<PAGE>
-----------------------------------------------------------------
STATE STREET NAVIGATOR SECURITIES
LENDING PRIME PORTFOLIO
-----------------------------------------------------------------
SEMI-ANNUAL REPORT
(UNAUDITED)
JUNE 30, 1998
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SEMI-ANNUAL REPORT TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MANAGEMENT DISCUSSION AND ANALYSIS
The State Street Navigator Prime Portfolio (the "Fund") is a special purpose
money market fund. 100% of Fund balances are derived from the collateral from
securities lending. Due to the potentially volatile nature of securities lending
balances, the Fund was managed consistently with the objective of providing
liquidity and preserving capital, while investing in high quality instruments
and offering competitive returns.
The US economy in the first quarter and early part of the second remained
resilient. First quarter GDP was 5.4%, unemployment continued to trend lower and
automobile/home sales were strong. This coupled with consistently low consumer
and producer prices moved the Federal Reserve to an asymmetric bias towards
tightening at their March meeting. During this period any over reaction by the
markets was quickly corrected through comments by the Federal Reserve. The US
markets did not feel the Asian crisis at this time.
As the second quarter progressed, effects from the continued instability in Asia
began to hit the US economy. Specifically, the concerns with political
uncertainty in Japan and constant threat of insolvency in their banking system
had the greatest impact as many US economists have revised second quarter GDP
forecasts to 0% from the 2% to 3% range. More recent economic data has confirmed
an eminent slowdown as housing starts are lower, a higher inventory of unsold
homes, slower manufacturing and capacity utilization is down from its first
quarter peak. The market currently anticipates that the Federal Reserve will be
on hold for the remainder of 1998.
The investment strategy was consistent during the first half of 1998. The
Navigator Securities Lending Prime Portfolio's average days to maturity was in
the 50 day range which was consistent with IBC's average. The money market yield
curve continued to flatten as the yield differential between federal funds and
12 month securities decreased from 25 basis points to 15 basis points. Duration
extensions were made during any rate backup in the market.
We will continue to manage the Fund to meet objectives of offering competitive
returns, adequate liquidity and a stable net asset value.
Robert P. Fort
Portfolio Manager
August 6, 1998
1
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
COMMERCIAL PAPER - 39.53%
ASSET BACKED SECURITIES DIVERSIFIED - 11.49%
Asset Securitization Cooperative Corp. 5.520% 07/23/1998 $ 31,000,000 $ 30,895,427
Asset Securitization Cooperative Corp. 5.510% 08/26/1998 100,000,000 99,142,889
Asset Securitization Cooperative Corp. 5.510% 09/04/1998 50,000,000 49,502,569
Ciesco LP 5.510% 08/25/1998 50,000,000 49,579,097
Delaware Funding Corp. 5.520% 07/08/1998 30,000,000 29,967,800
Delaware Funding Corp. 5.530% 07/08/1998 24,742,000 24,715,395
Delaware Funding Corp. 5.510% 07/16/1998 25,278,000 25,219,966
Delaware Funding Corp. 5.580% 07/17/1998 30,571,000 30,495,184
Delaware Funding Corp. 5.490% 07/20/1998 25,356,000 25,282,531
Delaware Funding Corp. 5.550% 07/27/1998 61,977,000 61,728,576
Falcon Asset Securitization 5.530% 07/09/1998 58,890,000 58,817,631
Falcon Asset Securitization 5.580% 07/20/1998 175,550,000 175,033,005
Falcon Asset Securitization 5.550% 07/22/1998 50,000,000 49,838,125
Falcon Asset Securitization 5.510% 08/26/1998 40,000,000 39,657,155
Preferred Receivables Funding Corp. 5.490% 07/06/1998 41,750,000 41,718,166
Preferred Receivables Funding Corp. 5.530% 07/06/1998 47,335,000 47,298,644
Preferred Receivables Funding Corp. 5.550% 08/04/1998 40,000,000 39,790,333
--------------
878,682,493
--------------
AUTOMOTIVE - 1.31%
Daimler Benz North America 5.490% 07/20/1998 43,988,000 43,860,545
Daimler Benz North America 5.480% 07/21/1998 56,300,000 56,128,598
--------------
99,989,143
--------------
BANK FOREIGN - 11.50%
Abbey Treasury Centre USA Inc. 5.510% 09/01/1998 14,700,000 14,560,505
Cregem North America, Inc. 5.490% 07/08/1998 30,000,000 29,967,975
Cregem North America, Inc. 5.500% 07/17/1998 75,000,000 74,816,666
Cregem North America, Inc. 5.500% 08/07/1998 30,000,000 29,830,417
Den Danske Corp. 5.500% 07/13/1998 35,000,000 34,935,834
Den Danske Corp. 5.530% 07/13/1998 45,000,000 44,917,050
Den Danske Corp. 5.510% 09/08/1998 25,000,000 24,735,979
Deutsche Bank AG 5.490% 07/15/1998 55,000,000 54,882,575
International Nederlanden US Funding
Corp. 5.480% 07/15/1998 100,000,000 99,786,889
Nordbanken North America, Inc. 5.480% 07/06/1998 50,000,000 49,961,944
SBC Finance Delaware, Inc. 5.530% 08/24/1998 200,000,000 198,341,000
Svenska Handelsbanken, Inc. 5.500% 07/29/1998 45,000,000 44,807,500
Toronto Dominion Holdings 5.470% 07/09/1998 54,000,000 53,934,360
UBS Finance Delaware, Inc. 5.530% 08/07/1998 100,000,000 99,431,639
Unifunding, Inc. 5.500% 07/20/1998 25,000,000 24,927,431
--------------
879,837,764
--------------
</TABLE>
See notes to financial statements.
2
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
BANK MULTINATIONAL - 4.10%
Chase Manhattan Corp. 5.500% 07/06/1998 $ 100,000,000 $ 99,923,611
Chase Manhattan Corp. 5.510% 08/04/1998 100,000,000 99,479,611
Morgan J P & Co., Inc. 5.380% 07/17/1998 50,000,000 49,880,445
Morgan J P & Co., Inc. 5.520% 08/18/1998 15,000,000 14,889,600
Morgan J P & Co., Inc. 5.510% 08/19/1998 50,000,000 49,625,014
-------------
313,798,281
-------------
BEVERAGES - 0.45%
Coca Cola Enterprises, Inc. 5.530% 08/11/1998 25,000,000 24,842,548
Coca Cola Enterprises, Inc. 5.520% 09/09/1998 10,000,000 9,892,667
-------------
34,735,215
-------------
FINANCE CAPTIVE - 6.36%
Diageo Capital Plc 5.510% 08/20/1998 30,877,000 30,640,705
Ford Motor Credit Company 5.520% 07/02/1998 110,000,000 109,983,134
Ford Motor Credit Company 5.470% 07/10/1998 50,000,000 49,931,625
Ford Motor Credit Company 5.480% 07/10/1998 50,000,000 49,931,500
General Motors Acceptance Corp. 5.460% 10/19/1998 200,000,000 196,663,333
Sears Roebuck Acceptance Corp. 5.540% 07/21/1998 50,000,000 49,846,111
-------------
486,996,408
-------------
FINANCE NON-CAPTIVE DIVERSIFIED - 3.25%
General Electric Capital Corp. 5.460% 07/31/1998 50,000,000 49,772,500
General Electric Capital Corp. 5.500% 08/03/1998 100,000,000 99,495,833
General Electric Capital Corp. 5.500% 10/26/1998 50,000,000 49,106,250
General Electric Capital Corp. (a) 5.610% 05/04/1999 50,000,000 50,000,000
-------------
248,374,583
-------------
PHARMACEUTICALS - 1.07%
Glaxo Wellcome, Inc. 5.470% 07/09/1998 54,000,000 53,934,360
Glaxo Wellcome, Inc. 5.510% 08/28/1998 28,000,000 27,751,438
-------------
81,685,798
-------------
TOTAL COMMERCIAL PAPER 3,024,099,685
-------------
</TABLE>
See notes to financial statements.
3
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
CERTIFICATE OF DEPOSITS - 28.66%
BANK FOREIGN - 23.56%
Abbey National Treasury Services 5.570% 07/16/1998 $ 100,000,000 $ 100,000,000
Abbey National Treasury Services 5.610% 08/03/1998 80,000,000 80,000,000
Abbey National Treasury Services 5.500% 02/02/1999 75,000,000 74,948,911
Australia & New Zealand Banking 5.580% 09/14/1998 48,000,000 47,997,038
Barclays Bank Plc 5.750% 10/30/1998 10,000,000 10,000,533
Barclays Bank Plc 5.670% 12/16/1998 25,000,000 24,993,266
Barclays Bank Plc 5.560% 02/25/1999 15,000,000 14,994,347
Barclays Bank Plc (a) 5.530% 06/01/1999 60,000,000 59,951,628
Bayerische Hypotheken-und Wechsel Bank 5.850% 08/07/1998 25,000,000 24,998,303
Bayerische Landesbank 5.860% 07/17/1998 26,500,000 26,500,382
Bayerische Landesbank 5.775% 07/27/1998 50,000,000 49,999,512
Bayerische Landesbank (a) 5.516% 05/10/1999 75,000,000 74,949,302
Bayerische Landesbank (a) 5.521% 06/29/1999 100,000,000 99,921,801
Bayerische Vereinsbank AG 5.850% 12/18/1998 89,000,000 88,964,324
Canadian Imperial Bank Commerce 5.940% 10/23/1998 25,000,000 25,008,782
Den Danske Corp. (a) 5.586% 04/15/1999 50,000,000 49,992,244
Deutsche Bank AG 5.690% 01/07/1999 75,000,000 75,007,152
Deutsche Bank AG 5.740% 04/15/1999 50,000,000 49,986,774
Kredietbank N. V. 5.695% 01/07/1999 50,000,000 49,988,778
Norddeutsche Landes Bank 5.530% 02/11/1999 50,000,000 49,982,256
Royal Bank Canada 5.780% 07/31/1998 55,000,000 55,000,654
Royal Bank Canada (a) 5.545% 02/11/1999 50,000,000 49,977,500
Societe Generale 5.560% 07/08/1998 50,000,000 50,000,000
Sudwest Deutsche Landesbank 5.580% 09/08/1998 40,000,000 39,997,929
Svenska Handelsbanken, Inc. 5.520% 07/13/1998 70,000,000 69,871,200
Svenska Handelsbanken, Inc. 5.770% 08/05/1998 24,000,000 23,996,839
Svenska Handelsbanken, Inc. 5.820% 04/30/1999 50,000,000 49,972,202
Svenska Handelsbanken, Inc. (a) 5.536% 06/02/1999 30,000,000 29,979,468
Svenska Handelsbanken, Inc. (a) 5.541% 06/08/1999 50,000,000 49,965,472
Svenska Handelsbanken, Inc. (a) 5.541% 06/09/1999 8,000,000 7,994,459
Swedbank Sparbanken Svenge 5.580% 07/08/1998 100,000,000 100,000,000
Westdeutsche Landesbank 6.250% 07/01/1998 197,121,000 197,121,000
-------------
1,802,062,056
-------------
BANK MULTINATIONAL - 0.59%
Chase Manhattan Corp. 5.720% 05/17/1999 45,000,000 44,969,786
-------------
BANK REGIONAL - 4.51%
Banc One Corp. 5.745% 05/17/1999 50,000,000 49,964,251
Corestates Bank N A Pennsylvania (a) 5.601% 04/23/1999 50,000,000 50,000,000
Fleet National Bank (a) 5.565% 03/19/1999 50,000,000 49,979,063
Fleet National Bank (a) 5.750% 03/19/1999 80,000,000 79,969,292
National City Bank (a) 5.546% 03/08/1999 25,000,000 24,989,879
National City Bank (a) 5.546% 03/08/1999 50,000,000 49,979,758
Nationsbank London 5.600% 09/08/1998 40,000,000 40,000,000
-------------
344,882,243
-------------
TOTAL CERTIFICATE OF DEPOSITS 2,191,914,085
-------------
</TABLE>
See notes to financial statements.
4
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
BANK NOTES - 19.97%
BANK FOREIGN - 1.17%
National Australia Bank 5.735% 10/13/1998 $ 25,000,000 $ 24,994,887
Toronto Dominion Bank New York Branch 5.710% 05/24/1999 45,000,000 44,965,266
WESTPAC Banking Corp. 5.730% 06/09/1999 20,000,000 19,987,402
-------------
89,947,555
-------------
BANK MULTINATIONAL - 2.03%
First National Bank of Chicago 5.730% 05/07/1999 10,000,000 9,994,307
Morgan Guaranty Trust Company of New York 5.710% 01/08/1999 45,000,000 45,005,644
Morgan J P & Co., Inc. (a) 5.607% 04/05/1999 100,000,000 99,977,646
-------------
154,977,597
-------------
BANK REGIONAL - 16.77%
Branch Banking & Trust Company (a) 5.690% 12/16/1998 50,000,000 49,995,510
Comerica Bank (Detroit, Michigan) (a) 5.561% 11/09/1998 50,000,000 49,989,265
Comerica Bank (Detroit, Michigan) (a) 5.566% 02/02/1999 80,000,000 79,981,484
Comerica Bank (Detroit, Michigan) (a) 5.553% 06/10/1999 50,000,000 49,967,636
Fleet National Bank (a) 5.550% 05/11/1999 25,000,000 24,985,306
First Bank NA (a) 5.532% 07/15/1998 100,000,000 99,997,027
Key Bank of New York (a) 5.520% 08/20/1998 85,000,000 84,992,045
Key Bank of New York (a) 5.518% 09/23/1998 70,000,000 69,987,321
Key Bank of New York (a) 5.750% 02/22/1999 100,000,000 99,958,986
Key Bank of New York (a) 5.505% 05/12/1999 50,000,000 49,972,384
NationsBank NA 5.520% 07/28/1998 50,000,000 50,000,000
NationsBank NA (a) 5.563% 12/21/1998 50,000,000 49,982,910
Old Kent Bank Trust
Company Grand Rapids Michigan (a) 5.630% 10/14/1998 25,000,000 24,997,836
Old Kent Bank Trust
Company Grand Rapids Michigan (a) 5.650% 11/19/1998 50,000,000 49,992,467
PNC Bank NA, Pittsburgh (a) 5.740% 07/02/1998 40,000,000 39,999,902
PNC Bank NA, Pittsburgh (a) 5.620% 08/28/1998 40,000,000 39,996,882
PNC Bank NA, Pittsburgh (a) 5.600% 09/23/1998 40,000,000 39,993,713
PNC Bank NA, Pittsburgh (a) 5.570% 01/29/1999 75,000,000 74,965,996
PNC Bank NA, Pittsburgh (a) 5.550% 05/21/1999 69,000,000 68,954,927
PNC Bank NA, Pittsburgh (a) 5.540% 06/11/1999 45,000,000 44,961,719
PNC Bank NA, Pittsburgh (a) 5.526% 07/02/1999 50,000,000 49,960,622
United States Bank National Association(a) 5.522% 10/21/1998 52,000,000 51,988,305
United States Bank National Association(a) 5.522% 11/16/1998 37,000,000 36,989,134
-------------
1,282,611,377
-------------
TOTAL BANK NOTES 1,527,536,529
-------------
</TABLE>
See notes to financial statements.
5
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
CORPORATE OBLIGATIONS - 8.56%
BANK FOREIGN - 1.63%
Abbey National Treasury Services 5.875% 12/22/1998 $ 50,000,000 $ 50,003,965
Abbey National Treasury Services (a) 5.536% 02/17/1999 75,000,000 74,967,538
-------------
124,971,503
-------------
BANK MULTINATIONAL - 0.66%
Morgan J P & Co., Inc. 5.750% 03/10/1999 50,000,000 50,000,000
-------------
BANK REGIONAL - 2.49%
NationsBank NA (a) 5.638% 12/01/1998 40,000,000 40,000,000
NationsBank NA (a) 5.638% 12/14/1998 30,000,000 30,000,000
Wells Fargo & Company (a) 5.553% 10/05/1998 50,000,000 49,991,835
Wells Fargo & Company (a) 5.543% 10/20/1998 70,000,000 69,984,827
-------------
189,976,662
-------------
ENTERTAINMENT - 0.65%
Walt Disney Co. (a) 5.615% 02/10/1999 50,000,000 49,992,500
-------------
FINANCE CAPTIVE - 0.65%
Ford Motor Credit Company (a) 5.700% 12/23/1998 20,000,000 19,996,299
General Motors Acceptance Corp. (a) 5.568% 09/21/1998 30,000,000 29,992,376
-------------
49,988,675
-------------
FINANCE NON-CAPTIVE DIVERSIFIED - 2.48%
Avco Financial Services, Inc. (a) 5.639% 11/17/1998 25,000,000 25,000,000
Associates Corporation North America (a) 5.790% 01/04/1999 100,000,000 99,991,451
CIT Group Holdings, Inc. (a) 5.640% 11/30/1998 25,000,000 24,994,923
Household Finance Corp. (a) 5.648% 07/26/1999 40,000,000 40,000,000
-------------
189,986,374
-------------
TOTAL CORPORATE OBLIGATIONS 654,915,714
-------------
</TABLE>
See notes to financial statements.
6
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
TIME DEPOSITS - 1.24%
BANK FOREIGN - 1.24%
National Bank Of Canada 5.580% 09/08/1998 $ 95,000,000 $ 95,000,000
--------------
ASSET BACKED - 0.98%
INSURANCE - 0.98%
Tiers Trust (a)(b) 5.686% 10/15/2003 75,000,000 75,000,000
--------------
TOTAL INVESTMENTS - 98.94% 7,568,466,013
OTHER ASSETS LESS LIABILITIES - 1.06% 80,969,684
--------------
NET ASSETS - 100.00% $7,649,435,697
--------------
--------------
</TABLE>
+ See Note 2 to financial statements.
(a) Floating Rate Note
(b) Pursuant to Rule 144A of the Securities Act of 1933, this security may be
resold in transactions exempt from registration, normally to qualified
institutional buyers. At June 30, 1998 this security amounted to $75,000,000 or
0.98% of the Fund's net assets.
See notes to financial statements.
7
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments in securities, at amortized cost. . . . . . . . $ 7,568,466,013
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
Interest receivable . . . . . . . . . . . . . . . . . . . . 47,143,001
Receivable for investments sold . . . . . . . . . . . . . . 35,407,482
Deferred organization expense . . . . . . . . . . . . . . . 112,444
Prepaid insurance . . . . . . . . . . . . . . . . . . . . . 74,161
---------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . 7,651,203,137
---------------
LIABILITIES:
Dividend payable. . . . . . . . . . . . . . . . . . . . . . 1,178,802
Advisory fee payable. . . . . . . . . . . . . . . . . . . . 237,139
Administration fee payable. . . . . . . . . . . . . . . . . 92,570
Custodian fee payable . . . . . . . . . . . . . . . . . . . 79,212
Transfer agent fee payable. . . . . . . . . . . . . . . . . 20,887
Trustees fees payable . . . . . . . . . . . . . . . . . . . 3,593
Other accrued expenses and liabilities. . . . . . . . . . . 155,237
---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . 1,767,440
---------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . $ 7,649,435,697
---------------
---------------
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value;
7,649,456,068 shares issued and outstanding. . . . . . $ 7,649,456
Capital paid in excess of par . . . . . . . . . . . . . . . 7,641,806,613
Accumulated net realized loss on investments. . . . . . . . (20,372)
---------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . $ 7,649,435,697
---------------
Net asset value, offering, and redemption price per share . $ 1.00
---------------
</TABLE>
See notes to financial statements.
8
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . $ 206,390,440
---------------
EXPENSES:
Advisory fee. . . . . . . . . . . . . . . . . . . . . . . . 635,864
Administration fee. . . . . . . . . . . . . . . . . . . . . 249,110
Custodian fee . . . . . . . . . . . . . . . . . . . . . . . 105,672
Transfer agent fee. . . . . . . . . . . . . . . . . . . . . 49,720
Insurance expense . . . . . . . . . . . . . . . . . . . . . 37,729
Amortization of organization expenses . . . . . . . . . . . 19,420
Trustees fees . . . . . . . . . . . . . . . . . . . . . . . 18,048
Legal fee . . . . . . . . . . . . . . . . . . . . . . . . . 17,599
Audit fee . . . . . . . . . . . . . . . . . . . . . . . . . 12,723
Miscellaneous expense . . . . . . . . . . . . . . . . . . . 792
---------------
Total expenses . . . . . . . . . . . . . . . . . . . . 1,146,677
---------------
Net investment income . . . . . . . . . . . . . . . . . . . 205,243,763
---------------
NET REALIZED LOSS ON INVESTMENTS
Net realized loss on investments. . . . . . . . . . . . . . (18,727)
---------------
Net increase in net assets resulting from operations. . . . $ 205,225,036
---------------
---------------
</TABLE>
See notes to financial statements.
9
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS
ENDED JUNE 30, 1998 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997
----------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . $ 205,243,763 $ 247,470,322
Net realized loss on investments. . . . . . . . . . . . . . (18,727) (2,714)
--------------- ---------------
Net increase in net assets resulting from operations. . . . 205,225,036 247,467,608
--------------- ---------------
DISTRIBUTIONS FROM:
Net investment income. . . . . . . . . . . . . . . . . (205,243,763) (247,470,322)
--------------- ---------------
FROM FUND SHARE TRANSACTIONS (AT CONSTANT $1.00 PER SHARE):
Proceeds from shares sold . . . . . . . . . . . . . . . . . 22,046,117,618 27,389,659,804
Issued to shareholders in reinvestment of dividends . . . . 0 246,578,860
Cost of redemptions . . . . . . . . . . . . . . . . . . . . (19,988,074,351) (24,922,725,873)
--------------- ---------------
Net increase in net assets from Fund share transactions 2,058,043,267 2,713,512,791
--------------- ---------------
Net increase in net assets. . . . . . . . . . . . . . . . . 2,058,024,540 2,713,510,077
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . 5,591,411,157 2,877,901,080
--------------- ---------------
End of period . . . . . . . . . . . . . . . . . . . . . . . $ 7,649,435,697 $ 5,591,411,157
--------------- ---------------
--------------- ---------------
</TABLE>
See notes to financial statements.
10
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE PERIOD
ENDED MAY 15, 1996*
JUNE 30, 1998 YEAR ENDING THROUGH
(UNAUDITED) DECEMBER 31, 1997 DECEMBER 31, 1996
----------- ----------------- -----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period. . . . . . . $ 1.000 $ 1.000 $ 1.000
----------- ----------- -----------
Net investment income. . . . . . . . . . . . 0.0280 0.0560 0.0342
Distributions from net investment income . . (0.0280) (0.0560) (0.0342)
----------- ----------- -----------
Net increase from investment operations . . . . . 0.0000 0.0000 0.0000
----------- ----------- -----------
Net asset value, end of period. . . . . . . . . . $ 1.000 $ 1.000 $ 1.000
----------- ----------- -----------
----------- ----------- -----------
TOTAL INVESTMENT RETURN (a) . . . . . . . . . . . 2.83% 5.75% 3.47%
RATIOS AND SUPPLEMENTAL DATA:
Ratio of expenses to average net assets . . . . . 0.03%(b) 0.04% 0.06%(b)(c)
Ratio of net investment income to average net assets 5.65%(b) 5.62% 5.47%(b)(c)
Net assets, end of period (in millions) . . . . . $7,649 $5,591 $2,878
</TABLE>
* Commencement of investment operations.
(a) Total investment return is calculated assuming an initial investment made
at net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and
redemption on the last day of the period.
(b) Annualized.
(c) Net of administration waiver of expenses, amounting to less than 0.001% of
net assets for the period.
11
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND FUND DESCRIPTION
The State Street Navigator Securities Lending Trust (the "Trust") was
organized as a Massachusetts business trust on June 15, 1995 and is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Trust has
established three series of shares of beneficial interest representing
interests in three separate portfolios: State Street Navigator Securities
Lending Government Portfolio, State Street Navigator Securities Lending
Prime Portfolio and State Street Navigator Securities Lending Short-Term Bond
Portfolio. Currently, only State Street Navigator Securities Lending Prime
Portfolio (the "Fund") has commenced operations. The Fund is a money market
fund used as a vehicle for the investment of cash collateral received in
conjunction with securities loans under the Global Securities Lending Program
maintained by State Street Bank and Trust Company. The Fund's objective is
to maximize current income to the extent consistent with the preservation of
capital and liquidity. Participation in the Trust is limited to participants
in the Global Securities Lending Program.
Effective February 19, 1998, the name of the Trust was changed from Navigator
Securities Lending Trust and the name of the Fund was changed from Navigator
Securities Lending Prime Portfolio.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Fund:
SECURITY VALUATION: Investments are valued at amortized cost, which
approximates market value.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME: Securities transactions
are recorded on trade date. Realized gains and losses on sales of securities
are determined on the basis of identified cost. Interest income is recorded
on the accrual basis. Interest income is increased by accretion of discount
and reduced by amortization of premium.
REPURCHASE AGREEMENTS: A repurchase agreement customarily obligates the
seller at the time it sells securities to the Fund to repurchase the
securities at a mutually agreed upon price and time which, in the case of the
Fund's transactions, is within seven days. The total amount received by the
Fund on repurchase is calculated to exceed the price paid by the Fund,
reflecting an agreed upon market rate of interest for the period of time to
the settlement date, and is not necessarily related to the interest rate on
the underlying securities. The underlying securities are ordinarily United
States government securities, but may consist of other securities in which
the Fund is permitted to invest. Repurchase agreements are fully
collateralized at all times. The use of repurchase agreements involves
certain risks. For example, if the seller of securities under a repurchase
agreement defaults on its obligation to repurchase the underlying securities,
as a result of its bankruptcy or otherwise, the Fund will seek to dispose of
such securities, which action could involve costs or delays. The Fund may
enter into repurchase agreements maturing within seven days with domestic
dealers, banks and other financial institutions deemed to be creditworthy by
the Adviser, State Street global Advisors, a division of State Street Bank
and Trust Company.
ORGANIZATION EXPENSES: The Fund bears all costs in connection with its
organization. All such costs are being amortized using the straight line
method over a period of five years from commencement of the Fund's
operations.
FEDERAL INCOME TAXES: It is the policy of the Fund to distribute all of its
income within the prescribed time and otherwise comply with the provisions of
the Internal Revenue Code applicable to regulated investment companies. It
is also the intention of the Fund to distribute an amount sufficient to avoid
imposition of any excise tax under Section 4982 of the Internal Revenue Code
of 1986. Therefore, no provision has been made for federal taxes on income,
capital gains, and excise tax on income and capital gains.
12
<PAGE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and pays
dividends daily from net investment income. Distributions from long-term
capital gains, if any, will be made at least annually. Income distributions
and capital gain distributions are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosures of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those
estimates.
3. FEES AND COMPENSATION PAID TO AFFILIATES
State Street Bank and Trust Company serves as the Fund's Administrator,
Adviser, Custodian, and Transfer Agent.
ADVISORY FEE: Under the terms of the investment advisory agreement, the Fund
pays an advisory fee at an annual rate of .0175% of the Fund's average daily
net assets.
ADMINISTRATION FEE: Under the terms of the administration agreement, the
Fund pays an annual administration fee equal to .035% of the Fund's average
daily net assets up to $300 million, .020% of the next $300 million and .005%
in excess of $600 million, subject to certain minimum requirements.
CUSTODIAN FEE: Under the terms of the custody agreement, the Fund pays an
annual accounting fee equal to $30,000 plus a custodian fee equal to .0025%
of the Fund's average daily net assets up to $1 billion, .0020% on the next
$9 billion, and .0015% in excess of $10 billion, plus transaction costs.
TRANSFER AGENT FEE: Under the terms of the transfer agency agreement, the Fund
pays a monthly fee of $2,500 plus transaction costs.
4. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of the Fund's
Investment Adviser or Administrator $3,750 for each meeting of the Board of
Trustees. Each trustee is reimbursed for out of pocket and travel expenses.
5. INVESTMENT TRANSACTIONS
At June 30, 1998 the cost of investments for federal income tax purposes was the
same as the cost for financial reporting purposes.
6. BENEFICIAL INTEREST
At June 30, 1998 there were two shareholders who each owned over 5% of the
Fund's outstanding shares, amounting to 19.62% of total shares. A redemption
by one or more of the Fund's shareholders may cause the remaining
shareholders to bear proportionately higher operating expenses and otherwise
affect the Fund's future liquidity and investment operations.
7. INITIAL CAPITALIZATION AND OFFERING OF SHARES
During the period March 21, 1996 to May 15, 1996 the Fund had no operations
other than those related to organizational matters, including the initial
capital contribution of $9,900 and the issuance of 9,900 shares. There were
no additional transactions until regular investment operations commenced on
May 15, 1996.
13
<PAGE>
TRUSTEES
Michael A. Jessee
George J. Sullivan Jr.
Peter Tufano
ADMINISTRATOR, CUSTODIAN, LEGAL COUNSEL AND TRANSFER AGENT
State Street Bank and Trust Company
Two Heritage Drive
North Quincy, MA 02171
INDEPENDENT AUDITORS
PricewaterhouseCoopers LLP
160 Federal St.
Boston, MA 02110
LEGAL COUNSEL
Goodwin, Proctor & Hoar LLP
Exchange Place
Boston, MA 02109
This report is for shareholder information. This is not a prospectus
intended for use in the purchase or sale of Fund shares.
NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
State Street Bank and Trust Company
Global Securities Lending
Two International Place
Boston, MA 02110
