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As filed with the Securities and Exchange Commission on April 28, 2000
File No. 811-07567
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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-1A
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY
ACT OF 1940 |X|
Amendment No. 4 |X|
(Check appropriate box or boxes)
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STATE STREET NAVIGATOR SECURITIES LENDING TRUST
(Exact Name of Registrant as Specified in Charter)
Two International Place, 31st Floor, Boston, Massachusetts 02110
(Address of Principal Executive Offices) (Zip Code)
(617) 664-2500
(Registrant's Telephone Number, Including Area Code)
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Philip H. Newman, Assistant Secretary
Exchange Place
Boston, Massachusetts 02109
(Name and Address of Agent for Service)
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Copy to:
Julie Tedesco
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02105-1713
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EXPLANATORY NOTE
This Registration Statement on Form N-1A has been filed by the
Registrant pursuant to Section 8(b) of the Investment Company Act of 1940, as
amended (the "1940 Act"). However, beneficial interests in the Registrant are
not being registered under the Securities Act of 1933 (the "1933 Act") because
such interests will be issued solely in private placement transactions that do
not involve any "public offering" within the meaning of Section 4(2) of the 1933
Act. Investments in the Registrant may only be made by domestic investment
companies, institutional client separate accounts, 401(k) plan assets, common or
commingled trust funds or collective investment trusts or similar organizations
or entities that are "accredited investors" within the meaning of Regulation D
under the 1933 Act. This Registration Statement does not constitute an offer to
sell, or the solicitation of an offer to buy, within the meaning of the 1933
Act, any beneficial interests in the Registrant.
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PART A
ITEM 1. FRONT AND BACK COVER PAGES
Not Applicable.
ITEM 2. RISK/RETURN SUMMARY: INVESTMENTS, RISKS AND PERFORMANCE
Not Applicable.
ITEM 3. RISK/RETURN SUMMARY: FEE TABLE
Not Applicable.
ITEM 4. INVESTMENT OBJECTIVES, PRINCIPAL INVESTMENT STRATEGIES, AND RELATED
RISKS
State Street Bank and Trust Company ("State Street") has established a
securities lending program for its clients. Each client that participates in the
securities lending program as a lender ("Lender") enters into a securities
lending authorization agreement with State Street. Under such agreement, State
Street is authorized to invest the cash collateral securing loans of securities
of each Lender in a variety of investments. State Street Navigator Securities
Lending Trust (the "Trust") has been established primarily for the investment
and reinvestment of cash collateral on behalf of Lenders participating in State
Street's securities lending program.
The Trust has established three series of shares of beneficial interest
representing interests in three separate portfolios: State Street Navigator
Securities Lending Government Portfolio ("Government Portfolio"), State Street
Navigator Securities Lending Prime Portfolio ("Prime Portfolio") and State
Street Navigator Securities Lending Short-Term Bond Portfolio ("Short-Term Bond
Portfolio") (each, a "Portfolio"). Government Portfolio and Short-Term Bond
Portfolio, however, are not yet operational.
The investment objectives, principal strategies and risks of each Portfolio
are described below. The investment objectives of a Portfolio may be changed at
any time by the Board of Trustees of the Trust upon at least 30 days' prior
written notice to shareholders of that Portfolio. See the Statement of
Additional Information for a description of each Portfolio's investment
restrictions.
OBJECTIVES AND STRATEGIES
GOVERNMENT PORTFOLIO. Government Portfolio will seek to:
o maximize current income to the extent consistent with the preservation of
capital and liquidity; and
o maintain a stable $1.00 per share net asset value by investing in
dollar-denominated securities with remaining maturities of one
year or less.
A-1
This Portfolio will invest exclusively in:
o securities issued or backed by the U.S. Government or its agencies or
instrumentalities ("U.S. Government Securities"); and
o repurchase agreements collateralized with U.S. Government Securities.
All investments will qualify as "eligible securities" within the meaning of
Rule 2a-7 under the Investment Company Act of 1940, as amended (the "1940 Act").
Government Portfolio will seek to maintain a stable net asset value per share of
$1.00 by valuing its portfolio using the amortized cost method and will comply
with the requirements of Rule 2a-7.
PRIME PORTFOLIO. Prime Portfolio seeks to:
o maximize current income to the extent consistent with the preservation of
capital and liquidity; and
o maintain a stable $1.00 per share net asset value by investing in dollar
-denominated securities with remaining maturities of one year or less.
This Portfolio principally invests in the following high-quality U.S. dollar
-denominated instruments:
o U.S. Government Securities;
o instruments of U.S. and foreign banks, including certificates of deposit,
bankers' acceptances and time deposits (including Eurodollar certificates
of deposit, Eurodollar time deposits and Yankee certificates of deposit);
o corporate debt obligations, including commercial paper of U.S. and
foreign companies;
o variable amount master demand notes;
o debt obligations of foreign governments and foreign government
subdivisions and their agencies and instrumentalities and supranational
organizations;
o repurchase agreements;
o mortgage-backed securities;
o asset-backed securities;
o floating-rate notes, medium term notes and master term notes; and
o shares of other money market funds and similar commingled investment
funds.
All investments will qualify as "eligible securities" within the meaning of
Rule 2a-7. Prime Portfolio seeks to maintain a stable net asset value per share
of $1.00 by valuing its portfolio using the amortized cost method and will
comply with the requirements of Rule 2a-7.
SHORT-TERM BOND PORTFOLIO. Short-Term Bond Portfolio will seek to maximize
current income to the extent consistent with the preservation of capital and
liquidity.
Short-Term Bond Portfolio, however, will not seek to maintain a stable net
asset value per share. Accordingly, the investment return and principal value of
an investment in Short-Term Bond Portfolio will fluctuate and an investor's
shares, when redeemed, may be worth more or less than their original cost.
This Portfolio will principally invest in:
o U.S. dollar-denominated instruments in which Prime Portfolio may invest;
o mortgage-backed and asset-backed securities; and
A-2
o U.S. dollar-denominated corporate, governmental and supranational debt
obligations with maturities in excess of 13 months.
Short-Term Bond Portfolio may invest in forward contracts, futures, options
and swap agreements for the purpose of modifying the average effective duration
of its portfolio and creating synthetic floating-rate securities.
At the time of purchase, the maximum effective duration of any security will
not exceed five years. The average effective duration of Short-Term Bond
Portfolio, after giving effect to all duration shortening positions, will be
managed to be between one and 120 days.
At the time of purchase, (i) all securities with remaining maturities of 13
months or less will qualify as "first tier securities" within the meaning of
Rule 2a-7(a)(6); and (ii) all securities with remaining maturities in excess of
13 months will (a) be rated "A" or better by at least two nationally recognized
statistical rating organizations ("NRSRO"), or (b) if rated by only one NRSRO,
be rated "A" or better by such NRSRO, or (c) if unrated, be determined by State
Street to be of comparable quality. The Portfolio will not acquire any security
(other than a U.S. Government Security) if, as a result, such security would
represent more than 5% of the Portfolio's assets.
Short-Term Bond Portfolio will not seek to maintain a stable net asset
value per share by means of the amortized cost method. By managing the average
effective duration, however, State Street will seek to minimize fluctuations in
the value of the Portfolio. Securities with maturities of 60 days or less will
be valued based using the amortized cost method. The value of all other
securities will be determined based upon market value or, in the absence of
market value, at fair value as determined by the Board of Trustees of the Trust.
DESCRIPTION OF PRINCIPAL SECURITY TYPES
Below is information about each Portfolio's principal investment
techniques. Each Portfolio may also use strategies and invest in securities as
described in the Statement of Additional Information.
U.S. GOVERNMENT SECURITIES. U.S. Government Securities include obligations
issued or guaranteed by the U.S. Treasury or by an agency or instrumentality of
the U.S. Government. U.S. Government Securities may be backed by the full faith
and credit of the U.S. Treasury, the right to borrow from the U.S. Treasury or
the agency or instrumentality issuing or guaranteeing the security.
REPURCHASE AGREEMENTS. In a repurchase agreement, a Portfolio purchases
securities from a financial institution that agrees to repurchase the securities
from the Portfolio within a specified time (normally one day) at the Portfolio's
cost plus interest.
STRIPPED SECURITIES. Stripped securities are U.S. Treasury bonds and notes,
the unmatured interest coupons of which have been separated from the underlying
obligation. Stripped securities are zero coupon obligations that are normally
issued at a discount from their face value. A Portfolio may invest no more than
25% of its assets in stripped securities that have been stripped by their
holder, which is typically a custodian bank or investment brokerage firm.
A-3
VARIABLE AND FLOATING RATE INSTRUMENTS. A floating rate security provides
for the automatic adjustment of its interest rate whenever a specified interest
rate changes. A variable rate security provides for the automatic establishment
of a new interest rate on set dates. Interest rates on variable and floating
rate instruments are ordinarily tied to a widely recognized interest rate, such
as the yield on 90-day U.S. Treasury bills or the prime rate of a specified
bank. These rates may change as often as twice daily. Generally, changes in
interest rates will have a smaller effect on the market value of variable and
floating rate securities than on the market value of comparable fixed-income
obligations. Thus, investing in variable and floating rate securities generally
affords less opportunity for capital appreciation and depreciation than
investing in comparable fixed income securities.
SECTION 4(2) COMMERCIAL PAPER (PRIME PORTFOLIO AND SHORT-TERM BOND
PORTFOLIO ONLY). Prime Portfolio and Short-Term Bond Portfolio may invest in
commercial paper issued in reliance on the so-called private placement exemption
from registration afforded by Section 4(2) of the Securities Act of 1933, as
amended (the "1933 Act"). Section 4(2) paper is restricted as to disposition
under the federal securities laws and generally is sold to institutional
investors, such as Prime Portfolio and Short-Term Bond Portfolio, that agree
they are purchasing the paper for investment and not for distribution. Any
resale by the purchaser must be in an exempt transaction. Section 4(2) paper
normally is resold to other institutional investors through, or with the
assistance, of the issuer or investment dealers that make a market in Section
4(2) paper. Section 4(2) paper will not be subject to a Portfolio's 10%
limitation on illiquid securities, if State Street (pursuant to guidelines
established by the Board of Trustees of the Trust) determines that a liquid
trading market exists for the securities.
ELIGIBLE DERIVATIVE INSTRUMENTS (SHORT-TERM BOND PORTFOLIO ONLY).
Short-Term Bond Portfolio may invest in forwards, futures, options and swap
agreements within the following parameters. Derivative instruments may be used
to create synthetic fixed income securities and to modify portfolio average
duration. Derivative positions within the Portfolio will be managed so that the
average effective duration remains below the 120 day upper limit specified for
the Portfolio. The total absolute value of the option-adjusted duration dollars
of the derivative positions shall be less than or equal to 10% of the option-
adjusted duration dollars of the underlying investment positions.
WHEN-ISSUED TRANSACTIONS. The Portfolios may invest in securities prior to
their date of issuance. These securities may fall in value from the time they
are purchased to the time they are actually issued, which may be any time from a
few days to over a year. No Portfolio will invest more than 25% of its net
assets in when-issued securities.
FORWARD COMMITMENTS (PRIME PORTFOLIO AND SHORT-TERM BOND PORTFOLIO ONLY).
Prime Portfolio and Short-Term Bond Portfolio may contract to purchase
securities for a fixed price at a future date beyond the customary settlement
time, provided that the forward commitment is consistent with the Portfolio's
ability to manage its investment portfolio, maintain a stable net asset value
(Prime Portfolio only) and honor redemption requests. When effecting such
transactions, cash or liquid high-quality debt obligations held by a Portfolio
of a dollar amount sufficient to make payment for the portfolio securities to be
purchased will be segregated on that Portfolio's records at the trade date and
will be maintained until the transaction is settled. The failure of the other
party to the transaction to complete the transaction may cause a Portfolio to
miss an advantageous price or yield. A Portfolio bears the risk of price
fluctuations during the period between the trade and settlement dates.
A-4
VARIABLE AMOUNT MASTER DEMAND NOTES (PRIME PORTFOLIO AND SHORT-TERM BOND
PORTFOLIO ONLY). Prime Portfolio and Short-Term Bond Portfolio may invest in
variable amount master demand notes, which are unsecured obligations that are
redeemable upon demand and are typically unrated. These instruments are issued
pursuant to written agreements between their issuers and holders. The agreements
permit the holders to increase (subject to an agreed maximum) and the holders
and issuers to decrease the principal amount of the notes, and specify that the
rate of interest payable on the principal fluctuates according to an agreed-upon
formula.
MORTGAGE-RELATED PASS-THROUGH SECURITIES (PRIME PORTFOLIO AND SHORT-TERM
BOND PORTFOLIO ONLY). Prime Portfolio and Short-Term Bond Portfolio may invest
in mortgage-related securities. Mortgage pass-through certificates are issued by
governmental, government-related and private organizations and are backed by
pools of mortgage loans.
The price and yield of these securities typically assume that the
securities will be redeemed prior to maturity. When interest rates fall
substantially, these securities are generally redeemed early because the
underlying mortgages are often prepaid. In that case a Portfolio would have to
reinvest the money at a lower rate. In addition, the price or yield of mortgage
- -related securities may fall if they are redeemed later than expected.
ZERO COUPON SECURITIES. These securities are notes, bonds and debentures
that (i) do not pay current interest and are issued at a substantial discount
from par value, (ii) have been stripped of their unmatured interest coupons and
receipts, or (iii) pay no interest until a stated date one or more years into
the future. These securities also include certificates representing interests in
such stripped coupons and receipts.
Because a zero coupon security pays no interest to its holder during its
life or for a substantial period of time, it usually trades at a deep discount
from its face or par value and will be subject to greater fluctuations in market
value in response to changing interest rates than debt obligations of comparable
maturities that make regular distributions of interest.
EURODOLLAR CERTIFICATES OF DEPOSIT (ECDs), EURODOLLAR TIME DEPOSITS (ETDs)
AND YANKEE CERTIFICATES OF DEPOSIT (YCDs) (PRIME PORTFOLIO AND SHORT-TERM BOND
PORTFOLIO ONLY). ECDs are U.S. dollar-denominated certificates of deposit issued
by foreign branches of domestic banks. ETDs are U.S. dollar-denominated time
deposits in foreign branches of U.S. banks and foreign banks. YCDs are U.S.
dollar-denominated certificates of deposit issued by U.S. branches of foreign
banks. The risks associated with the obligations of domestic banks may differ
from the risks associated with investments in ECDs, ETDs and YCDs because the
banks issuing these instruments, or their domestic or foreign branches, are not
necessarily subject to the same regulations as domestic banks, such as loan
limitations, examinations and reserve, accounting, auditing, recordkeeping and
public reporting requirements.
A-5
RISK FACTORS
The Portfolios are subject to the following principal risks:
o (Government Portfolio and Prime Portfolio) The rate of income will
vary from day to day, depending on short-term interest rates.
o (Short-Term Bond Portfolio) In general, bond prices fall when interest
rates rise.
o Variable and floating rate securities exhibit greater price variations
than fixed-rate securities.
o An investment in a Portfolio is not a deposit of State Street or
any other bank and is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other governmental agency.
o Although Government Portfolio and Prime Portfolio seek to preserve
a stable net asset value of $1.00 per share, it is possible that
an investor may lose money by investing in these Portfolios. For
example, a major change in interest rates or a default on a security
or a repurchase agreement could cause the value of an investment
in a Portfolio to decline.
o Prime Portfolio may invest more than 25% of its assets in the
banking industry. Concentrating in the banking industry may
involve additional risks. Banks are subject to extensive government
regulation. They largely depend on the availability and cost of
capital funds for their profitability, which can change
significantly when interest rates change.
o Each Portfolio may invest up to 25% of its total assets in zero
coupon securities called STRIPS, which are separately traded
interest and principal components of U.S. Treasury
securities. The interest-only component is extremely sensitive to
the rate of principal payment on the underlying obligation. The
market value of the principal-only component generally fluctuates
in response to changes in interest rates.
The shares of the Trust have not been registered under the 1933 Act, and,
because they will be offered only to a limited number of qualified investors, it
is anticipated that they will be exempt from those registration provisions.
Shares of the Trust may not be transferred or resold without registration under
the 1933 Act or pursuant to an exemption from such registration. However, shares
of the Trust may be redeemed in accordance with the terms of the Trust's Master
Trust Agreement and the Confidential Offering Memorandum provided to
shareholders.
ITEM 5. MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
Not Applicable.
A-6
ITEM 6. MANAGEMENT, ORGANIZATION, AND CAPITAL STRUCTURE
THE ADVISER
State Street, 225 Franklin Street, Boston, Massachusetts 02110, is the
investment adviser to each of the Portfolios. State Street is among the world's
largest providers of institutional custody services, with assets under custody
at December 31, 1999 of approximately $5.2 trillion. State Street also provides
asset management services for numerous pension plans, foundations, governmental
plans and high net worth individuals, and serves as the investment adviser or
subadviser for several registered management investment companies, including
SSgA Funds. As of December 31, 1999, State Street had discretionary investment
management authority with respect to approximately $720.2 billion in assets.
A-7
State Street, which was the first custodian bank to provide securities
lending services on a 24-hour basis through non-U.S. lending offices, currently
administers the world's largest securities lending program. On average, during
fiscal year 1999, State Street served as securities lending agent with respect
to loan transactions involving in excess of $114 billion on loan.
For the fiscal year ended December 31, 1999, the Prime Portfolio paid State
Street a fee equal to 0.0175% of its average daily net assets for State Street's
services as investment adviser. For its advisory services to Government
Portfolio and Short-Term Bond Portfolio, State Street is entitled to receive a
fee from each Portfolio equal on an annual basis to 0.0175% and 0.05%,
respectively, of that Portfolio's average daily net assets.
PORTFOLIO MANAGER
Lisa Hatfield is the portfolio manager of Prime Portfolio. Ms. Hatfield is
a Principal at State Street Global Advisors ("SSgA") and she is the Unit Head of
the cash desk with responsibility for the SSgA money market funds, several
short-term funds and enhanced cash portfolios. Prior to joining SSgA in 1990,
Ms. Hatfield was a portfolio manager with State Street's Investment Research
Department, where she managed the securities lending reinvestment funds since
their inception in 1987.
CAPITAL STOCK
Shares of the Trust are not registered under the 1933 Act or the securities
law of any state and are sold in reliance upon an exemption from registration.
Shares may not be transferred or resold without registration under the 1933 Act,
except pursuant to an exemption from registration. However, shares may be
redeemed on any day on which State Street is open for business.
ITEM 7. SHAREHOLDER INFORMATION
Shares of each operating Portfolio are available for purchase on each day
on which State Street is open for business. State Street, in its capacity as
securities lending agent for a Lender, will effect all purchases on behalf of a
Lender. All shares are purchased at the net asset value per share of the
Portfolio next determined after the purchase request is communicated to the
Trust.
Each of Government Portfolio and Prime Portfolio will seek to maintain a
stable net asset value per share of $1.00 by valuing its investment portfolio
using the amortized cost method and will comply with the requirements of Rule
2a-7.
A-8
Short-Term Bond Portfolio will not seek to maintain a stable net asset value
per share by means of the amortized cost method. By means of managing the
average effective duration of Short-Term Bond Portfolio, however, State Street
will seek to minimize fluctuations in the value of the Portfolio.
Securities with maturities of 60 days or less will be valued based upon the
amortized cost method. The value of all other securities will be determined
based upon market value or, in the absence of market value, at fair value as
determined by the Board of Trustees of the Trust.
Shares of each operating Portfolio may be redeemed on any day on which
State Street is open for business at the net asset value per share of the
Portfolio next determined after the redemption request is communicated to the
Trust. State Street, in its capacity as lending agent for a Lender, will effect
all redemptions on behalf of a Lender.
The net asset value per share of each operating Portfolio is determined as
of 5:00 p.m. New York City time. The net asset value of Prime Portfolio and
Government Portfolio will be calculated on each day that the Boston Federal
Reserve is open for business. The net asset value of Short-Term Bond Portfolio
will be calculated on each day that the New York Stock Exchange is open for
business.
Redemptions will be paid in cash unless the Trustees determine that
conditions exist that make payment wholly in cash unwise or undesirable. If such
a determination is made by the Trustees, the Trust may, subject to the
requirements of the 1940 Act, pay redemptions entirely or partially in
securities.
DIVIDENDS AND DISTRIBUTIONS
Dividends on shares of each Portfolio will be declared and paid daily from
net investment income. Distributions from net long-term capital gains, if any,
will be made at least annually. Generally, distributions will be declared and
paid in December, if required for a Portfolio to avoid imposition of a federal
excise tax on distributed capital gains. The Portfolios do not expect to realize
any material long-term capital gains or losses. Income dividends and capital
gains distributions, if any, will be paid at the net asset value on the payment
date of the dividend or distribution.
A shareholder's right to receive dividends and distributions with respect to
shares purchased commences on the effective date of the purchase of such shares
and continues through the day immediately preceding the effective date of
redemption of such shares.
TAX CONSEQUENCES
Dividends from net investment income and distributions of net short-term
capital gains are taxable to shareholders as ordinary income under federal
income tax laws whether they are paid in cash or in additional shares.
Distributions from net long-term capital gains are taxable as long-term capital
gains regardless of the length of time a shareholder has held such shares.
Each Portfolio may purchase bonds at market discount (i.e., bonds with a
purchase price less than original issue price or adjusted issue price). If such
bonds are subsequently sold at a gain, then a portion of that gain equal to the
amount of market discount, which should have been accrued through the sale date,
will be taxable to shareholders as ordinary income.
A-9
Under federal law, the income derived from U.S. Government Securities is
exempt from state income taxes. All states that tax personal income permit
mutual funds to pass this tax exemption through to their shareholders under
certain circumstances. Income from repurchase agreements in which the underlying
securities are U.S. Government Securities does not receive this exempt
treatment.
The sale of Trust shares by a shareholder is a taxable event and may result
in capital gain or loss. A capital gain or loss also may be realized from an
ordinary redemption of shares. Any loss incurred on a sale or exchange of Trust
shares will be treated as a long-term or short-term capital loss to the extent
of capital gain dividends received with respect to such shares depending upon
the length of time such shares were held by the shareholder.
A-10
Shareholders will be notified after the end of each calendar year of the
amount of income dividends and net capital gains distributed and the percentage
of a Portfolio's income attributable to U.S. Government Securities. Each
Portfolio is required to withhold 31% of all taxable dividends, distributions
and redemption proceeds payable to any noncorporate shareholder that does not
provide the Portfolio with its correct taxpayer identification number or
certification that the shareholder is not subject to backup withholding.
The foregoing discussion is only a summary of certain federal income tax
issues generally affecting each Portfolio and its shareholders. Circumstances
among investors may vary and each investor should discuss the tax consequences
of an investment in a Portfolio with a tax adviser.
ITEM 8. DISTRIBUTION ARRANGEMENTS
Shares of Prime Portfolio are being offered to Lenders in connection with
State Street's securities lending program. Shares of that Portfolio are sold on
a private placement basis in accordance with Regulation D under the 1933 Act.
Shares of the Trust are sold directly by the Trust without a distributor and are
not subject to a sales load or redemption fee. Assets of the Trust are not
subject to a Rule 12b-1 fee.
ITEM 9. FINANCIAL HIGHLIGHTS INFORMATION
Not Applicable.
A-11
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PART B
ITEM 10. COVER PAGE AND TABLE OF CONTENTS
STATE STREET NAVIGATOR SECURITIES LENDING TRUST
Two International Place, 31st Floor
Boston, Massachusetts 02110
(617) 664-2500
STATEMENT OF ADDITIONAL INFORMATION
STATE STREET NAVIGATOR SECURITIES LENDING GOVERNMENT PORTFOLIO
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATE STREET NAVIGATOR SECURITIES LENDING SHORT-TERM BOND PORTFOLIO
APRIL 28, 2000
State Street Navigator Securities Lending Trust (the "Trust") is a
registered open-end investment company organized as a Massachusetts business
trust offering shares of beneficial interest in separate investment portfolios.
Each series of the Trust is diversified as defined in the Investment Company Act
of 1940, as amended (the "1940 Act").
This Statement of Additional Information (the "SAI") supplements the
information contained in the Trust's Prospectus dated April 28, 2000 concerning
the Trust and its portfolios, State Street Navigator Securities Lending
Government Portfolio ("Government Portfolio"), State Street Navigator Securities
Lending Prime Portfolio ("Prime Portfolio") and State Street Navigator
Securities Lending Short-Term Bond Portfolio ("Short-Term Bond Portfolio")
(each, a "Portfolio"). As of the date of this SAI, Government Portfolio and
Short-Term Bond Portfolio are not operational. This Statement of Additional
Information is not a Prospectus and should be read in conjunction with the
Trust's Prospectus, which may be obtained by telephoning or writing the Trust at
the number or address shown above.
The Trust's Annual Report to Shareholders, as filed on March 2, 2000, has
been incorporated by reference into this SAI. The annual report is available,
without charge, upon request, by calling the number shown above.
B-1
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TABLE OF CONTENTS
Page
Trust History......................................................B-3
Description of the Trust and its Investments and Risks.............B-3
Management of the Trust............................................B-10
Control Persons and Principal Holders of Securities................B-11
Investment Advisory and Other Services.............................B-12
Brokerage Allocation and Other Practices...........................B-13
Capital Stock and Other Securities.................................B-14
Purchase, Redemption and Pricing Of Shares.........................B-15
Taxation of the Trust..............................................B-16
Underwriters.......................................................B-18
Calculation of Performance Data....................................B-18
Financial Statements...............................................B-19
Ratings of Debt Instruments..................................Appendix A
B-2
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ITEM 11. TRUST HISTORY
The Trust was organized as a Massachusetts business trust on June 15, 1995.
ITEM 12. DESCRIPTION OF THE TRUST AND ITS INVESTMENTS AND RISKS
Each Portfolio of the Trust is an open-end, diversified, management
investment company.
INVESTMENT POLICIES
The investment policies described below (i) reflect the current practices
of the Portfolios, (ii) are not fundamental, and (iii) may be changed by the
Board of Trustees of the Trust without shareholder approval. To the extent
consistent with each Portfolio's investment objective and other stated policies
and restrictions, and unless otherwise indicated, each Portfolio may invest in
the following instruments and may use the following investment techniques:
U.S. GOVERNMENT SECURITIES. The types of U.S. Government securities in
which the Portfolios may at times invest include obligations issued or
guaranteed by U.S. Government agencies and instrumentalities that are supported
by any of the following: (i) the full faith and credit of the U.S. Treasury,
(ii) the right of the issuer to borrow an amount limited to a specific line of
credit from the U.S. Treasury, (iii) discretionary authority of the U.S.
Government agency or instrumentality, or (iv) the credit of the instrumentality
(the following are examples of agencies and instrumentalities: Federal Land
Banks, Federal Housing Administration, Farmers Home Administration,
Export-Import Bank of the United States, Central Bank for Cooperatives, Federal
Intermediate Credit Banks, Federal Home Loan Banks, General Services
Administration, Maritime Administration, Tennessee Valley Authority,
Asian-American Development Bank, Student Loan Marketing Association,
International Bank for Reconstruction and Development and Federal National
Mortgage Association). No assurance can be given that in the future the U.S.
Government will provide financial support to the U.S. Government agencies or
instrumentalities described in (ii), (iii) and (iv), other than as set forth
above, because it is not obligated to do so by law.
REPURCHASE AGREEMENTS. Each Portfolio may enter into repurchase agreements,
whereby the Portfolio purchases securities from a financial institution that
agrees to repurchase the underlying securities within a specified time (normally
one day) at the Portfolio's cost plus interest. A Portfolio will enter into
repurchase agreements only with financial institutions that State Street Bank
and Trust Company ("State Street") determines are creditworthy in accordance
with guidelines established by the Board of Trustees. No Portfolio will invest
more that 10% of its net assets (taken at current market value) in repurchase
agreements maturing in more than seven days. Should the counterparty to a
repurchase agreement transaction fail financially, a Portfolio may experience
(i) delays in recovering the collateral securing the counterparty's obligations,
or (ii) a loss of rights in such collateral. Further, any amounts realized upon
the sale of collateral may be less than that necessary to compensate a Portfolio
fully. A Portfolio must take possession of collateral either directly or through
a third-party custodian. All repurchase transactions must be collateralized at a
minimum of 102% of the repurchase price. Counterparties are required to deliver
additional collateral in the event that the market value of the collateral falls
below 102%.
B-3
STRIPPED SECURITIES. Each Portfolio may invest in stripped securities,
which are U.S. Treasury bonds and notes, the unmatured interest coupons of which
have been separated from the underlying obligation. Stripped securities are zero
coupon obligations that are normally issued at a discount from their face value.
A Portfolio may invest no more than 25% of its assets in stripped securities
that have been stripped by their holder, which is typically a custodian bank or
investment brokerage firm. A number of securities firms and banks have stripped
the interest coupons and resold them in custodian receipt programs with
different names such as Treasury Income Growth Receipts ("TIGRS") and
Certificates of Accrual on Treasuries ("CATS"). The Trust intends to rely on the
opinions of counsel to the sellers of these certificates or other evidences of
ownership of U.S. Treasury obligations that, for Federal tax and securities
purposes, purchasers of such certificates most likely will be deemed the
beneficial holders of the underlying U.S. Government securities.
Privately-issued stripped securities such as TIGRS and CATS are not themselves
guaranteed by the U.S. Government, but the future payment of principal or
interest on the U.S. Treasury obligations that they represent is so guaranteed.
VARIABLE AND FLOATING RATE INSTRUMENTS. A floating rate security provides
for the automatic adjustment of its interest rate whenever a specified interest
rate changes. A variable rate security provides for the automatic establishment
of a new interest rate on set dates. Interest rates on these securities are
ordinarily tied to, and represent a percentage of, a widely recognized interest
rate, such as the yield on 90-day U.S. Treasury bills or the prime rate of a
specified bank. These rates may change as often as twice daily. Generally,
changes in interest rates will have a smaller effect on the market value of
variable and floating rate securities than on the market value of comparable
fixed-income obligations. Thus, investing in variable and floating rate
securities generally affords less opportunity for capital appreciation and
depreciation than investing in comparable fixed-income securities. Prime
Portfolio may purchase variable and floating rate non-U.S. Government securities
that have a stated maturity in excess of 13 months only if the Portfolio has a
right to demand payment of the principal of the instrument at least once every
thirteen months upon not more that 30 days' notice.
Variable and floating rate instruments may include variable amount master
demand notes that permit the indebtedness thereunder to vary in addition to
providing for periodic adjustments in the interest rate. There may be no active
secondary market with respect to a particular variable or floating rate
instrument. Nevertheless, the periodic readjustments of their interest rates
tend to assure that their value to a Portfolio will approximate their par value.
Illiquid variable and floating rate instruments (instruments that are not
payable upon seven days' notice and do not have an active trading market) that
are acquired by a Portfolio are subject to a Portfolio's percentage limitations
regarding securities that are illiquid or not readily marketable. State Street
will continuously monitor the creditworthiness of issuers of variable and
floating rate instruments in which the Trust invests and the ability of issuers
to repay principal and interest.
B-4
WHEN-ISSUED TRANSACTIONS. New issues of securities are often offered on a
when-issued basis. This means that delivery and payment for the securities
normally will take place several days after the date the buyer commits to
purchase them. The payment obligation and the interest rate that will be
received on securities purchased on a when-issued basis are each fixed at the
time the buyer enters into the commitment.
Each Portfolio will make commitments to purchase when-issued securities
only with the intention of actually acquiring the securities, but a Portfolio
may sell these securities or dispose of the commitment before the settlement
date if it is deemed advisable as a matter of investment strategy. Cash or
marketable high-quality debt securities equal to the amount of the above
commitments will be segregated on each Portfolio's records. For the purpose of
determining the adequacy of these securities, the segregated securities will be
valued at market value. If the market value of such securities declines,
additional cash or securities will be segregated on a Portfolio's records on a
daily basis so that the market value of the account will equal the amount of
such commitments by that Portfolio. No Portfolio will invest more than 25% of
its net assets in when-issued securities.
Securities purchased on a when-issued basis and the securities held by each
Portfolio are subject to changes in market value based upon the public's
perception of changes in the level of interest rates. Generally, the value of
such securities will fluctuate inversely to changes in interest rates (i.e.,
they will appreciate in value when interest rates decline and decrease in value
when interest rates rise). Therefore, if in order to achieve higher interest
income a Portfolio remains substantially fully invested at the same time that it
has purchased securities on a "when-issued" basis, there will be a greater
possibility of fluctuation in the Portfolio's net asset value.
When payment for when-issued securities is due, each Portfolio will meet
its obligations from then-available cash flow, the sale of segregated
securities, the sale of other securities or, and although it would not normally
be expected to do so, from the sale of the when-issued securities themselves
(which may have a market value greater or less than the Portfolio's payment
obligation). The sale of securities to meet such obligations carries with it a
greater potential for the realization of capital gains, which are subject to
federal income taxes.
B-5
ILLIQUID SECURITIES. A Portfolio will not invest more than 10% of its net
assets in illiquid securities or securities that are not readily marketable,
including repurchase agreements and time deposits of more than seven days'
duration. The absence of a regular trading market for securities imposes
additional risks on investments in these securities. Illiquid securities may be
difficult to value and may often be disposed of only after considerable expense
and delay.
MORTGAGE-RELATED PASS-THROUGH SECURITIES (PRIME PORTFOLIO AND SHORT-TERM
BOND PORTFOLIO ONLY). Prime Portfolio and Short-Term Bond Portfolio may invest
in mortgage-related securities. Mortgage pass-through certificates are issued by
governmental, government-related and private organizations and are backed by
pools of mortgage loans. These mortgage loans are made by savings and loan
associations, mortgage bankers, commercial banks and other lenders to
residential home buyers throughout the United States. The securities are
"pass-through" securities because they provide investors with monthly payments
of principal and interest that, in effect, are a "pass-through" of the monthly
payments made by the individual borrowers on the underlying mortgage loans, net
of any fees paid to the issuer or guarantor of the pass-through certificates.
The principal governmental issuer of such securities is the Government National
Mortgage Association ("GNMA"), which is a wholly-owned U.S. Government
corporation within the Department of Housing and Urban Development.
Government-related issuers include the Federal Home Loan Mortgage Corporation
("FHLMC"), a corporate instrumentality of the United States created pursuant to
an act of Congress, which is owned entirely by the Federal Home Loan Bank, and
the Federal National Mortgage Association ("FNMA"), which is a government
sponsored corporation owned entirely by private stockholders. Commercial banks,
savings and loan associations, private mortgage insurance companies, mortgage
bankers and other secondary market issuers also create pass-through pools of
conventional residential mortgage loans. Such issuers may be the originators of
the underlying mortgage loans as well as the guarantors of the mortgage-related
securities.
a. GNMA MORTGAGE PASS-THROUGH CERTIFICATES ("Ginnie Maes").
Ginnie Maes represent an undivided interest in a pool of mortgage
loans that are insured by the Federal Housing Administration or
the Farmers Home Administration or are guaranteed by the Veterans
Administration. Ginnie Maes entitle the holder to receive all
payments (including prepayments) of principal and interest owed by
the individual mortgagors, net of fees paid to GNMA and to the
issuer that assembles the loan pool and passes through the monthly
mortgage payments to the certificate holders (typically, a
mortgage banking firm), regardless of whether the individual
mortgagor actually makes the payment. Because payments are made to
certificate holders regardless of whether payments are actually
received on the underlying loan, Ginnie Maes are of the "modified
pass-through" mortgage certificate type. GNMA is authorized to
guarantee the timely payment of principal and interest on the
Ginnie Maes because securities are backed by an eligible pool of
mortgage loans. The GNMA guaranty is backed by the full faith and
credit of the United States, and GNMA has unlimited authority to
borrow funds from the U.S. Treasury to make payments under the
guaranty. The market for Ginnie Maes is highly liquid because of
the size of the market and the active participation in the
secondary market by securities dealers and a variety of investors.
B-6
b. FHLMC MORTGAGE PARTICIPATION CERTIFICATES ("Freddie Macs").
Freddie Macs represent interests in groups of specified first lien
residential conventional mortgage loans underwritten and owned by
FHLMC. Freddie Macs entitle the holder to timely payment of
interest, which is guaranteed by FHLMC. FHLMC guarantees either
ultimate collection or timely payment of all principal payments on
the underlying mortgage loans. In cases where FHLMC has not
guaranteed timely payment of principal, FHLMC may remit the amount
due on account of its guarantee of ultimate payment of principal
at any time after default on an underlying loan, but in no event
later than one year after it becomes payable. Freddie Macs are not
guaranteed by the United States or by any of the Federal Home Loan
Banks and do not constitute a debt or obligation of the United
States or of any Federal Home Loan Bank. The secondary market for
Freddie Macs is highly liquid because of the size of the market
and the active participation in the secondary market by FHLMC,
securities dealers and a variety of investors.
c. FNMA GUARANTEED MORTGAGE PASS-THROUGH CERTIFICATES ("Fannie
Maes"). Fannie Maes represent an undivided interest in a pool of
conventional mortgage loans secured by first mortgages or deeds of
trust, on one-family to four-family residential properties. FNMA
is obligated to distribute scheduled monthly installments of
principal and interest on the loans in the pool, whether or not
received, plus full principal of any foreclosed or otherwise
liquidated loans. The obligation of FNMA under its guaranty is
solely the obligation of FNMA and is neither backed by, nor
entitled to, the full faith and credit of the United States.
The market value of mortgage-related securities depends on, among other
things, the level of interest rates, the certificates' coupon rates and the
payment history of the underlying borrowers.
Although the mortgage loans in a pool underlying a mortgage pass-through
certificate will have maturities of up to 30 years, the average life of a
mortgage pass-through certificate will be substantially less because the loans
will be subject to normal principal amortization and also may be prepaid prior
to maturity. Prepayment rates vary widely and may be affected by changes in
mortgage interest rates. In periods of falling interest rates, the rate of
prepayment on higher interest mortgage rates tends to increase, thereby
shortening the actual average life of the mortgage pass-through certificate.
Conversely, when interest rates are rising, the rate of prepayment tends to
decrease, thereby lengthening the average life of the mortgage pass-through
certificate. Accordingly, it is not possible to predict accurately the average
life of a particular pool. However, based on current statistics, it is
conventional to quote yields on mortgage pass-through certificates based on the
assumption that they have effective maturities of 12 years. Reinvestment of
prepayments may occur at higher or lower rates than the original yield on the
certificates. Due to the prepayment feature and the need to reinvest prepayments
of principal at current rates, mortgage pass-through certificates with
underlying loans bearing interest rates in excess of the market rate can be less
effective than typical non-callable bonds with similar maturities at "locking
in" yields during periods of declining interest rates, although they may have
the comparable risk of declining in value during periods of rising interest
rates.
B-7
ZERO COUPON SECURITIES. These securities are notes, bonds and debentures
that (i) do not pay current interest and are issued at a substantial discount
from par value, (ii) have been stripped of their unmatured interest coupons and
receipts, or (iii) pay no interest until a stated date one or more years into
the future. These securities also include certificates representing interests in
such stripped coupons and receipts.
Because the Portfolios accrue taxable income from zero coupon securities
without receiving regular interest payments in cash, each Portfolio may be
required to sell portfolio securities in order to pay a dividend. Investing in
these securities might also force a Portfolio to sell portfolio securities to
maintain portfolio liquidity.
Because a zero coupon security pays no interest to its holder during its
life or for a substantial period of time, it usually trades at a deep discount
from its face or par value and will be subject to greater fluctuations in market
value in response to changing interest rates than debt obligations of comparable
maturities that make regular distributions of interest.
INVESTMENT RESTRICTIONS
The Trust has adopted the following fundamental investment policies, which,
with respect to a Portfolio, may not be changed without the approval of a
majority of the shareholders of that Portfolio. No Portfolio may:
1. Borrow money, except as a temporary measure for extraordinary or
emergency purposes or to facilitate redemptions (not for leveraging or
investment), provided that borrowing does not exceed an amount equal to 33
1/3% of the current value of the Portfolio's assets taken at market value,
less liabilities, other than borrowings. If at any time the Portfolio's
borrowings exceed this limitation due to a decline in net assets, such
borrowings will, within three days, be reduced to the extent necessary to
comply with this limitation. The Portfolio will not purchase investments
once borrowed funds (including reverse repurchase agreements) exceed 5% of
its total assets.
2. Make loans to any person or firm; provided, however, that the making of
a loan shall not include (i) the acquisition for investment of bonds,
debentures, notes or other evidence of indebtedness that is publicly
distributed or of a type customarily purchased by institutional investors,
or (ii) the entering into repurchase agreements, and provided further that
a Portfolio may lend its portfolio securities to broker-dealers or other
institutional investors if the aggregate value of all securities loaned
does not exceed 33 1/3% of the value of a Portfolio's total assets.
B-8
3. Engage in the business of underwriting securities issued by others,
except that a Portfolio will not be deemed to be an underwriter or to be
underwriting on account of the purchase or sale of securities subject to
legal or contractual restrictions on disposition.
4. Issue senior securities, except as permitted by its investment
objective, policies and restrictions, and except as permitted by the 1940
Act.
5. Invest 25% or more of the value of its total assets in securities of
companies primarily engaged in any one industry (other than the U.S.
Government, its agencies and instrumentalities); provided, however, that
concentration may occur as a result of changes in the market value of
portfolio securities. Foreign and domestic branches of U.S. banks and U.S.
branches of foreign banks are not considered a single industry for purposes
of this restriction.
6. With respect to 75% of its total assets, invest in securities of any one
issuer (other than securities issued by the U.S. Government, its agencies
and instrumentalities), if immediately thereafter and as a result of such
investment (i) the current market value of the Portfolio's holdings in the
securities of such issuer exceeds 5% of the value of the Portfolio's
assets, or (ii) the Portfolio owns more than 10% of the outstanding voting
securities of the issuer.
7. Purchase or sell real estate or real estate mortgage loans; provided,
however, that a Portfolio may invest in securities secured by real estate
or interests therein or issued by companies which invest in real estate or
interests therein.
8. Invest in commodities, except that a Portfolio may purchase and sell
financial futures contracts and options thereon.
The concentration policy of each Portfolio (as set forth in Investment
Restriction No. 5, above) permits a portfolio to invest, without limit, in
banker's acceptances, certificates of deposit and similar instruments
issued by (i) U.S. banks, (ii) U.S. branches of foreign banks (in
circumstances in which the U.S. branches of foreign banks are subject to
the same regulation as U.S. banks), and (iii) foreign branches of U.S.
banks (in circumstances in which the Portfolio will have recourse to the
U.S. bank for the obligations of the foreign branch). A Portfolio may
concentrate in such instruments when, in the opinion of the Adviser, the
yield, marketability and availability of investments meeting the
Portfolio's quality standards in the banking industry justify any
additional risks associated with the concentration of the Portfolio's assets
in such industry.
PORTFOLIO TURNOVER
The portfolio turnover rate for each Portfolio is calculated by dividing
the lesser of purchases or sales of the Portfolio's securities for the
particular year, by the monthly average value of the Portfolio's securities
owned during the year. For purposes of determining the rate, all short-term
securities, including options, futures, forward contracts and repurchase
agreements, are excluded.
B-9
<PAGE>
ITEM 13. MANAGEMENT OF THE TRUST
The Board of Trustees of the Trust is responsible for overseeing generally
the operation of the Portfolios. State Street serves as the Trust's adviser,
custodian, transfer agent and administrator.
The following table sets forth the name, address and date of birth of each
of the Trust's Trustees and officers, their positions with the Trust and their
present and principal occupations during the past five years. An asterisk (*)
indicates that a Trustee is an "interested person" of the Trust, as defined in
the 1940 Act.
<TABLE>
POSITION WITH
NAME, ADDRESS AND DATE OF BIRTH THE TRUST PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS
------------------------------- --------- ----------------------------------------------
<S> <C> <C>
Michael A. Jessee*, (10/10/46) Trustee President and Chief Executive Officer of
One Financial Center, 20th Floor the Federal Home Loan Bank of Boston
Boston, Massachusetts 02110 since 1989.
George J. Sullivan, Jr., (11/13/42) Trustee Chief Executive Officer, Newfound Consultants Inc.
313 Congress Street, 2nd Fl. C3 since 1997; Trustee, Allmerica Fulcrum Trust since
Boston, Massachusetts 02210 1998; Trustee, SEI group of mutual funds since 1996;
Chief Financial officer, Noble Partners, L.P., 1991-1996;
General Partner, Teton Partners, L.P., 1991-1996;
member of the American Institute and Massachusetts
Society of CPAs.
Peter Tufano, (4/22/57) Trustee Professor of Business Administration, Harvard Business
Harvard Business School School since 1998; Associate Professor, Harvard Business
Soldiers Field Road School since 1993-1998.
Boston, Massachusetts 02163
Raymond P. Boulanger, (4/26/44) Secretary Partner, Goodwin, Procter & Hoar LLP since 1979.
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
Philip H. Newman, (4/3/52) Assistant Partner, Goodwin, Procter & Hoar LLP since 1989.
Goodwin, Procter & Hoar LLP Secretary
Exchange Place
Boston, Massachusetts 02109
</TABLE>
* Mr. Jessee is affiliated with Federal Home Loan Bank of Boston, which
from time to time enters into transactions with a division of State Street.
Although the nature and size of such transactions does not appear to require
designation of Mr. Jessee as an "interested person" of the Trust for purposes of
the 1940 Act, the Trust is currently making such designation to avoid the
possibility that Mr. Jessee's independence may be questioned.
B-10
<PAGE>
COMPENSATION
The following table describes the compensation received by the Trustees
from the Trust for the fiscal year ended December 31, 1999. During the fiscal
year ended December 31, 1999, the Trust paid an aggregate of $45,000 to all
Trustees.
TRUSTEE COMPENSATION TABLE
<TABLE>
<CAPTION>
Pension or
Aggregate Retirement Benefit Estimated Annual
Compensation Accrued as Part of Benefits upon Total Compensation from
Trustee from Trust Trust Expenses Retirement Trust paid to Trustees
- ------- ------------ ------------- ---------- ----------------------
<S> <C> <C> <C> <C>
Michael A. Jessee *$15,000 None None *$15,000
George J. Sullivan, Jr. *$15,000 None None *$15,000
Peter Tufano *$15,000 None None *$15,000
</TABLE>
*Prior to February 17, 2000, each Trustee received a fee of $3,750 for each
meeting of the Board of Trustees that he attended in person. Each Trustee was
also reimbursed for expenses incurred in attending such meetings. As voted by
the Trustees on February 17, 2000, but effective retroactively to January 1,
2000, each Trustee shall receive (i) an annual retainer of $10,000 (with the
exception of the chairperson, who shall receive an annual retainer of 15,000),
(ii) $2,500 for each meeting attended in person, and (iii) $1,000 for each
meeting attended by telephone.
CODE OF ETHICS
The investment adviser has adopted a Code of Ethics under Rule 17j-1 of the
1940 Act. This Code of Ethics permits personnel subject to the Code to invest in
securities, including securities that may be purchased or held by the
Portfolios.
ITEM 14. CONTROL PERSONS AND PRINCIPAL HOLDERS OF SECURITIES
CONTROLLING SHAREHOLDERS
In connection with State Street's securities lending program, State Street holds
certain collateral on behalf of its securities lending clients to secure the
return of loaned securities. Such collateral may be invested in Trust shares
from time to time. State Street, however, will pass through voting rights to its
securities lending clients that have a beneficial interest in a Portfolio.
Consequently, State Street will not be a controlling person of the Trust for
purposes of the 1940 Act.
PRINCIPAL SHAREHOLDERS
As of March 31, 2000, there were no shares outstanding for Government Portfolio
or Short-Term Bond Portfolio, and the following shareholders of record owned 5%
or more of the issued and outstanding shares of Prime Portfolio:
Percentage of
Shareholder Principal Address Shares Held
----------- ----------------- -----------
Munder Capital Mgmt. Net 480 Pierce Street 8.277%
Birmingham, MI 48009
MFS Mass Investors 500 Boylston Street 6.754%
Boston, MA 02116
B-12
The Trustees and officers of the Trust, as a group, own less than 1% of the
Trust's voting securities.
ITEM 15. INVESTMENT ADVISORY AND OTHER SERVICES
SERVICE PROVIDERS
Most of the Portfolios' necessary day-to-day operations are performed by
service providers under contract to the Trust. The principal service providers
for the Portfolios are:
Investment Adviser, Custodian,
Transfer Agent and Administrator: State Street Bank and Trust Company
Independent Accountants: PricewaterhouseCoopers LLP
ADVISER
State Street (or the "Adviser") serves as the investment adviser to the
Portfolios pursuant to an Advisory Agreement dated as of March 4, 1996
("Advisory Agreement"), by and between State Street and the Trust. State Street
is a Massachusetts chartered trust company and a member of the Federal Reserve
System. State Street is a wholly owned subsidiary of State Street Corporation, a
publicly held bank holding company. State Street's mailing address is 225
Franklin Street, Boston, MA 02110.
Under the Advisory Agreement, the Adviser directs each Portfolio's
investments in accordance with its investment objectives, policies and
limitations. For these services, the Portfolio pays a fee to the Adviser at the
rates stated in the Prospectus. The advisory fees for the fiscal year ended
December 31, 1997, December 31, 1998, and December 31, 1999 were $770,265,
$1,274,890, and $1,735,892, respectively.
The contractual arrangements between the Trust and the Adviser were
approved by the Trustees, including a majority of the Trustees who are not
"interested persons" of the Trust, as such term is defined in Section 2(a)(19)
of the 1940 Act ("Independent Trustees"), and will continue in effect from year
to year provided that the arrangements are approved by the Trustees, including a
majority of the Independent Trustees on an annual basis. The Advisory Agreement
may be terminated without penalty by the Adviser upon 90 days' written notice,
or by the Trust on behalf of a Portfolio upon 60 days' written notice, and
will terminate automatically upon its assignment.
ADMINISTRATOR
State Street (or the "Administrator") serves as the administrator of each
Portfolio pursuant to an Administration Agreement dated as of March 4, 1996
("Administration Agreement"), by and between State Street and the Trust. Under
the Administration Agreement, the Administrator will, among other things (i)
provide each Portfolio with administrative and clerical services, including the
maintenance of certain of the Portfolio's books and records, (ii) arrange the
periodic updating of the Trust's Registration Statement and Confidential
Offering Memorandum, and (iii) provide proxy materials and reports to Portfolio
shareholders and the Securities and Exchange Commission (the "SEC"). For these
services, the Trust pays to the Administrator an annual fee based on the average
daily net asset value of the Trust. The administration fees paid for the fiscal
year ended December 31, 1997, December 31, 1998, and December 31, 1999 were
$355,777, $500,450, and $630,969, respectively.
B-13
The Administration Agreement was approved initially for a two-year term by
the Trustees, and will continue in effect from year to year unless terminated in
writing by either the Administrator or the Trust at the end of such period or
thereafter on 60 days' prior written notice given by either party to the other
party.
CUSTODIAN AND TRANSFER AGENT
State Street serves as the custodian ("Custodian") and transfer agent
("Transfer Agent") for each Portfolio of the Trust. State Street also provides
the basic portfolio recordkeeping required by the Trust for regulatory and
financial reporting purposes.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP serves as the Trust's independent accountants
for each Portfolio of the Trust. PricewaterhouseCoopers LLP is responsible for
performing annual audits of the financial statements and financial highlights in
accordance with generally accepted auditing standards, reviewing the federal tax
returns, and, pursuant to Rule 17f-2 of the 1940 Act, three security counts.
ITEM 16. BROKERAGE ALLOCATION AND OTHER PRACTICES
All portfolio transactions are placed on behalf of the Portfolios by the
Adviser. There is generally no stated commission in the purchase or sale of
securities traded in the over-the-counter markets, including most debt
securities and money market instruments. Rather, the price of such securities
includes an undisclosed commission in the form of a mark-up or mark-down. The
cost of securities purchased from underwriters includes an underwriting
commission or concession.
Subject to the arrangements and provisions described below, the selection
of a broker or dealer to execute portfolio transactions is usually made by the
Adviser. The Advisory Agreement provides, in substance and subject to specific
directions from the Trust's Board of Trustees, that in executing portfolio
transactions and selecting brokers or dealers, the principal objective is to
seek the best net price and execution for the Trust. Ordinarily, securities will
be purchased from primary markets, and the Adviser shall consider all factors it
deems relevant in assessing the best overall terms available for any
transaction, including the breadth of the market in the security, the price of
the security, the financial condition and execution capability of the broker or
dealer, and the reasonableness of the commission, if any, for the specific
transaction and other transactions on a continuing basis.
The Advisory Agreement authorizes the Adviser to select brokers or dealers
to execute a particular transaction, including principal transactions. Also, in
evaluating the best overall terms available, the Adviser may consider the
"brokerage and research services" (as those terms are defined in Section 28(e)
of the Securities Exchange Act of 1934, as amended) provided to the Portfolios
and/or the Adviser (or its affiliates). The Adviser is authorized to cause the
Portfolios to pay a commission to a broker or dealer who provides such brokerage
and research services for executing a portfolio transaction that is in excess of
the amount of commission another broker or dealer would have charged for
effecting that transaction. The Adviser must determine in good faith that such
commission was reasonable in relation to the value of the brokerage and research
services provided.
B-14
The Trustees periodically review the Adviser's performance of its
responsibilities in connection with the placement of portfolio transactions on
behalf of the Portfolios and review the prices paid by the Portfolios over
representative periods of time to determine if such prices are reasonable in
relation to the benefits provided to the Portfolios. Certain services received
by the Adviser attributable to a particular Portfolio transaction may benefit
one or more other accounts for which the Adviser exercises investment
discretion, or a Portfolio other than that for which the transaction was
effected. The Adviser's fees are not reduced by the Adviser's receipt of such
brokerage and research services.
ITEM 17. CAPITAL STOCK AND OTHER SECURITIES
Under its Master Trust Agreement, the Trust is authorized to issue an
unlimited number of shares of beneficial interest with a par value of $.001 per
share, which may be divided into one or more series, each of which evidences pro
rata ownership interest in a different investment portfolio. The Trustees may
create additional portfolio series at any time without shareholder approval. The
shares of each portfolio series may have such rights and preferences as the
Trustees may establish from time to time, including the right of redemption
(including the price, manner and terms of redemption), special and relative
rights as to dividends and distributions, liquidation rights, sinking or
purchase fund provisions, conversion rights and conditions under which any
portfolio series may have separate voting rights or no voting rights.
As of the date of this Statement of Additional Information, the Trust is
comprised of the following portfolio series, each of which commenced operations
on the date set forth opposite the Portfolio's name:
NAME COMMENCEMENT OF OPERATIONS
State Street Navigator Securities Lending May 15, 1996
Prime Portfolio
State Street Navigator Securities Lending *
Government Portfolio
State Street Navigator Securities Lending *
Short-Term Bond Portfolio
- --------------
* As of the date of this SAI, this Portfolio has not commenced operations.
The Trust is authorized, without shareholder approval, to divide shares of
any series into two or more classes of shares, each class having such different
dividend, liquidation, voting and other rights as the Trustees may determine.
B-15
Any amendment to the Master Trust Agreement that would materially and
adversely affect shareholders of the Trust as a whole, or shareholders of a
particular portfolio series, must be approved by the holders of a majority of
the shares of the Trust or the portfolio series, respectively. All other
amendments may be effected by the Trust's Board of Trustees.
The Master Trust Agreement provides that shareholders shall not be subject
to any personal liability for the acts or obligations of a portfolio series and
that every written agreement, obligation, or other undertaking of a portfolio
series shall contain a provision to the effect that the shareholders are not
personally liable thereunder. If any present or past shareholder of any
portfolio series of the Trust is charged or held personally liable for any
obligation or liability of the Trust solely by reason of being or having been a
shareholder and not because of such shareholder's acts or omissions or for some
other reason, the portfolio series, upon request, shall assume the defense
against such charge and satisfy any judgment thereon, and the shareholder or
former shareholder shall be entitled out of the assets of such portfolio series
to be held harmless from and indemnified against all loss and expense arising
from such liability. Thus, the risk to shareholders of incurring financial loss
beyond their investments is limited to circumstances in which the portfolio
series itself would be unable to meet its obligations.
The Trust will not have an Annual Meeting of Shareholders. Special Meetings
may be convened (i) by the Board of Trustees, (ii) upon written request to the
Board of Trustees by the holders of at least 10% of the outstanding shares of
the Trust, or (iii) upon the Board of Trustee's failure to honor the
shareholders' request as described above, by holders of at least 10% of the
outstanding shares giving notice of the special meeting to the shareholders.
ITEM 18. PURCHASE, REDEMPTION AND PRICING OF SHARES
MANNER IN WHICH SHARES ARE OFFERED
Shares of Prime Portfolio are being offered to clients of State Street's
securities lending program. Shares are sold on a private placement basis in
accordance with Regulation D under the Securities Act of 1933, as amended.
Because shares are sold directly by the Trust without a distributor, they are
not subject to a sales load or redemption fee, and assets of the Trust are not
subject to a Rule 12b-1 fee.
VALUATION OF FUND SHARES
PRIME PORTFOLIO AND GOVERNMENT PORTFOLIO. Net asset value per share for the
shares of each of Prime Portfolio and Government Portfolio is calculated as of
5:00 p.m. New York City time on each day on which the Boston Federal Reserve is
open for business, which excludes the following business holidays: New Year's
Day, Martin Luther King Jr. Day, President's Day, Memorial Day, Independence
Day, Labor Day, Columbus Day, Veterans Day, Thanksgiving Day, and Christmas Day.
It is the policy of each of the Portfolios to use its best efforts to
maintain a constant price per share of $1.00, although there can be no assurance
that the $1.00 net asset value per share will be maintained. In accordance with
this effort and pursuant to Rule 2a-7 under the 1940 Act, each Portfolio uses
the amortized cost valuation method to value its portfolio instruments. This
method involves valuing an instrument at its cost and thereafter assuming a
constant amortization to maturity of any discount or premium even though the
portfolio security may increase or decrease in market value generally in
response to changes in interest rates. While this method provides certainty in
valuation, it may result in periods during which value, as determined by
amortized cost, is higher or lower than the price a Portfolio would receive if
it sold the instrument.
B-16
The Trustees have established procedures reasonably designed to stabilize
each Portfolio's price per share at $1.00. These procedures include (i) the
determination of the deviation from $1.00, if any, of each Portfolio's net asset
value using market values, (ii) periodic review by the Trustees of the amount of
and the methods used to calculate the deviation, and (iii) maintenance of
records of such determination. The Trustees will promptly consider what action,
if any, should be taken if such deviation exceeds 1/2 of one percent.
SHORT-TERM BOND PORTFOLIO. Net asset value per share is calculated for
Short-Term Bond Portfolio as of the close of the regular trading session on the
New York Stock Exchange (generally 4:00 p.m. eastern time) on each day on which
the New York Stock Exchange is open for business. Currently, the New York Stock
Exchange is open for trading every weekday except New Year's Day, Martin Luther
King Jr. Day, President's Day, Good Friday, Memorial Day, Independence Day,
Labor Day, Thanksgiving Day, and Christmas Day.
With the exceptions noted below, the Portfolio values its investment
portfolio at market value. This generally means that equity securities and
fixed-income securities listed and traded principally on any national securities
exchange are valued on the basis of the last sale price or, lacking any sales,
at the closing bid price on the primary exchange on which the security is
traded. United States equity and fixed-income securities traded principally
over-the-counter and options are valued on the basis of the last reported bid
price. Futures contracts are valued on the basis of the last reported sale
price.
Because many fixed-income securities do not trade each day, last sale or
bid prices are frequently not available. Therefore, fixed-income securities may
be valued using prices provided by a pricing service when such prices are
determined by the Custodian to reflect the market value of such securities.
International securities traded over-the-counter are valued on the basis of
best bid or official bid, as determined by the relevant securities exchange. In
the absence of a last sale or best or official bid price, such securities may be
valued on the basis of prices provided by a pricing service if those prices are
believed to reflect the market value of such securities.
The Portfolio values securities maturing within 60 days of the valuation
date at amortized cost unless the Board of Trustees determines that amortized
cost does not represent market value. This method involves valuing an instrument
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium, even though the portfolio security may increase or decrease
in market value generally in response to changes in interest rates. While this
method provides certainty in valuation, it may result in periods during which
value, as determined by amortized cost, is higher or lower than the price the
Portfolio would receive if it sold the instrument.
B-17
ITEM 19. TAXATION OF THE TRUST
FEDERAL TAXES
Each Portfolio intends to qualify for treatment as a regulated investment
company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as
amended (the "Code"). As a RIC, a Portfolio is not liable for federal income
taxes on taxable net investment income and capital gain net income (capital
gains in excess of capital losses) that it distributes to its shareholders,
provided that the Portfolio distributes annually to its shareholders at least
90% of its net investment income and net short-term capital gain in excess of
net long-term capital losses ("Distribution Requirement"). For a Portfolio to
qualify as a RIC it must abide by all of the following requirements: (i) at
least 90% of the Portfolio's gross income each taxable year must be derived from
dividends, interest, payments with respect to securities loans, gains from the
sale or other disposition of stock or securities or foreign currencies, or other
income (including gains from options, futures or forward contracts) derived with
respect to its business of investing in such stock, securities or currencies
("Income Requirement"); (ii) at the close of each quarter of the Portfolio's
taxable year, at least 50% of the value of its total assets must be represented
by cash and cash items, U.S. Government securities, securities of other RICs,
and other securities, with such other securities limited, in respect of any one
issuer, to an amount that does not exceed 5% of the total assets of the
Portfolio and that does not represent more than 10% of the outstanding voting
securities of such issuer, and (iii) at the close of each quarter of the
Portfolio's taxable year, not more than 25% of the market value of its total
assets may be invested in the securities of any one issuer or two or more
issuers in the same industry and which are controlled by the Portfolio (other
than U.S. Government securities or the securities of other RICs).
Each Portfolio will be subject to a nondeductible 4% excise tax to the
extent it fails to distribute by the end of any calendar year an amount at least
equal to the sum of: (a) 98% of its ordinary income for that year; (b) 98% of
its capital gain net income for the one-year period ending on October 31 of that
year; and (c) certain undistributed amounts from the preceding calendar year.
For this and other purposes, dividends declared in October, November or December
of any calendar year and made payable to shareholders of record in such month
will be deemed to have been received on December 31 of such year if the
dividends are paid by the Portfolio subsequent to December 31 but prior to
February 1 of the following year.
If a shareholder receives a distribution taxable as long-term capital gain
with respect to shares of a Portfolio and redeems or exchanges the shares
without having held the shares for more than six months, then any loss on the
redemption or exchange will be treated as long-term capital loss to the extent
of the capital gain distribution.
Depending upon the extent of each Portfolio's activities in states and
localities in which its offices are maintained, its agents or independent
contractors are located, or it is otherwise deemed to be conducting business,
the Portfolio may be subject to the tax laws of such states or localities.
The foregoing discussion is only a summary of certain federal and state
income tax issues generally affecting a Portfolio and its shareholders.
Circumstances among investors may vary, and each investor is encouraged to
discuss an investment in a Portfolio with the investor's tax adviser.
ITEM 20. UNDERWRITERS
Not Applicable.
B-18
ITEM 21. CALCULATION OF PERFORMANCE DATA
AVERAGE ANNUAL TOTAL RETURN
SHORT-TERM BOND PORTFOLIO. Short-Term Bond Portfolio computes average
annual total return by using a standardized method of calculation required by
the SEC. Average annual total return is computed by finding the average annual
compounded rates of return on a hypothetical initial investment of $1,000 over
the one-, five- and ten-year periods (or the life of the Portfolio as
appropriate), that would equate the initial amount invested to the ending
redeemable value, according to the following formula:
P (1+T)[n]=ERV
where: P = a hypothetical initial payment of $1,000
=
T = average annual total return
=
n = number of years
=
ERV = ending redeemable value of a $1,000 payment made
at the beginning of the 1-, 5- and 10-year periods
at the end of the year or period
The calculation assumes that all dividends and distributions of the
Portfolio are reinvested at the price calculated in the manner described in the
Prospectus on the dividend dates during the period, and includes all recurring
and nonrecurring fees that are charged to all shareholder accounts.
YIELD AND EFFECTIVE YIELD
PRIME PORTFOLIO AND GOVERNMENT PORTFOLIO. The yield for each Portfolio is
calculated daily based upon the seven days ending on the date of calculation
("base period"). The yields are computed by determining the net change,
exclusive of capital changes and income other than investment income, in the
value of a hypothetical pre-existing account having a balance of one share at
the beginning of the base period, subtracting a hypothetical charge reflecting
deductions from shareholder accounts and dividing the net change in the account
value by the value of the account at the beginning of the base period to obtain
the base period return, and then multiplying the base period return by (365/7)
with the resulting yield figure carried to the nearest hundredth of one percent.
An effective yield is computed by determining the net change, exclusive of
capital changes and income other than investment income, in the value of a
hypothetical pre-existing account having a balance of one share at the beginning
of the period, subtracting a hypothetical charge reflecting deductions from
shareholder accounts, and dividing the difference by the value of the account at
the beginning of the base period to obtain the base period return, and then
compounding the base period return by adding 1, raising the sum to a power equal
to 365 divided by 7, and subtracting 1 from the result, according to the
following formula:
EFFECTIVE YIELD=[(BASE PERIOD RETURN+1)[365/7]]-1
The following are the current and effective yields for Prime Portfolio for the
seven-day period ended December 31, 1999:
Current Yield...................... 5.91%
Effective Yield.................... 6.08%
The yields quoted are not indicative of future results. Yields will depend on
the type, quality, maturity, and interest rate of money market instruments held
by the Portfolios.
B-19
SHORT-TERM BOND PORTFOLIO. Yields are computed by using standardized
methods of calculation required by the SEC. Yields are calculated by dividing
the net investment income per share earned during a 30-day (or one month) period
by the maximum offering price per share on the last day of the period, according
to the following formula:
YIELD = 2[(a-b+1)[6]-1]
cd
where: a = dividends and interest earned during the period;
b = expenses accrued for the period (net of reimbursements);
c = average daily number of shares outstanding during the period
d = the maximum offering price per share on the last day of the
period.
Any yield quoted by a Portfolio is not indicative of future results. Yields
will depend on the type, quality, maturity and interest rate of instruments held
by the Portfolio.
ITEM 22. FINANCIAL STATEMENTS
The audited financial statements for the fiscal year ended December 31,
1999 for Prime Portfolio are included in the portfolio's Annual Report to
Shareholders, which was filed with the SEC on March 2, 2000, and are
incorporated into this SAI by reference.
B-20
Appendix A
RATINGS OF DEBT INSTRUMENTS
MOODY'S INVESTORS SERVICE, INC. ("MOODY'S") - LONG TERM DEBT RATINGS. The
following is a description of Moody's debt instrument ratings.
Aaa - Bonds that are rated Aaa are judged to be of the best quality. They carry
the smallest degree of investment risk and are generally referred to as "gilt
edged." Interest payments are protected by a large or exceptionally stable
margin, and principal is secure. While the various protective elements are
likely to change, such changes as can be visualized are most unlikely to impair
the fundamentally strong position of such issues.
Aa - Bonds that are rated Aa are judged to be of high quality by all standards.
Together with the Aaa group they comprise what are generally known as high-grade
bonds. They are rated lower than the best bonds because margins of protection
may not be as large as in Aaa securities, fluctuation of protective elements may
be of greater amplitude or there may be other elements present that make the
long-term risk appear somewhat larger than that of the Aaa securities.
A - Bonds that are rated A possess many favorable investment attributes and are
to be considered as upper-medium-grade obligations. Factors giving security to
principal and interest are considered adequate, but elements may be present
that suggest a susceptibility to impairment sometime in the future.
Moody's applies numerical modifiers 1, 2 and 3 in each generic rating
classification from Aa through B. The modifier 1 indicates that the obligation
ranks in the higher end of its generic rating category; the modifier 2 indicates
a midrange ranking; and the modifier 3 indicates a ranking in the lower end of
that generic rating category.
STANDARD & POOR'S RATING GROUP ("S&P"). S&P's ratings are based, in varying
degrees, on the following considerations: (i) the likelihood of default -
capacity and willingness of the obligor as to the timely payment of interest and
repayment of principal in accordance with the terms of the obligation; (ii) the
nature of and provisions of the obligation; and (iii) the protection afforded
by, and relative position of, the obligation in the event of bankruptcy,
reorganization, or other arrangement under the laws of bankruptcy and other laws
affecting creditors' rights.
AAA - Debt rated AAA has the highest rating assigned by S&P. Capacity to pay
interest and repay principal is extremely strong.
AA - Debt rated AA has a very strong capacity to pay interest and repay
principal and differs from the highest rated issues only in small degree.
A - Debt rated A has a strong capacity to pay interest and repay principal,
although it is somewhat more susceptible to the adverse effects of changes in
circumstances and economic conditions than debt in higher rated categories.
B-21
Plus (+) or minus (-): The ratings from AA to CCC may be modified by the
addition of a plus or minus sign to show relative standing within the major
rating categories.
RATINGS OF COMMERCIAL PAPER
MOODY'S. Moody's short-term debt ratings are opinions of the ability of issuers
to repay punctually senior debt obligations. These obligations have an original
maturity not exceeding one year, unless explicitly noted. Moody's employs the
following three designations, all judged to be investment grade, to indicate the
relative repayment ability of rated issuers:
Issuers rated Prime-1 (or supporting institutions) have a superior ability
for repayment of senior short-term debt obligations. Prime-1 repayment ability
will often be evidenced by many of the following characteristics:
o Leading market positions in well-established industries.
o High rates of return on funds employed.
o Conservative capitalization structure with moderate reliance on debt and
ample asset protection.
o Broad margins in earnings coverage of fixed financial charges and high
internal cash generation.
o Well-established access to a range of financial markets and assured
sources of alternate liquidity.
Issuers rated Prime-2 (or supporting institutions) have a strong ability for
repayment of senior short-term debt obligations. This will normally be evidenced
by many of the characteristics cited above but to a lesser degree. Earnings
trends and coverage ratios, while sound, may be more subject to variation.
Capitalization characteristics, while still appropriate, may be more affected by
external conditions. Ample alternative liquidity is maintained.
Issuers rated Not Prime do not fall within any of the Prime rating
categories.
S&P. An S&P commercial paper rating is a current assessment of the likelihood of
timely payment of debt considered short-term in the relevant market. Ratings are
graded into several categories, ranging from A-1 for the highest quality
obligations to D for the lowest. These categories are as follows:
A-1 - This highest category indicates that the degree of safety regarding timely
payment is strong. Those issues determined to possess extremely strong safety
characteristics are deemed with a plus sign (+) designation.
A-2 - Capacity for timely payment on issues with this designation is
satisfactory. However, the relative degree of safety is not as high as for
issues designated A-1.
FITCH'S INVESTORS SERVICE, INC. ("FITCH"). Commercial paper rated by Fitch
reflects Fitch's current appraisal of the degree of assurance of timely payment
of such debt. An appraisal results in the rating of an issuer's paper as F-1,
F-2, F-3, or F-4.
F-1 - This designation indicates that the commercial paper is regarded as having
the strongest degree of assurance for timely payment.
F-2 - Commercial paper issues assigned this rating reflect an assurance of
timely payment only slightly less in degree than those issues rated F-1.
B-22
DUFF AND PHELPS, INC. Duff & Phelps' short-term ratings are consistent with the
rating criteria utilized by money market participants. The ratings apply to all
obligations with maturities of less than one year, including commercial paper,
the uninsured portion of certificates of deposit, unsecured bank loans, master
notes, bankers acceptances, irrevocable letters of credit, and current
maturities of long-term debt. Asset-backed commercial paper is also rated
according to this scale.
Emphasis is placed on liquidity which is defined as not only cash from
operations, but also access to alternative sources of funds including trade
credit, bank lines, and the capital markets. An important consideration is the
level of an obligor's reliance on short-term funds on an ongoing basis.
The distinguishing feature of Duff & Phelps' short-term ratings is the
refinement of the traditional '1' category. The majority of short-term debt
issuers carry the highest rating, yet quality differences exist within that
tier. As a consequence, Duff & Phelps has incorporated gradations of '1+' (one
plus) and '1-' (one minus) to assist investors in recognizing those differences.
Duff 1+- Highest certainty of timely payment. Short-term liquidity, including
internal operating factors and/or access to alternative sources of funds, is
outstanding, and safety is just below risk-free US Treasury short-term
obligations.
Duff 1-Very high certainty of timely payment. Liquidity factors are excellent
and supported by good fundamental protection factors. Risk factors are minor.
Duff 1- - High certainty of timely payment. Liquidity factors are strong and
supported by good fundamental protection factors. Risk factors are very small.
Duff 2- Good certainty of timely payment. Liquidity factors and company
fundamentals are sound. Although ongoing funding needs may enlarge total
financing requirements, access to capital markets is good. Risk factors are
small.
IBCA, INC. In addition to conducting a careful review of an institution's
reports and published figures, IBCA's analysts regularly visit the companies for
discussions with senior management. These meetings are fundamental to the
preparation of individual reports and ratings. To keep abreast of any changes
that may affect assessments, analysts maintain contact throughout the year with
the management of the companies they cover.
IBCA's analysts speak the languages of the countries they cover, which is
essential to maximize the value of their meetings with management and to
properly analyze a company's written materials. They also have a thorough
knowledge of the laws and accounting practices that govern the operations and
reporting of companies within the various countries.
Often, in order to ensure a full understanding of their position, companies
entrust IBCA with confidential data. While the data cannot be disclosed in
reports, they are taken into account when assigning ratings. Before dispatch to
subscribers, a draft of the report is submitted to each company to permit
correction of any factual errors and to enable clarification of issues raised.
B-23
<PAGE>
IBCA's Rating Committees meet at regular intervals to review all ratings and to
ensure that individual ratings are assigned consistently for institutions in all
the countries covered. Following the Committee meeting, ratings are issued
directly to subscribers. At the same time, the company is informed of the
ratings as a manner of courtesy, but not for discussion.
Al+- Obligations supported by the highest capacity for timely repayment.
A1- Obligations supported by a very strong capacity for timely repayment.
A2 -Obligations supported by a strong capacity for timely repayment, although
such capacity may be susceptible to adverse changes in business, economic or
financial conditions.
B-24
<PAGE>
PART C
ITEM 23. EXHIBITS
(a) Master Trust Agreement (Agreement and Declaration of
Trust), effective as of June 15, 1995, and amendments
thereto incorporated by reference to original
Registration Statement on Form N-1A filed on June 20,
1996.
(b) By-Laws incorporated by reference to the Registration
Statement filed on June 20, 1996.
(c) None.
(d) Investment Advisory Agreement between State Street
Navigator Securities Lending Trust and State Street
Bank and Trust Company incorporated by reference to
the Registration Statement filed on June 20, 1996.
(e) Not Applicable.
(f) Not Applicable.
(g) Custodian Agreement between State Street Navigator
Securities Lending Trust and State Street Bank and
Trust Company incorporated by reference to the
Registration Statement filed on June 20, 1996.
(h)(1) Transfer Agency Agreement between State Street
Navigator Securities Lending Trust and State Street
Bank and Trust Company incorporated by reference to
the Registration Statement filed on June 20, 1996.
(2) Administrative Services Agreement between State
Street Navigator Securities Lending Trust and State
Street Bank and Trust Company incorporated by
reference to the Registration Statement filed on June
20, 1996.
(i) Not Applicable.
(j) Consent of Independent Accountants filed herewith.
(k) Not Applicable.
(l) None.
(m) Not Applicable.
(n) Not Applicable.
(p) Code of Ethics of State Street Global Advisors.
ITEM 24. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH REGISTRANT
The Registrant is not directly or indirectly controlled by or under common
control with any person other than the Trustees. It does not have any
subsidiaries.
<PAGE>
ITEM 25. INDEMNIFICATION
Under Article VI of the Registrant's Master Trust Agreement, the Trust
shall indemnify each of its Trustees and officers (including persons who serve
at the Trust's request as directors, officers or trustees of another
organization in which the Trust has any interest as a shareholder, creditor or
otherwise (hereinafter referred to as a "Covered Person")) against all
liabilities, including but not limited to amounts paid in satisfaction of
judgments, in compromise or as fines and penalties, and expenses, including
reasonable accountants' and counsel fees, incurred by any Covered Person in
connection with the defense or disposition of any action, suit or other
proceeding, whether civil or criminal, before any court or administrative or
legislative body, in which such Covered Person may be or may have been involved
as a party or otherwise or with which such person may be or may have been
threatened, while in office or thereafter, by reason of being or having been
such a Trustee or officer, director or trustee, except with respect to any
matter as to which it has been determined that such Covered Person had acted
with willful misfeasance, bad faith, gross negligence or reckless disregard of
the duties involved in the conduct of such Covered Person's office (such conduct
referred to hereafter as "Disabling Conduct"). A determination that the Covered
Person is entitled to indemnification may be made by (i) a final decision on the
merits by a court or other body before whom the proceeding was brought that the
person to be indemnified was not liable by reason of Disabling Conduct, (ii)
dismissal of a court action or an administrative proceeding against a Covered
Person for insufficiency of evidence of Disabling Conduct, or (iii) a reasonable
determination, based upon a review of the facts, that the indemnitee was not
liable by reason of Disabling Conduct by (a) a vote of a majority of a quorum of
Trustees who are neither "interested persons" of the Trust as defined in section
2(a)(19) of the Investment Company Act of 1940, as amended, nor parties to the
proceeding, or (b) an independent legal counsel in a written opinion.
Insofar as indemnification by the Registrant for liabilities arising under
the Securities Act of 1933, as amended (the "1933 Act"), may be permitted to
Trustees, officers, underwriters and controlling persons of the Registrant,
pursuant to Article VI of the Registrant's Master Trust Agreement, or otherwise,
the Registrant has been advised that, in the opinion of the Securities and
Exchange Commission, such indemnification is against public policy as expressed
in the 1933 Act and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
Registrant of expenses incurred or paid by a Trustee, officer or controlling
person of the Registrant in the successful defense of any action, suit or
proceeding) is asserted against the Registrant by such Trustee, officer or
controlling person in connection with the securities being registered, the
Registrant will, unless in the opinion of its counsel the matter has been
settled by controlling precedent, submit to a court of appropriate jurisdiction
the question of whether such indemnification by it is against public policy as
expressed in the 1933 Act and will be governed by the final adjudication of such
issue.
ITEM 26. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISER
The Investment Management Division of State Street Bank and Trust Company
("State Street") serves as adviser to the Registrant. State Street, a
Massachusetts bank, currently manages large institutional accounts and
collective investment funds. The business, profession, vocation or employment of
a substantial nature that each director or officer of the investment adviser is
or has been, at any time during the past two fiscal years, engaged for his own
account or in the capacity of director, officer, employee, partner or trustee,
is as follows:
NAME CAPACITY WITH BUSINESS NAME AND ADDRESS
ADVISOR
Tenley E. Albright, Director Chairman, Western Resources, Inc.
MD Two Commonwealth Avenue
Boston, MA 02116-3134
I. MacAlister Booth Director Retired Chairman, President and CEO,
Polaroid Corporation
P.O. Box 428 - 68 Barnes Hill Road
Concord, MA 01742
Marshall N. Carter Chairman and
CEO State Street Corporation
225 Franklin Street - P.O. Box 351
Boston, MA 02110
James I. Cash, Jr. Director The James E. Robison Professor of
Business Administration, Harvard
Business School (on sabbatical)
c/o Stanford Graduate School of
Business
518 Memorial Way
Stanford University
Stanford, CA 94305-5015
Truman S. Casner Director Partner, Ropes & Gray
One International Place - 37th Floor
Boston, MA 02110
Nader F. Darehshori Director Chairman, President and CEO, Houghton
Mifflin Company
222 Berkeley - 5th Floor
Boston, MA 02116-3764
Arthur L. Goldstein Director Chairman and CEO, Ionics, Inc.
65 Grove Street
P.O. Box 9131
Watertown, MA 02272-9131
David P. Gruber Director Chairman, CEO and Director
Wyman-Gordon Company
244 Worcester Street
N. Grafton, MA 01536-8001
Timothy B. Harbert Senior Executive President, State Street Global
Officer Advisors, Two International Place
Boston, MA 02110
John M. Kucharski Director Chairman of the Board, EG&G, Inc.
45 William Street
Wellesley, MA 02181
Charles R. LaMantia Director Chairman and CEO, Arthur D. Little, Inc
25 Acorn Park
Cambridge, MA 02140
Nicholas A. Lopardo Vice Chairman Chairman and CEO, State Street Global
Advisors, Two International Place,
Boston, MA 02110
David B. Perini Director Chairman and President, Perini
Corporation
73 Mt. Wayte Avenue
Framingham, MA 01701
Dennis J. Picard Director Chairman, Raytheon Company
141 Spring Street
Lexington, MA 02173
Alfred Poe Director CEO, MenuDirect Corp.
865 Centennial Avenue
Piscataway, NJ 08854
Bernard W. Reznicek Director President, Premier Group;
National Director, Utility
Markets of Central Sales
Indemnity Company of Omaha
1212 N. 96th Street
Omaha, NE 68114-2274
David A. Spina Director and State Street Corporation
Chief Operating 225 Franklin Street - P.O. Box 351
Officer Boston, MA 02110
Diana Chapman Walsh Director President, Wellesley College
106 Central Street
Wellesley, MA 02181
Robert E. Weissman Director Chairman and CEO and Director,IMS
Health Incorporated
ITEM 27. PRINCIPAL UNDERWRITERS
Not Applicable.
ITEM 28. LOCATION OF ACCOUNTS AND RECORDS
All accounts, books, records and documents required pursuant to Section
31(a) of the Investment Company Act of 1940 and the rules promulgated thereunder
are maintained in the physical possession of State Street, the Registrant's
investment adviser, administrator, custodian and transfer agent, at 225 Franklin
Street, Boston, Massachusetts 02110.
ITEM 29. MANAGEMENT SERVICES
None.
ITEM 30. UNDERTAKINGS
Not Applicable.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, as
amended, the Registrant has duly caused this Amendment No. 4 to the Registration
Statement on Form N-1A to be signed on its behalf by the undersigned, thereto
duly authorized in the City of Boston and Commonwealth of Massachusetts on the
28th day of April, 2000.
STATE STREET NAVIGATOR SECURITIES LENDING TRUST
(Registrant)
By: /s/ Jennifer S. Fromm
Jennifer S. Fromm
Attorney-in-fact
EXHIBIT LIST
Exhibit No. Exhibit
99(j) Consent of Independent Accountants
99(p) Code of Ethics of State Street Global Advisors
Consent of Independent Accountants
We hereby consent to the incorporation by reference in this Amendment
No. 4 to the Registration Statement on Form N-1A of our report dated
February 2, 2000, relating to the financial statements and financial
highlights that appear in the December 31, 1999 Annual Report to
Shareholders of State Street Navigator Securities Lending Prime
Portfolio, which is also incorporated by reference into the
Registration Statement. We also consent to the references to us under
the heading "Investment Advisory and Other Services - Service Providers;
Independent Accounts" in such Registration Statement.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 28, 2000
Code of Ethics
March, 2000
State Street Global Advisors
Code of Ethics - Table of Contents
Statement of General Principles................................................1
Applicability of Code to Employees of Non-US Offices...........................1
What is the Code of Ethics.....................................................2
Section 1 - Definitions........................................................2
Section 2 - Exempted Transactions..............................................6
Section 3 - Prohibitions
A. Prohibited Purchases and Sales:
Portfolio Managers.............................................6
Investment Persons and Reporting Associates....................8
Approved Lists.................................................9
B. Additional Prohibited Activities...............................9
Section 4 - Preclearance
A. Preclearance of Securities Transactions.......................13
B. Short-term Trading............................................13
Section 5 - Reporting.........................................................14
Section 6 - Annual Certification..............................................15
Section 7 - Exemptive Relief..................................................15
Section 8 - Violations and Sanctions..........................................15
Section 9 - Issues Forum......................................................16
Disclosure of Securities Holdings (Upon Employment & Annually)........Appendix A
Form Letter to Broker (Duplicate Confirms and Account Statements).....Appendix B
Access Person - Proposed Transaction Form (Preclearance Form).........Appendix C
Sample Quarterly Transaction Form.....................................Appendix D
Request for Approval of Privately Offered Security Transaction........Appendix E
Frequently Asked Questions and Answers................................Appendix F
Preclearance of Fixed Income Trades by Access Persons.................Appendix G
List of Local Compliance Officers.....................................Appendix H
Code of Ethics Quick Reference Tool...................................Appendix I
<PAGE>
Code Of Ethics
State Street Global Advisors
("SSgA")
Statement of General Principles
In addition to any particular duties or restrictions set forth in the
SSgA Code of Ethics (the "Code"), every employee of the Adviser must
adhere to the following general principles:
I. Since our clients have entrusted us with their assets, we must,
at all times, place the interests of these clients first. These
clients include shareholders in mutual funds which we advise,
participants in the State Street Bank and Trust Company
collective investment vehicles and those clients for whom we
manage discretionary accounts.
II. Transactions executed for the employee's personal account must
be conducted in a manner consistent with this Code and in such a
manner as to avoid any actual or perceived conflict of interest
or any abuse of the employee's position of trust and
responsibility.
III. Employees are encouraged to make investment decisions regarding
their personal accounts with a long term view. Short-term
trading is strongly discouraged.
IV. Employees must not take inappropriate advantage of their
position.
Applicability of Code to Employees of Non-US Offices
Employees of the Adviser's Non-US offices are subject to the terms of
the Code. In addition, however, such employees remain subject to any
local laws and regulations affecting personal investments, investments
on behalf of customers and other activities governed by the Code. It is
the responsibility of each employee to adhere to such regulations. In
the event of any inconsistency between local law or regulation and the
terms of this Code, the employee must adhere to the highest applicable
standard.
-1-
<PAGE>
What is the Code of Ethics?
The Code of Ethics, hereafter referred to as the "Code", is the policy
statement that State Street Global Advisors has adopted which primarily
governs personal securities transactions of its employees. It is
designed to ensure that employees conduct their personal securities
transactions in a manner which does not create an actual or potential
conflict of interest to the bank's business or fiduciary
responsibilities. In addition, the Code establishes standards that
prohibit the trading in or recommending of securities based upon
material, non-public information or the tipping of such information to
others.
The SSgA Risk Management and Compliance Department oversees overall
compliance with the Code. Failure to comply with the Code could result
in company imposed sanctions, and possible criminal and civil
liability, depending on the circumstances.
Section 1 - Definitions
A. "Access Person" or " Investment Personnel" as defined by SEC Rule 17j-1 means
"any Portfolio Manager, Investment Person or Reporting Associate of State Street
Global Advisors or of such other divisions as determined by the Adviser from
time to time, and any other employee of the Adviser designated as an Access
Person by the Compliance Officer by virtue of his or her stature within the
organization."
The following Access Person levels have been established by the SSgA Boston
office. The levels reflect the minimum requirements of the Code of Ethics. The
local Compliance Officer, at his or her discretion, can impose higher standards
in their local environment.
1. " Portfolio Manager" (Level 1) means "the persons
identified by the Adviser, as the portfolio manager or
back-up portfolio manager of a Fund."
2. "Investment Person" (Level 2) means "any director, officer
or employee of the Adviser who, in connection with his or
her regular functions or duties, makes, participates in, or
obtains information regarding the purchase or sale of a
Security by a Fund prior to or contemporaneous with such
purchase or sale, or whose functions relate to the making
of any recommendations with respect to such purchase or
sale."
-2-
3. "Reporting Associate" (Level 3) means "any director,
officer or employee of the Adviser who, in connection with
his or her regular functions or duties, obtains information
regarding the purchases or sales of Securities made by a
Fund, either prior to or subsequent to any such purchases
or sales."
4. "Level 4 Person" (Level 4) means any individual who has no
contact with information regarding purchases or sales of
Securities made by a Fund in his or her regular functions
or duties. However, such individual is subject to the
Statement of General Principles and the antifraud
provisions (Section 3B(1)) of the Code.
B. "Adviser" means "State Street Global Advisors" and any other investment
advisory division of State Street Bank and Trust Company, "State Street Global
Advisors, Inc." and any subsidiary thereof, "State Street Brokerage" and "State
Street Banque, S.A." and such other entities as from time to time designated by
the Compliance Officer.
C. "Associated Portfolio" means with respect to an Access Person any Portfolio
in the fund group for which such person acts as a Portfolio Manager, Investment
Person or Reporting Associate (e.g., accounts for which the Access Person is
Portfolio Manager, designated Back-up Portfolio Manager).
D. "Beneficial Ownership" shall be interpreted in the same manner as it would be
in determining whether a person is subject to the provisions of Section 16 of
the Securities Exchange Act of 1934 and the rules and regulations thereunder,
except that the determination of direct or indirect Beneficial Ownership shall
apply to all Securities which an Access Person has or acquires other than those
Securities which are acquired through dividend reinvestment.
Beneficial Ownership generally extends to accounts in the name of:
o the Access Person;
o the Access Person's spouse;
o the Access Person's minor children;
o the Access Person's adult children living in the Access Person's home; and
o any other relative whose investments the Access Person directs (regardless
of whether he or she resides in the Access Person's home).
-3-
Beneficial Ownership also includes accounts of another person or
entity if by reason of any contract, understanding,
relationship, agreement or other arrangement the Access Person
obtains therefrom benefits substantially equivalent to those of
ownership. Access Persons should contact the local Compliance
Officer regarding any questions they may have concerning
Beneficial Ownership.
E. "Compliance Officer" shall mean "the person identified by the State Street
Global Advisors division of the Adviser, from time to time, as the local
Compliance Officer of SSgA."
F."Control" means the power to exercise a controlling influence over an
account.
G. "Fund" or "Funds" means "any mutual fund, bank collective fund, common trust
fund, separate account or other type of account advised or sub-advised by the
Adviser."
H. "Portfolio" means "any investment portfolio of a Fund."
I. "Purchase or sale of a Security" includes, among other things, the writing of
an option to purchase or sell a Security.
J. "Security" shall have the meaning set forth in Section 2(a)(36) of the 1940
Act. This definition of "Security" includes, but is not limited to: any note,
stock, treasury stock, bond, debenture, evidence of indebtedness, certificate of
interest or participation in any profit-sharing agreement, any put, call,
straddle, option or privilege on any Security or on any group or index of
Securities, or any put, call, straddle, option or privilege entered into on a
national securities exchange relating to foreign currency.
Further, for the purpose of this Code, "Security" shall include any commodities
contracts as defined in Section 2(a)(1)(A) of the Commodity Exchange Act. This
definition includes but is not limited to futures contracts on equity indexes.
-4-
"Security" shall not include securities issued by the government of the United
States, or, with respect to Access Persons employed in the Non-US offices, the
government of the country in which such office is located, bankers' acceptances,
bank certificates of deposit, commercial paper and shares of registered open-end
investment companies (e.g., open-end mutual funds, or the equivalent such as
SICAVs). Any question as to whether a particular investment constitutes a
"Security" should be referred to the local Compliance Officer.
K. "Seven Day Blackout"
o Portfolio Manager - The Code prohibits a portfolio manager
from buying or selling a security within seven calendar days
after it is traded in a portfolio he or she manages.
o Access Person - who has access to the fundamental research
in his or her area, is also restricted from buying or
selling a security that is added to, removed from, or has
had a rating change to an approved stock list. (See Section
3 - "Approved Lists" for additional detail.)
L. "Short-term Trading" means buying and selling or selling and buying the
same security within a 60 day period.
-5-
Section 2 - Exempted Transactions
The prohibitions of Section 3A of this Code shall not apply to:
A. Purchases or sales effected in any account over which the Access
Person has no direct or indirect influence or control (e.g.,
assignment of management discretion in writing to another
party). If management authority is ceded to a person in the same
household (spouse, dependent children or other individual living
in the same household as the Access Person, then preclearance
requirements still have to be met.)
B. Purchases or sales which receive the prior approval of counsel
to the Adviser or the Compliance Officer.
C. Purchases or sales by an Access Person other than a Portfolio
Manager which are categorized as de minimis through the
Preclearance Procedure described in Section 3A(1).
D. Acquisition of a Security due to dividend reinvestment or
similar automatic periodic investment process or through the
exercise of rights, warrants or tender offers. However, these
transactions should be reported by Level 1-3 Access Persons in
their quarterly reporting once acknowledgement of the
transaction is received.
Section 3 - Prohibitions
A. Prohibited Purchases and Sales
Portfolio Managers: (Level 1) Access Persons
1. Portfolio Manager shall not, for his or her own personal
account (or for an account in which he or she has
Beneficial Ownership1):
a. purchase a Security that is being purchased or sold or
is being considered for purchase or sale in
any Associated Portfolio; or
-6-
b. sell a Security that is being purchased or sold or is
being considered for purchase or sale in any
Associated Portfolio.2
A Security is "being considered for purchase or sale" when
a recommendation to purchase or sell a Security has been
made and communicated and, with respect to the person
making the recommendation, when such person seriously
considers making such a recommendation.
Here is an example of this prohibition:
This morning, Access Person "A" overhears Portfolio Manager
"B" planning to purchase shares of XYZ for the stock Fund
which he manages. "A" hastily purchases shares of XYZ for
her personal account. Portfolio Manager "B" places the buy
order for the stock in the afternoon. "A" would be
front-running the Fund, and would be subjected to sanctions
and criminal penalties.
2. No Portfolio Manager shall, for his or her own personal
account (or for an account in which he or she has
Beneficial Ownership):
a. sell any Security until seven (7) full calendar days
have elapsed since the most recent purchase or
sale of that Security by any Associated Portfolio; or
b. purchase any Security until seven (7) full calendar
days have elapsed since the most recent purchase
or sale of that Security from any
Associated Portfolio.3
-7-
Here is an example of this prohibition:
Yesterday, Portfolio Manager "A" sold 100 shares of XYZ
from the Fund which he manages. Today, back-up Portfolio
Manager "B", who manages a different Fund within the same
investment group, decides to purchase 50 shares of XYZ for
his own personal account. Because trading occurred within 7
days of the most recent fund transaction it is a direct
violation of the black-out requirement, therefore,
subjecting the manager to sanctions.
Investment Persons and Reporting Associates: (Level 2 & 3) Access Persons
1. No Access Person (other than Portfolio Managers) shall, for
his or her own personal account or for an account in which
he or she has Beneficial Ownership4):
a. purchase a Security that is being purchased or sold or
is being considered for purchase or sale in any Fund
unless the transaction is considered de minimis as
noted above in Section 2C Exempted Transactions; or
b. sell a Security that is being purchased or sold or is
being considered for purchase or sale in any Fund
unless the transaction is considered de minimis as
noted above in Section 2C Exempted Transactions.5
A Security is "being considered for purchase or sale" when
a recommendation to purchase or sell a Security has been
made and communicated and, with respect to the person
making the recommendation, when such person seriously
considers making such a recommendation.
-8-
Approved Lists
Personal securities transactions in a security that is
added to or removed from an approved stock list are
prohibited for a period of seven days after the addition,
removal or change in rating of the security. The same seven
day restriction applies following any change to the short
or long term investment rating. Furthermore, the Access
Person is restricted from sharing this information with
others who do not have the same access levels.
(Currently, this list is maintained by the Global
Fundamental Research Group. There may be other lists or
groups that this restriction applies. See your local
Compliance Officer for additional information.)
B. Additional Prohibited Activities
1. Neither an employee of the Adviser nor any Access Person
shall, in connection with the purchase or sale (directly or
indirectly) by the Adviser, of a Security held or to be
acquired by a Fund:
a. employ any device, scheme or artifice to defraud a
Fund;
b. make any material misstatement to a Fund or omit any
material fact in any statement to a Fund where such
omission would tend to make the statement misleading;
c. engage in any act, practice, or course of business
which operates or would operate as a fraud or deceit
upon a Fund; or
d. engage in any manipulative practice with respect to a
Fund.
-9-
The above prohibited activities shall at all times include,
but shall not be limited to, the following:
(i) purchasing or selling securities on the basis
of material6 non-public7 information;
(ii) purchasing or selling, knowingly, directly or
indirectly, securities in such a way as to
compete personally in the market with a Fund,
or acting personally in such a way as to injure
a Fund's transactions;
(iii) using knowledge of securities transactions by
a Fund, including securities being considered
for purchase or sale, to profit personally,
directly or indirectly, by the market effect
of such transactions.
(iv) engaging in short selling and options trading
of State Street securities (except to the
extent such options are issued by the
Corporation as part of an employee's
compensation.)
2. Each of the following activities by an Access Person or
Investment Personnel Level 1-4 shall be prohibited:
a. purchasing Securities in an initial public offering
unless:
(i) the Access Person has a right to purchase the
Security due to the Access Person's
pre-existing status as a policy holder or
depositor with respect to such Security or as a
shareholder of a related company; or,
-10-
(ii) the right to purchase is awarded by lottery or
other non-discretionary method by the issuer.
b. participation in a private offering (e.g., offerings
of securities not registered with a local regulatory
agency, such as the SEC, stocks of privately held
companies, private placements and non-publicly traded
limited partnerships) without prior written consent
from an SSgA Compliance Officer by use of the form
attached here as Appendix E;
c. participation in a private offering and failing to
disclose any subsequent conflicts of interests to the
Compliance Officer. An example of this would be a
portfolio manager purchasing a private offering (with
approval as detailed in 2(b) above) and then causing a
portfolio which he or she manages to purchase the same
private offering without disclosing this conflict of
interest.
d. using any derivative, or using any evasive tactic, to
avoid the restrictions of this Code;
e. serving as a director of the following without prior
written consent of State Street Global Advisors'
Area Executive and notice to the Compliance Officer:
o a publicly traded company other than State Street
Corporation or its subsidiaries or its affiliates; or
o any company the Securities of which are owned by a
Fund,
f. accepting or receiving, either directly or indirectly,
from any organization or employee thereof with which
we conduct a business relationship (e.g., customers or
vendors) a gratuity or anything of value in excess of
one hundred (US $100) dollars per individual per
calendar year. A gratuity includes a gift of any type.
-11-
The purpose of this gratuity restriction is to allow only
proper and customary business amenities. Amenities
considered permissible include the following:
o occasional meals, social gatherings or meetings
conducted for business purposes; or
o gifts in the nature of promotional materials, such as
a pen, calendar, umbrella or the like, which are
inscribed with the giver's name or a business message.
Amenities considered not to be permissible include, but are
not limited to, the following:
o transportation expenditures, such as airfare or rental
car; or
o hotel or other lodging accommodation expenditures
-12-
<PAGE>
Section 4 - Preclearance
A. Preclearance of Securities Transactions
In order to monitor this Section 4A, Adviser requires each Access
Person to comply with the Personal Securities Transaction
Preclearance Procedure8 attached hereto as Appendix C.
o Preclearance must be obtained after 10:00 a.m. EST (or
at such local time as is designated by each Non-US
office) of the day on which the Access Person proposes
to trade.
o Such preclearance is good until midnight of the day it
is granted in the location of the primary exchange
where the security is traded. It is also allowable to
order a market trade electronically up to this time
deadline. Any order not executed on the day of
preclearance must be re-submitted for preclearance
before being executed on a subsequent day (e.g.,
"good-'til-canceled" or "limit" orders must receive
preclearance every day that the order is open).
o Preclearance of any registered open-end investment
company is not required.
o The Lotus Notes preclearance process must be used in
sites where available consistent with policies
established from time to time by Risk Management and
Compliance.
B. Short-term Trading
In order to monitor short-term trading activity, each Access Person is
required to identify on Appendix C whether he or she has traded in the
proposed security within the past 60 days. Short -term trades will be
monitored and reported to management to ensure that Access Persons are
adhering to SSgA's long- term investment philosophy generally.
-13-
<PAGE>
Section 5 - Reporting
A. Every Access Person who is identified and notified by the
Compliance Officer as having to comply with this Section shall:
1. upon such notification, provide the Compliance Officer with
disclosure of all personal Securities holdings as described
in Appendix A within 10 calendar days of employment and
annually) thereafter, except that the requirement of this
Section 5A(1) shall only apply to Portfolio Managers and
Investment Persons (Access Person Level 1 and 2); and
2. report to the Compliance Officer the information described
in Section 5C with respect to transactions in any Security9
in which such Access Person has, or by reason of such
transaction acquires, any direct or indirect Beneficial
Ownership in the Security.
B. Quarterly reports required under this Section shall be made not
later than nine (9) days after the end of each calendar quarter
(calendar quarters are March 31, June 30, September 30 and
December 31).
Access Persons will be reminded quarterly of this obligation by
a notice, but it is incumbent upon each Access Person to report
to the Compliance Officer within the nine-day (9-day) reporting
period whether he or she did or did not effect such
transactions.
C. Access Persons are required to notify any brokers, dealers,
investment advisers, banks and other financial institutions with
whom they have their securities trading accounts to forward
duplicate confirms of any and all of their trades and periodic
account statements containing trading activity to the Compliance
Officer and may use the form letter attached as Appendix B to
notify such financial institutions.
D. Any such report may contain a statement that the report shall
not be construed as an admission by the person making such
report that he or she has any direct or indirect Beneficial
Ownership in the Security to which the report relates.
-14-
E. Access Persons transacting in Securities, as defined in Section
1J. of the Code, contained in self directed pension brokerage
accounts, self managed brokerage accounts (SMBA) or 401(k)
retirement accounts are included in any reporting or
preclearance requirements.
F. Investment in the State Street Stock Fund through the State
Street 401k plan do not require regular preclearance or
reporting. Although transactions in the State Street Stock Fund
do not need to be reported, as they are not defined as a
Security, employees trading in the State Street Stock Fund
should be aware that these transactions are subject to the
insider trading restrictions contained in the Code of Ethics and
State Street's Standard of Conduct.
G. Access Persons are prohibited from engaging in short selling and
options trading of State Street securities (except to the extent
such options are issued by the Corporation as part of an
employee's compensation).
H. State Street options granted in conjunction with an employee's
compensation do not need to be precleared or reported if
exercised at first opportunity as dictated by Global Human
Resources. Options exercised on any other date are subject to
preclearance and reporting requirements.
Section 6 - Annual Certification
All Access Persons and Non Access Persons must certify annually that he
or she has read, understands and recognizes that he or she is subject
to the Code. In addition, all Access Persons and Non Access Persons
must certify annually that he or she has complied with the Code and has
disclosed and reported all personal securities transactions required to
be disclosed or reported.
Section 7 - Exemptive Relief
An Access Person who believes that aspects of the Code impose a
particular hardship or unfairness upon them with respect to a
particular transaction or situation, without conferring a corresponding
benefit toward the goals of the Code, may appeal to the Compliance
Officer for relief from Code provision(s) relating to a particular
transaction or ongoing activity or reporting requirement.
-15-
If relief is granted, the Compliance Officer may impose alternative
controls or requirements. Any relief granted in this regard shall apply
only to the Access Person who had sought relief and no other Access
Person may rely on such individual relief unless specifically
authorized by their local Compliance Officer. If circumstances warrant,
the Compliance Officer may submit the anonymous request to the Code of
Ethics Committee for input.
Section 8 - Violations and Sanctions
The Code of Ethics Committee is presented with the facts and
circumstances of a violation on an anonymous basis by the Compliance
Officer on a quarterly basis. The Code of Ethics Committee is charged
with reviewing violations of the Code and imposing sanctions by a
majority vote.
Upon discovering a violation of this Code, its policies or procedures,
the directors of a Fund, the Adviser, or the Committee may impose such
sanctions as it deems appropriate, including, among other things, the
following:
o a letter of censure to the violator;
o a monetary fine levied on the violator;
o suspension of the employment of the violator;
o termination of the employment of the violator;
o civil referral to the SEC or other civil regulatory authorities
determined by the Board of the Fund, the Adviser or other
appropriate entity; or
o criminal referral -- determined by the Board of the Fund, the
Adviser or other appropriate entity.
The Access Person is given an opportunity to appeal a Committee decision if
he/she is believes there are extenuating facts and circumstances of which
the Committee and Compliance were unaware.
-16-
<PAGE>
Section 9 - Issues Forum
If you have a concern or question, you can voice this concern, i.e., issue or
personal complaint on an anonymous basis by submitting it in writing to:
State Street Global Advisors
Attention: Compliance Officer
P.O. Box 9185
Boston, MA 02209
- --------
1 Please see Section 1D of the Code for definition of "Beneficial Ownership."
2 This "front-running" prevention rule is designed to prevent personal gain
based upon the investment activities or recommended investment activities of
any of the Associated Portfolios.
3 This black-out requirement is designed to prevent personal gain based
upon the investment activities of any of the Associated Portfolios. A
Portfolio Manager may not trade the same security as an Associated Portfolio
until seven full calendar days have elapsed since the Portfolio trade
(the seven days do not include the day of the Portfolio trade).
4 Please see Section 1D of the Code for definition of "Beneficial Ownership."
5 This "front-running" prevention rule is designed to prevent personal gain
based upon the investment activities or recommended investment activities of
any of the Associated Portfolios.
6 Material Information: information the dissemination of which would have
a substantial impact on the market price of the company's securities, or
is likely to be considered important by reasonable investors in determining
whether to trade in such securities. Examples of the type of information
that might be "material" would include the following: earnings estimates
or changes in previously released earnings estimates, merger or acquisition
proposals, major litigation, significant contracts, dividend changes,
extraordinary management developments.
7 Non-public Information: information that has not been generally disclosed
to the investing public. Information found in a report filed with a local
regulatory agency, such as the SEC, or appearing in publications of wide
circulation would be considered public.
8 See Appendix F for additional information on preclearance.
9 See definition of "Security" and "Beneficial Ownership" for additional
information.
<PAGE>
APPENDIX A
Upon Employment/Annual Disclosure
of Securities Holdings
I have been identified by the Compliance Officer as a Level 1 or 2 "Access
Person" as defined in the State Street Global Advisors Code of Ethics. As
required under the Code, I am reporting (within 10 days of my employment
and annually thereafter) all Securities in which I have Beneficial
Ownership. The Securities are as follows:
Number of Shares, Contracts Name and Class
or Par Value of Securities
|_| Attached are statements disclosing all securities holdings as of the
month-end of my first month of employment at SSgA.
- ------------------ --------------------------- -------------- -------
Print Name Signature Area Date
- --------------------------------------------------------------------------------
STATEMENT OF CONFIDENTIALITY
State Street Global Advisors Risk Management & Compliance area recognizes
the sensitive nature of all materials disclosed for reporting purposes.
Direct access to any personal information is limited to SSgA Compliance
personnel. Requests for access from internal auditors or external
regulators (i.e. the SEC, the Federal Reserve Bank Examiners, the
Commodities Futures Trading Commission, etc.) are controlled to restrict
the flow of information to the minimum necessary.
To further ensure confidentiality, all information provided to SSgA Risk
Management & Compliance is kept in a secured location.
- --------------------------------------------------------------------------------
<PAGE>
APPENDIX B
Form Letter Requesting Broker, Dealer, Investment Adviser, Bank or Other
Financial Institution to Forward Duplicate
Confirmations of Trades and Periodic Account Statements
Date
Name and
Address of Broker
Re: Name of Access Person and Account Number(s)
Dear Sir or Madam:
I am associated with State Street Global Advisors, an area of State
Street Bank and Trust Company, an investment adviser to certain
registered investment companies and other accounts. I have beneficial
interest in and/or discretionary control over the above-referenced
account(s). Therefore, please send a duplicate confirmation of each
transaction in the account(s) and periodic account statements to:
State Street Global Advisors
Attn: Compliance Officer
A/C (Name of Access Person)
P.O. Box 9185
Boston, MA 02209
Additionally, please disregard any prior requests concerning duplicate
confirmations in the account(s).
Very truly yours,
Name of Access Person
<PAGE>
APPENDIX C
Access Person - Proposed Transaction Form
Section A:
ACCESS PERSON:
_____________________ ________ _________________________ ____________
Print Name AP Level Signature Date
<TABLE>
<S> <C> <C> <C> <C> <C>
- ----------------------------------------- ------------------------- ------------ ------------- -------------- ----------------
Have you bought or sold any security Security Name Date Buy/Sell Amount Price
listed below within the past 60 days?
If so, please complete the following
for Each previous trade:
- ----------------------------------------- ------------------------- ------------ ------------- -------------- ----------------
</TABLE>
Section B: TO BE COMPLETED BY TRADING DESK
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
----------------- -------------- ------------ ------------ ---------- --------------
Pending Buy or If Pending % of % of Trade Do NOT Trade
Sell by a Buy or Sell, Access Portfolio Approved - % exceeds
Portfolio* Average 10 Person Trade vs. (Trading limit
Trade Buy or #of (Name and # of day Volume of Trade vs. Average 10 Desk (Trading
Security Date Sell Shares Shares) Security Trade 10 day day Initials) Desk
Volume* volume** Initials)
----------------- -------------- ----------- ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
----------------- -------------- ------------ ------------ ---------- --------------
</TABLE>
In the event that (1) the above security is NOT a pending purchase or sale by an
account managed by SSgA, or (2) the above equity security is a pending purchase
or sale by an account managed by SSgA, but the size of the proposed transaction
by the Access Person and the relevant Portfolio compared to the ten-day average
volume of the security are such that the above transaction by the Access Person
will not adversely affect the execution of the pending trade by the account, the
transaction will be permitted. Such a transaction shall be exempt from Section
3A, Prohibited Purchases and Sales of the Code of Ethics.
* Level 1 APs preclearing a security that a Portfolio over which they have
trading control has traded recently, may not trade this security until seven
days after the last trade of this security in the Portfolio (7 day black-out
period). In addition, if you are a member of the Trust Strategy et al
distribution list, you can not trade in a security for 7 days after a rating
change, addition, or deletion of that security to the Global Fundamental
Research Group's Approved List. executing as the trading desk will NOT evaluate.
You are responsible for not executing as the trading desk will NOT evaluate.
**MUST be 2% or less in both cases or transaction is not permitted.
DIRECTIONS FOR PROPOSED TRANSACTION FORM:
Step 1: Section A is completed by Access Person
Step 2: Section B is completed by Trading Desk
Step 3: Section C is signed by a Compliance Officer
Section C
Reviewed by: ________________________________
SSgA Compliance Officer
o Access Persons are required to preclear electronically via Lotus Notes where
available.
o Preclearance is valid until midnight in the location of the primary
exchange where the security is traded.
o List Beneficial Owner account name if
applicable.
<PAGE>
APPENDIX D
[Logo] SSgA Sample Quarterly Transaction Form
- --------------------------------------------------------------------------------
To: <Access Person> Date: ______________
From: SSgA Risk Management Fax#: (617) 664-6174
Re: Quarter-end Report of Securities Transactions
I have been identified by the Compliance Officer as a Level 1, 2, or 3 "Access
Person" as defined by the SSgA Code of Ethics. As required under the Code, I am
reporting all securities in which I have Beneficial Ownership. Transactions in
any "Security" as defined in the Code (Section 1.4.J) are reportable.
This completed memo must be submitted by XXXXXX
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) Please check ONE: I DO NOT have any reportable securities
NO transactions for the specified calendar
quarter.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
I HAVE reportable transactions
("reportable transactions" do not
include dividend reinvestments and
transactions in any open-end mutual
funds) for the specified calendar
quarter and have requested my confirms
and statements to be forwarded
directly to the local Compliance
Officer at SSgA.
YES
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(2) Please check ONE: I HAVE NOT had any short-term
transactions (transactions in the same
security within any 60-day period)
this past quarter.
NO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
I HAVE HAD short-term transactions this
past quarter. The date(s) and security
names(s) for the transactions must be
provided below. If you need to see
your account documentation, please
contact Compliance.
YES
Date(s): Security Name(s):
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(3) Please check ONE: I HAVE NOT complied with all applicable
provisions contained in the Code of
Ethics
NO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
I HAVE complied with all applicable
provisions contained in the Code of
Ethics for the past quarter.
YES
- --------------------------------------------------------------------------------
Explanation of "No" answer or any comments you would like to make:
By clicking on this button you are electronically signing off on your quarterly
transaction reporting.
[SUBMIT]
<PAGE>
APPENDIX E
Request for Approval of Privately Offered Security Transaction
As required by Code Section 3B.2(b)
ACCESS PERSON:_________________ __________________ _____________ ______
Print Name Signature Area Date
Please describe in detail (list buyer/seller) the nature of the proposed Private
Offering Transaction and your involvement in the offering.
Please provide offering memorandum or any other documentation pertinent to this
transaction to your local Compliance Officer. Describe how and why you were
invited to participate in this Private Offering.
What is your initial investment amount? $____________________________
Do you have investment discretion? Yes ______ No _____
Will you be compensated? Yes ________ No _____ If yes, provide details (include
specific amount):
Any possible conflict of interest with State Street Corporation or its
affiliates? Yes _____ No _____ If yes, please describe:
Do you have any reason to believe that this Private Offering involves any
potential conflict of interest with any customers of State Street
Corporation or its affiliates?
Yes _____ No _____
If yes, please describe:
Date: ___________________ Approved by:________________________________________
Compliance Officer
<PAGE>
APPENDIX F
Frequently Asked Questions and Answers
1.Preclearance
A. What trades require preclearance?
Any and all trades of Securities, as defined in the SSgA Code of Ethics
(Section I-J), placed by an Access Person for his or her own personal
account; or accounts of relatives for whom the Access Person provides
investment advice (i.e., a trade made at the specfic direction of the
Access Person on behalf of a relative regardless of who actually places
the order).
See the definition of Beneficial Ownership (Section 1-D of the Code)
for further information. If the relative makes the specific investment
decisions on their own, preclearance is not required, even if the
Access Person provides general investment advice to the relative.
B. SSgA Funds?
No preclearance or reporting is required for trades in the SSgA Funds
or any other open-end mutual fund.
C. (Good `Till Cancelled Order) GTC or Limit Order?
Yes, Access Persons are required to obtain preclearance every day the
GTC or Limit Order is open. Your broker needs to understand that you
need Trading Desk approval before the trade is executed.
D. Dividend Reinvestments or the Exercise of Rights, Warrants, or Tender
Offers?
No, acquisition of a security due to dividend reinvestment or the
exercise of rights, warrants or tender offers that may have resulted
from a spin off do not need to be precleared. These transactions should
be reported to your local Compliance Officer once acknowledgment of the
transaction is received.
E. Can I preclear Fixed Income Trades via Lotus Notes?
No, preclearance for Fixed Income trades must be done manually via
Appendix G of the Code. Deliver or fax the form to the Fixed Income
Group at 225 Franklin Street to the attention of the Fixed Income
Manager.
F. Is it necessary to preclear or report trades in State Street stock
options granted pursuant to employment?
When State Street (ticker symbol STT) stock options, granted pursuant
to employment, are exercised and the securities are sold at the first
possible time, no preclearance is necessary. When STT options are
exercised and then sold at a later time, the transaction(s) must be
precleared and reported at quarter end. Confirms and account statements
for these transactions should be forwarded to your local Compliance
Officer as with any other Securities reporting. Shares purchased by
exercising State Street stock options must be reflected on the Annual
Disclosure report (Appendix A) for Access Person Levels 1 and 2.
Access Persons are prohibited from engaging in short selling and options
trading of State Street securities (except to the extent such options are
issued by the Corporation as part of an Access Person's employee compensation.)
G. Do option trades require preclearance and reporting?
Option trades initiated by you must be precleared. If another party
exercises an option sold by you this transaction must be reported with
your other securities transactions.
H. Is preclearance or reporting required if I donate, rather than sell,
Securities from my portfolio?
No preclearance is required by the donor but reporting is required for
any receipt by gift of securities. A copy of the transfer certificate
must be supplied to your local Compliance Officer as part of the
quarterly reporting process at the quarter end following the transfer.
I. What trades must be reported on a quarterly basis, post trade?
For any reportable Securities trade, the Access Person must direct his
or her broker to forward duplicate confirms and periodic
transaction/account statements directly to their local Compliance
Officer. In addition, any and all transactions for accounts which the
Access Person has a Beneficial Ownership (regardless of who makes the
actual investment decisions), must be reported. Account statements and
confirms must be forwarded to your local Compliance Officer as trades
occur.
J. Is preclearance or disclosure required if I am a member of an Investment
Club?
If an Access Person joins an investment club or is an existing member
upon employment with SSgA, a list of holdings must be submitted to your
local Compliance Officer. No preclearance for trades is necessary
although quarterly statements of the Investment Club's Securities
transactions must be sent to Compliance directly from the Broker,
referencing the Access Person. Annual disclosure of the investment
club's holdings is required for Access Person Levels 1 and 2. Trades
should be precleared if an Access Person exercises influence over the
selection of securities.
2.INDIVIDUAL RETIREMENT ACCOUNTS
A. Are trades in my self-directed Individual Retirement Account covered
by the Code?
Preclearance and reporting are necessary when the IRA contains
Securities as defined in Section 4 of the Code.
For transactions within the Salary Savings Program, including the State
Street Self Managed Brokerage Accounts (SMBA), all investments of
Securities, as defined in Section 1-J of the Code, must be precleared
and reported as required by the Code.
The fund options contained in the State Street 401(k) program do not
require regular preclearance or reporting. Although transactions in the
State Street Stock Fund do not need to be reported, as they are not
defined as a Security, employees transacting in the State Street Stock
Fund should be aware that these transactions are subject to the insider
trading restrictions contained in the Code and State Street's Standard
of Conduct.
<PAGE>
3. MARGIN ACCOUNTS
A. What are my responsibilities concerning a margin account?
SSgA employees are allowed to open margin accounts, however, prior
written disclosure must be made by all Access Person Levels 1-4 to your
local Compliance Officer. This may be done via Lotus Notes. All Access
Persons who maintain a margin account are required to provide copies of
account statements to your local Compliance Officer for review. Please
remember that short-term trading is discouraged and will be monitored
by Compliance.
4. TRUSTEE POSITION
A. What are my responsibilities if I serve as a Trustee for a
relative's trust account?
Am I subject to the preclearance and reporting requirements of the
Code?
Each situation differs and will be reviewed on a case-by-case basis to
determine what reporting and disclosure is required. A memo detailing
the Trustee's role must be submitted to your local Compliance Officer
who will review the facts and circumstances and inform you of
preclearing or reporting requirements.
5. DIRECTORSHIP
A. What if I sit on a Board of Directors, or serve as Treasurer or Finance
Director for a non-profit organization?
Does the Code govern the investment activities of the
non-profit organization?
Under the State Street Standard of Conduct, there is generally no
requirements for an employee to disclose to or request approval from
State Street in order to serve in a non-profit organization; however,
if the employee is eligible to receive any fee, income or compensation
in connection with the service, then a request for approval must be
made as though the organization were a "for profit" entity.
If the non-profit organization invests only in open-end mutual funds or
obligations backed by the United States Government, no preclearance or
reporting is required.
Under the SSgA Code of Ethics, if the non-profit organization's
portfolio contains Securities (as defined in the Code), you are
required to submit a memo to your local Compliance Officer explaining
the investment structure and your participation in the investment
selection. If you either direct or individually trade Securities for
the organization, then all trades must be precleared and reported.
B. What are my obligations to State Street regarding disclosure of
business directorships under the SSgA Code and the State Street
Standard of Conduct?
The SSgA Code prohibits the Access Person from service as a director of
a publicly traded company or any company whose Securities are owned by
a Fund, without prior written consent of an area Executive Vice
President and notice to your local Compliance Officer. The SSgA Code
does not prohibit the Access Person from service as a director of State
Street Corporation or any of its subsidiaries or affiliates.
Under the State Street Standard of Conduct, an employee is required to
obtain the approval of his or her Area Executive before becoming a
director, officer, employee, partner or sole proprietor of a "for
profit" organization. The request for approval should disclose the name
of the organization, the nature of the business, whether any conflicts
of interest could reasonable result from the association, whether fees
or income will be earned, and whether there are any relationships
between the organization and State Street. The request for approval
along with the preliminary approval of the Area Executive is subject to
the final review and approval of the General Counsel. An employee
generally is permitted to retain the fees, income or compensation
earned in connection with an approved activity.
6. ADDITIONAL INFORMATION
A. Where can I go for additional information on the Code of Ethics?
The Code of Ethics is available on the SSgA Intranet Home Page under
"Recent Sightings". To look up a specific questions consult the Code of
Ethics "Quick Reference Tool" (Appendix I) which contains interpretive
business practices.
<PAGE>
APPENDIX G
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Preclearance of Fixed Income Trades by Access Persons (Personal Transactions)
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Effective Date: 10/1/96
Revised: 05/03/99
Area/Business Unit: SSgA
Approved by: Robert Fort
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Policy Statement
U.S. domiciled Access Persons are required to preclear personal securities
transactions in corporate and municipal fixed income securities. If the Fixed
Income Department is not participating in the purchase or sale of the relevant
security for clients, the limits listed below will not apply.
The Fixed Income Unit Head is not responsible for judging the credit quality of
proposed personal transactions.
Procedure:
Responsibility Action
U.S. domiciled Access Submitproposed transaction form (Appendix C of
Persons Code of Ethics) for a personal fixed income
security trade via hard copy to the Unit Head/
Bond Desk of the PAM Fixed Income Department.
The Bond Unit Head-PAM Review the proposed personal transaction based on the
following criteria:
a. New Issues: Proposed personal transactions may not exceed 0.05% of the new
issue.
b. Secondary Market Trades: Proposed transactions may not exceed 0.05% of the
current total outstandings of the issue.
c. Municipal Securities: Approval of personal trades in the secondary
municipal securities will be effective for 15
calendar days. After that time, the Access Person
will have to re-apply for preclearance.
If approved, the Unit Head will sign and date the
Proposed Transaction Form and return it to the
Access Person. The Access Person submits a copy
of the approved Proposed Transaction Form to
SSgA's Compliance Department
Effective 05/03/99
Robert Fort - Unit Head
Back-ups:
Deborah Vargo
Paul Mattocks
Maureen Buttenheim
<PAGE>
APPENDIX H
List of Local Compliance Officers
AREA COMPLIANCE OFFICER TELEPHONE/EMAIL
Boston Kathleen Griffin (617)664-3921
GA (Boston, PAM, SSBSI) Kathleen Griffin/BOSTON/SSGA
Retirement Investment Judy Dorian (617)376-9634
Services Judith A Dorian/RIS/SSGA
AIT Dana Vicander (727)799-3671
Dana Vicander/BOSTON/SSGA
Australia Ray Moses 011 61 2 9240 7628
Ray Moses/SYDNEY/SSGA
Chile Inma Pena 011 56 2 350 420
Inma Pena/BOSTON/SSGA
Hong Kong Yan Yan Li 011 852 2103 0268
Yan Yan Li/BOSTON/SSGA
London, Rexiter Capital Neil Warrender 011 44 207 698 6005
Management, Dubai, Neil Warrender/LONDON/SSGA
Brussels, Switzerland,
Spain
Munich Klaus Esswein 011 49 89 55878
Klaus Esswein/LONDON/SSGA
Paris Andgy Ma 011 33 01 5375 8026
Angdy Ma/PARIS/SSGA
Toronto/Montreal Marilina Mastronardi (514)282-2420
Marilina Mastronardi/
MONTREAL/SSGA
Tokyo Satoru Miyokawa 011 81 3 5408 7345
Satoru Miyokawa/TOKYO/SSGA
APPENDIX I
Code of Ethics Quick Reference Tool
[OBJECT OMITTED]
