[Cover] [Map of Continents: North America, South America, Europe, Africa, Asia,
Australia]
ANNUAL REPORT
SSgA International Liquidity Fund
December 31, 1998
<PAGE>
Contents
Annual Report
December 31, 1998
SSgA International Liquidity Fund
<TABLE>
Page
<S> <C>
Chairman's Letter .................................... 3
Management of the Funds .............................. 4
Portfolio Management Discussion and Analysis ......... 5
Report of Independent Accountants .................... 6
Financial Statements ................................. 7
Financial Highlights ................................. 10
Notes to Financial Statements ........................ 11
</TABLE>
International Currency Fund
<TABLE>
<S> <C>
Report of Independent Accountants .................... 15
Portfolio of Investments ............................. 16
Financial Statements ................................. 20
Financial Highlights ................................. 24
Notes to Financial Statements ........................ 26
Fund Management and Service Providers .......... back cover
</TABLE>
This report is prepared from the books and records of the funds and it is
submitted for the general information of shareholders. This information is for
distribution to prospective investors only when preceded or accompanied by a
fund prospectus containing more complete information concerning the investment
objective and operations of the fund, charges and expenses.
International investing involves increased risk and volatility.
The prospectus should be read carefully before an investment is made.
Performance is historical and assumes reinvestment of all dividends and capital
gains. Investment return and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than when purchased.
Past performance is not indicative of future results. An investment in the Funds
is neither guaranteed nor insured by the FDIC or any other government agency.
Although the fund strives to maintain the value of your investment at $1.00 per
share, it is possible to lose money by investing in the fund. BISYS Fund
Services Limited Partnership is the distributor of the funds.
<PAGE>
SSgA International Liquidity Fund
- --------------------------------------------------------------------------------
Letter From the Chairman of State Street Global Advisors
- --------------------------------------------------------------------------------
Dear Shareholders,
I am pleased to provide you with the SSgA International Liquidity Fund annual
report for the fiscal year ended December 31, 1998. The period under review
covers a significant event when the fund changed its investment advisor to State
Street Global Advisors in September 1998. In connection with this change, the
fund changed its name from Five Arrows Short-Term Investment Trust to its
present title.
The investment objective of the fund continues to be the maintenance of a high
level of liquidity, to preserve capital and stability of principal expressed in
the fund's designated currency, and, consistent with these objectives, to earn
current income. The fund is designed primarily for use as a means of investing
short-term cash reserves in the fund's designated currencies.
As January 1, 1999 marked the introduction of the Euro as the continuing
currency of the Deutsche Mark, we sought and received approval from the US
Securities and Exchange Commission to convert the Deutsche Mark denominated
currency portfolio into the first US registered money market fund denominated in
Euros. As a result of this landmark ruling by the SEC, AAA rated SSgA
International Liquidity Fund will allow investors in the US for the first time,
to hold short-term cash reserves denominated in Euros in a SEC-registered money
market mutual fund.
State Street Global Advisors intends to proceed with the evolution of new
products and services while committing to your investment needs.
As Chairman and Chief Executive Officer of State Street Global Advisors, which
serves as the investment advisor to the fund, I would like to thank you for
choosing the SSgA International Liquidity Fund.
Sincerely,
Nicholas A. Lopardo
Chairman and Chief Executive Officer, State Street Global Advisors
Annual Report 3
<PAGE>
SSgA International Liquidity Fund
- --------------------------------------------------------------------------------
Management of the Funds
- --------------------------------------------------------------------------------
[Photo of Nicholas A. Lopardo]
Nicholas A. Lopardo
Chairman and Chief Executive Officer
A Team Approach to Investment Management
Our investment strategies are the product of the combined experience of our
professional staff. Portfolio managers work together to develop and enhance the
techniques that drive our investment processes. As a result, the portfolios we
manage benefit from the knowledge of the entire team.
4 Annual Report
<PAGE>
SSgA International Liquidity Fund
- --------------------------------------------------------------------------------
Portfolio Management Discussion and Analysis
- --------------------------------------------------------------------------------
Fund Results
The US Dollar Fund had a return of 5.55% for the fiscal year ended December 31,
1998 as compared to the benchmark return of 5.56% for the same period. The
benchmark refers to the US Dollar seven-day LIBID rate as published by the
British Bankers Association.
Economic Review and Outlook
1998 ended with striking similarities to how it started, with exogenous economic
events threatening global economic growth, and putting the world on alert for
lower short term interest rates. The year began with lingering concerns of the
"Asian flu" spreading to other regions as trade deterioration and a retrenchment
of consumer demand risked economic downturn. The US continued to grow, however,
as domestic demand far outstripped the effects of negative trade flows. The
Federal Reserve continued its tightening bias throughout the first half of the
year while the UK economy saw surprising signs of strength and actually raised
its target rate 1/2 to 7-1/2% in early June.
All this changed in the third quarter as the proverbial "other shoe fell" with
the collapse of the Russian economy and subsequent Ruble devaluation. Investor
confidence was shattered as fears grew over China, Brazil and Latin American
economies deteriorating. One result of these fears and the dramatic flight to
quality was the near-collapse of Long Term Capital Management hedge fund. This
combined with concerns of illiquid markets and persistent rumors of
deteriorating credit conditions among major financial institutions shifted the
Federal Reserves bias towards easing. The Federal Reserve proceeded to lower its
target federal funds rate 75 basis points through a series of rate cuts in the
third and fourth quarters.
The UK economy witnessed a rapid domestic and export slowdown in the second half
of 1998 as a strong pound and global turmoil took its toll. The strong pound,
resulting from the relatively high short rates throughout the first half,
severely impacted the export economy. Signs of manufacturing weakness and
layoffs began to lower consumer confidence and impact consumer demand. Amid
these signs, the Monetary Policy Committee lowered the base rate by 125 basis
points through a series of rate cuts in the fourth quarter. With economists
predicting recession for the first half of 1999, the market has priced in
further cuts in the base rate targeting 5% by mid-1999. The UK economy, ranking
as Europe's third largest, is also beginning to align itself with the newly
formed Economic Union countries. Most pundits believe the UK will move to join
sometime before mid-2002. As evidence of this begins to emerge, a convergence of
rates will begin to accelerate between the UK and European Union countries. With
growth dwindling and the European Union short rates at 3%, the UK should see
continued reductions in short rates in 1999.
The Federal Reserve will be forced to continue its balancing act between global
economic conditions and signs of strong domestic growth in 1999. Consumer
sentiment in the US shows little signs of abatement as equities hit new all-time
highs, housing starts surge, and retail sales grew into year-end. In addition,
inflation continues to tread at 35-year lows, leaving the Fed with an attractive
option of lowering rates when appropriate. Indeed, the market forecasts further
rate reductions in 1999 taking the federal funds rate to 4-1/2% sometime before
mid-year.
Annual Report 5
<PAGE>
SSgA International Liquidity Fund
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Board of the Trustees
of SSgA International Liquidity Fund
In our opinion, the accompanying statements of assets and liabilities, 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
SSgA International Liquidity Fund, comprised of the U.S. Dollar Fund, Pound
Sterling Fund, Canadian Dollar Fund and Deutsche Mark Fund (the "Funds") at
December 31, 1998 and the results for their operations, the changes in their net
assets and their financial highlights for the periods indicated, in conformity
with generally accepted accounting principles. 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 generally accepted
auditing standards 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, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 19, 1999
6 Annual Report
<PAGE>
SSgA
International Liquidity Fund
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
(local currencies) as at December 31, 1998
U.S. Pound Canadian
Dollar Sterling Dollar Deutsche Mark
Fund Fund* Fund* Fund*
$ [Pound] C$ Dem
----------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
Assets:
Investment in International Currency Fund ............... 19,689 10 10 10
Deferred organizational costs ........................... 36,680 -- -- --
Receivable from Administrator ........................... 18,042 -- -- --
------ ----- ------ ------
Total Assets .......................................... 74,411 10 10 10
------ ----- ------ ------
Liabilities:
Distribution payable from net investment income ......... 2,812 -- -- --
Amounts payable to Manager .............................. 48,840 -- -- --
Bluesky Fees payable .................................... 7,672 -- -- --
Printing Fees payable ................................... 4,858 -- -- --
Audit fees payable ...................................... 2,190 -- -- --
Shareholder service fees payable ........................ 1,216 -- -- --
Administrative fees payable ............................. 254 -- -- --
Other accrued expenses .................................. 6,469 -- -- --
------ ----- ------ ------
Total Liabilities ..................................... 74,311 -- -- --
------ ----- ------ ------
Net Assets .............................................. 100 10 10 10
====== ===== ====== ======
Net Asset Value, Offering & Redemption
Price per share
Global Shares--(100, 10, 10, and 10, shares of
beneficial interest oustanding respectively) .......... 1.00 1.00 1.00 1.00
====== ===== ====== ======
Net Assets consist of:
Shares of beneficial interest .......................... -- -- -- --
Additional paid-in capital ............................. 100 10 10 10
------ ----- ------ ------
Net Assets .............................................. 100 10 10 10
====== ===== ====== ======
</TABLE>
* not yet commenced operations
See notes to financial statements.
Annual Report 7
<PAGE>
SSgA
International Liquidity Fund
<TABLE>
<CAPTION>
Statements of Operations
(local currencies) For the year ended December 31, 1998
U.S. Pound Canadian
Dollar Sterling Dollar Deutsche Mark
Fund Fund* Fund* Fund*
$ [Pound] C$ Dem
------------- ---------- ---------- --------------
<S> <C> <C> <C> <C>
Investment Income:
Investment income allocated from International
Currency Fund ......................................... 228,888 -- -- --
------- ------ ------ ------
Expenses ................................................ 21,846 -- -- --
Less: Fee waivers ....................................... (8,225)
Less: International Currency Fund expense
reimbursement ......................................... (2,633) -- -- --
------- ------ ------ ------
Net Expenses ............................................ 10,988 -- -- --
------- ------ ------ ------
Net Investment Income from International Currency Fund 217,900 -- -- --
------- ------ ------ ------
Fund Expenses:
Legal fees .............................................. 37,752 -- -- --
Printing fees ........................................... 16,698 -- -- --
Shareholder servicing fees .............................. 14,157 -- -- --
Registration fees ....................................... 12,705 -- -- --
Amortization of organization costs ...................... 12,200 -- -- --
Audit fees .............................................. 5,082 -- -- --
Administration fees ..................................... 2,023 -- -- --
Miscellaneous expenses .................................. 10,306 -- -- --
------- ------ ------ ------
Total Expenses .......................................... 110,923 -- -- --
Less fee waivers and reimbursements by the
Administrator ......................................... (110,923) -- -- --
-------- ------ ------ ------
Total Net Expenses ...................................... -- -- -- --
-------- ------ ------ ------
Net Investment Income .................................... 217,900 -- -- --
-------- ------ ------ ------
Net Increase in Net Assets Resulting from Operations ..... 217,900 -- -- --
======== ====== ====== ======
</TABLE>
* not yet commenced operations
See notes to financial statements.
8 Annual Report
<PAGE>
SSgA
International Liquidity Fund
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the period
from March 26, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
$ $
U.S. DOLLAR FUND -------------------- --------------------
<S> <C> <C>
Increase in Net Assets
From Operations:
Net investment income ......................................... 217,900 199,869
---------- ---------
Net increase in net assets resulting from operations ......... 217,900 199,869
---------- ---------
From Distributions to Shareholders:
Net investment income --
Global Shares ............................................... (217,900) (199,869)
---------- ---------
Change in net assets from shareholder distributions ......... (217,900) (199,869)
---------- ---------
From Fund Share Transactions:
Net increase (decrease) in net assets From Fund share
transactions ................................................ (8,269,228) 8,269,328
---------- ---------
Net increase (decrease) in Net Assets .......................... (8,269,228) 8,269,328
---------- ---------
Net Assets:
Beginning of period ........................................... 8,269,328 --
---------- ---------
End of year period ............................................ 100 8,269,328
========== =========
</TABLE>
See notes to financial statements.
Annual Report 9
<PAGE>
SSgA
International Liquidity Fund
<TABLE>
<CAPTION>
Financial Highlights
The following table includes selected data for a share outstanding throughout each period
and other performance information derived from the Financial Statements.
U.S. DOLLAR FUND (d)
For the period
from March 26, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
$ $
-------------------- --------------------
<S> <C> <C>
Net asset value per share, beginning of year ........... $ 1.00 $ 1.00
Income From Investment Operations:
Net investment income .................................. 0.05 0.04
Less Distributions:
Net investment income .................................. (0.05) (0.04)
Net asset value per share, end of year ................. $ 1.00 $ 1.00
------ ------
Total Return ............................................ 5.55% 4.18%(b)
------ ------
Ratios/Supplemental Data:
Net assets, end of year ('000 omitted) ................. (e) $8,269
Ratio of expenses to average net assets after waivers
and reimbursements ................................... 0.27% 0.28%(c)
Ratio of net investment income to average net assets
after waivers and reimbursements ..................... 5.33% 5.33%(c)
Ratio of expenses to average net assets (a) ............ 3.25% 3.04%(c)
Ratio of net investment income to average net assets (a) 2.35% 2.56%(c)
</TABLE>
(a) During the year, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred the ratios would have been as indicated.
(b) Not annualized
(c) Annualized
(d) Per share amounts and ratios/supplemental data reflect income and expenses
assuming inclusion of the Fund's proportionate share of the income and
expenses of the related portfolio.
(e) Amount of Net Assets is $100
See notes to financial statements.
10 Annual Report
<PAGE>
SSgA
International Liquidity Fund
Notes to Financial Statements
December 31, 1998
1. Organization
SSgA International Liquidity Fund, a Delaware business trust ("the Trust"), is
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end management investment company. At December 31, 1998, the
Trust consisted of four funds; the U.S. Dollar Fund, the Pound Sterling Fund,
the Canadian Dollar Fund and the Deutsche Mark Fund, (individually a "Fund" and
collectively the "Funds"). Prior to September 22, 1998, the Trust's name was
Five Arrows Short-Term Investment Trust. As of December 31, 1998, only the U.S.
Dollar Fund had commenced operations.
Each Fund seeks to achieve its investment objective by investing substantially
all of its investable assets in the corresponding portfolio of the International
Currency Fund, (individually a "Portfolio" and collectively the "Portfolios" ),
which has the same investment objectives as that of such Fund. The value of each
Fund's investment in each Portfolio included in the accompanying statements of
assets and liabilities reflects each Fund's proportionate beneficial interest in
the net assets of that Portfolio. At December 31 1998, the Funds held
proportionate interests in the corresponding Portfolios in the following
amounts:
<TABLE>
<S> <C>
U.S. Dollar Fund 00.13%
Pound Sterling Fund 00.00%
Canadian Dollar Fund 00.00%
Deutsche Mark Fund 00.00%
</TABLE>
Each Fund offers two classes of shares, Global Shares and Global Service Shares
(prior to September 22, 1998, these classes were known as Five Arrows Shares and
Five Arrows Service Shares, respectively). As of the date of this report, only
the Fund's Global Shares have been offered.
The financial statements of each Portfolio, including its portfolio of
investments, are included elsewhere within this report and should be read in
conjunction with each Fund's financial statements.
BISYS Fund Services Limited Partnership ("BISYS") serves as the Trust's
administrator and distributor. Its affiliates, BISYS Fund Services Inc., (the
"Transfer Agent"), act as the distributor and transfer/dividend disbursing agent
to the Funds, respectively.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. The
Fund's financial statements are prepared in accordance with generally accepted
accounting principles. The preparation of financial statements requires
management to make estimates and assumptions that may affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses for the period and disclosures in
the financial statements. Actual results could differ from those estimates.
Securities Valuation: The Funds record respective investments in the Portfolios
of International Currency Fund at value. The valuation of securities held by the
International Currency Fund is discussed in the notes to the International
Currency Fund financial statements included elsewhere in this report.
Annual Report 11
<PAGE>
SSgA
International Liquidity Fund
Notes to Financial Statements, continued
December 31, 1998
Investment Income and Expenses: The Funds record their proportionate share of
the investment income, expenses and realized gains and losses recorded by the
corresponding Portfolio on a daily basis. The investment income, expenses and
realized gains and losses are allocated daily to investors in each Portfolio
based upon the value of their investments in each Portfolio. Such investments
are adjusted on a daily basis on the basis of their net assets.
Expenses directly attributable to each Fund are charged directly to the
respective Fund, while general Trust expenses attributable to more than one Fund
of the Trust are allocated among the respective Funds on the basis of their
relative net assets.
Dividends and Distributions to Shareholders: Each Fund's net investment income,
if any, is declared daily in respect of each class of share and paid monthly to
shareholders of record on the date of declaration. Dividends from each class of
share are automatically reinvested in additional shares of that class at net
asset value unless the shareholders specifically elects to receive dividends in
the form of cash. Net realized gains on portfolio securities, if any, are
distributed at least annually. The amount of dividends from net investment
income and distributions from net realized gains are determined in accordance
with U.S. federal income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to differing
treatments for net operating losses, expiring capital loss carryforwards, and
deferral of certain losses.
Federal Income Taxes: Under Subchapter M of the Internal Revenue Code (the
"Code"), the Funds will be treated as separate entities for U.S. federal income
tax purposes. It is intended that each Fund will qualify for each fiscal year as
a "regulated investment company" under the Code by complying with certain
requirements of the Code regarding sources of income, diversification of assets,
and distribution of income to shareholders, although no assurance can be given
in this regard. As regulated investment companies, the Funds will not be liable
for U.S. federal income taxes on the net investment income and capital gains
distributed to shareholders in accordance with the applicable provisions of the
Code. Since it is intended that each Fund will distribute all of its net income
and net capital gains each year, each Fund should avoid all U.S. federal income
taxes.
Each Fund will determine its income in terms of its Designated Currency and, in
the case of each Fund other than the U.S. Dollar Fund, will translate its net
income for each year from its Designated Currency into U.S. dollars for U.S.
federal income tax purposes. Under current Treasury regulations, regulated
investment companies are normally required to recognize for U.S. federal income
tax purposes income or loss attributable to changes in exchange rates between
the U.S. dollar and the Fund's Designated Currency (i.e. currency gain or loss)
absent a ruling to the contrary from the Internal Revenue Service. Recognition
of currency gain in excess of currency loss in any given year would require the
affected fund to pay dividends in excess of its interest income in order to pay
out all income as calculated for U.S. federal income tax purposes. In reliance
upon a ruling from the U.S. Internal Revenue Service, the Trust calculates the
income of each Fund without recognizing currency gain or loss.
Organizational expenses: The U.S. Dollar Fund incurred certain costs in
connection with its organization. The Fund is expected to reimburse State Street
Bank and Trust Company (the "Manager") for the payment of these expenses made in
advance by the Manager. These costs have been deferred and are being amortized
on a straight-line basis over five years from the date of commencement of
operations by the Fund.
12 Annual Report
<PAGE>
SSgA
International Liquidity Fund
Notes to Financial Statements, continued
December 31, 1998
3. Related Parties
Administrator: The Funds have an Administration Agreement and a distribution
agreement with BISYS Fund Services Limited Partnership ("BISYS") (the
"Administrator" the "Distributor").
As Administrator, BISYS is responsible for coordinating and generally
administering the operation of the Funds' business. Pursuant to the terms of the
Administration Agreement, BISYS is entitled to a fee, accrued daily and payable
monthly, at an annual rate of 0.05% of each Fund's average daily net assets.
BISYS has agreed to provide a wide range of services to the Funds, including
maintaining the Funds' offices, providing statistical and research data,
coordinating the preparation of reports to shareholders, calculating and
providing for the calculation of net asset values of Fund shares, dividends and
capital gains distributions to shareholders and performing other administrative
functions necessary for the smooth operation of the Funds. The Administrator
waived fees and reimbursed expenses in the following amounts so that the Funds
could meet these expense limitations.
<TABLE>
<S> <C>
U.S. Dollar Fund $121,781
</TABLE>
Distributor and Shareholder Servicing: The Trust has adopted a 12b-1 Plan (the
"Plan") in accordance with Rule 12b-1 promulgated under the 1940 Act. The Plan
provides that each Fund will make payments to the Distributor equal to 0.50% (on
an annual basis) of the average daily value of the net assets of such Fund's
Global Service class of shares. The 12b-1 fee has two components: a service fee
and a distribution fee.
The plan provides that each of these components will be paid at an annual rate
of 0.25% of the average daily value of the net assets of such Fund's Global
Service class of shares.
Trustees' Fees: The Trust has to date paid no compensation to the Trustees of
the Trust and it will not pay any compensation to those Trustees affiliated with
the Investment Adviser, the Administrator or the Distributor. The Trust will not
pay any compensation to the Trust's officers.
4. Fund Share Transactions
Transactions in shares of the Funds for the period ended December 31 1998 are
summarized below:
<TABLE>
<CAPTION>
Global shares
Canadian
U.S. Pound Dollar DeutscheMark
Dollar Fund Sterling Fund Fund Fund
---------------- --------------- --------- -------------
<S> <C> <C> <C> <C>
Shares subscribed $ 12,000,000 nil nil nil
Shares issued in reinvestment
of dividends 245,072 nil nil nil
Shares redeemed (20,514,300) nil nil nil
------------- --------------- --------- -------------
Net decrease $ (8,269,228) nil nil nil
============= =============== ========= =============
</TABLE>
Annual Report 13
<PAGE>
SSgA
International Liquidity Fund
Notes to Financial Statements, continued
December 31, 1998
Transactions in shares of the Funds for the period ended December 31, 1997 are
summarized below:
<TABLE>
<CAPTION>
Global shares
Canadian
United States Pound Dollar DeutscheMark
Dollar Fund Sterling Fund Fund Fund
--------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
Shares subscribed $ 18,651,422 [Pound]10 C$10 DEM10
Shares issued in reinvestment
of dividends 169,328 nil nil nil
Shares redeemed (10,551,422) nil nil nil
------------- ---- ---- -----
Net increase $ 8,269,328 [Pound]10 C$10 DEM10
============= ==== ==== =====
</TABLE>
5. Conversion of the Deutsche Mark Fund to the Euro Fund
Subsequent Events: With effect from the 1st day of January, 1999, the Trustees
have redesignated the Deutsche Mark Fund as the Euro Fund and the Shares of the
Deutsche Mark Fund were redenominated in Euro. Each Share in the Deutsche Mark
Fund was redeemed to be denominated in such amount of Euro as is equivalent to
its denomination in Deutsche Marks at the rate for the conversion of Deutsche
Marks into Euro established by the council of the European Union, subject to
such provisions (if any) as to rounding down (and payments in respect of
fractions consequent on rounding) as the Trust may decide, with the approval of
the Custodian, and as may be specified in a notice to the shareholders.
Thereafter, all payments in respect of dividends or redemptions will be made
solely in Euro.
14 Annual Report
<PAGE>
SSgA International Currency Fund
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Board of the Trustees
of International Currency Fund
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios 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 International Currency Fund,
comprised of the United States Dollar Portfolio, Pound Sterling Portfolio,
Canadian Dollar Portfolio and Deutschemark Portfolio (the "Portfolios") at
December 31, 1998 and the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' 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 generally accepted
auditing standards 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, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 19, 1999
Annual Report 15
<PAGE>
SSgA
International Currency Fund
U.S. DOLLAR PORTFOLIO Portfolio of Investments
December 31, 1998
<TABLE>
<CAPTION>
Principal Maturity Moodys/ Amortised
Description Amount Rate Date S&P (a) Cost
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Time Deposits - 44.81%
Banks
KredietBank London ......................... $1,100,000 5.50% 01/04/99 P1/A1+ $1,100,000
Bank of Montreal ........................... 700,000 5.75% 01/04/99 P1/A1+ 700,000
Bank of Nova Scotia ........................ 700,000 5.25% 01/04/99 P1/A1+ 700,000
Credit Agricole U.S.A. ..................... 700,000 5.88% 01/04/99 P1/A1+ 700,000
Royal Bank of Canada London ................ 700,000 5.50% 01/04/99 P1/A1+ 700,000
Republic National Bank of New York ......... 700,000 5.50% 01/04/99 P1/A1+ 700,000
Halifax plc ................................ 700,000 5.75% 01/04/99 P1/A1+ 700,000
Chase Manhattan Bank of Delaware ........... 500,000 4.88% 01/04/99 P1/A1+ 500,000
Commerzbank ................................ 700,000 5.44% 01/04/99 P1/A1+ 700,000
----------
Total Time Deposits .................................................................... 6,500,000
----------
Certificates of Deposit - 10.35%
Barclays ................................... 500,000 5.70% 02/01/99 P1/A1+ 500,182
Nord LB .................................... 1,000,000 5.30% 03/18/99 P1/A1+ 1,000,516
----------
Total Certificates of Deposit .......................................................... 1,500,698
----------
Commercial Paper - 20.35%
Financial Services
Ford Credit Europe Bank .................... 800,000 5.50% 01/05/99 P1/A1 799,513
USAA Capital Corp. ......................... 260,000 5.25% 01/28/99 P1/A1+ 258,982
IBM Credit Corp. ........................... 550,000 5.35% 01/05/99 P1/A1 549,674
National Australia FDG ..................... 800,000 5.14% 02/16/99 P1/A1+ 794,787
Industrial Services
General Electric Capital Corp. ............. 200,000 5.48% 01/14/99 P1/A1+ 199,606
Dupont EI De Nemours & Co. ................. 350,000 5.23% 01/29/99 P1/A1+ 348,584
----------
Total Commercial Paper ................................................................. 2,951,146
----------
</TABLE>
See notes to financial statements.
16 Annual Report
<PAGE>
SSgA
International Currency Fund
U.S. DOLLAR PORTFOLIO Portfolio of Investments, continued
December 31, 1998
<TABLE>
<CAPTION>
Principal Maturity Moodys/ Amortised
Description Amount Rate Date S&P (a) Cost
- ------------------------------------------------ ----------- ---------- ---------- --------- ---------------
<S> <C> <C> <C> <C> <C>
Repurchase Agreements - 24.75%
Credit Suisse First Boston, dated 12/31/98, with
a maturity value of $3,591,955. (Collateralized
by $3,775,000 (par value) Federal Mortgage
Discount Notes due 01/15/23, 10/15/24,
07/15/25, 10/15/25 04/15/26, 10/15/26, &
01/15/21. With a market value of
$3,741,403) ................................... 3,590,000 4.90% 01/04/99 P1/A1+ $ 3,590,000
-----------
Total Investments at Amortised Cost - 100.26% ............................................ 14,541,844
Liabilities in excess of other assets - (0.26%) .......................................... (37,540)
-----------
Net Assets - 100% ........................................................................ $14,504,304
===========
</TABLE>
Percentages indicated are based on net assets of $14,504,304
(a) The Moody's or Standard & Poor's ratings are believed to be the most recent
ratings available for the securities listed. Ratings are generally ascribed
to securities at the time of issuance. While agencies may from time to time
revise such ratings, they undertake no obligation to do so, and the ratings
do not necessarily represent what the agencies would ascribe to these
securities as of December 31, 1998. Ratings are not covered by the report of
independent accountants.
See notes to financial statements.
Annual Report 17
<PAGE>
SSgA
International Currency Fund
POUND STERLING PORTFOLIO Portfolio of Investments
December 31, 1998
<TABLE>
<CAPTION>
Principal Maturity Moodys/ Amortised
Description Amount Rate Date S&P (a) Cost
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Time Deposits - 64.36%
Banks
National Westminster Bancorp ............... [Pound]6,200,000 5.63% 01/04/99 P1/A1+ [Pound]6,200,000
Union Bank Switzerland ..................... 6,200,000 5.50% 01/04/99 P1/A1+ 6,200,000
Societe Generale, London ................... 6,200,000 6.00% 01/04/99 P1/A1+ 6,200,000
Deutsche Bank AG Luxembourg ................ 6,200,000 5.50% 01/04/99 P1/A1+ 6,200,000
Halifax Building Society ................... 6,350,000 6.88% 01/04/99 P1/A1+ 6,350,000
Royal Bank of Canada ....................... 6,200,000 5.94% 01/04/99 P1/A1+ 6,200,000
Kredietbank ................................ 6,200,000 5.75% 01/04/99 P1/A1+ 6,200,000
Bank of Nova Scotia ........................ 6,200,000 5.88% 01/04/99 P1/A1+ 6,200,000
Bank of Montreal ........................... 6,200,000 6.00% 01/04/99 P1/A1+ 6,200,000
Commerzbank ................................ 6,200,000 6.06% 01/04/99 P1/A1+ 6,200,000
Republic National Bank of New York ......... 6,200,000 6.00% 01/04/99 P1/A1+ 6,200,000
Chase Bank ................................. 6,200,000 5.88% 01/04/99 P1/A1+ 6,200,000
Credit Agricole Indosuez ................... 6,200,000 5.88% 01/04/99 P1/A1+ 6,200,000
----------
Total Time Deposits .......................................................................... 80,750,000
----------
Certificates of Deposit - 5.58%
Dresdner Bank .............................. 7,000,000 7.00% 01/04/99 P1/A1+ 7,000,000
----------
Commercial Paper - 27.27%
Financial Services
Ford Credit Europe Plc ..................... 6,000,000 6.35% 01/19/99 P1/A1 5,981,058
Avco Trust Plc ............................. 7,000,000 7.08% 01/29/99 P1/A1 6,962,130
Merrill Lynch .............................. 7,000,000 6.87% 04/19/99 P1/A1+ 6,860,484
Banks
Barclays Australia ......................... 7,000,000 7.29% 01/04/99 P1/A1+ 6,995,831
Industrial Services
Scottish Power ............................. 7,500,000 6.90% 02/26/99 P1/A1 7,421,294
-----------
Total Commercial Paper ....................................................................... 34,220,797
-----------
</TABLE>
See notes to financial statements.
18 Annual Report
<PAGE>
SSgA
International Currency Fund
POUND STERLING PORTFOLIO Portfolio of Investments, continued
December 31, 1998
<TABLE>
<CAPTION>
Amortised
Description Cost
- ---------------------------------------------------------------------------------
<S> <C>
Total Investments at Amortised Cost - 97.21% ............... [Pound]121,970,797
Other assets in excess of liabilities - 2.79% 3,503,745
------------------
Net Assets - 100.0% ........................................ [Pound]125,474,542
==================
</TABLE>
Percentages indicated are based on net assets of $125,474,542.
(a) The Moody's or Standard & Poor's ratings indicated are believed to be the
most recent ratings available for the securities listed. Ratings are
generally ascribed to securities at the time of issuance. While agencies may
from time to time revise such ratings, they undertake no obligation to do
so, and the ratings do not necessarily represent what the agencies would
ascribe to these securities as at December 31, 1998. Ratings are not covered
by the report of independent accountants.
See notes to financial statements.
Annual Report 19
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Statements of Assets and Liabilities
(local currencies) as at December 31, 1998
U.S. Pound Canadian
Dollar Sterling Dollar Deutschemark
Portfolio Portfolio Portfolio* Portfolio*
$ [Pound] C$ Dem
------------ ------------- ------------ -------------
<S> <C> <C> <C> <C>
Assets:
Investments in securities, at amortized cost
(original cost $14,541,844, [Pound]121,970,797,
including Repurchase Agreements of $3,590,000 and
[Pound]0 respectively.) .............................. 14,541,844 121,970,797 -- --
Deferred organisational costs ......................... 45,000 27,000 -- --
Cash .................................................. 793 3,439,761 10 10
Interest receivable ................................... 38,579 124,515 -- --
---------- ----------- ------ ------
Total Assets ........................................ 14,626,216 125,562,073 10 10
---------- ----------- ------ ------
Liabilities:
Amounts payable to Investment Adviser ................. 60,030 45,000 -- --
Custody fees payable .................................. 40,875 27,838 -- --
Advisory fees payable ................................. -- 4,535 -- --
Audit fees payable .................................... 8,347 5,100 -- --
Other accrued expenses ................................ 12,660 5,058 -- --
---------- ----------- ------ ------
Total Liabilities ................................... 121,912 87,531 -- --
---------- ----------- ------ ------
Net Assets, December 31, 1998 ......................... 14,504,304 125,474,542 10 10
========== =========== ====== ======
</TABLE>
* not yet commenced operations.
See notes to financial statements.
20 Annual Report
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Statements of Operations
(local currencies) For the year ended December 31, 1998
U.S. Pound Canadian
Dollar Sterling Dollar Deutschemark
Portfolio Portfolio Portfolio* Portfolio*
$ [Pound] C$ Dem
------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
Investment Income:
Interest income ............................................. 2,351,433 9,348,640 -- --
--------- --------- ------ ------
Total Income ............................................... 2,351,433 9,348,640 -- --
--------- --------- ------ ------
Expenses:
Advisory fees ............................................... 84,675 259,764 -- --
Administration fees ......................................... 21,168 64,941 -- --
Trustees fees ............................................... 32,993 19,856 -- --
Legal fees .................................................. 30,357 22,568 -- --
Amortisation of organisation costs .......................... 15,030 9,211 -- --
Audit fees .................................................. 14,883 7,644 -- --
Fund accounting fees and expenses ........................... 8,468 25,976 -- --
Custodian fees and expenses ................................. 38,673 39,149 -- --
Other operating expenses .................................... 29,713 8,134 -- --
--------- --------- ------ ------
Total Expenses .............................................. 275,960 457,243 -- --
Fee waivers ................................................. (84,675) (168,847) -- --
--------- --------- ------ ------
Total Net Expenses .......................................... 191,285 288,396 -- --
--------- --------- ------ ------
Net Investment Income ........................................ 2,160,148 9,060,244 -- --
--------- --------- ------ ------
Net Increase in Net Assets Resulting from Operations ......... 2,160,148 9,060,244 -- --
========= ========= ====== ======
</TABLE>
* not yet commenced operations.
See notes to financial statements.
Annual Report 21
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the period
from March 26, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
$ $
U.S. DOLLAR PORTFOLIO -------------------- --------------------
<S> <C> <C>
Increase in Net Assets From Operations:
Net investment income .......................... 2,160,148 1,490,078
--------- ---------
Net Increase in net assets resulting from
operations .................................. 2,160,148 1,490,078
--------- ---------
From Fund Transactions:
Net increase (decrease) in net assets from fund
transactions ................................ (41,683,285) 52,537,363
----------- ----------
Net increase (decrease) in Net Assets ........... (39,523,137) 54,027,441
----------- ----------
Net Assets:
Beginning of year .............................. 54,027,441 --
----------- ----------
End of year .................................... 14,504,304 54,027,441
=========== ==========
</TABLE>
See notes to financial statements.
22 Annual Report
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
For the period
from March 3, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
[Pound] [Pound]
POUND STERLING PORTFOLIO -------------------- -------------------
<S> <C> <C>
Increase in Net Assets From Operations:
Net investment income ......................................... 9,060,244 4,780,468
--------- ---------
Net increase in net assets resulting from operations ......... 9,060,244 4,780,468
--------- ---------
From Fund Capital Transactions:
Net increase (decrease) in net assets from fund
transactions ............................................... (11,623,604) 123,257,434
----------- -----------
Net Increase (Decrease) in Net Assets .......................... (2,563,360) 128,037,902
----------- -----------
Net Assets:
Beginning of year ............................................. 128,037,902 --
----------- -----------
End of year ................................................... 125,474,542 128,037,902
=========== ===========
</TABLE>
See notes to financial statements.
Annual Report 23
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Financial Highlights
U.S. DOLLAR PORTFOLIO For the period
from March 26, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
$ $
-------------------- --------------------
<S> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period ('000) ....................... $ 14,504 $54,027
Ratio of expenses to average net assets
after waivers and reimbursements ..................... 0.45% 0.65%(b)
Ratio of net investment income to average net assets
after waivers or reimbursements ...................... 5.03% 4.93%(b)
Ratio of expenses to average net assets (a) ............ 0.65% 0.85%(b)
Ratio of net investment income to average net assets (a) 4.83% 4.73%
Total return ........................................... 5.61% 3.00%(c)
</TABLE>
(a) During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred the ratios would have been as indicated.
(b) Annualized
(c) Not Annualized
See notes to financial statements.
24 Annual Report
<PAGE>
SSgA
International Currency Fund
<TABLE>
<CAPTION>
Financial Highlights
POUND STERLING PORTFOLIO For the period
from March 3, 1997
For the year (commencement of
ended December 31, operations) to
1998 December 31, 1997
[Pound] [Pound]
-------------------- -------------------
<S> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period ('000) ............................. [Pound]125,475 [Pound]128,038
Ratio of expenses to average net assets
after waivers and reimbursements ........................... 0.22% 0.24%(b)
Ratio of net investment income to average net assets ......... 6.98% 6.56%(b)
Ratio of expenses to average net assets (a) .................. 0.35% 0.41%(b)
Ratio of net investment income to average net assets (a) 6.85% 6.38%(b)
Total Return ................................................. 7.50% 4.00%(c)
</TABLE>
(a) During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred the ratios would have been as indicated.
(b) Annualized
(c) Not Annualized
See notes to financial statements.
Annual Report 25
<PAGE>
SSgA
International Currency Fund
Notes to Financial Statements
December 31, 1998
1. Organisation
International Currency Fund (the "Portfolio Trust"), a Delaware business trust,
is registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end management investment company. At December 31,1998, the
Portfolio Trust consisted of four portfolios; the U.S. Dollar Portfolio the
Pound Sterling Portfolio, the Canadian Dollar Portfolio and the Deutschemark
Portfolio (individually the "Portfolio" and collectively the "Portfolios"). As
of that date only the U.S. Dollar and Pound Sterling Portfolios had commenced
operations.
The investment objectives of each Portfolio are to seek to maintain a high level
of liquidity, preserve capital and stability of principal expressed in the
Portfolio's designated currency and, consistent with those objectives, to earn
current income.
State Street Bank and Trust Company (the "Investment Adviser") through its's
division, State Street Global Advisors, furnishes investment services to the
Portfolios. The Investment Adviser assumed these responsibilities: effective
from September 22, 1998 from Rothschild International Asset Management Limited
("RIAM"). RIAM services as sub-adviser to the Portfolios.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the
Portfolios in the preparation of their financial statements. The Portfolio's
financial statements are prepared in accordance with generally accepted
accounting principles. The preparation of financial statements, requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities at the date of the financial statements and the reported
amounts of income and expenses for the period. Actual results could differ from
those estimates.
Security Valuations: The securities of the Portfolios are valued at amortised
cost, which approximates market value. The amortised cost method involves
valuing a security at its cost on the date of purchase and thereafter assuming a
constant amortisation to maturity of the difference between the principal amount
due at maturity and cost. In accordance with policies adopted by the Portfolio
Trust in this regard, the Portfolios may not (a) purchase any instrument with an
effective remaining maturity greater than thirteen months, or (b) maintain a
weighted average maturity which exceeds 90 days.
Securities Transactions and Related Income: Securities transactions are
accounted for on the date the security is purchased or sold (trade date).
Interest income is recognised on the accrual basis and includes, where
applicable, the amortisation of premium or accretion of discount. Gains or
losses realised on sales of securities are determined by comparing the amortised
cost of the security sold with the net sale proceeds.
Expenses: Expenses directly attributable to a Portfolio are charged to that
Portfolio, while general Portfolio Trust expenses are allocated among the
respective Portfolios of the Trust on the basis of their respective net assets.
Repurchase Agreements: The Portfolios will enter into repurchase agreements
only with financial institutions rated by a U.S. nationally recognised
statistical rating organisation (NRSRO) in the highest rating category for
26 Annual Report
<PAGE>
SSgA
International Currency Fund
Notes to Financial Statements, continued
December 31, 1998
short term obligations and deemed to be creditworthy by the Investment Adviser,
pursuant to guidelines established by the Portfolio Trust's Board of Trustees.
During the term of any repurchase agreement, the Investment Adviser will monitor
the creditworthiness of the seller, and the seller must maintain the value of
the securities subject to the agreement in an amount that is greater than the
repurchase price. Default or bankruptcy of the seller would, however expose the
Portfolios to possible loss because of adverse market action or delays in
connection with the disposition of the underlying obligations. Because of the
seller's repurchase obligations, the securities subject to repurchase agreements
do not have maturity limitations.
Organisational Expenses: The deferred organisation costs were incurred by the
U.S. Dollar and Pound Sterling Portfolios in connection with their organisation.
The Portfolios are expected to reimburse the Investment Adviser for the payment
of these costs made in advance by the Investment Adviser. The costs have been
deferred and will be amortised on a straight line basis over a five year period
from the commencement of operations by the Portfolios.
Federal Income Taxes: Each Portfolio will be treated as a partnership for U.S.
federal income tax purposes. As such, each U.S. investor in a Portfolio will be
taxed on its share of the Portfolio's ordinary income and capital gains. It is
intended that the Portfolios will be managed in such a way that an investor
will be able to satisfy the requirements of U.S. Internal Revenue Code
applicable to regulated investment companies.
3. Related Parties
Adviser: The Portfolio Trust has an investment advisory agreement with State
Street Bank and Trust Company (the "Investment Adviser") under which the
Investment Adviser directs the investments of the Portfolio in accordance with
its investment obligations, policies, and limitations. These investment services
are furnished through the Investment Adviser's division, State Street Global
Advisers.
Pursuant to the terms of the Investment Advisory Agreement, the Investment
Adviser is entitled to a fee, which is accrued daily and payable monthly, at an
annual rate of 0.20% of the average daily net assets of each Portfolio of the
Trust. For the period from January 1, 1998 to September 22, 1998 Rothschild
International Asset Management Limited waived its fees of $71,832 and
[Pound]119,327 in the U.S. Dollar and Pound Sterling Portfolios respectively,
and State Street Bank and Trust Company waived its fees of $12,843 and
[Pound]49,520 in the U.S. Dollar and Pound Sterling Portfolios respectively for
the period from September 23, 1998 to December 31, 1998.
Administrator: The Portfolio Trust has an Administration Agreement and a
Distribution Agreement with BISYS Fund Services Limited Partnership ("BISYS")
(the "Administrator" or the "Distributor"). As Administrator, BISYS assists in
supervising the operations of the Portfolios. Pursuant to the terms of the
Administration Agreement, BISYS is entitled to a fee from each Portfolio which
is accrued daily and payable monthly, at an annual rate of 0.05% of each of the
Portfolio's average daily net assets. For the period ended December 31,1998
BISYS earned the following fees as Administrator for each Portfolio.
<TABLE>
<S> <C>
U.S. Dollar $21,168
Pound Sterling [Pound]64,941
</TABLE>
Annual Report 27
<PAGE>
SSgA
International Currency Fund
Notes to Financial Statements, continued
December 31, 1998
BISYS Fund Services, Inc., serves the Portfolio Trust as Fund Accountant. BISYS
and BISYS Fund Services, Inc. are each wholly owned subsidiaries of The BISYS
Group, Inc.
BISYS Fund, Services, Inc. earned the following amounts for the period ended
December 31, 1998 for providing such fund accounting services on a daily basis
to each Portfolio.
<TABLE>
<S> <C>
U.S. Dollar $ 8,468
Pound Sterling [Pound]25,976
</TABLE>
Board of Trustees: For the period ended December 31, 1998 the U.S. Dollar
Portfolio and Pound Sterling Portfolio paid US$32,993 and [Pound]19,856,
respectively, in total to the Trustees of the Portfolio Trust. The Portfolio
Trust will not pay compensation to the Trustees of the Portfolio Trust
affiliated with the Investment Adviser or the Administrator nor will it pay any
compensation to the Trustees who are officers of the Trust.
4. Securities Transactions
During the period ended December 31, 1998, each Portfolio had portfolio
securities transactions in the following amounts:
<TABLE>
<CAPTION>
Purchases Maturities
<S> <C> <C>
U.S. Dollar Portfolio $ 6,407,829,371 $ 6,447,543,000
Pound Sterling Portfolio [Pound]18,764,143,021 [Pound]18,796,969,643
</TABLE>
5. Fund Share Transactions (On a Constant Value Basis)
For the year ended December 31, 1998
<TABLE>
<CAPTION>
Pound Canadian
U.S. Sterling Dollar DeutscheMark
Dollar Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C>
Contributions 195,915,883 139,679,400 nil nil
Withdrawals (237,599,168) (151,303,004)
Net decrease (41,683,285) (11,623,604) nil nil
============ ============ === ===
</TABLE>
For the period ended December 31, 1997
<TABLE>
<CAPTION>
Pound Canadian
U.S. Sterling Dollar DeutscheMark
Dollar Portfolio Portfolio Portfolio Portfolio
<S> <C> <C> <C> <C>
Contributions 177,719,547 182,128,181 le le
Withdrawals (125,182,184) (58,870,747)
Net increase 52,537,363 123,257,434 le le
============ =========== == ==
</TABLE>
28 Annual Report
<PAGE>
SSgA
International Currency Fund
Notes to Financial Statements, continued
December 31, 1998
6. Conversion of the DeutscheMark Portfolio to the Euro Portfolio
Subsequent Events: With effect from the 1st day of January 1999, the Trustees
have redesignated the DeutscheMark Portfolio as the Euro Portfolio and the
shares in the Deutsche Mark Portfolio were redenominated in Euro. Each Share in
The DeutscheMark Portfolio was redeemed to be denominated in such amount of Euro
as is equivalent to its denomination in Deutsche Marks at the rate for the
conversion of Deutsche Marks into Euro established by the council of the
European Union, subject to such provisions (if any) as to rounding down (and
payments in respect of fractions consequent on rounding) as the Portfolio Trust
may decide, with the approval of the Custodian, and as may be specified in the
notice. Thereafter, all payments in respect of dividends or redemptions will be
made solely in Euro.
Annual Report 29
<PAGE>
[THIS PAGE INTENTIALLY LEFT BLANK]
<PAGE>
[THIS PAGE INTENTIALLY LEFT BLANK]
<PAGE>
SSgA International Liquidity Fund
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
Investment Adviser
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
Distributor
BISYS Fund Services Limited Partnership
3435 Stelzer Road
Columbus, OH 43219
Administrator
BISYS Fund Services Limited Partnership
3435 Stelzer Road
Columbus, OH 43219
Transer Agent
BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, OH 43219
Custodian
The Chase Manhattan Bank
4 Chase Metrotech Centre
Brooklyn, NY 11245
Auditors
PricewaterhouseCoopers LLP
One Post Office Square
Boston, MA 02109
Counsel
Goodwin, Procter & Hoar
Exchange Place
Boston, MA 02109
