State Street Research
Institutional Funds
Annual Report
January 31, 2000
One Financial Center o Boston, MA o 02111 o 617 357-1200
Note: Not to be used for general solicitation purposes.
<PAGE>
State Street Research State Street Research
Core Fixed Income Fund Core Large Cap Growth Fund
A bond fund focusing A stock fund seeking competitive
on U.S. investment grade total returns relative to the
fixed-income securities. Standard & Poor's 500 Composite
Stock Index.
State Street Research State Street Research
Core Plus Fixed Income Fund Large Cap Growth Fund
A bond fund investing in investment A stock fund seeking competitive
grade fixed-income securities and total returns relative to the
using an opportunistic approach to Russell 1000 Growth Index.
high yield and foreign securities.
<PAGE>
Report of Independent Accountants
To the Trustees of State Street Research Institutional Funds and the
Shareholders of State Street Research Core Fixed Income Fund, State Street
Research Core Plus Fixed Income Fund, State Street Research Core Large Cap
Growth Fund and State Street Research Large Cap Growth Fund:
In our opinion, the accompanying statements of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and financial highlights present fairly, in all material
respects, the financial position of State Street Research Core Fixed Income
Fund, State Street Research Core Plus Fixed Income Fund, State Street Research
Core Large Cap Growth Fund and State Street Research Large Cap Growth Fund (the
"Funds") at January 31, 2000, and the results of their operations, changes in
their net assets and financial highlights for the period August 2, 1999
(commencement of operations) to January 31, 2000, 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 Funds' 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 audits 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 owned at
January 31, 2000 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
March 17, 2000
<PAGE>
State Street Research
Core Fixed Income Fund
Investment Portfolio January 31, 2000
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Fixed Income Securities 92.4%
U.S. Treasury 15.0%
U.S. Treasury Bond, 11.25% .............. $125,000 2/15/2015 $177,285
U.S. Treasury Bond,
8.50% ................................... 50,000 2/15/2020 59,750
U.S. Treasury Bond,
8.75% ................................... 250,000 5/15/2020 305,978
U.S. Treasury Bond,
8.125% .................................. 145,000 5/15/2021 168,358
U.S. Treasury Bond,
6.75% ................................... 300,000 8/15/2026 305,109
U.S. Treasury Bond,
5.25% ................................... 150,000 11/15/2028 124,781
U.S. Treasury Bond,
3.875% .................................. 127,968 4/15/2029 119,729
U.S. Treasury Note,
6.625% .................................. 375,000 7/31/2001 375,231
U.S. Treasury Note,
6.00% ................................... 625,000 8/15/2009 595,700
----------
2,231,921
----------
U.S. Agency Mortgage 39.6%
Federal National Mortgage Association,
5.75% ................................... 450,000 4/15/2003 432,423
Federal National Mortgage Association,
6.625% .................................. 100,000 9/15/2009 95,078
Federal National Mortgage Association,
6.00% ................................... 145,075 12/01/2028 130,521
Federal National Mortgage Association,
6.50% ................................... 196,207 5/01/2029 182,103
Federal National Mortgage Association,
6.50% ................................... 372,469 7/01/2029 345,696
Federal National Mortgage Association,
7.00% ................................... 294,669 8/01/2029 280,764
Federal National Mortgage Association,
6.50% ................................... 681,928 8/01/2029 632,911
Federal National Mortgage Association,
7.00% ................................... 1,198,035 10/01/2029 1,141,499
Federal National Mortgage Association,
7.00% ................................... 273,630 12/01/2029 260,718
Federal National Mortgage Association
TBA, 7.50% .............................. 625,000 2/14/2030 609,963
Government National Mortgage
Association, 6.50% ...................... 372,571 3/15/2029 344,278
Government National Mortgage
Association, 6.50% ...................... 149,660 6/15/2029 138,295
Government National Mortgage
Association, 7.50% ...................... 99,809 10/15/2029 97,282
Government National Mortgage
Association TBA, 8.00% .................. 450,000 2/22/2030 449,015
Government National Mortgage
Association TBA, 7.00% .................. 775,000 2/22/2030 737,342
----------
5,877,888
----------
Canadian-Yankee 2.6%
Bombardier Capital Inc. Note,
7.30%+ .................................. 150,000 12/15/2002 148,725
Province of Quebec Deb.,
7.125% .................................. 250,000 2/09/2024 231,983
----------
380,708
----------
Foreign Government 1.6%
Greek drachma
Republic of Greece,
6.95% ................................... 250,000 3/04/2008 237,525
Finance/Mortgage 21.0%
American Express Credit Trust Series
1999 Cl. A, 5.60% ....................... $225,000 11/15/2006 211,288
Associates Corp. of North America
Note, 5.80% ............................. 100,000 4/20/2004 93,674
Capital One Bank
Note, 6.15% ............................. 150,000 6/01/2001 146,637
Capital One Bank
Note, 6.65% ............................. 250,000 3/15/2004 238,623
Conseco Inc.
Note, 7.62% ............................. 75,000 2/01/2005 74,648
Conseco Inc.
Note, 9.0% .............................. 25,000 10/15/2006 25,130
ERAC USA Finance Co.
Note, 6.35%+ ............................ 150,000 1/15/2001 149,124
First Union Lehman Brothers
Bank Series 1998-C2 Cl. A1, 6.28% ....... 273,731 6/18/2007 261,670
Ford Motor Credit Co.
Note, 7.00% ............................. 200,000 9/25/2001 198,884
Ford Motor Credit Co.
Note, 6.30% ............................. 225,000 7/16/2002 225,475
General Motors Acceptance Corp.
Note, 6.33% ............................. 150,000 10/07/2002 150,300
General Motors Acceptance Corp.
Note, 6.25% ............................. 100,000 4/05/2004 99,880
GMAC Commercial Mortgage Security
Inc. Series 99-C1 Cl. A2, 6.175% ........ 325,000 5/15/2033 291,992
Heller Financial Inc.
Note, 6.50% ............................. 100,000 7/22/2002 97,447
Heller Financial Inc.
Note, 6.00% ............................. 150,000 3/19/2004 141,131
Heller Financial Inc.
Note, 7.125% ............................ 100,000 9/28/2004 97,458
Merrill Lynch Mortgage Investments
Inc. Series 1998-C2 Cl. A1, 6.22% ....... 194,132 2/15/2030 185,912
Morgan Stanley Group Inc.
Note, 7.125% ............................ 150,000 1/15/2003 148,122
Peco Energy Transport
Trust Series 1999A
Cl. A4, 5.80% ........................... 150,000 3/01/2007 140,672
West Penn Funding LLC
Series 1999A Cl. A3,
6.81% ................................... 150,000 9/25/2008 145,546
----------
3,123,613
----------
The accompanying notes are an integral part of the financial statements.
1
<PAGE>
State Street Research
Core Fixed Income Fund
Investment Portfolio (cont'd) January 31, 2000
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Corporate 12.6%
Atlantic Richfield Co.
Note, 5.90% .................................... $125,000 4/15/2009 $111,541
California Infrastructure
Development Series
1997-A6, 6.38% ................................. 150,000 9/25/2008 143,250
Coca-Cola Enterprises
Inc. Deb., 6.75% ............................... 275,000 9/15/2028 238,920
El Paso Energy Corp.
Sr. Note, 6.625% ............................... 225,000 7/15/2001 222,397
El Paso Energy Corp.
Sr. Note, 6.75% ................................ 75,000 5/15/2009 69,518
Kroger Co.
Sr. Note Series B, 7.25% ....................... 150,000 6/01/2009 142,002
Lucent Technologies
Inc. Deb., 6.45% ............................... 150,000 3/15/2029 128,439
New Jersey Economic
Development Authority
Series A, 7.425% ............................... 150,000 2/15/2029 141,926
News America Inc. Sr.
Deb., 7.28% .................................... 75,000 6/30/2028 66,168
Norfolk Southern
Corp. Note, 6.20% .............................. 125,000 4/15/2009 110,881
NRG Energy Inc., 8.00% ......................... 75,000 11/01/2003 74,241
Procter & Gamble Co.,
6.875% ......................................... 175,000 9/15/2009 167,557
Safeway Inc. Note,
7.00% .......................................... 150,000 9/15/2002 148,240
United Technologies Corp.
Note, 6.70% .................................... 125,000 8/01/2028 109,453
------------
1,874,533
------------
Total Fixed Income Securities
(Cost $13,971,272) ............................. 13,726,188
------------
Commercial Paper 15.8%
American Express
Credit Corp., 5.58% ............................ 700,000 2/08/2000 700,000
General Electric
Capital Corp., 5.53% ........................... 729,000 2/03/2000 729,000
General Electric
Capital Corp., 5.62% ........................... 184,000 2/14/2000 184,000
Merrill Lynch &
Company Inc., 5.70% ............................ 740,000 2/22/2000 737,553
------------
Total Commercial Paper
(Cost $2,350,553) .............................. 2,350,553
------------
Total Investments (Cost $16,321,825) - 108.2% 16,076,741
Cash and Other Assets, Less Liabilities - (8.2%) (1,219,007)
------------
Net Assets - 100.0% ............................ $14,857,734
============
Federal Income Tax Information:
At January 31, 2000, the net unrealized depreciation of investments based on
cost for Federal income tax purposes of $16,329,206 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $5,111
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (257,576)
------------
$(252,465)
============
</TABLE>
- --------------------------------------------------------------------------------
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at January 31, 2000 were $298,682 and $297,849 (2.00% of net assets),
respectively.
Futures contracts open at January 31, 2000, are as follows:
<TABLE>
<CAPTION>
Type Notional Amount Expiration Month Unrealized Appreciation
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5 Year U.S. Treasury Notes $200,000 March, 2000 $486
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio January 31, 2000
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Fixed Income Securities 91.8%
U.S. Treasury 8.2%
U.S. Treasury Bond,
11.25% ......................................... $75,000 2/15/2015 $106,371
U.S. Treasury Bond,
8.125% ......................................... 100,000 8/15/2021 116,234
U.S. Treasury Bond,
6.75% .......................................... 200,000 8/15/2026 203,406
U.S. Treasury Bond,
6.125% ......................................... 175,000 11/15/2027 164,691
U.S. Treasury Bond,
5.25% .......................................... 100,000 11/15/2028 83,187
U.S. Treasury Bond,
3.875% ......................................... 76,781 4/15/2029 71,837
U.S. Treasury Note,
6.00% .......................................... 325,000 8/15/2009 309,764
------------
1,055,490
------------
U.S. Agency Mortgage 35.0%
Federal National
Mortgage Association,
5.75% .......................................... 200,000 4/15/2003 192,188
Federal National
Mortgage Association,
6.625% ......................................... 75,000 9/15/2009 71,309
Federal National
Mortgage Association,
6.50% .......................................... 369,529 5/01/2029 342,967
Federal National
Mortgage Association,
6.50% .......................................... 787,664 8/01/2029 731,047
Federal National
Mortgage Association,
7.00% .......................................... 1,173,076 10/01/2029 1,117,718
Federal National
Mortgage Association,
7.00% .......................................... 124,775 11/01/2029 118,887
Federal National
Mortgage Association
TBA, 7.50% ..................................... 650,000 2/14/2030 634,361
Government National
Mortgage Association,
6.50% .......................................... 471,924 3/15/2029 436,086
Government National
Mortgage Association
TBA, 8.00% ..................................... 325,000 2/22/2030 324,288
Government National
Mortgage Association
TBA, 7.00% ..................................... 575,000 2/22/2030 547,061
------------
4,515,912
------------
Canadian-Yankee 3.2%
Bombardier Capital
Inc. Note, 7.30%+ .............................. 125,000 12/15/2002 123,937
Province of Quebec Deb.,
7.125% ......................................... 125,000 2/09/2024 115,991
Province of Quebec Deb.,
7.50% .......................................... 175,000 9/15/2029 169,670
------------
409,598
------------
Foreign Government 3.9%
<CAPTION>
Greek Drachma
<S> <C> <C> <C>
Republic of Greece,
8.80% .......................................... 45,000,000 6/19/2007 149,181
Republic of Greece,
6.95% .......................................... 125,000 3/04/2008 118,763
<CAPTION>
New Zealand Dollar
<S> <C> <C> <C>
Government of New Zealand,
8.00% .......................................... 75,000 4/15/2004 37,998
Government of New Zealand,
10.00% ......................................... 75,000 3/15/2002 39,275
Government of New Zealand,
8.00% .......................................... 325,000 11/15/2006 166,042
------------
511,259
------------
Finance/Mortgage 20.6%
American Express
Credit Account Trust
Series 1999 Cl. A,
5.60% .......................................... $275,000 11/15/2006 258,241
Associates Corp. of
North America Note,
5.80% .......................................... 125,000 4/20/2004 117,093
Capital One Bank
Note, 6.15% .................................... 200,000 6/01/2001 195,516
Capital One Bank
Note, 6.65% .................................... 250,000 3/15/2004 238,623
Conseco Inc.
Note, 7.875% ................................... 75,000 12/15/2000 74,985
Conseco Inc.
Note, 9.00% .................................... 25,000 10/15/2006 25,130
Conseco Inc. Sr.
Note, 6.40% .................................... 75,000 6/15/2001 72,668
First Union Lehman
Brothers Bank Series
1998-C2 Cl. A1, 6.28% .......................... 343,015 6/18/2007 327,901
Ford Motor Credit Co.
Note, 7.00% .................................... 200,000 9/25/2001 198,884
Ford Motor Credit Co.
Note, 6.45% .................................... 225,000 7/16/2002 225,475
General Motors Acceptance Corp.
Note, 6.33% .................................... 125,000 10/07/2002 125,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio (cont'd) January 31, 2000
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
General Motors Acceptance Corp.
Note, 6.25% .................................... $75,000 4/05/2004 $74,910
GMAC Commercial
Mortgage Security
Inc. 1999-C1 Cl. A2,
6.175% ......................................... 275,000 5/15/2033 247,070
Heller Financial Inc.
Note, 6.50% .................................... 125,000 7/22/2002 121,809
Household Finance Corp.
Note, 6.00% .................................... 100,000 5/01/2004 94,113
Peco Energy Transport
Trust Series 1999A
Cl. A4, 5.80% .................................. 150,000 3/01/2007 140,672
West Penn Funding LLC
Series 1999A Cl. A3,
6.81% .......................................... 125,000 9/25/2008 121,288
------------
2,659,628
------------
Corporate 20.9%
Albertsons Inc. Sr.
Deb., 7.45% .................................... 75,000 8/01/2029 71,219
Allied Waste North
America Inc. Sr.
Note, 7.625% ................................... 75,000 1/01/2006 66,188
Atlantic Richfield Co.
Note, 5.90% .................................... 125,000 4/15/2009 111,541
Beckman Coulter Inc. Sr.
Note, 7.45% .................................... 150,000 3/04/2008 136,653
British Sky Broadcasting Group
Note PLC, 8.20% ................................ 125,000 7/15/2009 120,540
California Infrastructure
Development Series
1997-A6, 6.38% ................................. 150,000 9/25/2008 143,250
Calpine Corp. Sr.
Note, 7.75% .................................... 150,000 4/15/2009 138,585
Charter Communication
Holding LLC Sr.
Note, 8.625% ................................... 100,000 4/01/2009 92,000
Coca-Cola Enterprises
Inc. Deb., 6.75% ............................... 250,000 9/15/2028 217,200
Columbia / HCA
Healthcare Corp.
Note, 7.58% .................................... 125,000 9/15/2025 97,500
Echostar DBS Corp.
Sr. Note, 9.375% ............................... 50,000 2/01/2009 49,250
El Paso Energy Corp.
Sr. Note, 6.625% ............................... 200,000 7/15/2001 197,686
El Paso Energy Corp.
Sr. Note, 6.75% ................................ 75,000 5/15/2009 69,518
Global Crossing
Holdings Ltd. Sr.
Note, 9.50%+ ................................... 150,000 11/15/2009 146,062
Harrah's Operating
Inc. Sr. Sub.
Note, 7.875% ................................... 150,000 12/15/2005 141,750
Kroger Co. Sr. Note
Series B, 7.25% ................................ 125,000 6/01/2009 118,335
Lear Corp. Sr. Note
Series B, 7.96%+ ............................... 150,000 5/15/2005 142,440
Lockheed Martin Corp.
Note, 7.95% .................................... 75,000 12/01/2005 73,536
News America Inc. Sr.
Deb., 7.28% .................................... 100,000 6/30/2028 88,224
NRG Energy Inc., 8.00% ......................... 75,000 11/01/2003 74,241
Safeway Inc. Note,
7.00% .......................................... 150,000 9/15/2002 148,240
United Technologies Corp.
Note, 6.70% .................................... 150,000 8/01/2028 131,343
Waste Management Inc.
Note, 7.70% .................................... 50,000 10/01/2002 48,405
Williams Communications Corp.
Sr. Note, 10.70% ............................... 75,000 10/01/2007 77,813
------------
2,701,519
------------
Total Fixed Income Securities
(Cost $12,084,621) ............................. 11,853,406
------------
Commercial Paper 14.7%
Merrill Lynch & Company Inc.,
5.67% .......................................... 640,000 2/22/2000 637,883
Norwest Financial
Inc., 5.62% .................................... 630,000 2/07/2000 630,000
Walt Disney Co.,
5.50% .......................................... 625,000 2/02/2000 624,905
------------
Total Commercial Paper
(Cost $1,892,788) ............................................. 1,892,788
------------
Total Investments
(Cost $13,977,409) - 106.5% ................................... 13,746,194
Cash and Other Assets, Less Liabilities - (6.5%) (833,410)
------------
Net Assets - 100.0% ........................................... $12,912,784
============
Federal Income Tax Information:
At January 31, 2000, the net unrealized depreciation of investments based on
cost for Federal income tax purposes of $13,979,912 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $6,383
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (240,101)
------------
$(233,718)
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio (cont'd) January 31, 2000
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at January 31, 2000 were $420,759 and $412,439 (3.19% of net assets),
respectively.
Forward currency exchange contracts outstanding at January 31, 2000 are as
follows:
<TABLE>
<CAPTION>
Unrealized
Appreciation
Total Value Contract Price (Depreciation) Delivery Date
-------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Sell Euro, Buy U.S. dollars................... 24,900 EUR 1.03550 EUR $1,450 2/18/00
Sell Greek drachma, Buy U.S. dollars.......... 13,646,000 GRD .00309 GRD 2,062 2/18/00
Sell Greek drachma, Buy U.S. dollars.......... 10,340,000 GRD .00304 GRD 1,099 3/09/00
Buy New Zealand dollars, Sell U.S. dollars.... 10,000 NZD .51185 NZD (166) 2/18/00
Sell New Zealand dollars, Buy U.S. dollars.... 29,000 NZD .51000 NZD 429 2/18/00
Sell New Zealand dollars, Buy U.S. dollars.... 470,000 NZD .51000 NZD 6,945 2/18/00
-------
$11,819
=======
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
State Street Research
Core Large Cap Growth Fund
Investment Portfolio January 31, 2000
- --------------------------------------------------------------------------------
Value
Shares (Note 1)
- --------------------------------------------------------------------------------
Common Stocks 95.5%
Automobiles & Transportation 1.2%
Miscellaneous Transportation 1.2%
Harley-Davidson Inc. ................................. 200 $14,038
----------
Total Automobiles & Transportation 14,038
----------
Consumer Discretionary 13.4%
Advertising Agencies 1.7%
Omnicom Group Inc. ................................... 200 18,738
----------
Communications, Media & Entertainment 6.0%
CBS Corp.* ........................................... 600 34,987
U.S.A. Networks Inc.* ................................ 300 14,888
Walt Disney Co. ...................................... 500 18,156
----------
68,031
----------
Household Furnishings 1.1%
Black & Decker Corp. ................................. 300 12,019
----------
Retail 4.6%
Best Buy Company Inc.* ............................... 200 9,550
Gap Inc. ............................................. 200 8,937
Staples Inc.* ........................................ 700 16,669
Wal-Mart Stores, Inc. ................................ 300 16,425
----------
51,581
----------
Total Consumer Discretionary 150,369
----------
Consumer Staples 7.4%
Beverages 2.2%
Anheuser-Busch Companies, Inc. ....................... 200 13,500
Coca-Cola Co. ........................................ 200 11,487
----------
24,987
----------
Drug & Grocery Store Chains 1.3%
CVS Corp. ............................................ 400 13,975
Household Products 3.9%
Colgate-Palmolive Co. ................................ 400 23,700
Procter & Gamble Co. ................................. 200 20,175
----------
43,875
----------
Total Consumer Staples 82,837
----------
Financial Services 12.7%
Banks & Savings & Loan 2.2%
Chase Manhattan Corp. ................................ 300 24,131
----------
Financial Data Processing Services & Systems 0.9%
First Data Corp. ..................................... 200 9,813
----------
Insurance 4.0%
Ace Ltd. ............................................. 700 12,381
American International Group Inc. .................... 200 20,825
Saint Paul Companies, Inc. ........................... 400 12,075
----------
45,281
----------
Miscellaneous Financial 5.6%
Citigroup, Inc. ...................................... 700 40,206
Marsh & McLennan Companies, Inc. ..................... 100 9,400
Morgan Stanley Dean Witter & Co. .................... 200 13,250
----------
62,856
----------
Total Financial Services 142,081
----------
Health Care 8.0%
Drugs & Biotechnology 7.0%
Amgen Inc.* .......................................... 200 12,738
Baxter International Inc. ............................ 200 12,775
Bristol-Myers Squibb Co. ............................. 300 19,800
Pfizer Inc. .......................................... 400 14,550
Warner-Lambert Co. ................................... 200 18,987
----------
78,850
----------
Hospital Supply 1.0%
Guidant Corp.* ....................................... 200 10,525
----------
Total Health Care 89,375
----------
Integrated Oils 5.4%
Integrated Domestic 1.9%
Conoco Inc. Cl. B .................................... 900 21,206
Integrated International 3.5%
Exxon Mobil Corp. .................................... 100 8,350
Total Fina SA ADR .................................... 500 31,125
----------
39,475
----------
Total Integrated Oils 60,681
----------
Materials & Processing 3.1%
Chemicals 3.1%
Dow Chemical Co. ..................................... 300 34,950
----------
Total Materials & Processing 34,950
----------
Other 8.7%
Multi-Sector 8.7%
General Electric Co. ................................. 300 40,012
Honeywell International Inc.* ........................ 500 24,000
Tyco International Ltd. .............................. 800 34,200
----------
Total Other 98,212
----------
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
State Street Research
Core Large Cap Growth Fund
Investment Portfolio (cont'd) January 31, 2000
- -------------------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------------------
Other Energy 1.3%
Oil Well Equipment & Services 1.3%
Halliburton Co. ...................................... 400 $14,400
----------
Total Other Energy 14,400
----------
Producer Durables 3.3%
Electrical Equipment & Components 0.8%
Nortel Networks Corp. ................................ 100 9,563
Miscellaneous Equipment 0.8%
Danaher Corp. ........................................ 200 8,625
Production Technology Equipment 1.7%
Teradyne Inc.* ....................................... 300 19,425
----------
Total Producer Durables 37,613
----------
Technology 27.5%
Communications Technology 5.1%
Cisco Systems Inc.* .................................. 500 54,750
General Motors Corp. Cl. H ........................... 20 2,250
----------
57,000
----------
Computer Software 6.5%
Microsoft Corp.* ..................................... 500 48,937
Oracle Systems Corp.* ................................ 200 9,991
Veritas Software Co.* ................................ 100 14,588
----------
73,516
----------
Computer Technology 6.7%
Dell Computer Corp.* ................................. 300 11,531
Electronic Data Systems Corp. ........................ 400 27,050
EMC Corp.* ........................................... 200 21,300
Sun Microsystems Inc.* ............................... 200 15,713
----------
75,594
----------
Electronics 4.6%
Nokia Corp. ADR ...................................... 200 36,600
Solectron Corp.* ..................................... 200 14,525
----------
51,125
----------
Electronics: Semi-Conductors/Components 4.6%
Intel Corp. .......................................... 300 29,681
Texas Instruments Inc. ............................... 200 21,575
----------
51,256
----------
Total Technology 308,491
----------
Utilities 3.5%
Telecommunications 3.5%
MCI WorldCom Inc.* ................................... 600 27,562
Voicestream Wireless Corp.* .......................... 100 11,738
----------
Total Utilities 39,300
----------
Total Common Stocks
and Investments (Cost $968,253) - 95.5% 1,072,347
Cash and Other Assets, Less Liabilities- 4.5% 50,393
----------
Net Assets - 100.0% .................................. $1,122,740
==========
Federal Income Tax Information:
At January 31, 2000, the net unrealized appreciation of investments
based on cost for Federal income tax purposes of $968,253 was
as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $165,667
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (61,573)
----------
$104,094
==========
- --------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
State Street Research
Large Cap Growth Fund
Investment Portfolio January 31, 2000
- --------------------------------------------------------------------------------
Value
Shares (Note 1)
- --------------------------------------------------------------------------------
Common Stocks 91.3%
Automobiles & Transportation 1.1%
Miscellaneous Transportation 1.1%
Harley-Davidson Inc. ............................. 200 $14,037
----------
Total Automobiles & Transportation 14,037
----------
Consumer Discretionary 13.6%
Advertising Agencies 1.5%
Omnicom Group Inc. ............................... 200 18,737
----------
Communications, Media & Entertainment 5.9%
CBS Corp.* ....................................... 400 23,325
U.S.A. Networks Inc.* ............................ 300 14,888
Walt Disney Co. .................................. 1,000 36,312
----------
74,525
----------
Consumer Services 0.5%
Apollo Group Inc. Cl. A* ......................... 300 6,488
----------
Retail 5.7%
Best Buy Company Inc.* ........................... 100 4,775
Gap Inc. ......................................... 300 13,406
Home Depot Inc. .................................. 450 25,482
Staples Inc.* .................................... 500 11,906
Wal-Mart Stores, Inc. ............................ 300 16,425
----------
71,994
----------
Total Consumer Discretionary 171,744
----------
Consumer Staples 7.2%
Beverages 2.9%
Anheuser-Busch Companies, Inc. ................... 200 13,500
Coca-Cola Co. .................................... 400 22,975
----------
36,475
----------
Drug & Grocery Store Chains 0.8%
CVS Corp. ........................................ 300 10,481
Household Products 3.5%
Colgate-Palmolive Co. ............................ 400 23,700
Procter & Gamble Co. ............................. 200 20,175
----------
43,875
----------
Total Consumer Staples 90,831
----------
Financial Services 2.4%
Miscellaneous Financial 2.4%
Citigroup, Inc. .................................. 200 11,487
Marsh & McLennan Companies, Inc. ................. 200 18,800
----------
30,287
----------
Total Financial Services 30,287
----------
Health Care 14.7%
Drugs & Biotechnology 12.4%
Amgen Inc.* ...................................... 300 19,106
Baxter International Inc. ........................ 300 19,162
Bristol-Myers Squibb Co. ......................... 400 26,400
Genentech, Inc.* ................................. 100 14,050
Johnson & Johnson ................................ 200 17,213
Pfizer Inc. ...................................... 800 29,100
Schering-Plough Corp. ............................ 300 13,200
Warner-Lambert Co. ............................... 200 18,988
----------
157,219
----------
Hospital Supply 2.3%
Guidant Corp.* ................................... 200 10,525
Medtronic Inc. ................................... 400 18,300
----------
28,825
----------
Total Health Care 186,044
----------
Other 7.4%
Multi-Sector 7.4%
General Electric Co. ............................. 400 53,350
Honeywell International Inc.* .................... 400 19,200
Tyco International Ltd. .......................... 500 21,375
----------
Total Other 93,925
----------
Other Energy 0.9%
Oil Well Equipment & Services 0.9%
Halliburton Co. .................................. 300 10,800
----------
Total Other Energy 10,800
----------
Producer Durables 3.6%
Electrical Equipment & Components 1.5%
Nortel Networks Corp. ............................ 200 19,125
----------
Production Technology Equipment 2.1%
Teradyne Inc.* ................................... 400 25,900
----------
Total Producer Durables 45,025
----------
Technology 37.3%
Communications Technology 6.3%
Cisco Systems Inc.* .............................. 700 76,650
General Motors Corp. Cl. H ....................... 30 3,375
----------
80,025
----------
Computer Software 9.6%
Citrix Systems Inc.* ............................. 200 27,450
Microsoft Corp.* ................................. 700 68,512
Oracle Systems Corp.* ............................ 200 9,991
Veritas Software Co.* ............................ 100 14,588
----------
120,541
----------
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
State Street Research
Large Cap Growth Fund
Investment Portfolio (cont'd) January 31, 2000
- -------------------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------------------
Computer Technology 6.7%
Dell Computer Corp.* ............................. 500 $19,219
Electronic Data Systems Corp. .................... 300 20,287
EMC Corp.* ....................................... 200 21,300
Sun Microsystems Inc.* ........................... 300 23,569
----------
84,375
----------
Electronics 4.6%
Nokia Corp. ADR .................................. 200 36,600
Solectron Corp.* ................................. 300 21,788
----------
58,388
----------
Electronics: Semi-Conductors/Components 10.1%
Analog Devices Inc.* ............................. 500 46,750
Intel Corp. ...................................... 600 59,362
Texas Instruments Inc. ........................... 200 21,575
----------
127,687
----------
Total Technology 471,016
----------
Utilities 3.1%
Telecommunications 3.1%
MCI WorldCom Inc.* ............................... 600 27,562
Voicestream Wireless Corp.* ...................... 100 11,738
----------
Total Utilities 39,300
----------
Total Common Stocks and
Investments (Cost $939,429) - 91.3% 1,153,009
Cash and Other Assets, Less Liabilities-8.7% 110,492
----------
Net Assets - 100.0% .............................. $1,263,501
==========
Federal Income Tax Information:
At January 31, 2000, the net unrealized appreciation of investments
based on cost for Federal income tax purposes of $939,429 was
as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $245,894
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (32,314)
----------
$213,580
==========
- --------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
State Street Research
Institutional Funds
Statements of Assets and Liabilities January 31, 2000
<TABLE>
<CAPTION>
State Street State Street State Street State Street
Research Research Research Research
Core Fixed Core Plus Fixed Core Large Cap Large Cap
Income Fund Income Fund Growth Fund Growth Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets
Investments, at value ................................ $16,076,741 $13,746,194 $1,072,347 $1,153,009
Cash ................................................. 18,581 7,571 19,873 57,798
Receivable for securities sold ....................... 991,056 1,004,974 30,698 57,159
Receivable for open forward contracts ................ -- 11,985 -- --
Receivable for variation margin (Note 1) ............. 281 -- -- --
Interest and dividends receivable .................... 175,868 169,645 288 348
Receivable from Adviser .............................. 2,523 2,191 182 206
------------ ------------ ------------ ------------
17,265,050 14,942,560 1,123,388 1,268,520
Liabilities
Payable for securities purchased ..................... 2,400,403 2,023,898 -- 4,293
Payable for open forward contracts ................... -- 166 -- --
Accrued management fee (Note 2) ...................... 5,045 4,383 502 563
Accrued shareholder service fee (Note 5) ............. 1,868 737 146 163
Other accrued expenses ............................... -- 592 -- --
------------ ------------ ------------ ------------
2,407,316 2,029,776 648 5,019
------------ ------------ ------------ ------------
Net Assets $14,857,734 $12,912,784 $1,122,740 $1,263,501
============ ============ ============ ============
Net Assets consist of:
Undistributed net investment income ............ $99,080 $99,852 $18,427 $17,208
Unrealized appreciation (depreciation)
of investments ............................. (245,084) (231,215) 104,094 213,580
Unrealized appreciation of futures contracts ... 486 -- -- --
Unrealized appreciation of forward contracts
and foreign currency ...................... -- 10,998 -- --
Accumulated net realized gain (loss) ........... (79,449) (44,269) (8,158) 24,352
Paid-in capital ................................ 15,082,701 13,077,418 1,008,377 1,008,361
------------ ------------ ------------ ------------
$14,857,734 $12,912,784 $1,122,740 $1,263,501
============ ============ ============ ============
Net Assets - Class I ................................. $5,432,727 $495,684 $273,648 $307,956
Shares ............................................... 550,765 50,278 25,010 25,010
Net Asset Value and offering price per share of
Class I shares ....................................... $9.86 $9.86 $10.94 $12.31
Net Assets - Class II ................................ $494,781 $495,726 $273,786 $308,111
shares ............................................... 50,162 50,278 25,010 25,010
Net Asset Value and offering price per share of
Class II shares ...................................... $9.86 $9.86 $10.95 $12.32
Net Assets - Class III ............................... $494,828 $495,771 $273,924 $308,267
Shares ............................................... 50,162 50,278 25,010 25,010
Net Asset Value and offering price per share of
Class III shares ..................................... $9.86 $9.86 $10.95 $12.33
Net Asset Value - Class IV ........................... $8,435,398 $11,425,603 $301,382 $339,167
Shares ............................................... 855,091 1,158,666 27,510 27,510
Net Asset Value and offering price per share of
Class IV shares ...................................... $9.86 $9.86 $10.96 $12.33
Cost of Investments .................................. $16,321,825 $13,977,409 $968,253 $939,429
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
State Street Research
Institutional Funds
Statements of Operations
For the period August 2, 1999 (commencement of operations) to January 31, 2000
<TABLE>
<CAPTION>
State Street State Street State Street State Street
Research Research Research Research
Core Fixed Core Plus Fixed Core Large Cap Large Cap
Income Fund Income Fund Growth Fund Growth Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income
Interest .............................................. $458,309 $423,598 $556 $556
Dividends ............................................. -- -- 3,602 2,565
------------ ------------ ------------ ------------
458,309 423,598 4,158 3,121
Expenses
Management fee (Note 2) ............................... 29,486 26,562 2,961 3,157
Shareholder service fee - Class I (Note 5) ............ 7,563 764 394 420
Shareholder service fee - Class ll (Note 5) ........... 509 510 263 280
Shareholder service fee - Class lll (Note 5) .......... 255 255 131 140
Shareholder service fee - Class lV (Note 5) ........... 2,170 2,938 72 77
Organization expense .................................. 40,448 40,448 40,448 40,448
------------ ------------ ------------ ------------
80,431 71,477 44,269 44,522
Expenses borne by the Adviser (Note 3) ................ (55,191) (53,729) (41,525) (41,596)
------------ ------------ ------------ ------------
25,240 17,748 2,744 2,926
------------ ------------ ------------ ------------
Net investment income ................................. 433,069 405,850 1,414 195
------------ ------------ ------------ ------------
Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency, Forward Contracts and
Futures Contracts
Net realized gain (loss) on
investments (Notes 1 and 4) ..................... (34,317) 26,807 (8,158) 24,352
Net realized gain on futures
contracts (Note 1) .............................. 847 -- -- --
Net realized gain on foreign currency
and forward contracts (Note 1) .................. -- 14,205 -- --
------------ ------------ ------------ ------------
Total net realized gain (loss) .................. (33,470) 41,012 (8,158) 24,352
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation) of investment .................... (245,084) (231,215) 104,094 213,580
Net unrealized appreciation
of futures contracts ............................ 486 -- -- --
Net unrealized appreciation of foreign currency
forward contracts and futures contracts ......... -- 10,998 -- --
------------ ------------ ------------ ------------
Total net unrealized appreciation
(depreciation) .................................. (244,598) (220,217) 104,094 213,580
------------ ------------ ------------ ------------
Net gain (loss) on investments, foreign currency
forward contracts and futures contracts ......... (278,068) (179,205) 95,936 237,932
------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations ....................... $155,001 $226,645 $97,350 $238,127
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
State Street Research
Institutional Funds
Statements of Changes in Net Assets
For the period August 2, 1999 (commencement of operations) to January 31, 2000
<TABLE>
<CAPTION>
State Street State Street State Street State Street
Research Research Research Research
Core Fixed Core Plus Fixed Core Large Cap Large Cap
Income Fund Income Fund Growth Fund Growth Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net investment income ........................ $433,069 $405,850 $1,414 $195
Net realized gain (loss)
on investments, foreign currency,
forward contracts and futures contracts ...... (33,470) 41,012 (8,158) 24,352
Net unrealized appreciation (depreciation)
of investments, foreign currency,
forward contracts, and futures contracts ..... (244,598) (220,217) 104,094 213,580
------------ ------------ ------------ ------------
Net increase resulting from operations ....... 155,001 226,645 97,350 238,127
------------ ------------ ------------ ------------
Dividend from net investment income:
Class I ................................ (123,965) (12,522) -- --
Class II ............................... (11,677) (12,738) -- --
Class III .............................. (11,877) (12,948) -- --
Class IV ............................... (204,527) (300,920) -- --
------------ ------------ ------------ ------------
(352,046) (339,128) -- --
------------ ------------ ------------ ------------
Distribution from net realized gains:
Class I ................................ (16,215) (2,656) -- --
Class II ............................... (1,509) (2,656) -- --
Class III .............................. (1,509) (2,656) -- --
Class IV ............................... (25,702) (61,196) -- --
------------ ------------ ------------ ------------
(44,935) (69,164) -- --
------------ ------------ ------------ ------------
Net increase from fund share
transactions (Note 6) .................. 15,099,714 13,094,431 1,025,390 1,025,374
------------ ------------ ------------ ------------
Total increase in net assets ................. 14,857,734 12,912,784 1,122,740 1,263,501
Net Assets
Beginning of period .......................... -- -- -- --
------------ ------------ ------------ ------------
End of period* ............................... $14,857,734 $12,912,784 $1,122,740 $1,263,501
============ ============ ============ ============
</TABLE>
*(Including undistributed net investment income of $99,080, $99,852, $18,427,
and $17,208, respectively).
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
State Street Research
Institutional Funds
Notes to Financial Statements January 31, 2000
Note 1
State Street Research Institutional Funds (the "Trust") is a Massachusetts
business trust organized on March 3, 1999 and is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Trust consists presently of four separate funds: State Street Research Core
Fixed Income Fund (the "Core Fixed Fund"), State Street Research Core Plus Fixed
Income Fund (the "Core Plus Fund"), State Street Research Core Large Cap Growth
Fund (the "Core Large Cap Growth Fund") and State Street Research Large Cap
Growth Fund (the "Large Cap Growth Fund") (collectively the "Funds").
The investment objectives of the Funds are as follows: The Core Fixed Fund and
the Core Plus Fund seek competitive total returns primarily from investing in
fixed income securities. The Core Large Cap Growth Fund and the Large Cap Growth
Fund seek to provide long-term growth of capital.
The Funds each offer four classes of shares. Class I shares of Core Large Cap
Growth Fund and Large Cap Growth Fund may only be purchased by certain
institutional investors, such as retirement plans, foundations, endowments,
corporations, partnerships, trusts, or similar institutional investors. Class I
shares of Core Fixed Fund and Core Plus Fund may only be purchased by
institutional investors, as well as private clients with existing advisory
relationships with State Street Research & Management Company (the "Adviser"),
an indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"). The minimum initial investment for Class I shares is $1
million. Class I shares pay a shareholder service fee of 0.30% of average net
assets. Class II, Class III and Class IV shares may only be purchased by
institutional investors, as well as private clients with existing advisory
relationships with the Adviser. The minimum initial investment for Class II,
Class III and Class IV shares are $5 million, $15 million and $25 million,
respectively. The shareholder service fees for Class II, Class III and Class IV
shares are 0.20%, 0.10% and 0.05%, respectively.
The Funds' expenses are borne pro-rata by each class, except that each class
bears expenses, and has exclusive voting rights related specifically to that
class. The Trustees declare separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
Funds in preparing their financial statements, and such policies are in
conformity with generally accepted accounting principles.
A. Investment Valuation
Values for listed equity securities reflect final sales on national
securities exchanges quoted prior to the close of the New York Stock
Exchange. Over-the-counter securities quoted on the National Association of
Securities Dealers Automated Quotation ("NASDAQ") system are valued at
closing prices supplied through such system. If not quoted on the NASDAQ
system, such securities are valued at prices obtained from independent
brokers. In the absence of recorded sales, valuations are at the mean of the
closing bid and asked quotations. Fixed Income securities are valued by a
pricing service, which utilizes market transactions, quotations from dealers,
and various relationships among securities in determining value. Short-term
securities maturing within sixty days are valued at amortized cost. Other
securities, if any, are valued at their fair value as determined in good
faith under consistently applied procedures established by and under the
supervision of the Trustees.
13
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) January 31, 2000
B. Forward Contracts and Foreign Currencies
The Core Plus Fund has entered into forward foreign exchange contracts in
order to hedge its exposure to changes in foreign currency exchange rates on
its foreign portfolio holdings and to hedge certain purchase and sale
commitments denominated in foreign currencies. A forward foreign currency
exchange contract is an obligation by a fund to purchase or sell a specific
currency at a future date, which may be any fixed number of days from the
origination date of the contract. Forward foreign currency exchange contracts
establish an exchange rate at a future date. These contracts are transferable
in the interbank market conducted directly between currency traders (usually
large commercial banks) and their customers. Risk may arise from the
potential liability of a counterparty to meet the terms of a contract and
from unanticipated movements in the value of foreign currencies relative to
the U.S. Dollar. The aggregate principal amount of forward currency exchange
contracts is recorded in a fund's accounts. All commitments are
marked-to-market at the applicable transaction rates resulting in unrealized
gains or losses. A fund records realized gains or losses at the time the
forward contracts are extinguished by entry into a closing contract or by
delivery of the currency. Neither spot transactions nor forward currency
exchange contracts eliminate fluctuations in the prices of a fund's portfolio
securities or in foreign exchange rates, or prevent loss if the price of
these securities should decline.
Securities quoted in foreign currencies are translated into U.S. Dollars at
the current exchange rate. Gains and losses that arise from changes in
exchange rates are not segregated from gains and losses that arise from
changes in market prices of investments.
C. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis
of identified cost of securities delivered.
D. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less amortization of premium and the
estimated daily expenses of the Funds. Interest income is accrued daily as
earned. Dividend income is accrued on the ex-dividend date. Discount on debt
obligations is amortized under the effective yield method. The Funds are
charged for expenses directly attributable to them, while indirect expenses
are allocated among all funds in the Trust.
E. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly for the Core Fixed Fund and the Core Plus Fund and annually, if
any, for the Core Large Cap Growth Fund and the Large Cap Growth Fund. Net
realized capital gains, if any, are distributed annually, unless additional
distributions are required for compliance with applicable tax regulations.
Income dividends and capital gains distributions are determined in accordance
with Federal income tax regulations, which may differ from generally accepted
accounting principles. The difference is primarily due to differing
treatments for foreign currency transactions, paydown gain and losses and
wash sale deferrals.
F. Federal Income Tax
No provision for Federal income taxes is necessary because the Funds intend
to qualify under Subchapter M of the Internal Revenue Code and their policy
is to distribute all of their taxable income, including realized capital
gains, within the prescribed time periods. At January 31, 2000, the Core
Large Cap Growth Fund had a capital loss carryforward of $8,158 available, to
the extent provided in regulations, to offset future capital gains, if any,
which expires January 31, 2008.
14
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) January 31, 2000
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the Funds are required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the Funds are
permitted to defer into their next fiscal year any net capital losses
incurred between each November 1 and the end of their fiscal years. From
November 1, 1999 through January 31, 2000, the Core Fixed Fund and the Core
Plus Fund incurred net capital losses of approximately $72,000 and $42,000,
respectively, and intend to defer and treat such losses as arising in the
fiscal year ended January 31, 2001.
G. 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 disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
H. Futures
The Core Fixed Fund has entered into future contracts as a hedge against
unfavorable market conditions. A Fund may not establish a position in any
futures contract for other than bonafide hedging purposes if immediately
thereafter the sum of the amount of initial margin deposits and premiums
required to establish such positions for such non-hedging purposes would
exceed 5% of the market value of the Fund's net assets. The Funds will limit
their risks by entering into a futures position only if it appears to be a
liquid investment.
Upon entering into a futures contract, the Funds deposit with the selling
broker sufficient cash or U.S. Government securities to meet the minimum
"initial margin" requirements. Thereafter, the Funds receive from or pay to
the broker cash or U.S. Government securities equal to the daily fluctuation
in value of the contract ("variation margin"), which is recorded as
unrealized gain or loss. When the contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
I. Securities Lending
The Funds may seek additional income by lending portfolio securities to
qualified institutions. The Funds will receive cash or securities as
collateral in an amount equal to at least 100% of the current market value of
any loaned securities plus accrued interest. By reinvesting any cash
collateral it receives in these transactions, the Funds could realize
additional gains and losses. If the borrower fails to return the securities
and the value of the collateral has declined during the term of the loan, the
Funds will bear the loss. During the period August 2, 1999 (commencement of
operations) to January 31, 2000, there were no loaned securities.
Note 2
The Trust and the Adviser have entered into an agreement under which the Adviser
earns monthly fees at an annual rate of 0.40%, 0.40%, 0.55% and 0.55% of the
average daily net assets for the Core Fixed Fund, Core Plus Fund, Core Large Cap
Growth Fund and Large Cap Growth Fund, respectively. In consideration of these
fees, the Adviser furnishes the Funds with management, investment advisory,
statistical and research facilities and services. The Adviser also pays all
salaries, rent and certain other expenses of management. During the period
August 2, 1999 (commencement of operations) to January 31, 2000, the fees
pursuant to such agreement amounted to $29,486, $26,562, $2,961 and $3,157 for
the Core Fixed Fund, Core Plus Fund, Core Large Cap Growth Fund and Large Cap
Growth Fund, respectively.
15
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) January 31, 2000
Note 3
The Adviser has contractually agreed to waive management fees and bear or
reimburse certain other expenses until termination of such agreement. During the
period August 2, 1999 (commencement of operations) to January 31, 2000, the
amounts of such expenses waived and reimbursed by the Adviser were $55,191,
$53,729, $41,525 and $41,596 for the Core Fixed Fund, Core Plus Fund, Core Large
Cap Growth Fund and Large Cap Growth Fund, respectively.
Note 4
For the period August 2, 1999 (commencement of operations) to January 31, 2000,
purchases and sales of securities, exclusive of short-term obligations and
forward foreign currency exchange contracts, were as follows:
Purchases Sales
--------- -----
Core Fixed Fund $44,987,210 $30,947,305
Core Plus Fund $41,267,856 $29,181,620
Core Large Cap Growth Fund $1,397,085 $420,674
Large Cap Growth Fund $1,381,566 $466,489
Purchases of $35,497,429 and $29,311,212 and sales of $27,807,284 and
$24,631,102 of U.S. Government obligations occurred in the Core Fixed Fund and
Core Plus Fund, respectively.
Note 5
The Trust has entered into a Servicing Agreement with the Adviser under which
the Adviser provides certain shareholder services to the Funds such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the Funds. Under the Agreement, the Funds
pay annual shareholder service fees to the Adviser at a rate of 0.30%, 0.20%,
0.10% and 0.05% of average daily net assets for Class I, Class II, Class III and
Class IV shares, respectively. For the period August 2, 1999 (commencement of
operations) to January 31, 2000, fees pursuant to such agreement were as
follows:
Class I Class II Class III Class IV
------- -------- --------- --------
Core Fixed Fund $7,563 $509 $255 $2,170
Core Plus Fund $764 $510 $255 $2,938
Core Large Cap Growth Fund $394 $263 $131 $72
Large Cap Growth Fund $420 $280 $140 $77
16
<PAGE>
State Street Research
Core Fixed Income Fund
Core Plus Fixed Income Fund
Notes (cont'd) January 31, 2000
Note 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, no par value per share. At January 31, 2000, the Adviser
owned 2,500 Class IV shares of each of the Core Fixed Fund, Core Plus Fund, Core
Large Cap Growth Fund and Large Cap Growth Fund, and Metropolitan owned 50,152
shares of each Class I, Class II and Class III and 852,581 Class IV shares of
the Core Fixed Fund. Metropolitan owned 50,268 shares of each Class I, Class II
and Class III and 1,156,156 Class IV shares of Core Plus Fund and 25,000 shares
of each of Class I, Class II, Class III and Class IV of each of the Core Large
Cap Growth Fund and the Large Cap Growth Fund.
For the period August 2, 1999 (commencement of operations) to January 31, 2000
share transactions were as follows:
<TABLE>
<CAPTION>
State Street Research State Street Research
Core Fixed Income Fund Core Plus Fixed Income Fund
------------------------- ---------------------------
Class I Shares Amount Shares Amount
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Shares sold 537,809 $5,417,118 50,010 $500,099
Issued upon reinvestment of:
Dividend from net investment income 11,323 112,439 -- --
Distribution from net realized gains 1,633 16,215 268 2,656
----------- ----------- ----------- -----------
Net increase 550,765 $5,545,772 50,278 $502,755
=========== =========== =========== ===========
Class II
Shares sold 50,010 $500,099 50,010 $500,099
Issued upon reinvestment of
distribution from net realized gains 152 1,509 268 2,656
----------- ----------- ----------- -----------
Net increase 50,162 $501,608 50,278 $502,755
=========== =========== =========== ===========
Class III
Shares sold 50,010 $500,099 50,010 $500,099
Issued upon reinvestment of
distribution from net realized gains 152 1,509 268 2,656
----------- ----------- ----------- -----------
Net increase 50,162 $501,608 50,278 $502,755
=========== =========== =========== ===========
Class IV
Shares sold 852,510 $8,525,099 1,152,510 $11,525,099
Issued upon reinvestment of:
Dividend from net investment income 60 599 66 654
Distribution from net realized gains 2,521 25,028 6,090 60,413
----------- ----------- ----------- -----------
Net increase 855,091 $8,550,726 1,158,666 $11,586,166
=========== =========== =========== ===========
</TABLE>
17
<PAGE>
State Street Research
Core Large Cap Growth Fund
Large Cap Growth Fund
Notes (cont'd) January 31, 2000
For the period August 2, 1999 (commencement of operations) to January 31, 2000
share transactions were as follows:
State Street Research State Street Research
Core Large Cap Growth Fund Large Cap Growth Fund
-------------------------- ----------------------
Class I Shares Amount Shares Amount
-------- -------- -------- --------
Shares sold 25,010 $250,098 25,010 $250,094
-------- -------- -------- --------
Net increase 25,010 $250,098 25,010 $250,094
======== ======== ======== ========
Class II
Shares sold 25,010 $250,098 25,010 $250,094
-------- -------- -------- --------
Net increase 25,010 $250,098 25,010 $250,094
======== ======== ======== ========
Class III
Shares sold 25,010 $250,098 25,010 $250,094
-------- -------- -------- --------
Net increase 25,010 $250,098 25,010 $250,094
======== ======== ======== ========
Class IV
Shares sold 27,510 $275,096 27,510 $275,092
-------- -------- -------- --------
Net increase 27,510 $275,096 27,510 $275,092
======== ======== ======== ========
18
<PAGE>
State Street Research
Core Fixed Income Fund
Financial Highlights
For a share outstanding from August 2, 1999 (commencement of operations) to
January 31, 2000(1)
<TABLE>
<CAPTION>
Class I Class II Class III Class IV
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) ....... 10.00 10.00 10.00 10.00
-------- -------- -------- --------
Net investment income ($)* ..................... 0.27 0.29 0.30 0.30
Net realized and unrealized loss on
investments, and futures contracts ($) ... (0.15) (0.17) (0.17) (0.17)
-------- -------- -------- --------
Total from investment operations ($) ........... 0.12 0.12 0.13 0.13
-------- -------- -------- --------
Dividend from net investment income ($) ........ (0.23) (0.23) (0.24) (0.24)
Distribution from net realized gains ($) ....... (0.03) (0.03) (0.03) (0.03)
-------- -------- -------- --------
Total distributions ($) ........................ (0.26) (0.26) (0.27) (0.27)
-------- -------- -------- --------
Net asset value, end of period ($) ............. 9.86 9.86 9.86 9.86
======== ======== ======== ========
Total return (%)(2) ............................ 1.19(3) 1.22(3) 1.26(3) 1.28(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) ...... 5,433 495 495 8,435
Ratio of operating expenses
to average net assets (%)* ............... 0.50(4) 0.40(4) 0.30(4) 0.25(4)
Ratio of net investment income
to average net assets (%)* ............... 5.78(4) 5.81(4) 5.91(4) 5.93(4)
Portfolio turnover rate (%) .................... 213.41 213.41 213.41 213.41
*Reflects voluntary reduction of
expenses per share of these amounts ($) ........ 0.04 0.04 0.04 0.04
</TABLE>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3) Not annualized.
(4) Annualized.
19
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Financial Highlights (cont'd)
For a share outstanding from August 2, 1999 (commencement of operations) to
January 31, 2000(1)
<TABLE>
<CAPTION>
Class I Class II Class III Class IV
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) .... 10.00 10.00 10.00 10.00
--------- --------- --------- ---------
Net investment income ($)* .................. 0.30 0.30 0.31 0.31
Net realized and unrealized loss on
investments, foreign currency,
and forward contracts ($) ............. (0.14) (0.14) (0.14) (0.14)
--------- --------- --------- ---------
Total from investment operations ($) ........ 0.16 0.16 0.17 0.17
--------- --------- --------- ---------
Dividend from net investment income ($) ..... (0.25) (0.25) (0.26) (0.26)
Distribution from net realized gains ($) .... (0.05) (0.05) (0.05) (0.05)
--------- --------- --------- ---------
Total distributions ($) ..................... (0.30) (0.30) (0.31) (0.31)
--------- --------- --------- ---------
Net asset value, end of period ($) .......... 9.86 9.86 9.86 9.86
========= ========= ========= =========
Total return (%)(2) ......................... 1.62(3) 1.66(3) 1.70(3) 1.72(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) ... 496 496 496 11,426
Ratio of operating expenses
to average net assets (%)* ............ 0.50(4) 0.40(4) 0.30(4) 0.25(4)
Ratio of net investment income
to average net assets (%)* ............ 5.88(4) 5.98(4) 6.08(4) 6.13(4)
Portfolio turnover rate (%) ................. 234.12 234.12 234.12 234.12
*Reflects voluntary reduction of
expenses per share of these amounts ($) ..... 0.04 0.04 0.04 0.04
</TABLE>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3) Not annualized.
(4) Annualized.
20
<PAGE>
State Street Research
Core Large Cap Growth Fund
Financial Highlights (cont'd)
For a share outstanding from August 2, 1999 (commencement of operations) to
January 31, 2000(1)
<TABLE>
<CAPTION>
Class I Class II Class III Class IV
------- -------- --------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) .... 10.00 10.00 10.00 10.00
------ ------ ------ ------
Net investment income ($)* .................. 0.01 0.01 0.02 0.02
Net realized and unrealized gain on
investments($) ........................ 0.93 0.94 0.93 0.94
------ ------ ------ ------
Total from investment operations ($) ........ 0.94 0.95 0.95 0.96
------ ------ ------ ------
Net asset value, end of period ($) .......... 10.94 10.95 10.95 10.96
====== ====== ====== ======
Total return (%)(2) ......................... 9.40(3) 9.50(3) 9.50(3) 9.60(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) ... 274 274 274 301
Ratio of operating expenses
to average net assets (%)* ............ 0.65(4) 0.55(4) 0.45(4) 0.40(4)
Ratio of net investment income
to average net assets (%)* ............ 0.12(4) 0.22(4) 0.32(4) 0.37(4)
Portfolio turnover rate (%) ................. 40.53 40.53 40.53 40.53
*Reflects voluntary reduction of
expenses per share of these amounts ($) ..... 0.41 0.41 0.41 0.41
</TABLE>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3) Not annualized.
(4) Annualized.
21
<PAGE>
State Street Research
Large Cap Growth Fund
Financial Highlights (cont'd)
For a share outstanding from August 2, 1999 (commencement of operations) to
January 31, 2000(1)
<TABLE>
<CAPTION>
Class I Class II Class III Class IV
------- -------- --------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) .... 10.00 10.00 10.00 10.00
------ ------ ------ ------
Net investment income (loss) ($)* ........... (0.01) (0.00) 0.01 0.01
Net realized and unrealized gain on
investments($) ........................ 2.32 2.32 2.32 2.32
------ ------ ------ ------
Total from investment operations ($) ........ 2.31 2.32 2.33 2.33
------ ------ ------ ------
Net asset value, end of period ($) .......... 12.31 12.32 12.33 12.33
====== ====== ====== ======
Total return (%)(2) ......................... 23.10(3) 23.20(3) 23.30(3) 23.30(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) ... 308 308 308 339
Ratio of operating expenses
to average net assets (%)* ............ 0.65(4) 0.55(4) 0.45(4) 0.40(4)
Ratio of net investment income (loss)
to average net assets (%)* ............ (0.11)(4) (0.01)(4) 0.09(4) 0.14(4)
Portfolio turnover rate (%) ................. 41.57 41.57 41.57 41.57
*Reflects voluntary reduction of
expenses per share of these amounts ($) ..... 0.41 0.41 0.41 0.41
</TABLE>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3) Not annualized.
(4) Annualized.
22
<PAGE>
State Street Research
Institutional Funds
Report on Written Consent of Sole Shareholder (unaudited)
By written consent dated June 30, 1999, the sole shareholder of State Street
Research Institutional Funds (the "Trust") and of each series thereof, consented
to the following actions:
<TABLE>
<CAPTION>
Votes (number of shares)
------------------------
For Withheld
--- --------
<S> <C> <C>
1. The following persons were elected as Trustees:
Ralph F. Verni 10,000 0
Robert A. Lawrence 10,000 0
James M. Storey 10,000 0
<CAPTION>
Votes (number of shares)
------------------------
For Against Withheld
--- ------- --------
<S> <C> <C> <C>
Proposal
2. The Trust's advisory agreement was approved 10,000 0 0
3. The selection of PricewaterhouseCoopers LLP as
the Trust's independent auditors was approved 10,000 0 0
</TABLE>
23
