<PAGE>
STATE STREET NAVIGATOR
SECURITIES LENDING PRIME PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2000
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SEMI-ANNUAL REPORT AS OF JUNE 30, 2000
MANAGEMENT DISCUSSION AND ANALYSIS
State Street Navigator Securities Lending Prime Portfolio (the "Fund") is a
special purpose money market fund. The Fund's objective is to provide liquidity
and preserve capital while offering a competitive return.
Gross Domestic Product (GDP) logged an impressive 5.4% during the first quarter
of 2000 after 7.3% growth for the fourth quarter of 1999. Evidence shows that
Y2K inventory and generous liquidity provisions sponsored by the Federal Reserve
supported this astounding performance. (The surplus of liquidity loosened
monetary policy when tight labor markets and excess demand called for
tightening.) For the first two quarters of 2000, while consumer demand stayed
steady and inflation continued on an upward rise, Federal Reserve policymakers
embarked on an aggressive tightening campaign to slow U.S. growth. By the end of
the second quarter, the Fed had raised interest rates by 100 basis points. As
Y2K liquidity reserves unwound and the effects of tighter monetary policy set
in, analysts expected a more moderate 3.5% growth rate for second quarter GDP.
Looking forward, softer growth (combined with the latest rounds of economic
data) should ease inflationary concerns of policymakers, as seen by slowdowns in
new home sales, mortgage applications, durable goods orders and employment
growth. We are hesitant to conclude that the FOMC is finished or near finished
with its tightening campaign and look forward to future data and signs that the
economy is cooling down.
The investment strategy throughout the second quarter was to take advantage of
any back up in interest rates by extending in one year while maintaining
liquidity. The anticipation of interest rate increases caused the yield curve to
steepen, creating an opportunity to gain yield and extend the average maturity
of the Fund. Although we looked for opportunities to extend, volatility in the
NASDAQ caused substantial cash swings throughout the quarter and liquidity
became our biggest obstacle. With liquidity in mind, we purchased securities
laddered in one to three months. At the beginning of the second quarter, the
portfolio's average maturity stood at 67 days and at the end of the second
quarter, stood at 66 days. Due to a lack of issuance in floating-rate notes, the
percentage of floaters decreased to approximately 17% of the portfolio. The lack
of issuance in 13 months was due to a change in league table writing standards.
We will continue to manage the Fund to meet its objectives of offering
competitive returns, adequate liquidity and a stable net asset value.
1
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER -- 23.32%
ASSET BACKED SECURITIES DIVERSIFIED -- 9.13%
Ciesco LP 6.380% 07/17/2000 $ 52,000,000 $ 51,852,551
Ciesco LP 6.550% 08/01/2000 32,000,000 31,819,511
Ciesco LP 6.570% 08/09/2000 32,000,000 31,772,240
Corporate Asset Funding Corp. 6.400% 07/07/2000 50,000,000 49,946,667
Corporate Asset Funding Corp. 6.570% 07/14/2000 75,000,000 74,822,062
Corporate Asset Funding Corp. 6.380% 07/17/2000 60,000,000 59,829,867
Corporate Asset Funding Corp. 6.620% 08/21/2000 85,000,000 84,202,842
Delaware Funding Corp. 6.580% 07/25/2000 40,000,000 39,824,533
Delaware Funding Corp. 6.580% 07/26/2000 55,013,000 54,761,621
Delaware Funding Corp. 6.540% 07/28/2000 50,714,000 50,465,248
Delaware Funding Corp. 6.650% 08/04/2000 50,000,000 49,685,972
Delaware Funding Corp. 6.650% 08/15/2000 20,177,000 20,009,279
Edison Asset Securitization 6.560% 07/12/2000 70,000,000 69,859,689
Edison Asset Securitization 6.550% 08/01/2000 50,000,000 49,717,986
Edison Asset Securitization 6.580% 08/01/2000 50,000,000 49,716,695
Edison Asset Securitization 6.680% 08/29/2000 50,000,000 49,452,611
Edison Asset Securitization 6.700% 08/30/2000 63,000,000 62,296,500
Edison Asset Securitization 6.600% 09/05/2000 78,675,000 77,723,032
Edison Asset Securitization 6.600% 09/22/2000 50,000,000 49,239,167
Falcon Asset Securitization 6.580% 07/20/2000 149,000,000 148,482,556
Falcon Asset Securitization 6.560% 07/28/2000 62,980,000 62,670,138
Falcon Asset Securitization 6.560% 07/31/2000 40,000,000 39,781,333
Falcon Asset Securitization 6.610% 09/15/2000 30,000,000 29,581,367
Old Line Funding Corp. 6.570% 07/07/2000 41,823,000 41,777,204
Park Avenue Receivables Corp. 6.550% 07/13/2000 165,000,000 164,639,750
Park Avenue Receivables Corp. 6.590% 07/24/2000 50,000,000 49,789,486
Preferred Receivables Funding Corp. 6.550% 07/20/2000 25,000,000 24,913,577
Preferred Receivables Funding Corp. 6.550% 07/27/2000 26,700,000 26,573,694
Preferred Receivables Funding Corp. 6.560% 07/27/2000 75,000,000 74,644,667
Preferred Receivables Funding Corp. 6.600% 09/07/2000 40,000,000 39,501,333
-----------------
1,709,353,178
-----------------
AUTOMOTIVE -- 0.94%
Daimlerchrysler NA 6.630% 08/23/2000 115,000,000 113,877,504
Daimlerchrysler NA 6.680% 09/01/2000 63,000,000 62,275,220
-----------------
176,152,724
-----------------
BANK FOREIGN -- 5.37%
ABN-AMRO Bank 6.607% 09/29/2000 125,000,000 122,935,312
Commonwealth Bank Australia 6.640% 08/22/2000 75,000,000 74,280,667
Den Danske Corp. 6.585% 09/25/2000 100,000,000 98,426,917
Deutsche Bank AG 6.600% 09/07/2000 100,000,000 98,753,333
Dexia CLF Finance Co. 6.210% 07/14/2000 49,000,000 48,890,118
Dexia CLF Finance Co. 6.590% 09/20/2000 55,000,000 54,184,487
National Australia Bank Ltd. 6.580% 09/22/2000 75,000,000 73,862,208
Nordbanken North America, Inc. 6.225% 07/31/2000 100,000,000 99,481,250
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
BANK FOREIGN (CONTINUED)
Swedbank, Inc. 6.650% 08/16/2000 $ 55,000,000 $ 54,532,653
Swedbank, Inc. 6.600% 09/05/2000 50,000,000 49,395,000
UBS Finance, Inc. 6.740% 07/05/2000 100,000,000 99,925,111
Woolwich Building Society 6.690% 12/11/2000 50,000,000 48,485,458
Woolwich Building Society 6.680% 12/12/2000 35,000,000 33,934,911
Woolwich Building Society 6.690% 12/12/2000 50,000,000 48,476,167
-----------------
1,005,563,592
-----------------
BANK MULTINATIONAL -- 0.66%
Morgan J P & Co., Inc. 6.560% 08/10/2000 50,000,000 49,635,556
Morgan J P & Co., Inc. 6.580% 09/08/2000 75,000,000 74,054,125
-----------------
123,689,681
-----------------
BANK REGIONAL -- 1.33%
Bank of New York 6.686% 08/30/2000 50,000,000 49,442,833
Bank of New York 6.600% 09/14/2000 25,000,000 24,656,250
Bank of New York 6.610% 09/25/2000 25,000,000 24,605,236
SunTrust Banks, Inc. 6.700% 09/06/2000 150,000,000 150,000,000
-----------------
248,704,319
-----------------
FINANCE CAPTIVE -- 0.37%
Unilever Capital Corp. 6.560% 08/08/2000 70,000,000 69,515,289
-----------------
FINANCE NON-CAPTIVE DIVERSIFIED -- 3.56%
General Electric Capital Corp. 6.390% 07/11/2000 150,000,000 149,733,750
General Electric Capital Corp. 6.620% 08/18/2000 75,000,000 74,338,000
General Electric Capital Corp. 6.580% 09/07/2000 150,000,000 148,135,667
General Electric Capital Corp. 6.580% 09/11/2000 75,000,000 74,013,000
General Electric Capital Corp. 6.570% 09/14/2000 75,000,000 73,973,438
General Electric Capital Corp. 6.620% 10/10/2000 50,000,000 49,071,361
General Electric Capital Corp. 6.630% 10/27/2000 100,000,000 97,826,833
-----------------
667,092,049
-----------------
INSURANCE -- 0.60%
Aegon Funding Corp. 6.530% 08/07/2000 50,000,000 49,664,430
Aegon Funding Corp. 6.640% 08/17/2000 62,000,000 61,462,529
-----------------
111,126,959
-----------------
PHARMACEUTICALS -- 1.36%
Glaxo Wellcome Plc 6.550% 08/09/2000 150,000,000 148,935,625
Glaxo Wellcome Plc 6.570% 09/05/2000 106,915,000 105,627,209
-----------------
254,562,834
-----------------
TOTAL COMMERCIAL PAPER 4,365,760,625
-----------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- 32.09%
BANK FOREIGN -- 29.97%
Abbey National Treasury Services 7.260% 05/09/2001 $ 75,000,000 $ 75,000,000
Abbey National Treasury Services 7.330% 05/16/2001 75,000,000 75,000,000
Abbey National Treasury Services 7.420% 05/21/2001 125,000,000 125,000,000
Abbey National Treasury Services 6.700% 09/12/2000 100,000,000 100,000,000
Australia & New Zealand Banking 6.295% 07/27/2000 130,000,000 130,000,000
Australia & New Zealand Banking 7.177% 05/08/2001 65,000,000 64,985,609
Banco Bilboa Vizcaya, New York 6.750% 08/21/2000 100,000,000 100,000,000
Banco Bilboa Vizcaya, New York 6.720% 09/12/2000 100,000,000 100,000,000
Bank of Nova Scotia 5.900% 08/07/2000 25,000,000 24,998,789
Bank of Nova Scotia 6.690% 09/21/2000 100,000,000 100,000,000
Bank of Nova Scotia 6.550% 01/16/2001 50,000,000 49,987,054
Bank of Nova Scotia 6.550% 01/24/2001 40,000,000 39,989,223
Bank of Nova Scotia (a) 6.575% 02/28/2001 145,000,000 144,953,069
Bank of Nova Scotia (a) 6.551% 03/01/2001 80,000,000 79,973,791
Bank of Scotland 6.705% 09/18/2000 125,000,000 125,001,348
Bank of Scotland 6.930% 12/13/2000 100,000,000 100,000,000
Bank of Scotland (a) 6.665% 03/23/2001 50,000,000 49,982,252
Bank of Scotland 7.340% 05/16/2001 50,000,000 50,000,000
Barclays Bank Plc 5.800% 07/28/2000 35,000,000 35,000,000
Bayerische Vereinsbank 5.900% 08/07/2000 100,000,000 99,995,156
Canadian Imperial Bank Commerce (a) 6.720% 09/27/2000 100,000,000 100,000,000
Canadian Imperial Bank Commerce (a) 7.070% 05/03/2001 125,000,000 124,970,265
Commerzbank AG 6.310% 08/22/2000 100,000,000 100,001,400
Commerzbank AG 6.510% 12/11/2000 35,000,000 35,001,509
Commerzbank AG 6.530% 01/25/2001 100,000,000 99,972,922
Commerzbank AG 6.700% 02/12/2001 200,000,000 199,941,264
Commerzbank AG (a) 6.560% 02/16/2001 250,000,000 249,923,098
Commerzbank AG 6.700% 02/20/2001 200,000,000 199,939,196
Deutsche Bank AG 6.700% 09/22/2000 100,000,000 100,000,000
Deutsche Bank AG (a) 6.571% 12/13/2000 125,000,000 124,949,283
Deutsche Bank AG 6.550% 01/16/2001 100,000,000 99,974,108
Deutsche Bank AG 6.750% 02/22/2001 150,000,000 149,954,013
Dresdner Bank AG 6.550% 08/07/2000 100,000,000 100,000,000
Dresdner Bank AG 6.720% 09/07/2000 100,000,000 100,003,482
Dresdner Bank AG 6.720% 09/11/2000 100,000,000 100,001,966
Halifax Group Plc 6.720% 09/13/2000 200,000,000 200,000,000
ING Bank Amsterdam 6.250% 07/31/2000 40,000,000 39,995,564
ING Bank Amsterdam 6.705% 09/08/2000 185,000,000 185,001,743
National Australia Bank Ltd. 6.900% 12/06/2000 50,000,000 50,001,561
National Australia Bank Ltd. 6.905% 12/12/2000 100,000,000 100,002,200
Rabobank Nederland 6.550% 08/07/2000 150,000,000 150,000,000
Royal Bank Canada 6.550% 01/22/2001 36,000,000 35,990,398
Royal Bank of Scotland 6.620% 08/08/2000 50,000,000 50,000,000
Royal Bank of Scotland 6.620% 08/22/2000 100,000,000 100,000,000
Royal Bank of Scotland 6.805% 09/05/2000 100,000,000 100,000,000
Royal Bank of Scotland 6.815% 09/05/2000 100,000,000 100,001,801
Royal Bank of Scotland 6.720% 09/12/2000 50,000,000 50,000,000
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT (CONTINUED)
BANK FOREIGN (CONTINUED)
Svenska Handelsbanken, Inc. 6.710% 03/15/2001 $ 75,000,000 $ 74,979,954
Svenska Handelsbanken, Inc. 6.930% 05/02/2001 25,000,000 24,996,043
Svenska Handelsbanken, Inc. 7.000% 05/02/2001 25,000,000 24,996,045
Toronto Dominion Bank 6.910% 12/27/2000 90,000,000 90,000,000
Toronto Dominion Bank 7.230% 05/15/2001 73,000,000 72,993,993
UBS AG 6.100% 11/27/2000 75,000,000 74,979,564
UBS AG 6.240% 12/06/2000 100,000,000 99,969,069
UBS AG 6.500% 01/08/2001 150,000,000 149,962,705
Unibank AS 6.750% 08/18/2000 100,000,000 100,000,000
Unibank AS 6.690% 09/21/2000 150,000,000 150,000,000
WESTPAC Banking Corp. 6.710% 02/09/2001 33,000,000 32,989,481
-----------------
5,611,358,918
-----------------
BANK REGIONAL -- 2.12%
First Tennessee Bank NA 6.720% 09/07/2000 75,000,000 75,000,000
First Tennessee Bank NA 6.750% 02/26/2001 97,000,000 96,963,725
Firstar Bank Milwaukee 6.580% 07/17/2000 75,000,000 75,000,000
Firstar Bank Milwaukee 6.710% 09/29/2000 150,000,000 150,000,000
-----------------
396,963,725
-----------------
TOTAL CERTIFICATES OF DEPOSIT 6,008,322,643
-----------------
CORPORATE OBLIGATIONS -- 10.01%
AUTOMOTIVE -- 1.42%
Daimlerchrysler NA (a) 6.534% 07/06/2000 150,000,000 149,997,329
Daimlerchrysler NA 6.680% 02/07/2001 46,000,000 45,981,502
Daimlerchrysler NA (a) 6.689% 02/22/2001 35,000,000 34,983,931
Daimlerchrysler NA (a) 6.850% 03/12/2001 35,000,000 35,025,858
-----------------
265,988,620
-----------------
BANK FOREIGN -- 0.27%
Australia & New Zealand Banking (a) 6.776% 06/01/2001 50,000,000 49,995,423
-----------------
BANK MULTINATIONAL -- 1.31%
Chase Manhattan Corp. (a) 7.010% 11/17/2000 25,000,000 25,028,317
Chase Manhattan Corp. (a) 6.375% 04/30/2001 25,000,000 25,003,797
Citigroup Inc. (a) 6.623% 04/04/2001 195,000,000 195,000,000
-----------------
245,032,114
-----------------
BANK REGIONAL -- 3.27%
Bank One Corp. (a) 6.870% 10/06/2000 150,000,000 149,981,422
NationsBank Corp. (a) 6.825% 09/29/2000 122,070,000 122,101,101
NationsBank Corp. (a) 6.340% 10/05/2000 140,000,000 140,031,171
Wells Fargo & Company (a) 6.761% 07/24/2001 200,000,000 199,920,044
-----------------
612,033,738
-----------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
FINANCE CAPTIVE -- 2.57%
BMW US Capital Corp. (a) (b) 6.823% 06/04/2001 $ 145,000,000 $ 145,000,000
Diageo Capital Plc (a) 6.649% 08/10/2000 140,000,000 139,987,759
Ford Motor Credit Company (a) 6.769% 11/22/2000 60,000,000 59,988,454
Ford Motor Credit Company (a) 7.042% 03/21/2001 48,000,000 48,115,186
Ford Motor Credit Company (a) 6.451% 07/16/2001 50,000,000 50,085,026
General Motors Acceptance Corp. (a) 6.253% 07/20/2000 37,500,000 37,499,022
-----------------
480,675,447
-----------------
FINANCE NON-CAPTIVE DIVERSIFIED -- 0.51%
General Electric Capital Corp. 7.380% 05/23/2001 40,000,000 40,000,000
Household Finance Corp. 5.678% 07/07/2000 55,000,000 54,999,558
-----------------
94,999,558
-----------------
TECHNOLOGY -- 0.13%
Xerox Corp. 5.635% 07/14/2000 25,000,000 24,999,187
-----------------
TELECOMMUNICATIONS -- 0.53%
AT&T Corp. (a) 6.683% 08/07/2000 100,000,000 100,000,000
-----------------
TOTAL CORPORATE OBLIGATIONS 1,873,724,087
-----------------
BANK NOTES -- 8.66%
BANK FOREIGN -- 0.41%
WESTPAC Banking Corp. 5.990% 09/18/2000 27,000,000 26,939,730
WESTPAC Banking Corp. 6.830% 04/27/2001 50,000,000 49,992,208
-----------------
76,931,938
-----------------
BANK REGIONAL -- 8.25%
Bank of New York 6.070% 11/20/2000 50,000,000 49,987,008
BankAmerica NA 6.770% 08/23/2000 100,000,000 100,000,000
BankAmerica NA 6.800% 09/01/2000 100,000,000 100,000,000
BankAmerica NA (a) 6.650% 06/06/2001 75,000,000 74,986,517
Comerica Bank (Detroit, Michigan) (a) 6.701% 09/25/2000 25,000,000 24,999,980
Comerica Bank (Detroit, Michigan) (a) 6.639% 11/20/2000 90,000,000 89,986,767
Comerica Bank (Detroit, Michigan) (a) 6.631% 11/24/2000 60,000,000 59,990,592
First Union National Bank (a) 6.375% 07/28/2000 40,000,000 40,000,000
First Union National Bank (a) 6.830% 08/31/2000 100,000,000 100,000,000
First Union National Bank (a) 6.802% 09/01/2000 50,000,000 49,999,794
Key Bank NA 5.670% 07/17/2000 62,500,000 62,498,687
Key Bank NA (a) 6.351% 08/01/2000 30,000,000 29,998,532
Key Bank NA (a) 6.823% 09/07/2000 150,000,000 149,986,361
Marshall & Ilsley 6.070% 09/28/2000 50,000,000 50,000,000
National City Bank 6.550% 01/22/2001 60,000,000 59,983,996
PNC Bank NA (a) 6.551% 02/26/2001 80,000,000 79,969,186
PNC Bank NA (a) 6.570% 03/23/2001 125,000,000 124,955,540
PNC Bank NA (a) 6.609% 05/25/2001 60,000,000 59,996,177
US Bank, NA (a) 6.609% 11/20/2000 50,000,000 49,988,555
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
BANK NOTES (CONTINUED)
BANK REGIONAL (CONTINUED
US Bank, NA (a) 6.609% 11/30/2000 $ 96,000,000 $ 95,974,832
US Bank, NA (a) 6.728% 12/20/2000 15,000,000 15,003,026
US Bank, NA (a) 6.670% 05/24/2001 75,000,000 75,000,000
-----------------
1,543,305,550
-----------------
TOTAL BANK NOTES 1,620,237,488
-----------------
TIME DEPOSITS -- 13.79%
BANK FOREIGN -- 1.07%
Bayerische Vereinsbank 7.000% 07/03/2000 200,000,000 200,000,000
-----------------
BANK REGIONAL -- 12.72%
Branch Bank & Trust Company 7.000% 07/03/2000 500,000,000 500,000,000
Fifth Third Bank 7.000% 07/03/2000 400,000,000 400,000,000
Harris Trust & Savings Bank 7.000% 07/03/2000 300,000,000 300,000,000
Marshall & Ilsley 7.000% 07/03/2000 181,272,000 181,272,000
Norwest Bank 7.000% 07/03/2000 400,000,000 400,000,000
SunTrust Banks 7.000% 07/03/2000 600,000,000 600,000,000
-----------------
2,381,272,000
-----------------
TOTAL TIME DEPOSITS 2,581,272,000
-----------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 3.56%
Federal Home Loan Mortgage 6.080% 07/13/2000 75,000,000 74,848,000
Federal Home Loan Mortgage 6.090% 07/20/2000 100,000,000 99,678,583
Federal Home Loan Mortgage 6.200% 07/27/2000 52,104,000 51,870,690
Federal National Mortgage Association 6.080% 07/13/2000 117,160,000 116,922,556
Federal National Mortgage Association 6.140% 07/27/2000 150,000,000 149,334,833
Federal National Mortgage Association 6.145% 07/27/2000 50,000,000 49,778,097
Federal National Mortgage Association 6.150% 07/27/2000 125,000,000 124,444,792
-----------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 666,877,551
-----------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST+
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENT -- 8.01%
Goldman Sachs, 6.880% due 07/03/2000,
(collateralized by various U.S.
Government Agency Obligations, due
06/01/2003-10/01/2025, valued at
$1,530,000,000) 6.880% 07/03/2000 $ 1,500,000,000 $ 1,500,000,000
TOTAL INVESTMENTS -- 99.44% 18,616,194,394
OTHER ASSETS LESS LIABILITIES -- 0.56% 105,018,830
-----------------
NET ASSETS -- 100.00% $ 18,721,213,224
=================
</TABLE>
a) Floating Rate Note - Interest rate shown is rate in effect at June 30,
2000.
b) Pursuant to Rule 144A of the Securities Act of 1933, this security may be
resold in transactions exempt from registration, normally to qualified
institutional buyers. At June 30, 2000, this security amounted to
$145,000,000 or 0.77% of the Fund's net assets.
+ See Notes to Financial Statements.
See Notes to Financial Statements.
8
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments in securities, at amortized cost.......................................... $ 18,616,194,394
Cash ................................................................................. 129
Interest receivable................................................................... 108,832,521
Deferred organization expense......................................................... 34,015
Prepaid insurance..................................................................... 76,202
----------------
Total Assets..................................................................... 18,725,137,261
----------------
LIABILITIES:
Dividend payable...................................................................... 3,456,804
Advisory fee payable.................................................................. 266,776
Administration fee payable............................................................ 86,719
Custodian fee payable................................................................. 54,397
Transfer agent fee payable............................................................ 23,029
Other accrued expenses and liabilities................................................ 36,312
----------------
Total Liabilities................................................................ 3,924,037
----------------
NET ASSETS............................................................................ $ 18,721,213,224
================
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value;
18,721,324,136 shares issued and outstanding..................................... $ 18,721,324
Capital paid in excess of par......................................................... 18,702,602,812
Accumulated net realized loss on investments.......................................... (110,912)
----------------
NET ASSETS............................................................................ $18,721,213,224
===============
Net asset value, offering, and redemption price per share............................. $ 1.00
================
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest.............................................................................. $ 534,384,362
----------------
EXPENSES:
Advisory fee.......................................................................... 1,505,055
Administration fee.................................................................... 497,147
Custodian fee......................................................................... 166,415
Transfer agent fee.................................................................... 72,544
Insurance expense..................................................................... 47,310
Trustees fees......................................................................... 33,203
Amortization of organization expenses................................................. 19,527
Audit fee............................................................................. 10,244
Legal fee............................................................................. 8,003
Miscellaneous expense................................................................. 18,333
----------------
Total expenses................................................................... 2,377,781
----------------
Net investment income................................................................. 532,006,581
----------------
NET REALIZED LOSS ON INVESTMENTS
Net realized loss on investments...................................................... (111,038)
----------------
Net increase in net assets resulting from operations.................................. $ 531,895,543
================
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------ -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income.................................................. $ 532,006,581 $ 517,613,478
Net realized gain (loss) on investments................................ (111,038) -
------------------ -----------------
Net increase in net assets resulting from operations................... 531,895,543 517,613,478
------------------ -----------------
DISTRIBUTIONS FROM:
Net investment income.................................................. (532,006,581) (517,613,478)
------------------ -----------------
FROM FUND SHARE TRANSACTIONS (AT CONSTANT $1.00 PER SHARE):
Proceeds from shares sold.............................................. 75,227,397,933 79,518,731,855
Cost of redemptions.................................................... (68,675,966,397) (74,141,126,449)
------------------ -----------------
Net increase in net assets from Fund share transactions................ 6,551,431,536 5,377,605,406
------------------ -----------------
Net increase in net assets............................................. 6,551,320,498 5,377,605,406
NET ASSETS:
Beginning of period.................................................... 12,169,892,726 6,792,287,320
------------------ -----------------
End of period.......................................................... $ 18,721,213,224 $ 12,169,892,726
================== =================
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
SIX FOR THE PERIOD
MONTHS ENDED MAY 15, 1996*
JUNE 30, 2000 YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
(UNAUDITED) DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1997 DECEMBER 31, 1996
----------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning
of period................. $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
----------- ----------- --------- ---------- -----------
Net investment income.... 0.0306 0.0519 0.0556 0.0560 0.0342
Distributions from net
investment income..... (0.0306) (0.0519) (0.0556) (0.0560) (0.0342)
----------- ----------- --------- ---------- -----------
Net increase from
investment operations.... 0.0000 0.0000 0.0000 0.0000 0.0000
----------- ----------- --------- ---------- -----------
Net asset value,
end of period............ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
============ =========== ========= ========== ===========
TOTAL INVESTMENT
RETURN (a).............. 3.10% 5.32% 5.70% 5.75% 3.47%
RATIOS AND SUPPLEMENTAL
DATA:
Ratio of expenses to average
net assets............... 0.03%(b) 0.03% 0.03% 0.04% 0.06%(b)(c)
Ratio of net investment income
to average net assets.... 6.19%(b) 5.22% 5.56% 5.62% 5.47%(b)(c)
Net assets, end of period
(in millions)............ $18,721 $12,170 $6,792 $5,591 $2,878
</TABLE>
* Commencement of investment operations.
(a) Total investment return is calculated assuming an initial investment made
at net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Amounts for periods less than
one year have not been annualized.
(b) Annualized.
(c) Net of administration waiver of expenses, amounting to less than 0.001% of
net assets for the period.
See Notes to Financial Statements.
12
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION AND FUND DESCRIPTION
State Street Navigator Securities Lending Trust (the "Trust") was organized as a
Massachusetts business trust on June 15, 1995 and is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Trust has established three series of shares
of beneficial interest representing interests in three separate portfolios:
State Street Navigator Securities Lending Government Portfolio, State Street
Navigator Securities Lending Prime Portfolio and State Street Navigator
Securities Lending Short-Term Bond Portfolio. Currently, only State Street
Navigator Securities Lending Prime Portfolio (the "Fund") has commenced
operations. The Fund is a money market fund used as a vehicle for the investment
of cash collateral received in conjunction with securities loans under the
Global Securities Lending Program maintained by State Street Bank and Trust
Company. The Fund's objective is to maximize current income to the extent
consistent with the preservation of capital and liquidity.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Fund:
SECURITY VALUATION: Investments are valued at amortized cost, which approximates
market value.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME: Securities transactions are
recorded on trade date. Realized gains and losses on sales of securities are
determined on the basis of identified cost. Interest income is recorded on the
accrual basis. Interest income is increased by accretion of discount and reduced
by amortization of premium.
REPURCHASE AGREEMENTS: A repurchase agreement customarily obligates the seller
at the time it sells securities to the Fund to repurchase the securities at a
mutually agreed upon price and time which, in the case of the Fund's
transactions, is within seven days. The total amount received by the Fund on
repurchase is calculated to exceed the price paid by the Fund, reflecting an
agreed-upon market rate of interest for the period of time to the settlement
date, and is not necessarily related to the interest rate on the underlying
securities. The underlying securities are ordinarily United States Government
securities, but may consist of other securities in which the Fund is permitted
to invest. Repurchase agreements are fully collateralized at all times. The use
of repurchase agreements involves certain risks. For example, if the seller of
securities under a repurchase agreement defaults on its obligation to repurchase
the underlying securities (as a result of its bankruptcy or otherwise) the Fund
will seek to dispose of such securities; this action could involve costs or
delays. The Fund may enter into repurchase agreements maturing within seven days
with domestic dealers, banks and other financial institutions deemed to be
creditworthy by the Adviser, State Street Global Advisors, a division of State
Street Bank and Trust Company.
ORGANIZATION EXPENSES: The Fund bears all costs in connection with its
organization. All such costs are being amortized using the straight line method
over a period of five years from commencement of the Fund's operations.
FEDERAL INCOME TAXES: It is the policy of the Fund to distribute all of its
income within the prescribed time and otherwise comply with the provisions of
the Internal Revenue Code applicable to regulated investment companies. It is
also the intention of the Fund to distribute an amount sufficient to avoid
imposition of any excise tax under Section 4982 of the Internal Revenue Code of
1986. Therefore, no provision has been made for federal taxes on income, capital
gains and excise tax on income and capital gains.
At June 30, 2000, the cost of investments for federal income tax purposes was
the same as the cost for financial reporting purposes.
13
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and pays
dividends daily from net investment income. Distributions from long-term capital
gains, if any, will be made at least annually. Income distributions and capital
gain distributions are determined in accordance with income tax regulations,
which may differ from generally accepted accounting principles.
USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. FEES AND COMPENSATION PAID TO AFFILIATES
State Street Bank and Trust Company serves as the Fund's Adviser, Administrator,
Custodian and Transfer Agent.
ADVISORY FEE: Under the terms of the investment advisory agreement, the Fund
pays an advisory fee at an annual rate of .0175% of the Fund's average daily net
assets.
ADMINISTRATION FEE: Under the terms of the administration agreement, the Fund
pays an annual administration fee equal to .035% of the Fund's average daily net
assets up to $300 million, .020% of the next $300 million and .005% in excess of
$600 million, subject to certain minimum requirements.
CUSTODIAN FEE: Under the terms of the custody agreement, the Fund pays an annual
accounting fee equal to $30,000 plus a custodian fee equal to .0025% of the
Fund's average daily net assets up to $1 billion, .0020% on the next $9 billion,
and .0015% in excess of $10 billion, plus transaction costs.
TRANSFER AGENT FEE: Under the terms of the transfer agency agreement, the Fund
pays a monthly fee of $2,500 plus transaction costs.
4. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of the Fund's
Investment Adviser or Administrator $2,500 for each meeting of the Board of
Trustees and an additional $1,000 for each telephonic meeting attended. The
Trust also pays each trustee an annual retainer of $10,000, excluding the
Chairman who receives an annual retainer of $15,000. Each trustee is reimbursed
for out-of-pocket and travel expenses.
5. BENEFICIAL INTEREST
At June 30, 2000, there was one shareholder who owned over 5% of the Fund's
outstanding shares, amounting to 9.4% of total shares. A redemption by one or
more of the Fund's shareholders may cause the remaining shareholders to bear
proportionately higher operating expenses and otherwise affect the Fund's future
liquidity and investment operations.
14
<PAGE>
TRUSTEES
Michael A. Jessee
George J. Sullivan Jr.
Peter Tufano
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
160 Federal Street
Boston, MA 02110
LEGAL COUNSEL
Goodwin, Proctor & Hoar LLP
Exchange Place
Boston, MA 02109
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of Fund shares.
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
State Street Bank and Trust Company
Global Securities Lending
Two International Place
Boston, MA 02110
