<PAGE>
STATE STREET
NAVIGATOR SECURITIES LENDING
PRIME PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 1999
<PAGE>
- -------------------------------------------------------------------------------
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SEMI-ANNUAL REPORT AS OF JUNE 30, 1999
- -------------------------------------------------------------------------------
MANAGEMENT DISCUSSION AND ANALYSIS
The State Street Navigator Securities Lending Prime Portfolio (the "Fund") is
a special purpose money market fund. One hundred percent of Fund balances are
derived from the collateral received from securities lending. The Fund is
managed consistently with the objective of providing liquidity and preserving
capital while investing in high quality instruments and offering competitive
returns.
INDUSTRY OVERVIEW
The concern about global economic problems from the fourth quarter 1998 was
magnified at the beginning of the first quarter 1999 when Brazil allowed its
currency, the real, to float freely in mid January. It heightened some of the
risks for Brazil, such as higher interest rates, and for all of Latin America
in the form of a recession. A recession would likely have a negative impact
on U.S. economic growth since Latin America accounts for one-fifth of the
U.S. export market. This fear of slower growth was quickly reversed in
February as the U.S. economy continued to show signs of strength and low
inflation. Retail sales continued to fuel growth as consumers, benefiting
from an abundance of jobs, gains in financial markets, low interest rates,
and low inflation, continued to spend. The Federal Open Market Committee
(FOMC) met twice during the first quarter (February 2-3 and March 30),
leaving the Fed Funds rate unchanged at both meetings.
Strong economic data was reported to continue into the second quarter,
causing concern at the Fed that inflationary pressures might increase. This
concern was reinforced when the CPI was reported to have risen by 0.7 percent
in April. With oil prices rising, the U.S. economy growing at a 4.1 percent
annual rate for the first quarter, and unemployment at 4.3 percent (a 29 year
low), it came as no surprise that the Fed changed its bias from neutral to
tightening at the May 18 FOMC meeting. Then, after much speculation, the Fed
raised short-term interest rates by 25 basis points on June 30.
INVESTMENT OVERVIEW
We focused our strategy throughout the first half of the year on purchasing
during market weakness while keeping liquidity within the target range. The
anticipation of multiple interest rate increases caused the yield curve to
steepen, creating opportunities to gain yield, especially in 9 to 12 month
maturities. We purchased one to three month maturities for liquidity
management, using a break-even analysis that took into account various
interest rate scenarios. One-year floaters, indexed off of one-month and
three-month LIBOR, were also purchased. At the time of publication, the
percentage of floating rate securities was approximately 40 percent of the
portfolio. The portfolio's weighted average maturity increased from 43 days
on December 31, 1998 to 61 days on June 30, 1999 as major market crises
dissipated and the need for maintaining higher levels of short-term liquidity
decreased.
We will continue to manage the Fund to meet its objectives of offering
competitive returns, adequate liquidity and a stable net asset value.
Maria F. Pino, CFA
Portfolio Manager
August 15, 1999
1
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (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 - 32.21%
ASSET BACKED SECURITIES DIVERSIFIED - 17.72%
Asset Securitization Cooperative Corp. 5.180% 07/21/1999 $ 59,000,000 $ 58,830,211
Asset Securitization Cooperative Corp. 4.940% 07/23/1999 60,000,000 59,818,866
Asset Securitization Cooperative Corp. 4.880% 07/29/1999 202,000,000 201,233,298
Asset Securitization Cooperative Corp. 4.920% 07/29/1999 30,000,000 29,885,200
Asset Securitization Cooperative Corp. 5.060% 08/18/1999 50,000,000 49,662,667
Ciesco LP 5.180% 07/27/1999 40,000,000 39,850,356
Delaware Funding Corp. 4.930% 07/12/1999 39,000,000 38,941,251
Delaware Funding Corp. 5.060% 07/23/1999 35,353,000 35,243,680
Edison Asset Securitization 5.050% 07/15/1999 44,743,000 44,655,130
Edison Asset Securitization 4.960% 07/16/1999 33,270,000 33,201,242
Edison Asset Securitization 4.960% 07/19/1999 53,000,000 52,868,560
Edison Asset Securitization 5.000% 07/19/1999 78,000,000 77,805,000
Edison Asset Securitization 4.950% 07/21/1999 50,000,000 49,862,500
Edison Asset Securitization 5.070% 08/18/1999 30,000,000 29,797,200
Falcon Asset Securitization 4.940% 07/08/1999 24,750,000 24,726,226
Falcon Asset Securitization 4.960% 07/09/1999 34,343,000 34,305,147
Falcon Asset Securitization 5.150% 07/09/1999 10,000,000 9,988,556
Falcon Asset Securitization 4.960% 07/12/1999 14,000,000 13,978,782
Falcon Asset Securitization 4.960% 07/13/1999 20,000,000 19,966,933
Falcon Asset Securitization 5.050% 07/15/1999 56,000,000 55,890,022
Falcon Asset Securitization 4.920% 07/19/1999 75,000,000 74,815,500
Falcon Asset Securitization 5.150% 07/23/1999 7,368,000 7,344,811
Falcon Asset Securitization 4.930% 07/26/1999 15,000,000 14,948,646
Falcon Asset Securitization 5.180% 07/29/1999 34,000,000 33,863,018
Old Line Funding Corp. 4.930% 07/08/1999 114,000,000 113,890,718
Old Line Funding Corp. 4.930% 07/12/1999 28,505,000 28,462,061
Old Line Funding Corp. 4.930% 07/14/1999 98,922,000 98,745,891
Old Line Funding Corp. 4.990% 07/15/1999 77,000,000 76,850,577
Old Line Funding Corp. 5.050% 07/21/1999 25,000,000 24,929,861
Old Line Funding Corp. 5.070% 08/02/1999 17,000,000 16,923,387
Old Line Funding Corp. 4.980% 09/07/1999 26,000,000 25,755,427
Preferred Receivables Funding Corp. 4.930% 07/12/1999 57,745,000 57,658,014
Preferred Receivables Funding Corp. 4.810% 07/13/1999 23,000,000 22,963,123
Preferred Receivables Funding Corp. 4.950% 07/14/1999 56,255,000 56,154,444
Preferred Receivables Funding Corp. 5.010% 07/15/1999 35,000,000 34,931,808
Preferred Receivables Funding Corp. 4.920% 07/29/1999 30,000,000 29,885,200
Thunder Bay Funding Inc. 4.830% 07/08/1999 35,000,000 34,967,129
Thunder Bay Funding Inc. 4.930% 07/09/1999 15,361,000 15,344,171
Thunder Bay Funding Inc. 5.000% 07/14/1999 34,025,000 33,963,566
Thunder Bay Funding Inc. 5.020% 07/14/1999 27,615,000 27,564,940
Thunder Bay Funding Inc. 4.830% 07/19/1999 20,173,000 20,124,283
----------------
1,810,597,402
----------------
BANK FOREIGN - 7.42%
Abbey National North America 4.860% 08/25/1999 40,000,000 39,703,000
Abbey National North America 4.900% 11/15/1999 37,000,000 36,310,053
Den Danske Corp. 4.810% 08/12/1999 65,000,000 64,635,242
Den Danske Corp. 4.835% 11/10/1999 40,000,000 39,290,866
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (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 - 32.21% (Continued)
BANK FOREIGN - 7.42% (continued)
Nordbanken North America, Inc. 4.810% 08/09/1999 $ 50,000,000 $ 49,739,458
Swedbank Inc. 4.820% 08/10/1999 150,000,000 149,196,667
UBS Finance Delaware, Inc. 4.910% 12/20/1999 92,000,000 89,841,782
Woolwich Building Society 4.820% 08/05/1999 100,000,000 99,531,389
Woolwich Building Society 4.860% 12/17/1999 125,000,000 122,148,125
Woolwich Building Society 5.280% 03/10/2000 50,000,000 48,144,666
Woolwich Building Society 5.330% 03/10/2000 20,000,000 19,250,839
----------------
757,792,087
----------------
BANK REGIONAL - 0.48%
Wells Fargo & Company 4.800% 09/10/1999 50,000,000 49,526,666
----------------
FINANCE CAPTIVE - 5.14%
Diageo Capital Plc 4.810% 08/02/1999 100,000,000 99,572,445
Diageo Capital Plc 4.820% 08/03/1999 77,000,000 76,659,788
Ford Motor Credit Company 4.810% 07/23/1999 200,000,000 199,412,111
Sears Roebuck Acceptance Corp. 5.040% 08/23/1999 50,000,000 49,629,000
Sears Roebuck Acceptance Corp. 5.040% 08/24/1999 50,000,000 49,622,000
Sears Roebuck Acceptance Corp. 5.040% 08/25/1999 50,000,000 49,615,000
----------------
524,510,344
----------------
FINANCE NON-CAPTIVE DIVERSIFIED - 0.96%
General Electric Capital Corp. 4.800% 11/10/1999 100,000,000 98,240,000
----------------
TELECOMMUNICATIONS - 0.49%
AT&T Corp. 4.800% 07/29/1999 50,000,000 49,813,333
----------------
TOTAL COMMERCIAL PAPER 3,290,479,832
----------------
CORPORATE OBLIGATIONS - 23.76%
BANK FOREIGN - 2.35%
Abbey National Treasury Services (a) 4.785% 07/26/1999 75,000,000 74,995,657
Abbey National Treasury Services 5.075% 01/13/2000 50,000,000 49,993,529
Abbey National Treasury Services 4.950% 02/03/2000 75,000,000 74,971,909
Abbey National Treasury Services 5.255% 03/01/2000 40,000,000 39,988,424
----------------
239,949,519
----------------
BANK MULTINATIONAL - 1.62%
BankBoston NA (a) 4.885% 08/10/1999 50,000,000 49,997,074
Chase Manhattan Corp. (a) 5.324% 06/19/2000 25,000,000 25,048,260
Morgan J P & Co., Inc. (a) 4.858% 09/15/1999 90,000,000 89,999,533
----------------
165,044,867
----------------
BANK REGIONAL - 3.09%
NationsBank NA (a) 5.170% 10/12/1999 10,000,000 10,006,449
NationsBank NA (a) 5.190% 02/09/2000 10,000,000 10,013,886
US Bancorp (a) 4.950% 10/08/1999 32,000,000 31,997,435
US Bancorp (a) 4.934% 11/02/1999 24,000,000 23,997,595
Wells Fargo & Company 4.900% 10/06/1999 90,000,000 89,990,763
Wells Fargo & Company 4.887% 06/13/2000 150,000,000 149,917,226
----------------
315,923,354
----------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (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 - 23.76% (CONTINUED)
INDUSTRIAL - 1.71%
Du Pont E I De Nemours & Company 5.235% 03/03/2000 $ 75,000,000 $ 74,973,251
Emerson Electric Company 5.125% 03/17/2000 100,000,000 99,936,911
-----------------
174,910,162
-----------------
FINANCE CAPTIVE - 3.54%
Caterpillar Financial Services (a) 5.159% 09/24/1999 15,000,000 14,999,651
Ford Motor Credit Company 8.375% 01/15/2000 23,533,000 23,935,472
Ford Motor Credit Company (a) 4.950% 05/05/2000 150,000,000 150,000,000
General Motors Acceptance Corp. (a) 4.914% 03/02/2000 25,000,000 24,992,640
General Motors Acceptance Corp. (a) 4.960% 07/20/2000 37,500,000 37,480,176
IBM Credit Corporation 5.150% 04/14/2000 50,000,000 49,980,898
Xerox Credit Corporation 5.113% 03/21/2000 30,000,000 29,977,726
Xerox Credit Corporation (a) 4.870% 04/06/2000 30,000,000 29,981,956
----------------
361,348,519
----------------
FINANCE NON-CAPTIVE DIVERSIFIED - 7.98%
Associates Corporation North America 6.875% 02/15/2000 32,000,000 32,255,867
Associates Corporation North America (a) 4.904% 03/20/2000 127,500,000 127,429,764
Beneficial Corp. (a) 4.995% 05/04/2000 40,000,000 40,004,132
CIT Group Holdings, Inc. 5.625% 01/18/2000 50,000,000 50,029,671
CIT Group Holdings, Inc. (a) 4.883% 05/15/2000 95,000,000 94,944,932
General Electric Capital Corp. (a) 4.950% 04/12/2000 50,000,000 50,000,000
General Electric Capital Corp. (a) 4.945% 05/03/2000 50,000,000 50,000,000
General Electric Capital Corp. (a) 4.950% 05/12/2000 75,000,000 75,000,000
Household Finance Corp. (a) 5.224% 07/26/1999 40,000,000 40,000,000
Household Finance Corp. (a) 5.040% 04/17/2000 200,000,000 199,902,218
Household Finance Corp. 5.678% 07/07/2000 55,000,000 54,972,580
----------------
814,539,164
----------------
INSURANCE - 0.49%
General American Life Insurance (a)(c) 5.020% 12/29/1999* 50,000,000 50,000,000
----------------
TECHNOLOGY - 0.54%
IBM Corp. (a) 4.965% 10/21/1999 30,000,000 29,998,612
Xerox Corp. 5.635% 07/14/2000 25,000,000 24,976,300
----------------
54,974,912
----------------
TELECOMMUNICATIONS - 2.44%
GTE Corp. (a) 4.985% 06/02/2000 250,000,000 249,748,447
----------------
TOTAL CORPORATE OBLIGATIONS 2,426,438,944
----------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------ ---- ---- ------ -----
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 21.17%
BANK FOREIGN - 16.52%
Abbey National Treasury Services 5.050% 11/12/1999 $ 40,000,000 $ 40,000,000
Bank of Montreal (Chicago) 5.045% 11/12/1999 45,000,000 44,994,425
Bank of Nova Scotia 4.900% 07/08/1999 30,000,000 30,000,000
Bank of Nova Scotia 5.055% 11/12/1999 40,000,000 39,995,752
Bank of Scotland 4.921% 08/23/1999 77,000,000 76,992,295
Bank of Scotland 4.925% 02/03/2000 100,000,000 99,979,656
Bank of Scotland 4.971% 02/23/2000 50,000,000 49,987,257
Bank of Scotland 4.864% 04/13/2000 100,000,000 99,945,109
Barclays Bank Plc 5.080% 01/14/2000 50,000,000 50,000,000
Barclays Bank Plc (a) 4.890% 05/12/2000 100,000,000 99,949,760
Barclays Bank Plc 5.210% 05/15/2000 50,000,000 49,976,873
Bayerische Landesbank 5.650% 07/23/1999 15,000,000 14,999,070
Canadian Imperial Bank Commerce 5.025% 01/27/2000 38,000,000 37,992,620
Canadian Imperial Bank Commerce 5.120% 02/23/2000 50,000,000 49,987,488
Canadian Imperial Bank Commerce 5.180% 03/28/2000 50,000,000 49,978,568
Canadian Imperial Bank Commerce (a) 4.875% 04/07/2000 100,000,000 99,944,393
Canadian Imperial Bank Commerce 5.029% 06/05/2000 50,000,000 49,986,347
Credit Communal De Belgique 4.870% 08/05/1999 100,000,000 100,000,000
Den Danske Corp. (a) 4.950% 05/22/2000 50,000,000 49,986,876
Deutsche Bank AG 4.870% 07/12/1999 150,000,000 150,000,909
ING Bank Amsterdam 4.890% 08/17/1999 35,000,000 35,000,903
National Westminster Bank 4.980% 01/07/2000 90,000,000 89,981,920
Svenska Handelsbanken, Inc. 5.695% 07/30/1999 18,000,000 17,999,178
Svenska Handelsbanken, Inc. 5.000% 09/02/1999 150,000,000 150,000,000
Toronto Dominion Bank 5.030% 11/10/1999 28,000,000 27,996,094
Toronto Dominion Bank 5.015% 02/03/2000 50,000,000 49,991,399
WESTPAC Banking Corp 5.010% 02/04/2000 32,000,000 31,992,654
----------------
1,687,659,546
----------------
BANK MULTINATIONAL - 0.24%
BankBoston Corp. 5.080% 09/14/1999 25,000,000 24,999,486
----------------
BANK REGIONAL - 4.41%
Branch Bank & Trust Company (a) 5.100% 02/01/2000 30,000,000 29,994,776
First Tennessee Bank NA 5.040% 07/21/1999 90,000,000 90,000,000
First Tennessee Bank NA 5.040% 07/22/1999 60,000,000 60,000,000
Fleet National Bank 4.940% 07/15/1999 50,000,000 50,000,000
Fleet National Bank (a) 5.030% 10/22/1999 70,000,000 70,000,000
Harris Trust & Savings Bank 5.050% 08/17/1999 150,000,000 150,000,000
----------------
449,994,776
----------------
TOTAL CERTIFICATES OF DEPOSIT 2,162,653,808
----------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (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 - 17.08%
BANK FOREIGN - 2.20%
Bank of Nova Scotia 5.150% 09/24/1999 $ 150,000,000 $ 150,000,000
WESTPAC Banking Corp. (a) 4.890% 04/17/2000 75,000,000 74,964,319
----------------
224,964,319
----------------
BANK MULTINATIONAL - 2.01%
BankBoston NA (a) 4.880% 07/23/1999 20,000,000 19,999,287
BankBoston NA 5.248% 05/24/2000 20,000,000 20,026,200
First National Bank Chicago 4.870% 08/11/1999 125,000,000 125,000,000
First National Bank Chicago 5.090% 04/20/2000 40,000,000 39,981,375
----------------
205,006,862
----------------
BANK REGIONAL - 12.68%
Banc One Corp. (a) 5.021% 06/01/2000 50,000,000 50,000,000
Branch Bank & Trust Company (a) 5.180% 02/18/2000 75,000,000 74,990,747
Branch Bank & Trust Company (a) 5.080% 03/08/2000 75,000,000 74,969,762
Comerica Bank (Detroit, Michigan) (a) 4.911% 07/23/1999 15,000,000 14,999,286
Comerica Bank (Detroit, Michigan) (a) 4.875% 02/04/2000 10,000,000 9,997,073
Comerica Bank (Detroit, Michigan) (a) 4.873% 03/07/2000 75,000,000 74,974,836
First Union National Bank (a) 4.970% 03/10/2000 100,000,000 100,000,000
First Union National Bank, North Carolina (a) 5.058% 11/17/1999 80,000,000 80,000,000
Fleet National Bank (a) 4.989% 11/04/1999 75,000,000 74,987,055
Key Bank NA (a) 4.899% 07/21/1999 70,000,000 69,997,123
Key Bank NA (a) 5.033% 06/26/2000 25,000,000 24,985,420
NationsBank NA (a) 4.830% 07/19/1999 100,000,000 99,998,197
NationsBank NA 5.080% 08/24/1999 175,000,000 175,000,000
NationsBank NA 5.000% 01/05/2000 85,000,000 84,991,552
PNC Bank NA, Pittsburgh (a) 4.814% 07/02/1999 50,000,000 49,999,892
PNC Bank NA, Pittsburgh (a) 4.875% 08/16/1999 50,000,000 49,995,353
PNC Bank NA, Pittsburgh (a) 5.098% 01/31/2000 110,000,000 109,974,549
PNC Bank NA, Pittsburgh (a) 4.840% 03/01/2000 50,000,000 49,980,247
Wachovia Bank NA 4.900% 01/10/2000 25,000,000 24,984,203
----------------
1,294,825,295
----------------
INSURANCE - 0.19%
USAA Capital Corp. (b) 6.570% 09/20/1999 20,000,000 20,058,095
----------------
TOTAL BANK NOTES 1,744,854,571
----------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (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 - 4.70%
BANK FOREIGN - 2.45%
Dresdner Bank, Grand Cayman 5.250% 07/01/1999 100,000,000 $ 100,000,000
Dresdner Bank, Grand Cayman 5.375% 07/01/1999 150,000,000 150,000,000
----------------
250,000,000
----------------
BANK REGIONAL - 1.47%
Republic National Bank 5.375% 07/01/1999 150,000,000 150,000,000
----------------
BANK MUTINATIONAL - 0.78%
Citibank Corp 4.875% 07/01/1999 79,951,000 79,951,000
----------------
TOTAL TIME DEPOSITS 479,951,000
----------------
ASSET BACKED - 0.73%
INSURANCE - 0.73%
Tiers Trust (a)(b) 4.988% 10/15/1999 75,000,000 74,977,917
-----------------
TOTAL ASSET BACKED 74,977,917
-----------------
TOTAL INVESTMENTS -- 99.65%
10,179,356,072
OTHER ASSETS LESS LIABILITIES -- 0.35% 35,691,570
===================
NET ASSETS -- 100.00% $10,215,047,642
===================
</TABLE>
(a) Floating Rate Note - Interest rate shown is rate in effect at June 30, 1999.
(b) Pursuant to Rule 144A of the Securities Act of 1933, these securities may be
resold in transactions exempt from registration, normally to qualified
institutional buyers. At June 30, 1999, these securities amounted to
$95,036,012 or 0.93% of the Fund's net assets.
(c) Illiquid security restricted as to resale, represents 0.49% of the Fund's
net assets, with an acquisition date of December 30, 1998 and acquisition
cost of $50,000,000.
* Variable maturity date. Date shown is the date in effect at June 30, 1999.
The Fund has the ability to put the security back to the issuer with 30
days' notice.
+ See note 2 to the financial statements.
See Notes to Financial Statements.
7
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments in securities, at amortized cost.......................................... $ 10,179,356,072
Cash.................................................................................. 722
Interest receivable................................................................... 57,431,309
Deferred organization expense......................................................... 73,284
Prepaid insurance..................................................................... 69,364
----------------
Total Assets........................................................................ 10,236,930,751
----------------
LIABILITIES:
Payable for fund shares repurchased................................................... 20,139,896
Dividend payable...................................................................... 1,409,015
Advisory fee payable.................................................................. 149,822
Administration fee payable............................................................ 111,965
Custodian fee payable................................................................. 61,660
Other accrued expenses and liabilities................................................ 10,751
----------------
Total Liabilities................................................................... 21,883,109
----------------
NET ASSETS............................................................................ $ 10,215,047,642
================
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value;
10,215,047,516 shares issued and outstanding........................................ $ 10,215,047
Capital paid in excess of par......................................................... 10,204,832,469
Accumulated net realized gain on investments.......................................... 126
----------------
NET ASSETS............................................................................ $ 10,215,047,642
================
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, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest.............................................................................. $ 231,282,887
----------------
EXPENSES:
Advisory fee.......................................................................... 807,127
Administration fee.................................................................... 298,248
Custodian fee......................................................................... 118,550
Insurance expense..................................................................... 50,101
Transfer agent fee.................................................................... 37,657
Trustees fees......................................................................... 26,511
Amortization of organization expenses................................................. 19,419
Audit fee............................................................................. 7,159
Legal fee............................................................................. 4,959
Miscellaneous expense................................................................. 697
----------------
Total expenses................................................................... 1,370,428
----------------
Net investment income................................................................. 229,912,459
----------------
NET REALIZED GAIN ON INVESTMENTS
Net realized gain on investments...................................................... -
----------------
Net increase in net assets resulting from operations ................................ $ 229,912,459
================
</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, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------ -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income.................................................. $ 229,912,459 $ 404,730,602
Net realized gain on investments....................................... -- 1,771
---------------- ----------------
Net increase in net assets resulting from operations .................. 229,912,459 404,732,373
---------------- -------------------
DISTRIBUTIONS FROM:
Net investment income.................................................. (229,912,459) (404,730,602)
---------------- ----------------
FROM FUND SHARE TRANSACTIONS (AT CONSTANT $1.00 PER SHARE):
Proceeds from shares sold.............................................. 38,490,467,050 46,918,705,958
Cost of redemptions.................................................... (35,067,706,728) (45,717,831,566)
---------------- ----------------
Net increase in net assets from Fund share transactions .......... 3,422,760,322 1,200,874,392
---------------- ----------------
Net increase in net assets............................................. 3,422,760,322 1,200,876,163
NET ASSETS:
Beginning of period.................................................... 6,792,287,320 5,591,411,157
---------------- ----------------
End of period.......................................................... $ 10,215,047,642 $ 6,792,287,320
================ ================
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED MAY 15, 1996*
JUNE 30, 1999 YEAR ENDED YEAR ENDED THROUGH
(UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997 DECEMBER 31, 1996
----------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period...... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ----------- ----------- -----------
Net investment income................. 0.0247 0.0556 0.0560 0.0342
Distributions from net
investment income.................. (0.0247) (0.0556) (0.0560) (0.0342)
---------- ----------- ----------- -----------
Net increase from investment operations... 0.0000 0.0000 0.0000 0.0000
---------- ----------- ----------- -----------
Net asset value, end of period............ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== =========== =========== ===========
TOTAL INVESTMENT RETURN (a)............... 2.50% 5.70% 5.75% 3.47%
RATIOS AND SUPPLEMENTAL DATA:
Ratio of expenses to average net assets... 0.03%(b) 0.03% 0.04% 0.06%(b)(c)
Ratio of net investment income to
average net assets.................... 4.98%(b) 5.56% 5.62% 5.47%(b)(c)
Net assets, end of period (in millions)... $10,215 $6,792 $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.
See Notes to Financial Statements.
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.
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.
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.
12
<PAGE>
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, 1999, 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, 1999, there were two shareholders who each owned over 5% of the
Fund's outstanding shares, amounting to 15.90% 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.
13
<PAGE>
TRUSTEES
Michael A. Jesse
George J. Sullivan Jr.
Peter Tufano
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
Two Heritage Drive
North Quincy, MA 02171
INDEPENDENT ACCOUNTANTS
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.
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
State Street Bank and Trust Company
Global Securities Lending
Two International Place
Boston, MA 02110
