<PAGE>
STATE STREET NAVIGATOR SECURITIES
LENDING PRIME PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 1999
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
ANNUAL REPORT AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
MANAGEMENT DISCUSSION AND ANALYSIS
State Street Navigator Securities Lending Prime Portfolio (the "Fund") is a
special purpose money market fund. The Fund has been managed consistently with
the objective of providing liquidity and preserving capital while investing in
high quality instruments and offering competitive returns.
ECONOMIC ENVIRONMENT
Concerns about global economic problems were magnified at the beginning of the
first quarter 1999 due to the lingering effects of the turmoil in Asia and the
Russian economic crisis. The fear of slower economic growth was quickly reversed
in February as the U.S. economy continued to show signs of strength and low
inflation. The Federal Open Market Committee ("FOMC") met on February 2nd-3rd
and March 30th, leaving the Fed Funds rate unchanged at both meetings. The
market began to anticipate tighter monetary policy by the U.S. Federal Reserve
(the "Fed") due to the continuing stronger-than-expected growth of the U.S.
economy. Strong economic data continued into the second quarter, causing concern
at the Fed that inflationary pressures might increase. The Fed increased the Fed
Funds target rate at both the June 29th-30th and August 24th meetings, raising
the rate by a total of 50 basis points.
The fourth quarter became a balancing act for the FOMC as it was faced with two
conflicting issues - the fear that strong economic growth would cause wages and
commodity prices to surge (pushing up inflation) and the need to ensure a smooth
transition into the Year 2000 (providing sufficient liquidity). At the November
16th FOMC meeting, the Fed raised interest rates by 25 basis points (effectively
reversing the 75 basis points of easing from the fourth quarter of 1998). In
December, the Fed kept rates steady and issued the following statement, "The
focus of policy in the inter-meeting period must be ensuring a smooth transition
in the Year 2000."
INVESTMENT OVERVIEW
For the first half of 1999, Fund strategy focused on purchasing securities
during market weakness while maintaining liquidity within the target range.
During the latter portion of 1999, three factors drove the investment process:
maintaining sufficient liquidity for year-end, taking advantage of a steep yield
curve and staying defensive in a rising interest rate environment.
One-year floating rate securities, indexed off one-month and three-month LIBOR,
were purchased during the first half of 1999. Entering the third quarter,
uncertainty remained about lender and borrower commitments to maintain loan
balances over year-end. To provide adequate liquidity for the portfolio for the
remainder of 1999, we laddered maturities into November and December. Lender and
borrower commitments subsequently became firmer, allowing us to extend
maturities over the turn. With substantial year-end pressure priced into the
yield curve, we took advantage of the rising interest rate environment by
purchasing high-yielding securities maturing in January, February and March
2000. (Yields were higher for these securities as they had both year-end
pressure and future Federal Reserve interest rate tightenings priced in).
On June 30th, the portfolio contained 35.2% floating rate securities and at
year-end contained 36.2%. The portfolio's weighted average maturity increased
from 43 days on December 31, 1998 to 61 days on June 30, 1999 and then decreased
to 52 days on December 31, 1999. The one-month LIBOR reset in December averaged
6.4% while the three-month LIBOR reset averaged 6.14% during the fourth quarter.
As of December 31st, the Fund owned 12.1% in one-month LIBOR-based and 18.1% in
three-month LIBOR-based floating rate securities.
The Fund will continue to be managed to meet the objectives of offering
competitive returns, adequate liquidity, and a stable net asset value.
Maria F. Pino, CFA
Portfolio Manager
January 20, 2000
1
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER - 31.21%
ASSET BACKED SECURITIES DIVERSIFIED - 12.26%
<S> <C> <C> <C> <C> <C>
Asset Securitization Cooperative Corp. (a) 6.511% 02/14/2000 $ 50,000,000 $ 49,995,344
Ciesco LP 5.840% 02/14/2000 15,000,000 14,892,933
Delaware Funding Corp. 5.880% 02/07/2000 15,000,000 14,909,350
Edison Asset Securitization 6.020% 01/21/2000 90,000,000 89,699,000
Edison Asset Securitization 6.650% 01/21/2000 40,000,000 39,852,222
Edison Asset Securitization 5.920% 02/11/2000 20,290,000 20,153,200
Edison Asset Securitization 6.030% 02/18/2000 54,000,000 53,565,840
Edison Asset Securitization 5.940% 03/03/2000 82,279,000 81,437,286
Edison Asset Securitization 5.950% 03/08/2000 158,081,000 156,330,473
Edison Asset Securitization 5.850% 03/22/2000 20,000,000 19,736,750
Falcon Asset Securitization 6.120% 02/02/2000 86,020,000 85,552,051
Falcon Asset Securitization 6.030% 02/11/2000 25,000,000 24,828,313
Falcon Asset Securitization 6.020% 02/25/2000 45,000,000 44,586,125
New Center Asset Trust 6.250% 02/15/2000 100,000,000 99,218,750
New Center Asset Trust 6.070% 03/13/2000 114,000,000 112,616,040
Old Line Funding Corp. 6.350% 01/06/2000 41,143,000 41,106,714
Old Line Funding Corp. 6.350% 01/13/2000 56,407,000 56,287,605
Old Line Funding Corp. 6.350% 01/14/2000 105,567,000 105,324,929
Preferred Receivables Funding Corp. 6.350% 01/10/2000 90,225,000 90,081,768
Preferred Receivables Funding Corp. 6.360% 01/12/2000 114,302,000 114,079,873
Preferred Receivables Funding Corp. 6.030% 01/28/2000 70,000,000 69,683,425
Preferred Receivables Funding Corp. 6.020% 02/28/2000 80,000,000 79,224,089
Preferred Receivables Funding Corp. 6.200% 02/28/2000 29,000,000 28,710,322
--------------
1,491,872,402
--------------
AUTOMOTIVE - 1.83%
Daimlerchrysler NA 5.920% 02/22/2000 200,000,000 198,289,778
Daimlerchrysler NA 5.790% 04/05/2000 25,000,000 24,618,021
--------------
222,907,799
--------------
--------------
BANK FOREIGN - 4.95%
Bil North America, Inc. 5.950% 01/21/2000 100,000,000 99,669,444
Bil North America, Inc. 5.950% 03/07/2000 100,000,000 98,909,167
Bil North America, Inc. 5.910% 03/10/2000 140,000,000 138,414,150
Woolwich Building Society 5.280% 03/10/2000 50,000,000 49,494,000
Woolwich Building Society 5.330% 03/10/2000 20,000,000 19,795,683
Woolwich Building Society 5.730% 05/09/2000 200,000,000 195,893,500
--------------
602,175,944
--------------
BANK MULTINATIONAL - 0.81%
Chase Manhattan Corp. 5.760% 04/28/2000 100,000,000 98,112,000
--------------
BANK REGIONAL - 0.82%
SunTrust Banks, Inc. 6.500% 01/14/2000 100,000,000 99,765,278
--------------
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER - (CONTINUED)
<S> <C> <C> <C> <C>
BEVERAGES - 0.41%
Anheuser-Busch Cos., Inc. 6.150% 02/11/2000 $ 50,000,000 $ 49,649,792
--------------
FINANCE CAPTIVE - 1.99%
BMW US Capital Corp. 6.150% 02/17/2000 64,867,000 64,346,172
Diageo Capital Plc 5.800% 02/02/2000 78,920,000 78,513,123
Ford Motor Credit Company 6.510% 01/11/2000 100,000,000 99,819,167
--------------
242,678,462
--------------
FINANCE NON-CAPTIVE DIVERSIFIED - 4.19%
Associates First Capital Corp. 5.780% 02/25/2000 100,000,000 99,116,944
Associates First Capital Corp. 5.780% 03/06/2000 100,000,000 98,956,389
General Electric Capital Corp. 5.930% 03/06/2000 50,000,000 49,464,653
General Electric Capital Corp. 5.790% 03/10/2000 75,000,000 74,167,687
General Electric Capital Corp. 5.920% 03/14/2000 100,000,000 98,799,556
General Electric Capital Corp. 5.840% 03/15/2000 90,742,000 89,652,693
--------------
510,157,922
--------------
INDUSTRIAL - 0.65%
Du Pont E I De Nemours & Company 5.730% 02/25/2000 80,000,000 79,299,667
--------------
PHARMACEUTICALS - 1.22%
Glaxo Wellcome, Inc. 5.800% 02/07/2000 50,000,000 49,701,944
Pfizer, Inc. 5.740% 02/14/2000 100,000,000 99,298,445
--------------
149,000,389
--------------
SOVEREIGNS & PROVINCIALS - 1.46%
KFW International Finance, Inc. 5.780% 03/06/2000 34,229,000 33,871,782
KFW International Finance, Inc. 5.850% 03/09/2000 145,000,000 143,397,750
--------------
177,269,532
--------------
TELECOMMUNICATIONS - 0.62%
Alcatel Alsthom, Inc. 5.850% 02/10/2000 76,000,000 75,506,000
--------------
TOTAL COMMERCIAL PAPER 3,798,395,187
--------------
CORPORATE OBLIGATIONS - 21.12%
AUTOMOTIVE - 1.23%
Daimlerchrysler NA (a) 6.357% 07/06/2000 150,000,000 149,900,101
--------------
BANK FOREIGN - 1.36%
Abbey National Treasury Services 5.075% 01/13/2000 50,000,000 49,999,604
Abbey National Treasury Services 4.950% 02/03/2000 75,000,000 74,995,728
Abbey National Treasury Services 5.255% 03/01/2000 40,000,000 39,997,153
--------------
164,992,485
--------------
BANK MULTINATIONAL - 0.21%
Chase Manhattan Corp. (a) 6.290% 06/19/2000 25,000,000 25,023,176
--------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS - (CONTINUED)
<S> <C> <C> <C> <C>
BANK REGIONAL - 2.96%
Bank One Corp. (a) 6.080% 06/01/2000 $ 50,000,000 $ 50,000,000
Bank One Corp. 6.180% 10/06/2000 150,000,000 149,946,563
NationsBank Corp. (a) 6.315% 02/09/2000 10,000,000 10,002,429
Wells Fargo & Company (a) 5.957% 06/13/2000 150,000,000 149,960,991
--------------
359,909,983
--------------
FINANCE CAPTIVE - 4.49%
Diageo Capital Plc (a) 6.015% 08/10/2000 140,000,000 139,932,066
Ford Motor Credit Company 8.375% 01/15/2000 23,533,000 23,561,458
Ford Motor Credit Company (a) 5.700% 05/05/2000 150,000,000 150,000,000
Ford Motor Credit Company (a) 6.054% 11/22/2000 60,000,000 59,973,861
General Motors Acceptance Corp. (a) 6.453% 03/02/2000 25,000,000 24,998,168
General Motors Acceptance Corp. (a) 6.158% 07/20/2000 37,500,000 37,489,650
IBM Credit Corporation 5.150% 04/14/2000 50,000,000 49,993,102
Xerox Credit Corporation 5.113% 03/21/2000 30,000,000 29,993,250
Xerox Credit Corporation (a) 5.620% 04/06/2000 30,000,000 29,993,813
--------------
545,935,368
--------------
FINANCE NON-CAPTIVE DIVERSIFIED - 6.36%
Associates Corporation North America 6.875% 02/15/2000 32,000,000 32,050,279
Associates Corporation North America (a) 6.341% 03/20/2000 127,500,000 127,478,903
Beneficial Corp. (a) 6.159% 05/04/2000 40,000,000 40,001,664
CIT Group Holdings, Inc. 5.625% 01/18/2000 50,000,000 50,002,510
CIT Group Holdings, Inc. (a) 5.633% 05/15/2000 95,000,000 94,976,695
General Electric Capital Corp.(a) 6.126% 04/12/2000 50,000,000 50,000,000
General Electric Capital Corp. (a) 6.111% 05/03/2000 50,000,000 50,000,000
General Electric Capital Corp. (a) 6.014% 05/12/2000 75,000,000 75,000,000
Household Finance Corp. (a) 6.025% 04/17/2000 200,000,000 199,964,046
Household Finance Corp. 5.678% 07/07/2000 55,000,000 54,986,142
--------------
774,460,239
--------------
INDUSTRIAL - 1.44%
Du Pont E I De Nemours & Company 5.235% 03/03/2000 75,000,000 74,993,258
Emerson Electric Company 5.125% 03/17/2000 100,000,000 99,981,559
--------------
174,974,817
--------------
TECHNOLOGY - 0.20%
Xerox Corp. 5.635% 07/14/2000 25,000,000 24,987,806
--------------
TELECOMMUNICATIONS - 2.87%
AT&T Corp. (a) 6.163% 08/07/2000 100,000,000 100,000,000
GTE Corp. (a) 6.034% 06/02/2000 250,000,000 249,885,794
--------------
349,885,794
--------------
TOTAL CORPORATE OBLIGATIONS 2,570,069,769
--------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 19.08%
BANK FOREIGN - 16.16%
<S> <C> <C> <C> <C>
Bank of Nova Scotia 5.340% 03/06/2000 $ 75,000,000 $ 74,861,915
Bank of Nova Scotia 5.900% 08/07/2000 25,000,000 24,992,832
Bank of Scotland (a) 6.091% 02/03/2000 100,000,000 99,996,906
Bank of Scotland (a) 6.400% 02/23/2000 50,000,000 49,997,150
Bank of Scotland (a) 6.361% 04/13/2000 100,000,000 99,980,301
Barclays Bank Plc 5.080% 01/14/2000 50,000,000 50,000,000
Barclays Bank Plc (a) 5.750% 01/24/2000 80,000,000 79,997,578
Barclays Bank Plc (a) 5.640% 05/12/2000 100,000,000 99,979,014
Barclays Bank Plc 5.210% 05/15/2000 50,000,000 49,990,213
Barclays Bank Plc 5.800% 07/28/2000 35,000,000 35,000,000
Bayerische Vereinsbank 5.900% 08/07/2000 100,000,000 99,971,327
Canadian Imperial Bank Commerce 5.025% 01/27/2000 38,000,000 37,999,086
Canadian Imperial Bank Commerce 5.120% 02/23/2000 50,000,000 49,997,202
Canadian Imperial Bank Commerce 5.180% 03/28/2000 50,000,000 49,993,120
Canadian Imperial Bank Commerce (a) 6.005% 04/07/2000 100,000,000 99,980,805
Canadian Imperial Bank Commerce (a) 6.081% 06/05/2000 50,000,000 49,993,736
Den Danske Bank (a) 6.024% 05/22/2000 50,000,000 49,994,283
Deutsche Bank AG 5.850% 03/28/2000 142,000,000 141,989,042
Deutsche Bank AG (a) 6.391% 12/13/2000 125,000,000 124,893,340
National Australia Bank Ltd. 5.940% 03/27/2000 100,000,000 99,980,552
National Westminster Bank 4.980% 01/07/2000 90,000,000 89,999,429
Svenska Handelsbanken 6.020% 03/03/2000 150,000,000 150,000,000
Toronto Dominion Bank 5.015% 02/03/2000 50,000,000 49,998,692
WESTPAC Banking Corp. 5.010% 02/04/2000 32,000,000 31,998,854
UBS AG 6.100% 11/27/2000 75,000,000 74,954,600
UBS AG 6.240% 12/06/2000 100,000,000 99,933,440
--------------
1,966,473,417
--------------
BANK REGIONAL - 2.92%
Bank One, NA 5.900% 02/18/2000 25,000,000 25,000,000
Bank One, NA 5.860% 03/28/2000 150,000,000 150,000,000
Bank One, NA 5.960% 03/30/2000 100,000,000 100,000,000
Branch Bank & Trust Company (a) 5.070% 02/01/2000 30,000,000 29,999,247
US Bank, NA 5.950% 04/17/2000 50,000,000 50,000,000
--------------
354,999,247
--------------
TOTAL CERTIFICATES OF DEPOSIT 2,321,472,664
--------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
BANK NOTES - 18.76%
BANK FOREIGN - 0.62%
<S> <C> <C> <C> <C>
WESTPAC Banking Corp. (a) 6.076% 04/17/2000 $ 75,000,000 $ 74,986,880
--------------
BANK MULTINATIONAL - 0.16%
BankBoston NA (a) 6.302% 05/24/2000 20,000,000 20,011,537
--------------
BANK REGIONAL - 17.98%
Bank of America (a) 5.750% 01/31/2000 100,000,000 99,997,303
Bank of America 6.000% 03/13/2000 250,000,000 250,000,000
Bank of New York 6.070% 11/20/2000 50,000,000 49,970,356
Branch Bank & Trust Company (a) 4.790% 02/18/2000 75,000,000 74,998,086
Branch Bank & Trust Company (a) 5.050% 03/08/2000 75,000,000 74,991,928
Comerica Bank (Detroit, Michigan) (a) 6.399% 02/04/2000 10,000,000 9,999,543
Comerica Bank (Detroit, Michigan) (a) 6.399% 03/07/2000 75,000,000 74,993,357
Comerica Bank (Detroit Michigan) (a) 6.531% 09/25/2000 25,000,000 24,999,938
Comerica Bank (Detroit Michigan) (a) 6.451% 11/20/2000 90,000,000 89,969,807
Comerica Bank (Detroit Michigan) (a) 6.451% 11/24/2000 60,000,000 59,978,863
Fifth Third Bancorp 6.000% 01/14/2000 75,000,000 75,000,264
First National Bank Chicago 5.090% 04/20/2000 40,000,000 39,993,032
First Union National Bank (a) 6.433% 03/10/2000 100,000,000 100,000,000
First Union National Bank (a) 6.204% 07/28/2000 40,000,000 40,000,000
First Union National Bank (a) 6.140% 08/31/2000 100,000,000 100,000,000
First Union National Bank (a) 6.161% 09/01/2000 50,000,000 49,999,188
Key Bank NA (a) 6.224% 04/20/2000 60,000,000 60,000,000
Key Bank NA (a) 6.226% 04/20/2000 50,000,000 50,000,000
Key Bank NA (a) 6.421% 06/26/2000 25,000,000 24,992,851
Key Bank NA 5.670% 07/17/2000 62,500,000 62,483,759
Key Bank NA (a) 6.165% 08/01/2000 30,000,000 29,989,911
Key Bank NA (a) 6.154% 09/07/2000 150,000,000 149,949,857
Marshall & Ilsley 2.000% 01/03/2000 65,155,000 65,155,000
Marshall & Ilsley 6.070% 09/28/2000 50,000,000 50,000,000
NationsBank NA 5.000% 01/05/2000 85,000,000 84,999,820
PNC Bank NA (a) 6.411% 01/31/2000 110,000,000 109,996,432
PNC Bank NA (a) 6.366% 03/01/2000 50,000,000 49,995,143
US Bank, NA (a) 6.513% 06/20/2000 50,000,000 50,001,182
US Bank, NA (a) 6.421% 11/20/2000 50,000,000 49,973,886
US Bank, NA (a) 6.416% 11/30/2000 96,000,000 95,944,696
US Bank, NA (a) 6.543% 12/20/2000 15,000,000 15,006,229
Wachovia Bank NA 4.900% 01/10/2000 25,000,000 24,999,263
--------------
2,188,379,694
--------------
TOTAL BANK NOTES 2,283,378,111
--------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------------------------------------------------------------------------------------------------------
TIME DEPOSITS - 9.04%
BANK FOREIGN - 4.93%
<S> <C> <C> <C> <C>
Bank of Montreal 5.500% 01/03/2000 $100,000,000 $ 100,000,000
Canadian Imperial Bank of Commerce 7.000% 01/03/2000 300,000,000 300,000,000
Old Kent Bank 5.500% 01/03/2000 50,000,000 50,000,000
Toronto Dominion Bank (b) 6.250% 01/12/2000 150,000,000 150,000,000
----------------
600,000,000
----------------
BANK MULTINATIONAL - 3.29%
Chase Manhattan Bank 5.500% 01/03/2000 400,000,000 400,000,000
----------------
BANK REGIONAL - 0.82%
PNC Bank NA 3.500% 01/03/2000 100,000,000 100,000,000
----------------
TOTAL TIME DEPOSITS 1,100,000,000
----------------
TOTAL INVESTMENTS-- 99.21% 12,073,315,731
OTHER ASSETS LESS LIABILITIES-- 0.79% 96,576,995
----------------
NET ASSETS-- 100.00% $ 12,169,892,726
----------------
----------------
</TABLE>
(a) Floating Rate Note - Interest rate shown is the rate in effect at
December 31, 1999.
(b) Illiquid Security. At December 31, 1999, this security amounted to
$150,000,000 or 1.23% of the Fund's net assets.
+ See note 2 to the financial statements.
See Notes to Financial Statements.
7
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
- -------------------------------------------------------------------------------------------------
ASSETS:
<S> <C>
Investments in securities, at amortized cost............................ $12,073,315,731
Cash ................................................................... 238
Interest receivable..................................................... 98,818,506
Deferred organization expense........................................... 53,542
Prepaid insurance....................................................... 19,897
---------------
Total Assets....................................................... 12,172,207,914
---------------
LIABILITIES:
Dividend payable........................................................ 1,981,197
Advisory fee payable.................................................... 176,804
Administration fee payable.............................................. 61,413
Custodian fee payable................................................... 49,364
Transfer agent fee payable.............................................. 22,608
Other accrued expenses and liabilities.................................. 23,802
---------------
Total Liabilities.................................................. 2,315,188
---------------
NET ASSETS.............................................................. $12,169,892,726
---------------
---------------
NET ASSETS CONSIST OF:
Capital stock, $0.001 par value;
12,169,892,600 shares issued and outstanding....................... $ 12,169,893
Capital paid in excess of par........................................... 12,157,722,707
Accumulated net realized gain on investments............................ 126
---------------
NET ASSETS.............................................................. $12,169,892,726
---------------
---------------
Net asset value, offering, and redemption price per share............... $ 1.00
---------------
---------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
YEAR ENDED DECEMBER 31, 1999
- -------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $ 520,618,467
----------------
EXPENSES:
Advisory fee.................................................... 1,735,892
Administration fee.............................................. 630,969
Custodian fee................................................... 256,066
Transfer agent fee.............................................. 136,388
Insurance expense............................................... 99,569
Trustees fees................................................... 53,462
Amortization of organization expenses........................... 39,161
Audit fee....................................................... 20,000
Legal fee....................................................... 11,737
Miscellaneous expense........................................... 21,745
----------------
Total expenses............................................. 3,004,989
----------------
Net investment income........................................... 517,613,478
----------------
NET REALIZED GAIN ON INVESTMENTS
Net realized gain on investments................................ -
----------------
Net increase in net assets resulting from operations............ $ 517,613,478
----------------
----------------
</TABLE>
See Notes t Financial Statements.
9
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................................... $ 517,613,478 $ 404,730,602
Net realized gain on investments .......................... - 1,771
----------------- -----------------
Net increase in net assets resulting from operations ...... 517,613,478 404,732,373
----------------- -----------------
DISTRIBUTIONS FROM:
Net investment income ..................................... (517,613,478) (404,730,602)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS (AT CONSTANT $1.00 PER SHARE):
Proceeds from shares sold ................................. 79,518,731,855 46,918,705,958
Cost of redemptions ....................................... (74,141,126,449) (45,717,831,566)
----------------- -----------------
Net increase in net assets from Fund share transactions ... 5,377,605,406 1,200,874,392
----------------- -----------------
Net increase in net assets ................................ 5,377,605,406 1,200,876,163
NET ASSETS:
Beginning of year ......................................... 6,792,287,320 5,591,411,157
----------------- -----------------
End of year ............................................... $ 12,169,892,726 $ 6,792,287,320
----------------- -----------------
----------------- -----------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
<TABLE>
<CAPTION>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
FINANCIAL HIGHLIGHTS
- ---------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD
MAY 15, 1996*
YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
DECEMBER 31, 1999 DECEMBER 31, 1998 DECEMBER 31, 1997 DECEMBER 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period...... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ----------- ----------- -----------
Net investment income................. 0.0519 0.0556 0.0560 0.0342
Distributions from net
investment income.................. (0.0519) (0.0556) (0.0560) (0.0342)
---------- ----------- ----------- -----------
Net increase from investment operations... 0.0000 0.0000 0.0000 0.0000
---------- ----------- ----------- -----------
Net asset value, end of period............ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ----------- ----------- -----------
---------- ----------- ----------- -----------
TOTAL INVESTMENT RETURN (a)............... 5.32% 5.70% 5.75% 3.47%
RATIOS AND SUPPLEMENTAL DATA:
Ratio of expenses to average net assets... 0.03% 0.03% 0.04% 0.06%(b)(c)
Ratio of net investment income to
average net assets.................... 5.22% 5.56% 5.62% 5.47%(b)(c)
Net assets, end of period (in millions)... $ 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.
11
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
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 December 31, 1999, the cost of investments for federal income tax purposes
was the same as the cost for financial reporting purposes.
12
<PAGE>
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and pays
dividends daily from net investment income. Distributions from long-term capital
gains, if any, will be made at least annually. Income distributions and capital
gain distributions are determined in accordance with income tax regulations,
which may differ from generally accepted accounting principles.
USE OF ESTIMATES: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. FEES AND COMPENSATION PAID TO AFFILIATES
State Street Bank and Trust Company serves as the Fund's Administrator, Adviser,
Custodian and Transfer Agent.
ADVISORY FEE: Under the terms of the investment advisory agreement, the Fund
pays an advisory fee at an annual rate of .0175% of the Fund's average daily net
assets.
ADMINISTRATION FEE: Under the terms of the administration agreement, the Fund
pays an annual administration fee equal to .035% of the Fund's average daily net
assets up to $300 million, .020% of the next $300 million and .005% in excess of
$600 million, subject to certain minimum requirements.
CUSTODIAN FEE: Under the terms of the custody agreement, the Fund pays an annual
accounting fee equal to $30,000 plus a custodian fee equal to .0025% of the
Fund's average daily net assets up to $1 billion, .0020% on the next $9 billion,
and .0015% in excess of $10 billion, plus transaction costs.
TRANSFER AGENT FEE: Under the terms of the transfer agency agreement, the Fund
pays a monthly fee of $2,500 plus transaction costs.
4. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of the Fund's
Investment Adviser or Administrator $3,750 for each meeting of the Board of
Trustees and an additional $1,000 for each telephonic meeting attended. Each
trustee is reimbursed for out-of-pocket and travel expenses.
5. BENEFICIAL INTEREST
At December 31, 1999, there were two shareholders who each owned over 5% of the
Fund's outstanding shares, amounting to 12.4% 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.
13
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of State Street Navigator Securities
Lending Prime Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of State Street Navigator Securities
Lending Prime Portfolio (the "Fund") at December 31, 1999, and the results of
its operations, the changes in its net assets and the financial highlights for
the periods indicated, in conformity with accounting principles generally
accepted in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 2, 2000
<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
