINANCIAL INSTRUMENTS	$	672,417	$	7,317,622		$	—	$	7,990,039
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	2,895,502,808	$	7,317,622		$	—	$	2,902,820,430
LIABILITIES:
OTHER FINANCIAL INSTRUMENTS:
Forward Foreign Currency Exchange Contracts (a)		—		(14,460,669	)		—		(14,460,669	)
TOTAL OTHER FINANCIAL INSTRUMENTS	$	—	$	(14,460,669	)	$	—	$	(14,460,669	)

(a) Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation).

(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Premier Class		90,100,871	$	90,100,871	$	34,380,468	$	124,481,339	$	—	$	—		—	$	—	$	99,571	$	—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—		—		191,524,498		152,350,469		—		—		39,174,029		39,174,029		266,868		—
Total			$	90,100,871	$	225,904,966	$	276,831,808	$	—	$	—			$	39,174,029	$	366,439	$	—

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

7

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in corresponding affiliated Portfolio, at value	$	2,855,656,362
Investments in affiliated issuers, at value		39,174,029
Total Investments		2,894,830,391
Foreign currency, at value		240
Cash at broker		1,274,400
Receivable from broker — variation margin on open futures contracts		1,952,664
Receivable for fund shares sold		2,833,720
Unrealized appreciation on forward foreign currency exchange contracts		7,317,622
Interest receivable — unaffiliated issuers		41,311
Receivable from Adviser		556,617
Receivable for foreign taxes recoverable		881,812
Prepaid expenses and other assets		269,422
TOTAL ASSETS		2,909,958,199
LIABILITIES
Payable for fund shares repurchased		554,771
Unrealized depreciation on forward foreign currency exchange contracts		14,460,669
Advisory fee payable		342,203
Custodian fees payable		1,194
Administration fees payable		122,226
Distribution fees payable		3
Trustees’ fees and expenses payable		921
Transfer agent fees payable		3,117
Registration and filing fees payable		25,030
Professional fees payable		24,912
Printing and postage fees payable		22,245
Accrued expenses and other liabilities		498
TOTAL LIABILITIES		15,557,789
NET ASSETS	$	2,894,400,410
NET ASSETS CONSIST OF:
Paid-in Capital	$	2,547,969,759
Undistributed (distribution in excess of) net investment income (loss)		66,451,644
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts		(145,657,403	)
Net unrealized appreciation (depreciation) on:
Investments — affiliated Portfolio		430,846,686
Foreign currency translations		20,861
Forward foreign currency exchange transactions		(7,143,047	)
Foreign currency transactions allocated from Portfolio		282,165
Futures contracts		672,417
Futures contracts allocated from Portfolio		957,328
NET ASSETS	$	2,894,400,410
Class K
Net Assets	$	2,894,400,410
Shares Outstanding		278,381,444
Net asset value, offering and redemption price per share	$	10.40
COST OF INVESTMENTS:
Investments in Affiliated Portfolio	$	2,424,809,676
Investments in affiliated issuers		39,174,029
Total cost of investments	$	2,463,983,705
Foreign currency, at cost	$	241

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

8

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Dividend income allocated from affiliated Portfolio	$	78,605,723
Interest income — unaffiliated issuers		41,205
Expenses allocated from affiliated Portfolio		(3,526,307	)
Dividend income — unaffiliated issuers		1,330
Dividend income — affiliated issuers		366,439
Foreign taxes withheld allocated from affiliated Portfolio		(5,891,964	)
TOTAL INVESTMENT INCOME (LOSS)		69,596,426
EXPENSES
Advisory fee		3,537,872
Administration fees		1,263,526
Custodian fees		24,409
Trustees’ fees and expenses		23,325
Transfer agent fees		17,900
Registration and filing fees		42,812
Professional fees and expenses		36,909
Printing and postage fees		61,864
Insurance expense		4,578
Miscellaneous expenses		429,059
TOTAL EXPENSES		5,442,254
Expenses waived/reimbursed by the Adviser		(3,901,533	)
NET EXPENSES		1,540,721
NET INVESTMENT INCOME (LOSS)		68,055,705
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments allocated from affiliated Portfolio		(3,034,592	)
Foreign currency transactions allocated from affiliated Portfolio		228,379
Futures contracts allocated from affiliated Portfolio		8,476,382
Forward foreign currency exchange contracts		(137,535,151	)
Foreign currency transactions		11,359
Futures contracts		10,980,240
Net realized gain (loss)		(120,873,383	)
Net change in unrealized appreciation/depreciation on:
Investments allocated from affiliated Portfolio		468,278,860
Forward foreign currency exchange contracts		(30,758,142	)
Foreign currency transactions allocated from affiliated Portfolio		378,963
Foreign currency translations		84,065
Future contracts allocated from affiliated Portfolio		1,161,070
Futures contracts		1,171,092
Net change in unrealized appreciation/depreciation		440,315,908
NET REALIZED AND UNREALIZED GAIN (LOSS)		319,442,525
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	387,498,230

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			Year Ended 12/31/16(a)
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	68,055,705		$	41,474,167
Net realized gain (loss)		(120,873,383	)		85,562,051
Net change in unrealized appreciation/depreciation		440,315,908			40,757,308
Net increase (decrease) in net assets resulting from operations		387,498,230			167,793,526
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income
Class K		—			(43,018,705	)
Net Realized Gains
Class K		(87,868,525	)		(42,866,234	)
Total distributions to shareholders		(87,868,525	)		(85,884,939	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Class K
Proceeds from sale of shares sold		737,681,977			1,160,698,056
Reinvestment of distributions		86,828,654			82,901,472
Cost of shares redeemed		(343,134,093	)		(170,657,622	)
Net increase (decrease) in net assets from beneficial interest transactions		481,376,538			1,072,941,906
Net increase (decrease) in net assets during the period		781,006,243			1,154,850,493
Net assets at beginning of period		2,113,394,167			958,543,674
NET ASSETS AT END OF PERIOD	$	2,894,400,410		$	2,113,394,167
Undistributed (distribution in excess of) net investment income (loss)	$	66,451,644		$	(1,622,041	)
SHARES OF BENEFICIAL INTEREST:
Class K
Shares sold		74,197,752			134,135,836
Reinvestment of distributions		8,421,790			9,040,510
Shares redeemed		(34,414,786	)		(19,448,178	)
Net increase (decrease)		48,204,756			123,728,168

(a) Effective April 29, 2016, the Fund substantially invested its assets in the State Street International Developed Equity Index Portfolio (Note 1).

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

FINANCIAL HIGHLIGHTS

	Class K
	Year Ended 12/31/17			Year Ended(a) 12/31/16			For the Period 5/29/15* - 12/31/15
Net asset value, beginning of period	$	9.18		$	9.00		$	10.00
Income (loss) from investment operations:
Net investment income (loss) (b)		0.27			0.24			0.09
Net realized and unrealized gain (loss)		1.27			0.34			(1.00	)
Total from investment operations		1.54			0.58			(0.91	)
Distributions to shareholders from:
Net investment income		—			(0.20	)		(0.06	)
Net realized gains		(0.32	)		(0.20	)		(0.03	)
Total distributions		(0.32	)		(0.40	)		(0.09	)
Net asset value, end of period	$	10.40		$	9.18		$	9.00
Total return (c)		16.85	%		6.27	%		(9.01	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,894,400		$	2,113,394		$	958,544
Ratios to Average Net Assets:
Total expenses		0.35	%		0.34	%		0.38	%(d)
Net expenses		0.20	%		0.20	%		0.20	%(d)
Net investment income (loss)		2.69	%		2.79	%		1.60	%(d)
Portfolio turnover rate (e)		4	%		1	%		1	%(f)

 * Commencement of operations.

(a) Prior to April 29, 2016, the per share amounts and ratios included the Fund’s standalone performance. Effective April 29, 2016, the per share amounts and ratios include the Fund’s proportionate share of the income and expenses of the 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. 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) Portfolio turnover rate is from the corresponding Portfolio.

(f) Not annualized.

See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of thirty-four (34) series (and corresponding classes, each of which has the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following series (the “Fund”):

Fund	Classes	Commencement   of Operations:	Diversification Classification
State Street Hedged International Developed Equity Index Fund	Class K	May 29, 2015	Diversified

Effective April 29, 2016, the Fund invests a majority of its investable assets in the State Street International Developed Equity Index Portfolio (the “Portfolio”). The Fund made an in-kind contribution of 929 equity securities totaling $1,275,794,840 at market value into the Portfolio. The Fund seeks to achieve its investment objective by investing a majority of its investable assets in the Portfolio, a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (100% at December 31, 2017). The performance of the Fund was directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund records its investment in its Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements.

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for the Portfolio, as of December 31, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

Additionally, valuation techniques used to value the Fund’s investments, other than investment in the Portfolio, by major category are as follows:

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value ( “NAV” ) per share or unit.

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

• Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy and procedures approved by the Board.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Fund’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Fund had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Realized gains and losses from security transactions from investment in the Portfolio consist of the Fund’s share of the Portfolio’s realized gains and losses and investment income consists of the Fund’s share of the net investment income of the Portfolio. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and relative net assets of the Fund within the Trust. The Fund is allocated a pro-rata share of the expense of its respective Portfolio. Class specific expenses are borne by each class.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM” ) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

Distributions

Distributions from net investment income, if any, are declared and paid annually. 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Derivative Financial Instruments

Forward Foreign Currency Exchange Contracts

The Fund may engage in forward foreign currency exchange contracts to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Certain risks may arise upon entering into forward foreign currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated contracts, if any. Additionally, when utilizing forward foreign currency exchange contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.

For the period ended December 31, 2017, the Fund entered into forward foreign currency exchange contracts to offset the Fund’s exposure to the component currencies.

14

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Futures Contracts

The Fund may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.

For the period ended December 31, 2017, the Fund entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.

The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2017, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Forward Foreign Currency Exchange Contracts (a)	$	—	$	7,317,622		$	—	$	—	$	—	$	7,317,622
Futures Contracts (b)		—		—			—		672,417		—		672,417
(a)   Unrealized appreciation on forward foreign currency exchange contracts. (b)   Unrealized appreciation on open futures contracts.
	Liability Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Forward Foreign Currency Exchange Contracts (a)	$	—	$	14,460,669		$	—	$	—	$	—	$	14,460,669
(a)   Unrealized depreciation on forward foreign currency exchange contracts.
	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Forward Foreign Currency Exchange Contracts	$	—	$	(137,535,151	)	$	—	$	—	$	—	$	(137,535,151	)
Futures Contracts		—		—			—		10,980,240		—		10,980,240

15

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk			Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Forward Foreign Currency Exchange Contracts	$	—	$	(30,758,142	)	$	—	$	—	$	—	$	(30,758,142	)
Futures Contracts		—		—			—		1,171,092		—		1,171,092

Offsetting of Financial Assets and Derivative Assets
	Forward Foreign Currency Exchange Contracts
Counterparty	Gross Amounts of Assets		Amount Eligible to Offset		Collateral (Received) Pledged		Net Amount
Bank of Montreal	$	36,635	$	(290)	$	—	$	36,345
Citibank N.A.		2,945,963		(2,945,963)		—		—
Goldman Sachs Capital Markets L.P.		451		(451)		—		—
HSBC Bank USA		1,127		—		—		1,127
JP Morgan Chase Bank, N.A.		3,567,788		(73,397)		—		3,494,391
Royal Bank of Canada		739,130		(739,130)		—		—
Standard Chartered Bank		85		(85)		—		—
Toronto Dominion Bank		84		(84)		—		—
Westpac Banking Corp.		26,359		(26,359)		—		—
	$	7,317,622	$	(3,785,759)	$	—	$	3,531,863
Offsetting of Financial Liabilities and Derivative Liabilities
	Forward Foreign Currency Exchange Contracts
Counterparty	Gross Amounts of Liabilities		Amount Eligible to Offset		Collateral (Received) Pledged		Net Amount
Bank of Montreal	$	(290)	$	290	$	—	$	—
Citibank N.A.		(6,284,387)		2,945,963		—		(3,338,424)
Goldman Sachs Capital Markets L.P.		(7,217)		451		—		(6,766)
JP Morgan Chase Bank, N.A.		(73,397)		73,397		—		—
Royal Bank of Canada		(1,459,787)		739,130		—		(720,657)
Standard Chartered Bank		(4,176,476)		85		—		(4,176,391)
Toronto Dominion Bank		(2,401,853)		84		—		(2,401,769)
UBS		(1,750)		—		—		(1,750)
Westpac Banking Corp.		(55,512)		26,359		—		(29,153)
	$	(14,460,669)	$	3,785,759	$	—	$	(10,674,910)

4. Fees and Transactions with Affiliates

Advisory Fee

The Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Fund, the Fund pays the Adviser a management fee at an annual rate of 0.14% of its average daily net assets.

16

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The amount the Fund pays under its Investment Advisory Agreement is reduced by the amount of the advisory fee it bears indirectly through its investment in the Portfolio. For the services provided under its Investment Advisory Agreement, the Portfolio pays the Adviser a management fee at an annual rate of 0.11% of the Portfolio’s average daily net assets. This arrangement may not be terminated except with the approval of the Fund’s Board of Trustees.

The Adviser is contractually obligated until April 30, 2018 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 expenses other than fees of the Portfolio, and any class specific expenses, such as distribution, shareholder servicing, administration, and sub-transfer agency fees) exceed 0.15% 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 Board. For the period ended December 31, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the Statement of Operations.

Administrator, Custodian, and Sub-Administrator Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at the annual rate of 0.05% of the average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.

Transfer Agent Fees

DST Asset Manager Solutions, Inc. (formerly known as Boston Financial Data Services, Inc.), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, Boston Financial Data Services, Inc. was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.

Distribution Fees

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.

Other Transactions with Affiliates

The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA

17

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for distribution re-designations, foreign currencies, futures contracts, forward contracts, passive foreign investment companies and wash sale loss deferrals.

The tax character of distributions paid during the year ended December 31, 2017, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Hedged International Developed Equity Index Fund	$	37,007,262	$	50,861,263	$	—	$	87,868,525

The tax character of distributions paid during the year ended December 31, 2016, was as follows:

	Ordinary Income		Long-Term Capital Gains		Tax Return of Capital		Total
State Street Hedged International Developed Equity Index Fund	$	58,069,806	$	27,815,133	$	—	$	85,884,939

At December 31, 2017, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Capital Loss Carryforwards			Undistributed Long-Term Capital Gains		Net Unrealized Gains (Losses)		Qualified Late-Year Losses		Total
State Street Hedged International Developed Equity Index Fund	$	75,088,223	$	(143,925,940	)	$	—	$	415,268,368	$	—	$	346,430,651

As of December 31, 2017, the following Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

	Expiring 2018		Expiring 2019		Non-Expiring Short Term		Non-Expiring Long Term
State Street Hedged International Developed Equity Index Fund	$	—	$	—	$	60,916,521	$	83,009,419

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Hedged International Developed Equity Index Fund	$	2,481,081,550	$	415,378,589	$	—	$	415,378,589

7. Risks

Concentration Risk

As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

State Street Hedged International Developed Equity Index Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street Hedged International Developed Equity Index Fund (the “Fund”) (one of the funds constituting State Street Institutional Investment Trust (the “Trust”)), including the schedule of investments, as of December 31, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and the period from May 29, 2015 (commencement of operations) through December 31, 2014 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of State Street Hedged International Developed Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the two years in the period then ended and the period from May 29, 2015 (commencement of operations) through December 31, 2014, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

20

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost 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 (the “SEC”) 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Hedged International Developed Equity Index Fund
Class K		0.20	%	$	1,078.10	$	1.05	$	1,024.20	$	1.02

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

21

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2017.

Qualified Dividend Income

A portion of dividends distributed by the Fund during the fiscal year ended December 31, 2017 is considered qualified dividend income and is eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. The Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Long term capital gains dividends were paid from the Fund during the year ended December 31, 2017:

	Amount
State Street Hedged International Developed Equity Index Fund	$	50,861,263

Foreign Tax Credit

The Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2017, the total amount of foreign taxes that will be passed through are:

	Amount
State Street Hedged International Developed Equity Index Fund	$	5,667,414

The amount of foreign source income earned on the Fund during the year ended December 31, 2017 was as follows:

	Amount
State Street Hedged International Developed Equity Index Fund	$	77,943,463

22

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the website of the SEC, at www.sec.gov. Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.

23

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

24

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.    

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust.    

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:    

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

25

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

26

STATE STREET INSTITUTIONAL INVESTMENT TRUST

STATE STREET HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about Fund’s directors and is available, without charge, upon request and by calling 1-800-997-7327.

27

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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 Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

Transfer Agent

DST Asset Manager Solutions, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

Distributor

State Street Global Advisors Funds Distributors, 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

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.

Annual Report

December 31, 2017

State Street Master Funds

State Street International Developed Equity Index Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

TABLE OF CONTENTS

Management’s Discussion of Portfolio Performance (Unaudited)	1
Portfolio Statistics (Unaudited)	2
Schedule of Investments	3
Statement of Assets and Liabilities	15
Statement of Operations	16
Statements of Changes in Net Assets	17
Financial Highlights	18
Notes to Financial Statements	19
Report of Independent Registered Public Accounting Firm	26
Other Information (Unaudited)	27

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The State Street International Developed Equity Index Portfolio (the “Portfolio”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid-capitalization equity index over the long term. The Portfolio’s benchmark is the MSCI EAFE (Europe, Australasia, Far East) Index (the “Index”).

For the 12-month period ended December 31, 2017 (the “Reporting Period”), the total return for the Portfolio was 25.25%, and the Index was 25.03%. The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and currencies in the Portfolio and the Index contributed to the difference between the Portfolio’s performance and that of the Index.

The Portfolio had positive performance in each quarter in 2017. The Portfolio’s performance was driven by the strength of the global economy, tax reform in the United States and mergers and acquisition activity. In the first calendar quarter of 2017, optimism about the global economy, strong macro and earnings data, a positive outlook issued by ECB President Draghi regarding the European economy, and the promise of a new tax plan in the United States helped drive performance. Positive performance in the second calendar quarter of 2017 was helped by a positive start to the earnings season, dovish comments from several central banks, and continued mergers and acquisition activity. The Portfolio’s performance in the third calendar quarter continued to be positive on strong macro and earnings data and the unveiling of the new tax plan in the U.S. despite geopolitical concerns between the U.S. and North Korea and several natural disasters. The Portfolio continued to have positive performance in the fourth calendar quarter as a result of the strength in the global economy, ratified U.S. tax reform and recovering oil prices, despite ongoing tensions between the U.S. and North Korea and political uncertainty in the U.K., Germany and Saudi Arabia.

The Portfolio used MSCI EAFE Index futures contracts in order to gain exposure to the Index during the Reporting Period. The Portfolio’s use of index futures helped the Portfolio track the Index.

On an individual security level, the top positive contributors to the Portfolio’s performance during the Reporting Period were Nestle S.A., HSBC Holdings Plc, and Royal Dutch Shell Plc Class B. The top negative contributors to the Portfolio’s performance during the Reporting Period were Hennes & Mauritz AB Class B, BT Group plc, and Teva Pharmaceutical Industries Limited.

The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

1

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017

Description	Market Value		% of Net Assets
Nestle SA		49,952,367		1.8	%
HSBC Holdings PLC		39,016,369		1.4
Novartis AG		35,131,403		1.2
Roche Holding AG		33,199,465		1.2
Toyota Motor Corp.		31,259,535		1.1
TOTAL		188,559,139		6.7	%

(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)

Top Five Sectors as of December 31, 2017

Description	% of Net Assets
Banks		13.3	%
Pharmaceuticals		7.4
Insurance		5.9
Oil & Gas		5.0
Food		4.4
TOTAL		36.0	%

(The top five sectors are expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.

2

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017

Security Description	Shares		Value
COMMON STOCKS — 98.7%
AUSTRALIA — 6.9%
AGL Energy, Ltd.		127,359	$	2,426,593
Alumina, Ltd. (a)		495,864		942,451
Amcor, Ltd.		215,707		2,601,589
AMP, Ltd.		532,462		2,161,454
APA Group		212,702		1,385,820
Aristocrat Leisure, Ltd.		98,993		1,835,029
ASX, Ltd.		37,741		1,619,419
Aurizon Holdings, Ltd.		390,597		1,515,307
AusNet Services		348,352		491,797
Australia & New Zealand Banking Group, Ltd.		554,830		12,472,020
Bank of Queensland, Ltd.		68,403		680,538
Bendigo & Adelaide Bank, Ltd.		97,158		886,828
BHP Billiton PLC		395,837		8,152,507
BHP Billiton, Ltd.		598,520		13,842,677
BlueScope Steel, Ltd.		110,632		1,329,979
Boral, Ltd.		231,281		1,409,183
Brambles, Ltd.		309,177		2,435,156
Caltex Australia, Ltd.		51,298		1,366,179
Challenger, Ltd.		108,660		1,192,388
CIMIC Group, Ltd.		18,465		743,062
Coca-Cola Amatil, Ltd.		110,525		735,665
Cochlear, Ltd.		10,235		1,370,749
Commonwealth Bank of Australia		323,425		20,323,360
Computershare, Ltd.		90,882		1,158,659
Crown Resorts, Ltd.		72,799		741,355
CSL, Ltd.		84,691		9,359,864
Dexus REIT		193,727		1,477,355
Domino’s Pizza Enterprises, Ltd. (a)		10,034		366,506
Flight Centre Travel Group, Ltd. (a)		12,119		419,346
Fortescue Metals Group, Ltd.		278,858		1,064,371
Goodman Group REIT		343,500		2,262,189
GPT Group REIT		357,977		1,430,758
Harvey Norman Holdings, Ltd. (a)		107,605		350,961
Healthscope, Ltd.		281,376		462,164
Incitec Pivot, Ltd.		297,683		908,048
Insurance Australia Group, Ltd.		443,789		2,513,074
LendLease Group		98,023		1,253,533
Macquarie Group, Ltd.		61,774		4,813,777
Medibank Pvt, Ltd.		489,758		1,260,281
Mirvac Group REIT		729,572		1,340,992
National Australia Bank, Ltd.		507,422		11,735,746
Newcrest Mining, Ltd.		146,689		2,618,203
Oil Search, Ltd.		268,115		1,633,611
Orica, Ltd.		67,209		951,472
Origin Energy, Ltd. (b)		319,729		2,355,717
QBE Insurance Group, Ltd.		267,669		2,235,936
Ramsay Health Care, Ltd.		28,134		1,542,991
REA Group, Ltd.		9,620		576,736
Santos, Ltd. (b)		363,770		1,550,649
Scentre Group REIT		987,359		3,235,782
SEEK, Ltd.		65,966		980,827
Sonic Healthcare, Ltd.		78,015		1,394,904
South32, Ltd.		965,547		2,635,657
Stockland REIT		470,735		1,649,471
Suncorp Group, Ltd.		241,524		2,618,265
Sydney Airport		197,974		1,091,660
Tabcorp Holdings, Ltd.		352,047		1,536,474
Telstra Corp., Ltd.		779,581		2,213,390
TPG Telecom, Ltd. (a)		84,887		436,211
Transurban Group Stapled Security		409,914		3,985,235
Treasury Wine Estates, Ltd.		134,469		1,678,592
Vicinity Centres REIT		644,384		1,370,894
Wesfarmers, Ltd.		212,235		7,373,703
Westfield Corp. REIT		358,617		2,661,872
Westpac Banking Corp.		640,224		15,698,552
Woodside Petroleum, Ltd.		155,572		4,025,196
Woolworths, Ltd.		241,684		5,160,605
				198,051,334
AUSTRIA — 0.3%
ANDRITZ AG		14,225		804,277
Erste Group Bank AG (b)		54,596		2,367,003
OMV AG		27,483		1,743,474
Raiffeisen Bank International AG (b)		27,489		996,866
voestalpine AG		21,677		1,297,453
				7,209,073
BELGIUM — 1.1%
Ageas		35,808		1,750,674
Anheuser-Busch InBev SA		141,503		15,824,355
Colruyt SA		11,037		574,660
Groupe Bruxelles Lambert SA		15,501		1,675,038
KBC Group NV		46,810		3,997,055
Proximus SADP		30,160		990,511
Solvay SA		13,514		1,880,780
Telenet Group Holding NV (b)		10,832		755,581
UCB SA		22,934		1,822,541
Umicore SA		36,652		1,736,483
				31,007,678
CHILE — 0.0% (c)
Antofagasta PLC		76,960		1,046,282
CHINA — 0.0% (c)
Minth Group, Ltd.		136,000		820,283
Yangzijiang Shipbuilding Holdings, Ltd.		386,100		424,699
				1,244,982
DENMARK — 1.8%
AP Moeller — Maersk A/S Class B		1,195		2,089,188
AP Moller — Maersk A/S Class A		701		1,171,273
Carlsberg A/S Class B		20,056		2,409,799
Chr Hansen Holding A/S		18,992		1,782,682
Coloplast A/S Class B		21,979		1,749,345
Danske Bank A/S		136,946		5,336,132
DONG Energy A/S (d)		34,934		1,908,288
DSV A/S		35,790		2,820,301

See accompanying notes to financial statements.

3

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Genmab A/S (b)		10,506	$	1,743,545
H Lundbeck A/S		13,897		706,012
ISS A/S		32,526		1,260,563
Novo Nordisk A/S Class B		346,243		18,679,163
Novozymes A/S Class B		41,998		2,401,182
Pandora A/S		20,358		2,217,894
TDC A/S		156,700		963,643
Tryg A/S		20,264		507,221
Vestas Wind Systems A/S		39,042		2,700,021
William Demant Holding A/S (b)		21,003		587,707
				51,033,959
FINLAND — 0.9%
Elisa Oyj		25,700		1,009,758
Fortum Oyj		85,179		1,687,669
Kone Oyj Class B		63,272		3,402,251
Metso Oyj		21,684		741,306
Neste Oyj		23,194		1,485,870
Nokia Oyj		1,080,564		5,052,627
Nokian Renkaat Oyj		20,335		923,011
Orion Oyj Class B		18,821		702,416
Sampo Oyj Class A		83,234		4,577,591
Stora Enso Oyj Class R		106,205		1,685,960
UPM-Kymmene Oyj		97,672		3,038,843
Wartsila Oyj Abp		28,160		1,778,644
				26,085,946
FRANCE — 10.2%
Accor SA		35,395		1,827,600
Aeroports de Paris		5,942		1,130,922
Air Liquide SA		80,308		10,130,377
Airbus SE		109,770		10,940,383
Alstom SA		29,273		1,216,401
Amundi SA (d)		11,164		947,115
Arkema SA		13,251		1,615,844
Atos SE		18,036		2,628,154
AXA SA		362,594		10,769,692
BioMerieux		7,650		686,111
BNP Paribas SA		210,664		15,747,095
Bollore SA		177,656		965,955
Bollore SA (b)		836		4,568
Bouygues SA		39,477		2,053,067
Bureau Veritas SA		49,249		1,347,760
Capgemini SE		30,129		3,577,732
Carrefour SA		107,899		2,337,355
Casino Guichard Perrachon SA		9,801		595,043
Cie de Saint-Gobain		96,098		5,305,839
Cie Generale des Etablissements Michelin		31,818		4,567,654
CNP Assurances		29,292		677,272
Credit Agricole SA		216,740		3,591,608
Danone SA		113,587		9,540,851
Dassault Aviation SA		493		768,350
Dassault Systemes SE		24,634		2,620,538
Edenred		40,723		1,182,406
Eiffage SA		13,560		1,487,276
Electricite de France SA (a)		105,187		1,316,135
Engie SA		342,611		5,897,525
Essilor International SA		38,599		5,327,897
Eurazeo SA		7,558		698,825
Eutelsat Communications SA		34,717		804,373
Faurecia		14,020		1,096,478
Fonciere Des Regions REIT		5,920		671,633
Gecina SA REIT		8,489		1,568,794
Groupe Eurotunnel SE		89,839		1,156,460
Hermes International		5,857		3,138,515
ICADE REIT		6,016		591,863
Iliad SA		4,881		1,170,756
Imerys SA		6,262		590,574
Ingenico Group SA		11,002		1,175,929
Ipsen SA		7,077		846,152
JCDecaux SA		12,680		511,675
Kering		14,058		6,634,174
Klepierre SA REIT		41,883		1,843,997
Lagardere SCA		20,176		647,597
Legrand SA		49,720		3,832,386
L’Oreal SA		47,635		10,579,162
LVMH Moet Hennessy Louis Vuitton SE		52,005		15,324,645
Natixis SA		177,116		1,402,843
Orange SA		379,022		6,588,002
Pernod Ricard SA		39,414		6,244,974
Peugeot SA		108,610		2,211,253
Publicis Groupe SA		39,779		2,705,980
Remy Cointreau SA		4,144		574,741
Renault SA		36,446		3,672,268
Rexel SA		57,244		1,039,328
Safran SA		63,387		6,539,050
Sanofi		212,898		18,368,306
Schneider Electric SE		106,406		9,053,948
SCOR SE		34,308		1,381,955
SEB SA		4,596		852,391
Societe BIC SA		5,922		651,807
Societe Generale SA		142,416		7,362,117
Sodexo SA		16,338		2,198,272
Suez		69,418		1,222,433
Teleperformance		10,670		1,530,458
Thales SA		20,399		2,201,622
TOTAL SA		444,630		24,583,969
Ubisoft Entertainment SA (b)		11,647		897,044
Unibail-Rodamco SE REIT		18,571		4,683,013
Valeo SA		45,409		3,395,405
Veolia Environnement SA		91,402		2,335,049
Vinci SA		94,641		9,676,866
Vivendi SA		193,809		5,217,714
Wendel SA		4,850		840,968
Zodiac Aerospace		35,769		1,070,779
				292,191,068
GERMANY — 9.8%
adidas AG		35,476		7,120,521
Allianz SE		84,118		19,343,207
Axel Springer SE		8,400		656,948
BASF SE		173,042		19,062,551
Bayer AG		154,763		19,327,302
Bayerische Motoren Werke AG		62,933		6,561,740

See accompanying notes to financial statements.

4

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Bayerische Motoren Werke AG Preference Shares		10,669	$	956,238
Beiersdorf AG		18,603		2,186,938
Brenntag AG		28,112		1,781,351
Commerzbank AG (b)		204,113		3,064,962
Continental AG		20,499		5,539,652
Covestro AG (d)		22,437		2,317,851
Daimler AG		181,616		15,440,385
Deutsche Bank AG		391,986		7,472,313
Deutsche Boerse AG		36,787		4,276,027
Deutsche Lufthansa AG		45,872		1,692,153
Deutsche Post AG		181,362		8,656,736
Deutsche Telekom AG		629,858		11,189,956
Deutsche Wohnen SE		64,908		2,841,749
Drillisch AG		9,793		809,402
E.ON SE		409,081		4,450,986
Evonik Industries AG		32,267		1,215,469
Fraport AG Frankfurt Airport Services Worldwide		7,028		775,227
Fresenius Medical Care AG & Co. KGaA		40,276		4,245,342
Fresenius SE & Co. KGaA		76,843		6,004,210
Fuchs Petrolub SE Preference Shares		11,891		631,833
GEA Group AG		34,939		1,678,610
Hannover Rueck SE		11,800		1,486,374
HeidelbergCement AG		27,666		2,998,226
Henkel AG & Co. KGaA Preference Shares		33,268		4,408,286
Henkel AG & Co. KGaA		18,985		2,279,719
HOCHTIEF AG		3,385		599,951
HUGO BOSS AG		12,222		1,041,128
Infineon Technologies AG		211,319		5,794,425
Innogy SE (d)		24,532		962,541
KION Group AG		12,696		1,097,361
KS AG		35,264		878,871
Lanxess AG		16,645		1,324,959
Linde AG (b)		34,492		8,062,014
MAN SE		7,204		825,264
Merck KGaA		24,651		2,656,683
METRO AG (b)		33,622		672,216
MTU Aero Engines AG		9,603		1,722,774
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		29,310		6,361,578
OSRAM Licht AG		19,225		1,729,788
Porsche Automobil Holding SE Preference Shares		29,123		2,440,270
ProSiebenSat.1 Media SE		44,142		1,521,529
QIAGEN NV (b)		42,355		1,332,021
RWE AG (b)		100,741		2,056,487
SAP SE		183,875		20,633,493
Schaeffler AG Preference Shares		27,293		484,555
Siemens AG		143,170		19,968,341
Symrise AG		22,854		1,965,474
Telefonica Deutschland Holding AG		122,765		617,084
ThyssenKrupp AG		82,229		2,391,004
TUI AG		82,896		1,726,918
Uniper SE		37,169		1,160,446
United Internet AG		23,007		1,584,121
Volkswagen AG		5,948		1,204,916
Volkswagen AG Preference Shares		35,231		7,041,733
Vonovia SE		92,108		4,577,871
Wirecard AG		21,678		2,422,700
Zalando SE (b) (d)		20,797		1,101,686
				278,432,466
HONG KONG — 3.4%
AIA Group, Ltd.		2,242,200		19,116,911
ASM Pacific Technology, Ltd.		51,900		723,000
Bank of East Asia, Ltd.		219,956		952,440
BOC Hong Kong Holdings, Ltd.		690,000		3,495,324
CK Asset Holdings, Ltd.		489,179		4,273,973
CK Hutchison Holdings, Ltd.		506,500		6,356,114
CK Infrastructure Holdings, Ltd.		132,000		1,133,870
CLP Holdings, Ltd.		306,500		3,134,672
First Pacific Co., Ltd.		314,000		212,887
Galaxy Entertainment Group, Ltd.		431,000		3,456,910
Hang Lung Group, Ltd.		145,000		533,272
Hang Lung Properties, Ltd.		396,000		967,546
Hang Seng Bank, Ltd.		143,800		3,568,649
Henderson Land Development Co., Ltd.		213,254		1,404,907
HK Electric Investments & HK Electric Investments, Ltd. (a) (d)		455,490		416,608
HKT Trust & HKT, Ltd.		679,000		865,112
Hong Kong & China Gas Co., Ltd.		1,569,500		3,075,837
Hong Kong Exchanges & Clearing, Ltd.		216,425		6,638,957
Hongkong Land Holdings, Ltd.		228,900		1,611,456
Hysan Development Co., Ltd.		105,000		556,746
Jardine Matheson Holdings, Ltd.		39,500		2,399,625
Jardine Strategic Holdings, Ltd.		42,500		1,682,150
Kerry Properties, Ltd.		118,000		530,580
Kingston Financial Group, Ltd. (a)		754,000		723,396
Li & Fung, Ltd.		1,090,000		598,173
Link REIT		420,000		3,892,520
Melco Resorts & Entertainment, Ltd. ADR		45,923		1,333,604
MTR Corp., Ltd.		272,645		1,597,373
New World Development Co., Ltd.		1,163,162		1,746,834
NWS Holdings, Ltd.		274,810		495,673
PCCW, Ltd.		748,000		434,411
Power Assets Holdings, Ltd.		252,000		2,125,977
Sands China, Ltd.		446,000		2,302,086
Shangri-La Asia, Ltd.		264,000		599,102
Sino Land Co., Ltd.		595,379		1,054,078
SJM Holdings, Ltd.		434,000		388,625
Sun Hung Kai Properties, Ltd.		273,000		4,553,900
Swire Pacific, Ltd. Class A		98,000		907,001
Swire Properties, Ltd.		237,600		765,932

See accompanying notes to financial statements.

5

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Techtronic Industries Co., Ltd.		258,000	$	1,681,540
WH Group, Ltd. (d)		1,560,309		1,760,445
Wharf Holdings, Ltd.		226,000		780,576
Wharf Real Estate Investment Co., Ltd. (b)		226,000		1,503,332
Wheelock & Co., Ltd.		151,000		1,077,840
Yue Yuen Industrial Holdings, Ltd.		149,500		587,115
				98,017,079
IRELAND — 0.6%
AerCap Holdings NV (b)		27,414		1,442,250
AIB Group PLC		150,377		993,150
Bank of Ireland Group PLC (b)		170,721		1,454,488
CRH PLC		154,455		5,555,742
James Hardie Industries PLC		85,085		1,505,344
Kerry Group PLC Class A		28,985		3,254,286
Paddy Power Betfair PLC		14,637		1,743,550
Ryanair Holdings PLC ADR (b)		4,205		438,119
				16,386,929
ISRAEL — 0.4%
Azrieli Group, Ltd.		7,782		435,540
Bank Hapoalim BM		186,339		1,373,530
Bank Leumi Le-Israel BM		253,799		1,533,036
Bezeq The Israeli Telecommunication Corp., Ltd.		417,768		632,973
Check Point Software Technologies, Ltd. (b)		23,910		2,477,554
Elbit Systems, Ltd.		3,969		531,616
Frutarom Industries, Ltd.		6,562		617,140
Israel Chemicals, Ltd.		90,984		369,529
Mizrahi Tefahot Bank, Ltd.		25,993		480,305
Nice, Ltd.		10,564		957,002
Teva Pharmaceutical Industries, Ltd. ADR (a)		44,328		840,015
Teva Pharmaceutical Industries, Ltd.		129,045		2,440,282
				12,688,522
ITALY — 2.0%
Assicurazioni Generali SpA		232,187		4,237,915
Atlantia SpA		86,738		2,741,360
Davide Campari-Milano SpA		107,255		830,063
Enel SpA		1,520,835		9,368,503
Eni SpA		468,925		7,770,576
Ferrari NV		22,562		2,369,235
Intesa Sanpaolo SpA (e)		2,487,589		8,274,260
Intesa Sanpaolo SpA (e)		196,041		626,180
Leonardo SpA		81,549		971,407
Luxottica Group SpA		32,866		2,018,660
Mediobanca SpA		107,850		1,225,130
Poste Italiane SpA (d)		106,398		801,711
Prysmian SpA		37,010		1,208,368
Recordati SpA		19,949		887,764
Snam SpA		437,585		2,143,845
Telecom Italia SpA/Milano (b) (e)		2,173,024		1,880,049
Telecom Italia SpA/Milano (e)		1,170,271		837,536
Terna Rete Elettrica Nazionale SpA		257,268		1,496,445
UniCredit SpA (b)		369,244		6,907,989
UnipolSai Assicurazioni SpA		194,056		453,695
				57,050,691
JAPAN — 23.8%
ABC-Mart, Inc.		5,800		333,120
Acom Co., Ltd. (a) (b)		91,400		385,397
Aeon Co., Ltd.		114,100		1,926,988
AEON Financial Service Co., Ltd.		20,500		477,514
Aeon Mall Co., Ltd.		24,100		471,517
Air Water, Inc.		25,000		527,741
Aisin Seiki Co., Ltd.		33,100		1,859,947
Ajinomoto Co., Inc.		102,200		1,924,245
Alfresa Holdings Corp.		37,400		878,809
Alps Electric Co., Ltd.		34,700		991,869
Amada Holdings Co., Ltd.		69,700		949,133
ANA Holdings, Inc.		19,800		827,153
Aozora Bank, Ltd.		22,800		887,510
Asahi Glass Co., Ltd.		39,000		1,689,481
Asahi Group Holdings, Ltd.		71,800		3,562,912
Asahi Kasei Corp.		235,000		3,032,157
Asics Corp.		27,100		432,060
Astellas Pharma, Inc.		381,800		4,870,365
Bandai Namco Holdings, Inc.		36,000		1,177,630
Bank of Kyoto, Ltd.		12,600		656,565
Benesse Holdings, Inc.		13,600		479,893
Bridgestone Corp.		123,200		5,728,554
Brother Industries, Ltd.		44,800		1,105,584
Calbee, Inc. (a)		15,100		491,269
Canon, Inc.		199,600		7,441,811
Casio Computer Co., Ltd.		37,900		545,370
Central Japan Railway Co.		26,800		4,800,923
Chiba Bank, Ltd.		134,000		1,115,775
Chubu Electric Power Co., Inc.		117,800		1,464,526
Chugai Pharmaceutical Co., Ltd.		42,800		2,192,241
Chugoku Electric Power Co., Inc.		57,100		613,831
Coca-Cola Bottlers Japan, Inc.		24,100		880,351
Concordia Financial Group, Ltd.		237,100		1,431,229
Credit Saison Co., Ltd.		28,200		513,182
CYBERDYNE, Inc. (a) (b)		22,800		392,852
Dai Nippon Printing Co., Ltd.		50,000		1,115,402
Daicel Corp.		51,500		586,090
Daifuku Co., Ltd.		18,300		997,443
Dai-ichi Life Holdings, Inc.		200,200		4,130,180
Daiichi Sankyo Co., Ltd.		104,300		2,719,300
Daikin Industries, Ltd.		47,400		5,610,999
Daito Trust Construction Co., Ltd.		13,100		2,671,749
Daiwa House Industry Co., Ltd.		104,700		4,021,632
Daiwa House REIT Investment Corp.		270		641,625
Daiwa Securities Group, Inc.		312,000		1,957,859
DeNA Co., Ltd.		17,400		358,812
Denso Corp.		87,900		5,277,121
Dentsu, Inc.		41,600		1,763,338

See accompanying notes to financial statements.

6

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Disco Corp.		5,500	$	1,224,012
Don Quijote Holdings Co., Ltd.		23,100		1,207,803
East Japan Railway Co.		61,500		6,002,597
Eisai Co., Ltd.		48,900		2,785,108
Electric Power Development Co., Ltd.		29,400		792,091
FamilyMart UNY Holdings Co., Ltd.		14,500		1,016,866
FANUC Corp.		36,500		8,767,776
Fast Retailing Co., Ltd.		10,000		3,986,684
Fuji Electric Co., Ltd.		96,000		723,515
FUJIFILM Holdings Corp.		75,400		3,082,264
Fujitsu, Ltd.		380,000		2,707,732
Fukuoka Financial Group, Inc.		134,000		752,969
Hachijuni Bank Ltd.		78,600		451,435
Hakuhodo DY Holdings, Inc.		41,000		532,472
Hamamatsu Photonics KK		27,400		921,846
Hankyu Hanshin Holdings, Inc.		46,800		1,881,971
Hikari Tsushin, Inc.		3,900		560,852
Hino Motors, Ltd.		49,600		642,841
Hirose Electric Co., Ltd.		6,200		906,471
Hisamitsu Pharmaceutical Co., Inc.		10,400		630,555
Hitachi Chemical Co., Ltd.		19,900		511,235
Hitachi Construction Machinery Co., Ltd.		19,300		701,585
Hitachi High-Technologies Corp.		11,800		497,559
Hitachi Metals, Ltd.		40,500		581,704
Hitachi, Ltd.		906,000		7,060,607
Honda Motor Co., Ltd.		320,900		11,001,472
Hoshizaki Corp.		9,900		877,949
Hoya Corp.		73,000		3,647,084
Hulic Co., Ltd.		50,000		561,917
Idemitsu Kosan Co., Ltd.		27,100		1,088,571
IHI Corp.		30,200		1,005,326
Iida Group Holdings Co., Ltd.		26,200		494,230
Inpex Corp.		179,800		2,248,897
Isetan Mitsukoshi Holdings, Ltd.		69,600		863,126
Isuzu Motors, Ltd.		103,400		1,732,053
ITOCHU Corp.		276,100		5,154,357
J Front Retailing Co., Ltd.		50,200		946,068
Japan Airlines Co., Ltd.		23,900		935,208
Japan Airport Terminal Co., Ltd.		8,200		304,270
Japan Exchange Group, Inc.		96,300		1,676,381
Japan Post Bank Co., Ltd.		75,600		984,511
Japan Post Holdings Co., Ltd.		301,100		3,453,362
Japan Prime Realty Investment Corp. REIT		138		438,562
Japan Real Estate Investment Corp. REIT		220		1,044,829
Japan Retail Fund Investment Corp. REIT		455		834,470
Japan Tobacco, Inc.		206,100		6,643,134
JFE Holdings, Inc.		97,900		2,351,686
JGC Corp.		43,100		833,688
JSR Corp.		33,300		655,654
JTEKT Corp.		38,300		658,223
JXTG Holdings, Inc.		582,600		3,759,877
Kajima Corp.		177,000		1,703,222
Kakaku.com, Inc.		26,600		449,827
Kamigumi Co., Ltd.		20,000		442,610
Kaneka Corp.		49,000		447,590
Kansai Electric Power Co., Inc.		132,800		1,626,844
Kansai Paint Co., Ltd.		39,400		1,024,085
Kao Corp.		93,300		6,310,277
Kawasaki Heavy Industries, Ltd.		26,800		940,914
KDDI Corp.		338,000		8,414,745
Keihan Holdings Co., Ltd.		16,800		495,127
Keikyu Corp.		43,500		836,019
Keio Corp.		21,000		923,702
Keisei Electric Railway Co., Ltd.		28,200		906,205
Keyence Corp.		18,300		10,253,848
Kikkoman Corp.		28,000		1,133,422
Kintetsu Group Holdings Co., Ltd.		35,600		1,365,220
Kirin Holdings Co., Ltd.		162,300		4,092,438
Kobe Steel, Ltd. (b)		53,600		497,221
Koito Manufacturing Co., Ltd.		20,100		1,413,156
Komatsu, Ltd.		171,600		6,212,027
Konami Holdings Corp.		18,400		1,012,694
Konica Minolta, Inc.		93,100		895,876
Kose Corp.		5,500		858,810
Kubota Corp.		198,200		3,887,465
Kuraray Co., Ltd.		66,900		1,262,578
Kurita Water Industries, Ltd.		17,800		578,322
Kyocera Corp.		59,300		3,881,215
Kyowa Hakko Kirin Co., Ltd.		50,400		974,892
Kyushu Electric Power Co., Inc.		82,000		859,672
Kyushu Financial Group, Inc.		61,500		372,330
Kyushu Railway Co.		30,700		952,477
Lawson, Inc.		9,100		605,051
LINE Corp. (a) (b)		8,000		326,320
Lion Corp.		39,000		739,148
LIXIL Group Corp.		48,600		1,315,846
M3, Inc.		40,100		1,411,420
Mabuchi Motor Co., Ltd.		9,600		520,692
Makita Corp.		41,700		1,752,770
Marubeni Corp.		310,300		2,247,988
Marui Group Co., Ltd.		39,800		728,872
Maruichi Steel Tube, Ltd.		10,400		304,660
Mazda Motor Corp.		100,900		1,353,842
McDonald’s Holdings Co. Japan, Ltd. (a)		13,200		580,613
Mebuki Financial Group, Inc.		181,300		767,688
Medipal Holdings Corp.		28,900		566,199
MEIJI Holdings Co., Ltd.		22,400		1,906,933
MINEBEA MITSUMI, Inc.		69,000		1,447,377
MISUMI Group, Inc.		54,000		1,572,304
Mitsubishi Chemical Holdings Corp.		272,900		2,995,480
Mitsubishi Corp.		283,200		7,826,024
Mitsubishi Electric Corp.		365,500		6,072,199
Mitsubishi Estate Co., Ltd.		231,000		4,019,174
Mitsubishi Gas Chemical Co., Inc.		35,900		1,030,950

See accompanying notes to financial statements.

7

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Mitsubishi Heavy Industries, Ltd.		57,900	$	2,163,862
Mitsubishi Materials Corp.		21,600		768,895
Mitsubishi Motors Corp.		116,800		843,988
Mitsubishi Tanabe Pharma Corp.		39,600		819,771
Mitsubishi UFJ Financial Group, Inc.		2,228,800		16,350,469
Mitsubishi UFJ Lease & Finance Co., Ltd.		81,700		486,646
Mitsui & Co., Ltd.		325,600		5,295,155
Mitsui Chemicals, Inc.		34,600		1,113,404
Mitsui Fudosan Co., Ltd.		168,700		3,781,336
Mitsui OSK Lines, Ltd.		20,200		674,230
Mixi, Inc.		8,800		395,277
Mizuho Financial Group, Inc.		4,570,400		8,300,966
MS&AD Insurance Group Holdings, Inc.		86,700		2,935,409
Murata Manufacturing Co., Ltd.		36,500		4,899,068
Nabtesco Corp.		22,800		874,354
Nagoya Railroad Co., Ltd.		36,000		906,631
NEC Corp.		50,800		1,370,901
Nexon Co., Ltd. (b)		38,900		1,132,641
NGK Insulators, Ltd.		45,900		867,068
NGK Spark Plug Co., Ltd.		29,600		719,702
NH Foods, Ltd.		33,000		805,007
Nidec Corp.		45,100		6,329,614
Nikon Corp.		60,100		1,211,070
Nintendo Co., Ltd.		21,000		7,678,562
Nippon Building Fund, Inc. REIT		236		1,154,336
Nippon Electric Glass Co., Ltd.		15,200		580,204
Nippon Express Co., Ltd.		15,900		1,057,177
Nippon Paint Holdings Co., Ltd. (a)		30,200		955,730
Nippon Prologis REIT, Inc.		331		700,198
Nippon Steel & Sumitomo Metal Corp.		145,100		3,723,783
Nippon Telegraph & Telephone Corp.		128,500		6,046,858
Nippon Yusen KK (b)		33,700		822,382
Nissan Chemical Industries, Ltd.		24,200		965,637
Nissan Motor Co., Ltd.		437,800		4,366,341
Nisshin Seifun Group, Inc.		33,100		668,758
Nissin Foods Holdings Co., Ltd.		11,800		862,086
Nitori Holdings Co., Ltd.		14,700		2,096,365
Nitto Denko Corp.		31,200		2,772,410
NOK Corp.		19,900		464,775
Nomura Holdings, Inc.		685,600		4,047,870
Nomura Real Estate Holdings, Inc.		22,600		506,770
Nomura Real Estate Master Fund, Inc.		666		827,105
Nomura Research Institute, Ltd.		25,900		1,204,758
NSK, Ltd.		73,800		1,162,194
NTT Data Corp.		112,500		1,337,217
NTT DOCOMO, Inc.		253,500		5,988,136
Obayashi Corp.		125,700		1,522,013
Obic Co., Ltd.		13,200		970,226
Odakyu Electric Railway Co., Ltd.		52,500		1,123,169
Oji Holdings Corp.		169,000		1,125,166
Olympus Corp.		54,900		2,105,353
Omron Corp.		36,400		2,171,398
Ono Pharmaceutical Co., Ltd.		80,300		1,871,885
Oracle Corp. Japan		7,400		613,546
Oriental Land Co., Ltd.		40,500		3,692,277
ORIX Corp.		249,600		4,219,824
Osaka Gas Co., Ltd.		71,200		1,371,540
Otsuka Corp.		9,100		697,949
Otsuka Holdings Co., Ltd.		73,700		3,237,174
Panasonic Corp.		416,400		6,097,220
Park24 Co., Ltd. (a)		18,200		435,734
Pola Orbis Holdings, Inc. (a)		16,800		589,827
Rakuten, Inc. (b)		183,200		1,679,130
Recruit Holdings Co., Ltd.		205,200		5,100,399
Renesas Electronics Corp. (b)		89,600		1,044,339
Resona Holdings, Inc.		406,800		2,430,689
Ricoh Co., Ltd.		135,700		1,261,233
Rinnai Corp.		5,600		507,057
Rohm Co., Ltd.		17,300		1,916,591
Ryohin Keikaku Co., Ltd.		4,500		1,402,130
Sankyo Co., Ltd.		9,200		289,516
Santen Pharmaceutical Co., Ltd.		70,000		1,100,488
SBI Holdings, Inc.		38,100		796,836
Secom Co., Ltd.		39,000		2,945,166
Sega Sammy Holdings, Inc.		32,200		399,606
Seibu Holdings, Inc.		37,700		713,171
Seiko Epson Corp.		49,600		1,170,763
Sekisui Chemical Co., Ltd.		72,200		1,449,768
Sekisui House, Ltd.		106,600		1,926,181
Seven & i Holdings Co., Ltd.		140,000		5,819,973
Seven Bank, Ltd.		126,400		433,115
Sharp Corp. (a) (b)		28,500		979,095
Shimadzu Corp.		49,600		1,128,053
Shimamura Co., Ltd.		3,700		407,279
Shimano, Inc.		14,300		2,012,028
Shimizu Corp.		104,600		1,080,820
Shin-Etsu Chemical Co., Ltd.		72,800		7,399,556
Shinsei Bank, Ltd.		30,900		534,613
Shionogi & Co., Ltd.		56,300		3,047,147
Shiseido Co., Ltd.		70,600		3,413,117
Shizuoka Bank, Ltd.		102,000		1,053,955
Showa Shell Sekiyu KK		34,700		471,292
SMC Corp.		10,800		4,446,551
SoftBank Group Corp.		155,000		12,273,413
Sohgo Security Services Co., Ltd.		14,700		799,920
Sompo Holdings, Inc.		66,800		2,587,796
Sony Corp.		236,900		10,689,416
Sony Financial Holdings, Inc.		33,200		588,257
Stanley Electric Co., Ltd.		27,300		1,108,722
Start Today Co., Ltd.		37,400		1,137,106
Subaru Corp.		116,100		3,692,732
SUMCO Corp.		43,300		1,110,079
Sumitomo Chemical Co., Ltd.		297,000		2,135,553
Sumitomo Corp.		223,400		3,797,701

See accompanying notes to financial statements.

8

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Sumitomo Dainippon Pharma Co., Ltd.		26,900	$	399,739
Sumitomo Electric Industries, Ltd.		138,700		2,345,526
Sumitomo Heavy Industries, Ltd.		22,800		965,433
Sumitomo Metal Mining Co., Ltd.		47,500		2,183,356
Sumitomo Mitsui Financial Group, Inc.		251,900		10,885,479
Sumitomo Mitsui Trust Holdings, Inc.		62,900		2,497,574
Sumitomo Realty & Development Co., Ltd.		67,000		2,202,406
Sumitomo Rubber Industries, Ltd. (a)		27,600		513,534
Sundrug Co., Ltd.		12,400		576,795
Suntory Beverage & Food, Ltd.		24,700		1,098,509
Suruga Bank, Ltd.		34,400		738,081
Suzuken Co., Ltd.		13,600		559,574
Suzuki Motor Corp.		65,500		3,799,174
Sysmex Corp.		30,100		2,370,058
T&D Holdings, Inc.		100,000		1,710,608
Taiheiyo Cement Corp.		23,800		1,027,847
Taisei Corp.		38,800		1,932,250
Taisho Pharmaceutical Holdings Co., Ltd.		5,900		471,372
Taiyo Nippon Sanso Corp.		23,300		326,179
Takashimaya Co., Ltd.		53,000		557,994
Takeda Pharmaceutical Co., Ltd.		133,100		7,563,010
TDK Corp.		23,600		1,883,391
Teijin, Ltd.		38,900		866,747
Temp Holdings Co., Ltd.		32,800		822,257
Terumo Corp.		59,400		2,815,766
THK Co., Ltd.		21,300		799,814
Tobu Railway Co., Ltd.		36,800		1,189,099
Toho Co., Ltd.		22,700		786,893
Toho Gas Co., Ltd.		12,600		345,619
Tohoku Electric Power Co., Inc.		79,000		1,010,555
Tokio Marine Holdings, Inc.		128,300		5,855,218
Tokyo Electric Power Co. Holdings, Inc. (b)		268,100		1,061,452
Tokyo Electron, Ltd.		29,900		5,414,647
Tokyo Gas Co., Ltd.		72,600		1,661,776
Tokyo Tatemono Co., Ltd.		36,300		490,445
Tokyu Corp.		104,700		1,671,111
Tokyu Fudosan Holdings Corp.		90,400		654,026
Toppan Printing Co., Ltd.		94,000		850,297
Toray Industries, Inc.		284,200		2,680,537
Toshiba Corp. (b)		1,245,000		3,503,462
Tosoh Corp.		56,500		1,280,968
TOTO, Ltd.		26,700		1,576,165
Toyo Seikan Group Holdings, Ltd.		28,500		457,923
Toyo Suisan Kaisha, Ltd.		18,400		786,471
Toyoda Gosei Co., Ltd.		9,700		246,870
Toyota Industries Corp.		31,200		2,005,220
Toyota Motor Corp.		488,200		31,259,535
Toyota Tsusho Corp.		41,500		1,670,684
Trend Micro, Inc. (b)		22,600		1,281,971
Tsuruha Holdings, Inc.		6,500		883,977
Unicharm Corp.		78,200		2,033,617
United Urban Investment Corp. REIT		568		817,335
USS Co., Ltd.		43,500		921,358
West Japan Railway Co.		30,300		2,212,855
Yahoo! Japan Corp. (a)		252,500		1,158,833
Yakult Honsha Co., Ltd.		17,000		1,282,734
Yamada Denki Co., Ltd. (a)		127,900		705,068
Yamaguchi Financial Group, Inc.		39,000		463,569
Yamaha Corp.		30,500		1,126,320
Yamaha Motor Co., Ltd.		55,200		1,810,599
Yamato Holdings Co., Ltd.		68,300		1,374,791
Yamazaki Baking Co., Ltd. (a)		22,000		429,063
Yaskawa Electric Corp.		49,000		2,159,654
Yokogawa Electric Corp.		47,300		906,111
Yokohama Rubber Co., Ltd. (a)		20,700		507,715
				678,759,674
LUXEMBOURG — 0.3%
ArcelorMittal (b)		124,717		4,060,748
Eurofins Scientific SE		2,198		1,339,738
Millicom International Cellular SA SDR		13,232		895,332
RTL Group SA		8,236		663,308
SES SA		67,548		1,055,263
Tenaris SA		86,893		1,373,129
				9,387,518
MACAU — 0.1%
MGM China Holdings, Ltd. (a)		169,200		511,888
Wynn Macau, Ltd.		272,400		862,433
				1,374,321
MEXICO — 0.0% (c)
Fresnillo PLC		41,967		811,255
NETHERLANDS — 4.5%
ABN AMRO Group NV (d)		76,687		2,477,107
Aegon NV		317,286		2,025,000
Akzo Nobel NV		46,322		4,061,626
Altice NV Class A (a) (b)		107,955		1,133,765
ASML Holding NV		72,704		12,672,027
Boskalis Westminster		14,815		559,135
EXOR NV		20,181		1,238,324
Heineken Holding NV		20,752		2,055,569
Heineken NV		49,188		5,134,517
ING Groep NV		727,259		13,383,212
Koninklijke Ahold Delhaize NV		243,114		5,352,561
Koninklijke DSM NV		34,834		3,332,490
Koninklijke KPN NV		664,494		2,320,365
Koninklijke Philips NV		175,278		6,638,346
Koninklijke Vopak NV		11,255		494,244
NN Group NV		58,522		2,538,269
NXP Semiconductors NV (b)		47,872		5,605,332
Randstad Holding NV		20,961		1,289,709
Royal Dutch Shell PLC Class A		843,988		28,314,274
Royal Dutch Shell PLC Class B		701,237		23,795,586

See accompanying notes to financial statements.

9

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
Wolters Kluwer NV		58,154	$	3,036,266
				127,457,724
NEW ZEALAND — 0.2%
Auckland International Airport, Ltd.		178,138		820,963
Fisher & Paykel Healthcare Corp., Ltd.		105,370		1,075,377
Fletcher Building, Ltd.		125,286		677,186
Mercury NZ, Ltd.		144,564		346,483
Meridian Energy, Ltd.		262,247		545,542
Ryman Healthcare, Ltd.		72,076		542,848
Spark New Zealand, Ltd.		345,222		891,244
				4,899,643
NORWAY — 0.7%
DNB ASA		182,669		3,396,841
Gjensidige Forsikring ASA		41,012		776,683
Marine Harvest ASA (b)		80,141		1,361,917
Norsk Hydro ASA		256,448		1,954,866
Orkla ASA		151,652		1,613,980
Schibsted ASA Class B		19,596		522,282
Statoil ASA		214,838		4,601,786
Telenor ASA		141,103		3,034,473
Yara International ASA		32,889		1,514,703
				18,777,531
PORTUGAL — 0.1%
EDP - Energias de Portugal SA		433,534		1,501,896
Galp Energia SGPS SA		90,821		1,671,312
Jeronimo Martins SGPS SA		45,284		880,636
				4,053,844
SINGAPORE — 1.3%
Ascendas REIT		478,950		974,816
CapitaLand Commercial Trust		468,038		675,930
CapitaLand Mall Trust REIT		490,000		780,979
CapitaLand, Ltd.		470,700		1,243,319
City Developments, Ltd.		72,400		676,651
ComfortDelGro Corp., Ltd.		427,400		633,233
DBS Group Holdings, Ltd.		334,913		6,227,617
Genting Singapore PLC		1,167,800		1,144,731
Global Logistic Properties, Ltd.		497,500		1,254,546
Golden Agri-Resources, Ltd.		1,326,600		367,287
Hutchison Port Holdings Trust		935,800		388,357
Jardine Cycle & Carriage, Ltd.		17,233		524,443
Keppel Corp., Ltd.		265,300		1,459,110
Oversea-Chinese Banking Corp., Ltd.		591,226		5,481,360
SATS, Ltd.		114,700		446,303
Sembcorp Industries, Ltd.		177,900		403,350
Singapore Airlines, Ltd.		110,600		883,045
Singapore Exchange, Ltd.		152,600		849,554
Singapore Press Holdings, Ltd. (a)		306,400		607,573
Singapore Technologies Engineering, Ltd.		304,700		743,282
Singapore Telecommunications, Ltd.		1,539,500		4,112,552
StarHub, Ltd.		120,500		256,978
Suntec Real Estate Investment Trust		521,900		839,633
United Overseas Bank, Ltd.		248,190		4,912,171
UOL Group, Ltd.		89,832		596,236
Wilmar International, Ltd.		314,400		726,950
				37,210,006
SOUTH AFRICA — 0.1%
Investec PLC		119,452		864,499
Mediclinic International PLC (a)		74,531		654,838
Mondi PLC		68,608		1,792,151
				3,311,488
SPAIN — 3.1%
Abertis Infraestructuras SA		132,118		2,942,908
ACS Actividades de Construccion y Servicios SA		43,859		1,717,962
Aena SME SA (d)		12,617		2,560,434
Amadeus IT Group SA		81,086		5,852,796
Banco Bilbao Vizcaya Argentaria SA		1,244,126		10,624,949
Banco de Sabadell SA		978,926		1,946,619
Banco Santander SA		3,003,429		19,760,113
Bankia SA		187,877		899,478
Bankinter SA		127,076		1,206,094
CaixaBank SA		676,032		3,157,010
Enagas SA		40,604		1,163,837
Endesa SA		61,814		1,325,310
Ferrovial SA		91,359		2,076,146
Gas Natural SDG SA		63,126		1,459,183
Grifols SA		57,949		1,699,618
Iberdrola SA		1,054,117		8,176,964
Industria de Diseno Textil SA		202,311		7,056,050
Mapfre SA		194,652		625,951
Red Electrica Corp. SA		83,161		1,868,376
Repsol SA		230,528		4,081,682
Siemens Gamesa Renewable Energy SA (a)		45,639		626,402
Telefonica SA		847,352		8,267,191
				89,095,073
SWEDEN — 2.6%
Alfa Laval AB		52,525		1,243,279
Assa Abloy AB Class B		191,389		3,983,229
Atlas Copco AB Class B		75,152		2,887,673
Atlas Copco AB Class A		125,018		5,408,412
Boliden AB		52,379		1,795,120
Electrolux AB Series B		47,866		1,545,158
Essity AB Class B (b)		110,939		3,157,104
Getinge AB Class B		40,027		581,767
Hennes & Mauritz AB Class B (a)		175,863		3,636,471
Hexagon AB Class B		46,996		2,358,554
Husqvarna AB Class B		80,679		769,591
ICA Gruppen AB		13,522		491,994
Industrivarden AB Class C		33,726		834,139
Investor AB Class B		85,140		3,890,183
Kinnevik AB Class B		41,412		1,402,571

See accompanying notes to financial statements.

10

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
L E Lundbergforetagen AB Class B		6,443	$	482,389
Lundin Petroleum AB (b)		37,913		869,626
Nordea Bank AB		560,919		6,802,963
Sandvik AB		210,064		3,686,864
Securitas AB Class B		56,568		989,379
Skandinaviska Enskilda Banken AB Class A		280,059		3,294,007
Skanska AB Class B		65,960		1,369,551
SKF AB Class B		69,664		1,550,263
Svenska Handelsbanken AB Class A		285,536		3,912,933
Swedbank AB Class A		166,074		4,014,173
Swedish Match AB		35,442		1,399,066
Tele2 AB Class B		66,816		822,602
Telefonaktiebolaget LM Ericsson Class B		572,975		3,768,513
Telia Co. AB		471,238		2,103,664
Volvo AB Class B		294,117		5,485,394
				74,536,632
SWITZERLAND — 8.6%
ABB, Ltd. (b)		346,613		9,290,438
Adecco Group AG		31,402		2,402,277
Baloise Holding AG		8,886		1,383,280
Barry Callebaut AG (b)		370		771,893
Chocoladefabriken Lindt & Spruengli AG (e)		202		1,233,350
Chocoladefabriken Lindt & Spruengli AG (e)		19		1,374,259
Cie Financiere Richemont SA		97,429		8,828,097
Clariant AG (b)		42,909		1,199,867
Coca-Cola HBC AG (b)		34,872		1,141,589
Credit Suisse Group AG (b)		457,349		8,166,108
Dufry AG (b)		6,194		920,996
EMS-Chemie Holding AG		1,508		1,006,623
Ferguson PLC		47,078		3,394,397
Geberit AG		6,937		3,054,558
Givaudan SA		1,705		3,940,133
Glencore PLC		2,293,815		12,101,535
Julius Baer Group, Ltd. (b)		43,297		2,648,026
Kuehne + Nagel International AG		10,530		1,863,956
LafargeHolcim, Ltd. (b)		84,562		4,768,273
Lonza Group AG (b)		14,225		3,843,451
Nestle SA		580,890		49,952,367
Novartis AG		415,480		35,131,403
Pargesa Holding SA		7,650		663,340
Partners Group Holding AG (a)		3,313		2,270,994
Roche Holding AG		131,249		33,199,465
Schindler Holding AG (e)		7,266		1,672,410
Schindler Holding AG (e)		3,944		892,408
SGS SA		1,034		2,696,146
Sika AG		406		3,224,669
Sonova Holding AG		9,633		1,504,508
STMicroelectronics NV		121,744		2,661,393
Straumann Holding AG		1,917		1,354,392
Swatch Group AG (e)		5,708		2,327,716
Swatch Group AG (e)		10,693		817,474
Swiss Life Holding AG (b)		5,951		2,106,819
Swiss Prime Site AG (b)		13,273		1,225,829
Swiss Re AG		58,079		5,438,388
Swisscom AG		4,843		2,576,804
UBS Group AG		681,400		12,544,193
Vifor Pharma AG		9,106		1,167,100
Zurich Insurance Group AG		28,474		8,666,381
				245,427,305
UNITED KINGDOM — 15.9%
3i Group PLC		187,920		2,322,197
Admiral Group PLC		38,319		1,037,757
Anglo American PLC (a)		251,462		5,270,859
Ashtead Group PLC		93,849		2,528,928
Associated British Foods PLC		68,731		2,621,919
AstraZeneca PLC		238,705		16,536,126
Auto Trader Group PLC (d)		186,149		888,396
Aviva PLC		747,159		5,119,293
Babcock International Group PLC		52,900		504,859
BAE Systems PLC		585,880		4,541,306
Barclays PLC		3,181,114		8,739,903
Barratt Developments PLC		199,693		1,749,122
Berkeley Group Holdings PLC		24,323		1,380,936
BP PLC		3,697,004		26,140,862
British American Tobacco PLC ADR		36,937		2,474,410
British American Tobacco PLC		394,461		26,776,401
British Land Co. PLC REIT		181,550		1,698,267
BT Group PLC		1,604,494		5,897,191
Bunzl PLC		66,032		1,850,809
Burberry Group PLC		79,547		1,928,321
Capita PLC		126,181		684,302
Carnival PLC		34,822		2,304,398
Centrica PLC		1,011,695		1,879,047
CNH Industrial NV		187,371		2,513,196
Cobham PLC (b)		475,515		812,428
Coca-Cola European Partners PLC		38,766		1,546,864
Compass Group PLC		298,537		6,461,534
ConvaTec Group PLC (d)		272,159		756,575
Croda International PLC		23,514		1,407,211
DCC PLC		16,993		1,716,000
Diageo PLC		470,015		17,325,896
Direct Line Insurance Group PLC		242,834		1,253,860
easyJet PLC		28,875		571,848
Experian PLC		174,197		3,855,152
Fiat Chrysler Automobiles NV		202,945		3,633,513
G4S PLC		281,805		1,017,835
GKN PLC		328,929		1,421,198
GlaxoSmithKline PLC		927,367		16,590,703
Hammerson PLC REIT		141,199		1,044,808
Hargreaves Lansdown PLC		50,551		1,232,259
HSBC Holdings PLC		3,760,890		39,016,369
IMI PLC		55,269		996,619
Imperial Brands PLC		179,685		7,695,560

See accompanying notes to financial statements.

11

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Security Description	Shares		Value
InterContinental Hotels Group PLC		32,572	$	2,079,275
International Consolidated Airlines Group SA		120,036		1,042,992
Intertek Group PLC		30,015		2,107,285
ITV PLC		648,668		1,452,239
J Sainsbury PLC		294,197		960,711
John Wood Group PLC		123,503		1,085,946
Johnson Matthey PLC		35,957		1,495,705
Kingfisher PLC		425,481		1,943,698
Land Securities Group PLC REIT		134,175		1,829,572
Legal & General Group PLC		1,100,422		4,068,332
Lloyds Banking Group PLC		13,589,257		12,511,378
London Stock Exchange Group PLC		60,263		3,092,082
Marks & Spencer Group PLC		313,922		1,336,823
Meggitt PLC		143,867		938,439
Merlin Entertainments PLC (d)		137,489		674,951
Micro Focus International PLC		5,191		177,168
Micro Focus International PLC ADR (b)		78,500		2,636,815
National Grid PLC		622,473		7,368,782
Next PLC		27,661		1,693,183
Old Mutual PLC		948,003		2,971,346
Pearson PLC		147,939		1,472,916
Persimmon PLC		58,120		2,152,665
Prudential PLC		481,562		12,413,054
Randgold Resources, Ltd.		18,413		1,845,696
Reckitt Benckiser Group PLC		124,438		11,646,993
RELX NV		183,953		4,233,372
RELX PLC		201,787		4,746,902
Rio Tinto PLC		229,987		12,264,148
Rio Tinto, Ltd.		78,079		4,629,679
Rolls-Royce Holdings PLC		312,793		3,583,917
Royal Bank of Scotland Group PLC (b)		649,420		2,442,238
Royal Mail PLC		163,901		1,003,270
RSA Insurance Group PLC		194,021		1,660,071
Sage Group PLC		204,129		2,203,561
Schroders PLC		23,769		1,130,517
Segro PLC REIT		177,778		1,411,671
Severn Trent PLC		45,524		1,331,415
Shire PLC ADR		8,899		1,380,413
Shire PLC		144,384		7,617,302
Sky PLC (b)		198,013		2,710,764
Smith & Nephew PLC		162,523		2,831,706
Smiths Group PLC		75,338		1,518,511
SSE PLC		186,957		3,338,360
St James’s Place PLC		100,823		1,672,120
Standard Chartered PLC (b)		620,388		6,546,831
Standard Life Aberdeen PLC		512,030		3,024,103
Taylor Wimpey PLC		621,897		1,736,383
Tesco PLC		1,566,498		4,434,175
Travis Perkins PLC		47,042		997,177
Unilever NV		304,397		17,162,991
Unilever PLC		236,321		13,188,530
United Utilities Group PLC		124,075		1,392,253
Vodafone Group PLC		5,029,263		15,987,836
Weir Group PLC		41,826		1,201,196
Whitbread PLC		32,926		1,781,626
Wm Morrison Supermarkets PLC		443,341		1,318,805
Worldpay Group PLC (d)		365,813		2,108,076
WPP PLC		233,859		4,242,290
				453,575,292
TOTAL COMMON STOCKS (Cost $2,388,274,017)				2,819,123,315
RIGHTS — 0.0% (c)
AUSTRALIA — 0.0% (c)
Transurban Group (expiring 1/24/18) (b) (f)		30,744		—
SPAIN — 0.0%
Repsol SA (expiring 1/10/18) (b)		230,528		104,914
TOTAL RIGHTS (Cost $105,657)				104,914
SHORT-TERM INVESTMENTS — 1.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (g) (h)		18,151,852		18,151,852
State Street Navigator Securities Lending Government Money Market Portfolio (g) (i)		15,887,666		15,887,666
TOTAL SHORT-TERM INVESTMENTS (Cost $34,039,518)				34,039,518
TOTAL INVESTMENTS — 99.9% (Cost $2,422,419,192)				2,853,267,747
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				2,401,248
NET ASSETS — 100.0%			$	2,855,668,995

See accompanying notes to financial statements.

12

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

(a) All or a portion of the shares of the security are on loan at December 31, 2017.

(b) Non-income producing security.

(c) Amount is less than 0.05% of net assets.

(d) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(f) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of December 31, 2017, total aggregate fair value of securities is $0, representing 0.0% of net assets.

(g) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(h) The rate shown is the annualized seven-day yield at December 31, 2017.

(i) Investment of cash collateral for securities loaned.

ADR = American Depositary Receipt

REIT = Real Estate Investment Trust

SDR = Swedish Depositary Receipt

At December 31, 2017, open futures contracts purchased were as follows:

Futures Contracts	Expiration Date		Number of Contracts		Notional Amount		Value		Unrealized Appreciation/ Depreciation
Mini MSCI EAFE (long)		03/16/2018		392	$	39,135,374	$	40,092,709	$	957,335

During the period ended December 31, 2017, average notional value related to futures contracts was $45,335,129 or less than 0.5% of net assets.

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	198,051,334	$	—	$	—	$	198,051,334
Austria		7,209,073		—		—		7,209,073
Belgium		31,007,678		—		—		31,007,678
Chile		1,046,282		—		—		1,046,282
China		1,244,982		—		—		1,244,982
Denmark		51,033,959		—		—		51,033,959
Finland		26,085,946		—		—		26,085,946
France		292,191,068		—		—		292,191,068
Germany		278,432,466		—		—		278,432,466
Hong Kong		98,017,079		—		—		98,017,079
Ireland		16,386,929		—		—		16,386,929
Israel		12,688,522		—		—		12,688,522
Italy		57,050,691		—		—		57,050,691
Japan		678,759,674		—		—		678,759,674
Luxembourg		9,387,518		—		—		9,387,518
Macau		1,374,321		—		—		1,374,321
Mexico		811,255		—		—		811,255

See accompanying notes to financial statements.

13

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
Netherlands	$	127,457,724	$	—		$	—	$	127,457,724
New Zealand		4,899,643		—			—		4,899,643
Norway		18,777,531		—			—		18,777,531
Portugal		4,053,844		—			—		4,053,844
Singapore		37,210,006		—			—		37,210,006
South Africa		3,311,488		—			—		3,311,488
Spain		89,095,073		—			—		89,095,073
Sweden		74,536,632		—			—		74,536,632
Switzerland		245,427,305		—			—		245,427,305
United Kingdom		453,575,292		—			—		453,575,292
Rights
Australia		—		0	(a)		—		—
Spain		104,914		—			—		104,914
Short-Term Investments		34,039,518		—			—		34,039,518
TOTAL INVESTMENTS	$	2,853,267,747	$	0		$	—	$	2,853,267,747
OTHER FINANCIAL INSTRUMENTS:
Futures Contracts (b)		957,335		—			—		957,335
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	2,854,225,082	$	0		$	—	$	2,854,225,082

(a) Fund held a Level 2 security that was valued at $0 at December 31, 2017.

(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

	Number of Shares Held at 12/31/16		Value at 12/31/16		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		—	$	—	$	315,175,695	$	297,023,843	$	—	$	—		18,151,852	$	18,151,852	$	198,326	$	—
State Street Institutional U.S. Government Money Market Fund, Premier Class		39,019,139		39,019,139		142,528,365		181,547,504		—		—		—		—		74,812		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		314,621,605		298,733,939		—		—		15,887,666		15,887,666		325,219		—
Total			$	39,019,139	$	772,325,665	$	777,305,286	$	—	$	—			$	34,039,518	$	598,357	$	—

See accompanying notes to financial statements.

14

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017

ASSETS
Investments in unaffiliated issuers, at value*	$	2,819,228,229
Investments in affiliated issuers, at value		34,039,518
Total Investments		2,853,267,747
Foreign currency, at value		3,692,017
Cash at broker		1,411,201
Receivable from broker — variation margin on open futures contracts		743,445
Receivable for investments sold		5,300,354
Dividends receivable — unaffiliated issuers		2,643,531
Dividends receivable — affiliated issuers		29,328
Securities lending income receivable — affiliated issuers		29,527
Receivable for foreign taxes recoverable		4,761,759
Prepaid expenses and other assets		535
TOTAL ASSETS		2,871,879,444
LIABILITIES
Payable upon return of securities loaned		15,887,666
Payable for investments purchased		17,148
Advisory fee payable		263,130
Custodian fees payable		7
Professional fees payable		42,002
Accrued expenses and other liabilities		496
TOTAL LIABILITIES		16,210,449
NET ASSETS	$	2,855,668,995
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	2,388,379,674
Investments in affiliated issuers		34,039,518
Total cost of investments	$	2,422,419,192
Foreign currency, at cost	$	3,653,117
* Includes investments in securities on loan, at value	$	22,298,565

See accompanying notes to financial statements.

15

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

STATEMENT OF OPERATIONS

For the Year Ended December 31, 2017

INVESTMENT INCOME
Interest income — unaffiliated issuers	$	19,487
Dividend income — unaffiliated issuers		67,780,096
Dividend income — affiliated issuers		273,138
Dividend income — non-cash transactions		10,153,739
Unaffiliated securities lending income		54,430
Affiliated securities lending income		325,219
Foreign taxes withheld		(5,891,943	)
TOTAL INVESTMENT INCOME (LOSS)		72,714,166
EXPENSES
Advisory fee		2,718,445
Administration and custody fees		568,072
Trustees’ fees and expenses		56,576
Professional fees and expenses		160,902
Printing and postage fees		4,311
Insurance expense		725
Miscellaneous expenses		17,314
TOTAL EXPENSES		3,526,345
NET INVESTMENT INCOME (LOSS)		69,187,821
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(3,034,605	)
Foreign currency transactions		228,380
Futures contracts		8,476,422
Net realized gain (loss)		5,670,197
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		468,293,641
Foreign currency translations		378,967
Futures contracts		1,161,075
Net change in unrealized appreciation/depreciation		469,833,683
NET REALIZED AND UNREALIZED GAIN (LOSS)		475,503,880
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	544,691,701

See accompanying notes to financial statements.

16

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended 12/31/17			For the Period 4/29/16* - 12/31/16
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	69,187,821		$	27,767,161
Net realized gain (loss)		5,670,197			(3,801,537	)
Net change in unrealized appreciation/depreciation		469,833,683			(37,745,625	)
Net increase (decrease) in net assets resulting from operations		544,691,701			(13,780,001	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Contributions		562,875,573			1,989,271,659
In-kind subscriptions (Note 1)		—			31,466,206
Withdrawals		(232,962,957	)		(25,893,186	)
Net increase (decrease) in net assets from capital transactions		329,912,616			1,994,844,679
Net increase (decrease) in net assets during the period		874,604,317			1,981,064,678
Net assets at beginning of period		1,981,064,678			—
NET ASSETS AT END OF PERIOD	$	2,855,668,995		$	1,981,064,678

* Inception date.

See accompanying notes to financial statements.

17

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

FINANCIAL HIGHLIGHTS

	Year Ended 12/31/17			For the Period 4/29/16* - 12/31/16
Total return (a)		25.25	%		1.00	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,855,669		$	1,981,065
Ratios to average net assets:
Total expenses		0.14	%		0.15	% (b)
Net investment income (loss)		2.80	%		2.57	% (b)
Portfolio turnover rate		4	%		1	% (c)

* Commencement of operations.

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

(b) Annualized.

(c) Not annualized.

See accompanying notes to financial statements.

18

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STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

NOTES TO FINANCIAL STATEMENTS

December 31, 2017

1. Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of six (6) investment portfolios (together, the “Portfolios”). Financial statements herein relate only to the State Street International Developed Equity Index Portfolio (the “Portfolio”), which commenced operations on April 29, 2016.

The Portfolio was formed on April 29, 2016, with an initial in-kind contribution of securities from the State Street Hedged International Developed Equity Index Fund (the “Fund”), as part of a tax-free in-kind transaction in which the Fund contributed equity securities into the Portfolio, and a cash contribution of $10,010 from SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). The transaction consisted of 929 securities totaling $1,275,794,840 at market value, and included $31,466,206 in unrealized depreciation.

The Portfolio is classified as a diversified investment company under the 1940 Act.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

• Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy and procedures approved by the Board.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Various inputs are used in determining the value of the Portfolio’s investments.

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Portfolio’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

Distributions received by the Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

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

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

Foreign Currency Translation

The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

3. Derivative Financial Instruments

Futures Contracts

The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.

For the period ended December 31, 2017, the Portfolio entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.

The following summarizes the value of the Portfolio’s derivative instruments as of December 31, 2017, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:

	Asset Derivatives
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts (a)	$	—	$	—	$	—	$	956,426	$	—	$	956,426

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

(a) Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin.

	Net Realized Gain (Loss)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	8,476,422	$	—	$	8,476,422
	Net Change in Unrealized Appreciation (Depreciation)
	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	—	$	—	$	—	$	1,161,075	$	—	$	1,161,075

4. Fees and Transactions with Affiliates

Advisory Fee

The Portfolio has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Portfolio, the Portfolio pays the Adviser a management fee at an annual rate of 0.11% of its average daily net assets.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:

Asset Levels	Annual Percentage of Average Aggregate Monthly Net  Assets
First $400 million	0.03%
Next $15 billion	0.02%
Thereafter	0.01%
Minimum annual fee	$150,000

The minimum fee will be calculated by multiplying the minimum per Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios.

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Portfolio, acts as the securities lending agent for the Portfolio, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:

	Purchases		Sales
State Street International Developed Equity Index Portfolio	$	520,172,193	$	98,653,414

7. Income Tax Information

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

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street International Developed Equity Index Portfolio	$	2,438,442,167	$	489,951,985	$	74,169,979	$	415,782,006

8. Securities Lending

The Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

The Portfolio will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolio may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Portfolio will bear the risk of loss of any cash collateral that it may invest. The Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2017, and the value of the invested cash collateral are disclosed in the Portfolio’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio, and the Portfolio does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolio’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of December 31, 2017:

Fund	Market Value of Securities on Loan		Cash Collateral Received		Non Cash Collateral Received		Total Collateral Received
State Street International Developed Equity Index Portfolio	$	22,298,565	$	15,887,666	$	7,541,264	$	23,428,930

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2017:

		Remaining Contractual Maturity of the Agreements As of December 31, 2017
Fund	Securities Lending Transactions	Overnight and Continuous		<30 Days		Between 30 & 90 Days		>90 Days		Total Borrowings		Gross Amount of Recognized Liabilities for Securities Lending Transactions
State Street International Developed Equity Index Portfolio	Common Stocks	$	15,887,666	$	—	$	—	$	—	$	15,887,666	$	15,887,666

9. Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolio and other affiliated Funds participated in a $360 million revolving credit facility.

The Portfolio had no outstanding loans as of December 31, 2017.

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NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017

10. Risks

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolio trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

11. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

State Street International Developed Equity Index Portfolio:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of State Street International Developed Equity Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended December 31, 2017 and the period from April 29, 2016 (commencement of operations) through December 31, 2016 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of State Street International Developed Equity Index Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2017, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for the year ended December 31, 2017 and the period from April 29, 2016 (commencement of operations) through December 31, 2016, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provides a reasonable basis for our opinion.

We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.

Boston, Massachusetts

February 28, 2018

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OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

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

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street International Developed Equity Index Portfolio		0.14	%	$	1,078.10	$	0.73	$	1,024.50	$	0.71

(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Trustees
Independent Trustees
Michael F. Holland c/o SSGA Funds Management, Inc. 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).	67	Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds.
Patrick J. Riley c/o SSGA Funds Management, Inc. 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.	73	Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present).
William L. Marshall c/o SSGA Funds Management, Inc. 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	July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, 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.	73	None.
Richard D. Shirk c/o SSGA Funds Management, Inc. 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).	73	1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc.
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair 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); Honorary Consul for Monaco in Boston (2015-present).	73	Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009).

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OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During the Past Five Years and Relevant Experience	Number of Funds in Fund Complex Overseen by Trustee†	Other Directorships Held by Trustee During the Past Five Years
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee	Term: Indefinite Elected: 1/14	Retired; 1999 to 2016, 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).	67	None.
Douglas T. Williams c/o SSGA Funds Management, Inc. 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	Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998).	73	None.
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Appointed: 7/16	Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016).	73	None.
Interested Trustees(1)
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Appointed: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012), Principal, State Street Global Advisors (2000-2005).	234	SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present).

† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.

(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust.

The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 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. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present).*

30

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961	Treasurer	Term: Indefinite Elected: 2/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015).
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President and Deputy Treasurer	Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Deputy Treasurer	Term: Indefinite Elected: 2/16	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).*
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968	Deputy Treasurer	Term: Indefinite Elected: 11/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016).
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966	Deputy Treasurer	Term: Indefinite Elected: 11/16	Vice President at State Street Global Advisors (July 2016-present); Deputy Treasurer of Elfun Funds (July 2016-present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011-present); Treasurer of Elfun Funds (June 2011-July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011-July 2016).
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972	Assistant Treasurer	Term: Indefinite Elected: 2/16	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980	Assistant Treasurer	Term: Indefinite Elected: 5/17	Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015).
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973	Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer	Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010-May 2013).

31

STATE STREET MASTER FUNDS

STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Name, Address and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Managing Director and Managing Counsel, State Street Global Advisors (2011-present)*; Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011).
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976	Secretary	Term: Indefinite Elected: 9/16	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983	Assistant Secretary	Term: Indefinite Elected: 5/16	Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012).

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

Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.

32

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

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, Sub-Administrator and Transfer Agent of the 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 02199

SSIITHIDEAR

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

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 the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the 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 period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Registrant’s Code during the covered period. A copy of the Registrant’s Code is filed as Exhibit 13(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 (the “Audit Committee”): Messrs. Michael F. Holland and 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 amended, 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 the Board.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees

For the fiscal years ended December 31, 2017 and December 31, 2016, 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 $762,976 and $670,525, respectively.

(b) Audit-Related Fees

For the fiscal years ended December 31, 2017 and December 31, 2016, 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

For the fiscal years ended December 31, 2017 and December 31, 2016, 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 were $310,696 and $288,632, respectively.

(d) All Other Fees

For the fiscal years ended December 31, 2017 and December 31, 2016, 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, 2017 and December 31, 2016, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to 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 Audit Committee were approximately $7,777,372 and $7,777,372, 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 sub-adviser 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, 2017 and December 31, 2016, 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 $28,718,894 and $26,000,000, 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 Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable to the Registrant.

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.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective 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, 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, as amended.

(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 last fiscal quarter of the period covered by this Form N-CSR filing that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable.

(b) Not applicable.

Item 13. 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, as amended, 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 8, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, 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 8, 2018

By:	/s/ Bruce S. Rosenberg
	Bruce S. Rosenberg
	Treasurer (Principal Financial and Accounting Officer)
Date:	March 8, 2018

EX-99.CODEETH

Exhibit 13(a)(1)

SSGA FUNDS

STATE STREET MASTER FUNDS

STATE STREET INSTITUTIONAL INVESTMENT TRUST

ELFUN TRUSTS

ELFUN INTERNATIONAL EQUITY FUND

ELFUN INCOME FUND

ELFUN TAX EXEMPT INCOME FUND

ELFUN DIVERSIFIED FUND

ELFUN GOVERNMENT MONEY MARKET FUND

STATE STREET NAVIGATOR SECURITIES LENDING TRUST

CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND

PRINCIPAL FINANCIAL OFFICERS

As of September 20, 2017

I. Covered Officers/Purpose of the Code

This Code of Conduct (the “Code”) shall apply to the SSGA Funds’, State Street Master Funds’, State Street Institutional Investment Trust’s, Elfun Trusts’, Elfun International Equity Fund’s, Elfun Income Fund’s, Elfun Tax Exempt Income Fund’s, Elfun Diversified Fund’s, Elfun Government Money Market Fund’s, and State Street Navigator Securities Lending 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.

¹  Unless otherwise noted, the singular term “Trust” used throughout this document means each of SSGA Funds, State Street Master Funds, State Street Institutional Investment Trust, Elfun Trusts, Elfun International Equity Fund, Elfun Income Fund, Elfun Tax Exempt Income Fund, Elfun Diversified Fund, Elfun Government Money Market Fund and State Street Navigator Securities Lending Trust.

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 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 gifts, excluding branded promotional items valued at U.S. $50 or less;

• 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, sub-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:

Ellen M. Needham, President and Principal Executive Officer

Bruce S. Rosenberg, Treasurer and Principal Financial Officer

EXHIBIT B

INITIAL CERTIFICATION FORM

This is to certify that I have read and understand the Code of Conduct for Principal Executive and Principal Financial Officers of SSGA Funds, State Street Master Funds, State Street Institutional Investment Trust, Elfun Trusts, Elfun International Equity Fund, Elfun Income Fund, Elfun Tax Exempt Income Fund, Elfun Diversified Fund, Elfun Government Money Market Fund and State Street Navigator Securities Lending Trust 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 Conduct for Principal Executive and Principal Financial Officers of SSGA Funds, State Street Master Funds, State Street Institutional Investment Trust, Elfun Trusts, Elfun International Equity Fund, Elfun Income Fund, Elfun Tax Exempt Income Fund, Elfun Diversified Fund, Elfun Government Money Market Fund and State Street Navigator Securities Lending Trust (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 policies and procedures set forth in the Code during my tenure as a Covered Officer, as defined in the Code.

Please sign your name here:                                                                          

Please print your name here:                                                                         

Please date here:                                                                                             

EX-99.CERT

Exhibit 13(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 most recent 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 28, 2018

/s/ Ellen M. Needham

Ellen M. Needham

President (Principal Executive Officer) of the State Street Institutional Investment Trust

CERTIFICATIONS

I, Bruce S. Rosenberg, 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 most recent 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 28, 2018

/s/ Bruce S. Rosenberg

Bruce S. Rosenberg

Treasurer (Principal Financial and Accounting Officer) of the State Street Institutional Investment Trust

EX-99.906CERT

Exhibit 13(b)

EX-99-906CERT

Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

I, Ellen M. Needham, President and I, Bruce S. Rosenberg, 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 of the Trust for the period ended December 31, 2017 (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 8, 2018
By:	/s/ Bruce S. Rosenberg
	Bruce S. Rosenberg
	Treasurer (Principal Financial and Accounting Officer) of the State Street Institutional Investment Trust
Date:	March 8, 2018