<PAGE>
Registration No. 333-75616
- - -------------------------------------------------------------------------------
-----------------------------------------
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-4
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [ ]
Pre-Effective Amendment No. [ ]
----
Post-Effective Amendment No. 4 [X]
----
AND/OR
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 [ ]
Amendment No. [ ]
----
(Check appropriate box or boxes)
--------------------------------
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
(Exact Name of Registrant)
--------------------------------
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
(Name of Depositor)
1290 Avenue of the Americas, New York, New York 10104
(Address of Depositor's Principal Executive Offices)
Depositor's Telephone Number, including Area Code: (212) 554-1234
ANTHONY A. DREYSPOOL
Vice President and Associate General Counsel
The Equitable Life Assurance Society of the United States
1290 Avenue of the Americas, New York, New York 10104
(Names and Addresses of Agents for Service)
-----------------------------------------
Please send copies of all communications to: (201)392-5279
PETER E. PANARITES John R. Towers
Freedman, Levy, Kroll & Simonds Senior Vice President
1050 Connecticut Avenue, N.W., and General Counsel
Suite 825 State Street Bank and Trust Company
Washington, D.C. 20036 225 Franklin Street
Boston, MA 02110
-----------------------------------------
<PAGE>
Approximate Date of Proposed Public Offering: Continuous
It is proposed that this filing will become effective (check appropriate
box):
[ ] Immediately upon filing pursuant to paragraph (b) of Rule 485.
[ X ] On May 1, 1997 pursuant to paragraph (b) of Rule 485.
[ ] 60 days after filing pursuant to paragraph (a)(1) of Rule 485.
[ ] On (date) pursuant to paragraph (a)(1) of Rule 485.
[ ] 75 days after filing pursuant to paragraph (a)(2) of Rule 485.
[ ] On (date) pursuant to paragraph (a)(3) of Rule 485.
If appropriate, check the following box:
[ ] This post-effective amendment designates a new effective date for
previously filed post-effective amendment.
--------------------------------
<PAGE>
AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT PROGRAM
PROSPECTUS -MAY 1, 1997
- - -----------------------------------------------------------------------------
The American Dental Association Members Retirement Program offers you ten
investment options from which to choose. This prospectus describes three of
the seven Separate Accounts under the group annuity contract issued by THE
EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES: THE EQUITY INDEX FUND,
THE LIFECYCLE FUND--CONSERVATIVE AND THE LIFECYCLE FUND--MODERATE. This
prospectus also describes the Lifecycle Fund Group Trusts in which the two
Lifecycle Funds invest. The Lifecycle Fund Group Trusts are collective
investment funds maintained by State Street Bank and Trust Company ("State
Street").
THE PROGRAM
The American Dental Association Members Retirement Program offers ADA members
and other eligible persons the choice of several plans to accumulate
retirement savings for themselves and their employees.
THE INVESTMENT OPTIONS
The Program allows you to choose from ten Investment Options. The Investment
Options are:
Seven Separate Accounts or "Funds":
o Growth Equity Fund
o Aggressive Equity Fund
o ADA Foreign Fund
o Equity Index Fund
o Real Estate Fund
o Lifecycle Fund--Conservative
o Lifecycle Fund--Moderate
Three Guaranteed Options:
o 3 year Guaranteed Rate Account
o 5 year Guaranteed Rate Account
o Money Market Guarantee Account
The Aggressive Equity Fund, ADA Foreign Fund and the Equity Index Fund each
invest in shares of a corresponding mutual fund, the MFS Emerging Growth
Fund, the Templeton Foreign Fund and The SSgA S&P 500 Index Fund (formerly
known as "The Seven Seas S&P 500 Index Fund"), respectively. We refer to
these as the "underlying mutual funds." The Lifecycle Funds--Conservative and
Moderate ("Lifecycle Funds") each invest in units of a corresponding group
trust maintained by State Street. We refer to these as the "Lifecycle Fund
Group Trusts." The Lifecycle Fund Group Trusts in turn invest in units of
collective investment funds of State Street. We refer to these as the
"Underlying Funds." The Underlying Funds are the S&P 500 Flagship Fund,
Russell 2000 Fund, Daily EAFE Fund, Daily Government/Corporate Bond Fund, and
Short Term Investment Fund.
The prospectuses for the underlying mutual funds and our separate prospectus
for all of the Investment Options, except the Equity Index and Lifecycle
Funds, describe in detail the investment objectives, policies and risks of
these Funds and should be read carefully and retained for future reference.
Copies of these prospectuses may be obtained by writing or calling as
indicated below. THIS PROSPECTUS DESCRIBES IN DETAIL ONLY THE EQUITY INDEX
FUND, LIFECYCLE FUNDS, LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS.
(Cover page continued.)
The Equitable Life Assurance Society of the United States
P.O. Box 2486 G.P.O.
New York, NY 10116
Calls for current participants: Calls for all others:
1-800-223-5790 1-800-523-1125
<PAGE>
This prospectus provides important information you should be aware of before
investing. Additional information is included in the Statement of Additional
Information (the "SAI") dated May 1, 1997, which has been filed with the
Securities and Exchange Commission. Parts of the SAI have been incorporated
by reference into this prospectus. A table of contents for the SAI appears at
page 46 of this prospectus. To obtain a copy of the SAI free of charge,
complete the SAI request form on page 46 and mail it to us, or call or write
at the above address.
KEEP THIS PROSPECTUS FOR FUTURE REFERENCE.
- - -----------------------------------------------------------------------------
NONE OF THE SECURITIES DESCRIBED IN THIS PROSPECTUS HAS BEEN APPROVED OR
DISAPPROVED BY THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES
COMMISSION, NOR HAS THE SECURITIES AND EXCHANGE COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY
IS A CRIMINAL OFFENSE.
UNITS OF THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS MAINTAINED BY
STATE STREET ARE NOT DEPOSITS OR OBLIGATIONS OF, OR INSURED, GUARANTEED, OR
ENDORSED BY, THE U.S. GOVERNMENT, ANY BANK, THE FEDERAL DEPOSIT INSURANCE
CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER AGENCY, ENTITY OR
PERSON, AND INVOLVE INVESTMENT RISKS INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
--------
<S> <C>
SUMMARY................................................................................... 5
CONDENSED FINANCIAL INFORMATION........................................................... 9
SELECTED FINANCIAL DATA .................................................................. 11
INVESTMENT OPTIONS........................................................................ 16
THE EQUITY INDEX FUND..................................................................... 16
LIFECYCLE FUNDS--CONSERVATIVE AND MODERATE................................................ 17
THE LIFECYCLE FUND GROUP TRUSTS........................................................... 18
Lifecycle Fund Group Trust--Conservative................................................. 18
Lifecycle Fund Group Trust--Moderate..................................................... 18
THE UNDERLYING FUNDS...................................................................... 19
S&P 500 Flagship Fund.................................................................... 19
Russell 2000 Fund...................................................................... 19
Daily EAFE Fund........................................................................ 20
Daily Government/Corporate Bond Fund................................................... 21
Short Term Investment Fund............................................................. 21
Voting Rights: The Lifecycle Funds..................................................... 21
Risks and Investment Techniques: Lifecycle Fund Group Trusts and Underlying Funds...... 21
HOW WE CALCULATE THE VALUE OF AMOUNTS ALLOCATED TO THE
EQUITY INDEX AND LIFECYCLE FUNDS.......................................................... 25
EQUITABLE LIFE AND STATE STREET........................................................... 27
Equitable Life.......................................................................... 27
The Separate Accounts.................................................................. 27
State Street........................................................................... 28
The Lifecycle Fund Group Trusts and Underlying Funds................................... 28
INVESTMENT PERFORMANCE.................................................................. 29
Measuring the Investment Performance of the Funds...................................... 29
Unmanaged Market Indices............................................................... 29
How Performance Data Are Presented..................................................... 30
Annual Percentage Change in Fund Unit Values........................................... 30
Average Annual Percentage Change in Fund Unit Values--Years Ending December 31, 1996 .. 30
THE PROGRAM............................................................................... 31
Employers Who May Participate in the Program............................................ 31
Choices for the Employer............................................................... 31
Summary of the Plans and Trusts........................................................ 31
3
<PAGE>
PAGE
--------
Information on Joining the Program........................................................ 32
Choosing the Right Plan................................................................ 32
Getting Started In The Program After Choosing A Plan................................... 32
Communicating With Us After You Enroll................................................. 33
Your Responsibilities As the Employer.................................................. 33
When Transactions Are Effective........................................................ 33
Minimum Investments.................................................................... 34
Making Contributions to the Program.................................................... 34
Our Account Investment Management (AIM) System......................................... 34
Allocating Contributions Among the Investment Options.................................. 34
Transfers Among the Investment Options................................................. 35
Distributions From the Investment Options.............................................. 35
When Distributions Are Available to Participants....................................... 35
Participant Loans...................................................................... 36
Benefit Payment Options................................................................ 36
Spousal Consent Rules.................................................................. 37
Benefits Payable After the Death of a Participant...................................... 37
DEDUCTIONS AND CHARGES.................................................................... 38
CHARGES BASED ON AMOUNTS INVESTED IN THE PROGRAM.......................................... 38
Program Expense Charge.................................................................. 38
Administration Fee..................................................................... 39
Other Expenses Borne Directly by the Funds............................................. 39
PLAN AND TRANSACTION EXPENSES........................................................... 40
ADA Retirement Plan, Prototype Self-Directed Plan and Individually-Designed Plan Fees.. 40
Individual Annuity Charges............................................................. 40
General Information On Fees and Charges................................................ 40
DEDUCTIONS AND CHARGES RELATED TO THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS ... 41
FEDERAL INCOME TAX CONSIDERATIONS......................................................... 42
Adopting the Program.................................................................... 42
Income Taxation of Distributions to Qualified Plan Participants........................ 42
Other Tax Consequences................................................................. 43
MISCELLANEOUS............................................................................. 44
TABLE OF CONTENTS OF STATEMENT OF ADDITIONAL INFORMATION ................................. 46
</TABLE>
4
<PAGE>
SUMMARY
THE PROGRAM
The American Dental Association Members Retirement Program consists of
several types of retirement plans and two retirement plan Trusts, the Master
Trust and the Pooled Trust. Each of the Trusts invests exclusively in the
group annuity contracts described in this prospectus. The purpose of the
Program is to provide members of the American Dental Association (the "ADA")
and their employees with a program to invest, accumulate, and then distribute
funds for retirement. The Program is sponsored by the ADA, and the Trustees
under the Master and Pooled Trusts are the members of the Council on
Insurance of the ADA (the "Trustees"). The Program had 22,113 participants
and $1.1 billion in assets at December 31, 1996.
EQUITABLE LIFE
The Equitable Life Assurance Society of the Unites States ("Equitable Life")
is a diversified financial services organization serving a variety of
insurance, investment management and investment banking customers. We are one
of the largest life insurance companies in the United States, and have been
in business since 1859. In this prospectus, the terms "we," "our," and "us"
mean Equitable Life.
STATE STREET
State Street is a Massachusetts trust company that, among other things,
provides a variety of investment-related services to pension and mutual
funds. Through its institutional investment arm, State Street Global Advisors
("SSgA"), State Street offers a selection of investment products with
management styles ranging from indexed to fully active. As of December 31,
1995, State Street ranked as the largest U.S. manager of tax-exempt assets
and the largest manager of international index assets.
THE INVESTMENT OPTIONS
Ten Investment Options are available under the Program. Seven of the
Investment Options are Separate Accounts, or Funds, consisting of six Equity
Funds and the Real Estate Fund. The Funds operate like mutual funds in many
ways. However, because of exclusionary provisions, they are not subject to
regulation under the Investment Company Act of 1940 (the "1940 Act"). The
three additional Investment Options are guaranteed options funded through our
general account. They include two Guaranteed Rate Accounts and the Money
Market Guarantee Account.
ONLY THREE OF THESE INVESTMENT OPTIONS ARE DESCRIBED IN DETAIL IN THIS
PROSPECTUS: THE EQUITY INDEX FUND AND THE TWO LIFECYCLE FUNDS (COLLECTIVELY
REFERRED TO AS "THE FUNDS"). FOR ADDITIONAL INFORMATION ON THE OTHER
AVAILABLE INVESTMENT OPTIONS, PLEASE REFER TO OUR SEPARATE PROSPECTUS FOR
THOSE OPTIONS.
THE EQUITY INDEX FUND (Separate Account No. 195)
Invests in shares of the SSgA S&P 500 Index Fund, which seeks to achieve a
total return that parallels the return of the Standard & Poor's 500 Composite
Stock Price Index, by investing in the stocks in the Index. State Street
serves as the investment advisor to SSgA S&P 500 Index Fund.
THE LIFECYCLE FUND--CONSERVATIVE (Separate Account No. 197)
Invests in units of the Lifecycle Fund Group Trust--Conservative, maintained
by State Street, which in turn invests in units of the five Underlying Funds
maintained by State Street to provide current collective income and a low to
moderate growth of capital.
5
<PAGE>
THE LIFECYCLE FUND--MODERATE (Separate Account No. 198)
Invests in units of the Lifecycle Fund Group Trust--Moderate, maintained by
State Street, which in turn invests in units of five Underlying Funds
maintained by State Street to provide growth of capital and a reasonable
level of current income.
There is no assurance that the Funds will achieve their respective
objectives.
No person is authorized by Equitable Life or by State Street to give any
information or make any representations other than those contained in this
prospectus or in other printed or written material issued by these companies,
and you should not rely on any other information or representation.
YOUR CHOICE OF RETIREMENT PLANS
As an employer, you can use the Program to adopt our profit-sharing plan
(including 401(k) and SIMPLE 401(k) features), defined contribution pension
master plan or our self-directed prototype plan. You can also have your own
individually-designed plan and use our Pooled Trust as a funding vehicle. See
The Program for additional information on your choices.
FUND EXPENSES
TRANSACTION EXPENSES
Transaction expenses are charges you pay when you buy or sell units of the
Funds.
<TABLE>
<CAPTION>
<S> <C>
SALES LOAD NONE
DEFERRED SALES CHARGE NONE
SURRENDER FEES NONE
TRANSFER OR EXCHANGE FEE NONE
</TABLE>
If you annuitize your account, premium taxes and other fees may apply.
ANNUAL FUND OPERATING EXPENSES
Operating expenses for the Funds are paid out of each Fund's assets.
Equitable Life deducts three types of operating expenses from the assets of
each Fund: a Program expense charge to compensate Equitable Life and the ADA
for the costs incurred in connection with the Program, an administration fee
which covers the costs related to providing administration services in
connection with offering the Funds, and other expenses--such as legal,
auditing, and accounting--borne directly by the Funds. No management fees are
paid to us by the Equity Index Fund and the Lifecycle Funds, although, as
discussed below, a management fee is paid to State Street for managing the
assets of the SSgA S&P 500 Index Fund underlying the Equity Index Fund and
the Lifecycle Fund Group Trusts underlying the Lifecycle Funds. Premium taxes
may also be applicable. For a more detailed discussion of fees and charges,
see Deductions and Charges. For a discussion of the calculation of Fund unit
values, see How We Calculate the Value of Amounts Allocated to the Funds.
EQUITY INDEX FUND. No transaction charges are incurred by the Equity Index
Fund when it purchases or redeems shares of the SSgA S&P 500 Index Fund, but
the underlying mutual fund incurs its own operating expenses. No deduction is
made from the assets of the SSgA S&P 500 Index Fund to compensate State
Street for managing the assets of that Fund. Deductions are made from the
assets of the SSgA S&P 500 Index Fund to pay for expenses borne directly by
the Fund, such as 12b-1 fees, the costs of printing prospectuses and the
costs for providing various services to the Fund, such as legal, accounting,
and auditing. For a more detailed description of charges and expenses
incurred by the SSgA S&P 500 Index Fund, see the prospectus for that Fund.
6
<PAGE>
The fees and charges which are deducted from the assets of the Equity Index
Fund and the SSgA S&P 500 Index Fund are illustrated in the table presented
below. This table does not reflect other charges which are specific to the
various plans participating in the Program, such as enrollment, record
maintenance and reporting fees. The expenses shown in the table are based on
average Program assets in the Equity Index Fund during the year ended
December 31, 1996, restated to reflect current applicable fees.
<TABLE>
<CAPTION>
INVESTMENT PROGRAM
MANAGEMENT EXPENSE ADMINISTRATION OTHER
FEE CHARGE FEE EXPENSES 12B-1 FEE TOTAL
- - ---------------------------------- --------- -------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Equity Index Fund None 0.64% 0.15% 0.38%(2) None 1.17%
SSgA S&P 500 Index
Fund(1) 0.00%(3) None None 0.13% 0.05% 0.18%(3)
TOTAL 0.00%(3) 0.64% 0.15% 0.51%(2) 0.05% 1.35%(3)
- - ---------------------------------- --------- -------------- ---------- ----------- ----------
</TABLE>
(1) Source: SSgA S&P 500 Index Fund Prospectus dated December 29, 1996.
(2) Includes expenses incurred in connection with the organization of the
Equity Index Fund. Organizational expenses were initially paid by us
and we are being reimbursed from the Fund over a five year period.
Organizational expenses were $33,917 and are being amortized over the
period which ends December 31, 1998.
(3) State Street voluntarily agrees to waive up to the full amount of its
management fee of .10% of average daily net assets to the extent that
total expenses exceed .15% of average daily net assets on an annual
basis. The total operating expenses of the SSgA S&P 500 Index Fund
absent the waiver would be .28% of average daily net assets on an
annual basis. The gross annual management expense before the fee waiver
would be .10% of average daily net assets. This agreement will remain
in effect for the current fiscal year. (See Note 1.) If the waiver
agreement is terminated, the full amount of State Street's management
fee may be assessed and the total Fund expenses may increase.
LIFECYCLE FUNDS. No transaction charges are incurred by the Lifecycle Funds
when units of a corresponding Lifecycle Fund Group Trust are purchased or
redeemed, but annual operating expenses are incurred by each Lifecycle Fund
Group Trust. A deduction is made from the assets of each Lifecycle Fund Group
Trust to compensate State Street for managing the assets of the Group Trust.
State Street does not receive a fee for managing the assets of the Underlying
Funds in which a Lifecycle Fund Group Trust invests. State Street may receive
fees for managing the assets of other collective investment funds in which
the Funds may invest on a temporary basis, and for managing the mutual funds
in which assets of the Underlying Funds may be invested. State Street has
agreed to reduce its management fee charged each of the Lifecycle Fund Group
Trusts to offset any management fees State Street receives attributable to
the Group Trusts' investment in such other collective investment funds and
mutual funds.
Other expenses are deducted from the assets of each Lifecycle Fund Group
Trust and Underlying Fund to pay for services, such as legal and auditing,
provided directly to each Lifecycle Fund Group Trust. State Street also
receives an administration fee deducted from the assets of each Lifecycle
Fund Group Trust, to compensate it for providing various recordkeeping and
accounting services to the Group Trust. In addition, other expenses are
deducted from the assets of the Underlying Funds for custodial services
provided to those Funds.
The fees and charges which are deducted from the assets of the Lifecycle
Funds, the Lifecycle Fund Group Trusts and the Underlying Funds are
illustrated in the table below. This table does not reflect other charges
which are specific to the various plans participating in the Program, such as
enrollment, record maintenance and reporting fees. See Plan and Transaction
Expenses.
7
<PAGE>
<TABLE>
<CAPTION>
INVESTMENT PROGRAM
MANAGEMENT EXPENSE ADMINISTRATION OTHER
FEE CHARGE FEE EXPENSES TOTAL
- - -------------------------- ------------ --------- -------------- ------------ ---------
<S> <C> <C> <C> <C> <C>
Lifecycle Fund -
Conservative None 0.64% 0.15% 1.33%(1) 2.12%
Lifecycle Fund
Group Trust -
Conservative 0.17% None 0.26%(2) 0.38%(1&3) 0.81%
Underlying Funds(4):
S&P 500 Flagship Fund None None None --%(4&5) --%(5)
Russell 2000 Fund None None None 0.06%(4) 0.06%
Daily EAFE Fund None None None 0.19%(4) 0.19%
Daily Government/Corporate
Bond Fund None None None 0.01%(4) 0.01%
Short Term Investment Fund None None None --%(4&5) --%(5)
TOTAL 0.17% 0.64% 0.41% 1.71%(6) 2.93%(6)
- - -------------------------- ------------ --------- ------------------------ ---------
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT PROGRAM
MANAGEMENT EXPENSE ADMINISTRATION OTHER
FEE CHARGE FEE EXPENSES TOTAL
- - -------------------------- ------------ --------- -------------- ------------ ---------
<S> <C> <C> <C> <C> <C>
Lifecycle Fund -
Moderate None 0.64% 0.15% 0.28%(1) 1.07%
Lifecycle Fund
Group Trust -
Moderate 0.17% None 0.01%(2) 0.02%(1&3) 0.20%
Underlying Funds(4):
S&P 500 Flagship Fund None None None --%(4&5) --%(5)
Russell 2000 Fund None None None 0.06%(4) 0.06%
Daily EAFE Fund None None None 0.19%(4) 0.19%
Daily Government/Corporate
Bond Fund None None None 0.01%(4) 0.01%
Short Term Investment Fund None None None --%(4&5) --%(5)
TOTAL 0.17% 0.64% 0.16% 0.30%(6) 1.27%(6)
- - -------------------------- ------------ --------- ------------------------ ---------
</TABLE>
(1) These include a charge at the annual rate of .03% of the value of the
respective assets in the Lifecycle Funds--Conservative and Moderate to
compensate Equitable Life for additional legal, accounting and other
potential expenses resulting from the inclusion of the Lifecycle Fund
Group Trusts and Underlying Funds maintained by State Street among the
Investment Options described in this prospectus and the SAI. Other
expenses also include costs incurred by Equitable Life and State Street
in connection with the organization of the Lifecycle Funds.
Organizational expenses were initially paid by Equitable Life and State
Street and are being reimbursed from the Lifecycle Funds over a five
year period. Organizational expenses were $150,087 and will be
amortized pro rata, based on the assets of each Fund, over the period
ending June 30, 2000. On December 8, 1995, the Program's balance in the
Balanced Fund (approximately $70 million) was transferred to the
Lifecycle Fund--Moderate. The much larger balance in that Fund results
in a much lower ratio of Other Expenses to Total Assets compared to the
corresponding ratio for the Lifecycle Fund--Conservative.
(2) Based on the Lifecycle Fund Group Trusts--Conservative and Moderate
current fixed fee of $11,100 per year, per fund and average net assets
for 1996.
(3) Based on the Lifecycle Fund Group Trusts--Conservative and Moderate
average net assets for 1996.
(4) Other expenses of the Underlying Funds are based on expenses incurred
by each Fund during 1996.
(5) Less than 0.01%.
(6) These Totals are based upon a weighted average of the Other Expenses
for each Underlying Fund. In calculating the weighted average, expenses
for each Underlying Fund were multiplied by their respective target
percentages within their respective Group Trust. See Investment
Options--The Equity Funds--Lifecycle Funds--Conservative and Moderate
for a description of the targeted percentage weightings of the
Lifecycle Fund Group Trusts--Conservative and Moderate.
8
<PAGE>
EXAMPLES
You would pay the following expenses on a $1,000 investment over the time
period indicated for each Fund listed below, assuming a 5% annual rate of
return. The Examples include all annual fund operating expenses listed in the
tables above plus an estimate of average plan and transaction charges over
the time periods indicated for a $1,000 initial investment, assuming the
account is not annuitized. The estimate is computed by aggregating all record
maintenance and report fees, and enrollment fees, divided by the average
assets for the same period. See ADA Members Retirement Plan, Prototype
Self-Directed Plan and Individually-designed Plan Fees. Although the Program
has no minimum contribution, the minimum amount that can be converted to an
annuity is $3,500. There are no surrender charges, so the amounts would be
the same, whether or not you withdraw all or a portion of your Account
Balance.
<TABLE>
<CAPTION>
1 YEAR 3 YEAR 5 YEAR 10 YEAR
- - -------------------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Equity Index Fund(1) $14.06(1) $43.69(1) $ 75.47(1) $165.34(1)
Lifecycle Fund -
Conservative 29.96 91.63 155.71 327.04
Lifecycle Fund -
Moderate 13.25 41.21 71.25 156.44
- - -------------------- ----------- ----------- ----------- ------------
</TABLE>
The purpose of these tables and examples is to assist you in understanding
the various costs and expenses that will be incurred, either directly or
indirectly, when amounts are invested in the Funds. FUTURE EXPENSES MAY BE
GREATER OR LESS THAN THOSE SHOWN. IN ADDITION, THE 5% RATE OF RETURN IN THE
EXAMPLE IS NOT AN ESTIMATE OR GUARANTEE OF FUTURE PERFORMANCE.
(1) The returns shown reflect the waiver of the .10% investment management
fee by State Street.
CONDENSED FINANCIAL INFORMATION
EQUITY INDEX FUND: SEPARATE ACCOUNT NO. 195
Condensed financial information for the SSgA S&P 500 Index Fund is contained
in the prospectus for that Fund, copies of which may be obtained by calling
an Account Executive. Those financial statements, however, do not reflect the
Program expense charge, and the daily accrual of direct expenses deducted
from amounts held in Separate Account No. 195, the Equity Index Fund. Unit
values for the Equity Index Fund are shown below and do reflect the deduction
of Program expense charges and daily accrual of direct expenses. The Equity
Index Fund was established at $10.00 on February 1, 1994, the date this Fund
began operations.
<TABLE>
<CAPTION>
EQUITY INDEX
FUND
--------------
<S> <C>
Unit value as of:
December 31, 1996........... $15.91
December 31, 1995 .......... $13.12
December 31, 1994 .......... $ 9.71
Number of Units outstanding
at December 31, 1996
(000's) .................... 2,100
</TABLE>
9
<PAGE>
LIFECYCLE FUND--CONSERVATIVE: SEPARATE ACCOUNT NO. 197
Unit Values for the Lifecycle Fund--Conservative are shown below and reflect
the deduction of Program expense charges and daily accrual of direct
expenses. The Lifecycle Fund--Conservative began operations on May 1, 1995.
The value for a Lifecycle Fund--Conservative Unit was established at $10.00
on that date.
<TABLE>
<CAPTION>
LIFECYCLE
FUND--
CONSERVATIVE
---------------
<S> <C>
Unit value as of:
December 31, 1996........... $11.04
December 31, 1995 .......... $10.59
Number of Units outstanding
at December 31, 1996
(000's) .................... 408
</TABLE>
LIFECYCLE FUND--MODERATE: SEPARATE ACCOUNT NO. 198
Unit Values for the Lifecycle Fund--Moderate are shown below and reflect the
deduction of Program expense charges and daily accrual of direct expenses.
The Lifecycle Fund--Moderate began operations on May 1, 1995. The value for a
Lifecycle Fund--Moderate Unit was established at $10.00 on that date.
<TABLE>
<CAPTION>
LIFECYCLE
FUND--
MODERATE
---------------
<S> <C>
Unit value as of:
December 31, 1996........... $12.18
December 31, 1995 .......... $11.01
Number of Units outstanding
at December 31, 1996
(000's) .................... 7,241
</TABLE>
FULL FINANCIAL STATEMENTS. The financial statements of Separate Account No.
195, 197 and 198 and the Consolidated Financial Statements of Equitable Life
are contained in the SAI.
10
<PAGE>
SELECTED FINANCIAL DATA
LIFECYCLE FUND GROUP TRUSTS
The selected financial data below provides information with respect to
investment income, expenses, and investment performance for each Lifecycle
Fund Group Trust attributable to each unit outstanding for the period
indicated. The selected financial data has been audited by Price Waterhouse
LLP, independent accountants, as stated in their reports included in the SAI.
The selected financial data should be read in conjunction with the full
financial statements of the Lifecycle Fund Group Trusts, which appear in the
SAI.
<TABLE>
<CAPTION>
YEAR ENDED PERIOD ENDED
DECEMBER 31, DECEMBER 31,
1996 1995*
-------------- --------------
<S> <C> <C>
LIFECYCLE FUND GROUP TRUST-CONSERVATIVE
Net investment income (loss)**.................................... $ 0.05 $ (0.08)
Net realized and unrealized gain (loss)........................... 0.65 0.81
-------------- --------------
Net increase (decrease)........................................... 0.70 0.73
Net asset value
Beginning of period............................................... 10.73 10.00
-------------- --------------
End of period..................................................... $ 11.43 $ 10.73
============== ==============
Total return (%)***............................................... 6.52 7.30
============== ==============
Ratio of expenses to average net assets (a)....................... 0.81% 2.13%
Ratio of net investment income (loss) to average net assets
(a)(b)........................................................... 0.31 (1.04)%
Portfolio turnover................................................ 54% 131%
Net assets, end of period (000s).................................. $ 4,534 $ 2,983
============== ==============
LIFECYCLE FUND GROUP TRUST-MODERATE
Net investment income (loss)**.................................... $ 0.04 $ (0.01)
Net realized and unrealized gain (loss)........................... 1.27 1.14
-------------- --------------
Net increase (decrease)........................................... 1.31 1.13
Net asset value
Beginning of period............................................... 11.13 10.00
End of period..................................................... $ 12.44 $ 11.13
============== ==============
Total return (%)***............................................... 11.77 11.30
============== ==============
Ratio of expenses to average net assets (a)....................... 0.20% 0.52%
Ratio of net investment income (loss) to average net assets
(a)(b)........................................................... 0.35% (0.07)%
Portfolio turnover................................................ 18% 30%
Net assets, end of period (000s).................................. $88,273 $76,246
============== ==============
</TABLE>
* Investment operations commenced on May 5, 1995.
** Net investment income has been calculated based upon an average of
units outstanding.
*** Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and end of the period. The calculation includes
only those expenses charged directly to the Fund, and does not include
expenses charged to the fund in which the Fund invests.
(a) Annualized for the period ended December 31, 1995.
(b) Ratio excludes income retained by the funds in which the Fund invests
(see Note 2).
11
<PAGE>
UNDERLYING FUNDS
The selected financial data below provides information with respect to
investment income, expenses, and investment performance for each Underlying
Fund attributable to each Underlying Fund unit outstanding for the periods
indicated. The selected financial data has been audited by Price Waterhouse
LLP, independent accountants, as stated in their reports included in the SAI.
The selected financial data should be read in conjunction with the full
financial statements of the Underlying Funds, which appear in the SAI.
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------
1996 1995 1994 1993 1992
--------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
S&P 500 FLAGSHIP FUND
Net investment income**................... $ 2.48 $ 2.24 $ 1.90 $ 1.81 $ 1.54
Net realized and unrealized gain (loss) .. 19.86 24.26 (0.93) 4.55 3.04
Distribution of securities lending fee
income (a) .............................. 0.00 0.00 0.00 (0.01) (0.01)
--------- --------- -------- -------- --------
Net increase (decrease)................... 22.34 26.50 0.97 6.35 4.57
NET ASSET VALUE
Beginning of year......................... 97.06 70.56 69.59 63.24 58.67
--------- --------- -------- -------- --------
End of year............................... $119.40 $97.06 $70.56 $69.59 $63.24
========= ========= ======== ======== ========
Total return(%)***........................ 23.02 37.56 1.39 10.06 7.81
========= ========= ======== ======== ========
Ratio of expenses to average net assets* 0.00% 0.00% 0.00% 0.00% 0.00%
--------- --------- -------- -------- --------
Ratio of net investment income to average
net assets .............................. 2.33% 2.66% 2.88% 2.68% 2.58%
--------- --------- -------- -------- --------
Portfolio turnover........................ 27% 10% 12% 22% 19%
--------- --------- -------- -------- --------
Average broker commission per share (b) . $ 0.04 N/A N/A N/A N/A
--------- --------- -------- -------- --------
Net assets, end of year (000,000s)........ $20,916 $15,135 $8,258 $5,753 $4,233
========= ========= ======== ======== ========
</TABLE>
* Less than .01%
** Net investment income has been calculated based on an average of units
outstanding.
*** Total return calculation is based on the value of a single unit of
participation outstanding throughout the entire year. It represents the
percentage change in the net asset value per unit between the beginning
and end of each year and assumes reinvestment of dividends. The
calculation includes only those expenses charged directly to the Fund.
This result may be reduced by any administrative or other fees which
are incurred in the management or maintenance of individual participant
accounts.
(a) Zero amounts per unit represent those which are less than $.005.
(b) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
12
<PAGE>
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31,
-----------------------------------------------------
1996 1995 1994 1993 1992(A)
---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
RUSSELL 2000 FUND
Net investment income (b).............. $ 0.32 $ 0.03 $ 0.21 $ 0.17 $ 0.04
Distribution of securities lending fee
income (c)............................ (0.01) (0.01) (0.01) 0.00 0.00
---------- ---------- ---------- ---------- ---------
Net realized and unrealized gain
(loss)................................ 2.45 3.61 (0.46) 1.83 1.07
Net increase (decrease)................ 2.76 3.63 (0.26) 2.00 1.11
NET ASSET VALUE
Beginning of period.................... 16.48 12.85 13.11 11.11 10.00
---------- ---------- ---------- ---------- ---------
End of period ......................... $ 19.24 $ 16.48 $ 12.85 $ 13.11 $ 11.11
========== ========== ========== ========== =========
Total return (d) ...................... 16.81% 28.33% (1.98)% 18.00% 11.10%
========== ========== ========== ========== =========
Ratio of expenses to average net
assets (e)(f) ........................ 0.06% 0.10% 0.07% 0.09% 0.39%
---------- ---------- ---------- ---------- ---------
Ratio of net investment income to
average net assets (e)(f)............. 1.80% 1.80% 1.61% 1.37% 1.88%
---------- ---------- ---------- ---------- ---------
Portfolio turnover .................... 131% 103% 48% 35% 1%
---------- ---------- ---------- ---------- ---------
Average broker commission per share
(g) .................................. $ 0.02 N/A N/A N/A N/A
---------- ---------- ---------- ---------- ---------
Net assets, end of period (000s) ..... $951,405 $536,849 $372,107 $451,119 $148,285
========== ========== ========== ========== =========
</TABLE>
=============
(a) The Russell 2000 Fund commenced operations on October 31, 1992.
(b) Net investment income has been calculated based on an average of units
outstanding. Also, see Note 1 to the financial statements of the
Russell 2000 Funds in the SAI which accompanies this prospectus.
(c) Zero amounts represent those which are less than $.005 per unit.
(d) Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and the end of the period and assumes
reinvestment of distributions. The calculation includes only those
expenses charged directly to the Russell 2000 Fund. This result may be
reduced by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(e) 1992 data annualized.
(f) 1995 ratio reflects net investment income and expenses attributable to
the Russell 2000 Fund from its ownership in other collective investment
funds.
(g) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
13
<PAGE>
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31,
----------------------------------------
1996 1995 1994 1993**
--------- --------- ---------- ---------
<S> <C> <C> <C> <C>
DAILY EAFE FUND
Net investment income (loss)*.................... $ 0.29 $0.25 $ 0.19 $(0.01)
Distribution of securities lending fee income
(a)............................................. (0.01) (0.01) 0.00 0.00
Net realized and unrealized gain (loss) ......... 0.44 0.99 0.59 (0.13)
--------- --------- ---------- ---------
Net increase (decrease).......................... 0.72 1.23 0.78 (0.14)
NET ASSET VALUE
Beginning of period.............................. 11.87 10.64 9.86 10.00
--------- --------- ---------- ---------
End of period.................................... $ 12.59 $11.87 $10.64 $ 9.86
========= ========= ========== =========
Total return***.................................. 6.15% 11.64% 7.91% (1.40)%
========= ========= ========== =========
Ratio of expenses to average net assets (b) .... 0.19% 0.20% 0.19% 0.57%
--------- --------- ---------- ---------
Ratio of net investment income to average net
assets (b) ..................................... 2.38% 2.22% 1.88% (0.14)%
--------- --------- ---------- ---------
Portfolio turnover............................... 5% 9% 47% 28%
--------- --------- ---------- ---------
Average broker commission per share (c) ........ $0.0149 N/A N/A N/A
--------- --------- ---------- ---------
Net assets, end of year (000s)................... $99,048 $75,760 $139,678 $229,612
========= ========= ========== =========
</TABLE>
========================
* Net investment income (loss) per unit has been calcuated based upon an
average of monthly units outstanding.
** The Daily EAFE Fund commenced operations on September 30, 1993.
*** Total return is based on the value of a single unit of participation
outstanding throughout the entire period. It represents the percentage
change in the net asset value per unit between the beginning and end of
each period and assumes reinvestment of any distributions. The
calculation includes only those expenses charged directly to the Daily
EAFE Fund. This result may be reduced by any administrative or other
fees which are incurred in the management or maintenance of individual
participant accounts.
(a) Zero amounts represent those which are less than $.005 per unit.
(b) 1993 data annualized.
(c) Represents total commission paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
14
<PAGE>
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31,
1996 1995 1994 1993*
------------ ------------ ------------ ---------
<S> <C> <C> <C> <C>
DAILY GOVERNMENT/CORPORATE FUND
Net investment income**....................... $ 0.78 $ 0.70 $ 0.73 $ 0.11
Net realized and unrealized gain (loss) ...... (0.42) 1.17 (1.05) (0.17)
------------ ------------ ------------ ---------
Net increase (decrease)....................... 0.36 1.87 (0.32) (0.06)
NET ASSET VALUE
Beginning of period........................... 11.49 9.62 9.94 10.00
------------ ------------ ------------ ---------
End of period................................. $ 11.85 $ 11.49 $ 9.62 $ 9.94
============ ============ ============ =========
Total return (a)***........................... 3.13% 19.44% (3.22)% (3.27)%
============ ============ ============ =========
Ratio of expenses to average net assets (a) . 0.01% 0.01% 0.01% 0.02%
Ratio of net investment income to average net
assets (a) .................................. 6.82% 6.53% 6.81% 5.94%
Portfolio turnover............................ 299% 611% 144% 23%
Net assets, end of period (000s).............. $3,060,002 $1,991,393 $1,540,440 $322,680
============ ============ ============ =========
</TABLE>
================
(a) 1993 data annualized.
* Investment operations commenced on October 25, 1993.
** Net investment income has been calculated based on an average of
units outstanding.
*** Total return calculation is based on the value of a single unit of
participation outstanding throughout the period. It represents the
percentage change in the net asset value per unit between the
beginning and end of the period. The calculation includes only those
expenses charged directly to the Fund. This result may be reduced by
any administrative or other fees which are incurred in the management
or maintenance of individual participant accounts.
SHORT-TERM INVESTMENT FUND
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------
1996 1995 1994 1993 1992
------------- ------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
Net investment income ............ $0.0548 $0.0604 $0.0424 $0.0336 $0.0402
============= ============= ============ ============= =============
Distributions from net investment
income........................... $0.0548 $0.0604 $0.0424 $0.0336 $0.0402
============= ============= ============ ============= =============
Total return**.................... 5.62% 6.21% 4.32% 3.41% 4.09%
Ratio of expenses to average net
assets*.......................... --% --% --% --% --%
Ratio of net investment income to
average net assets............... 5.60% 6.04% 4.24% 3.36% 4.02%
Net assets, end of year
(000s) .......................... $13,762,940 $12,393,148 $9,239,219 $12,657,842 $10,016,685
============= ============= ============ ============= =============
</TABLE>
================
* Less than .01%.
** Total return calculation assumes dividend reinvestment and includes
only those expenses charged directly to the Fund. This result may be
reduced by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
15
<PAGE>
INVESTMENT OPTIONS
Ten INVESTMENT OPTIONS are available under the Program. Three of these are
discussed below: the Equity Index Fund and the two Lifecycle
Funds--Conservative and Moderate. Also discussed are the Lifecycle Fund Group
Trusts in which the Lifecycle Funds invest and the Underlying Funds in which
the Lifecycle Fund Group Trusts invest.
Each of the Funds discussed below has a different investment objective that
it seeks to achieve by following specific investment policies. The investment
objective of these Funds can only be changed by the Trustees. THERE IS NO
ASSURANCE THAT THE INVESTMENT OBJECTIVES OF ANY OF THESE FUNDS WILL BE MET.
See Risks and Investment Techniques.
THE EQUITY INDEX FUND
OBJECTIVE. The Equity Index Fund seeks to achieve a total return which
parallels that of the Standard & Poor's 500 Composite Stock Price Index (the
"S&P 500 Index") by investing in a mutual fund designated by the Trustees,
the SSgA S&P 500 Index Fund (formerly known as "The Seven Seas S&P 500 Index
Fund"). There is no assurance that this objective will be met.
INVESTMENT POLICIES. The Equity Index Fund will invest 100 percent of its
assets in shares of the SSgA S&P 500 Index Fund.
THE SSGA S&P 500 INDEX FUND. The SSgA S&P 500 Index Fund's investment
objective is to emulate the total return of the S&P 500 Index. The SSgA S&P
500 Index Fund seeks to achieve its objective by investing in all 500 stocks
in the S&P 500 Index in proportion to their weightings in the S&P 500 Index.
To the extent that all 500 stocks cannot be purchased, the SSgA S&P 500 Index
Fund will purchase a representative sample of the stocks listed in the S&P
500 Index in proportion to their weightings.
The SSgA Fund was organized as a Massachusetts business trust and is
registered under the 1940 Act as an open-end diversified management
investment company. As a series mutual fund, The SSgA Fund issues shares in
different investment portfolios, one of which is the SSgA S&P 500 Index Fund.
The investment adviser of the SSgA S&P 500 Index Fund is State Street.
"S&P 500" IS A TRADEMARK OF STANDARD & POOR'S CORPORATION THAT HAS BEEN
LICENSED FOR USE BY THE SSGA S&P 500 INDEX FUND. THE SSGA S&P 500 INDEX FUND
IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY STANDARD & POOR'S
CORPORATION, AND STANDARD & POOR'S CORPORATION MAKES NO REPRESENTATION
REGARDING THE ADVISABILITY OF INVESTING IN THE SSGA S&P 500 INDEX FUND.
The S&P 500 Index is composed of 500 common stocks which are chosen by
Standard and Poor's Corporation to best capture the price performance of a
large cross-section of the United States publicly traded stock market. The
S&P 500 Index is structured to approximate the general distribution of
industries in the United States economy. The inclusion of a stock in the S&P
500 Index in no way implies that Standard & Poor's Corporation believes the
stock to be an attractive investment, nor is Standard & Poor's a sponsor of
or in any way affiliated with the SSgA S&P 500 Index Fund or the Equity Index
Fund. The 500 securities, most of which trade on the New York Stock Exchange,
represent approximately 75 percent of the market value of all common stocks.
Each stock in the S&P 500 Index is weighted by market capitalization. That
is, each security is weighted by its total market value relative to the total
market values of all the securities in the S&P 500 Index. Component stocks
included in the S&P 500 Index are chosen with the aim of achieving a
distribution at the index level representative of the various components of
the United States gross national product and therefore do not represent the
500 largest companies. Aggregate market value and trading activity are also
considered in the selection process. A limited percentage of the S&P 500
Index may include Canadian securities. No other foreign securities are
eligible for inclusion.
16
<PAGE>
For further information about the SSgA S&P 500 Index Fund, see the SSgA S&P
500 Index Fund's prospectus and the related Statement of Additional
Information. Free additional copies of the SSgA S&P 500 Index Fund prospectus
and copies of the related Statement of Additional Information may be obtained
by calling an Equitable Life Account Executive. Participants and employers
should carefully read the prospectus of the SSgA S&P 500 Index Fund before
they allocate contributions or transfer amounts to the Equity Index Fund.
VOTING RIGHTS. The SSgA S&P 500 Index Fund does not hold annual meetings of
shareholders. If a meeting of shareholders is held, they may vote on such
matters as election of trustees and any other matters requiring a vote by
shareholders under the 1940 Act. Equitable Life will vote the shares of the
SSgA S&P 500 Index Fund allocated to the Equity Index Fund in accordance with
instructions received from employers, participants or trustees, as
appropriate, in the Equity Index Fund. Each employer, participant or trustee,
as appropriate, will be allowed to instruct Equitable Life on how to vote
shares of the SSgA S&P 500 Index Fund in proportion to their interest in the
Equity Index Fund as of the record date for the shareholder meeting.
Equitable Life will abstain from voting shares for which no instructions are
received. Employers, participants or trustees will receive periodic reports
about the SSgA S&P 500 Index Fund and proxy materials together with a voting
instruction form, in connection with shareholder meetings. The costs of
soliciting voting instructions from participants will be borne by the SSgA
S&P 500 Index Fund.
LIFECYCLE FUNDS--CONSERVATIVE AND MODERATE
Each Lifecycle Fund is a separate account of Equitable Life. Contributions
may be made to the Lifecycle Fund -- Conservative and/or the Lifecycle
Fund--Moderate. Each of the Lifecycle Funds invests in a Lifecycle Fund Group
Trust--Conservative or Moderate having identical investment objectives and
policies as the Lifecycle Fund to which it relates. In turn each of the
Lifecycle Fund Group Trusts invests in a mix of Underlying Funds. The
following table diagrams this investment structure:
UNDERLYING FUNDS
-------------------
| Lifecycle Fund- |
| Conservative |
| (SA 197) |
-------------------
-------------------
| Lifecycle Fund |
| Group Trust- |
| Conservative |
-------------------
------------ ----------- --------- ---------------- --------------
| S&P 500 | | Russell | | Daily | | Daily Gov't. | | Short Term |
| Flagship | | 2000 | | EAFE | | Corporate | | Investment |
| Fund | | Fund | | Fund | | Bond Fund | | Fund |
------------ ----------- --------- ---------------- --------------
-------------------
| Lifecycle Fund- |
| Moderate |
| (SA 198) |
-------------------
------------------
| Lifecycle Fund |
| Group Trust- |
| Moderate |
------------------
------------ ----------- --------- ---------------- --------------
| S&P 500 | | Russell | | Daily | | Daily Gov't. | | Short Term |
| Flagship | | 2000 | | EAFE | | Corporate | | Investment |
| Fund | | Fund | | Fund | | Bond Fund | | Fund |
------------ ----------- --------- ---------------- --------------
17
<PAGE>
THE LIFECYCLE FUND GROUP TRUSTS
The Lifecycle Fund Group Trusts are collective investment funds maintained by
State Street. Each Lifecycle Fund Group Trust is organized as a common law
trust under Massachusetts law, and because of exclusionary provisions, is not
subject to regulation under the 1940 Act.
There are two Lifecycle Fund Group Trusts: the Lifecycle Fund Group
Trust--Conservative and the Lifecycle Fund Group Trust--Moderate. State
Street serves as the trustee and investment manager to each of these Group
Trusts. Each of the Lifecycle Fund Group Trusts attempts to achieve its
investment objective by investing in a mix of underlying collective
investment funds (the "Underlying Funds") maintained by State Street and
offered exclusively to tax exempt retirement plans.
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
OBJECTIVE. The Lifecycle Fund Group Trust--Conservative seeks to provide
current income and a low to moderate growth of capital. There is no assurance
that this objective will be met.
INVESTMENT POLICIES. The Lifecycle Fund Group Trust--Conservative seeks to
achieve its objective by investing 100% of its assets in units of a mix of
Underlying Funds in accordance with certain target percentage weightings. The
table below shows the mix of Underlying Funds targeted by the Lifecycle Fund
Group Trust--Conservative.
<TABLE>
<CAPTION>
<S> <C>
S&P 500 Flagship Fund 15%
Russell 2000 Fund 5%
Daily EAFE Fund 10%
Daily Government/Corporate Bond Fund 50%
Short Term Investment Fund 20%
</TABLE>
The target percentages shown above are reviewed annually by the ADA Trustees
and may be revised as recommended, subject to State Street's approval. State
Street, as investment manager of the Lifecycle Fund Group
Trust--Conservative, from time to time makes adjustments in the mix of
Underlying Funds as needed to maintain, to the extent practicable, the target
percentages in each of the Underlying Funds.
LIFECYCLE FUND GROUP TRUST--MODERATE
OBJECTIVE. The Lifecycle Fund Group Trust--Moderate seeks to provide growth
of capital and a reasonable level of current income. There is no assurance
that this objective will be met.
INVESTMENT POLICIES. The Lifecycle Fund Group Trust--Moderate intends to
achieve its investment objective by investing 100% of its assets in units of
a mix of Underlying Funds in accordance with certain target percentage
weightings. The table below shows the mix of Underlying Funds targeted by the
Lifecycle Fund Group Trust--Moderate.
<TABLE>
<CAPTION>
<S> <C>
S&P 500 Flagship Fund 35%
Russell 2000 Fund 10%
Daily EAFE Fund 15%
Daily Government/Corporate Bond Fund 30%
Short Term Investment Fund 10%
</TABLE>
The target percentages shown above are reviewed annually by the ADA Trustees
and may be revised as recommended, subject to State Street's approval. State
Street, as investment manager of the Lifecycle Fund Group Trust--Moderate,
from time to time makes adjustments in the mix of Underlying Funds as needed
to maintain, to the extent practicable, the target percentages in each of the
Underlying Funds.
18
<PAGE>
THE UNDERLYING FUNDS
Like the Lifecycle Fund Group Trusts, the Underlying Funds are collective
investment funds maintained by State Street and offered exclusively to tax
exempt retirement plans. Unlike the Lifecycle Fund Group Trusts, however,
which are available only under the ADA Program, the Underlying Funds may
receive contributions from other tax exempt retirement plans.
The Underlying Funds are organized as common law trusts under Massachusetts
law, and because of exclusionary provisions, are not subject to regulation
under the 1940 Act. State Street serves as trustee and investment manager to
each of the Underlying Funds.
S&P 500 FLAGSHIP FUND
OBJECTIVE. The investment objective of the S&P 500 Flagship Fund ("Flagship
Fund") is to replicate, as closely as possible, the total return of the S&P
500 Index. "S&P 500" is a trademark of Standard & Poor's Corporation that has
been licensed for use by the Flagship Fund. The Flagship Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's Corporation, and
Standard & Poor's Corporation makes no representation regarding the
advisability of investing in this Fund. For further information on the S&P
500 Index, see the discussion of the Equity Index Fund under Investment
Options.
INVESTMENT POLICIES. The Flagship Fund intends to achieve its objective by
investing in all 500 stocks in the S&P 500 Index. In order to provide 100%
equity exposure, the Flagship Fund may hold up to 25% of its value in S&P 500
futures contracts in lieu of cash equivalents. U.S. Treasury Bills and other
short-term cash equivalents owned by the Flagship Fund will be held as
collateral for the futures contracts. For additional discussion related to
the investment policies of the Flagship Fund, see discussion below under
Risks and Investment Techniques and the Statement of Additional Information.
RUSSELL 2000 FUND
OBJECTIVE. The investment objective of the Russell 2000 Fund is to replicate,
as closely as possible, the return of the Russell 2000 Index maintained by
Frank Russell Company ("Frank Russell"). The Russell 2000 Fund will invest
its assets directly in shares of companies included in the Russell 2000
Index.
The Russell 2000 Index is a broadly diversified small capitalization index
consisting of approximately 2,000 common stocks. It is a subset of the larger
Russell 3000 Index. The Russell 3000 Index consists of the largest 3,000
publicly traded stocks of U.S. domiciled corporations and includes large,
medium and small capitalization stocks. As such, the Russell 3000 Index
represents approximately 98 percent of the total market capitalization of all
U.S. stocks that trade on the New York and American Stock Exchanges and in
the NASDAQ over-the-counter market. The Russell 2000 Index consists of the
approximately 2,000 smallest stocks within the Russell 3000 Index and is,
therefore, a broadly diversified index of small capitalization stocks.
INVESTMENT POLICIES. The Russell 2000 fully replicates the Russell 2000
Index with the possible exception of the smallest securities in the index,
due to the relative illiquidity of those securities.
19
<PAGE>
The composition of the Russell 2000 Index is updated monthly to reflect
changes in the stock market capitalization of companies in the Index. Once a
year, companies that no longer qualify for the Index because of fluctuations
of market capitalization are replaced. The rate of change in the securities
included in the Russell 2000 Index is significant, often higher than 20
percent a year of the total market capitalization of the Index.
The Russell 2000 Fund is neither sponsored by nor affiliated with Frank
Russell. Frank Russell's only relationship to the Russell 2000 Fund is the
licensing of the use of the Russell 2000 Stock Index. Frank Russell is the
owner of the trademarks and copyrights relating to the Russell indices.
For additional discussion related to the investment policies of the Russell
2000 Fund, see discussion below under Risks and Investment Techniques and the
Statement of Additional Information.
DAILY EAFE FUND
OBJECTIVE. The investment objective of the Daily EAFE Fund is to closely
match the performance of the Morgan Stanley Capital International EAFE Index
("EAFE Index") while providing daily liquidity.
INVESTMENT POLICIES. The Daily EAFE Fund seeks to achieve its objective by
investing directly in each of the foreign markets which comprise the EAFE
Index. The EAFE Index is a broadly diversified international index consisting
of more than 1,100 companies traded on the markets of Europe, Australia, New
Zealand and the Far East. The investments may include equity securities,
equity-based derivatives, futures contracts, index swaps and foreign exchange
contracts. The Daily EAFE Fund also may acquire interest-bearing cash
equivalents, notes and other short-term instruments, including foreign
currency time deposits or call accounts.
As of December 31, 1996, Japan (31.0%) and the United Kingdom (18.6%)
dominated the market capitalization of the EAFE Index, with companies located
in Germany, France, Switzerland and Hong Kong also being well represented on
the Index. The Index covers a wide spectrum of industries, with the banking
and finance industry constituting 24.7%, consumer goods 19.4%, services
18.3%, capital equipment 12.0%, materials 9.2% of the market capitalization
of the Index (as of December 31, 1996). Morgan Stanley Capital International,
the creator of the EAFE Index, is neither a sponsor of nor affiliated with
the Daily EAFE Fund.
The Daily EAFE Fund will not be able to hold all of the more than 1,000
stocks that comprise the EAFE Index because of the costs involved. Instead
the Daily EAFE Fund will hold a representative sample of the issues that
comprise the EAFE Index. Stocks will be selected for inclusion in the Daily
EAFE Fund based on country, market capitalization, industry weightings, and
fundamental characteristics such as return variability, earnings valuation,
and yield. In order to parallel the performance of the EAFE Index, the Daily
EAFE Fund will invest in each country in approximately the same percentage as
the country's weight in the EAFE Index.
For additional discussion related to the investment policies of the Daily
EAFE Fund, see discussion below under Risks and Investment Techniques and the
Statement of Additional Information.
DAILY GOVERNMENT/CORPORATE BOND FUND
OBJECTIVE. The investment objective of the Daily Government/Corporate Bond
Fund ("GC Bond Fund") is to match or exceed the return of the Lehman Brothers
Government/Corporate Bond Index.
INVESTMENT POLICIES. The GC Bond Fund seeks to achieve its investment
objective by making direct investment in marketable instruments and
securities. In addition, the GC Bond Fund may make direct
20
<PAGE>
investments in (1) U.S. Government securities, including U.S. Treasury
securities and other obligations issued or guaranteed as to interest and
principal by the U.S. Government and its agencies and instrumentalities, (2)
corporate securities, (3) asset backed securities, (4) mortgage backed
securities including, but not limited to, collateralized mortgage obligations
and real estate mortgage investment conduits, (5) repurchase and reverse
repurchase agreements, (6) financial futures and option contracts, (7)
interest rate exchange agreements and other swap agreements, (8)
supranational and sovereign debt obligations including those of sub-divisions
and agencies, and (9) other securities and instruments deemed by State
Street, as trustee of the GC Bond Fund, to have characteristics consistent
with the investment objective of this Fund. The securities in the GC Bond
Fund will have a minimum credit rating when purchased of Baa3 by Moody's or
BBB-by Standard & Poor's.
For additional discussion related to the investment policies of the GC Bond
Fund, see discussion below under Risks and Investment Techniques and the
Statement of Additional Information.
SHORT TERM INVESTMENT FUND
OBJECTIVE. The investment objective of the Short Term Investment Fund ("STIF
Fund") is to maintain a diversified portfolio of short-term securities.
INVESTMENT POLICIES. The STIF Fund intends to achieve its objective by
investing in money market securities rated at least A-1 by Standard and
Poor's and P-1 by Moody's at the time of issuance. If the issuer has
long-term debt outstanding, such debt should be rated at least "A" by
Standard & Poor's or "A" by Moody's. The STIF Fund may purchase Yankee and
Euro certificates of deposit, Euro time deposits, U.S. Treasury bills, notes
and bonds, federal agency securities, corporate bonds, repurchase agreements
and banker's acceptances. Most of the investments may have a range of
maturity from overnight to 90 days. Twenty percent of the STIF Fund, however,
may be invested in assets having a maturity in excess of 90 days but not more
than thirteen months.
For additional discussion regarding the investment policies of the STIF Fund,
see discussion below under Risks and Investment Techniques and the Statement
of Additional Information.
VOTING RIGHTS: THE LIFECYCLE FUNDS
Participants do not have any voting rights with respect to their investments
in a Lifecycle Fund. Similarly, participants do not have any voting rights
with respect to matters such as the selection of State Street as trustee or
investment manager or investment adviser of a Lifecycle Fund Group Trust or
Underlying Fund, or with respect to any changes in investment policy of any
of these entities.
RISKS AND INVESTMENT TECHNIQUES: LIFECYCLE FUND
GROUP TRUSTS AND UNDERLYING FUNDS
You should be aware that any investment in securities carries with it a risk
of loss. The different investment objectives and policies of the Equity Index
Fund and each of the Lifecycle Funds affect the return on these Funds.
Additionally, there are market and financial risks inherent in any securities
investment. By market risks, we mean factors which do not necessarily relate
to a particular issuer but which affect the way markets, and securities
within those markets, perform. We sometimes describe market risk in terms of
volatility, that is, the range and frequency of market value changes. Market
risks include such things as changes in interest rates, general economic
conditions and investor perceptions regarding the value of debt and equity
securities. By financial risks we mean factors associated with a particular
issuer which may affect the price of its securities, such as its competitive
posture, its earnings and its ability to meet its debt obligations. The risk
factors and investment techniques associated with the
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Underlying Funds in which the Lifecycle Fund Group Trusts invest are
discussed below. The risks and investment techniques associated with
investments by the Equity Index Fund in the Seven Seas S&P 500 Index Fund are
discussed in the prospectus and Statement of Additional Information for that
Fund.
IN GENERAL. You should note that the Flagship Fund, the 2000 Fund and the
Daily EAFE Fund are all index funds. An index fund is one that is not managed
according to traditional methods of "active" investment management, which
involve the buying and selling of securities based upon economic, financial
and market analysis and investment judgment. Instead, such funds utilize a
"passive" investment approach, attempting to duplicate the investment
performance of their benchmark indices through automated statistical analytic
procedures. For example, the Flagship Fund attempts to match the return of
the S&P 500 Index by using automated statistical methods to make stock
selections. Similar methods are employed in selecting stocks for the 2000
Fund and the Daily EAFE Fund. Still, such Funds, to the extent they invest in
the various types of securities discussed below, are subject to the risks
associated with each of these investments.
Also, you should note that each of the Underlying Funds, for the purpose of
investing uncommitted cash balances or to maintain liquidity to meet
redemptions of Fund units, may invest temporarily and without limitation in
certain short-term fixed income securities and other collective investment
funds or registered mutual funds maintained or advised by State Street. The
short-term fixed income securities in which an Underlying Fund may invest
include obligations issued or guaranteed as to principal and interest by the
U.S. Government, its agencies and instrumentalities and repurchase agreements
collateralized by these obligations, commercial paper, bank certificates of
deposit, banker's acceptances, and time deposits.
EQUITY SECURITIES. Certain of the Underlying Funds will invest in equity
securities. Participants should be aware that equity securities fluctuate in
value, often based on factors unrelated to the value of the issuer of the
securities, and that fluctuations can be pronounced.
The securities of the smaller companies in which some of the Underlying Funds
may invest may be subject to more abrupt or erratic market movements than
larger, more established companies, both because the securities typically are
traded in lower volume and because the issuers typically are subject, to a
greater degree, to changes in earnings and profits.
FIXED-INCOME SECURITIES. Certain of the Underlying Funds will invest in
fixed-income securities. Although these are interest-bearing securities which
promise a stable stream of income, participants should be aware that the
prices of such securities are affected by changes in interest rates and,
therefore, are subject to the risk of market price fluctuations. The values
of fixed-income securities also may be affected by changes in the credit
rating or financial condition of the issuing entities. Once the rating of a
portfolio security has been changed, State Street will consider all relevant
circumstances in determining whether a particular Underlying Fund should
continue to hold that security. Certain securities such as those rated Baa by
Moody's and BBB by Standard & Poor's, may be subject to greater market
fluctuations than lower yielding, higher rated fixed-income securities.
Securities which are rated Baa by Moody's are considered medium grade
obligations; they are neither highly protected nor poorly secured, and are
considered by Moody's to have speculative characteristics. Securities rated
BBB by Standard & Poor's are regarded as having adequate capacity to pay
interest and repay principal, and while such debt securities ordinarily
exhibit adequate protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for securities in this category than in higher
rated categories.
FOREIGN SECURITIES. The Daily EAFE Fund will invest in foreign securities.
Such investments, however, entail special risks. Foreign securities markets
generally are not as developed or efficient as those in the
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United States. Securities of some foreign issuers are less liquid and more
volatile than securities of comparable U.S. issuers. Similarly, volume and
liquidity in most foreign securities markets are less than in the United
States and, at times, volatility of price can be greater than in the United
States. In addition, there may be less publicly available information about a
non-U.S. issuer, and non-U.S. issuers generally are not subject to uniform
accounting and financial reporting standards, practices and requirements
comparable to those applicable to U.S. issuers.
Because evidences of ownership of foreign securities usually are held outside
the United States, each of the Underlying Funds investing in foreign
securities will be subject to additional risks. Such risks include possible
adverse political and economic developments, possible seizure or
nationalization of foreign deposits, and possible adoption of governmental
restrictions which might adversely affect the payment of principal and
interest on the foreign securities or might restrict the payment of principal
and interest to investors located outside the country of the issuers, whether
from currency blockage or otherwise. Custodial expenses for a portfolio of
non-U.S. securities generally are higher than for a portfolio of U.S.
securities.
Since foreign securities purchased by the Underlying Funds often are
completed in currencies of foreign countries, the value of these securities
as measured in U.S. dollars may be affected favorably or unfavorably by
changes in currency rates and exchange control regulations. Some currency
exchange costs may be incurred when an Underlying Fund changes investments
from one country to another.
Furthermore, some of these securities may be subject to brokerage or stamp
taxes levied by foreign governments, which have the effect of increasing the
cost of such investment. Income received by sources within foreign countries
may be reduced by any withholding and other taxes imposed by such countries.
FUTURES CONTRACTS. Certain of the Underlying Funds may invest in futures
contracts. A purchase of a futures contract is the acquisition of a
contractual right and obligation to acquire the underlying security at a
specified price on a specified date. Although futures contracts by their
terms may call for the actual delivery or acquisition of the underlying
security, in most cases the contractual obligation is terminated before the
settlement date of the contract without delivery of the security. The
Underlying Fund will incur brokerage fees when it purchases and sells futures
contracts.
The Underlying Funds will not purchase futures contracts for speculation.
Futures contracts are used to increase the liquidity of each Underlying Fund
and for hedging purposes.
Transactions in futures contracts entail certain risks and transaction costs
to which an Underlying Fund would not otherwise be subject, and the
Underlying Fund's ability to purchase futures contracts may be limited by
market conditions or regulatory limits. Because the value of a futures
contract depends primarily on changes in the value of the underlying
securities, the value of the futures contracts purchased by the Underlying
Fund generally reflects changes in the values of the underlying stocks or
bonds. The risks inherent in the use of futures contracts include: (1)
imperfect correlation between the price of the futures contracts and
movements in the prices in the underlying securities; and (2) the possible
absence of a liquid secondary market for any particular instrument at any
time.
An Underlying Fund also may engage in foreign futures transactions. Unlike
trading on domestic futures exchanges, trading on foreign futures exchanges
is not regulated by the Commodity Futures Trading Commission and may be
subject to greater risks than trading on domestic exchanges. For example,
some foreign exchanges are principal markets so that no common clearing
facility exists and an investor may look only to the broker for performance
of the contract. In addition, any profits that an Underlying Fund might
realize from trading could be eliminated by adverse changes in the exchange
rate, or such Underlying Fund could incur losses as a result of those
changes. Transactions on foreign exchanges may include both futures which are
traded on domestic exchanges and those which are not.
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<PAGE>
SECURITIES OF MEDIUM AND SMALLER SIZED COMPANIES. Certain of the Underlying
Funds may invest in the securities of medium and smaller sized companies with
market capitalization of $500 million to $1.5 billion. Such companies may be
dependent on the performance of only one or two products and, therefore, may
be vulnerable to competition from larger companies with greater resources and
to economic conditions affecting their market sector. Consequently,
consistent earnings may not be as likely in such companies as they would be
for larger companies. In addition, medium and smaller sized companies may be
more dependent on access to equity markets to raise capital than larger
companies with greater ability to support debt. Medium and smaller sized
companies may be new, without long business or management histories, and
perceived by the market as unproven. Their securities may be held primarily
by insiders or institutional investors, which may have an impact on
marketability. The price of these stocks may rise and fall more frequently
and to a greater extent than the overall market.
LENDING OF SECURITIES. Certain of the Underlying Funds may from time to time
lend securities from their portfolios to brokers, dealers and financial
institutions and receive collateral consisting of cash, securities issued or
guaranteed by the U.S. Government, or irrevocable letters of credit issued by
major banks. Cash collateral will be invested in various collective
investment funds maintained by State Street. The net income from such
investments will increase the return to the Underlying Funds. All securities
lending transactions in which the Underlying Funds engage will comply with
the prohibited transaction provisions of the Employee Retirement Income
Security Act of 1974 ("ERISA") and related regulations.
INVESTMENTS BY THE STIF FUND. Each of the Lifecycle Fund Group Trusts will,
and certain of the Underlying Funds may, invest in the STIF Fund. This Fund
intends to invest, among other things, in various U.S. Government
Obligations, U.S. dollar-denominated instruments issued by foreign banks and
foreign branches of U.S. banks, "when-issued" securities, and to enter into
repurchase agreements with various banks and broker-dealers. The STIF Fund's
activities with respect to each of these investments are discussed below.
The STIF Fund may invest in a variety of U.S. Government obligations,
including bills and notes issued by the U.S. Treasury and securities issued
by agencies of the U.S. Government.
The STIF Fund also may invest in U.S. dollar-denominated instruments issued
by foreign banks and foreign branches of U.S. banks, a type of investment
that may involve special risks. Such banks may not be required to maintain
the same financial reserves or capital that are required of U.S. banks.
Restrictions on loans to single borrowers, prohibitions on certain
self-dealing transactions, and other regulations designed to protect the
safety and solvency of U.S. banks may not be applicable to foreign banks and
foreign branches of U.S. banks. In addition, investments of this type may
involve the unique risks associated with investments in foreign securities
described above.
The STIF Fund may commit to purchasing securities on a "when-issued" basis,
such that payment for and delivery of a security will occur after the date
that this Fund commits to purchase the security. The payment obligation and
the interest rate that will be received on the security are each fixed at the
time of the purchase commitment. Prior to payment and delivery, however, the
STIF Fund will not receive interest on the security, and will be subject to
the risk of loss if the value of the when-issued security is less than the
purchase price at time of delivery.
Finally, the STIF Fund may enter into repurchase agreements with various
banks and broker-dealers. In a repurchase agreement transaction, the STIF
Fund acquires securities (usually U.S. Government obligations) for cash and
obtains a simultaneous commitment from the seller to repurchase the
securities at an agreed-upon price and date. The resale price is in excess of
the acquisition price and reflects an agreed-upon rate of interest unrelated
to the coupon rate on the purchased security. In these transactions,
24
<PAGE>
the securities purchased by the STIF Fund will have a total value at least
equal to the amount of the repurchase price and will be held by State Street
or a third-party custodian until repurchased. State Street will continually
monitor the value of the underlying securities to verify that their value,
including accrued interest, always equals or exceeds the repurchase price.
HOW WE CALCULATE THE VALUE OF
AMOUNTS ALLOCATED TO THE
EQUITY INDEX AND LIFECYCLE FUNDS
CONTRIBUTIONS AND TRANSFERS: PURCHASE OF FUND UNITS. The portion of each
contribution or transfer allocated to the Equity Index Fund or the Lifecycle
Funds will be used to purchase Units. Your interest in each Fund is
represented by the value of the Units credited to your Account for that Fund.
The number of Units purchased by a contribution or transfer to a Fund is
calculated by dividing the amount allocated by the Unit Value calculated as
of the close of business on the day we receive your contribution or transfer
instruction. The number of Units credited to your Account will not vary
because of any subsequent fluctuation in the Unit Value, but the value of a
Unit fluctuates with the investment experience of the Fund. In other words,
the Unit Value will reflect the investment income and realized and unrealized
capital gains and losses of that Fund as well as the deductions and charges
we make to the Fund.
HOW WE DETERMINE THE UNIT VALUE. We determine the Unit Value for the Equity
Index Fund and each of the Lifecycle Funds at the end of each business day.
The Unit Value for each of these Funds is calculated by first determining a
gross unit value, which reflects only investment performance, and then
adjusting it for Fund expenses to obtain the Fund Unit Value. We determine
the gross unit value by multiplying the gross unit value for the preceding
business day by the net investment factor for that subsequent business day.
We calculate the net investment factor as follows:
o First, we take the value of the Fund's assets at the close of business on
the preceding business day.
o Next, we add the investment income and capital gains, realized and
unrealized, that are credited to the assets of the Fund during the business
day for which we are calculating the net investment factor.
o Then we subtract the capital losses, realized and unrealized, charged to
the Fund during that business day.
o Finally, we divide this amount by the value of the Fund's assets at the
close of the preceding business day.
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The Fund Unit Value is calculated on every business day by multiplying the
Fund Unit Value for the last business day of the previous month by the net
change factor for that business day. The net change factor for each business
day is equal to (a) minus (b) where:
(a) is the gross unit value for that business day divided by the gross unit
value for the last business day of the previous month and;
(b) is the charge to the Fund for that month for the daily accrual of fees
and other expenses times the number of days since the end of the preceding
month.
The Equity Index Fund's investments in the SSgA S&P 500 Index Fund will be
valued at the underlying mutual fund's net asset value per share. The
investments made by each of the Lifecycle Funds in units of the corresponding
Lifecycle Fund Group Trust will be valued at the net asset value of the units
of such Lifecycle Fund Group Trust.
The units of each of the Lifecycle Fund Group Trusts will be valued each
business day as of the close of the regular trading session of the New York
Stock Exchange (currently 4 p.m. Eastern time). A business day is any
business day on which the New York Stock Exchange is open for business. The
net asset value of each unit is computed by dividing the current value of the
assets of each Lifecycle Fund Group Trust, less its liabilities, by the
number of units outstanding and rounding to the nearest cent.
Investments made by each Lifecycle Fund Group Trust in the Underlying Funds
will be valued at the Underlying Fund's net asset value per unit. The units
of each Underlying Fund are valued each business day in a manner that is
similar to the method used for valuing units of the Lifecycle Fund Group
Trusts daily. Assets of the Flagship Fund, 2000 Fund, Daily EAFE Fund and the
GC Bond Fund are valued on the basis of readily available market values or,
if no such values are available, on the basis of fair values as determined in
good faith by State Street. Assets of the STIF Fund are valued at amortized
cost. Under this method of valuation, securities purchased by the STIF Fund,
such as bonds, notes, commercial paper, certificates of deposit, or other
evidences of indebtedness, are recorded at original cost and valued daily by
adjusting for premium amortization or discount accretion.
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EQUITABLE LIFE AND STATE STREET
EQUITABLE LIFE
Equitable Life is a New York stock life insurance company that has been in
business since 1859. For more than 100 years we have been among the largest
life insurance companies in the United States. Equitable Life has been
selling annuities since the turn of the century. Our Home Office is located
at 1290 Avenue of the Americas, New York, New York 10104. We are authorized
to sell life insurance and annuities in all fifty states, the District of
Columbia, Puerto Rico and the Virgin Islands. We maintain local offices
throughout the United States. We are one of the nation's leading pension fund
managers.
Equitable Life is a wholly-owned subsidiary of The Equitable Companies
Incorporated (the "Holding Company"). The largest stockholder of the Holding
Company is AXA-UAP ("AXA"). As of January 1, 1997, AXA beneficially owns
63.8% of the outstanding shares of common stock of the Holding Company
(assuming conversion of the convertible preferred stock held by AXA). Under
its investment arrangements with Equitable Life and the Holding Company, AXA
is able to exercise significant influence over the operations and capital
structure of the Holding Company and its subsidiaries, including Equitable
Life. AXA, a French company, is the holding company for an international
group of insurance and related financial service companies.
Equitable Life, the Holding Company and their subsidiaries managed assets of
approximately $239.8 billion as of December 31, 1996, including third party
assets of approximately $184.8 billion. These assets are primarily managed
for retirement and annuity programs for businesses, tax-exempt organizations
and individuals. This broad customer base includes nearly half the Fortune
100, more than 42,000 small businesses, state and local retirement funds in
more than half the 50 states, approximately 250,000 employees of educational
and non-profit institutions, as well as nearly 500,000 individuals. Millions
of Americans are covered by Equitable Life's annuity, life, health and
pension contracts.
THE SEPARATE ACCOUNTS
Each of the seven Funds is a separate account of Equitable Life; we own all
of the assets of the separate accounts. A separate account is a separate
investment account which we use to support our group annuity contracts, and
for other purposes permitted by applicable law. We keep the assets of each
separate account segregated from our general account and from any other
separate accounts we may have. Although the assets of the Funds are our
property, our obligation to you under the group annuity contract equals the
value of your accumulation in each Fund.
Income, gains and losses, whether or not realized, from assets invested in
the Funds are, in accordance with the group annuity contract, credited to or
charged against each Fund without regard to our other income, gains or
losses. The portion of each Fund's assets we hold on your behalf may not be
used to satisfy obligations that may arise out of any other business we
conduct. We may, however, transfer amounts owed to us, such as fees and
expenses, to our general account at any time. We may make these transfers
even if the Fund in question does not have sufficient liquidity to make all
withdrawals requested by participants.
The separate account which we call the Equity Index Fund was established on
February 1, 1994. The separate accounts which we call the Lifecycle Funds
were established on May 1, 1995. The Funds are governed by the laws and
regulations of the state of New York, where we are domiciled, and may also be
governed by laws of other states in which we do business. The Equity Index
Fund and Lifecycle Funds are used exclusively for the ADA Program. Because of
exclusionary provisions, the Separate Accounts are not subject to regulations
under the 1940 Act.
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We do not manage the Equity Index Fund or the Lifecycle Funds. We act in
accordance with the investment policies established by the Trustees.
STATE STREET
State Street is a trust company established under the laws of the
Commonwealth of Massachusetts. It is a wholly-owned subsidiary of State
Street Corporation, a publicly held bank holding company registered under the
Federal Bank Holding Company Act of 1956, as amended. State Street's home
office is located at 225 Franklin Street, Boston, Massachusetts 02110.
Through its institutional investment arm, SSgA, State Street provides a
comprehensive array of investment products that span the spectrum from
indexed to fully active investment management approaches.
Its customers include corporate, union, and public pension plans, endowments,
foundations and other financial institutions in the U.S. and abroad. As of
December 31, 1995, State Street was ranked the largest U.S. manager of
tax-exempt assets and the largest manager of international index assets. It
had total assets of $292.0 billion under management at December 31, 1996.
THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS
Each of the Lifecycle Fund Group Trusts and the Underlying Funds (referred to
collectively herein as "Trust" or "Trusts") is a collective investment fund
maintained by State Street. Although similar in many respects to mutual
funds, a collective investment fund is excluded from regulation under the
1940 Act if it is maintained by a bank and consists only of assets of tax
qualified retirement plans. The Trusts and Underlying Funds each satisfy both
of these requirements, and are not subject to the 1940 Act as otherwise
applicable to mutual funds.
Each Trust is operated by a single corporate trustee (State Street), which is
responsible for all aspects of the Trust, including portfolio management,
administration and custody. Under the Trusts, participants have no voting
rights with respect to the selection of State Street, as trustee, the
selection of the Trust's investment adviser or manager, or changes to any
investment policy of the Trust.
State Street is subject to supervision and examination by the Board of
Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, and the Massachusetts Commissioner of Banks. This, however, does
not provide any protection against loss that may be experienced as a result
of an investment in the Trusts. Further, State Street is required to comply
with ERISA, to the extent applicable, in connection with the administration
of the Program.
TAX STATUS OF THE LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING FUNDS. Each
Trust is a tax-exempt group trust established pursuant to Revenue Ruling
81-100. As a tax-exempt group trust, each Trust is not subject to federal
income tax unless the Trust generates unrelated business taxable income as
defined in the Code ("UBTI"). It is the policy of State Street not to invest
any portion of the assets of a Trust in a manner that will generate UBTI. If
State Street determines, however, that a proposed investment cannot be
structured to avoid UBTI and that the projected after-tax return on that
investment is sufficient to justify the making of such investment, then State
Street may elect to make that investment. In the unlikely event that any UBTI
is incurred by a Trust, it is anticipated that any tax thereon would be
reported and paid by the Trust as an expense of such Trust.
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INVESTMENT PERFORMANCE
MEASURING THE INVESTMENT PERFORMANCE OF THE FUNDS
We recognize that the performance of the Funds that you invest your
retirement savings in is important to you. The purpose of this discussion is
to give you an overview of how our Funds have performed in the past year. OF
COURSE, PAST PERFORMANCE CANNOT BE USED TO PREDICT FUTURE PERFORMANCE.
Fund performance is most often measured by the change in the value of fund
units over time. Unlike typical mutual funds, which usually distribute
earnings annually, separate account funds reinvest all earnings. As described
previously, the unit value calculations for the Funds include all earnings,
including dividends and realized and unrealized capital gains. Changes in the
unit values can be expressed in terms of the Fund's annual percentage change,
its average annual change, or its cumulative change over a period of years.
Each of these measurements is valuable on its own. In addition, it often is
helpful to compare the Fund's performance with the results of unmanaged
market indices.
The following tables and graphs provide a historical view of the Funds'
investment performance. The information presented includes performance
results for each Fund, along with data representing unmanaged market indices.
Financial statements for the Funds can be found in the SAI.
UNMANAGED MARKET INDICES
Unmanaged market indices, or "benchmarks," while providing a broader
perspective on relative performance, are only a tool for comparison.
Performance data for the unmanaged market indices do not reflect any
deductions for investment advisory, brokerage or other expenses of the type
typically associated with an actively managed fund. This effectively
overstates the rate of return of the market indices relative to that which
would be available to a typical investor, and limits the usefulness of these
indices in assessing the performance of the Funds. Since the Funds do not
distribute dividends or interests, the market indices have been adjusted to
reflect reinvestment of dividends and interest to provide greater
comparability.
We have presented data for the following unmanaged indices. Both of these may
be appropriate comparative measures of performance for the Funds.
o STANDARD AND POOR'S 500 INDEX ("S&P 500") -an unmanaged weighted index
of the securities of 500 industrial, transportation, utility and financial
companies widely regarded by investors as representative of the stock
market. This index should not be confused with the performance of the
Equity Index Fund nor that of the SSgA S&P 500 Index Fund, which seek to
emulate the results of the S&P 500 Index. See The Investment Options --
The Equity Index Fund for more information.
o RUSSELL 2000 INDEX ("RUSSELL 2000")--an unmanaged broadly diversified
index maintained by Frank Russell Company consisting of the approximately
2,000 smallest stocks within the Russell 3000 Index. The Russell 3000
Index consists of the largest 3,000 publicly traded stocks of U.S.
domiciled corporations and includes large, medium and small capitalization
stocks. As such, the Russell 3000 Index represents approximately 98
percent of the total market capitalization of all U.S. stocks that trade
on the New York and American Stock Exchanges and in the NASDAQ
over-the-counter market.
o MORGAN STANLEY CAPITAL INTERNATIONAL EAFE INDEX ("EAFE")--an unmanaged
index of the securities of over 1,000 companies traded on the markets of
Europe, Australia, New Zealand and the Far East.
o LEHMAN GOVERNMENT/CORPORATE BOND INDEX ("LEHMAN")--an unmanaged index
widely regarded by investors as representative of the bond market.
o SALOMON BROTHERS 3-MONTH T-BILL INDEX ("SALOMON 3 MO. T-BILL")--an
unmanaged index of direct obligations of the U.S. Treasury which are
issued in maturities between 31 and 90 days.
o CONSUMER PRICE INDEX (URBAN CONSUMERS -- NOT SEASONALLY ADJUSTED) "CPI" --
an index of inflation.
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HOW PERFORMANCE DATA ARE PRESENTED
We have shown performance on several different bases:
o The annual percentage changes in Fund Unit Values,
o The average annual percentage change in Fund Unit Values
THE FUNDS' PERFORMANCE SHOWN MAY NOT REPRESENT YOUR ACTUAL EXPERIENCE AND IT
DOES NOT REPRESENT THE EFFECT OF THE RECORD MAINTENANCE AND REPORT OR
ENROLLMENT FEES. The annual percentage change in Fund unit values represents
the percentage increase or decrease in unit values from the beginning of one
year to the end of that year. During any year unit values will, of course,
increase or decrease reflecting fluctuations in the securities markets. The
average annual rates of return are time-weighted, assume an investment at the
beginning of each period, and include the reinvestment of investment income.
Performance data for the Equity Index Fund reflects the performance of
Separate Account No. 195 for the period beginning February 1, 1994. For
periods prior to February 1, 1994, hypothetical performance is shown, which
reflects the performance of the SSgA S&P 500 Index Fund beginning 1993, the
first full year after that Fund began operations. For these hypothetical
calculations we have applied the Program expense charge during those periods
plus .15% in estimated other expenses to the historical investment experience
of the SSgA S&P 500 Index Fund. No results are shown for periods prior to
1993, as the State Street S&P 500 Index Fund began operations during 1992.
1995 performance data for the Lifecycle Funds is shown for the period when
the Funds commenced operations on May 1, 1995 through December 31, 1995.
ANNUAL PERCENTAGE CHANGE IN FUND UNIT VALUES*
<TABLE>
<CAPTION>
LIFECYCLE LIFECYCLE SALOMON
EQUITY FUND-- FUND-- S&P RUSSELL 3-MO.
INDEX CONSERVATIVE MODERATE 500 2000 EAFE LEHMAN T-BILL CPI
- - ------ -------- -------------- ----------- ------- --------- ------ -------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1996 21.3% 4.3% 10.6% 23.0% 16.5% 6.1% 2.9% 5.3% 3.3%
- - ------ -------- -------------- ----------- ------- --------- ------ -------- --------- ------
1995 35.1 5.9 10.1 37.5 28.4 11.2 19.2 5.7 2.9
- - ------ -------- -------------- ----------- ------- --------- ------ -------- --------- ------
1994 0.7 -- -- 1.3 -1.8 7.8 -3.5 4.2 2.7
- - ------ -------- -------------- ----------- ------- --------- ------ -------- --------- ------
1993 6.4 -- -- 10.0 18.9 32.6 11.0 3.1 2.7
- - ------ -------- -------------- ----------- ------- --------- ------ -------- --------- ------
</TABLE>
AVERAGE ANNUAL PERCENTAGE CHANGE IN FUND UNIT VALUES -- YEARS ENDING DECEMBER
31, 1996*
<TABLE>
<CAPTION>
LIFECYCLE LIFECYCLE SALOMON
EQUITY FUND-- FUND-- S&P RUSSELL 3-MO.
INDEX CONSERVATIVE MODERATE 500 2000 EAFE LEHMAN T-BILL CPI
- - --------- -------- -------------- ----------- ------- --------- ------ -------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 21.3% 4.3% 10.6% 23.0% 16.5% 6.1% 2.9% 5.3% 3.3%
- - --------- -------- -------------- ----------- ------- --------- ------ -------- --------- ------
2 Years 28.0 -- -- 30.0 22.3 8.6 10.8 5.5 2.9
- - --------- -------- -------------- ----------- ------- --------- ------ -------- --------- ------
3 Years 18.2 -- -- 19.7 13.7 8.3 5.8 5.1 2.8
- - --------- -------- -------------- ----------- ------- --------- ------ -------- --------- ------
</TABLE>
* Hypothetical results are shown in italics.
PAST PERFORMANCE IS NOT AN INDICATION OF FUTURE PERFORMANCE. NO PROVISIONS
HAVE BEEN MADE FOR THE EFFECT OF TAXES ON INCOME AND GAINS OR UPON
DISTRIBUTIONS.
30
<PAGE>
THE PROGRAM
The purpose of this section is to explain the ADA Members Retirement Program
in more detail. Although we have described important aspects of the Program,
you should understand that the provisions of your plan and the Participation
Agreement will define the scope of the Program and its specific terms and
conditions. This section is for employers, and for the purposes of this
section, "you" and "your" refer to you in that role although you may also be
a participant in the plan.
EMPLOYERS WHO MAY PARTICIPATE IN THE PROGRAM
If you are a sole proprietor, a partner or a shareholder in a professional
corporation, your practice, as an employer, can adopt the Program if you or
at least one of your fellow partners or shareholders is a member of:
o the ADA,
o one of its constituent or component societies, or
o an ADA-affiliated organization whose participation in the Program has been
approved by the Council on Insurance of the ADA.
ADA constituent or component societies may also adopt the Program for their
own employees within certain limitations imposed by the Internal Revenue
Code.
CHOICES FOR THE EMPLOYER
The ADA Members Retirement Program gives you a variety of approaches to
choose from. You can:
o Adopt our Master Plan, which gives you options as to types of plans and
plan provisions. The Master Plan uses the Program Investment Options as
the exclusive investment choices.
o Adopt the Self-Directed Prototype plan, which gives additional flexibility
to choose investments, or
o Maintain your own individually-designed plan, but use the Investment
Options as an investment for your plan.
SUMMARY OF THE PLANS AND TRUSTS
THE MASTER PLAN -- Under the Master Plan, you will automatically receive a
full range of services from Equitable Life, including your choice of the
Investment Options, plan-level and participant-level recordkeeping, benefit
payments and tax withholding and reporting.
o The Master Plan is a defined contribution master plan which can be adopted
as a profit sharing plan (including optional 401(k) and SIMPLE 401(k)
features), a defined contribution pension plan, or both.
THE SELF-DIRECTED PROTOTYPE PLAN -is a defined contribution prototype plan
which can be used to combine the Program Investment Options with individual
investments such as stocks and bonds. Employers must also adopt the Pooled
Trust and maintain a minimum of $25,000 in the Trust at all times. We provide
recordkeeping services only for plan assets held in the Pooled Trust.
THE ADA MEMBERS POOLED TRUST FOR RETIREMENT PLANS -is an investment vehicle
to be used by those who have an individually designed qualified retirement
plan. The Pooled Trust is for investment only and can be used for both
defined benefit and defined contribution plans. We provide participant-level
or plan-level recordkeeping services for plan assets held in the Pooled
Trust.
31
<PAGE>
INFORMATION ON JOINING THE PROGRAM
Our Retirement Program Specialists are available to answer your questions
about joining the Program. To reach one of our Retirement Program
Specialists, call or write to us at:
<TABLE>
<CAPTION>
<S> <C>
By Phone 1-800-523-1125, ext. 2608
From Alaska, 0-201-583-2395, collect
Specialists are available from 9 a.m. to 5 p.m. Eastern Time,
Monday through Friday.
By Regular Mail The ADA Members Retirement Program
c/o Equitable Life
Box 2011
Secaucus, New Jersey 07096
By Registered, Certified or The ADA Members Retirement Program
Overnight Mail c/o Equitable Life
200 Plaza Drive, 2-B55
Secaucus, New Jersey 07094
</TABLE>
CHOOSING THE RIGHT PLAN
Choosing the right plan depends on your own unique set of circumstances.
Although Equitable Life's Retirement Program Specialists can help explain the
Program, you and your tax advisors must decide which plan is best for you.
GETTING STARTED IN THE PROGRAM AFTER CHOOSING A PLAN
To adopt the Master Plan, you must complete a Participation Agreement. If you
have your own plan and wish to use the Pooled Trust as an investment option,
the trustee of your plan must complete the appropriate Participation
Agreement. Our Retirement Program Specialists can help you complete the
Participation Agreement for review by your tax advisor.
To adopt our prototype self-directed plan, you must complete the prototype
plan adoption agreement and a Participation Agreement for the Pooled Trust.
In addition, you must also arrange separately for plan level accounting and
brokerage services. We provide recordkeeping services only for plan assets
held in the Pooled Trust. You can use any plan recordkeeper of your choice or
you can arrange through us to hire Trust Consultants, Inc. at a special rate.
You can also arrange through us brokerage services from our affiliate,
Pershing Discount Brokerage Services, at special rates or use the services of
any other broker.
32
<PAGE>
COMMUNICATING WITH US AFTER YOU ENROLL
<TABLE>
<CAPTION>
<S> <C>
By Phone
To Reach an Account 1-800-223-5790
Executive (9 a.m. to 5 p.m. Eastern Time, Monday through Friday)
To Reach the Account 1-800-223-5790 (24 Hours)
Investment Management
("AIM") System:
- - --------------------------------------------------------------------------------------------
By Regular Mail (Other than The ADA Members Retirement Program
contribution checks) Box 2486 G.P.O.
New York, New York 10116
- - --------------------------------------------------------------------------------------------
By Registered, Certified or The ADA Members Retirement Program c/o Equitable Life
Overnight Mail 200 Plaza Drive, Second Floor
Secaucus, New Jersey 07094
- - --------------------------------------------------------------------------------------------
For Contribution Checks Only The Association Members Retirement Program
P.O. Box 1599
Newark, New Jersey 07101-9764
</TABLE>
YOUR RESPONSIBILITIES AS THE EMPLOYER
Employers adopting the Master Plan are responsible for the plan and its
administration. This includes certain responsibilities relating to the
administration and continued qualification of your plan. See Your
Responsibilities As Employer in the SAI for a list of responsibilities which
you will have if you adopt the Master Plan.
If you have an individually designed plan, you already have these
responsibilities; they are not increased in any way by your adoption of the
Pooled Trust for investment purposes only. It is your responsibility to
determine that the terms of your plan are consistent with the provisions of
the Pooled Trust and our practices described in this prospectus and the SAI.
If you utilize our prototype self-directed plan, you will have
responsibilities as the plan administrator and will also have to appoint a
plan trustee; these responsibilities will be greater than those required by
the adoption of the Master Plan. Again it is also your responsibility to
determine that the terms of your plan are consistent with the provisions of
the Pooled Trust and our practices described in this prospectus and the SAI.
You should consult your legal advisor for an understanding of your legal
responsibilities under the self-directed plan.
We will give you guidance and assistance in the performance of your
responsibilities. The ultimate responsibility, however, rests with you.
WHEN TRANSACTIONS ARE EFFECTIVE
A business day is any day both we and the New York Stock Exchange are open.
Contributions, transfers, and allocation changes are normally effective on
the business day they are received. Distribution requests are also effective
on the business day they are received unless, as in the Master Plan, there
are plan provisions to the contrary. However, we may have to delay the
processing of any transaction which is not accompanied by a properly
completed form or which is not mailed to the correct address. An Account
33
<PAGE>
Executive will generally be available to speak with you each business day
from 9 a.m. to 5 p.m. Eastern Time. We may, however, close due to emergency
conditions.
MINIMUM INVESTMENTS
There is no minimum amount which must be invested if you adopt the Master
Plan, or if you have your own individually-designed plan and use the Pooled
Trust as an investment.
If you adopt our self-directed prototype plan, you must keep at least $25,000
in the Pooled Trust at all times.
MAKING CONTRIBUTIONS TO THE PROGRAM
You should send contribution checks or money orders payable to The ADA
Retirement Trust to the address shown under Communicating With Us After You
Enroll. All contributions must be accompanied by a properly completed
Contribution Remittance form which designates the amount to be allocated to
each participant. Contributions are normally credited on the business day
that we receive them, provided the remittance form is properly completed.
Contributions are only accepted from the employer. Employees may not send
contributions directly to the Program.
OUR ACCOUNT INVESTMENT MANAGEMENT (AIM) SYSTEM
We offer an automated telephone system for participants to transfer between
investment options, obtain account information and change the allocation of
future contributions. To use the AIM System, you must have a Personal
Security Code (PSC) number, which you obtain by completing an AIMS
Authorization form.
If you have a touch-tone telephone you may make transfers on the AIM System.
Procedures have been established by Equitable Life for its AIM System that
are considered to be reasonable and are designed to confirm that instructions
communicated by telephone are genuine. Such procedures include requiring
certain personal identification information prior to acting on telephone
instructions and providing written confirmation of instructions communicated
by telephone. If Equitable Life does not employ reasonable procedures to
confirm that instructions communicated by telephone are genuine, we may be
liable for any losses arising out of any action on our part or any failure or
omission to act as a result of our own negligence, lack of good faith or
willful misconduct. In light of the procedures established, Equitable Life
will not be liable for following telephone instructions that we reasonably
believe to be genuine. We may discontinue the telephone transfer service at
any time without notice.
ALLOCATING CONTRIBUTIONS AMONG THE INVESTMENT OPTIONS
Under the Master Plan, participants make all investment decisions. Under an
individually-designed plan or our self-directed prototype plan, either the
participants or the plan trustees make the investment allocation decisions,
depending on the terms of the plan.
Contributions may be allocated among any number of the Investment Options.
Allocation instructions may be changed at any time, and as often as needed,
by calling the AIM System. New instructions become effective on the business
day we receive them. You may allocate employer contributions in different
percentages than employee contributions. IF WE HAVE NOT RECEIVED VALID
INSTRUCTIONS, WE WILL ALLOCATE YOUR CONTRIBUTIONS TO THE MONEY MARKET
GUARANTEE ACCOUNT.
34
<PAGE>
TRANSFERS AMONG THE INVESTMENT OPTIONS
Participants in the Master Plan may make transfers on a daily basis without
charge. Participants in other plans may make transfers whenever the plan
allows them to do so. We do not charge a fee for transfers. (If an
individually designed plan does not allow transfers by individual
participants, only you as employer or trustee may make a transfer.)
Participants may use the AIM System to transfer amounts among the investment
options. All transfers are made as of the close of business on the day we
receive the authorized instructions, provided we receive the request by 4:00
p.m. Eastern time. Transfer requests received after that time will be
processed as of the close of business on the following business day.
Transfers from the Equity Index Fund and the Lifecycle Funds are permitted at
any time except if there is any delay in redemptions from the underlying
mutual fund or, with respect to the Lifecycle Funds, the Lifecycle Fund Group
Trusts in which they invest. See The Equity Index Fund and Lifecycle
Fund-Conservative and Moderate.
DISTRIBUTIONS FROM THE INVESTMENT OPTIONS
There are two sets of rules that must be kept in mind when considering
distributions or withdrawals from the Program. The first are the rules and
procedures which apply to the Investment Options, exclusive of the provisions
of your plan. These are discussed in this section. The second are the rules
specific to your plan; these are discussed under When Distributions are
Available to Participants.
Amounts in the Equity Index Fund and the Lifecycle Funds are generally
available for distribution at any time, subject to the provisions of your
plan. However, there may be a delay for withdrawals from these Funds if there
is any delay in the redemptions from the underlying mutual fund and the
Lifecycle Fund Group Trusts. Please note that certain plan distributions may
be subject to penalty or excise taxes. See The Program and Federal Income Tax
Considerations for more details.
Payments or withdrawals out of the Equity Index Fund and the Lifecycle Funds
and application of proceeds to an annuity ordinarily will be made promptly
upon request in accordance with Plan provisions. However, we can defer
payments, applications and withdrawals from these Funds for any period during
which the New York Stock Exchange is closed for trading, sales of securities
are restricted or determination of the fair market value of assets of the
Funds is not reasonably practicable because of an emergency.
WHEN DISTRIBUTIONS ARE AVAILABLE TO PARTICIPANTS
In addition to the rules and procedures generally applicable to investments
in the Investment Options under the Program, there are other important rules
regarding the distribution and benefit payment options for each type of plan.
Distributions and benefit payment options under a qualified retirement plan
are subject to extremely complicated legal requirements. Certain plan
distributions may be subject to penalty or excise taxes. A general
explanation of the federal income tax treatment of distributions and benefit
payment options is provided in Federal Income Tax Considerations in both this
prospectus and the SAI. If a participant retires, becomes disabled or
terminates employment, the benefit payment options available should be
discussed with a qualified financial advisor. Our Account Executives can also
be of assistance.
In general, under the Master Plan or our self-directed prototype plan,
participants are eligible for benefits upon retirement, death or disability,
or upon termination of employment with a vested benefit. ("Vested" refers to
the nonforfeitable portion of your benefits under the plan.) Participants in
an individually
35
<PAGE>
designed plan are eligible for retirement benefits depending on the terms of
that plan. See Benefit Payment Options and Federal Income Tax Considerations
for more details. For participants who own more than 5% of the business,
benefits must begin no later than April 1 of the year after the participant
reaches age 70-1/2. For all other participants, distribution must begin by
April 1 of the later of the year after attaining age 70 1/2 or retirement.
Under the Master Plan, self-employed persons may generally not receive a
distribution prior to age 59-1/2 and employees generally may not receive a
distribution prior to a separation from service.
PARTICIPANT LOANS
The Master Plan permits participants to borrow a portion (not to exceed
$50,000) of his or her vested Account Balance (all plans combined), if the
employer has elected this feature. If the participant is a sole proprietor,
partner who owns more than 10% of the business, or a shareholder-employee of
an S Corporation who owns more than 5% of the business, he or she presently
may not borrow from his or her vested Account Balance without first obtaining
a prohibited transaction exemption from the Department of Labor. Participants
should consult with their attorneys or tax advisors regarding the
advisability and procedures for obtaining such an exemption. Loans are also
available under our self-directed prototype plan and under an individually
designed plan if the terms of the plan allow them.
Generally speaking, when a loan is taken, an amount equal to the loan is
transferred out of the Investment Options and is set up as a loan account.
While the loan is outstanding, the participant must pay interest on the loan.
Any principal and interest paid will be added to the participant's loan
account balance and will be taxable on distribution. If you fail to repay the
loan when due, the amount of the unpaid balance may be taxable and subject to
additional penalty taxes. The interest paid on a retirement plan loan may not
be deductible.
Loans from the plan should be applied for through the employer. Loans are
subject to restrictions under federal tax laws and all plans of the employer
are aggregated for purposes of these restrictions. Loan kits containing all
necessary forms, along with an explanation of how interest rates are set, are
available from our Account Executives. If a participant is married, written
spousal consent will be required for a loan.
BENEFIT PAYMENT OPTIONS
We offer a variety of benefit payment options to participants who are
eligible to receive benefits from a plan. However, many self-directed and
individually-designed plans do not allow all of these options, so you should
ask your employer for details on which of these options may be available.
Your plan may allow for one or more of the following forms of distribution to
be selected:
o Qualified Joint and Survivor Annuity
o Lump Sum Payment
o Installment Payments
o Life Annuity
o Life Annuity -- Period Certain
o Joint and Survivor Annuity
o Joint and Survivor Annuity -- Period Certain
o Cash Refund Annuity
36
<PAGE>
See Types of Benefits in the SAI for detailed information regarding each of
these options, and Procedures for Withdrawals, Distributions and Transfers in
the SAI.
The annuity options may be either fixed or variable except for the Cash
Refund Annuity and the Qualified Joint and Survivor Annuity. Fixed annuities
are available from insurance companies selected by the Trustees, which meet
criteria established by the Trustees from time to time. Upon request, we will
provide fixed annuity rate quotes available from one or more such companies.
Participants may instruct us to withdraw all or part of their Account Balance
and forward it to the annuity provider selected. Once we have distributed
that amount to the company selected, we will have no further responsibility
to the extent of the distribution. We provide the variable annuity options.
Payments under variable annuity options reflect investment performance of the
Growth Equity Fund. The minimum amount that can be used to purchase any type
of annuity is $3,500. In most cases an annuity administrative charge of $350
will be deducted from the amount used to purchase an annuity from Equitable
Life. Annuities purchased from other providers may also be subject to fees
and charges.
SPOUSAL CONSENT RULES
If a participant is married and has an Account Balance greater than $3,500,
federal law generally requires payment of a Qualified Joint and Survivor
Annuity payable to the participant for life and then to the surviving spouse
for life, unless the participant and spouse have properly waived that form of
payment in advance. If a participant is married, the spouse must consent in
writing before any type of withdrawal can be made. See Spousal Consent
Requirements in the SAI.
BENEFITS PAYABLE AFTER THE DEATH OF A PARTICIPANT
If a participant dies before the entire benefit has been paid, the remaining
benefits will be paid to the beneficiary. The law generally requires the
entire benefit to be distributed no more than five years after death. There
are two exceptions -- (1) if the benefit is payable to the spouse, the spouse
may elect to receive benefits over his or her life or a fixed period measured
by life expectancy beginning any time up to the date the participant would
have attained age 70-1/2 or, if later, one year after the participant's
death, and (2) a beneficiary who is not the participant's spouse may elect
payments over his or her life or a fixed period measured by life expectancy,
provided payments begin within one year of death. If, at death, a participant
was already receiving benefits, the beneficiary can continue to receive
benefits based on the payment option selected by the participant. To
designate a beneficiary or to change an earlier designation, a participant
must have the employer send us a beneficiary designation form. The spouse
must consent in writing to a designation of any non-spouse beneficiary, as
explained in Procedures for Withdrawals, Distributions and Transfers --
Spousal Consent Requirements in the SAI.
If a participant in the Master Plan dies without designating a beneficiary,
the vested benefit will automatically be paid to the spouse or, if the
participant is not married, to the first surviving class of his or her (a)
children, (b) parents and (c) brothers and sisters. If none of them survive,
the participant's vested benefit will be paid to the participant's estate. If
a participant in our prototype self-directed plan dies without designating a
beneficiary, the vested benefit will automatically be paid to the spouse or,
if the participant is not married, to the first surviving class of his or her
(a) children, (b) grandchildren, (c) parents, (d) brothers and sisters and
(e) nephews and nieces. If none of them survive, the participant's vested
benefit will be paid to the participant's estate.
Under the Master Plan, on the day we receive proof of death, we automatically
transfer the participant's Account Balance in the Equity Index Fund or the
Lifecycle Funds to the Money Market Guarantee Account unless the beneficiary
gives us other written instructions.
37
<PAGE>
DEDUCTIONS AND CHARGES
There are two general types of expenses you may incur under the Program. The
first is expenses which are based on amounts invested in the Program. These
are deducted from the assets of a particular Fund in which you invest, or
from the assets of an underlying vehicle in which such Fund invests. The
expenses deducted from the Equity Index Fund and the Lifecycle Funds are the
Program expense charge, the administration fee, and certain other expenses.
These charges are deducted regardless of the type of plan you may have. The
charges also apply to amounts being distributed under installment payout
options. The charges deducted from the SSgA S&P 500 Index Fund in which the
Equity Index Fund invests, the Lifecycle Fund Group Trusts in which the
Lifecycle Funds invest, or the Underlying Funds in which the Lifecycle Fund
Group Trusts invest, include investment management fees, administration fees,
custodial fees and certain other expenses. These charges reduce the net asset
value of The SSgA S&P 500 Index Fund and the Lifecycle Fund Group Trusts, and
are ultimately reflected in the Unit Values of the Equity Index Fund and the
Lifecycle Funds. See Investment Management Fee under Deductions and Charges
Related to the Lifecycle Fund Group Trusts and Underlying Funds.
The second type of charge is expenses which vary by the type of plan you have
or which are charged for specific transactions. These are typically stated in
terms of a defined dollar amount. Unless otherwise noted, fees which are set
in fixed dollar amounts are deducted by reducing the number of Units in the
Equity Index or Lifecycle Funds in which you invest.
No deductions are made from contributions or withdrawals for sales expenses.
The applicable deductions and charges are described in detail below.
CHARGES BASED ON AMOUNTS INVESTED IN THE PROGRAM
PROGRAM EXPENSE CHARGE
We assess the Program expense charge against the combined value of Program
assets in all of the Investment Options available under the Program,
including Investment Options not described in this prospectus. The purpose of
this charge is to cover the expenses incurred by Equitable Life and the ADA
in connection with the Program. The Unit Values of the Equity Index and
Lifecycle Funds reflect the deduction of this charge.
<TABLE>
<CAPTION>
ANNUAL PROGRAM EXPENSE CHARGE*
- - ----------------------- ------------------------------
VALUE OF PROGRAM ASSETS EQUITABLE LIFE ADA TOTAL
- - ----------------------- -------------- ------- -------
<S> <C> <C> <C>
First $400 million .630% .025% .655%
- - ----------------------- -------------- ------- -------
Over $400 million .630 .020 .650
- - ----------------------- -------------- ------- -------
</TABLE>
*Effective May 1, 1997 the amount payable to us is based on two components
consisting of (i) a declining percentage of total Program assets ranging
from 0.51% of the first $500 million to 0.45% of Program assets over $2
billion, and (ii) an annual charge per plan enrolled in the Program. The per
plan charge includes two components, an annual charge and an additional
charge for plan set-up. The maximum total per plan charge is currently $400.
The per plan charge will be adjusted for inflation. For the 12 months
beginning May 1, 1997, the Program expense charge is 0.630%. In addition,
the ADA assesses a Program expense charge to reimburse it for expenses it
incurs in connection with the Program. This charge equals 0.025% of the
first $400 million of Program assets as of January 31 of each year and
0.020% of such assets over $400 million. Currently, the portion paid to the
ADA has been reduced to 0.01% for all asset levels, but the charge could in
the future be increased to the levels set forth in the preceding sentence.
38
<PAGE>
For all Investment Options (other than the Guaranteed Rate Accounts),
including the Equity Index and Lifecycle Funds, the Program expense charge is
calculated based on Program assets on January 31 in each year, and is charged
at a monthly rate of 1/12 of the relevant annual charge. For a description of
the Program expense charge as it relates to the Guaranteed Rate Accounts,
please refer to our separate prospectus for the other Investment Options in
the Program.
The portion of the Program expense charge paid to Equitable Life is applied
toward the cost of maintenance of the Investment Options, promotion of the
Program, commissions, administrative costs, such as enrollment and answering
participant inquiries, and overhead expenses such as salaries, rent, postage,
telephone, travel, legal, actuarial and accounting costs, office equipment
and stationery. The ADA's part of this fee covers developmental and
administrative expenses incurred in connection with the Program. The Trustees
can direct Equitable Life to raise or lower the ADA's part of this fee to
reflect their expenses in connection with the Program. Currently, this fee
has been reduced to 0.01% for all asset value levels. During 1996, Equitable
received $7,203,202 and the ADA received $114,285 under the Program expense
charge then in effect.
ADMINISTRATION FEE
The computation of the Unit Values for the Equity Index and Lifecycle Funds
also reflects the deduction of charges for administration.
Equitable Life receives an administration fee at the annual rate of .15% of
assets held in the Equity Index and Lifecycle Funds. This fee covers the
costs related to providing administrative services in connection with the
offering of these Funds. Equitable Life maintains records for all portfolio
transactions and cash flow control, calculates Unit Values, and monitors
compliance with the New York Insurance Law in connection with these Funds.
OTHER EXPENSES BORNE DIRECTLY BY THE FUNDS
Certain costs and expenses are charged directly to the Equity Index Fund and
the Lifecycle Funds. These may include Securities and Exchange Commission
filing fees and certain related expenses including printing of SEC filings,
prospectuses and reports, mailing costs, financial accounting costs and
outside auditing and legal expenses. By agreement with the ADA Trustees,
Equitable Life imposes a charge at the annual rate of .03% of the value of
the respective assets of the Lifecycle Funds-Conservative and Moderate to
compensate it for additional legal, accounting and other potential expenses
resulting from the inclusion of the Lifecycle Fund Group Trusts and
Underlying Funds maintained by State Street among the Investment Options
described in this prospectus. All of these costs are included as "Other
Expenses" in the tables of Annual Fund Operating Expenses and Summary of Fund
Expenses.
The Equity Index Fund purchases and sells shares in the SSgA S&P 500 Index
Fund at net asset value. The net asset value reflects charges for investment
management, audit, legal, shareholder services, transfer agent and custodian
fees. For a description of charges and expenses assessed by the SSgA S&P 500
Index Fund, which are indirectly borne by the Equity Index Fund, please refer
to the prospectus for the SSgA S&P 500 Index Fund. In addition, the Lifecycle
Funds purchase and sell units of each Lifecycle Fund Group Trust at net asset
value, which reflects charges for management, administration and custodial
services, and other expenses incurred by the Lifecycle Fund Group Trusts, as
well as other expenses and custodial fees incurred by the Underlying Funds in
which each Lifecycle Fund Group Trust invests. See discussion below under
Deductions and Charges Related to the Lifecycle Fund Group Trusts and
Underlying Funds.
39
<PAGE>
PLAN AND TRANSACTION EXPENSES
ADA RETIREMENT PLAN, PROTOTYPE SELF-DIRECTED PLAN AND INDIVIDUALLY-DESIGNED
PLAN FEES
RECORD MAINTENANCE AND REPORT FEE. At the end of each calendar quarter, we
deduct a record maintenance and report fee from each participant's Account
Balance. This fee is
<TABLE>
<CAPTION>
<S> <C>
ADA Members Retirement Plan participants ..... $3 per quarter
Self-Directed Prototype Plan participants .... $3 per quarter
Participants in Pooled-Trust Arrangement ..... $1 per quarter
</TABLE>
ENROLLMENT FEE. The employer must pay us a non-refundable enrollment fee of
$25 for each participant enrolling under its plan. If we do not maintain
individual participant records under an individually-designed plan, the
employer is instead charged $25 for each plan or trust. If these charges are
not paid by the employer, the amount may be deducted from subsequent
contributions or from participants' Account Balances.
PROTOTYPE SELF-DIRECTED PLAN FEES. Employers who participate in our prototype
self-directed plan will incur additional fees not payable to us, such as
brokerage and administration fees.
INDIVIDUAL ANNUITY CHARGES
ANNUITY ADMINISTRATIVE CHARGE. If a participant elects a variable annuity
payment option, a $350 charge will usually be deducted from the amount used
to purchase the annuity to reimburse us for administrative expenses
associated with processing the application for the annuity and with issuing
each month's annuity payment. Annuities purchased from other providers may
also be subject to fees and charges. See Distributions From the Investment
Options and Benefit Payment Options for details.
PREMIUM TAXES. In certain jurisdictions, amounts used to purchase an annuity
are subject to a premium tax (rates currently range up to 5%). Taxes depend,
among other things, on your place of residence, applicable laws and the form
or annuity benefit you select. We will deduct any premium taxes based on your
place of residence at the time the annuity payments begin.
GENERAL INFORMATION ON FEES AND CHARGES
The fees and charges described above may be changed at any time by the mutual
consent of Equitable Life and the ADA. During 1996 we received total fees and
charges under the Program of $10,298,698.
40
<PAGE>
DEDUCTIONS AND CHARGES RELATED TO THE LIFECYCLE FUND
GROUP TRUSTS AND UNDERLYING FUNDS
In addition to the generally applicable Program fees and charges described
above, fees and charges imposed by State Street are deducted from the assets
of the Lifecycle Fund Group Trusts in which the Lifecycle Funds invest, or
the Underlying Funds in which the Lifecycle Fund Group Trusts invest. Fees
are paid to State Street for providing investment management services, and
custodial services, and for other expenses incurred in connection with
operating the Lifecycle Fund Group Trusts and the Underlying Funds.
INVESTMENT MANAGEMENT FEE. A fee equal to .17% of the average annual net
assets of each Lifecycle Fund Group Trust is paid to State Street for
providing investment management services to the Group Trusts. No fee is paid
to State Street for managing the assets of the Underlying Funds with respect
to investments made in such Fund by each Lifecycle Fund Group Trust. State
Street may receive fees for managing the assets of other collective
investment funds in which the Funds may invest on a temporary basis, and for
managing the mutual funds in which assets of the Underlying Funds may be
invested. State Street has agreed to reduce its management fee charged each
of the Lifecycle Fund Group Trusts to offset any management fees State Street
receives attributable to the Group Trusts' investment in such other
collective investment funds and mutual funds.
FIXED ADMINISTRATION FEE. A deduction is made from the assets of each
Lifecycle Fund Group Trust to compensate State Street for providing various
recordkeeping and accounting services to such Trust and for periodically
rebalancing the assets of each Trust to conform to the target percentage
weightings for the Trust. This fee is currently fixed at $11,100 per year for
each Group Trust.
OTHER EXPENSES. Certain costs and expenses are charged directly to the
Lifecycle Fund Group Trusts. These include legal and audit expenses and costs
related to providing educational and other materials to ADA Program
participants about the Lifecycle Fund investment options. In addition,
participants indirectly incur expenses for audit and custodial services
provided to the Underlying Funds and to the Russell 2000 Value and Growth
Funds. State Street serves as custodian to each of these Funds.
41
<PAGE>
FEDERAL INCOME TAX CONSIDERATIONS
Current federal income tax rules relating to adoption of the Program and
generally to distributions to participants under qualified retirement plans
are outlined briefly below. The rules relating to contributions are outlined
briefly in the SAI under Provisions of the ADA Plans. For purposes of this
outline we have assumed that you are not a participant in any other qualified
retirement plan. We have not attempted to discuss other current federal
income tax rules that govern participation, vesting, funding or prohibited
transactions, although some information on these subjects appears here and in
the SAI; nor do we discuss the reporting and disclosure or fiduciary
requirements of the Employee Retirement Income Security Act. In addition, we
do not discuss the effect, if any, of state tax laws that may apply. FOR
INFORMATION ON THESE MATTERS, WE SUGGEST THAT YOU CONSULT YOUR TAX ADVISOR.
ADOPTING THE PROGRAM
If you adopt an ADA Plan, you will not need IRS approval unless you adopt
certain provisions. We will tell you whether it is desirable for you to
submit your plan to the Internal Revenue Service for approval. If you make
such a submission, you will have to pay an IRS user's fee. The Internal
Revenue Service does not have to approve your adoption of the Pooled Trust.
INCOME TAXATION OF DISTRIBUTIONS TO QUALIFIED PLAN PARTICIPANTS
In this section, the word "you" refers to the plan participant.
Amounts distributed to a participant from a qualified plan are generally
subject to federal income tax as ordinary income when benefits are
distributed to you or your beneficiary. Generally speaking, only your
post-tax contributions, if any, are not taxed when distributed.
LUMP SUM DISTRIBUTIONS. If your benefits are distributed to you in a lump sum
after you have participated in the plan for at least five taxable years, you
may be able to use five-year averaging. Under this method, the tax on the
lump sum distribution is calculated separately from taxes on any other income
you may have during the year. The tax is calculated at ordinary income tax
rates in the year of the distribution, but as if it were your only income in
each of five years. The tax payable is the sum of the five years'
calculations. To qualify for five-year averaging, the distribution much
consist of your entire balance in the plan and must be made in one taxable
year of the recipient after you have attained age 59-1/2. Five-year averaging
is available only for one lump sum distribution.
If you were born before 1936, you may elect to have special rules apply to
one lump sum distribution. You may elect either ten-year averaging using 1986
rates or five-year averaging using then current rates. In addition, you may
elect separately to have the portion of your distribution attributable to
pre-1974 contributions taxed at a flat 20% rate.
Effective January 1, 2000, five year averaging on lump sum distributions may
no longer be used.
ELIGIBLE ROLLOVER DISTRIBUTIONS. Many types of distributions from qualified
plans are "eligible rollover distributions" that can be transferred directly
to another qualified plan or individual retirement arrangement ("IRA"), or
rolled over to another plan or IRA within 60 days of the receipt of the
distribution. If a distribution is an "eligible rollover distribution," 20%
mandatory federal income tax withholding will apply unless the distribution
is directly transferred to a qualified plan or IRA. See Eligible Rollover
Distributions and Federal Income Tax Withholding in the SAI for a more
detailed discussion.
42
<PAGE>
ANNUITY OR INSTALLMENT PAYMENTS. Each payment you receive is treated as
ordinary income except where you have a "cost basis" in the benefit. Your
cost basis is equal to the amount of your post-tax employee contributions,
plus any employer contributions you were required to include in gross income
in prior years. A portion of each annuity or installment payment you receive
will be excluded from gross income. If you (and your survivor) continue to
receive payments after your cost basis in the contract has been paid out, all
amounts will be taxable.
IN SERVICE WITHDRAWALS; HARDSHIP WITHDRAWALS. Some plans allow in-service
withdrawals of after-tax contributions. The portion of each in-service
withdrawal attributable to cost basis is received income tax-free. The
portion that is attributable to earnings will be included in your gross
income. Amounts contributed before January 1, 1987 to employer plans which on
May 5, 1986 permitted such withdrawals are taxable withdrawals only to the
extent that they exceed the amount of your cost basis. Other amounts are
treated as partly a return of cost basis with the remaining portion treated
as earnings. Amounts included in gross income under this rule may also be
subject to the additional 10% penalty tax on premature distributions
described below. In addition, 20% mandatory federal income tax withholding
may also apply.
PREMATURE DISTRIBUTIONS. You may be liable for an additional 10% penalty tax
on all taxable amounts distributed before age 59-1/2 unless the distribution
falls within a specified exception or is rolled over into an IRA or other
qualified plan.
The exceptions to the penalty tax include (a) distributions made on account
of your death or disability, (b) distributions beginning after separation
from service in the form of a life annuity or installments over your life
expectancy (or the joint lives or life expectancies of you and your
beneficiary), (c) distributions due to separation from active service after
age 55 and (d) distributions used to pay deductible medical expenses.
EXCESS DISTRIBUTIONS. There is a 15% excise tax on aggregated distributions
in excess of a threshold amount from qualified plans, IRAs and Section 403(b)
tax deferred annuities (even if those plans were maintained by unrelated
employers). For distributions to individual participants, this tax is
temporarily suspended for the years 1997, 1998 and 1999.
WITHHOLDING. In almost all cases, 20% mandatory income tax withholding will
apply to all "eligible rollover distributions" that are not directly
transferred to a qualified plan or IRA. If a distribution is not an eligible
rollover distribution, the recipient may elect out of withholding. The rate
of withholding depends on the type of distributions. See Eligible Rollover
Distributions and Federal Income Tax Withholding in the SAI. Under the Master
Plan, we will withhold the tax and send you the remaining amount. Under an
individually designed plan or our prototype self-directed plan that uses the
Pooled Trust for investment only, we will pay the full amount of the
distribution to the plan's trustee. The trustee is then responsible for
withholding federal income tax upon distributions to you or your beneficiary.
OTHER TAX CONSEQUENCES
Federal estate and gift and state and local estate, inheritance, and other
tax consequences of participation in the Program depend on the residence and
the circumstances of each participant or beneficiary. For complete
information on federal, state, local and other tax considerations, you should
consult a qualified tax advisor.
43
<PAGE>
MISCELLANEOUS
CHANGE OR DISCONTINUANCE OF THE PROGRAM. The group annuity contract has been
amended from time to time, and may be amended in the future. No future change
can affect annuity benefits in the course of payment. Provided certain
conditions are met, we may terminate the offer of any of the Investment
Options and offer new ones with different terms.
Our contract with the Trustees may be terminated by us or the ADA. If our
contract with the Trustees is terminated, we will not accept any further
contributions or perform recordkeeping functions after the date of
termination. At that time we would make arrangements with the Trustees as to
the disposition of the assets in the Investment Options we provide, subject
to the various restrictions related to investments in the Real Estate Fund,
Money Market Guarantee Account, and the Guaranteed Rate Accounts. For a
discussion of these restrictions, please refer to the prospectus for these
Investment Options. You may be able to continue to invest amounts in the
Investment Options we provide and elect payment of benefits through us if the
Trustees make arrangements with us.
AGREEMENT WITH STATE STREET. Equitable Life and State Street have entered
into an Agreement with respect to various administrative, procedural,
regulatory compliance and other matters relating to the availability of the
Lifecycle Fund Group Trusts and Underlying Funds in the ADA Program through
the Lifecycle Funds. The Agreement does not contain an expiration date and is
intended to continue in effect indefinitely. However, the Agreement provides,
among other things, that it may be terminated by Equitable Life upon three
months prior written notice to State Street, or by State Street upon six
months prior written notice to Equitable Life. In the event of a termination
of the Agreement, State Street has the right, upon four months' prior notice
to Equitable Life to require the redemption of all units of the Lifecycle
Fund Group Trusts held by the Lifecycle Funds. Should we receive notice of a
required redemption, we will advise you promptly in order to allow you
adequate time to transfer to one or more of the other Investment Options.
DISQUALIFICATION OF PLAN. If your plan is found not to qualify under the
Internal Revenue Code, we may return the plan's assets to the employer, as
the plan administrator or we may prevent plan participants from investing in
the separate accounts.
REPORTS. We send reports annually to employers showing the aggregate Account
Balances of all participants and information necessary to complete annual IRS
filings.
REGULATION. Equitable Life is subject to regulation and supervision by the
Insurance Department of the State of New York, which periodically examines
Equitable Life's affairs. Equitable Life also is subject to the insurance
laws and regulations of all jurisdictions in which it is authorized to do
business. This regulation does not, however, involve any supervision of the
investment policies of the Funds or of the selection of any investments
except to determine compliance with the law of New York. Equitable Life is
required to submit annual statements of its operations, including financial
statements, to the insurance departments of the various jurisdictions in
which it does business for purposes of determining solvency and compliance
with local insurance laws and regulations.
State Street is subject to supervision and examination by the Board of
Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, and the Massachusetts Commissioner of Banks.
LEGAL PROCEEDINGS. Both Equitable Life and State Street are separately
engaged in litigation of various kinds which, in the judgment of each
company, is not of material importance in relation to each company's total
assets. None of the litigation now in progress is expected to affect any
assets of the Equity Index Fund or the Lifecycle Funds, or the Lifecycle Fund
Group Trusts or the Underlying Funds in which the Group Trusts invest.
44
<PAGE>
ADDITIONAL INFORMATION. A registration statement relating to the offering
described in this prospectus has been filed with the Securities and Exchange
Commission under the Securities Act of 1933. Certain portions of the
Registration Statement have been omitted from this prospectus and the SAI
pursuant to the rules and regulations of the Commission. The omitted
information may be obtained by requesting a copy of the registration
statement from the Commission's principal office in Washington, D.C., and
paying the Commission's prescribed fees or by accessing the Securities and
Exchange Commission's Electronic Data Gathering, Analysis, and Retrieval
(EDGAR) system.
EXPERTS. The financial statements of Separate Account Nos. 195, 197 and 198
as of December 31, 1996 and for the two periods then ended included in the
SAI, the condensed financial information for Separate Account No. 195, 197
and 198 as of December 31, 1996 and 1995 included in this prospectus and the
financial statements of Equitable Life as of December 31, 1996 and 1995 and
for the three years ended December 31, 1996 included in the SAI, have been so
included in reliance upon the reports of Price Waterhouse LLP, independent
accountants, given on the authority of said firm as experts in auditing and
accounting.
For 1995 and 1996, the selected financial data included in the prospectus and
the audited financial statements included in the SAI for each of the
Underlying Funds, the Lifecycle Fund Group Trust--Conservative and the
Lifecycle Fund Group Trust--Moderate have been audited by Price Waterhouse
LLP, independent accountants, as stated in their reports that appear in the
SAI. The selected financial data included in the prospectus and the audited
financial statements have been so included in reliance upon the report of
Price Waterhouse LLP, independent accountants, given on the authority of said
firm as experts in auditing and accounting.
ACCEPTANCE. The employer or plan sponsor, as the case may be, is solely
responsible for determining whether the Program is a suitable funding vehicle
and should, therefore, carefully read the prospectus and other materials
before entering into a Participation Agreement.
45
<PAGE>
TABLE OF CONTENTS
OF STATEMENT OF ADDITIONAL INFORMATION
<TABLE>
<CAPTION>
PAGE
----------
<S> <C>
The Contracts........................................................... SAI-2
Your Responsibilities as Employer....................................... SAI-2
Procedures for Withdrawals, Distributions and Transfers................. SAI-3
Types of Benefits....................................................... SAI-5
Provisions of the Master Plan........................................... SAI-7
Additional Investment Policies and Techniques--The Underlying Funds .... SAI-11
Investment Restrictions................................................. SAI-14
How the Assets of the Funds Are Valued.................................. SAI-15
How the Assets of the Underlying Funds Are Valued....................... SAI-15
Transactions by the Underlying Funds.................................... SAI-17
Investment Management Fee............................................... SAI-17
Underwriter............................................................. SAI-18
Management.............................................................. SAI-19
Financial Statements.................................................... SAI-22
</TABLE>
CLIP AND MAIL TO US TO RECEIVE A
STATEMENT OF ADDITIONAL INFORMATION
- - ----------------------------------------------------------------------
To: The Equitable Life Assurance Society
of the United States
Box 2486 G.P.O.
New York, NY 10116
Please send me a copy of the Statement of Additional Information for the
American Dental Association Members Retirement Program Prospectus dated May
1, 1997 (State Street).
Name
- - -----------------------------------------------------------------------------
Address:
- - -----------------------------------------------------------------------------
- - -----------------------------------------------------------------------------
- - ----------------------------------------------------------------------
Copyright 1997 by The Equitable Life Assurance Society of the United States.
All rights reserved.
46
<PAGE>
- - -----------------------------------------------------------------------------
STATEMENT OF ADDITIONAL INFORMATION
- - -----------------------------------------------------------------------------
MAY 1, 1997
AMERICAN DENTAL ASSOCIATION
MEMBERS RETIREMENT PROGRAM
Separate Account Units of interest under a group annuity contract with THE
EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES, 1290 Avenue of the
Americas, New York, New York 10104, which funds the American Dental
Association Members Retirement Program. Toll-free tele-phone number
1-800-223-5790.
- - -----------------------------------------------------------------------------
This Statement of Additional Information is not a prospectus. It should be
read in conjunction with the prospectus dated May 1, 1997 for the American
Dental Association Members Retirement Program describing the Equity Index
Fund and the Lifecycle Funds--Conservative and Moderate.
A copy of the prospectus to which this Statement of Additional Information
relates is available at no charge by writing to The Equitable Life Assurance
Society of the United States ("Equitable Life"), at Box 2486 G.P.O., New
York, New York 10116 or by calling our toll-free telephone number.
The following information is contained primarily in the prospectus:
Investment Objectives and Policies
Investment Advisory Services
Certain of the cross references in this Statement of Additional Information
are contained in the prospectus dated May 1, 1997 to which this Statement of
Additional Information relates.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----------
<S> <C>
The Contracts................................. SAI-2
Your Responsibilities as Employer............. SAI-2
Procedures for Withdrawals, Distributions and
Transfers.................................... SAI-3
Pre-Retirement Withdrawals................... SAI-3
Benefit Distributions........................ SAI-3
Spousal Consent Requirements................. SAI-4
Eligible Rollover Distributions and
Federal Income Tax Withholding.............. SAI-5
Types of Benefits ............................ SAI-5
Provisions of the Master Plan ................ SAI-7
Plan Eligibility Requirements................ SAI-7
Contributions to Qualified Plans............. SAI-7
Contributions to the Master Plan............. SAI-7
Allocation of Contributions ................ SAI-9
The Master Plan and Section 404(c)
of ERISA.................................... SAI-9
Vesting .................................... SAI-9
Additional Investment Policies and
Techniques--The Underlying Funds ............ SAI-11
Investment Restrictions ...................... SAI-14
How the Assets of the Funds are Valued ....... SAI-15
How the Assets of the Underlying Funds are
Valued ...................................... SAI-15
Transactions by the Underlying Funds ......... SAI-17
Investment Management Fee..................... SAI-17
Underwriter................................... SAI-18
Management.................................... SAI-19
Financial Statements.......................... SAI-22
<FN>
- - ------------
Copyright 1997 by The Equitable Life Assurance Society of The United States.
All rights reserved.
</TABLE>
<PAGE>
ADDITIONAL INFORMATION ABOUT THE PROGRAM
THE CONTRACTS
The Program is primarily funded through a group annuity contract issued to
the Trustees by Equitable Life. The contract governs the Investment Options
that are provided by Equitable Life under the Program. The Trustees hold this
contract for the benefit of employers and participants in the Program.
In addition, the Trustees and Equitable Life have entered into an
administrative services agreement that governs Equitable Life's duties
relating to administrative support, recordkeeping and marketing for the
Program. This agreement would under most circumstances terminate at the same
time as the group annuity contract.
YOUR RESPONSIBILITIES AS EMPLOYER
If you adopt the Master Plan, you as the employer and plan administrator will
have certain responsibilities, including:
o sending us your contributions at the proper time and in the proper
format;
o maintaining all personnel records necessary for administering your
plan;
o determining who is eligible to receive benefits;
o forwarding to us all the forms your employees are required to submit;
o distributing summary plan descriptions and participant annual reports
to your employees and former employees;
o distributing our prospectuses and confirmation notices to your
employees and, in some cases, former employees;
o filing an annual information return for your plan with the Internal
Revenue Service, if required;
o providing us the information with which to run special
non-discrimination tests, if you have a 401(k) plan or your plan
accepts post-tax employee or employer matching contributions;
o determining the amount of all contributions for each participant in the
plan;
o forwarding salary deferral and post-tax employee contributions to us;
o selecting interest rates and monitoring default procedures if you elect
the loan provision in your plan; and
o providing us with written instructions for allocating amounts in the
plan's forfeiture account.
SAI-2
<PAGE>
If you, as an employer, have an individually designed plan, your
responsibilities will not be increased in any way by your adoption of the
Pooled Trust for investment only. If you adopt our self-directed prototype
plan, you will be completely responsible for administering the plan and
complying with all of the reporting and disclosure requirements applicable to
qualified plans, with the assistance of the recordkeeper of your choice.
We will give you guidance and assistance in the performance of your
responsibilities. The ultimate responsibility, however, rests with you. If
you have questions about any of your obligations, you can contact Equitable
Life's Account Executives at 1-800-223-5790 or write to us at Box 2486
G.P.O., New York, New York 10116.
PROCEDURES FOR WITHDRAWALS, DISTRIBUTIONS AND TRANSFERS
PRE-RETIREMENT WITHDRAWALS. Under the Master Plan, self-employed persons may
generally not receive a distribution prior to age 59 1/2, and employees may
generally not receive a distribution prior to separation from service.
However, if your employer maintains the Master Plan as a profit sharing plan,
you may request distribution of benefits after you reach age 59 1/2 even if
you are still working. If your employer maintains the Master Plan as a 401(k)
plan and you are under age 59 1/2, you may withdraw your own 401(k)
contributions only if you can demonstrate financial hardship within the
meaning of applicable Income Tax Regulations. Each withdrawal must be at
least $1,000 (or, if less, your entire Account Balance or the amount of your
hardship withdrawal under a 401(k) plan). If your employer terminates the
plan, all amounts (subject to GRA restrictions) may be distributed to
participants at that time.
You may withdraw all or part of your Account Balance under the Master Plan
attributable to post-tax employee contributions at any time, subject to any
withdrawal restrictions applicable to the Investment Options, provided that
you withdraw at least $300 at a time (or, if less, your Account Balance
attributable to post-tax employee contributions). See Federal Income Tax
Considerations in the prospectus.
All benefit payments (including withdrawals due to plan terminations) will be
paid in accordance with the rules described below under Benefit
Distributions. All other withdrawals will be effected as of the close of
business on the day we receive the properly completed form.
If you are married, your spouse must consent in writing before you can make
any type of withdrawal. See Spousal Consent Requirements below.
Under the self-directed prototype plan you may receive a distribution upon
attaining normal retirement age as specified in the plan, or upon separation
from service. If your employer maintains the self-directed prototype plan as
a profit sharing plan, an earlier distribution of funds that have accumulated
after two years is available if you incur a financial hardship, as defined in
the plan. In addition, if you are married, your spouse may have to consent in
writing before you can make any type of withdrawal, except for the purchase
of a Qualified Joint and Survivor Annuity. See Spousal Consent Requirements
below.
Under an individually designed plan, the availability of pre-retirement
withdrawals depends on the terms of the plan. We suggest that you ask your
employer what types of withdrawals are available under your plan.
Transfers from the Equity Index Fund and the Lifecycle Funds--Conservative
and Moderate are permitted daily except under infrequent circumstances when
they may be subject to a delay.
BENEFIT DISTRIBUTIONS. In order for you to begin receiving benefits under the
Master Plan, your employer must send us your properly completed Election of
Benefits form and, if applicable, Beneficiary Designation
SAI-3
<PAGE>
form. If we receive your properly completed forms on or before the 15th of
the month, your benefits will commence as of the close of business on the
first business day of the next month; if your forms arrive after the 15th,
your benefits will commence as of the close of business on the first business
day of the second following month.
Under an individually designed plan and our self-directed prototype plan,
your employer must send us a request for disbursement form. We will send
single sum payments to your plan's trustee as of the close of business on the
day we receive a properly completed form. If you wish to receive annuity
payments, your plan's trustee may purchase a variable annuity contract from
us. Fixed annuities are available from insurance companies selected by the
Trustees. See Types of Benefits. Annuity payments will be paid directly to
you and will commence as of the close of business on the first business day
of the next month if we receive your properly completed forms on or before
the 15th of the month. If we receive your properly completed forms after the
15th, annuity payments will commence as of the close of business on the first
business day of the second following month.
Transfers and withdrawals from the Equity Index Fund may be deferred if there
is any delay in redemption of shares of the SSgA S&P 500 Index Fund. We
generally do not expect any such delays.
Transfers and withdrawals from the Lifecycle Funds--Conservative and Moderate
may be deferred if there is any delay in redemption of units of the Lifecycle
Fund Group Trusts. We generally do not expect any such delays.
Please note that we use the value of your vested benefits at the close of
business on the day payment is due to determine the amount of benefits you
receive. We will not, therefore, begin processing your check until the
following business day. You should expect your check to be mailed within five
days after processing begins. Annuity checks can take longer. If you buy a
fixed annuity, your check will come from the company you selected. If you are
withdrawing more than $50,000 and you would like expedited delivery at your
expense, you may request it on your election of benefits form.
Distributions under a qualified retirement plan such as yours are subject to
extremely complicated legal requirements. When you are ready to retire, we
suggest that you discuss the available payment options with your employer or
financial advisor. Our Account Executives can provide you or your employer
with information.
SPOUSAL CONSENT REQUIREMENTS. Under the Master Plan and the self-directed
prototype plan, you may designate a non-spouse beneficiary any time after the
earlier of the first day of the plan year in which you attain age 35 or the
date on which you separate from service with your employer. If you designate
a beneficiary other than your spouse prior to your reaching age 35, your
spouse must consent to the designation and, upon your reaching age 35, must
again give his or her consent or the designation will lapse. In order for you
to make a withdrawal, elect a form of benefit other than a Qualified Joint
and Survivor Annuity or designate a non-spouse beneficiary, your spouse must
consent to your election in writing within the 90 day period before your
annuity starting date. To consent, your spouse must sign on the appropriate
line on your election of benefits or beneficiary designation form. Your
spouse's signature must be witnessed by a notary public or plan
representative.
If you change your mind, you may revoke your election and elect a Qualified
Joint and Survivor Annuity or designate your spouse as beneficiary, simply by
filing the appropriate form. Your spouse's consent is not required for this
revocation.
It is also possible for your spouse to sign a blanket consent form. By
signing this form, your spouse consents not just to a specific beneficiary or
form of distribution, but gives you the right to name any beneficiary, or
SAI-4
<PAGE>
if applicable, form of distribution you want. Once you file such a form, you
may change your election whenever you want, even without spousal consent. No
spousal consent to a withdrawal or benefit in a form other than a Qualified
Joint and Survivor Annuity is required under certain self-directed and
individually designed profit sharing plans that do not offer life annuity
benefits.
ELIGIBLE ROLLOVER DISTRIBUTIONS AND FEDERAL INCOME TAX WITHHOLDING. All
"eligible rollover distributions" are subject to mandatory federal income tax
withholding of 20% unless the Participant elects to have the distribution
directly rolled over to a qualified plan or individual retirement arrangement
(IRA). An "eligible rollover distribution" is any distribution that is not
one of a series of substantially equal periodic payments made (not less
frequently than annually) (1) for the life (or life expectancy) of the plan
Participant or the joint lives (or joint life expectancies) of the plan
Participant and his or her designated beneficiary, or (2) for a specific
period of 10 years or more. In addition, the following are not subject to
mandatory 20% withholding:
o certain corrective distributions under Internal Revenue Code (Code)
Section 401(k) plans;
o certain loans that are treated as distributions; and
o a distribution to a beneficiary other than to a surviving spouse or a
current or former spouse under a qualified domestic relations order.
If a distribution is made to a Participant's surviving spouse, or to a
current or former spouse under a qualified domestic relations order, the
distribution may be an eligible rollover distribution, subject to mandatory
20% withholding, unless one of the exceptions described above applies.
If a distribution is not an "eligible rollover distribution" income tax will
be withheld from all taxable payments unless the recipient elects not to have
income tax withheld.
TYPES OF BENEFITS
Under the Master Plan, and under most self-directed prototype plans, except
as provided below, you may select one or more of the following forms of
distribution once you are eligible to receive benefits. Please see Benefit
Distributions under Procedures for Withdrawals, Distributions and Transfers.
Not all of these distribution forms may be available to you, if your employer
has adopted an individually designed plan or a self-directed prototype profit
sharing plan that does not offer annuity benefits. We suggest you ask your
employer what types of benefits are available under your plan.
Fixed annuities are available from insurance companies selected by the
Trustees, which meet criteria established by the Trustees from time to time.
Fixed annuities are currently not available from Equitable Life. The types of
fixed annuity benefits described below will be available through one or more
of such companies. Upon your request, the companies will provide annuity
benefit information. We will have no further responsibility for the amount
used to purchase the annuity once it has been sent to the insurance company
you select. The cost of a fixed annuity is determined by each insurance
company based on its current annuity purchase rates. The amount of your
monthly annuity benefit will depend on the type of annuity selected, your age
and the age of your beneficiary if you select a joint and survivor annuity.
An Equitable Life Account Executive has more details regarding the insurance
companies currently providing annuity benefits under the Program.
QUALIFIED JOINT AND SURVIVOR ANNUITY. An annuity providing equal monthly
payments for your life and, after your death, for your surviving spouse's
life. No payments will be made after you and your spouse die, even if you
have received only one payment. THE LAW REQUIRES THAT IF THE VALUE OF YOUR
VESTED BENEFITS
SAI-5
<PAGE>
EXCEEDS $3,500, YOU MUST RECEIVE A QUALIFIED JOINT AND SURVIVOR ANNUITY
UNLESS YOUR SPOUSE CONSENTS IN WRITING TO A CONTRARY ELECTION. Please see
Spousal Consent Requirements under Procedures for Withdrawals, Distributions
and Transfers for an explanation of the procedures for electing not to
receive a Qualified Joint and Survivor Annuity.
LUMP SUM PAYMENT. A single payment of all or part of your vested benefits. If
you take a lump sum payment of only part of your balance, it must be at least
$1,000. IF YOUR VESTED BENEFIT IS $3,500 OR LESS, YOU WILL RECEIVE A LUMP SUM
PAYMENT OF THE ENTIRE AMOUNT.
PERIODIC INSTALLMENTS. Monthly, quarterly, semi-annual or annual payments
over a period of at least three years, where the initial payment on a monthly
basis is at least $300. You can choose either a time-certain payout, which
provides variable payments over a specified period of time, or a
dollar-certain payout, which provides level payments over a variable period
of time. During the installment period, your remaining Account Balance will
be invested in whatever Options you designate, other than the Real Estate
Fund; each payment will be drawn pro rata from all the Options you have
selected. If you die before receiving all the installments, we will make the
remaining payments to your beneficiary. Except in the case of participant
accounts transferred from defined contribution plans, we do not offer
installments for benefits under the individually designed plans or our
self-directed prototype plan. For special conditions applying to installment
payments involving the Real Estate Fund and the Guaranteed Rate Accounts,
please refer to the prospectus and SAI for these options.
LIFE ANNUITY. An annuity providing monthly payments for your life. No
payments will be made after your death, even if you have received only one
payment.
LIFE ANNUITY--PERIOD CERTAIN. An annuity providing monthly payments for your
life or, if longer, a specific period of time. If you die before the end of
that specified period, payments will continue to your beneficiary until the
end of the period. Subject to legal limitations, you may specify a minimum
payment period of 5, 10, 15 or 20 years; the longer the specified period, the
smaller the monthly payments will be.
JOINT AND SURVIVOR ANNUITY. An annuity providing monthly payments for your
life and that of your beneficiary. You may specify the percentage of the
annuity payment to be made to your beneficiary. Subject to legal limitations,
that percentage may be 100%, 75%, 50%, or any other percentage you specify.
JOINT AND SURVIVOR ANNUITY--PERIOD CERTAIN. An annuity providing monthly
payments for your life and that of your beneficiary or, if longer, a
specified period of time. If you and your beneficiary both die before the end
of the specified period, payments will continue to your contingent
beneficiary until the end of the period. Subject to legal limitations, you
may specify a minimum payment period of 5, 10, 15 or 20 years and the
percentage of the annuity payment to be made to your beneficiary (as noted
above under Joint and Survivor Annuity); the longer the specified period, the
smaller the monthly payments will be.
CASH REFUND ANNUITY. An annuity providing equal monthly payments for your
life with a guarantee that the sum of those payments will be at least equal
to the portion of your vested benefits used to purchase the annuity. If upon
your death the sum of the monthly payments to you is less than that amount,
your beneficiary will receive a lump sum payment of the remaining guaranteed
amount.
Under a Qualified Joint and Survivor Annuity or a Cash Refund Annuity, the
amount of the monthly payments is fixed at retirement and remains level
throughout the distribution period. Under the Life Annuity, Life
Annuity--Period Certain, Joint and Survivor Annuity and Joint and Survivor
Annuity--Period Certain, you may select either fixed or variable payments.
All forms of variable annuity benefits under the Program will be provided by
us. The payments under variable annuity options reflect the investment
performance of the Growth Equity Fund. If you are interested in a variable
annuity, when you are ready to select your benefit please call an Equitable
Life Account Executive for the variable annuity prospectus supplement.
SAI-6
<PAGE>
PROVISIONS OF THE MASTER PLAN
PLAN ELIGIBILITY REQUIREMENTS. Under the Master Plan, the employer specifies
the eligibility requirements for its plan in the Participation Agreement. The
employer may exclude any employee who has not attained a specified age (not
to exceed 21) and completed a specified number of years (not to exceed two)
in each of which he completed 1,000 hours of service. No more than one year
of eligibility service may be required for a 401(k) arrangement.
The employer may also exclude salaried dentists (those with no ownership
interest in the practice), employees of related employers, leased employees
and certain other types of employees at the employer's election, provided
such exclusion does not cause the plan to discriminate in favor of "highly
compensated" employees (defined below). The Master Plan provides that a
partner or shareholder may, upon commencement of employment or upon first
becoming eligible to participate in any qualified plan of the employer, make
a one-time irrevocable election not to participate in the plan or to make a
reduced contribution. This election applies to all plans of the employer, now
and in the future, and should be discussed with your tax advisor.
CONTRIBUTIONS TO QUALIFIED PLANS. Current federal income tax rules relating
to contributions under qualified retirement plans are outlined briefly below.
For purposes of this outline we have assumed that you are not a participant
in any other qualified retirement plan.
The employer's contributions to the plan are deductible in the year for which
they are made. As a general rule, employer contributions must be made for any
year by the due date (including extensions) for filing the employer's federal
income tax return for that year. However, under Department of Labor rules
participants' salary deferrals under a 401(k) plan must be contributed by the
employer as soon as practicable after the payroll period for which the
deferral is made, but no later than the 15th business day of the month
following the month in which participant contributions are withheld or
received by the employer.
If the employer contributes more to the plan than is deductible under the
rules described below, the employer may be liable for a 10% penalty tax on
that nondeductible amount and may risk disqualifying the plan.
CONTRIBUTIONS TO THE MASTER PLAN. The employer makes annual contributions to
its plan based on the plan's provisions.
An employer that adopts the Master Plan as a profit sharing plan makes
contributions in discretionary amounts to be determined annually. The
aggregate employer contribution to the plan, including participants' salary
deferrals under a 401(k) arrangement, is limited to 15% of all participants'
compensation for the plan year. For plan purposes, compensation for
self-employed persons does not include deductible plan contributions made on
behalf of the self-employed person.
A 401(k) arrangement is available as part of the profit sharing plan. Under a
401(k) arrangement, employees are permitted to make contributions to the plan
on a pre-tax basis. The maximum amount that may be contributed by highly
compensated employees is limited depending upon the amount that is
contributed by non-highly compensated employees and the amount the employer
designates as a nonforfeitable 401(k) contribution. In 1997, "highly
compensated" employee for this purpose is (a) an owner of more than 5% of the
practice, or (b) anyone with earnings of more than $80,000 from the practice
in 1996. For (b), the employer may elect to include only employees in the
highest paid 20%. In any event, the maximum amount each employee may defer is
limited to $9,500 for 1997 reduced by that employee's salary reduction
contributions to simplified employee pension (SEPs), employee contributions
to tax deferred (Section 403(b)) annuities, and contributions deductible by
the employee under a trust described under Section 501(c)(18) of the Code.
The maximum amount a participant may defer in a SIMPLE 401(k) plan for 1997
is $6,000.
SAI-7
<PAGE>
If the employer adopts the Master Plan as a defined contribution pension
plan, its contribution is equal to the percentage of each participant's
compensation that is specified in the Participation Agreement.
Under either type of plan, compensation in excess of $160,000 must be
disregarded in making contributions. Contributions may be integrated with
Social Security which means that contributions with respect to each
participant's compensation in excess of the integration level may exceed
contributions made with respect to compensation below the integration level,
within limits imposed by the Code. Your Account Executive can help you
determine the legally permissible contribution.
Contributions on behalf of non-key employees must be at least 3% of
compensation (or, under the profit sharing plan, the percentage contributed
on behalf of key employees, if less than 3%). In 1997, a "key employee" means
(a) an owner of one of the ten largest (but more than 1/2%) interests in the
practice with earnings of more than $30,000, or (b) an officer of the
practice with earnings of more than $62,500 or (c) an owner of more than 5%
of the practice, or (d) an owner of more than 1% of the practice with
earnings of more than $150,000. For purposes of (a), no more than 50
employees (or, if less, the greater of three or 10% of the employees) shall
be treated as officers.
Certain plans may also permit participants to make post-tax contributions. We
will maintain a separate account to reflect each participant's post-tax
contributions and the earnings (or losses) thereon. Post-tax contributions
are now subject to complex rules under which the maximum amount that may be
contributed by highly compensated employees is limited, depending on the
amount contributed by non-highly compensated employees. BEFORE PERMITTING ANY
HIGHLY-COMPENSATED EMPLOYEE TO MAKE POST-TAX CONTRIBUTIONS, THE EMPLOYER
SHOULD MAKE SURE THAT ALL NON-DISCRIMINATION TESTS HAVE BEEN PASSED. If an
employer employs only "highly compensated" employees (as defined above),
post-tax contributions may not be made to the plan. In addition, the employer
may make matching contributions to certain plans, i.e., contributions which
are based upon the amount of post-tax or pre-tax 401(k) contributions made by
plan participants. Special non-discrimination rules apply to matching
contributions and may limit the amount of matching contributions that may be
made on behalf of highly compensated employees.
Contributions on behalf of each participant are limited to the lesser of
$30,000 and 25% of his earnings (excluding, in the case of self-employed
persons, all deductible plan contributions). The participant's post-tax
contributions are taken into account for purposes of applying this
limitation.
Each participant's Account Balance equals the sum of the amounts accumulated
in each Investment Option. We will maintain separate records of each
participant's interest in each of the Investment Options attributable to
employer contributions, 401(k) non-elective contributions, 401(k) elective
contributions, post-tax employee contributions and employer matching
contributions. Any amounts rolled over from the plan of a previous employer
will also be accounted for separately. Our records will also reflect each
participant's percentage of vesting (see below) in his Account Balance
attributable to employer contributions and employer matching contributions.
The participant will receive an individual confirmation of each transaction
(including the deduction of record maintenance and report fees). The
participant will also receive an annual statement showing his Account Balance
in each Investment Option attributable to each type of contribution. Based on
information supplied by you, we will run the required special
non-discrimination test (Actual Deferral Percentage and Actual Contribution
Percentage) applicable to 401(k) plans and plans that accept post-tax
employee contributions or employer matching contributions.
SAI-8
<PAGE>
Non-discrimination tests do not apply to SIMPLE 401(k) plans, as long as the
employer makes a matching contribution equal to 100% of the amount deferred
by each participant, up to 3% of compensation or a 2% non-elective
contribution to all eligible employees and follows the notification and
filing requirements outlined in the SIMPLE 401(k) model amendment to the
Master Plan.
Elective deferrals to a 401(k) plan are subject to applicable FICA (social
security), Medicare tax and FUTA (unemployment) taxes. They may also be
subject to state income tax.
ALLOCATION OF CONTRIBUTIONS. Contributions may be allocated among any number
of the Investment Options. Allocation instructions may be changed at any
time, and as often as needed, by filing a Change of Investment Allocation
form or by calling the AIM System. New instructions become effective on the
business day we receive them. Employer contributions may be allocated in
different percentages than employee contributions. The allocation percentages
elected for employer contributions will automatically apply to any 401(k)
qualified non-elective contributions, qualified matching contributions and
matching contributions. The allocation percentages for employee contributions
will automatically apply to any post-tax employee contributions and 401(k)
salary deferral contributions. IF WE HAVE NOT RECEIVED VALID INSTRUCTIONS, WE
WILL ALLOCATE CONTRIBUTIONS TO THE MONEY MARKET GUARANTEE ACCOUNT.
THE MASTER PLAN AND SECTION 404(C) OF ERISA. The Master Plan is a participant
directed individual account plan designed to comply with the requirements of
Section 404(c) of ERISA. Section 404(c) of ERISA, and the related Department
of Labor (DOL) regulation, provide that if a participant or beneficiary
exercises control over the assets in his or her plan account, plan
fiduciaries will not be liable for any loss that is the direct and necessary
result of the participant's or beneficiary's exercise of control. This means
that if the Employer Plan complies with Section 404(c), participants can make
and are responsible for the results of their own investment decisions.
Section 404(c) plans must, among other things, make a broad range of
investment choices available to Participants and beneficiaries and must
provide them with enough information to make informed investment decisions.
The ADA Program provides the broad range of investment choices and
information that are needed in order to meet the requirements of Section
404(c). Our suggested summary plan descriptions, annual reports,
prospectuses, and confirmation notices provide the required investment
information; it is the employer's responsibility, however, to see that this
information is distributed in a timely manner to participants and
beneficiaries. You should read this information carefully before making your
investment decisions.
VESTING. Vesting refers to the nonforfeitable portion of a participant's
Account Balance attributable to employer contributions under the Master Plan.
The participant's Account Balance attributable to 401(k) contributions
(including salary deferral, qualified non-elective and qualified matching
contributions), post-tax employee contributions and to rollover contributions
is nonforfeitable at all times.
A participant will become fully vested in all benefits if still employed at
death, disability, attainment of normal retirement age or upon termination of
the plan. If the participant terminates employment before that time, any
benefits that have not yet become vested under the plan's vesting schedule
will be forfeitable. The normal retirement age is 65 under the Master Plan.
SAI-9
<PAGE>
Benefits must vest in accordance with any of the schedules below or one at
least as favorable to participants:
<TABLE>
<CAPTION>
SCHEDULE A SCHEDULE B SCHEDULE C
YEARS OF VESTED VESTED VESTED
SERVICE PERCENTAGE PERCENTAGE PERCENTAGE
- - ---------- ------------ ------------ ------------
<S> <C> <C> <C>
1 0% 0% 0%
2 100 20 0
3 100 40 100
4 100 60 100
5 100 80 100
6 100 100 100
</TABLE>
If the plan requires more than one year of service for participation, it must
use Schedule A or one at least as favorable to participants.
All contributions to a SIMPLE 401(k) plan are 100% vested and not subject to
the vesting schedule above. This does not include employer and matching
contributions made to a plan before amending to a SIMPLE 401(k) plan.
SAI-10
<PAGE>
ADDITIONAL INVESTMENT POLICIES AND TECHNIQUES -- THE UNDERLYING FUNDS
The following discussion supplements the discussion of the investment
policies and techniques of the Underlying Funds for the Lifecycle Fund Group
Trusts included under the section entitled Investment Options in the
prospectus. Also discussed hereunder are the investment restrictions
applicable to investments made by such Underlying Funds. As a general matter,
you should note that the Flagship Fund, the 2000 Fund, and the Daily EAFE
Fund are index funds and, therefore, not "actively" managed like other
collective investment funds. Each of these Underlying Funds utilizes a
"passive" investment approach, attempting to duplicate the investment
performance of its benchmark index through automated statistical analytic
procedures. See the section of the prospectus entitled Investment
Options--Risks and Investment Techniques for further discussion of this
method of management. Therefore, some of the policies and investment
techniques discussed below may not be engaged in to the same extent as if the
Underlying Funds were actively managed.
U.S. GOVERNMENT SECURITIES. The Underlying Funds may invest in securities
issued or guaranteed by the U.S. Government or its agencies or
instrumentalities, which include U.S. Treasury securities that differ in
their interest rates, maturities and times of issuance. Treasury Bills have
initial maturities of one year or less; Treasury Notes have initial
maturities of one to ten years; and Treasury Bonds generally have initial
maturities of greater than ten years. Some obligations issued or guaranteed
by U.S. Government agencies and instrumentalities are supported by the full
faith and credit of the U.S. Treasury; others, by the right of the issuer to
borrow from the Treasury; others, by discretionary authority of the U.S.
Government to purchase certain obligations of the agency or instrumentality;
and others, only by the credit of the agency or instrumentality. These
securities bear fixed, floating or variable rates of interest. Principal and
interest may fluctuate based on generally recognized reference rates or the
relationship of rates. While the U.S. Government provides financial support
to such U.S. Government-sponsored agencies or instrumentalities, no assurance
can be given that it will always do so, since it is not so obligated by law.
FOREIGN GOVERNMENT OBLIGATIONS; SECURITIES OF SUPRANATIONAL ENTITIES.
Certain of the Underlying Funds may invest in obligations issued or
guaranteed by one or more foreign governments or any of their political
subdivisions, agencies or instrumentalities that are determined by State
Street to be of comparable quality to the other obligations in which such
Underlying Fund may invest. Such securities also include debt obligations of
supranational entities. Supranational entities include international
organizations designated or supported by governmental entities to promote
economic reconstruction or development and international banking institutions
and related government agencies. The percentage of such Underlying Fund's
assets invested in securities issued by foreign governments will vary
depending on the relative yields of such securities, the economic and
financial markets of the countries in which the investments are made and the
interest rate climate of such countries.
BANK OBLIGATIONS. The Underlying Funds may invest in bank obligations,
including certificates of deposit, time deposits, bankers' acceptances and
other short-term obligations of domestic banks, foreign subsidiaries of
domestic banks, foreign branches of domestic banks, and domestic and foreign
branches of foreign banks, domestic savings and loan associations and other
banking institutions. With respect to such securities issued by foreign
branches of domestic banks, foreign subsidiaries of domestic banks, and
domestic and foreign branches of foreign banks, such Underlying Fund may be
subject to additional investment risks that are different in some respects
from those incurred by a fund which invests only in debt obligations of U.S.
domestic issuers. These risks include possible future political and economic
developments, the possible imposition of foreign withholding taxes on
interest income payable on the securities, the possible establishment of
exchange controls or the adoption of other foreign governmental restrictions
which might adversely affect the payment of principal and interest on these
securities and the possible seizure or nationalization of foreign deposits.
SAI-11
<PAGE>
Certificates of deposit are negotiable certificates evidencing the
obligation of a bank to repay funds deposited with it for a specified period
of time.
Time deposits are non-negotiable deposits maintained in a banking institution
for a specified period of time at a stated interest rate. Time deposits which
may be held by such Underlying Fund will not benefit from insurance
administered by the Federal Deposit Insurance Corporation.
Bankers' acceptances are credit instruments evidencing the obligation of a
bank to pay a draft drawn on it by a customer. These instruments reflect the
obligation both of the bank and the drawer to pay the face amount of the
instrument upon maturity. The other short-term obligations may include
uninsured, direct obligations, bearing fixed, floating or variable interest
rates.
COMMERCIAL PAPER AND OTHER SHORT-TERM CORPORATE OBLIGATIONS. The Underlying
Funds may invest in commercial paper. Commercial paper is short-term,
unsecured promissory notes issued to finance short-term credit needs. Any
commercial paper in which such Underlying Fund invests will consist only of
direct obligations which, at the time of their purchase, are (a) rated not
lower than Prime-1 by Moody's Investor Service ("Moody's"), A-1 by S&P, or
any equivalent rating by any other nationally recognized statistical rating
organization, (b) issued by companies having an outstanding unsecured debt
issue currently rated not lower than Aa3 by Moody's or AA-by S&P, or any
equivalent rating by any other nationally recognized statistical rating
organization, or (c) if unrated, determined by State Street to be of
comparable quality to those rated obligations which may be purchased by such
Underlying Fund.
REPURCHASE AGREEMENTS. The Underlying Funds may enter into repurchase
agreements. Repurchase agreements involve the acquisition of an underlying
debt instrument, subject to an obligation of the seller to repurchase, and to
resell, the instrument at a fixed price usually not more than one week after
its purchase. Certain costs may be incurred by an Underlying Fund in
connection with the sale of the securities if the seller does not repurchase
them in accordance with the repurchase agreement. In addition, if bankruptcy
proceedings are commenced with respect to the seller of the securities,
realization on the securities by an Underlying Fund may be delayed or
limited. Each Underlying Fund will consider on an ongoing basis the
creditworthiness of the institutions with which it enters into repurchase
agreements.
FLOATING AND VARIABLE RATE OBLIGATIONS. An Underlying Fund may purchase
floating and variable rate demand notes and bonds, which are obligations
ordinarily having stated maturities in excess of 13 months. Generally, the
lender may demand repayment, and the borrower has a right to repay the loan
prior to maturity. The interest rate generally fluctuates based on a
published rate such as a bank's prime rate. Because these obligations are
direct lending arrangements between the lender and borrower, it is not
contemplated that such instruments generally will be traded, and there
generally is no established secondary market for these obligations, although
they are redeemable at face value. Accordingly, where the obligations are not
secured by letters of credit or other credit support arrangements, the
Underlying Fund's right to redeem is dependent on the ability of the borrower
to pay principal and interest on demand.
AMERICAN, EUROPEAN AND CONTINENTAL DEPOSITARY RECEIPTS. An Underlying Fund
may invest in the securities of foreign issuers in the form of American
Depositary Receipts ("ADRs") and European Depositary Receipts ("EDRs"). These
securities may not necessarily be denominated in the same currency as the
securities into which they may be converted. ADRs are receipts typically
issued by a United States bank or trust company which evidence ownership of
underlying securities issued by a foreign corporation. EDRs, which are
sometimes referred to as Continental Depositary Receipts ("CDRs"), are
receipts issued in Europe typically by non-United States banks and trust
companies that evidence ownership of either foreign or domestic securities.
SAI-12
<PAGE>
FUTURES CONTRACTS. To the extent permitted by applicable regulations, an
Underlying Fund is permitted to use financial futures as a substitute for a
comparable market position in the underlying securities.
An Underlying Fund may trade futures contracts in U.S. domestic markets or,
to the extent permitted under applicable law, on exchanges located outside
the United States.
A stock index future obligates the seller to deliver (and the purchaser to
take), effectively, an amount of cash equal to the difference between the
value of a specific stock index at the close of the last trading day of the
contract and the price at which the agreement is made. With respect to stock
indexes that are permitted investments, each Underlying Fund intends to
purchase and sell futures contracts on the stock index for which it can
obtain the best price, with consideration also given to liquidity.
Initially, when purchasing or selling futures contracts, an Underlying Fund
will be required to deposit with its custodian in the broker's name an amount
of cash or cash equivalents up to approximately 10% of the contract amount,
which is returned to the Fund upon termination. This amount is subject to
change. Subsequent payments to and from the broker will be made daily as the
price of the index or securities underlying the futures contract fluctuates.
Although an Underlying Fund intends to purchase or sell futures contracts
only if there is an active market for such contracts, no assurance can be
given that a liquid market will exist for any particular contract at any
particular time. Many futures exchanges and boards of trade limit the amount
of fluctuation permitted in futures contract prices during a single trading
day. Once the daily limit has been reached in a particular contract, no
trades may be made that day at a price beyond that limit or trading may be
suspended for specified periods during the trading day. Futures contract
prices could move to the limit for several consecutive trading days with
little or no trading, thereby preventing prompt liquidation of futures
positions and potentially subjecting the relevant Underlying Fund to
substantial losses.
INTEREST RATE AND EQUITY INDEX SWAPS. An Underlying Fund may enter into
interest rate and index swaps. Interest-rate swaps are contracts in which one
party agrees to pay interest at a floating rate for a specified period of
time, while the counterparty agrees to pay interest at a fixed rate for the
same period. Index swaps involve the exchange by an Underlying Fund with
another party of cash flows based upon the performance of an index or a
portion of an index of securities which usually include dividends.
Each Underlying Fund will enter into swap transactions only if: (i) for
transactions with maturities under one year, the counterparty has outstanding
short-term paper rated at least A-1 by S&P, Prime-1 by Moody's, or any
equivalent rating by any other nationally recognized statistical rating
organization, or (ii) for transactions with maturities greater than one year,
the counterparty has outstanding debt securities rated at least Aa by Moody's
or AA by S&P, or any equivalent rating by any other nationally recognized
statistical rating organization, or (iii) if unrated, State Street deems the
counterparty's creditworthiness to be of equivalent quality.
There is no limit on the amount of swap transactions that may be entered into
by an Underlying Fund. The risk of loss with respect to swaps is generally
limited to the net amount of payments that the Underlying Fund is
contractually obligated to make. If the other party to a swap defaults, the
Underlying Fund's risk of loss consists of the net amount of payments that
the Underlying Fund contractually is entitled to receive.
FOREIGN CURRENCY TRANSACTIONS. An Underlying Fund may engage in currency
exchange transactions either on a spot (i.e., cash) basis at the rate
prevailing in the currency exchange market, or through entering into forward
contracts to purchase or sell currencies. A forward currency exchange
contract involves an obligation to purchase or sell a specific currency at a
future date, which must be more than two days from the date of the contract,
at a price set at the time of the contract. These contracts are entered into
in the interbank market conducted directly between currency traders
(typically commercial banks or other financial institutions) and their
customers.
SAI-13
<PAGE>
LENDING PORTFOLIO SECURITIES. An Underlying Fund may lend securities to
brokers, dealers and other financial institutions. The Underlying Fund will
receive collateral of cash, letters of credit or U.S. government securities.
The Underlying Fund can increase its income through the investment of the
collateral as well as the interest receivable on the loan. An Underlying Fund
might experience a loss if the institution with which it has engaged in a
portfolio loan transaction breaches its agreement.
RATINGS. The ratings of Moody's, S&P, or any other nationally recognized
statistical rating organizations represent their opinions as to the quality
of the obligations which they undertake to rate. It should be emphasized,
however, that ratings are relative and subjective and, although ratings may
be useful in evaluating the safety of interest and principal payments, they
do not evaluate the market value risk of such obligations. Each Underlying
Fund will rely on State Street's judgment, analysis and experience in
evaluating the creditworthiness of an issuer.
INVESTMENT RESTRICTIONS
EQUITY INDEX FUND. The Equity Index Fund will operate as discussed under
Investment Options--Equity Index Fund in the prospectus, and will be subject
to the investment policies and limitations described there. The prospectus
for the SSgA S&P 500 Index Fund describes the investment objective, policies
and limitations applicable to the SSgA S&P 500 Index Fund. A free copy of the
SSgA S&P 500 Index Fund prospectus may be obtained by calling an Equitable
Account Executive.
LIFECYCLE FUNDS. The Lifecycle Funds will operate as discussed under
Investment Options--Lifecycle Funds--The Lifecycle Fund Group Trusts --
Conservative and Moderate in the prospectus, and will be subject to the
investment policies and limitations described therein.
LIFECYCLE FUND GROUP TRUSTS. The Lifecycle Fund Group Trusts will operate as
discussed in Investment Options--The Lifecycle Fund Group
Trusts--Conservative and Moderate in the prospectus, and will be subject to
the investment policies and limitations described therein.
UNDERLYING FUNDS: COMMON INVESTMENT RESTRICTIONS. In addition to the
limitations discussed above under Additional Investment Policies and
Techniques and in the prospectus under Investment Options, each Underlying
Fund will not:
(1) Invest in securities for the purpose of obtaining control of
management.
(2) Engage in business of underwriting securities issued by others,
except that an Underlying Fund will not be deemed to be an
underwriter or to be engaged in underwriting by virtue of having
purchased securities subject to legal or contractual restrictions
on disposition.
(3) Make short sales of securities or purchase any securities on
margin, except for such short-term credits as are necessary for the
clearance of transactions. An Underlying Fund may make initial
margin deposits and variation margin payments in connection with
transactions in futures contracts or related options.
(4) Purchase or sell real estate or real estate mortgage loans, except
that an Underlying Fund may invest in securities secured by real
estate or interests in real estate, or securities issued by
companies which invest in real estate or interests in real estate.
(5) Pledge, mortgage or hypothecate its assets, except to the extent
necessary to (1) secure any permitted borrowings, (2) engage in
transactions that involve the purchase of securities on a
when-issued or forward commitment basis, (3) deposit assets in
escrow in connection with writing
SAI-14
<PAGE>
covered put and call options, and (4) deposit assets as initial or
variation margin or collateral in connection with transactions in
options, forward contracts, futures contracts (including those
relating to indices), and options on futures contracts or indices.
(6) Invest 25% or more of the value of its total assets in securities
of companies primarily engaged in any one industry (other than the
U.S. Government, its agencies and instrumentalities), except to the
extent necessary to comply with the industry weightings of a
particular index in accordance with such Underlying Fund's
investment objective and policies. For purposes of this
restriction, the concentration limit may be exceeded as a result of
changes in the market value of portfolio securities in which an
Underlying Fund invests. This limit, however, may not be exceeded
as a result of investments made by an Underlying Fund.
(7) Purchase or sell commodities or commodity futures contracts, except
that an Underlying Fund may enter into futures contracts to the
extent provided in such Underlying Fund's Declaration of Trust and
as discussed under Additional Investment Policies and Techniques
above and under Investment Options in the prospectus.
While State Street is not required to observe the foregoing restrictions
(except where otherwise required by law or governmental regulation), it
currently does not intend to change any of these restrictions.
HOW THE ASSETS OF THE FUNDS ARE VALUED
The Equity Index Fund will invest all of its assets in the SSgA S&P 500 Index
Fund. The asset value of the SSgA S&P 500 Index Fund is computed on a daily
basis by the SSgA S&P 500 Index Fund. See the prospectus of the SSgA S&P 500
Index Fund for information on valuation methodology.
The Lifecycle Funds--Conservative and Moderate will invest all of their
assets in the Lifecycle Fund Group Trusts--Conservative and Moderate,
respectively. The Group Trusts, in turn, will invest all of their assets in
the Underlying Funds. The method of valuing the assets of each Underlying
Fund is discussed below. The method used for valuing the units of the Group
Trust and Underlying Funds is discussed under How We Calculate the Value of
the Amounts Allocated to the Equity Index and Lifecycle Funds in the
prospectus.
HOW THE ASSETS OF THE UNDERLYING FUNDS ARE VALUED
The assets of each Underlying Fund, other than the STIF Fund, will be valued
in the following manner on a daily basis:
o STOCKS listed on a national securities exchange or traded on the NASDAQ
national market system are valued at the last sale price. If on a
particular day there is no sale, such securities are valued at the
latest available bid price reported on a composite tape. Other unlisted
securities reported on the NASDAQ system are valued at inside (highest)
quoted bid prices.
o FOREIGN SECURITIES not traded directly, or in ADR form, in the United
States, are valued at the last sale price in the local currency on an
exchange in the country of origin. Foreign currency is converted into
dollars at current exchange rates.
o UNITED STATES TREASURY SECURITIES and other obligations issued or
guaranteed by the United States Government, its agencies or
instrumentalities are valued at representative quoted prices.
SAI-15
<PAGE>
o LONG-TERM PUBLICLY TRADED CORPORATE BONDS (i.e., maturing in more than
one year) are valued at prices obtained from a bond pricing service of
a major dealer in bonds when such prices are available; however, in
circumstances where it is deemed appropriate to do so, an
over-the-counter or exchange quotation may be used.
o CONVERTIBLE PREFERRED STOCKS listed on national securities exchanges are
valued at their last sale price or, if there is no sale, at the latest
available bid price.
o CONVERTIBLE BONDS and UNLISTED CONVERTIBLE PREFERRED STOCKS are valued
at bid prices obtained from one or more major dealers in such
securities; where there is a discrepancy between dealers, values may be
adjusted based on recent premium spreads to the underlying common stock.
o SHORT-TERM DEBT SECURITIES that mature in more than 60 days are valued
at representative quoted prices. Short-term debt securities that mature
in 60 days or less are valued at amortized cost, which approximates
market value.
State Street determines in good faith the fair values of securities and other
assets that do not have a readily available market price in accordance with
accepted accounting practices and applicable laws and regulations.
Assets of the STIF Fund are valued at amortized cost on a daily basis. Under
this method of valuation, securities purchased by the STIF Fund, such as
bonds, notes, commercial paper, certificates of deposit, or other evidences
of indebtedness, are recorded at original cost and adjusted daily for premium
amortization or discount accretion. Use of the amortized cost method results
in a value of portfolio securities that approximates the value computed by
use of mark-to-market method (i.e., use of market values). Values computed
under both methods approach each other the closer a debt obligation comes to
maturity. In this regard, the STIF Fund will not hold debt obligations that
have a remaining maturity of more than thirteen months. See discussion under
Investment Options in the prospectus.
SAI-16
<PAGE>
TRANSACTIONS BY THE UNDERLYING FUNDS
This section discusses the procedures followed by the Underlying Funds, with
respect to the buying and selling of portfolio securities for these Funds. In
connections with such transactions, the Underlying Funds pay brokerage
commissions, transfer taxes, and other fees.
Decisions to buy or sell securities for the Underlying Funds are made by
State Street in accordance with the investment policies and restrictions of
each Underlying Fund. Such decisions are made independently of the decisions
made for other entities managed by State Street. There may be occasions,
however, when the same investment decision is made for more than one account
advised or managed by State Street. In such cases, State Street will allocate
such purchases or sales among the affected accounts in as equitable a manner
as it deems possible. The principal factors State Street will take into
account in making this determination are the relative investment objectives
of the affected client accounts, the relative sizes of the same or comparable
securities held by or on behalf of such accounts, and the availability at the
time of funds in each client account to make the investment.
Portfolio securities held by one State Street client also may be held by one
or more of its other clients. When two or more of State Street's clients are
engaged in the simultaneous purchase or sale of securities, transactions are
allocated as to amount in accordance with the formulae deemed to be equitable
as to each client. There may be circumstances, however, when purchases or
sales of portfolio securities for one or more of State Street's clients will
have an adverse effect on other clients.
In placing portfolio transactions for an Underlying Fund, State Street will
seek the best price and most favorable execution available to such Fund. In
this regard, State Street will take into account all factors which it
considers relevant to making this decision, including the extent of any
provision of any brokerage and research services to such Fund within the
meaning of Section 28(e) of the Securities Exchange Act of 1934 ("1934 Act"),
viewed in terms of either that particular transaction or the broker's or
dealer's overall responsibilities to the Underlying Fund.
State Street periodically will review the brokerage commissions paid by an
Underlying Fund to determine whether the commissions paid over a particular
period of time were reasonable in relation to the benefits provided to such
Fund. It is possible that certain of the services received from a broker or
dealer in connection with the execution of transactions will primarily
benefit one or more other accounts for which State Street exercises
discretion, or an Underlying Fund other than that for which the transaction
was executed. Conversely, any given Underlying Fund may be the primary
beneficiary of the service received as a result of portfolio transactions
effected for such other accounts or Underlying Funds. The investment
management fees paid to State Street are not reduced by reason of receipt of
such brokerage and research services.
INVESTMENT MANAGEMENT FEE
No investment management fee was paid to State Street in 1996, with respect
to the Program's investment, by the SSgA S&P 500 Index Fund, the underlying
mutual fund in which the Equity Index Fund invests.
SAI-17
<PAGE>
UNDERWRITER
EQ Financial Consultants, Inc. ("EQ Financial"), a wholly-owned subsidiary of
Equitable Life, may be deemed to be the principal underwriter of separate
account units under the group annuity contract. EQ Financial is registered
with the SEC as a broker-dealer under the 1934 Act and is a member of the
National Association of Securities Dealers, Inc. EQ Financial's principal
business address is 1755 Broadway, New York, NY 10019. The offering of the
units under the contract is continuous. No underwriting commissions have been
paid during any of the last three fiscal years with respect to units of
interest under the contract. See Deductions and Charges in the prospectus.
No person currently serves as underwriter for the Lifecycle Fund Group Trusts
or the Underlying Funds.
SAI-18
<PAGE>
MANAGEMENT
EQUITABLE LIFE
Equitable Life is managed by its sole shareholder, The Equitable Companies
Incorporated. Its directors and certain of its executive officers and their
principal occupations are as follows:
<TABLE>
<CAPTION>
DIRECTORS NAME PRINCIPAL OCCUPATION
---------------------------- ---------------------------------------------------------------------
<S> <C> <C>
Claude Bebear Chairman of the Executive Board, AXA-UAP
Christopher Brockson Retired Chief Executive Officer, AXA-UAP Equity & Law Life
Assurance Society
Francoise Colloc'h Senior Executive Vice President, Human Resources and
Communications, AXA-UAP
Henri de Castries Senior Executive Vice President, Financial Services and Life
Insurance Activities, AXA-UAP
Joseph L. Dionne Chairman and Chief Executive Officer, The McGraw-Hill Companies
William T. Esrey Chairman, President and Chief Executive Officer, Sprint Corporation
Jean-Rene Fourtou Chairman and Chief Executive Officer, Rhone Paulenc, S.A.
Norman C. Francis President, Xavier University of Louisiana
Donald J. Greene Counselor-at-Law, Partner, Le Boeuf, Lamb, Greene & MacRae
John T. Hartley Retired Chairman and Chief Executive Officer,
Harris Corporation
John H.F. Haskell, Jr. Director and Managing Director, Dillon, Read & Co., Inc.
Mary R. (Nina) Henderson President, CPC Specialty Markets Group of CPC International, Inc.
W. Edwin Jarmain President, Jarmain Group Inc.
G. Donald Johnston, Jr. Retired Chairman and Chief Executive Officer, JWT Group, Inc.
Winthrop Knowlton Chairman, Knowlton Brothers, Inc.
Arthur L. Liman Counselor-at-Law, Partner, Paul, Weiss, Rifkind, Wharton & Garrison
George T. Lowy Counselor-at-Law, Partner, Cravath, Swaine & Moore
Didier Pineau-Valencienne Chairman and Chief Executive Officer, Schneider, S.A.
George J. Sella, Jr. Retired Chairman and Chief Executive Officer,
American Cyanamid Company
Dave H. Williams Chairman of the Board and Chief Executive Officer,
Alliance Capital Management, L.P.
</TABLE>
Unless otherwise indicated, the following persons have been involved in the
management of Equitable Life in various executive positions during the last
five years.
<TABLE>
<CAPTION>
OFFICER-DIRECTORS NAME PRINCIPAL OCCUPATION
- - -------------------------- -----------------------------------------------------------------
<S> <C> <C>
William T. McCaffrey Senior Executive Vice President and Chief Operating Officer
Joseph J. Melone Director, President and Chief Executive Officer, The Equitable
Companies Incorporated; Chairman, Chief Executive Officer
and President, Equitable Life
</TABLE>
SAI-19
<PAGE>
<TABLE>
<CAPTION>
OTHER OFFICERS NAME PRINCIPAL OCCUPATION*
---------------------- ---------------------------------------------------------------------
<S> <C>
Stanley B. Tulin Senior Executive Vice President and Chief Financial Officer; prior thereto,
Chairman, Insurance Consulting and Actuarial Practice, Coopers & Lybrand
Robert E. Garber Executive Vice President and General Counsel
Peter D. Noris Executive Vice President and Chief Investment Officer. Prior to May 1995,
Vice President/Manager, Insurance Company Investment Strategies Group,
Salomon Brothers, Inc. Prior to November 1992, as Principal, Fixed Income
Insurance Group, Morgan Stanley & Company
Jose Suquet Executive Vice President and Chief Agency Officer
Gordon G. Dinsmore Senior Vice President and Chief Valuation Actuary
Alvin H. Fenichel Senior Vice President and Controller
Kevin R. Byrne Vice President and Treasurer
Paul J. Flora Senior Vice President and Auditor
Pauline Sherman Vice President, Secretary and Associate General Counsel
</TABLE>
- - ------------
* Current positions listed are with Equitable Life unless otherwise
specified.
STATE STREET
State Street is managed by its sole shareholder, State Street Corporation. Its
directors and certain of its executive officers and their principal occupations
are as follows:
<TABLE>
<CAPTION>
DIRECTORS NAME PRINCIPAL OCCUPATION
- - ----------------------------- -----------------------------------------------------------------
<S> <C>
Tenley E. Albright, M.D. Chairman, Western Resources, Inc.
Joseph A. Baute, Jr. Former Chairman, Markem Corporation
I. MacAllister Booth Retired Chairman, President and CEO,
Polaroid Corporation
James I. Cash, Jr. The James E. Robison Professor of Business Administration, Harvard
Business School
Truman S. Casner, Esquire Partner
Ropes & Gray
Nader F. Darehshori Chairman, President and CEO,
Houghton Mifflin Company
Arthur L. Goldstein Chairman and CEO, Ionics, Incorporated
Charles F. Kaye President,
Transportation Investments, Inc.
John M. Kucharski Chairman, and CEO,
EG&G, Inc.
Charles R. LaMantia President and CEO,
Arthur D. Little, Inc.
David B. Perini Chairman and President,
Perini Corporation
SAI-20
<PAGE>
DIRECTORS NAME PRINCIPAL OCCUPATION
- - ----------------------------- -----------------------------------------------------------------
Dennis J. Picard Chairman and CEO,
Raytheon Company
Alfred Poe Former President, Meal Enhancement Group, Campbell Soup Company
Bernard W. Reznicek President, Premier Group; Retired Chairman and Chief Executive Officer,
Boston Edison
Robert E. Weissman Chairman and CEO, Cognizant Corporation
</TABLE>
<TABLE>
<CAPTION>
OFFICER-DIRECTORS NAME PRINCIPAL OCCUPATION
- - -------------------------- --------------------------------------------------------
<S> <C>
Marshall N. Carter Chairman and CEO, State Street Bank and Trust Company
David A. Spina President and Chief Operating Officer
State Street Bank and Trust Company
William S. Edgerly Chairman Emeritus
OTHER OFFICERS NAMES PRINCIPAL OCCUPATION*
- - -------------------------- --------------------------------------------------------
A. Edward Allinson Executive Vice President
George K. Bird, IV Executive Vice President
Dale L. Carleton Executive Vice President
Joseph W. Chow Executive Vice President
Susan Comeau Executive Vice President
James J. Darr Executive Vice President
Howard H. Fairweather Executive Vice President
Timothy B. Harbert Executive Vice President
Ronald E. Logue Executive Vice President
Nicholas A. Lopardo Executive Vice President
Jacques-Phillipe Marson Executive Vice President
Ronald O'Kelley CFO, Treasurer, Executive Vice President
Albert E. Peterson Executive Vice President
William M. Reghitto Executive Vice President
David J. Sexton Executive Vice President
Stanley W. Shelton Executive Vice President
</TABLE>
- - ------------
* All positions are with State Street Bank and Trust Company.
SAI-21
<PAGE>
FINANCIAL STATEMENTS
The financial statements of Equitable Life included in this Statement of
Additional Information should be considered only as bearing upon the ability
of Equitable Life to meet its obligations under the group annuity contract.
They should not be considered as bearing upon the investment experience of
the Equity Index Fund. The financial statements of Separate Account No. 195
reflect applicable fees, charges and other expenses under the Program as in
effect during the periods covered.
SEPARATE ACCOUNT NOS. 195, 197 AND 198:
<TABLE>
<CAPTION>
<S> <C>
Report of Independent Accountants-- ........................ SAI-25
Separate Account No. 195 (Equity Index Fund):
Statement of Assets and Liabilities, December 31, 1996................ SAI-26
Statements of Operations and Changes in Net Assets for the Years Ended
December 31, 1996 and 1995.......................................... SAI-27
Separate Account No. 197 (Lifecycle Fund--Conservative):
Statement of Assets and Liabilities, December 31, 1996 ............... SAI-28
Statement of Operations and Changes in Net Assets for the Year Ended
December 31, 1996 and the Period May 1, 1995 (commencement of
operations) to December 31, 1995 ................................... SAI-29
Separate Account No. 198 (Lifecycle Fund--Moderate):
Statement of Assets and Liabilities, December 31, 1996 ............... SAI-30
Statement of Operations and Changes in Net Assets for the Year Ended
December 31, 1996 and the Period May 1, 1995 (commencement of
operations) to December 31, 1995 ................................... SAI-31
Separate Account Nos. 195, 197 and 198:
Notes to Financial Statements ........................................ SAI-32
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Report of Independent Accountants-- ........................ SAI-34
Consolidated Balance Sheets, December 31, 1996 and 1995............... SAI-35
Consolidated Statements of Earnings for the Years Ended December 31,
1996, 1995 and 1994................................................. SAI-36
Consolidated Statements of Shareholders' Equity for the Years Ended
December 31, 1996, 1995 and 1994.................................... SAI-37
Consolidated Statements of Cash Flows for the Years Ended December 31,
1996, 1995 and 1994................................................. SAI-38
Notes to Consolidated Financial Statements............................ SAI-39
</TABLE>
The financial statements for each of the Underlying Funds reflect charges for
operating expenses, but do not include any investment management, Program or
other charges imposed against the respective assets of the Lifecycle Funds
and Lifecycle Fund Group Trusts. The financial statements of the Underlying
Funds do, however, indirectly reflect any investment management fees and
other charges paid by the entities in which the Underlying Funds invest.
SAI-22
<PAGE>
STATE STREET BANK AND TRUST COMPANY--
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
<TABLE>
<CAPTION>
<S> <C>
Report of Independent Accountants-- ......................... SAI-83
Lifecycle Fund Group Trust--Conservative:
Statement of Assets and Liabilities, December 31, 1996................. SAI-84
Statement of Operations for Year Ended December 31, 1996 and the Period
Ended December 31, 1995.............................................. SAI-85
Statement of Changes in Net Assets for the Year Ended December 31, 1996
and the Period Ended December 31, 1995............................... SAI-86
Selected Per Unit Data................................................. SAI-87
Notes to Financial Statements.......................................... SAI-88
</TABLE>
STATE STREET BANK AND TRUST COMPANY--
LIFECYCLE FUND GROUP TRUST--MODERATE
<TABLE>
<CAPTION>
<S> <C>
Report of Independent Accountants-- ......................... SAI-91
Lifecycle Fund Group Trust--Moderate:
Statement of Assets and Liabilities, December 31, 1996................. SAI-92
Statement of Operations for the Year Ended December 31, 1996 and the
Period Ended December 31, 1995....................................... SAI-93
Statement of Changes in Net Assets for the Year Ended December 31, 1996
and the Period Ended December 31, 1995............................... SAI-94
Selected Per Unit Data................................................. SAI-95
Notes to Financial Statements.......................................... SAI-96
</TABLE>
STATE STREET BANK AND TRUST COMPANY--UNDERLYING FUNDS
FLAGSHIP FUND
<TABLE>
<CAPTION>
<S> <C>
Report of Independent Accountants-- ....................... SAI-99
S&P 500 Flagship Fund and S&P 500 Index Fund with Futures:
Combined Statement of Assets and Liabilities, December 31, 1996...... SAI-100
Combined Statement of Operations for the Year Ended December 31,
1996............................................................... SAI-101
Combined Statement of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995......................................... SAI-102
S&P 500 Index Fund with Futures Selected Per Unit Data............... SAI-103
S&P 500 Flagship Fund Selected Per Unit Data......................... SAI-104
Notes to Combined Financial Statements............................... SAI-105
Combined Schedule of Investments, December 31, 1996.................. SAI-109
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
2000 FUND
Report of Independent Accountants-- ...................... SAI-120
Russell 2000 Fund and Russell 2000 Non-Lending Fund:
Combined Statement of Assets and Liabilities, December 31, 1996..... SAI-121
Combined Statement of Operations for the Year Ended December 31,
1996.............................................................. SAI-122
Combined Statement of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995........................................ SAI-123
Selected Per Unit Data ............................................. SAI-124
Notes to Financial Statements ...................................... SAI-126
Combined Schedule of Investments.................................... SAI-131
</TABLE>
SAI-23
<PAGE>
The financial statements for the Russell 2000 Fund reflect direct
investments made by this Fund in shares of companies included in the Russell
2000 Index. Beginning February 1, 1995, this Fund has invested in units of
the Russell 2000 Value and Growth Funds, which in turn invest in shares of
companies included in the Russell 2000 Index. Beginning June 17, 1996, the
Fund began making direct investments again.
<TABLE>
<CAPTION>
<S> <C>
DAILY EAFE FUND
Report of Independent Accountants-- ....................... SAI-172
Daily EAFE Fund and Daily EAFE Fund Non-Lending:
Combined Statement of Assets and Liabilities, December 31, 1996...... SAI-173
Combined Statement of Operations for the Year Ended December 31,
1996............................................................... SAI-174
Combined Statement of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995......................................... SAI-175
Daily EAFE Fund Selected Per Unit Data............................... SAI-176
Daily EAFE Non-Lending Fund Selected Per Unit Data................... SAI-177
Notes to Combined Financial Statements............................... SAI-178
Combined Schedule of Investments, December 31, 1996 ................. SAI-183
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
GC BOND FUND
Report of Independent Accountants-- .................... SAI-208
Daily Government/Corporate Fund:
Statement of Assets and Liabilities, December 31, 1996 ............ SAI-209
Statement of Operations for the Year Ended December 31, 1996 ...... SAI-210
Statement of Changes in Net Assets for the Years Ended December 31,
1996 and 1995 ................................................... SAI-211
Selected Per Unit Data............................................. SAI-212
Notes to Financial Statements...................................... SAI-213
Schedule of Investments, December 31, 1996 ........................ SAI-216
STIF FUND
Report of Independent Accountants-- .................... SAI-223
Short Term Investment Fund:
Statement of Assets and Liabilities, December 31, 1996............. SAI-224
Statement of Operations for the Year Ended December 31, 1996....... SAI-225
Statement of Changes in Net Assets for the Years Ended December 31,
1996 and 1995.................................................... SAI-226
Selected Per Unit Data............................................. SAI-227
Notes to Financial Statements...................................... SAI-228
Schedule of Investments, December 31, 1996......................... SAI-230
</TABLE>
SAI-24
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of
The Equitable Life Assurance Society of the United States
and the Participants in the American Dental Association Members Retirement
Program
In our opinion, the accompanying statements of assets and liabilities, and
the related statements of operations and changes in net assets present
fairly, in all material respects, the financial position of Separate Account
Nos. 195, 197 and 198 of the Equitable Life Assurance Society of the United
States ("Equitable Life") at December 31, 1996 and each of their results of
operations and changes in net assets for the periods indicated, in conformity
with generally accepted accounting principles. These financial statements are
the responsibility of Equitable Life'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 include
confirmation of shares owned in the underlying mutual fund with the transfer
agent, provide a reasonable basis for the opinion expressed above.
Our audits were conducted for the purpose of forming an opinion on the basic
financial statements taken as a whole. The selected per unit information
(appearing under "Condensed Financial Data" in the prospectus) is presented
for the purpose of satisfying regulatory reporting requirements and is not a
required part of the basic financial statements. Such selected per unit
information has been subject to auditing procedures applied during the audit
of the basic financial statements and, in our opinion, is fairly stated in
all material respects in relation to the basic financial statements taken as
a whole.
Price Waterhouse LLP
New York, New York
February 10, 1997
SAI-25
<PAGE>
SEPARATE ACCOUNT NO. 195 (THE EQUITY INDEX FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Assets and Liabilities
December 31, 1996
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in shares of The SSgA S&P 500 Index
Fund-at value (cost: $30,674,317)(Notes 2 and
5)............................................... $33,428,766
Receivable from Equitable Life's General Account . 32,269
- - ------------------------------------------------- -------------
Total assets................................... 33,461,035
LIABILITIES--Accrued expenses..................... 58,732
- - ------------------------------------------------- -------------
NET ASSETS ....................................... $33,402,303
================================================= =============
</TABLE>
See Notes to Financial Statements.
SAI-26
<PAGE>
SEPARATE ACCOUNT NO. 195
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Operations and Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------
1996 1995
- - ------------------------------------------------------------------- -------------- --------------
<S> <C> <C>
FROM OPERATIONS:
INVESTMENT INCOME (NOTE 2)--Dividends from The SSgA S&P 500 Index
Fund............................................................... $ 714,952 $ 387,701
EXPENSES (NOTE 3)................................................... (315,573) (155,529)
- - ------------------------------------------------------------------- -------------- --------------
NET INVESTMENT INCOME............................................... 399,379 232,172
- - ------------------------------------------------------------------- -------------- --------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2):
Realized gain from share transactions............................... 2,170,339 997,758
Realized gain distribution from The SSgA S&P 500 Index Fund ........ 1,199,133 394,652
- - ------------------------------------------------------------------- -------------- --------------
Net realized gain .................................................. 3,369,472 1,392,410
- - ------------------------------------------------------------------- -------------- --------------
Unrealized appreciation of investments:
Beginning of year................................................... 1,485,778 5,910
End of year......................................................... 2,754,449 1,485,778
- - ------------------------------------------------------------------- -------------- --------------
Change in unrealized appreciation/depreciation...................... 1,268,671 1,479,868
- - ------------------------------------------------------------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS..................... 4,638,143 2,872,278
- - ------------------------------------------------------------------- -------------- --------------
Increase in net assets attributable to operations................... 5,037,522 3,104,450
- - ------------------------------------------------------------------- -------------- --------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions....................................................... 25,357,074 22,746,218
Withdrawals ........................................................ (16,441,539) (11,398,912)
- - ------------------------------------------------------------------- -------------- --------------
Increase in net assets attributable to contributions and
withdrawals........................................................ 8,915,535 11,347,306
- - ------------------------------------------------------------------- -------------- --------------
INCREASE IN NET ASSETS.............................................. 13,953,057 14,451,756
NET ASSETS--BEGINNING OF YEAR....................................... 19,449,246 4,997,490
- - ------------------------------------------------------------------- -------------- --------------
NET ASSETS--END OF YEAR............................................. $ 33,402,303 $ 19,449,246
=================================================================== ============== ==============
</TABLE>
See Notes to Financial Statements.
SAI-27
<PAGE>
SEPARATE ACCOUNT NO. 197 (THE LIFECYCLE FUND-CONSERVATIVE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Assets and Liabilities
December 31, 1996
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in shares of the Lifecycle Fund Group
Trust Conservative-at value (cost $4,325,438)(Note
2).................................................... $4,561,626
- - ------------------------------------------------------ ------------
LIABILITIES:
Due to Equitable Life's General Account................ 24,209
Accrued expenses....................................... 27,155
- - ------------------------------------------------------ ------------
Total liabilities...................................... 51,364
- - ------------------------------------------------------ ------------
NET ASSETS............................................. $4,510,262
====================================================== ============
</TABLE>
See Notes to Financial Statements.
SAI-28
<PAGE>
SEPARATE ACCOUNT NO. 197
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Operations and Changes in Net Assets
<TABLE>
<CAPTION>
FOR THE PERIOD
MAY 1, 1995*
YEAR ENDED TO
DECEMBER 31, 1996 DECEMBER 31, 1995
- - ------------------------------------------------------------------- ----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
EXPENSES (NOTE 3)................................................... $ (92,493) $ (23,691)
- - ------------------------------------------------------------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2):
Realized gain from share transactions .............................. 155,169 41,403
- - ------------------------------------------------------------------- ----------------- -----------------
Unrealized appreciation of investments:
Beginning of period................................................ 110,188 --
End of period...................................................... 236,188 110,188
- - ------------------------------------------------------------------- ----------------- -----------------
Change in unrealized appreciation/depreciation...................... 126,000 110,188
- - ------------------------------------------------------------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS..................... 281,169 151,591
- - ------------------------------------------------------------------- ----------------- -----------------
Increase in net assets attributable to operations................... 188,676 127,900
- - ------------------------------------------------------------------- ----------------- -----------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions....................................................... 4,350,710 4,323,495
Withdrawals......................................................... (3,002,761) (1,477,758)
- - ------------------------------------------------------------------- ----------------- -----------------
Increase in net assets attributable to contributions and
withdrawals........................................................ 1,347,949 2,845,737
- - ------------------------------------------------------------------- ----------------- -----------------
INCREASE IN NET ASSETS.............................................. 1,536,625 2,973,637
NET ASSETS--BEGINNING OF PERIOD..................................... 2,973,637 --
- - ------------------------------------------------------------------- ----------------- -----------------
NET ASSETS--END OF PERIOD........................................... $ 4,510,262 $ 2,973,637
=================================================================== ================= =================
</TABLE>
- - ------------
* Commencement of operations.
See Notes to Financial Statements.
SAI-29
<PAGE>
SEPARATE ACCOUNT NO. 198 (THE LIFECYCLE FUND-MODERATE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Assets and Liabilities
December 31, 1996
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in shares of the Lifecycle Fund Group
Trust Moderate-at value (cost: $79,126,053)(Note 2).......... $88,294,348
Receivable from Equitable Life's General Account.............. 36,210
- - ---------------------------------------------------------------------------
Total assets............................................... 88,330,558
LIABILITIES--Accrued expenses................................. 138,273
- - ---------------------------------------------------------------------------
NET ASSETS.................................................... $88,192,285
===========================================================================
</TABLE>
See Notes to Financial Statements.
SAI-30
<PAGE>
SEPARATE ACCOUNT NO. 198
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Operations and Changes in Net Assets
<TABLE>
<CAPTION>
FOR THE PERIOD
MAY 1, 1995*
YEAR ENDED TO
DECEMBER 31, 1996 DECEMBER 31, 1995
- - ------------------------------------------------------------------- ----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
EXPENSES (NOTE 3) .................................................. $ (897,989) $ (95,847)
- - ------------------------------------------------------------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2):
Realized gain from share transactions............................... 981,358 66,530
- - ------------------------------------------------------------------- ----------------- -----------------
UNREALIZED APPRECIATION OF INVESTMENTS:
Beginning of period................................................ 828,281 --
End of period...................................................... 9,168,295 828,281
- - ------------------------------------------------------------------- ----------------- -----------------
Change in unrealized appreciation/depreciation...................... 8,340,014 828,281
- - ------------------------------------------------------------------- ----------------- -----------------
Net Realized and Unrealized Gain on Investments..................... 9,321,372 894,811
- - ------------------------------------------------------------------- ----------------- -----------------
Increase in net assets attributable to operations................... 8,423,383 798,964
- - ------------------------------------------------------------------- ----------------- -----------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions....................................................... 19,188,987 77,246,884
Withdrawals......................................................... (15,636,555) (1,829,378)
- - ------------------------------------------------------------------- ----------------- -----------------
Increase in net assets attributable to contributions and
withdrawals........................................................ 3,552,432 75,417,506
- - ------------------------------------------------------------------- ----------------- -----------------
INCREASE IN NET ASSETS ............................................. 11,975,815 76,216,470
NET ASSETS--BEGINNING OF PERIOD..................................... 76,216,470 --
- - ------------------------------------------------------------------- ----------------- -----------------
NET ASSETS--END OF PERIOD .......................................... $ 88,192,285 $76,216,470
=================================================================== ================= =================
</TABLE>
- - ------------
* Commencement of operations.
See Notes to Financial Statements.
SAI-31
<PAGE>
SEPARATE ACCOUNT NOS. 195, 197 AND 198
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Notes to Financial Statements
1. Separate Account Nos. 195 (the Equity Index Fund), 197 (the Lifecycle
Fund-Conservative) and 198 (the Lifecycle Fund-Moderate) (the Funds) of The
Equitable Life Assurance Society of the United States (Equitable Life), a
wholly-owned subsidiary of The Equitable Companies Incorporated, were
established in conformity with the New York State Insurance Law. Pursuant to
such law, to the extent provided in the applicable contracts, the net assets
in the Funds are not chargeable with liabilities arising out of any other
business of Equitable Life.
Separate Account No. 195 was established as of the opening of business on
February 1, 1994 and Separate Account Nos. 197 and 198 were established as of
the opening of business on May 1, 1995 to solely fund the American Dental
Association Members Retirement Trust and the American Dental Association
Members Pooled Trust for Retirement Plans (Trusts) sponsored by the American
Dental Association (ADA).
Equitable Life is the investment manager for the Funds.
The accompanying financial statements are prepared in conformity with
generally accepted accounting principles (GAAP). The preparation of financial
statements in conformity with GAAP 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
Separate Account No. 195 invests its assets in shares of the SSgA S&P 500
Index Fund (formerly the Seven Seas S & P 500 Fund), a portfolio of The SSgA
Funds, which is registered under the Investment Company Act of 1940 as an
open-end management investment company. The investment manager of the SSgA
S&P 500 Index Fund is State Street Bank and Trust Company (State Street).
Separate Account Nos. 197 and 198 invest their assets in shares of the
Lifecycle Fund Group Trusts--Conservative and Moderate, respectively. The
Lifecycle Funds Group Trusts are collective investment funds maintained by
State Street. Each Lifecycle Fund Group is organized as a common law trust
under Massachusetts law, and, because of exclusionary provisions, are not
subject to regulation under the Investment Company Act of 1940. State Street
serves as the trustee and investment manager to each of these Group Trusts.
2. Realized gains and losses on investments include gains and losses on
redemptions of the underlying fund's shares (determined on the identified
cost basis) and capital gain distributions from the underlying funds.
Dividends and realized gain distributions from underlying funds are recorded
on ex-date.
Investments in the SSgA S&P 500 Index Fund, the Lifecycle
Funds--Conservative's and Moderate's investments in the Lifecycle Fund Group
Trusts--Conservative and Moderate are valued at the underlying mutual fund's
or trust's net asset value per share.
3. Charges and fees relating to the Funds are deducted in accordance with
the terms of the contracts issued by Equitable Life to the Trusts. With
respect to the American Dental Association Members Retirement Program, these
expenses consist of program expense charge, direct expenses and record
maintenance and report fee. These charges and fees are paid to Equitable Life
by the Funds and are recorded as expenses in the accompanying Statements of
Operations and Changes in Net Assets.
4. No Federal income tax based on net income or realized and unrealized
capital gains was applicable to contracts participating in the Funds, by
reason of applicable provisions of the Internal Revenue Code and no Federal
income tax payable by Equitable Life will affect such contracts. Accordingly,
no Federal income tax provision is required.
SAI-32
<PAGE>
SEPARATE ACCOUNT NOS. 195, 197 AND 198
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Notes to Financial Statements (Continued)
5. The SSgA S&P 500 Index Fund and the Lifecycle Fund Group Trusts have
provided Equitable Life with the following information as of December 31,
1996.
The SSgA S&P 500 Index Fund had total assets of $860.7 million and a net
asset value per share of $15.57. Its five major industry group concentrations
were as follows: Consumer Non-Durables (21.7%), Financials (16.3%),
Technology (12.2%), Healthcare (10.1%) and Utilities (9.6%).
The Lifecycle Fund Group Trust-Conservative had total assets of $4.5
million and a net asset value per share of $11.43.
The Lifecycle Fund Group Trust-Moderate had total assets of $88.3 million
and a net asset value per share of $12.44.
SAI-33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Shareholder of
The Equitable Life Assurance Society of the United States
In our opinion, the accompanying consolidated balance sheets and the related
consolidated statements of earnings, of shareholder's equity and of cash flows
present fairly, in all material respects, the financial position of The
Equitable Life Assurance Society of the United States and its subsidiaries
("Equitable Life") at December 31, 1996 and 1995, and the results of their
operations and their cash flows for each of the three years in the period ended
December 31, 1996, in conformity with generally accepted accounting principles.
These financial statements are the responsibility of Equitable Life's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these 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 provide a reasonable basis
for the opinion expressed above.
As discussed in Note 2 to the consolidated financial statements, Equitable Life
changed its methods of accounting for long-duration participating life
insurance contracts and long-lived assets in 1996, for loan impairments in 1995
and for postemployment benefits in 1994.
Price Waterhouse LLP
New York, New York
February 10
SAI-34
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED BALANCE SHEETS
DECEMBER 31, 1996 AND 1995
<TABLE>
<CAPTION>
1996 1995
----------------- -----------------
(IN MILLIONS)
<S> <C> <C>
ASSETS
Investments:
Fixed maturities:
Available for sale, at estimated fair value................. $ 18,077.0 $ 15,899.9
Mortgage loans on real estate................................. 3,133.0 3,638.3
Equity real estate............................................ 3,297.5 3,916.2
Policy loans.................................................. 2,196.1 1,976.4
Investment in and loans to affiliates......................... 685.0 636.6
Other equity investments...................................... 597.3 621.1
Other invested assets......................................... 288.7 706.1
----------------- -----------------
Total investments......................................... 28,274.6 27,394.6
Cash and cash equivalents....................................... 538.8 774.7
Deferred policy acquisition costs............................... 3,104.9 3,075.8
Amounts due from discontinued GIC Segment....................... 996.2 2,097.1
Other assets.................................................... 2,552.2 2,718.1
Closed Block assets............................................. 8,495.0 8,582.1
Separate Accounts assets........................................ 29,646.1 24,566.6
----------------- -----------------
TOTAL ASSETS.................................................... $ 73,607.8 $ 69,209.0
================= =================
LIABILITIES
Policyholders' account balances................................. $ 21,865.6 $ 21,911.2
Future policy benefits and other policyholders' liabilities..... 4,416.6 4,007.3
Short-term and long-term debt................................... 1,766.9 1,899.3
Other liabilities............................................... 2,785.1 3,380.7
Closed Block liabilities........................................ 9,091.3 9,221.4
Separate Accounts liabilities................................... 29,598.3 24,531.0
----------------- -----------------
Total liabilities......................................... 69,523.8 64,950.9
----------------- -----------------
Commitments and contingencies (Notes 10, 12, 13, 14 and 15)
SHAREHOLDER'S EQUITY
Common stock, $1.25 par value 2.0 million shares
authorized, issued and outstanding............................ 2.5 2.5
Capital in excess of par value.................................. 3,105.8 3,105.8
Retained earnings............................................... 798.7 788.4
Net unrealized investment gains................................. 189.9 396.5
Minimum pension liability....................................... (12.9) (35.1)
----------------- -----------------
Total shareholder's equity................................ 4,084.0 4,258.1
----------------- -----------------
TOTAL LIABILITIES AND SHAREHOLDER'S EQUITY...................... $ 73,607.8 $ 69,209.0
================= =================
</TABLE>
See Notes to Consolidated Financial Statements.
SAI-35
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF EARNINGS
YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ----------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
REVENUES
Universal life and investment-type product policy fee
income................................................ $ 874.0 $ 788.2 $ 715.0
Premiums................................................ 597.6 606.8 625.6
Net investment income................................... 2,175.9 2,088.2 1,998.6
Investment (losses) gains, net.......................... (9.8) 5.3 91.8
Commissions, fees and other income...................... 1,081.8 897.1 847.4
Contribution from the Closed Block...................... 125.0 143.2 137.0
----------------- ----------------- -----------------
Total revenues.................................... 4,844.5 4,528.8 4,415.4
----------------- ----------------- -----------------
BENEFITS AND OTHER DEDUCTIONS
Interest credited to policyholders' account balances.... 1,270.2 1,248.3 1,201.3
Policyholders' benefits................................. 1,317.7 1,008.6 914.9
Other operating costs and expenses...................... 2,048.0 1,775.8 1,857.7
----------------- ----------------- -----------------
Total benefits and other deductions............... 4,635.9 4,032.7 3,973.9
----------------- ----------------- -----------------
Earnings from continuing operations before Federal
income taxes, minority interest and cumulative
effect of accounting change........................... 208.6 496.1 441.5
Federal income taxes.................................... 9.7 120.5 100.2
Minority interest in net income of consolidated
subsidiaries.......................................... 81.7 62.8 50.4
----------------- ----------------- -----------------
Earnings from continuing operations before
cumulative effect of accounting change................ 117.2 312.8 290.9
Discontinued operations, net of Federal income taxes.... (83.8) - -
Cumulative effect of accounting change, net of Federal
income taxes.......................................... (23.1) - (27.1)
----------------- ----------------- -----------------
Net Earnings............................................ $ 10.3 $ 312.8 $ 263.8
================= ================= =================
</TABLE>
See Notes to Consolidated Financial Statements.
SAI-36
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF SHAREHOLDER'S EQUITY
YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ----------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Common stock, at par value, beginning and end of year......... $ 2.5 $ 2.5 $ 2.5
----------------- ----------------- -----------------
Capital in excess of par value, beginning of year as
previously reported......................................... 2,913.6 2,913.6 2,613.6
Cumulative effect on prior years of retroactive restatement
for accounting change....................................... 192.2 192.2 192.2
----------------- ----------------- -----------------
Capital in excess of par value, beginning of year as restated. 3,105.8 3,105.8 2,805.8
Additional capital in excess of par value..................... - - 300.0
----------------- ----------------- -----------------
Capital in excess of par value, end of year................... 3,105.8 3,105.8 3,105.8
----------------- ----------------- -----------------
Retained earnings, beginning of year as previously reported... 781.6 484.0 217.6
Cumulative effect on prior years of retroactive restatement
for accounting change....................................... 6.8 (8.4) (5.8)
----------------- ----------------- -----------------
Retained earnings, beginning of year as restated.............. 788.4 475.6 211.8
Net earnings.................................................. 10.3 312.8 263.8
----------------- ----------------- -----------------
Retained earnings, end of year................................ 798.7 788.4 475.6
----------------- ----------------- -----------------
Net unrealized investment gains (losses), beginning of year
as previously reported...................................... 338.2 (203.0) 131.9
Cumulative effect on prior years of retroactive restatement
for accounting change....................................... 58.3 (17.5) 12.7
----------------- ----------------- -----------------
Net unrealized investment gains (losses), beginning of
year as restated............................................ 396.5 (220.5) 144.6
Change in unrealized investment (losses) gains................ (206.6) 617.0 (365.1)
----------------- ----------------- -----------------
Net unrealized investment gains (losses), end of year......... 189.9 396.5 (220.5)
----------------- ----------------- -----------------
Minimum pension liability, beginning of year.................. (35.1) (2.7) (15.0)
Change in minimum pension liability........................... 22.2 (32.4) 12.3
----------------- ----------------- -----------------
Minimum pension liability, end of year........................ (12.9) (35.1) (2.7)
----------------- ----------------- -----------------
TOTAL SHAREHOLDER'S EQUITY, END OF YEAR....................... $ 4,084.0 $ 4,258.1 $ 3,360.7
================= ================= =================
</TABLE>
See Notes to Consolidated Financial Statements.
SAI-37
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF CASH FLOWS
YEARS ENDED DECEMBER 31, 1996, 1995 AND 1994
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ----------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Net earnings.................................................. $ 10.3 $ 312.8 $ 263.8
Adjustments to reconcile net earnings to net cash
provided by operating activities:
Interest credited to policyholders' account balances........ 1,270.2 1,248.3 1,201.3
Universal life and investment-type policy fee income........ (874.0) (788.2) (715.0)
Investment losses (gains)................................... 9.8 (5.3) (91.8)
Change in Federal income taxes payable...................... (197.1) 221.6 38.3
Other, net.................................................. 364.4 127.3 (19.4)
----------------- ----------------- -----------------
Net cash provided by operating activities..................... 583.6 1,116.5 677.2
----------------- ----------------- -----------------
Cash flows from investing activities:
Maturities and repayments................................... 2,275.1 1,897.4 2,323.8
Sales....................................................... 8,964.3 8,867.1 5,816.6
Return of capital from joint ventures and limited
partnerships.............................................. 78.4 65.2 39.0
Purchases................................................... (12,559.6) (11,675.5) (7,564.7)
Decrease (increase) in loans to discontinued GIC Segment.... 1,017.0 1,226.9 (40.0)
Other, net.................................................. 56.7 (624.7) (478.1)
----------------- ----------------- -----------------
Net cash (used) provided by investing activities.............. (168.1) (243.6) 96.6
----------------- ----------------- -----------------
Cash flows from financing activities:
Policyholders' account balances:
Deposits.................................................. 1,925.4 2,586.5 2,082.5
Withdrawals............................................... (2,385.2) (2,657.1) (2,864.4)
Net decrease in short-term financings....................... (.3) (16.4) (173.0)
Additions to long-term debt................................. - 599.7 51.8
Repayments of long-term debt................................ (124.8) (40.7) (199.8)
Proceeds from issuance of Alliance units.................... - - 100.0
Payment of obligation to fund accumulated deficit of
discontinued GIC Segment.................................. - (1,215.4) -
Capital contribution from the Holding Company............... - - 300.0
Other, net.................................................. (66.5) (48.4) 26.5
----------------- ----------------- -----------------
Net cash (used) by financing activities....................... (651.4) (791.8) (676.4)
----------------- ----------------- -----------------
Change in cash and cash equivalents........................... (235.9) 81.1 97.4
Cash and cash equivalents, beginning of year.................. 774.7 693.6 596.2
----------------- ----------------- -----------------
Cash and Cash Equivalents, End of Year........................ $ 538.8 $ 774.7 $ 693.6
================= ================= =================
Supplemental cash flow information
Interest Paid............................................... $ 109.9 $ 89.6 $ 34.9
================= ================= =================
Income Taxes (Refunded) Paid................................ $ (10.0) $ (82.7) $ 49.2
================= ================= =================
</TABLE>
See Notes to Consolidated Financial Statements.
SAI-38
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1) ORGANIZATION
The Equitable Life Assurance Society of the United States ("Equitable
Life") converted to a stock life insurance company on July 22, 1992 and
became a wholly owned subsidiary of The Equitable Companies
Incorporated (the "Holding Company"). Equitable Life's insurance
business is conducted principally by Equitable Life and its wholly
owned life insurance subsidiary, Equitable Variable Life Insurance
Company ("EVLICO"). Effective January 1, 1997, EVLICO was merged into
Equitable Life, which will continue to conduct the Company's insurance
business. Equitable Life's investment management business, which
comprises the Investment Services segment, is conducted principally by
Alliance Capital Management L.P. ("Alliance"), Equitable Real Estate
Investment Management, Inc. ("EREIM") and Donaldson, Lufkin & Jenrette,
Inc. ("DLJ"), an investment banking and brokerage affiliate. AXA-UAP
("AXA"), a French holding company for an international group of
insurance and related financial services companies, is the Holding
Company's largest shareholder, owning approximately 60.8% at December
31, 1996 (63.6% assuming conversion of Series E Convertible Preferred
Stock held by AXA and 54.4% if all securities convertible into, and
options on, common stock were to be converted or exercised).
2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation and Principles of Consolidation
-----------------------------------------------------
The accompanying consolidated financial statements are prepared in
conformity with generally accepted accounting principles ("GAAP").
The accompanying consolidated financial statements include the accounts
of Equitable Life and its wholly owned life insurance subsidiaries
(collectively, the "Insurance Group"); non-insurance subsidiaries,
principally Alliance, an investment advisory subsidiary, and EREIM, a
real estate investment management subsidiary; and those partnerships
and joint ventures in which Equitable Life or its subsidiaries has
control and a majority economic interest (collectively, including its
consolidated subsidiaries, the "Company"). The Company's investment in
DLJ is reported on the equity basis of accounting. Closed Block assets
and liabilities and results of operations are presented in the
consolidated financial statements as single line items (see Note 6).
Unless specifically stated, all disclosures contained herein supporting
the consolidated financial statements exclude the Closed Block related
amounts.
The preparation of financial statements in conformity with GAAP
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 revenues and expenses during the reporting period.
Actual results could differ from those estimates.
All significant intercompany transactions and balances have been
eliminated in consolidation other than intercompany transactions and
balances with the Closed Block and the discontinued Guaranteed Interest
Contract ("GIC") Segment (see Note 7).
The years "1996," "1995" and "1994" refer to the years ended December
31, 1996, 1995 and 1994, respectively.
SAI-39
<PAGE>
Certain reclassifications have been made in the amounts presented for
prior periods to conform these periods with the 1996 presentation.
Closed Block
------------
As of July 22, 1992, Equitable Life established the Closed Block for
the benefit of certain classes of individual participating policies for
which Equitable Life had a dividend scale payable in 1991 and which
were in force on that date. Assets were allocated to the Closed Block
in an amount which, together with anticipated revenues from policies
included in the Closed Block, was reasonably expected to be sufficient
to support such business, including provision for payment of claims,
certain expenses and taxes, and for continuation of dividend scales
payable in 1991, assuming the experience underlying such scales
continues.
Assets allocated to the Closed Block inure solely to the benefit of the
holders of policies included in the Closed Block and will not revert to
the benefit of the Holding Company. The plan of demutualization
prohibits the reallocation, transfer, borrowing or lending of assets
between the Closed Block and other portions of Equitable Life's General
Account, any of its Separate Accounts or to any affiliate of Equitable
Life without the approval of the New York Superintendent of Insurance
(the "Superintendent"). Closed Block assets and liabilities are carried
on the same basis as similar assets and liabilities held in the General
Account. The excess of Closed Block liabilities over Closed Block
assets represents the expected future post-tax contribution from the
Closed Block which would be recognized in income over the period the
policies and contracts in the Closed Block remain in force.
Discontinued Operations
-----------------------
In 1991, the Company's management adopted a plan to discontinue the
business operations of the GIC Segment, consisting of the Group
Non-Participating Wind-Up Annuities ("Wind-Up Annuities") and
Guaranteed Interest Contract ("GIC") lines of business. The Company
established a pre-tax provision for the estimated future losses of the
GIC line of business and a premium deficiency reserve for the Wind-Up
Annuities. Subsequent losses incurred have been charged to the two loss
provisions. Management reviews the adequacy of the allowance and
reserve each quarter. During the fourth quarter 1996 review, management
determined it was necessary to increase the allowance for expected
future losses of the GIC Segment. Management believes the loss
provisions for GIC contracts and Wind-Up Annuities at December 31, 1996
are adequate to provide for all future losses; however, the
determination of loss provisions continues to involve numerous
estimates and subjective judgments regarding the expected performance
of discontinued operations investment assets. There can be no assurance
the losses provided for will not differ from the losses ultimately
realized (See Note 7).
Accounting Changes
------------------
In 1996, the Company changed its method of accounting for long-duration
participating life insurance contracts, primarily within the Closed
Block, in accordance with the provisions prescribed by Statement of
Financial Accounting Standards ("SFAS") No. 120, "Accounting and
Reporting by Mutual Life Insurance Enterprises and by Insurance
Enterprises for Certain Long-Duration Participating Contracts". The
effect of this change, including the impact on the Closed Block, was to
increase earnings from continuing operations before cumulative effect
of accounting change by $19.2 million, net of Federal income taxes of
$10.3 million for 1996. The financial statements for 1995 and 1994 have
been retroactively restated for the change which resulted in an
increase (decrease) in earnings before cumulative effect of accounting
change of $15.2 million, net of Federal income taxes of $8.2 million,
and $(2.6) million, net of Federal income tax benefit of $1.0 million,
respectively. Shareholder's equity increased $199.1 million as of
January 1, 1994 for the effect of
SAI-40
<PAGE>
retroactive application of the new method. (See "Deferred Policy
Acquisition Costs," "Policyholders' Account Balances and Future Policy
Benefits" and Note 6.)
The Company implemented SFAS No. 121, "Accounting for the Impairment of
Long-Lived Assets and for Long-Lived Assets to be Disposed Of," as of
January 1, 1996. The statement requires long-lived assets and certain
identifiable intangibles be reviewed for impairment whenever events or
changes in circumstances indicate the carrying value of such assets may
not be recoverable. Effective with SFAS No. 121's adoption, impaired
real estate is written down to fair value with the impairment loss
being included in investment gains (losses), net. Before implementing
SFAS No. 121, valuation allowances on real estate held for the
production of income were computed using the forecasted cash flows of
the respective properties discounted at a rate equal to the Company's
cost of funds. The adoption of the statement resulted in the release of
valuation allowances of $152.4 million and recognition of impairment
losses of $144.0 million on real estate held and used. Real estate
which management has committed to disposing of by sale or abandonment
is classified as real estate to be disposed of. Valuation allowances on
real estate to be disposed of continue to be computed using the lower
of estimated fair value or depreciated cost, net of disposition costs.
Implementation of the SFAS No. 121 impairment requirements relative to
other assets to be disposed of resulted in a charge for the cumulative
effect of an accounting change of $23.1 million, net of a Federal
income tax benefit of $12.4 million, due to the writedown to fair value
of building improvements relating to facilities being vacated beginning
in 1996.
In the first quarter of 1995, the Company adopted SFAS No. 114,
"Accounting by Creditors for Impairment of a Loan". This statement
applies to all loans, including loans restructured in a troubled debt
restructuring involving a modification of terms. This statement
addresses the accounting for impairment of a loan by specifying how
allowances for credit losses should be determined. Impaired loans
within the scope of this statement are measured based on the present
value of expected future cash flows discounted at the loan's effective
interest rate, at the loan's observable market price or the fair value
of the collateral if the loan is collateral dependent. The Company
provides for impairment of loans through an allowance for possible
losses. The adoption of this statement did not have a material effect
on the level of these allowances or on the Company's consolidated
statements of earnings and shareholder's equity.
Beginning coincident with issuance of SFAS No. 115, "Accounting for
Certain Investments in Debt and Equity Securities," implementation
guidance in November 1995, the Financial Accounting Standards Board
("FASB") permitted companies a one-time opportunity, through December
31, 1995, to reassess the appropriateness of the classification of all
securities held at that time. On December 1, 1995, the Company
transferred $4,794.9 million of securities classified as held to
maturity to the available for sale portfolio. As a result, consolidated
shareholder's equity increased by $149.4 million, net of deferred
policy acquisition costs ("DAC"), amounts attributable to participating
group annuity contracts and deferred Federal income taxes.
In the fourth quarter of 1994 (effective as of January 1, 1994), the
Company adopted SFAS No. 112, "Employers' Accounting for Postemployment
Benefits," which required employers to recognize the obligation to
provide postemployment benefits. Implementation of this statement
resulted in a charge for the cumulative effect of accounting change of
$27.1 million, net of a Federal income tax benefit of $14.6 million.
New Accounting Pronouncements
-----------------------------
The FASB issued SFAS No. 123, "Accounting for Stock-Based
Compensation," which permits entities to recognize as expense over the
vesting period the fair value of all stock-based awards on the date of
grant or, alternatively, to continue to apply the provisions of
Accounting Principles Board ("APB") Opinion No. 25, "Accounting for
Stock Issued to Employees," and related interpretations. Companies
which elect to continue
SAI-41
<PAGE>
to apply APB Opinion No. 25 must provide pro forma net income
disclosures for employee stock option grants made in 1995 and future
years as if the fair-value-based method defined in SFAS No. 123 had
been applied. The Company accounts for stock option plans sponsored by
the Holding Company, DLJ and Alliance in accordance with the provisions
of APB Opinion No. 25 (see Note 21).
In June 1996, the FASB issued SFAS No. 125, "Accounting for Transfers
and Servicing of Financial Assets and Extinguishments of Liabilities".
SFAS No. 125 specifies the accounting and reporting requirements for
transfers of financial assets, the recognition and measurement of
servicing assets and liabilities and extinguishments of liabilities.
SFAS No. 125 is effective for transactions occurring after December 31,
1996 and is to be applied prospectively. In December 1996, the FASB
issued SFAS No. 127, "Deferral of the Effective Date of Certain
Provisions of FASB Statement No. 125," which defers for one year the
effective date of provisions relating to secured borrowings and
collateral and transfers of financial assets that are part of
repurchase agreements, dollar-roll, securities lending and similar
transactions. Management has not yet determined the effect of
implementing SFAS No. 125.
Valuation of Investments
------------------------
Fixed maturities identified as available for sale are reported at
estimated fair value. The amortized cost of fixed maturities is
adjusted for impairments in value deemed to be other than temporary.
Mortgage loans on real estate are stated at unpaid principal balances,
net of unamortized discounts and valuation allowances. Effective with
the adoption of SFAS No. 114 on January 1, 1995, the valuation
allowances are based on the present value of expected future cash flows
discounted at the loan's original effective interest rate or the
collateral value if the loan is collateral dependent. However, if
foreclosure is or becomes probable, the measurement method used is
collateral value. Prior to the adoption of SFAS No. 114, the valuation
allowances were based on losses expected by management to be realized
on transfers of mortgage loans to real estate (upon foreclosure or
in-substance foreclosure), on the disposition or settlement of mortgage
loans and on mortgage loans management believed may not be collectible
in full. In establishing valuation allowances, management previously
considered, among other things the estimated fair value of the
underlying collateral.
Real estate, including real estate acquired in satisfaction of debt, is
stated at depreciated cost less valuation allowances. At the date of
foreclosure (including in-substance foreclosure), real estate acquired
in satisfaction of debt is valued at estimated fair value. Impaired
real estate is written down to fair value with the impairment loss
being included in investment gains (losses) net. Valuation allowances
on real estate available for sale are computed using the lower of
current estimated fair value or depreciated cost, net of disposition
costs. Prior to the adoption of SFAS No. 121, valuation allowances on
real estate held for the production of income were computed using the
forecasted cash flows of the respective properties discounted at a rate
equal to the Company's cost of funds.
Policy loans are stated at unpaid principal balances.
Partnerships and joint venture interests in which the Company does not
have control and a majority economic interest are reported on the
equity basis of accounting and are included either with equity real
estate or other equity investments, as appropriate.
Common stocks are carried at estimated fair value and are included in
other equity investments.
SAI-42
<PAGE>
Short-term investments are stated at amortized cost which approximates
fair value and are included with other invested assets.
Cash and cash equivalents includes cash on hand, amounts due from banks
and highly liquid debt instruments purchased with an original maturity
of three months or less.
All securities are recorded in the consolidated financial statements on
a trade date basis.
Investment Results and Unrealized Investment Gains (Losses)
-----------------------------------------------------------
Net investment income and realized investment gains and losses
(collectively, "investment results") related to certain participating
group annuity contracts which are passed through to the contractholders
are reflected as interest credited to policyholders' account balances.
Realized investment gains and losses are determined by specific
identification and are presented as a component of revenue. Valuation
allowances are netted against the asset categories to which they apply
and changes in the valuation allowances are included in investment
gains or losses.
Unrealized investment gains and losses on fixed maturities available
for sale and equity securities held by the Company are accounted for as
a separate component of shareholder's equity, net of related deferred
Federal income taxes, amounts attributable to the discontinued GIC
Segment, participating group annuity contracts, and DAC related to
universal life and investment-type products and participating
traditional life contracts.
Recognition of Insurance Income and Related Expenses
----------------------------------------------------
Premiums from universal life and investment-type contracts are reported
as deposits to policyholders' account balances. Revenues from these
contracts consist of amounts assessed during the period against
policyholders' account balances for mortality charges, policy
administration charges and surrender charges. Policy benefits and
claims that are charged to expense include benefit claims incurred in
the period in excess of related policyholders' account balances.
Premiums from participating and non-participating traditional life and
annuity policies with life contingencies generally are recognized as
income when due. Benefits and expenses are matched with such income so
as to result in the recognition of profits over the life of the
contracts. This match is accomplished by means of the provision for
liabilities for future policy benefits and the deferral and subsequent
amortization of policy acquisition costs.
For contracts with a single premium or a limited number of premium
payments due over a significantly shorter period than the total period
over which benefits are provided, premiums are recorded as income when
due with any excess profit deferred and recognized in income in a
constant relationship to insurance in force or, for annuities, the
amount of expected future benefit payments.
Premiums from individual health contracts are recognized as income over
the period to which the premiums relate in proportion to the amount of
insurance protection provided.
Deferred Policy Acquisition Costs
---------------------------------
The costs of acquiring new business, principally commissions,
underwriting, agency and policy issue expenses, all of which vary with
and are primarily related to the production of new business, are
deferred.
SAI-43
<PAGE>
DAC is subject to recoverability testing at the time of policy issue
and loss recognition testing at the end of each accounting period.
For universal life products and investment-type products, DAC is
amortized over the expected total life of the contract group (periods
ranging from 15 to 35 years and 5 to 17 years, respectively) as a
constant percentage of estimated gross profits arising principally from
investment results, mortality and expense margins and surrender charges
based on historical and anticipated future experience, updated at the
end of each accounting period. The effect on the amortization of DAC of
revisions to estimated gross profits is reflected in earnings in the
period such estimated gross profits are revised. The effect on the DAC
asset that would result from realization of unrealized gains (losses)
is recognized with an offset to unrealized gains (losses) in
consolidated shareholder's equity as of the balance sheet date.
For participating traditional life policies (substantially all of which
are in the Closed Block), DAC is amortized over the expected total life
of the contract group (40 years) as a constant percentage based on the
present value of the estimated gross margin amounts expected to be
realized over the life of the contracts using the expected investment
yield. At December 31, 1996, the expected investment yield ranged from
7.30% grading to 7.68% over 13 years. Estimated gross margin includes
anticipated premiums and investment results less claims and
administrative expenses, changes in the net level premium reserve and
expected annual policyholder dividends. Deviations of actual results
from estimated experience are reflected in earnings in the period such
deviations occur. The effect on the DAC asset that would result from
realization of unrealized gains (losses) is recognized with an offset
to unrealized gains (losses) in consolidated shareholder's equity as of
the balance sheet date.
For non-participating traditional life and annuity policies with life
contingencies, DAC is amortized in proportion to anticipated premiums.
Assumptions as to anticipated premiums are estimated at the date of
policy issue and are consistently applied during the life of the
contracts. Deviations from estimated experience are reflected in
earnings in the period such deviations occur. For these contracts, the
amortization periods generally are for the total life of the policy.
For individual health benefit insurance, DAC is amortized over the
expected average life of the contracts (10 years for major medical
policies and 20 years for disability income ("DI") products) in
proportion to anticipated premium revenue at time of issue. In the
fourth quarter of 1996, the DAC related to DI contracts issued prior to
July 1993 was written off.
Policyholders' Account Balances and Future Policy Benefits
----------------------------------------------------------
Policyholders' account balances for universal life and investment-type
contracts are equal to the policy account values. The policy account
values represent an accumulation of gross premium payments plus
credited interest less expense and mortality charges and withdrawals.
For participating traditional life policies, future policy benefit
liabilities are calculated using a net level premium method on the
basis of actuarial assumptions equal to guaranteed mortality and
dividend fund interest rates. The liability for annual dividends
represents the accrual of annual dividends earned. Terminal dividends
are accrued in proportion to gross margins over the life of the
contract.
For non-participating traditional life insurance policies, future
policy benefit liabilities are estimated using a net level premium
method on the basis of actuarial assumptions as to mortality,
persistency and interest established at policy issue. Assumptions
established at policy issue as to mortality and persistency are based
on the Insurance Group's experience which, together with interest and
expense assumptions, include a margin
SAI-44
<PAGE>
for adverse deviation. When the liabilities for future policy benefits
plus the present value of expected future gross premiums for a product
are insufficient to provide for expected future policy benefits and
expenses for that product, DAC is written off and thereafter, if
required, a premium deficiency reserve is established by a charge to
earnings. Benefit liabilities for traditional annuities during the
accumulation period are equal to accumulated contractholders' fund
balances and after annuitization are equal to the present value of
expected future payments. Interest rates used in establishing such
liabilities range from 2.25% to 11.5% for life insurance liabilities
and from 2.25% to 13.5% for annuity liabilities.
During the fourth quarter of 1996, a loss recognition study on
participating group annuity contracts and conversion annuities
("Pension Par") was completed which included management's revised
estimate of assumptions, including expected mortality and future
investment returns. The study's results prompted management to
establish a premium deficiency reserve which decreased earnings from
continuing operations and net earnings by $47.5 million ($73.0 million
pre-tax).
Individual health benefit liabilities for active lives are estimated
using the net level premium method, and assumptions as to future
morbidity, withdrawals and interest. Benefit liabilities for disabled
lives are estimated using the present value of benefits method and
experience assumptions as to claim terminations, expenses and interest.
During the fourth quarter of 1996, the Company completed a loss
recognition study of the DI business which incorporated management's
revised estimates of future experience with regard to morbidity,
investment returns, claims and administration expenses and other
factors. The study indicated DAC was not recoverable and the reserves
were not sufficient. Earnings from continuing operations and net
earnings decreased by $208.0 million ($320.0 million pre-tax) as a
result of strengthening DI reserves by $175.0 million and writing off
unamortized DAC of $145.0 million. The determination of DI reserves
requires making assumptions and estimates relating to a variety of
factors, including morbidity and interest rates, claims experience and
lapse rates based on then known facts and circumstances. Such factors
as claim incidence and termination rates can be affected by changes in
the economic, legal and regulatory environments and work ethic. While
management believes its DI reserves have been calculated on a
reasonable basis and are adequate, there can be no assurance reserves
will be sufficient to provide for future liabilities.
Claim reserves and associated liabilities for individual disability
income and major medical policies were $711.8 million and $639.6
million at December 31, 1996 and 1995, respectively (excluding $175.0
million of reserve strengthening in 1996). Incurred benefits (benefits
paid plus changes in claim reserves) and benefits paid for individual
DI and major medical policies (excluding $175.0 million of reserve
strengthening in 1996) are summarized as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Incurred benefits related to current year.......... $ 189.0 $ 176.0 $ 188.6
Incurred benefits related to prior years........... 69.1 67.8 28.7
----------------- ---------------- -----------------
Total Incurred Benefits............................ $ 258.1 $ 243.8 $ 217.3
================= ================ =================
Benefits paid related to current year.............. $ 32.6 $ 37.0 $ 43.7
Benefits paid related to prior years............... 153.3 137.8 132.3
----------------- ---------------- -----------------
Total Benefits Paid................................ $ 185.9 $ 174.8 $ 176.0
================= ================ =================
</TABLE>
SAI-45
<PAGE>
Policyholders' Dividends
------------------------
The amount of policyholders' dividends to be paid (including those on
policies included in the Closed Block) is determined annually by
Equitable Life's Board of Directors. The aggregate amount of
policyholders' dividends is related to actual interest, mortality,
morbidity and expense experience for the year and judgment as to the
appropriate level of statutory surplus to be retained by Equitable
Life.
Equitable Life is subject to limitations on the amount of statutory
profits which can be retained with respect to certain classes of
individual participating policies that were in force on July 22, 1992
which are not included in the Closed Block and with respect to
participating policies issued subsequent to July 22, 1992. Excess
statutory profits, if any, will be distributed over time to such
policyholders and will not be available to Equitable Life's
shareholder. Earnings in excess of limitations, if any, would be
accrued as policyholders' dividends.
At December 31, 1996, participating policies, including those in the
Closed Block, represent approximately 24.2% ($52.3 billion) of directly
written life insurance in force, net of amounts ceded.
Federal Income Taxes
--------------------
The Company files a consolidated Federal income tax return with the
Holding Company and its non-life insurance subsidiaries. Current
Federal income taxes were charged or credited to operations based upon
amounts estimated to be payable or recoverable as a result of taxable
operations for the current year. Deferred income tax assets and
liabilities were recognized based on the difference between financial
statement carrying amounts and income tax bases of assets and
liabilities using enacted income tax rates and laws.
Separate Accounts
-----------------
Separate Accounts are established in conformity with the New York State
Insurance Law and generally are not chargeable with liabilities that
arise from any other business of the Insurance Group. Separate Accounts
assets are subject to General Account claims only to the extent the
value of such assets exceeds the Separate Accounts liabilities.
Assets and liabilities of the Separate Accounts, representing net
deposits and accumulated net investment earnings less fees, held
primarily for the benefit of contractholders, and for which the
Insurance Group does not bear the investment risk, are shown as
separate captions in the consolidated balance sheets. The Insurance
Group bears the investment risk on assets held in one Separate Account,
therefore, such assets are carried on the same basis as similar assets
held in the General Account portfolio. Assets held in the other
Separate Accounts are carried at quoted market values or, where quoted
values are not available, at estimated fair values as determined by the
Insurance Group.
The investment results of Separate Accounts on which the Insurance
Group does not bear the investment risk are reflected directly in
Separate Accounts liabilities. For 1996, 1995 and 1994, investment
results of such Separate Accounts were $2,970.6 million, $1,963.2
million and $665.2 million, respectively.
Deposits to Separate Accounts are reported as increases in Separate
Accounts liabilities and are not reported in revenues. Mortality,
policy administration and surrender charges on all Separate Accounts
are included in revenues.
SAI-46
<PAGE>
3) INVESTMENTS
The following tables provide additional information relating to fixed
maturities and equity securities:
<TABLE>
<CAPTION>
GROSS GROSS
AMORTIZED UNREALIZED UNREALIZED ESTIMATED
COST GAINS LOSSES FAIR VALUE
----------------- ----------------- ---------------- ---------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
DECEMBER 31, 1996
-----------------
Fixed Maturities:
Available for Sale:
Corporate.......................... $ 13,645.2 $ 451.5 $ 121.0 $ 13,975.7
Mortgage-backed.................... 2,015.9 11.2 20.3 2,006.8
U.S. Treasury securities and
U.S. government and
agency securities................ 1,539.4 39.2 19.3 1,559.3
States and political subdivisions.. 77.0 4.5 - 81.5
Foreign governments................ 302.6 18.0 2.2 318.4
Redeemable preferred stock......... 139.1 3.3 7.1 135.3
----------------- ----------------- ---------------- ---------------
Total Available for Sale............... $ 17,719.2 $ 527.7 $ 169.9 $ 18,077.0
================= ================= ================ ===============
Equity Securities:
Common stock......................... $ 98.7 $ 49.3 $ 17.7 $ 130.3
================= ================= ================ ===============
December 31, 1995
-----------------
Fixed Maturities:
Available for Sale:
Corporate.......................... $ 10,910.7 $ 617.6 $ 118.1 $ 11,410.2
Mortgage-backed.................... 1,838.0 31.2 1.2 1,868.0
U.S. Treasury securities and
U.S. government and
agency securities................ 2,257.0 77.8 4.1 2,330.7
States and political subdivisions.. 45.7 5.2 - 50.9
Foreign governments................ 124.5 11.0 .2 135.3
Redeemable preferred stock......... 108.1 5.3 8.6 104.8
----------------- ----------------- ---------------- ---------------
Total Available for Sale............... $ 15,284.0 $ 748.1 $ 132.2 $ 15,899.9
================= ================= ================ ===============
Equity Securities:
Common stock......................... $ 97.3 $ 49.1 $ 18.0 $ 128.4
================= ================= ================ ===============
</TABLE>
For publicly traded fixed maturities and equity securities, estimated
fair value is determined using quoted market prices. For fixed
maturities without a readily ascertainable market value, the Company
has determined an estimated fair value using a discounted cash flow
approach, including provisions for credit risk, generally based upon
the assumption such securities will be held to maturity. Estimated fair
value for equity securities, substantially all of which do not have a
readily ascertainable market value, has been determined by the Company.
Such estimated fair values do not necessarily represent the values for
which these securities could have been sold at the dates of the
consolidated balance sheets. At December 31, 1996
SAI-47
<PAGE>
and 1995, securities without a readily ascertainable market value
having an amortized cost of $3,915.7 million and $3,748.9 million,
respectively, had estimated fair values of $4,024.6 million and
$3,981.8 million, respectively.
The contractual maturity of bonds at December 31, 1996 is shown below:
AVAILABLE FOR SALE
------------------------------------
AMORTIZED ESTIMATED
COST FAIR VALUE
---------------- -----------------
(IN MILLIONS)
Due in one year or less........... $ 539.6 $ 542.5
Due in years two through five..... 2,776.2 2,804.0
Due in years six through ten...... 6,044.7 6,158.1
Due after ten years............... 6,203.7 6,430.3
Mortgage-backed securities........ 2,015.9 2,006.8
---------------- -----------------
Total............................. $ 17,580.1 $ 17,941.7
================ =================
Bonds not due at a single maturity date have been included in the above
table in the year of final maturity. Actual maturities will differ from
contractual maturities because borrowers may have the right to call or
prepay obligations with or without call or prepayment penalties.
The Insurance Group's fixed maturity investment portfolio includes
corporate high yield securities consisting of public high yield bonds,
redeemable preferred stocks and directly negotiated debt in leveraged
buyout transactions. The Insurance Group seeks to minimize the higher
than normal credit risks associated with such securities by monitoring
the total investments in any single issuer or total investment in a
particular industry group. Certain of these corporate high yield
securities are classified as other than investment grade by the various
rating agencies, i.e., a rating below Baa or National Association of
Insurance Commissioners ("NAIC") designation of 3 (medium grade), 4 or
5 (below investment grade) or 6 (in or near default). At December 31,
1996, approximately 14.20% of the $17,563.7 million aggregate amortized
cost of bonds held by the Insurance Group were considered to be other
than investment grade.
In addition to its holdings of corporate high yield securities, the
Insurance Group is an equity investor in limited partnership interests
which primarily invest in securities considered to be other than
investment grade.
The Company has restructured or modified the terms of certain fixed
maturity investments. The fixed maturity portfolio includes amortized
costs of $5.5 million and $15.9 million at December 31, 1996 and 1995,
respectively, of such restructured securities. These amounts include
fixed maturities which are in default as to principal and/or interest
payments, are to be restructured pursuant to commenced negotiations or
where the borrowers went into bankruptcy subsequent to acquisition
(collectively, "problem fixed maturities") of $2.2 million and $1.6
million as of December 31, 1996 and 1995, respectively. Gross interest
income that would have been recorded in accordance with the original
terms of restructured fixed maturities amounted to $1.4 million, $3.0
million and $7.5 million in 1996, 1995 and 1994, respectively. Gross
interest income on these fixed maturities included in net investment
income aggregated $1.3 million, $2.9 million and $6.8 million in 1996,
1995 and 1994, respectively.
SAI-48
<PAGE>
Investment valuation allowances and changes thereto are shown below:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Balances, beginning of year........................ $ 325.3 $ 284.9 $ 355.6
SFAS No. 121 release............................... (152.4) - -
Additions charged to income........................ 125.0 136.0 51.0
Deductions for writedowns and
asset dispositions............................... (160.8) (95.6) (121.7)
----------------- ---------------- -----------------
Balances, End of Year.............................. $ 137.1 $ 325.3 $ 284.9
================= ================ =================
Balances, end of year comprise:
Mortgage loans on real estate.................... $ 50.4 $ 65.5 $ 64.2
Equity real estate............................... 86.7 259.8 220.7
----------------- ---------------- -----------------
Total.............................................. $ 137.1 $ 325.3 $ 284.9
================= ================ =================
</TABLE>
At December 31, 1996, the carrying values of investments held for the
production of income which were non-income producing for the twelve
months preceding the consolidated balance sheet date were $25.0 million
of fixed maturities and $2.6 million of mortgage loans on real estate.
At December 31, 1996 and 1995, mortgage loans on real estate with
scheduled payments 60 days (90 days for agricultural mortgages) or more
past due or in foreclosure (collectively, "problem mortgage loans on
real estate") had an amortized cost of $12.4 million (0.4% of total
mortgage loans on real estate) and $87.7 million (2.4% of total
mortgage loans on real estate), respectively.
The payment terms of mortgage loans on real estate may from time to
time be restructured or modified. The investment in restructured
mortgage loans on real estate, based on amortized cost, amounted to
$388.3 million and $531.5 million at December 31, 1996 and 1995,
respectively. These amounts include $1.0 million and $3.8 million of
problem mortgage loans on real estate at December 31, 1996 and 1995,
respectively. Gross interest income on restructured mortgage loans on
real estate that would have been recorded in accordance with the
original terms of such loans amounted to $35.5 million, $52.1 million
and $44.9 million in 1996, 1995 and 1994, respectively. Gross interest
income on these loans included in net investment income aggregated
$28.2 million, $37.4 million and $32.8 million in 1996, 1995 and 1994,
respectively.
Impaired mortgage loans (as defined under SFAS No. 114) along with the
related provision for losses were as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
----------------------------------------
1996 1995
------------------- -------------------
(IN MILLIONS)
<S> <C> <C>
Impaired mortgage loans with provision for losses.................. $ 340.0 $ 310.1
Impaired mortgage loans with no provision for losses............... 122.3 160.8
------------------- -------------------
Recorded investment in impaired mortgage loans..................... 462.3 470.9
Provision for losses............................................... 46.4 62.7
------------------- -------------------
Net Impaired Mortgage Loans........................................ $ 415.9 $ 408.2
=================== ===================
</TABLE>
SAI-49
<PAGE>
Impaired mortgage loans with no provision for losses are loans where
the fair value of the collateral or the net present value of the
expected future cash flows related to the loan equals or exceeds the
recorded investment. Interest income earned on loans where the
collateral value is used to measure impairment is recorded on a cash
basis. Interest income on loans where the present value method is used
to measure impairment is accrued on the net carrying value amount of
the loan at the interest rate used to discount the cash flows. Changes
in the present value attributable to changes in the amount or timing of
expected cash flows are reported as investment gains or losses.
During 1996 and 1995, respectively, the Company's average recorded
investment in impaired mortgage loans was $552.1 million and $429.0
million. Interest income recognized on these impaired mortgage loans
totaled $38.8 million and $27.9 million for 1996 and 1995,
respectively, including $17.9 million and $13.4 million recognized on a
cash basis.
The Insurance Group's investment in equity real estate is through
direct ownership and through investments in real estate joint ventures.
At December 31, 1996 and 1995, the carrying value of equity real estate
available for sale amounted to $345.6 million and $255.5 million,
respectively. For 1996, 1995 and 1994, respectively, real estate of
$58.7 million, $35.3 million and $189.8 million was acquired in
satisfaction of debt. At December 31, 1996 and 1995, the Company owned
$771.7 million and $862.7 million, respectively, of real estate
acquired in satisfaction of debt.
Depreciation of real estate is computed using the straight-line method
over the estimated useful lives of the properties, which generally
range from 40 to 50 years. Accumulated depreciation on real estate was
$587.5 million and $662.4 million at December 31, 1996 and 1995,
respectively. Depreciation expense on real estate totaled $91.8
million, $121.7 million and $117.0 million for 1996, 1995 and 1994,
respectively. As a result of the implementation of SFAS No. 121, during
1996 no depreciation expense has been recorded on real estate available
for sale.
SAI-50
<PAGE>
4) JOINT VENTURES AND PARTNERSHIPS
Summarized combined financial information of real estate joint ventures
(34 and 38 individual ventures as of December 31, 1996 and 1995,
respectively) and of limited partnership interests accounted for under
the equity method, in which the Company has an investment of $10.0
million or greater and an equity interest of 10% or greater is as
follows:
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
FINANCIAL POSITION
Investments in real estate, at depreciated cost........................ $ 1,883.7 $ 2,684.1
Investments in securities, generally at estimated fair value........... 2,430.6 2,459.8
Cash and cash equivalents.............................................. 98.0 489.1
Other assets........................................................... 427.0 270.8
---------------- -----------------
Total assets........................................................... 4,839.3 5,903.8
---------------- -----------------
Borrowed funds - third party........................................... 1,574.3 1,782.3
Borrowed funds - the Company........................................... 137.9 220.5
Other liabilities...................................................... 415.8 593.9
---------------- -----------------
Total liabilities...................................................... 2,128.0 2,596.7
---------------- -----------------
Partners' Capital...................................................... $ 2,711.3 $ 3,307.1
================ =================
Equity in partners' capital included above............................. $ 806.8 $ 902.2
Equity in limited partnership interests not included above............. 201.8 212.8
Other.................................................................. 9.8 8.9
---------------- -----------------
Carrying Value......................................................... $ 1,018.4 $ 1,123.9
================ =================
</TABLE>
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
STATEMENTS OF EARNINGS
Revenues of real estate joint ventures............. $ 348.9 $ 463.5 $ 537.7
Revenues of other limited partnership interests.... 386.1 242.3 103.4
Interest expense - third party..................... (111.0) (135.3) (114.9)
Interest expense - the Company..................... (30.0) (41.0) (36.9)
Other expenses..................................... (282.5) (397.7) (430.9)
----------------- ---------------- -----------------
Net Earnings....................................... $ 311.5 $ 131.8 $ 58.4
================= ================ =================
Equity in net earnings included above.............. $ 73.9 $ 49.1 $ 18.9
Equity in net earnings of limited partnerships
interests not included above..................... 35.8 44.8 25.3
Other.............................................. .9 1.0 1.8
----------------- ---------------- -----------------
Total Equity in Net Earnings....................... $ 110.6 $ 94.9 $ 46.0
================= ================ =================
</TABLE>
SAI-51
<PAGE>
5) NET INVESTMENT INCOME AND INVESTMENT GAINS (LOSSES)
The sources of net investment income are summarized as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Fixed maturities.................... $ 1,307.4 $ 1,151.1 $ 1,036.5
Mortgage loans on real estate....... 303.0 329.0 385.7
Equity real estate.................. 442.4 560.4 561.8
Other equity investments............ 94.3 76.9 36.1
Policy loans........................ 160.3 144.4 122.7
Other investment income............. 217.4 273.0 322.4
----------------- ---------------- -----------------
Gross investment income........... 2,524.8 2,534.8 2,465.2
----------------- ---------------- -----------------
Investment expenses............... 348.9 446.6 466.6
----------------- ---------------- -----------------
Net Investment Income............... $ 2,175.9 $ 2,088.2 $ 1,998.6
================= ================ =================
Investment gains (losses), net, including changes in the valuation
allowances, are summarized as follows:
</TABLE>
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Fixed maturities................................... $ 60.5 $ 119.9 $ (14.3)
Mortgage loans on real estate...................... (27.3) (40.2) (43.1)
Equity real estate................................. (79.7) (86.6) 20.6
Other equity investments........................... 18.9 12.8 75.9
Issuance and sales of Alliance Units............... 20.6 - 52.4
Other.............................................. (2.8) (.6) .3
----------------- ---------------- -----------------
Investment (Losses) Gains, Net..................... $ (9.8) $ 5.3 $ 91.8
================= ================ =================
</TABLE>
Writedowns of fixed maturities amounted to $29.9 million, $46.7 million
and $30.8 million for 1996, 1995 and 1994, respectively, and writedowns
of equity real estate subsequent to the adoption of SFAS No. 121
amounted to $23.7 million for the year ended December 31, 1996.
For 1996, 1995 and 1994, respectively, proceeds received on sales of
fixed maturities classified as available for sale amounted to $8,353.5
million, $8,206.0 million and $5,253.9 million. Gross gains of $154.2
million, $211.4 million and $65.2 million and gross losses of $92.7
million, $64.2 million and $50.8 million, respectively, were realized
on these sales. The change in unrealized investment (losses) gains
related to fixed maturities classified as available for sale for 1996,
1995 and 1994 amounted to $(258.0) million, $1,077.2 million and
$(742.2) million, respectively.
During each of 1995 and 1994, one security classified as held to
maturity was sold. During the eleven months ended November 30, 1995 and
the year ended December 31, 1994, respectively, twelve and six
securities so classified were transferred to the available for sale
portfolio. All actions were taken as a result of a significant
SAI-52
<PAGE>
deterioration in creditworthiness. The aggregate amortized costs of the
securities sold were $1.0 million and $19.9 million with a related
investment gain of $-0- million and $.8 million recognized in 1995 and
1994, respectively; the aggregate amortized cost of the securities
transferred was $116.0 million and $42.8 million with gross unrealized
investment losses of $3.2 million and $3.1 million charged to
consolidated shareholder's equity for the eleven months ended November
30, 1995 and the year ended December 31, 1994, respectively. On
December 1, 1995, the Company transferred $4,794.9 million of
securities classified as held to maturity to the available for sale
portfolio. As a result, unrealized gains on fixed maturities increased
$395.6 million, offset by DAC of $126.5 million, amounts attributable
to participating group annuity contracts of $39.2 million and deferred
Federal income taxes of $80.5 million.
For 1996, 1995 and 1994, investment results passed through to certain
participating group annuity contracts as interest credited to
policyholders' account balances amounted to $136.7 million, $131.2
million and $175.8 million, respectively.
In 1996, Alliance acquired the business of Cursitor-Eaton Asset
Management Company and Cursitor Holdings Limited (collectively,
"Cursitor") for approximately $159.0 million. The purchase price
consisted of $94.3 million in cash, 1.8 million of Alliance's publicly
traded units ("Alliance Units"), 6% notes aggregating $21.5 million
payable ratably over four years, and substantial additional
consideration which will be determined at a later date. The excess of
the purchase price, including acquisition costs and minority interest,
over the fair value of Cursitor's net assets acquired resulted in the
recognition of intangible assets consisting of costs assigned to
contracts acquired and goodwill of approximately $122.8 million and
$38.3 million, respectively, which are being amortized over the
estimated useful lives of 20 years. The Company recognized an
investment gain of $20.6 million as a result of the issuance of
Alliance Units in this transaction. At December 31, 1996, the Company's
ownership of Alliance Units was approximately 57.3%.
In 1994, Alliance sold 4.96 million newly issued Alliance Units to
third parties at prevailing market prices. The Company continues to
hold its 1% general partnership interest in Alliance. The Company
recognized an investment gain of $52.4 million as a result of these
transactions.
SAI-53
<PAGE>
Net unrealized investment gains (losses), included in the consolidated
balance sheets as a component of equity and the changes for the
corresponding years, are summarized as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Balance, beginning of year as restated............. $ 396.5 $ (220.5) $ 144.6
Changes in unrealized investment (losses) gains.... (297.6) 1,198.9 (856.7)
Changes in unrealized investment losses
(gains) attributable to:
Participating group annuity contracts.......... - (78.1) 40.8
DAC............................................ 42.3 (216.8) 273.6
Deferred Federal income taxes.................. 48.7 (287.0) 177.2
----------------- ---------------- -----------------
Balance, End of Year............................... $ 189.9 $ 396.5 $ (220.5)
================= ================ =================
Balance, end of year comprises:
Unrealized investment gains (losses) on:
Fixed maturities............................... $ 357.8 $ 615.9 $ (461.3)
Other equity investments....................... 31.6 31.1 7.7
Other, principally Closed Block................ 53.1 93.1 (5.1)
----------------- ---------------- -----------------
Total........................................ 442.5 740.1 (458.7)
Amounts of unrealized investment (gains)
losses attributable to:
Participating group annuity contracts........ (72.2) (72.2) 5.9
DAC.......................................... (52.0) (94.3) 122.4
Deferred Federal income taxes................ (128.4) (177.1) 109.9
----------------- ---------------- -----------------
Total.............................................. $ 189.9 $ 396.5 $ (220.5)
================= ================ =================
</TABLE>
SAI-54
<PAGE>
6) CLOSED BLOCK
Summarized financial information of the Closed Block follows:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------
1996 1995
----------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Assets
Fixed Maturities:
Available for sale, at estimated fair value (amortized cost,
$3,820.7 and $3,662.8)...................................... $ 3,889.5 $ 3,896.2
Mortgage loans on real estate................................... 1,380.7 1,368.8
Policy loans.................................................... 1,765.9 1,797.2
Cash and other invested assets.................................. 336.1 440.9
DAC............................................................. 876.5 792.6
Other assets.................................................... 246.3 286.4
----------------- -----------------
Total Assets.................................................... $ 8,495.0 $ 8,582.1
================= =================
Liabilities
Future policy benefits and policyholders' account balances...... $ 8,999.7 $ 8,923.5
Other liabilities............................................... 91.6 297.9
----------------- -----------------
Total Liabilities............................................... $ 9,091.3 $ 9,221.4
================= =================
</TABLE>
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Revenues
Premiums and other revenue......................... $ 724.8 $ 753.4 $ 798.1
Investment income (net of investment
expenses of $27.3, $26.7 and $19.0).............. 546.6 538.9 523.0
Investment losses, net............................. (5.5) (20.2) (24.0)
----------------- ---------------- -----------------
Total revenues............................... 1,265.9 1,272.1 1,297.1
----------------- ---------------- -----------------
Benefits and Other Deductions
Policyholders' benefits and dividends.............. 1,106.3 1,077.6 1,121.6
Other operating costs and expenses................. 34.6 51.3 38.5
----------------- ---------------- -----------------
Total benefits and other deductions.......... 1,140.9 1,128.9 1,160.1
----------------- ---------------- -----------------
Contribution from the Closed Block................. $ 125.0 $ 143.2 $ 137.0
================= ================ =================
</TABLE>
In the fourth quarter of 1996, the Company adopted SFAS No. 120, which
prescribes the accounting for individual participating life insurance
contracts, most of which are included in the Closed Block. The
implementation of SFAS No. 120 resulted in an increase (decrease) in
the contribution from the Closed Block of $27.5 million, $18.8 million
and $(14.0) million in 1996, 1995 and 1994, respectively.
SAI-55
<PAGE>
The fixed maturity portfolio, based on amortized cost, includes $.4
million and $4.3 million at December 31, 1996 and 1995, respectively,
of restructured securities which includes problem fixed maturities of
$.3 million and $1.9 million, respectively.
During the eleven months ended November 30, 1995, one security
classified as held to maturity was sold and ten securities classified
as held to maturity were transferred to the available for sale
portfolio. All actions resulted from significant deterioration in
creditworthiness. The amortized cost of the security sold was $4.2
million. The aggregate amortized cost of the securities transferred was
$81.3 million with gross unrealized investment losses of $.1 million
transferred to equity. At December 1, 1995, $1,750.7 million of
securities classified as held to maturity were transferred to the
available for sale portfolio. As a result, unrealized gains of $88.5
million on fixed maturities were recognized, offset by DAC amortization
of $52.6 million.
At December 31, 1996 and 1995, problem mortgage loans on real estate
had an amortized cost of $4.3 million and $36.5 million, respectively,
and mortgage loans on real estate for which the payment terms have been
restructured had an amortized cost of $114.2 million and $137.7
million, respectively. At December 31, 1996 and 1995, the restructured
mortgage loans on real estate amount included $.7 million and $8.8
million, respectively, of problem mortgage loans on real estate.
Impaired mortgage loans (as defined under SFAS No. 114) along with the
related provision for losses were as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Impaired mortgage loans with provision for losses......... $ 128.1 $ 106.8
Impaired mortgage loans with no provision for losses...... .6 10.1
---------------- -----------------
Recorded investment in impaired mortgages................. 128.7 116.9
Provision for losses...................................... 12.9 17.9
---------------- -----------------
Net Impaired Mortgage Loans............................... $ 115.8 $ 99.0
================ =================
</TABLE>
During 1996 and 1995, respectively, the Closed Block's average recorded
investment in impaired mortgage loans was $153.8 million and $146.9
million, respectively. Interest income recognized on these impaired
mortgage loans totaled $10.9 million and $5.9 million for 1996 and
1995, respectively, including $4.7 million and $1.3 million recognized
on a cash basis.
Valuation allowances amounted to $13.8 million and $18.4 million on
mortgage loans on real estate and $3.7 million and $4.3 million on
equity real estate at December 31, 1996 and 1995, respectively.
Writedowns of fixed maturities amounted to $12.8 million, $16.8 million
and $15.9 million for 1996, 1995 and 1994, respectively. As of January
1, 1996, the adoption of SFAS No. 121 resulted in the recognition of
impairment losses of $5.6 million on real estate held and used.
Many expenses related to Closed Block operations are charged to
operations outside of the Closed Block; accordingly, the contribution
from the Closed Block does not represent the actual profitability of
the Closed Block operations. Operating costs and expenses outside of
the Closed Block are, therefore, disproportionate to the business
outside of the Closed Block.
SAI-56
<PAGE>
7) DISCONTINUED OPERATIONS
Summarized financial information of the GIC Segment follows:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------
1996 1995
----------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Assets
Mortgage loans on real estate........... $ 1,111.1 $ 1,485.8
Equity real estate...................... 925.6 1,122.1
Other invested assets................... 474.0 665.2
Other assets............................ 226.1 579.3
----------------- -----------------
Total Assets............................ $ 2,736.8 $ 3,852.4
================= =================
Liabilities
Policyholders' liabilities.............. $ 1,335.9 $ 1,399.8
Allowance for future losses............. 262.0 164.2
Amounts due to continuing operations.... 996.2 2,097.1
Other liabilities....................... 142.7 191.3
----------------- -----------------
Total Liabilities....................... $ 2,736.8 $ 3,852.4
================= =================
</TABLE>
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Revenues
Investment income (net of investment expenses
of $127.5, $153.1 and $183.3).................... $ 245.4 $ 323.6 $ 394.3
Investment (losses) gains, net..................... (18.9) (22.9) 26.8
Policy fees, premiums and other income............. .2 .7 .4
----------------- ---------------- -----------------
Total revenues..................................... 226.7 301.4 421.5
Benefits and other deductions...................... 250.4 326.5 443.2
Losses charged to allowance for future losses...... (23.7) (25.1) (21.7)
----------------- ---------------- -----------------
Pre-tax loss from operations....................... - - -
Pre-tax loss from strengthening of the
allowance for future losses...................... (129.0) - -
Federal income tax benefit......................... 45.2 - -
----------------- ---------------- -----------------
Loss from Discontinued Operations.................. $ (83.8) $ - $ -
================= ================ =================
</TABLE>
In 1991, management adopted a plan to discontinue the business
operations of the GIC Segment consisting of group non-participating
Wind-Up Annuities and the GIC lines of business. The loss allowance and
premium deficiency reserve of $569.6 million provided for in 1991 were
based on management's best judgment at that time.
The Company's quarterly process for evaluating the loss provisions
applies the current period's results of the discontinued operations
against the allowance, re-estimates future losses, and adjusts the
provisions, if appropriate. Additionally, as part of the Company's
annual planning process which takes place in the fourth
SAI-57
<PAGE>
quarter of each year, investment and benefit cash flow projections are
prepared. These updated assumptions and estimates resulted in the need
to strengthen the loss provisions by $129.0 million, resulting in a
post-tax charge of $83.8 million to discontinued operations' results in
the fourth quarter of 1996.
Management believes the loss provisions for Wind-Up Annuities and GIC
contracts at December 31, 1996 are adequate to provide for all future
losses; however, the determination of loss provisions continues to
involve numerous estimates and subjective judgments regarding the
expected performance of discontinued operations investment assets.
There can be no assurance the losses provided for will not differ from
the losses ultimately realized. To the extent actual results or future
projections of the discontinued operations differ from management's
current best estimates and assumptions underlying the loss provisions,
the difference would be reflected in the consolidated statements of
earnings in discontinued operations. In particular, to the extent
income, sales proceeds and holding periods for equity real estate
differ from management's previous assumptions, periodic adjustments to
the loss provisions are likely to result.
In January 1995, continuing operations transferred $1,215.4 million in
cash to the GIC Segment in settlement of its obligation to provide
assets to fund the accumulated deficit of the GIC Segment.
Subsequently, the GIC Segment remitted $1,155.4 million in cash to
continuing operations in partial repayment of borrowings by the GIC
Segment. No gains or losses were recognized on these transactions.
Amounts due to continuing operations at December 31, 1996, consisted of
$1,080.0 million borrowed by the discontinued GIC Segment offset by
$83.8 million representing an obligation of continuing operations to
provide assets to fund the accumulated deficit of the GIC Segment.
Investment income included $88.2 million of interest income for 1994 on
amounts due from continuing operations. Benefits and other deductions
include $114.3 million, $154.6 million and $219.7 million of interest
expense related to amounts borrowed from continuing operations in 1996,
1995 and 1994, respectively.
Valuation allowances amounted to $9.0 million and $19.2 million on
mortgage loans on real estate and $20.4 million and $77.9 million on
equity real estate at December 31, 1996 and 1995, respectively. As of
January 1, 1996, the adoption of SFAS No. 121 resulted in a release of
existing valuation allowances of $71.9 million on equity real estate
and recognition of impairment losses of $69.8 million on real estate
held and used. Writedowns of fixed maturities amounted to $1.6 million,
$8.1 million and $17.8 million for 1996, 1995 and 1994, respectively
and writedowns of equity real estate subsequent to the adoption of SFAS
No. 121 amounted to $12.3 million for 1996.
The fixed maturity portfolio, based on amortized cost, includes $6.2
million and $15.1 million at December 31, 1996 and 1995, respectively,
of restructured securities. These amounts include problem fixed
maturities of $.5 million and $6.1 million at December 31, 1996 and
1995, respectively.
At December 31, 1996 and 1995, problem mortgage loans on real estate
had amortized costs of $7.9 million and $35.4 million, respectively,
and mortgage loans on real estate for which the payment terms have been
restructured had amortized costs of $208.1 million and $289.3 million,
respectively.
SAI-58
<PAGE>
Impaired mortgage loans (as defined under SFAS No. 114) along with the
related provision for losses were as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Impaired mortgage loans with provision for losses....... $ 83.5 $ 105.1
Impaired mortgage loans with no provision for losses.... 15.0 18.2
---------------- -----------------
Recorded investment in impaired mortgages............... 98.5 123.3
Provision for losses.................................... 8.8 17.7
---------------- -----------------
Net Impaired Mortgage Loans............................. $ 89.7 $ 105.6
================ =================
</TABLE>
During 1996 and 1995, the GIC Segment's average recorded investment in
impaired mortgage loans was $134.8 million and $177.4 million,
respectively. Interest income recognized on these impaired mortgage
loans totaled $10.1 million and $4.5 million for 1996 and 1995,
respectively, including $7.5 million and $.4 million recognized on a
cash basis.
At December 31, 1996 and 1995, the GIC Segment had $263.0 million and
$310.9 million, respectively, of real estate acquired in satisfaction
of debt.
8) SHORT-TERM AND LONG-TERM DEBT
Short-term and long-term debt consists of the following:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------
1996 1995
----------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Short-term debt.................................... $ 174.1 $ -
----------------- -----------------
Long-term debt:
Equitable Life:
6.95% surplus notes scheduled to mature 2005..... 399.4 399.3
7.70% surplus notes scheduled to mature 2015..... 199.6 199.6
Eurodollar notes, 10.5% due 1997................. - 76.2
Zero coupon note, 11.25% due 1997................ - 120.1
Other............................................ .5 16.3
----------------- -----------------
Total Equitable Life......................... 599.5 811.5
----------------- -----------------
Wholly Owned and Joint Venture Real Estate:
Mortgage notes, 4.92% - 12.50% due through 2006.. 968.6 1,084.4
----------------- -----------------
Alliance:
Other............................................ 24.7 3.4
----------------- -----------------
Total long-term debt............................... 1,592.8 1,899.3
----------------- -----------------
Total Short-term and Long-term Debt................ $ 1,766.9 $ 1,899.3
================= =================
</TABLE>
SAI-59
<PAGE>
Short-term Debt
---------------
Equitable Life has a $350.0 million bank credit facility available to
fund short-term working capital needs and to facilitate the securities
settlement process. The credit facility consists of two types of
borrowing options with varying interest rates. The interest rates are
based on external indices dependent on the type of borrowing and at
December 31, 1996 range from 5.73% (the London Interbank Offering Rate
("LIBOR") plus 22.5 basis points) to 8.25% (the prime rate). There were
no borrowings outstanding under this bank credit facility at December
31, 1996.
Equitable Life has a commercial paper program with an issue limit of
$500.0 million. This program is available for general corporate
purposes used to support Equitable Life's liquidity needs and is
supported by Equitable Life's existing $350.0 million five-year bank
credit facility. There were no borrowings outstanding under this
program at December 31, 1996.
In February 1996, Alliance entered into a new $250.0 million five-year
revolving credit facility with a group of banks which replaced its
$100.0 million revolving credit facility and its $100.0 million
commercial paper back-up revolving credit facility. Under the new
revolving credit facility, the interest rate, at the option of
Alliance, is a floating rate generally based upon a defined prime rate,
a rate related to the LIBOR or the Federal Funds rate. A facility fee
is payable on the total facility. The revolving credit facility will be
used to provide back-up liquidity for commercial paper to be used under
Alliance's $100.0 million commercial paper program, to fund commission
payments to financial intermediaries for the sale of Class B and C
shares under Alliance's mutual fund distribution system, and for
general working capital purposes. As of December 31, 1996, Alliance had
not issued any commercial paper under its $100.0 million commercial
paper program and there were no borrowings outstanding under Alliance's
revolving credit facility.
At December 31, 1996, long-term debt expected to mature in 1997
totaling $174.1 million was reclassified as short-term debt.
Long-term Debt
--------------
Several of the long-term debt agreements have restrictive covenants
related to the total amount of debt, net tangible assets and other
matters. The Company is in compliance with all debt covenants.
On December 18, 1995, Equitable Life issued, in accordance with Section
1307 of the New York Insurance Law, $400.0 million of surplus notes
having an interest rate of 6.95% scheduled to mature in 2005 and $200.0
million of surplus notes having an interest rate of 7.70% scheduled to
mature in 2015 (together, the "Surplus Notes"). Proceeds from the
issuance of the Surplus Notes were $596.6 million, net of related
issuance costs. The unamortized discount on the Surplus Notes was $1.0
million at December 31, 1996. Payments of interest on or principal of
the Surplus Notes are subject to prior approval by the Superintendent.
The Company has pledged real estate, mortgage loans, cash and
securities amounting to $1,406.4 million and $1,629.7 million at
December 31, 1996 and 1995, respectively, as collateral for certain
long-term debt.
At December 31, 1996, aggregate maturities of the long-term debt based
on required principal payments at maturity for 1997 and the succeeding
four years are $494.9 million, $316.7 million, $19.7 million, $5.4
million, $0 million, respectively, and $946.7 million thereafter.
SAI-60
<PAGE>
9) FEDERAL INCOME TAXES
A summary of the Federal income tax expense (benefit) in the
consolidated statements of earnings is shown below:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Federal income tax expense (benefit):
Current............................... $ 97.9 $ (11.7) $ 4.0
Deferred.............................. (88.2) 132.2 96.2
----------------- ---------------- -----------------
Total................................... $ 9.7 $ 120.5 $ 100.2
================= ================ =================
</TABLE>
The Federal income taxes attributable to consolidated operations are
different from the amounts determined by multiplying the earnings
before Federal income taxes and minority interest by the expected
Federal income tax rate of 35%. The sources of the difference and the
tax effects of each are as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Expected Federal income tax expense..... $ 73.0 $ 173.7 $ 154.5
Non-taxable minority interest........... (28.6) (22.0) (17.6)
Differential earnings amount............ - - (16.8)
Adjustment of tax audit reserves........ 6.9 4.1 (4.6)
Equity in unconsolidated subsidiaries... (32.3) (19.4) (12.5)
Other................................... (9.3) (15.9) (2.8)
----------------- ---------------- -----------------
Federal Income Tax Expense.............. $ 9.7 $ 120.5 $ 100.2
================= ================ =================
</TABLE>
Prior to the date of demutualization, Equitable Life reduced its
deduction for policyholder dividends by the differential earnings
amount. This amount was computed, for each tax year, by multiplying
Equitable Life's average equity base, as determined for tax purposes,
by an estimate of the excess of an imputed earnings rate for stock life
insurance companies over the average mutual life insurance companies'
earnings rate. The differential earnings amount for each tax year was
subsequently recomputed when actual earnings rates were published by
the Internal Revenue Service. As a stock life insurance company,
Equitable Life no longer is required to reduce its policyholder
dividend deduction by the differential earnings amount, but
differential earnings amounts for pre-demutualization years were still
being recomputed in 1994.
The components of the net deferred Federal income tax account are as
follows:
<TABLE>
<CAPTION>
DECEMBER 31, 1996 December 31, 1995
--------------------------------- ---------------------------------
ASSETS LIABILITIES Assets Liabilities
--------------- ---------------- --------------- ---------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
DAC, reserves and reinsurance.......... $ - $ 166.0 $ - $ 304.4
Investments............................ - 328.6 - 326.9
Compensation and related benefits...... 259.2 - 293.0 -
Other.................................. - 1.8 - 32.3
--------------- ---------------- --------------- ---------------
Total.................................. $ 259.2 $ 496.4 $ 293.0 $ 663.6
=============== ================ =============== ===============
</TABLE>
SAI-61
<PAGE>
The deferred Federal income taxes impacting operations reflect the net
tax effects of temporary differences between the carrying amounts of
assets and liabilities for financial reporting purposes and the amounts
used for income tax purposes. The sources of these temporary
differences and the tax effects of each are as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
DAC, reserves and reinsurance......... $ (156.2) $ 63.3 $ 12.0
Investments........................... 78.6 13.0 89.3
Compensation and related benefits..... 22.3 30.8 10.0
Other................................. (32.9) 25.1 (15.1)
----------------- ---------------- -----------------
Deferred Federal Income Tax
(Benefit) Expense................... $ (88.2) $ 132.2 $ 96.2
================= ================ =================
</TABLE>
The Internal Revenue Service is in the process of examining the Holding
Company's consolidated Federal income tax returns for the years 1989
through 1991. Management believes these audits will have no material
adverse effect on the Company's results of operations.
10) REINSURANCE AGREEMENTS
The Insurance Group assumes and cedes reinsurance with other insurance
companies. The Insurance Group evaluates the financial condition of its
reinsurers to minimize its exposure to significant losses from
reinsurer insolvencies. The effect of reinsurance (excluding group life
and health) is summarized as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Direct premiums.................................... $ 461.4 $ 474.2 $ 476.7
Reinsurance assumed................................ 177.5 171.3 180.5
Reinsurance ceded.................................. (41.3) (38.7) (31.6)
----------------- ---------------- -----------------
Premiums........................................... $ 597.6 $ 606.8 $ 625.6
================= ================ =================
Universal Life and Investment-type Product
Policy Fee Income Ceded.......................... $ 48.2 $ 44.0 $ 27.5
================= ================ =================
Policyholders' Benefits Ceded...................... $ 54.1 $ 48.9 $ 20.7
================= ================ =================
Interest Credited to Policyholders' Account
Balances Ceded................................... $ 32.3 $ 28.5 $ 25.4
================= ================ =================
</TABLE>
Effective January 1, 1994, all in force business above $5.0 million was
reinsured. During 1996, the Company's retention limit on joint
survivorship policies was increased to $15.0 million. The Insurance
Group also reinsures the entire risk on certain substandard
underwriting risks as well as in certain other cases.
The Insurance Group cedes 100% of its group life and health business to
a third party insurance company. Premiums ceded totaled $2.4 million,
$260.6 million and $241.0 million for 1996, 1995 and 1994,
respectively. Ceded death and disability benefits totaled $21.2
million, $188.1 million and $235.5 million for 1996, 1995 and 1994,
respectively. Insurance liabilities ceded totaled $652.4 million and
$724.2 million at December 31, 1996 and 1995, respectively.
SAI-62
<PAGE>
11) EMPLOYEE BENEFIT PLANS
The Company sponsors qualified and non-qualified defined benefit plans
covering substantially all employees (including certain qualified
part-time employees), managers and certain agents. The pension plans
are non-contributory. Equitable Life's and EREIM's benefits are based
on a cash balance formula or years of service and final average
earnings, if greater, under certain grandfathering rules in the plans.
Alliance's benefits are based on years of credited service, average
final base salary and primary social security benefits. The Company's
funding policy is to make the minimum contribution required by the
Employee Retirement Income Security Act of 1974.
Components of net periodic pension cost (credit) for the qualified and
non-qualified plans are as follows:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Service cost....................................... $ 33.8 $ 30.0 $ 30.3
Interest cost on projected benefit obligations..... 120.8 122.0 111.0
Actual return on assets............................ (181.4) (309.2) 24.4
Net amortization and deferrals..................... 43.4 155.6 (142.5)
----------------- ---------------- -----------------
Net Periodic Pension Cost (Credit)................. $ 16.6 $ (1.6) $ 23.2
================= ================ =================
</TABLE>
The funded status of the qualified and non-qualified pension plans is
as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Actuarial present value of obligations:
Vested.................................................. $ 1,672.2 $ 1,642.4
Non-vested.............................................. 10.1 10.9
---------------- -----------------
Accumulated Benefit Obligation............................ $ 1,682.3 $ 1,653.3
================ =================
Plan assets at fair value................................. $ 1,626.0 $ 1,503.8
Projected benefit obligation.............................. 1,765.5 1,743.0
---------------- -----------------
Projected benefit obligation in excess of plan assets..... (139.5) (239.2)
Unrecognized prior service cost........................... (17.9) (25.5)
Unrecognized net loss from past experience different
from that assumed....................................... 280.0 368.2
Unrecognized net asset at transition...................... 4.7 (7.3)
Additional minimum liability.............................. (19.3) (51.9)
---------------- -----------------
Prepaid Pension Cost...................................... $ 108.0 $ 44.3
================ =================
</TABLE>
The discount rate and rate of increase in future compensation levels
used in determining the actuarial present value of projected benefit
obligations were 7.5% and 4.25%, respectively, at December 31, 1996 and
7.25% and 4.50%, respectively, at December 31, 1995. As of January 1,
1996 and 1995, the expected long-term rate of return on assets for the
retirement plan was 10.25% and 11%, respectively.
SAI-63
<PAGE>
The Company recorded, as a reduction of shareholder's equity, an
additional minimum pension liability of $12.9 million and $35.1
million, net of Federal income taxes, at December 31, 1996 and 1995,
respectively, representing the excess of the accumulated benefit
obligation over the fair value of plan assets and accrued pension
liability.
The pension plan's assets include corporate and government debt
securities, equity securities, equity real estate and shares of Group
Trusts managed by Alliance.
Prior to 1987, the qualified plan funded participants' benefits through
the purchase of non-participating annuity contracts from Equitable
Life. Benefit payments under these contracts were approximately $34.7
million, $36.4 million and $38.1 million for 1996, 1995 and 1994,
respectively.
The Company provides certain medical and life insurance benefits
(collectively, "postretirement benefits") for qualifying employees,
managers and agents retiring from the Company on or after attaining age
55 who have at least 10 years of service. The life insurance benefits
are related to age and salary at retirement. The costs of
postretirement benefits are recognized in accordance with the
provisions of SFAS No. 106. The Company continues to fund
postretirement benefits costs on a pay-as-you-go basis and, for 1996,
1995 and 1994, the Company made estimated postretirement benefits
payments of $18.9 million, $31.1 million and $29.8 million,
respectively.
The following table sets forth the postretirement benefits plan's
status, reconciled to amounts recognized in the Company's consolidated
financial statements:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Service cost....................................... $ 5.3 $ 4.0 $ 3.9
Interest cost on accumulated postretirement
benefits obligation.............................. 34.6 34.7 28.6
Net amortization and deferrals..................... 2.4 (2.3) (3.9)
----------------- ---------------- -----------------
Net Periodic Postretirement Benefits Costs......... $ 42.3 $ 36.4 $ 28.6
================= ================ =================
</TABLE>
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Accumulated postretirement benefits obligation:
Retirees................................................ $ 381.8 $ 391.8
Fully eligible active plan participants................. 50.7 50.4
Other active plan participants.......................... 60.7 64.2
---------------- -----------------
493.2 506.4
Unrecognized prior service cost........................... 50.5 56.3
Unrecognized net loss from past experience different
from that assumed and from changes in assumptions....... (150.5) (181.3)
---------------- -----------------
Accrued Postretirement Benefits Cost...................... $ 393.2 $ 381.4
================ =================
</TABLE>
SAI-64
<PAGE>
At January 1, 1994, medical benefits available to retirees under age 65
are the same as those offered to active employees and medical benefits
will be limited to 200% of 1993 costs for all participants.
The assumed health care cost trend rate used in measuring the
accumulated postretirement benefits obligation was 9.5% in 1996,
gradually declining to 3.5% in the year 2009 and in 1995 was 10%,
gradually declining to 3.5% in the year 2008. The discount rate used in
determining the accumulated postretirement benefits obligation was
7.50% and 7.25% at December 31, 1996 and 1995, respectively.
If the health care cost trend rate assumptions were increased by 1%,
the accumulated postretirement benefits obligation as of December 31,
1996 would be increased 7%. The effect of this change on the sum of the
service cost and interest cost would be an increase of 8%.
12) DERIVATIVES AND FAIR VALUE OF FINANCIAL INSTRUMENTS
Derivatives
-----------
The Insurance Group primarily uses derivatives for asset/liability risk
management and for hedging individual securities. Derivatives mainly
are utilized to reduce the Insurance Group's exposure to interest rate
fluctuations. Accounting for interest rate swap transactions is on an
accrual basis. Gains and losses related to interest rate swap
transactions are amortized as yield adjustments over the remaining life
of the underlying hedged security. Income and expense resulting from
interest rate swap activities are reflected in net investment income.
The notional amount of matched interest rate swaps outstanding at
December 31, 1996 was $649.9 million. The average unexpired terms at
December 31, 1996 range from 2.2 to 2.7 years. At December 31, 1996,
the cost of terminating outstanding matched swaps in a loss position
was $8.3 million and the unrealized gain on outstanding matched swaps
in a gain position was $11.4 million. The Company has no intention of
terminating these contracts prior to maturity. During 1996, 1995 and
1994, net gains (losses) of $.2 million, $1.4 million and $(.2)
million, respectively, were recorded in connection with interest rate
swap activity. Equitable Life has implemented an interest rate cap
program designed to hedge crediting rates on interest-sensitive
individual annuities contracts. The outstanding notional amounts at
December 31, 1996 of contracts purchased and sold were $5,050.0 million
and $500.0 million, respectively. The net premium paid by Equitable
Life on these contracts was $22.5 million and is being amortized
ratably over the contract periods ranging from 3 to 5 years. Income and
expense resulting from this program are reflected as an adjustment to
interest credited to policyholders' account balances.
Substantially all of DLJ's business related to derivatives is by its
nature trading activities which are primarily for the purpose of
customer accommodations. DLJ's derivative activities consist primarily
of option writing and trading in forward and futures contracts.
Derivative financial instruments have both on-and-off balance sheet
implications depending on the nature of the contracts. DLJ's
involvement in swap contracts is not significant.
Fair Value of Financial Instruments
-----------------------------------
The Company defines fair value as the quoted market prices for those
instruments that are actively traded in financial markets. In cases
where quoted market prices are not available, fair values are estimated
using present value or other valuation techniques. The fair value
estimates are made at a specific point in time, based on available
market information and judgments about the financial instrument,
including estimates of timing, amount of expected future cash flows and
the credit standing of counterparties. Such estimates do not reflect
any premium or discount that could result from offering for sale at one
time the Company's entire holdings of a particular financial
instrument, nor do they consider the tax impact of the realization of
SAI-65
<PAGE>
unrealized gains or losses. In many cases, the fair value estimates
cannot be substantiated by comparison to independent markets, nor can
the disclosed value be realized in immediate settlement of the
instrument.
Certain financial instruments are excluded, particularly insurance
liabilities other than financial guarantees and investment contracts.
Fair market value of off-balance-sheet financial instruments of the
Insurance Group was not material at December 31, 1996 and 1995.
Fair value for mortgage loans on real estate are estimated by
discounting future contractual cash flows using interest rates at which
loans with similar characteristics and credit quality would be made.
Fair values for foreclosed mortgage loans and problem mortgage loans
are limited to the estimated fair value of the underlying collateral if
lower.
The estimated fair values for the Company's liabilities under GIC and
association plan contracts are estimated using contractual cash flows
discounted based on the T. Rowe Price GIC Index Rate for the
appropriate duration. For durations in excess of the published index
rate, the appropriate Treasury rate is used plus a spread equal to the
longest duration GIC rate spread published.
The estimated fair values for those group annuity contracts which are
classified as universal life type contracts are measured at the
estimated fair value of the underlying assets. The estimated fair
values for single premium deferred annuities ("SPDA") are estimated
using projected cash flows discounted at current offering rates. The
estimated fair values for supplementary contracts not involving life
contingencies ("SCNILC") and annuities certain are derived using
discounted cash flows based upon the estimated current offering rate.
Fair value for long-term debt is determined using published market
values, where available, or contractual cash flows discounted at market
interest rates. The estimated fair values for non-recourse mortgage
debt are determined by discounting contractual cash flows at a rate
which takes into account the level of current market interest rates and
collateral risk. The estimated fair values for recourse mortgage debt
are determined by discounting contractual cash flows at a rate based
upon current interest rates of other companies with credit ratings
similar to the Company. The Company's fair value of short-term
borrowings approximates their carrying value.
SAI-66
<PAGE>
The following table discloses carrying value and estimated fair value
for financial instruments not otherwise disclosed in Notes 3, 6 and 7:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------------------------------------
1996 1995
--------------------------------- ---------------------------------
CARRYING ESTIMATED Carrying Estimated
VALUE FAIR VALUE Value Fair Value
--------------- ---------------- --------------- ---------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
Consolidated Financial Instruments:
-----------------------------------
Mortgage loans on real estate.......... $ 3,133.0 $ 3,394.6 $ 3,638.3 $ 3,973.6
Other joint ventures................... 467.0 467.0 492.7 492.7
Policy loans........................... 2,196.1 2,221.6 1,976.4 2,057.5
Policyholders' account balances:
Association plans.................... 78.1 77.3 101.0 100.0
Group annuity contracts.............. 2,141.0 1,954.0 2,335.0 2,395.0
SPDA................................. 1,062.7 1,065.7 1,265.8 1,272.0
Annuities certain and SCNILC......... 654.9 736.2 646.4 716.7
Long-term debt......................... 1,592.8 1,557.7 1,899.3 1,962.9
Closed Block Financial Instruments:
-----------------------------------
Mortgage loans on real estate.......... 1,380.7 1,425.6 1,368.8 1,461.4
Other equity investments............... 105.0 105.0 151.6 151.6
Policy loans........................... 1,765.9 1,798.0 1,797.2 1,891.4
SCNILC liability....................... 30.6 34.9 34.8 39.6
GIC Segment Financial Instruments:
----------------------------------
Mortgage loans on real estate.......... 1,111.1 1,220.3 1,485.8 1,666.1
Fixed maturities....................... 42.5 42.5 107.4 107.4
Other equity investments............... 300.5 300.5 455.9 455.9
Guaranteed interest contracts.......... 290.7 300.5 329.0 352.0
Long-term debt......................... 102.1 102.2 135.1 136.0
</TABLE>
13) COMMITMENTS AND CONTINGENT LIABILITIES
The Company has provided, from time to time, certain guarantees or
commitments to affiliates, investors and others. These arrangements
include commitments by the Company, under certain conditions: to make
capital contributions of up to $244.9 million to affiliated real estate
joint ventures; to provide equity financing to certain limited
partnerships of $205.8 million at December 31, 1996, under existing
loan or loan commitment agreements; and to provide short-term financing
loans which at December 31, 1996 totaled $14.6 million. Management
believes the Company will not incur any material losses as a result of
these commitments.
SAI-67
<PAGE>
Equitable Life is the obligor under certain structured settlement
agreements which it had entered into with unaffiliated insurance
companies and beneficiaries. To satisfy its obligations under these
agreements, Equitable Life owns single premium annuities issued by
previously wholly owned life insurance subsidiaries. Equitable Life has
directed payment under these annuities to be made directly to the
beneficiaries under the structured settlement agreements. A contingent
liability exists with respect to these agreements should the previously
wholly owned subsidiaries be unable to meet their obligations.
Management believes the satisfaction of those obligations by Equitable
Life is remote.
At December 31, 1996, the Insurance Group had $51.6 million of letters
of credit outstanding.
14) LITIGATION
A number of lawsuits has been filed against life and health insurers in
the jurisdictions in which Equitable Life and its subsidiaries do
business involving insurers' sales practices, alleged agent misconduct,
failure to properly supervise agents, and other matters. Some of the
lawsuits have resulted in the award of substantial judgments against
other insurers, including material amounts of punitive damages, or in
substantial settlements. In some states, juries have substantial
discretion in awarding punitive damages. Equitable Life, EVLICO and The
Equitable of Colorado, Inc. ("EOC"), like other life and health
insurers, from time to time are involved in such litigation. To date,
no such lawsuit has resulted in an award or settlement of any material
amount against the Company. Among litigations pending against Equitable
Life, EVLICO and EOC of the type referred to in this paragraph are the
litigations described in the following eight paragraphs.
An action entitled Golomb et al. v. The Equitable Life Assurance
Society of the United States was filed on January 20, 1995 in New York
County Supreme Court. The action purports to be brought on behalf of a
class of persons insured after 1983 under Lifetime Guaranteed Renewable
Major Medical Insurance Policies issued by Equitable Life (the
"policies"). The complaint alleges that premium increases for these
policies after 1983, all of which were filed with and approved by the
New York State Insurance Department and certain other state insurance
departments, breached the terms of the policies, and that statements in
the policies and elsewhere concerning premium increases constituted
fraudulent concealment, misrepresentations in violation of New York
Insurance Law Section 4226 and deceptive practices under New York
General Business Law Section 349. The complaint seeks a declaratory
judgment, injunctive relief restricting the methods by which Equitable
Life increases premiums on the policies in the future, a refund of
premiums, and punitive damages. Plaintiffs also have indicated that
they will seek damages in an unspecified amount. Equitable Life moved
to dismiss the complaint in its entirety on the grounds that it fails
to state a claim and that uncontroverted documentary evidence
establishes a complete defense to the claims. On May 29, 1996, the New
York County Supreme Court entered a judgment dismissing the complaint
with prejudice. Plaintiffs have filed a notice of appeal of that
judgment.
In January 1996, separate actions were filed in Pennsylvania and Texas
state courts (entitled, respectively, Malvin et al. v. The Equitable
Life Assurance Society of the United States and Bowler et al. v. The
Equitable Life Assurance Society of the United States), making claims
similar to those in the New York action described above. The Texas
action also claims that Equitable Life misrepresented to Texas
policyholders that the Texas Insurance Department had approved
Equitable Life's rate increases. These actions are asserted on behalf
of proposed classes of Pennsylvania issued or renewed policyholders and
Texas issued or renewed policyholders, insured under the policies. The
Pennsylvania and Texas actions seek compensatory and punitive damages
and injunctive relief restricting the methods by which Equitable Life
increases premiums in the future based on the common law and statutes
of those states. On February 9, 1996, Equitable Life removed the
Pennsylvania action, Malvin, to the United States District Court for
the Middle District of Pennsylvania. Following the decision granting
Equitable Life's motion to dismiss the New York action
SAI-68
<PAGE>
(Golomb), on the consent of the parties the District Court ordered an
indefinite stay of all proceedings in the Pennsylvania action, pending
either party's right to reinstate the proceeding, and ordered that for
administrative purposes the case be deemed administratively closed. On
February 2, 1996, Equitable Life removed the Texas action, Bowler, to
the United States District Court for the Northern District of Texas. On
May 20, 1996, the plaintiffs in Bowler amended their complaint by
adding allegations of misrepresentation regarding premium increases on
other types of guaranteed renewable major medical insurance policies
issued by Equitable Life up to and including 1983. On July 1, 1996,
Equitable Life filed a motion for summary judgment dismissing the first
amended complaint in its entirety. In August, 1996, the court granted
plaintiffs leave to file a supplemental complaint on behalf of a
proposed class of Texas policyholders claiming unfair discrimination,
breach of contract and other claims arising out of alleged differences
between premiums charged to Texas policyholders and premiums charged to
similarly situated policyholders in New York and certain other states.
Plaintiffs seek refunds of alleged overcharges, exemplary or additional
damages citing Texas statutory provisions which among other things,
permit two times the amount of actual damage plus additional penalties
if the acts complained of are found to be knowingly committed, and
injunctive relief. Equitable Life has also filed a motion for summary
judgment dismissing the supplemental complaint in its entirety.
Plaintiffs also obtained permission to add another plaintiff to the
first amended and supplemental complaints. Plaintiffs have opposed both
motions for summary judgment and requested that certain issues be found
in their favor. Equitable Life is in the process of replying.
On May 22, 1996, a separate action entitled Bachman v. The Equitable
Life Assurance Society of the United States, was filed in Florida state
court making claims similar to those in the previously reported Golomb
action. The Florida action is asserted on behalf of a proposed class of
Florida issued or renewed policyholders insured after 1983 under
Lifetime Guaranteed Renewable Major Medical Insurance Policies issued
by Equitable Life. The Florida action seeks compensatory and punitive
damages and injunctive relief restricting the methods by which
Equitable Life increases premiums in the future based on various common
law claims. On June 20, 1996, Equitable Life removed the Florida action
to Federal court. Equitable Life has answered the complaint, denying
the material allegations and asserting certain affirmative defenses. On
December 6, 1996, Equitable Life filed a motion for summary judgment
and plaintiff is expected to file its response to that motion shortly.
On November 6, 1996, a proposed class action entitled Fletcher, et al.
v. The Equitable Life Assurance Society of the United States, was filed
in California Superior Court for Fresno County, making substantially
the same allegations concerning premium rates and premium rate
increases on guaranteed renewable policies made in the Bowler action.
The complaint alleges, among other things, that differentials between
rates charged California policyholders and policyholders in New York
and certain other states, and the methods used by Equitable Life to
calculate premium increases, breached the terms of its policies, that
Equitable Life misrepresented and concealed the facts pertaining to
such differentials and methods in violation of California law, and that
Equitable Life also misrepresented that its rate increases were
approved by the California Insurance Department. Plaintiffs seek
compensatory damages in an unspecified amount, rescission, injunctive
relief and attorneys' fees. Equitable Life removed the action to
Federal court; plaintiff has moved to remand the case to state court.
Although the outcome of any litigation cannot be predicted with
certainty, particularly in the early stages of an action, the Company's
management believes that the ultimate resolution of the Golomb, Malvin,
Bowler, Bachman and Fletcher litigations should not have a material
adverse effect on the financial position of the Company. Due to the
early stage of such litigations, the Company's management cannot make
an estimate of loss, if any, or predict whether or not such litigations
will have a material adverse effect on the Company's results of
operations in any particular period.
SAI-69
<PAGE>
An action was instituted on April 6, 1995 against Equitable Life and
its wholly owned subsidiary, EOC, in New York state court, entitled
Sidney C. Cole et al. v. The Equitable Life Assurance Society of the
United States and The Equitable of Colorado, Inc., No. 95/108611 (N. Y.
County). The action is brought by the holders of a joint survivorship
whole life policy issued by EOC. The action purports to be on behalf of
a class consisting of all persons who from January 1, 1984 purchased
life insurance policies sold by Equitable Life and EOC based upon their
allegedly uniform sales presentations and policy illustrations. The
complaint puts in issue various alleged sales practices that plaintiffs
assert, among other things, misrepresented the stated number of years
that the annual premium would need to be paid. Plaintiffs seek damages
in an unspecified amount, imposition of a constructive trust, and seek
to enjoin Equitable Life and EOC from engaging in the challenged sales
practices. On June 28, 1996, the court issued a decision and order
dismissing with prejudice plaintiff's causes of action for fraud,
constructive fraud, breach of fiduciary duty, negligence, and unjust
enrichment, and dismissing without prejudice plaintiff's cause of
action under the New York State consumer protection statute. The only
remaining causes of action are for breach of contract and negligent
misrepresentation. Plaintiffs made a motion for reargument with respect
to this order, which was submitted to the court in October 1996. This
motion was denied by the court on December 16, 1996.
On May 21, 1996, an action entitled Elton F. Duncan, III v. The
Equitable Life Assurance Society of the United States, was commenced
against Equitable Life in the Civil District Court for the Parish of
Orleans, State of Louisiana. The action is brought by an individual who
purchased a whole life policy. Plaintiff alleges misrepresentations
concerning the extent to which the policy was a proper replacement
policy and the number of years that the annual premium would need to be
paid. Plaintiff purports to represent a class consisting of all persons
who purchased whole life or universal life insurance policies from
Equitable Life from January 1, 1982 to the present. Plaintiff seeks
damages, including punitive damages, in an unspecified amount. On July
26, 1996, an action entitled Michael Bradley v. Equitable Variable Life
Insurance Company, was commenced in New York state court. The action is
brought by the holder of a variable life insurance policy issued by
EVLICO. The plaintiff purports to represent a class consisting of all
persons or entities who purchased one or more life insurance policies
issued by EVLICO from January 1, 1980. The complaint puts at issue
various alleged sales practices and alleges misrepresentations
concerning the extent to which the policy was a proper replacement
policy and the number of years that the annual premium would need to be
paid. Plaintiff seeks damages, including punitive damages, in an
unspecified amount and also seeks injunctive relief prohibiting EVLICO
from canceling policies for failure to make premium payments beyond the
alleged stated number of years that the annual premium would need to be
paid. On September 21, 1996 Equitable Life, EVLICO and EOC made a
motion to have this proceeding moved from Kings County Supreme Court to
New York County for joint trial or consolidation with the Cole action.
The motion was denied by the court on January 9, 1997. On January 10,
1997, plaintiffs moved for certification of a nationwide class
consisting of all persons or entities who were sold one or more life
insurance products on a "vanishing premium" basis and/or were allegedly
induced to purchase additional policies from EVLICO, using the cash
value accumulated in existing policies, from January 1, 1980 through
and including December 31, 1996. Plaintiffs further moved to have
Michael Bradley designated as the class representative. Discovery
regarding class certification is underway.
On December 12, 1996, an action entitled Robert E. Dillon v. The
Equitable Life Assurance Society of the United States and The Equitable
of Colorado, was commenced in the United States District Court for the
Southern District of Florida. The action is brought by an individual
who purchased a joint whole life policy from EOC. The complaint puts at
issue various alleged sales practices and alleges misrepresentations
concerning the alleged impropriety of replacement policies issued by
Equitable Life and EOC and alleged misrepresentations regarding the
number of years premiums would have to be paid on the defendants'
policies. Plaintiff brings claims for breach of contract, fraud,
negligent misrepresentation, money had and received, unjust enrichment
and imposition of a constructive trust. Plaintiff purports to represent
two classes
SAI-70
<PAGE>
of persons. The first is a "contract class," consisting of all persons
who purchased whole or universal life insurance policies from Equitable
Life and EOC and from whom Equitable Life and EOC have sought
additional payments beyond the number of years allegedly promised by
Equitable Life and EOC. The second is a "fraud class," consisting of
all persons with an interest in policies issued by Equitable Life and
EOC at any time since October 1, 1986. Plaintiff seeks damages in an
unspecified amount, and also seeks injunctive relief attaching
Equitable Life's and EOC's profits from their alleged sales practices.
Equitable Life's and EOC's time to answer or move with respect to the
complaint has been extended until February 24, 1997. Although the
outcome of litigation cannot be predicted with certainty, particularly
in the early stages of an action, the Company's management believes
that the ultimate resolution of the Cole, Duncan, Bradley and Dillon
litigations should not have a material adverse effect on the financial
position of the Company. Due to the early stages of such litigations,
the Company's management cannot make an estimate of loss, if any, or
predict whether or not any such litigation will have a material adverse
effect on the Company's results of operations in any particular period.
On January 3, 1996, an amended complaint was filed in an action
entitled Frank Franze Jr. and George Busher, individually and on behalf
of all others similarly situated v. The Equitable Life Assurance
Society of the United States, and Equitable Variable Life Insurance
Company, No. 94-2036 in the United States District Court for the
Southern District of Florida. The action was brought by two individuals
who purchased variable life insurance policies. The plaintiffs purport
to represent a nationwide class consisting of all persons who purchased
variable life insurance policies from Equitable Life and EVLICO since
September 30, 1991. The basic allegation of the amended complaint is
that Equitable Life's and EVLICO's agents were trained not to disclose
fully that the product being sold was life insurance. Plaintiffs allege
violations of the Federal securities laws and seek rescission of the
contracts or compensatory damages and attorneys' fees and expenses. The
court denied Equitable Life and EVLICO's motion to dismiss the amended
complaint on September 24, 1996. Equitable Life and EVLICO have
answered the amended complaint, denying the material allegations and
asserting certain affirmative defenses. Currently, the parties are
conducting discovery in connection with plaintiffs' attempt to certify
a class. On January 9, 1997, an action entitled Rosemarie Chaviano,
individually and on behalf of all others similarly situated v. The
Equitable Life Assurance Society of the United States, and Equitable
Variable Life Insurance Company, was filed in Massachusetts state court
making claims similar to those in the Franze action and alleging
violations of the Massachusetts securities laws. The plaintiff purports
to represent all persons in Massachusetts who purchased variable life
insurance contracts from Equitable Life and EVLICO from January 9, 1993
to the present. The Massachusetts action seeks rescission of the
contracts or compensatory damages, attorneys' fees, expenses and
injunctive relief. Although the outcome of any litigation cannot be
predicted with certainty, particularly in the early stages of an
action, the Company's management believes that the ultimate resolution
of the litigations discussed in this paragraph should not have a
material adverse effect on the financial position of the Company. Due
to the early stages of such litigation, the Company's management cannot
make an estimate of loss, if any, or predict whether or not any such
litigation will have a material adverse effect on the Company's results
of operations in any particular period.
Equitable Life recently responded to a subpoena from the U.S.
Department of Labor ("DOL") requesting copies of any third-party
appraisals in Equitable Life's possession relating to the ten largest
properties (by value) in the Prime Property Fund ("PPF"). PPF is an
open-end, commingled real estate separate account of Equitable Life for
pension clients. Equitable Life serves as investment manager in PPF and
has retained EREIM as advisor. In early 1995, the DOL commenced a
national investigation of commingled real estate funds with pension
investors, including PPF. The investigation now appears to be focused
principally on appraisal and valuation procedures in respect of fund
properties. The most recent request from the DOL seems to reflect, at
least in part, an interest in the relationship between the valuations
for those properties reflected in appraisals prepared for local
property tax proceedings and the valuations used by PPF for other
SAI-71
<PAGE>
purposes. At no time has the DOL made any specific allegation that
Equitable Life or EREIM has acted improperly and Equitable Life and
EREIM believe that any such allegation would be without foundation.
While the outcome of this investigation cannot be predicted with
certainty, in the opinion of management, the ultimate resolution of
this matter should not have a material adverse effect on the Company's
consolidated financial position or results of operations in any
particular period.
Equitable Casualty Insurance Company ("Casualty"), an indirect wholly
owned subsidiary of Equitable Life, is party to an arbitration
proceeding that commenced in August 1995. The proceeding relates to a
dispute among Casualty, Houston General Insurance Company ("Houston
General") and GEICO General Insurance Company ("GEICO General")
regarding the interpretation of a reinsurance agreement. The
arbitration panel issued a final award in favor of Casualty and GEICO
General on June 17, 1996. Casualty and GEICO General moved in the
pending Texas state court action, with Houston General's consent, for
an order confirming the arbitration award and entering judgment
dismissing the action. The motion was granted on January 29, 1997. The
parties have also stipulated to the dismissal without prejudice of a
related Texas Federal court action brought by Houston General against
GEICO General and Equitable Life. In connection with confirmation of
the arbitration award, Houston General paid to Casualty approximately
$839,600 in settlement of certain reimbursement claims by Casualty
against Houston General.
On July 25, 1995, a Consolidated and Supplemental Class Action
Complaint ("Complaint") was filed against the Alliance North American
Government Income Trust, Inc. (the "Fund"), Alliance and certain other
defendants affiliated with Alliance, including the Holding Company,
alleging violations of Federal securities laws, fraud and breach of
fiduciary duty in connection with the Fund's investments in Mexican and
Argentine securities. The Complaint, which seeks certification of a
plaintiff class of persons who purchased or owned Class A, B or C
shares of the Fund from March 27, 1992 through December 23, 1994, seeks
an unspecified amount of damages, costs, attorneys' fees and punitive
damages. The principal allegations of the Complaint are that the Fund
purchased debt securities issued by the Mexican and Argentine
governments in amounts that were not permitted by the Fund's investment
objective, and that there was no shareholder vote to change the
investment objective to permit purchases in such amounts. The Complaint
further alleges that the decline in the value of the Mexican and
Argentine securities held by the Fund caused the Fund's net asset value
to decline to the detriment of the Fund's shareholders. On September
26, 1996, the United States District Court for the Southern District of
New York granted the defendants' motion to dismiss all counts of the
complaint. On October 11, 1996, plaintiffs filed a motion for
reconsideration of the court's decision granting defendants' motion to
dismiss the Complaint. On November 25, 1996, the court denied
plaintiffs' motion for reconsideration. On October 29, 1996, plaintiffs
filed a motion for leave to file an amended complaint. The principal
allegations of the proposed amended complaint are that the Fund did not
properly disclose that it planned to invest in mortgage-backed
derivative securities and that two advertisements used by the Fund
misrepresented the risks of investing in the Fund. Plaintiffs also
reiterated allegations in the Complaint that the Fund failed to hedge
against the risks of investing in foreign securities despite
representations that it would do so. Alliance believes that the
allegations in the Complaint are without merit and intends to
vigorously defend against these claims. While the ultimate outcome of
this matter cannot be determined at this time, management of Alliance
does not expect that it will have a material adverse effect on
Alliance's results of operations or financial condition.
On January 26, 1996, a purported purchaser of certain notes and
warrants to purchase shares of common stock of Rickel Home Centers,
Inc. ("Rickel") filed a class action complaint against Donaldson,
Lufkin & Jenrette Securities Corporation ("DLJSC") and certain other
defendants for unspecified compensatory and punitive damages in the
United States District Court for the Southern District of New York. The
suit was brought on behalf of the purchasers of 126,457 units
consisting of $126,457,000 aggregate principal amount of 13 1/2% senior
notes due 2001 and 126,457 warrants to purchase shares of common stock
of Rickel issued
SAI-72
<PAGE>
by Rickel in October 1994. The complaint alleges violations of Federal
securities laws and common law fraud against DLJSC, as the underwriter
of the units and as an owner of 7.3% of the common stock of Rickel, Eos
Partners, L.P., and General Electric Capital Corporation, each as
owners of 44.2% of the common stock of Rickel, and members of the Board
of Directors of Rickel, including a DLJSC Managing Director. The
complaint seeks to hold DLJSC liable for alleged misstatements and
omissions contained in the prospectus and registration statement filed
in connection with the offering of the units, alleging that the
defendants knew of financial losses and a decline in value of Rickel in
the months prior to the offering and did not disclose such information.
The complaint also alleges that Rickel failed to pay its semi-annual
interest payment due on the units on December 15, 1995 and that Rickel
filed a voluntary petition for reorganization pursuant to Chapter 11 of
the United States Bankruptcy Code on January 10, 1996. DLJSC intends to
defend itself vigorously against all of the allegations contained in
the complaint. Although there can be no assurance, DLJ does not believe
the outcome of this litigation will have a material adverse effect on
its financial condition. Due to the early stage of this litigation,
based on the information currently available to it, DLJ's management
cannot make an estimate of loss, if any, or predict whether or not such
litigation will have a material adverse effect on DLJ's results of
operations in any particular period.
In October 1995, DLJSC was named as a defendant in a purported class
action filed in a Texas State Court on behalf of the holders of $550.0
million principal amount of subordinated redeemable discount debentures
of National Gypsum Corporation ("NGC") canceled in connection with a
Chapter 11 plan of reorganization for NGC consummated in July 1993. The
named plaintiff in the State Court action also filed an adversary
proceeding in the Bankruptcy Court for the Northern District of Texas
seeking a declaratory judgment that the confirmed NGC plan of
reorganization does not bar the class action claims. Subsequent to the
consummation of NGC's plan of reorganization, NGC's shares traded for
values substantially in excess of, and in 1995 NGC was acquired for a
value substantially in excess of, the values upon which NGC's plan of
reorganization was based. The two actions arise out of DLJSC's
activities as financial advisor to NGC in the course of NGC's Chapter
11 reorganization proceedings. The class action complaint alleges that
the plan of reorganization submitted by NGC was based upon projections
by NGC and DLJSC which intentionally understated forecasts, and
provided misleading and incorrect information in order to hide NGC's
true value and that defendants breached their fiduciary duties by,
among other things, providing false, misleading or incomplete
information to deliberately understate the value of NGC. The class
action complaint seeks compensatory and punitive damages purportedly
sustained by the class. The Texas State Court action, which had been
removed to the Bankruptcy Court, has been remanded back to the state
court, which remand is being opposed by DLJSC. DLJSC intends to defend
itself vigorously against all of the allegations contained in the
complaint. Although there can be no assurance, DLJ does not believe
that the ultimate outcome of this litigation will have a material
adverse effect on its financial condition. Due to the early stage of
such litigation, based upon the information currently available to it,
DLJ's management cannot make an estimate of loss, if any, or predict
whether or not such litigation will have a material adverse effect on
DLJ's results of operations in any particular period.
In November and December 1995, DLJSC, along with various other parties,
was named as a defendant in a number of purported class actions filed
in the U.S. District Court for the Eastern District of Louisiana. The
complaints allege violations of the Federal securities laws arising out
of a public offering in 1994 of $435.0 million of first mortgage notes
of Harrah's Jazz Company and Harrah's Jazz Finance Corp. The complaints
seek to hold DLJSC liable for various alleged misstatements and
omissions contained in the prospectus dated November 9, 1994. DLJSC
intends to defend itself vigorously against all of the allegations
contained in the complaints. Although there can be no assurance, DLJ
does not believe that the ultimate outcome of this litigation will have
a material adverse effect on its financial condition. Due to the early
stage of this
SAI-73
<PAGE>
litigation, based upon the information currently available to it, DLJ's
management cannot make an estimate of loss, if any, or predict whether
or not such litigation will have a material adverse effect on DLJ's
results of operations in any particular period.
In addition to the matters described above, Equitable Life and its
subsidiaries and DLJ and its subsidiaries are involved in various legal
actions and proceedings in connection with their businesses. Some of
the actions and proceedings have been brought on behalf of various
alleged classes of claimants and certain of these claimants seek
damages of unspecified amounts. While the ultimate outcome of such
matters cannot be predicted with certainty, in the opinion of
management no such matter is likely to have a material adverse effect
on the Company's consolidated financial position or results of
operations.
15) LEASES
The Company has entered into operating leases for office space and
certain other assets, principally data processing equipment and office
furniture and equipment. Future minimum payments under noncancelable
leases for 1997 and the succeeding four years are $113.7 million,
$110.6 million, $100.3 million, $72.3 million, $59.3 million and $427.3
million thereafter. Minimum future sublease rental income on these
noncancelable leases for 1997 and the succeeding four years are $9.8
million, $6.0 million, $4.5 million, $2.4 million, $.8 million and $.1
million thereafter.
At December 31, 1996, the minimum future rental income on noncancelable
operating leases for wholly owned investments in real estate for 1997
and the succeeding four years are $263.0 million, $242.1 million,
$219.8 million, $194.3 million, $174.6 million and $847.1 million
thereafter.
16) OTHER OPERATING COSTS AND EXPENSES
Other operating costs and expenses consisted of the following:
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Compensation costs................................. $ 647.3 $ 595.9 $ 687.5
Commissions........................................ 329.5 314.3 313.0
Short-term debt interest expense................... 8.0 11.4 19.0
Long-term debt interest expense.................... 137.3 108.1 98.3
Amortization of policy acquisition costs........... 405.2 317.8 313.4
Capitalization of policy acquisition costs......... (391.9) (391.0) (410.9)
Rent expense, net of sub-lease income.............. 113.7 109.3 116.0
Other.............................................. 798.9 710.0 721.4
----------------- ---------------- -----------------
Total.............................................. $ 2,048.0 $ 1,775.8 $ 1,857.7
================= ================ =================
</TABLE>
During 1996, 1995 and 1994, the Company restructured certain operations
in connection with cost reduction programs and recorded pre-tax
provisions of $24.4 million, $32.0 million and $20.4 million,
respectively. The amounts paid during 1996, associated with cost
reduction programs, totaled $17.7 million. At December 31, 1996, the
liabilities associated with cost reduction programs amounted to $44.5
million. The 1996 cost reduction program included restructuring costs
related to the consolidation of insurance operations' service centers.
The 1995 cost reduction program included relocation expenses, including
the accelerated amortization of building improvements associated with
the relocation of the home office. The 1994 cost
SAI-74
<PAGE>
reduction program included costs associated with the termination of
operating leases and employee severance benefits in connection with the
consolidation of 16 insurance agencies. Amortization of DAC included
$145.0 million writeoff of DAC related to DI contracts in the fourth
quarter of 1996.
17) INSURANCE GROUP STATUTORY FINANCIAL INFORMATION
Equitable Life is restricted as to the amounts it may pay as dividends
to the Holding Company. Under the New York Insurance Law, the
Superintendent has broad discretion to determine whether the financia1
condition of a stock life insurance company would support the payment
of dividends to its shareholders. For 1996, 1995 and 1994, statutory
net (loss) earnings totaled $(351.1) million, $(352.4) million and
$67.5 million, respectively. No amounts are expected to be available
for dividends from Equitable Life to the Holding Company in 1997.
At December 31, 1996, the Insurance Group, in accordance with various
government and state regulations, had $21.9 million of securities
deposited with such government or state agencies.
Accounting practices used to prepare statutory financial statements for
regulatory filings of stock life insurance companies differ in certain
instances from GAAP. The New York Insurance Department (the
"Department") recognizes only statutory accounting practices for
determining and reporting the financial condition and results of
operations of an insurance company, for determining its solvency under
the New York Insurance Law, and for determining whether its financial
condition warrants the payment of a dividend to its stockholders. No
consideration is given by the Department to financial statements
prepared in accordance with GAAP in making such determinations. The
following reconciles the Company's statutory change in surplus and
capital stock and statutory surplus and capital stock determined in
accordance with accounting practices prescribed by the Department with
net earnings and equity on a GAAP basis.
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Net change in statutory surplus and capital stock.. $ 56.0 $ 78.1 $ 292.4
Change in asset valuation reserves................. (48.4) 365.7 (285.2)
----------------- ---------------- -----------------
Net change in statutory surplus, capital stock
and asset valuation reserves..................... 7.6 443.8 7.2
Adjustments:
Future policy benefits and policyholders'
account balances............................... (298.5) (66.0) (5.3)
DAC.............................................. (13.3) 73.2 97.5
Deferred Federal income taxes.................... 108.0 (158.1) (58.7)
Valuation of investments......................... 289.8 189.1 45.2
Valuation of investment subsidiary............... (117.7) (188.6) 396.6
Limited risk reinsurance......................... 92.5 416.9 74.9
Contribution from the Holding Company............ - - (300.0)
Issuance of surplus notes........................ - (538.9) -
Postretirement benefits.......................... 28.9 (26.7) 17.1
Other, net....................................... 12.4 115.1 (44.0)
GAAP adjustments of Closed Block................. (9.8) 15.7 (9.5)
GAAP adjustments of discontinued GIC
Segment........................................ (89.6) 37.3 42.8
----------------- ---------------- -----------------
Net Earnings of the Insurance Group................ $ 10.3 $ 312.8 $ 263.8
================= ================ =================
</TABLE>
SAI-75
<PAGE>
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------------------------
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Statutory surplus and capital stock................ $ 2,258.9 $ 2,202.9 $ 2,124.8
Asset valuation reserves........................... 1,297.5 1,345.9 980.2
----------------- ---------------- -----------------
Statutory surplus, capital stock and asset
valuation reserves............................... 3,556.4 3,548.8 3,105.0
Adjustments:
Future policy benefits and policyholders'
account balances............................... (1,305.0) (1,006.5) (940.5)
DAC.............................................. 3,104.9 3,075.8 3,219.4
Deferred Federal income taxes.................... (306.1) (452.0) (29.4)
Valuation of investments......................... 286.8 417.7 (794.1)
Valuation of investment subsidiary............... (782.8) (665.1) (476.5)
Limited risk reinsurance......................... (336.5) (429.0) (845.9)
Issuance of surplus notes........................ (539.0) (538.9) -
Postretirement benefits.......................... (314.4) (343.3) (316.6)
Other, net....................................... 126.3 4.4 (79.2)
GAAP adjustments of Closed Block................. 783.7 830.8 740.4
GAAP adjustments of discontinued GIC
Segment........................................ (190.3) (184.6) (221.9)
----------------- ---------------- -----------------
Equity of the Insurance Group...................... $ 4,084.0 $ 4,258.1 $ 3,360.7
================= ================ =================
</TABLE>
18) BUSINESS SEGMENT INFORMATION
The Company has two major business segments: Insurance Operations and
Investment Services. Interest expense related to debt not specific to
either business segment is presented as Corporate interest expense.
Information for all periods is presented on a comparable basis.
The Insurance Operations segment offers a variety of traditional,
variable and interest-sensitive life insurance products, disability
income, annuity products, mutual fund and other investment products to
individuals and small groups and administers traditional participating
group annuity contracts with conversion features, generally for
corporate qualified pension plans, and association plans which provide
full service retirement programs for individuals affiliated with
professional and trade associations. This segment includes Separate
Accounts for individual insurance and annuity products.
The Investment Services segment provides investment fund management,
primarily to institutional clients. This segment includes the Company's
equity interest in DLJ and Separate Accounts which provide various
investment options for group clients through pooled or single group
accounts.
Intersegment investment advisory and other fees of approximately $127.5
million, $124.1 million and $135.3 million for 1996, 1995 and 1994,
respectively, are included in total revenues of the Investment Services
segment. These fees, excluding amounts related to the discontinued GIC
Segment of $15.7 million, $14.7 million and $27.4 million for 1996,
1995 and 1994, respectively, are eliminated in consolidation.
SAI-76
<PAGE>
<TABLE>
<CAPTION>
1996 1995 1994
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Revenues
Insurance operations............................... $ 3,742.9 $ 3,614.6 $ 3,507.4
Investment services................................ 1,126.1 949.1 935.2
Consolidation/elimination.......................... (24.5) (34.9) (27.2)
----------------- ---------------- -----------------
Total.............................................. $ 4,844.5 $ 4,528.8 $ 4,415.4
================= ================ =================
Earnings (loss) from continuing operations
before Federal income taxes, minority interest
and cumulative effect of accounting change
Insurance operations............................... $ (36.6) $ 303.1 $ 327.5
Investment services................................ 311.9 224.0 227.9
Consolidation/elimination.......................... .2 (3.1) .3
----------------- ---------------- -----------------
Subtotal..................................... 275.5 524.0 555.7
Corporate interest expense......................... (66.9) (27.9) (114.2)
----------------- ---------------- -----------------
Total.............................................. $ 208.6 $ 496.1 $ 441.5
================= ================ =================
</TABLE>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
Assets
Insurance operations........... $ 60,464.9 $ 56,720.5
Investment services............ 13,542.5 12,842.9
Consolidation/elimination...... (399.6) (354.4)
---------------- -----------------
Total.......................... $ 73,607.8 $ 69,209.0
================ =================
SAI-77
<PAGE>
19) QUARTERLY RESULTS OF OPERATIONS (UNAUDITED)
The quarterly results of operations for 1996 and 1995, are summarized
below:
<TABLE>
<CAPTION>
THREE MONTHS ENDED
------------------------------------------------------------------------------
MARCH 31 JUNE 30 SEPTEMBER 30 DECEMBER 31
----------------- ----------------- ------------------ ------------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
1996
----
Total Revenues................ $ 1,169.7 $ 1,193.6 $ 1,193.6 $ 1,287.6
================= ================= ================== ==================
Earnings (Loss) from
Continuing Operations
before Cumulative Effect
of Accounting Change........ $ 94.8 $ 87.1 $ 93.2 $ (157.9)
================= ================= ================== ==================
Net Earnings (Loss)........... $ 71.7 $ 87.1 $ 93.2 $ (241.7)
================= ================= ================== ==================
1995
----
Total Revenues................ $ 1,079.1 $ 1,164.0 $ 1,138.8 $ 1,146.9
================= ================= ================== ==================
Net Earnings.................. $ 66.3 $ 101.7 $ 100.2 $ 44.6
================= ================= ================== ==================
</TABLE>
The quarterly results of operations for 1996 and 1995 have been
restated to reflect the Company's accounting change adopted in the
fourth quarter of 1996 for long-duration participating life contracts
in accordance with the provisions prescribed by SFAS No. 120. Net
earnings for the three months ended December 31, 1996 includes a charge
of $339.3 million related to writeoffs of DAC on DI contracts of $94.3
million, reserve strengthening on DI business of $113.7 million,
pension par of $47.5 million and the discontinued GIC Segment of $83.8
million.
20) INVESTMENT IN DLJ
On December 15, 1993, the Company sold a 61% interest in DLJ to the
Holding Company for $800.0 million in cash and securities. The excess
of the proceeds over the book value in DLJ at the date of sale of
$340.2 million has been reflected as a capital contribution. In 1995,
DLJ completed the initial public offering ("IPO") of 10.58 million
shares of its common stock, which included 7.28 million of the Holding
Company's shares in DLJ, priced at $27 per share. Concurrent with the
IPO, the Company contributed equity securities to DLJ having a market
value of $21.2 million. Upon completion of the IPO, the Company's
ownership percentage was reduced to 36.1%. The Company's ownership
interest will be further reduced upon the issuance of common stock
after the vesting of forfeitable restricted stock units acquired by
and/or the exercise of options granted to certain DLJ employees. DLJ
restricted stock units represents forfeitable rights to receive
approximately 5.2 million shares of DLJ common stock through February
2000.
The results of operations of DLJ are accounted for on the equity basis
and are included in commissions, fees and other income in the
consolidated statements of earnings. The Company's carrying value of
DLJ is included in investment in and loans to affiliates in the
consolidated balance sheets.
SAI-78
<PAGE>
Summarized balance sheets information for DLJ, reconciled to the
Company's carrying value of DLJ, are as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
------------------------------------
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Assets:
Trading account securities, at market value............................ $ 15,728.1 $ 10,821.3
Securities purchased under resale agreements........................... 20,598.7 18,748.2
Broker-dealer related receivables...................................... 16,525.9 13,023.7
Other assets........................................................... 2,651.0 1,983.3
---------------- -----------------
Total Assets........................................................... $ 55,503.7 $ 44,576.5
================ =================
Liabilities:
Securities sold under repurchase agreements............................ $ 29,378.3 $ 26,744.8
Broker-dealer related payables......................................... 19,409.7 12,915.5
Short-term and long-term debt.......................................... 2,704.5 1,742.0
Other liabilities...................................................... 2,164.0 1,750.5
---------------- -----------------
Total liabilities...................................................... 53,656.5 43,152.8
Cumulative exchangeable preferred stock................................ - 225.0
DLJ's company-obligated mandatorily redeemed preferred
securities of subsidiary trust holding solely debentures of DLJ...... 200.0 -
Total shareholders' equity............................................. 1,647.2 1,198.7
---------------- -----------------
Total Liabilities, Cumulative Exchangeable Preferred Stock and
Shareholders' Equity................................................. $ 55,503.7 $ 44,576.5
================ =================
DLJ's equity as reported............................................... $ 1,647.2 $ 1,198.7
Unamortized cost in excess of net assets acquired in 1985
and other adjustments................................................ 23.9 40.5
The Holding Company's equity ownership in DLJ.......................... (590.2) (499.0)
Minority interest in DLJ............................................... (588.6) (324.3)
---------------- -----------------
The Company's Carrying Value of DLJ.................................... $ 492.3 $ 415.9
================ =================
</TABLE>
SAI-79
<PAGE>
Summarized statements of earnings information for DLJ reconciled to the
Company's equity in earnings of DLJ is as follows:
<TABLE>
<CAPTION>
1996 1995
---------------- -----------------
(IN MILLIONS)
<S> <C> <C>
Commission, fees and other income...................................... $ 1,818.2 $ 1,325.9
Net investment income.................................................. 1,074.2 904.1
Dealer, trading and investment gains, net.............................. 598.4 528.6
---------------- -----------------
Total revenues......................................................... 3,490.8 2,758.6
Total expenses including income taxes.................................. 3,199.5 2,579.5
---------------- -----------------
Net earnings........................................................... 291.3 179.1
Dividends on preferred stock........................................... 18.7 19.9
---------------- -----------------
Earnings Applicable to Common Shares................................... $ 272.6 $ 159.2
================ =================
DLJ's earnings applicable to common shares as reported................. $ 272.6 $ 159.2
Amortization of cost in excess of net assets acquired in 1985.......... (3.1) (3.9)
The Holding Company's equity in DLJ's earnings......................... (107.8) (90.4)
Minority interest in DLJ............................................... (73.4) (6.5)
---------------- -----------------
The Company's Equity in DLJ's Earnings................................. $ 88.3 $ 58.4
================ =================
</TABLE>
21) ACCOUNTING FOR STOCK-BASED COMPENSATION
The Holding Company sponsors a stock option plan for employees of
Equitable Life. DLJ and Alliance each sponsor their own stock option
plans for certain employees. The Company elected to continue to account
for stock-based compensation using the intrinsic value method
prescribed in APB Opinion No. 25. Had compensation expense of the
Company's stock option incentive plans for options granted after
December 31, 1994 been determined based on the estimated fair value at
the grant dates for awards under those plans, the Company's pro forma
net earnings for 1996 and 1995 would have been as follows:
1996 1995
--------------- ---------------
(IN MILLIONS)
Net Earnings
As Reported......... $ 10.3 $ 312.8
Pro Forma........... $ 3.2 $ 311.3
SAI-80
<PAGE>
The fair value of options and units granted after December 31, 1994,
used as a basis for the above pro forma disclosures, was estimated as
of the date of grants using Black-Scholes option pricing models. The
option and unit pricing assumptions for 1996 and 1995 are as follows:
<TABLE>
<CAPTION>
HOLDING COMPANY DLJ ALLIANCE
------------------------- -------------------------- -----------------------------
1996 1995 1996 1995 1996 1995
----------- ----------- ----------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Dividend yield........... 0.80% 0.96% 1.54% 1.85% 8.0% 8.0%
Expected volatility...... 20.00% 20.00% 25.00% 25.00% 23.00% 23.00%
Risk-free interest rate.. 5.92% 6.83% 6.07% 5.86% 5.80% 6.00%
Expected Life............ 5 YEARS 5 years 5 YEARS 5 years 7.43 YEARS 7.43 years
Weighted fair value
per option granted..... $6.94 $5.90 $9.35 - $2.69 $2.24
</TABLE>
A summary of the Holding Company and DLJ stock option plans and
Alliance's Unit option plans are as follows:
<TABLE>
<CAPTION>
HOLDING COMPANY DLJ ALLIANCE
----------------------------- ----------------------------- -----------------------------
Options Options Options
Outstanding Outstanding Outstanding
Weighted Weighted Weighted
Average Average Average
Shares Exercise Shares Exercise Units Exercise
(In Millions) Price (In Millions) Price (In Millions) Price
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Balance as of
January 1, 1994........ 6.1 - 3.2
Granted................ .7 - 1.2
Exercised.............. - - (.5)
Forfeited.............. - - (.1)
------------- ------------- -------------
Balance as of
December 31, 1994...... 6.8 - 3.8
Granted................ .4 9.2 1.8
Exercised.............. (.1) - (.5)
Expired................ (.1) - -
Forfeited.............. (.3) - (.3)
------------- ------------- -------------
Balance as of
December 31, 1995...... 6.7 $20.27 9.2 $27.00 4.8 $17.72
Granted................ .7 $24.94 2.1 $32.54 .7 $25.12
Exercised.............. (.1) $19.91 - - (.4) $13.64
Expired................ (.6) $20.21 - - - -
Forfeited.............. - - (.2) $27.00 (.1) $19.32
------------- ------------- -------------
Balance as of
December 31, 1996...... 6.7 $20.79 11.1 $28.06 5.0 $19.07
============= ============= ============= ============= ============= =============
</TABLE>
SAI-81
<PAGE>
Information with respect to stock and unit options outstanding and
exercisable at December 31, 1996 is as follows:
<TABLE>
<CAPTION>
Options Outstanding Options Exercisable
------------------------------------------------------------------------------- --------------------------------------
Weighted
Average Weighted Weighted
Range of Number Remaining Average Number Average
Exercise Outstanding Contractual Exercise Exercisable Exercise
Prices (In Millions) Life (Years) Price (In Millions) Price
--------------------- ----------------- --------------- ----------------- ------------------- ----------------
<S> <C> <C> <C> <C> <C>
Holding
Company
---------------------
$18.125-$27.75 6.7 7.00 $20.79 3.4 $20.18
================= =============== ================= =================== ================
DLJ
---------------------
$27.00-$33.50 11.1 9.00 $28.06 - -
================= =============== ================= =================== ================
Alliance
---------------------
$ 6.0625-$15.9375 1.3 4.76 $12.97 1.2 $12.58
$16.3125-$19.75 1.1 8.19 $19.13 .2 $18.69
$19.875 -$19.875 1.0 7.36 $19.88 .4 $19.88
$20.75 -$24.375 .9 8.46 $22.05 .3 $21.84
$24.375 -$25.125 .7 9.96 $25.13 - -
----------------- -------------------
$ 6.0625-$25.125 5.0 7.43 $19.07 2.1 $15.84
================= =============== ================= =================== ================
</TABLE>
SAI-82
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participant and Trustee of the
State Street Bank and Trust Company
Lifecycle Fund Group Trust -- Conservative
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the
selected per unit data present fairly, in all material respects, the
financial position of the State Street Bank and Trust Company Lifecycle Fund
Group Trust -- Conservative (the "Fund") at December 31, 1996, the results of
its operations for the year then ended, and changes in its net assets and the
selected per unit data for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
selected per unit data (hereafter referred to as "financial statements") are
the responsibility of the Fund's Trustee; 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 the Trustee,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1997
SAI-83
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments in State Street Bank and Trust Company
Investment Funds for Tax Exempt Retirement Plans:
Daily EAFE Fund Non-Lending (36,606 units)................................... $ 460,760
Daily Government/Corporate Bond Fund (192,367 units)......................... 2,278,967
Russell 2000 Fund (11,962 units)............................................. 230,227
S&P 500 Flagship Fund (5,656 units).......................................... 675,356
Short Term Investment Fund (935,592 units)................................... 935,592
- - ---------------------------------------------------------------------------- -----------
Total investments, at value (cost $ 4,289,387)............................... 4,580,902
- - ---------------------------------------------------------------------------- -----------
Interest and other receivables............................................... 4,415
- - ---------------------------------------------------------------------------- -----------
Total assets.............................................................. 4,585,317
- - ---------------------------------------------------------------------------- -----------
LIABILITIES
Payable to custodian......................................................... 27,449
Accrued expenses............................................................. 23,539
- - ---------------------------------------------------------------------------- -----------
Total liabilities......................................................... 50,988
- - ---------------------------------------------------------------------------- -----------
NET ASSETS (equivalent to $11.43 per unit based on 396,691 units
outstanding)................................................................ $4,534,329
============================================================================ ===========
</TABLE>
The accompanying notes are an integral part of these financial statements
SAI-84
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Operations
Year Ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Interest........................................................... $ 47,999
Securities lending fee............................................. 188
- - ------------------------------------------------------------------ ---------
Total investment income.......................................... 48,187
- - ------------------------------------------------------------------ ---------
EXPENSES
Accounting and recordkeeping....................................... 11,100
Audit.............................................................. 4,500
Legal.............................................................. 11,997
Management......................................................... 7,299
- - ------------------------------------------------------------------ ---------
Total expenses................................................... 34,896
- - ------------------------------------------------------------------ ---------
Net investment income.............................................. 13,291
- - ------------------------------------------------------------------ ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments............................ 109,095
Net change in unrealized appreciation (depreciation) on
investments....................................................... 158,996
- - ------------------------------------------------------------------ ---------
Net realized and unrealized gain (loss)............................ 268,091
- - ------------------------------------------------------------------ ---------
Net increase (decrease) in net assets resulting from operations ... $281,382
================================================================== =========
</TABLE>
The accompanying notes are an integral part of these financial statements
SAI-85
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER
31,
1996 1995*
- - ---------------------------------------------------------------------------- ------------ -----------
<S> <C> <C>
FROM OPERATIONS
Net investment income (loss)................................................. $ 13,291 $ (14,008)
Net realized gain (loss) on investments...................................... 109,095 33,019
Net change in unrealized appreciation (depreciation) on investments ......... 158,996 132,519
- - ---------------------------------------------------------------------------- ------------ -----------
Net increase (decrease) in net assets resulting from operations ............. 281,382 151,530
- - ---------------------------------------------------------------------------- ------------ -----------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant
transactions................................................................ 1,270,391 2,831,026
- - ---------------------------------------------------------------------------- ------------ -----------
Net increase (decrease) in net assets........................................ 1,551,773 2,982,556
NET ASSETS
Beginning of period.......................................................... 2,982,556 --
- - ---------------------------------------------------------------------------- ------------ -----------
End of period................................................................ $4,534,329 $2,982,556
============================================================================ ============ ===========
</TABLE>
- - ------------
* Investment operations commenced on May 5, 1995.
The accompanying notes are an integral part of these financial statements
SAI-86
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31
------------------
1996 1995*
- - ------------------------------------------------------------------ -------- ---------
<S> <C> <C>
Net investment income (loss)**..................................... $ 0.05 $(0.08)
Net realized and unrealized gain (loss)............................ 0.65 0.81
- - ------------------------------------------------------------------ -------- ---------
Net increase (decrease)............................................ 0.70 0.73
NET ASSET VALUE
Beginning of period ............................................... 10.73 10.00
- - ------------------------------------------------------------------ -------- ---------
End of period...................................................... $11.43 $10.73
================================================================== ======== =========
Total return (%)***................................................ 6.52 7.30
================================================================== ======== =========
Ratio of expenses to average net assets (a)........................ 0.81% 2.13%
Ratio of net investment income (loss) to average net assets (a)
(b)............................................................... 0.31% (1.04%)
Portfolio turnover................................................. 54% 131%
Net assets, end of period (000s)................................... $4,534 $2,983
================================================================== ======== =========
</TABLE>
* Investment operations commenced on May 5, 1995.
** Net investment income has been calculated based upon an average of
units outstanding.
*** Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and end of the period. The calculation includes
only those expenses charged directly to the Fund, and does not
include expenses charged to the funds in which the Fund invests.
(a) Annualized for the period ended December 31, 1995.
(b) Ratio excludes income retained by the funds in which the Fund invests
(see Note 2).
The accompanying notes are an integral part of these financial statements
SAI-87
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Lifecycle
Fund Group Trust -- Conservative (the "Fund") was formed under a Declaration
of Trust dated February 21, 1991 as amended and restated through July 19,
1991. The Fund's objective is to seek to provide current income and a low to
moderate growth of capital. State Street Bank is the Fund's Trustee and
custodian. State Street Global Advisors, a division of State Street Bank, is
the Fund's investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments in State Street Bank and Trust Company Investment Funds for
Tax Exempt Retirement Plans are valued at the net asset value per unit on the
valuation date. Investments held by State Street Bank Investment Funds for
Tax Exempt Retirement Plans in securities listed on a national securities
exchange and over-the-counter securities are valued at the last reported sale
price on the valuation date or, if no sale price was reported on the
valuation date, the last published sale price. Certain investments held by
underlying funds are valued at fair value on the basis of valuations
furnished by a pricing service, approved by the Trustee, which determines
valuations using methods based on market transactions for comparable
securities and various relationships between securities which are generally
recognized by institutional traders. Investments held by the Short Term
Investment Fund are stated at amortized cost, which approximates market
value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (the date the
order to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of its units of participation are based on the
valuations of those securities determined as described above. The cost of
securities delivered and the net gain or loss on securities sold is
determined using the average cost method.
With the exception of the Short Term Investment Fund, the State Street
Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, in
which the Fund invests, retain all investment income earned (except for
securities lending fee income). Accordingly, realized and unrealized gains
and losses reported by the Fund may include a component attributable to
investment income. Distributions from the Short Term Investment Fund are
accrued daily.
C. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Fund is exempt from federal income taxes and
no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset value of the Fund is determined each business day (valuation
date).
SAI-88
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
The number of and value of units issued in connection with a contribution
of assets to the Fund or redeemed in connection with a withdrawal from the
Fund shall be determined on the basis of the value of the Fund as of the
Fund's last preceding valuation date to the date on which such order to
contribute assets or order to withdraw assets is received; provided, however,
that the Trustee, in its sole discretion, reserves the right to value any
contribution or withdrawal as of the next succeeding valuation date, or
another date as the Trustee reasonably deems appropriate.
E. EXPENSES
According to the Declaration of Trust, the Fund may pay certain expenses
for services received during the year. The Trustee is paid a management fee
by the Fund at the annual rate of 0.17%. Additionally, the Trustee is paid an
annual fee of $11,100 for providing various recordkeeping and accounting
services to the Fund.
F. DISTRIBUTIONS TO PARTICIPANTS
All net investment income and net realized gains are retained by the Fund.
G. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. SECURITIES LENDING PROGRAM
Certain collective investment funds in which the Fund invests engage in
securities lending activities, under which the Trustee, as agent, loans
securities to certain banks and other financial institutions (the
"Borrowers"). The Borrowers provide cash, securities, or letters of credit as
collateral against loans in an amount at least equal to 100% of the market
value of the loaned securities. The Borrowers are required to maintain the
collateral at not less than 100% of the fair market value of the loaned
securities. To the extent cash is provided as collateral, it is invested by
the Trustee in short-term obligations, money market securities or other
collective investment funds. The Trustee, as lending agent, indemnifies the
Fund for replacement of any loaned securities (or, in certain circumstances,
return of equivalent cash value) due to Borrower default on a security loan.
Participants of the Fund, however, bear the risk of loss with respect to the
investment of collateral. A portion of the income generated upon investment
of the cash collateral is remitted to the Borrowers, and the remainder is
allocated between the Fund and the Trustee in its capacity as lending agent.
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities, excluding short-term investments and
including in-kind contributions and redemptions, if any, during the year
ended December 31, 1996 were $3,309,226 and $2,321,289, respectively,
resulting in a net realized gain of $109,095. Purchases and sales of
short-term investments (including maturities) were $1,148,279 and $822,422,
respectively.
SAI-89
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1996 1995
------------------------- -------------------------
UNITS AMOUNT UNITS AMOUNT
<S> <C> <C> <C> <C>
Units issued.................................... 356,358 $ 3,869,523 430,911 $ 4,402,424
Units redeemed.................................. (237,533) (2,599,132) (153,045) (1,571,398)
----------- ------------- ----------- -------------
Net increase (decrease) in units and net assets
resulting from participant transactions ....... 118,825 $ 1,270,391 277,866 $ 2,831,026
=========== ============= =========== =============
</TABLE>
All of the Fund's units outstanding were held by one unitholder at
December 31, 1996.
SAI-90
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participant and Trustee of the
State Street Bank and Trust Company
Lifecycle Fund Group Trust -- Moderate
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the
selected per unit data present fairly, in all material respects, the
financial position of the State Street Bank and Trust Company Lifecycle Fund
Group Trust -- Moderate (the "Fund") at December 31, 1996, the results of its
operations for the year then ended, and the changes in its net assets and the
selected per unit data for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
selected per unit data (hereafter referred to as "financial statements") are
the responsibility of the Fund's Trustee; 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 the Trustee,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1997
SAI-91
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments in State Street Bank and Trust Company
Investment Funds for Tax Exempt Retirement Plans:
Daily EAFE Fund Non-Lending (1,076,200 units) ................................. $13,546,124
Daily Government/Corporate Bond Fund (2,262,612 units)......................... 26,805,166
Russell 2000 Fund (469,903 units).............................................. 9,043,754
S&P 500 Flagship Fund (258,819 units).......................................... 30,904,075
Short Term Investment Fund (7,989,989 units)................................... 7,989,989
- - ------------------------------------------------------------------------------ -------------
Total investments, at value (cost $79,528,686).............................. 88,289,108
- - ------------------------------------------------------------------------------ -------------
Interest and other receivables................................................. 43,339
- - ------------------------------------------------------------------------------ -------------
Total assets................................................................ 88,332,447
- - ------------------------------------------------------------------------------ -------------
LIABILITIES
Payable to custodian........................................................... 24,039
Accrued expenses............................................................... 35,445
- - ------------------------------------------------------------------------------ -------------
Total liabilities........................................................... 59,484
- - ------------------------------------------------------------------------------ -------------
Net assets (equivalent to $12.44 per unit based on 7,094,543 units
outstanding).................................................................. $88,272,963
============================================================================== =============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-92
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Operations
Year ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Interest .......................................................... $ 452,104
Securities lending fee............................................. 6,247
- - ------------------------------------------------------------------ -----------
Total investment income......................................... 458,351
- - ------------------------------------------------------------------ -----------
EXPENSES
Accounting and recordkeeping....................................... 11,100
Audit.............................................................. 4,500
Legal.............................................................. 11,997
Management......................................................... 139,984
- - ------------------------------------------------------------------ -----------
Total expenses.................................................. 167,581
- - ------------------------------------------------------------------ -----------
Net investment income.............................................. 290,770
- - ------------------------------------------------------------------ -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments............................ 1,108,666
Net change in unrealized appreciation (depreciation) on
investments....................................................... 7,887,616
- - ------------------------------------------------------------------ -----------
Net realized and unrealized gain (loss)............................ 8,996,282
- - ------------------------------------------------------------------ -----------
Net increase (decrease) in net assets resulting from operations ... $9,287,052
================================================================== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-93
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
---------------------------
1996 1995*
- - ---------------------------------------------------------------------------- ------------- -------------
<S> <C> <C>
FROM OPERATIONS
Net investment income (loss)................................................. $ 290,770 $ (6,553)
Net realized gain (loss) on investments...................................... 1,108,666 29,206
Net change in unrealized appreciation (depreciation) on investments ......... 7,887,616 872,806
- - ---------------------------------------------------------------------------- ------------- -------------
Net increase (decrease) in net assets resulting from operations ............. 9,287,052 895,459
- - ---------------------------------------------------------------------------- ------------- -------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant
transactions................................................................ 2,739,940 75,350,512
- - ---------------------------------------------------------------------------- ------------- -------------
Net increase (decrease) in net assets........................................ 12,026,992 76,245,971
NET ASSETS
Beginning of period.......................................................... 76,245,971 --
- - ---------------------------------------------------------------------------- ------------- -------------
End of period................................................................ $88,272,963 $76,245,971
============================================================================ ============= =============
</TABLE>
- - ------------
* Investment operations commenced on May 5, 1995.
The accompanying notes are an integral part of these financial statements.
SAI-94
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31,
-------------------
1996 1995*
- - ----------------------------------------------------------------- --------- ---------
<S> <C> <C>
Net investment income (loss)**.................................... $ 0.04 $ (0.01)
Net realized and unrealized gain (loss)........................... 1.27 1.14
- - ----------------------------------------------------------------- --------- ---------
Net increase (decrease)........................................... 1.31 1.13
NET ASSET VALUE
Beginning of period............................................... 11.13 10.00
- - ----------------------------------------------------------------- --------- ---------
End of period..................................................... $ 12.44 $ 11.13
- - ----------------------------------------------------------------- --------- ---------
Total return (%)***............................................ 11.77 11.30
- - ----------------------------------------------------------------- --------- ---------
Ratio of expenses to average net assets (a)....................... 0.20% 0.52%
Ratio of net investment income (loss) to average net assets
(a)(b)........................................................... 0.35% (0.07%)
Portfolio turnover................................................ 18% 30%
Net assets, end of period (000s).................................. $88,273 $76,246
================================================================= ========= =========
</TABLE>
- - ------------
* Investment operations commenced on May 5, 1995.
** Net investment income has been calculated based upon an average of
units outstanding.
*** Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and end of the period. The calculation includes
only those expenses charged directly to the Fund, and does not
include expenses charged to the funds in which the Fund invests.
(a) Annualized for the period ended December 31, 1995.
(b) Ratio excludes income retained by funds in which the Fund invests
(see Note 2).
The accompanying notes are an integral part of these financial statements.
SAI-95
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Lifecycle
Fund Group Trust -- Moderate (the "Fund") was formed under a Declaration of
Trust dated February 21, 1991 as amended and restated through July 19, 1991.
The Fund's objective is to seek to provide a reasonable level of current
income and growth of capital. State Street Bank is the Fund's Trustee and
custodian. State Street Global Advisors, a division of State Street Bank, is
the Fund's investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments in State Street Bank and Trust Company Investment Funds for
Tax Exempt Retirement Plans are valued at the net asset value per unit on the
valuation date. Investments held by State Street Bank Investment Funds for
Tax Exempt Retirement Plans in securities listed on a national securities
exchange and over-the-counter securities are valued at the last reported sale
price on the valuation date or, if no sale price was reported on the
valuation date, the last published sale price. Certain investments held by
underlying funds are valued at fair value on the basis of valuations
furnished by a pricing service, approved by the Trustee, which determines
valuations using methods based on market transactions for comparable
securities and various relationships between securities which are generally
recognized by institutional traders. Investments held by the Short Term
Investment Fund are stated at amortized cost, which approximates market
value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (the date the
order to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of its units of participation are based on the
valuations of those securities determined as described above. The cost of
securities delivered and the net gain or loss on securities sold is
determined using the average cost method.
With the exception of the Short Term Investment Fund, the State Street
Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans, in
which the Fund invests, retain all investment income earned (except for
securities lending fee income). Accordingly, realized and unrealized gains
and losses reported by the Fund may include a component attributable to
investment income. Distributions from the Short Term Investment Fund are
accrued daily.
C. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Fund is exempt from federal income taxes and
no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset value of the Fund is determined each business day (valuation
date).
SAI-96
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
The number of and value of units issued in connection with a contribution
of assets to the Fund or redeemed in connection with a withdrawal from the
Fund shall be determined on the basis of the value of the Fund as of the
Fund's last preceding valuation date to the date on which such order to
contribute assets or order to withdraw assets is received; provided, however,
that the Trustee, in its sole discretion, reserves the right to value any
contribution or withdrawal as of the next succeeding valuation date, or
another date as the Trustee reasonably deems appropriate.
E. EXPENSES
According to the Declaration of Trust, the Fund may pay certain expenses
for services received during the year. The Trustee is paid a management fee
by the Fund at the annual rate of 0.17%. Additionally, the Trustee is paid a
fee annually of $11,100 for providing various recordkeeping and accounting
services to the Fund.
F. DISTRIBUTIONS TO PARTICIPANTS
All net investment income and net realized gains are retained by the Fund.
G. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. SECURITIES LENDING PROGRAM
Certain collective investment funds in which the Fund invests engage in
securities lending activities, under which the Trustee, as agent, loans
securities to certain banks and other financial institutions (the
"Borrowers"). The Borrowers provide cash, securities, or letters of credit as
collateral against loans in an amount at least equal to 100% of the market
value of the loaned securities. The Borrowers are required to maintain the
collateral at not less than 100% of the fair market value of the loaned
securities. To the extent cash is provided as collateral, it is invested by
the Trustee in short-term obligations, money market securities or other
collective investment funds. The Trustee, as lending agent, indemnifies the
Fund for replacement of any loaned securities (or, in certain circumstances,
return of equivalent cash value) due to Borrower default on a security loan.
Participants of the Fund, however, bear the risk of loss with respect to the
investment of collateral. A portion of the income generated upon investment
of the cash collateral is remitted to the Borrowers, and the remainder is
allocated between the Fund and the Trustee in its capacity as lending agent.
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities, excluding short-term investments and
including in-kind contributions and redemptions, if any, during the year
ended December 31, 1996 were $17,539,199 and $14,907,008, respectively,
resulting in a net realized gain of $1,108,666. Purchases and sales of
short-term investments (including maturities) were $2,618,182 and $2,236,795,
respectively.
SAI-97
<PAGE>
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1996 1995
------------------------- -------------------------
UNITS AMOUNT UNITS AMOUNT
<S> <C> <C> <C> <C>
Units issued..................... 1,071,085 $12,433,172 6,932,464 $76,246,459
Units redeemed................... (826,360) (9,693,232) (82,646) (895,947)
----------- ------------- ----------- -------------
Net increase (decrease) in units
and net assets resulting
from participant transactions .. 244,725 $ 2,739,940 6,849,818 $75,350,512
=========== ============= =========== =============
</TABLE>
All of the Fund's units outstanding were held by one unitholder at December
31, 1996.
SAI-98
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of the
State Street Bank and Trust Company
S&P 500 Flagship Fund and the
State Street Bank and Trust Company
S&P 500 Index Fund with Futures
In our opinion, the accompanying combined statement of assets and
liabilities, including the combined schedule of investments, and the related
combined statements of operations and of changes in net assets and the
selected per unit data present fairly, in all material respects, the
financial position of the State Street Bank and Trust Company S&P 500
Flagship Fund and the State Street Bank and Trust Company S&P 500 Index Fund
with Futures (the "Funds") at December 31, 1996, the results of their
operations for the year then ended, and the changes in their net assets and
their selected per unit data for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
selected per unit data (hereafter referred to as "financial statements") are
the responsibility of the Fund's Trustee; 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 the Trustee,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
March 10, 1997
SAI-99
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments in securities, at value (cost $17,233,576,411) ....... $24,387,024,008
Collateral held for loaned securities, at value................... 713,171,684
Receivable for investments sold................................... 10,482,249
Receivable for fund units issued.................................. 871,007,667
Dividends receivable.............................................. 39,963,493
Interest receivable............................................... 2,058,819
- - ----------------------------------------------------------------- ---------------
Total assets..................................................... 26,023,707,920
- - ----------------------------------------------------------------- ---------------
LIABILITIES
Collateral on securities loaned................................... 713,171,684
Payable for investments purchased................................. 1,039,455,703
Payable for fund units redeemed................................... 2,479,796
Payable to custodian.............................................. 4,054,186
Accrued expenses.................................................. 39,448
Variation margin payable.......................................... 9,663,768
- - ----------------------------------------------------------------- ---------------
Total liabilities................................................ 1,768,864,585
- - ----------------------------------------------------------------- ---------------
Net Assets ....................................................... $24,254,843,335
================================================================= ===============
S&P 500 Flagship Fund:
175,174,322 units outstanding, at $119.40 per unit net asset
value............................................................ $20,916,085,359
S&P 500 Index Fund with Futures:
27,962,436 units outstanding, at $119.40 per unit net asset
value............................................................ 3,338,757,976
- - ----------------------------------------------------------------- ---------------
$24,254,843,335
================================================================= ===============
</TABLE>
The accompanying rules are an integral part of the financial statements
SAI-100
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Operations
Year ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $3,666)................................. $ 449,021,586
Interest ................................................................... 17,627,901
Securities lending fee income, net of related expenses (Note 3) ........... 561,261
- - --------------------------------------------------------------------------- ---------------
Total investment income................................................... 467,210,748
- - --------------------------------------------------------------------------- ---------------
EXPENSES
Audit ...................................................................... 27,999
Custody .................................................................... 245,563
- - --------------------------------------------------------------------------- ---------------
Total expenses ........................................................... 273,562
- - --------------------------------------------------------------------------- ---------------
Net investment income....................................................... 466,937,186
- - --------------------------------------------------------------------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES
CONTRACTS
Net realized gain (loss):
Investments ............................................................... 534,042,688
Futures contracts.......................................................... 64,873,769
- - --------------------------------------------------------------------------- ---------------
598,916,457
- - --------------------------------------------------------------------------- ---------------
Net change in unrealized appreciation (depreciation):
Investments ............................................................... 3,142,759,498
Futures contracts.......................................................... (7,725,400)
- - --------------------------------------------------------------------------- ---------------
3,135,034,098
- - --------------------------------------------------------------------------- ---------------
Net realized and unrealized gain (loss) on investments and futures
contracts.................................................................. 3,733,950,555
- - --------------------------------------------------------------------------- ---------------
Net increase (decrease) in net assets resulting from operations ........... $4,200,887,741
=========================================================================== ===============
</TABLE>
The accompanying rules are an integral part of the financial statements
SAI-101
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------
1996 1995
- - ----------------------------------------------------------------------------------- --------------- --------------
<S> <C> <C>
FROM OPERATIONS
Net investment income.............................................................. $ 466,937,186 $ 324,063,367
Net realized gain (loss) on investments and futures contracts...................... 598,916,457 326,376,133
Net change in unrealized appreciation (depreciation) on investments and futures
contracts......................................................................... 3,135,034,098 3,134,480,988
- - ----------------------------------------------------------------------------------- --------------- --------------
Net increase (decrease) in net assets resulting from operations..................... 4,200,887,741 3,784,920,488
- - ----------------------------------------------------------------------------------- --------------- --------------
Distributions of securities lending fee income to S&P 500 Flagship Fund
participants (Note 3).............................................................. (561,261) (229,747)
- - ----------------------------------------------------------------------------------- --------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ..... 2,754,178,689 3,825,334,848
- - ----------------------------------------------------------------------------------- --------------- --------------
Net increase (decrease) in net assets.............................................. 6,954,505,169 7,610,025,589
NET ASSETS
Beginning of year.................................................................. 17,300,338,166 9,690,312,577
- - ----------------------------------------------------------------------------------- --------------- --------------
End of year........................................................................ $24,254,843,335 $17,300,338,166
=================================================================================== =============== ==============
</TABLE>
The accompanying rules are an integral part of the financial statements
SAI-102
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 INDEX FUND WITH FUTURES
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------
1996 1995 1994 1993 1992
- - -------------------------------------------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net investment income**...................... $ 2.48 $ 2.24 $ 1.90 $ 1.80 $ 1.53
Net realized and unrealized gain (loss) ..... 19.86 24.26 (0.93) 4.55 3.04
- - -------------------------------------------- --------- -------- -------- -------- --------
Net increase (decrease)...................... 22.34 26.50 0.97 6.35 4.57
NET ASSET VALUE
Beginning of year............................ 97.06 70.56 69.59 63.24 58.67
- - -------------------------------------------- --------- -------- -------- -------- --------
End of year.................................. $119.40 $97.06 $70.56 $69.59 $63.24
============================================ ========= ======== ======== ======== ========
Total return (%)***.......................... 23.02 37.56 1.39 10.06 7.79
============================================ ========= ======== ======== ======== ========
Ratio of expenses to average net assets* .... 0.00% 0.00% 0.00% 0.00% 0.00%
- - -------------------------------------------- --------- -------- -------- -------- --------
Ratio of net investment income to average
net assets.................................. 2.33% 2.66% 2.88% 2.68% 2.57%
- - -------------------------------------------- --------- -------- -------- -------- --------
Portfolio turnover........................... 27% 10% 12% 22% 19%
- - -------------------------------------------- --------- -------- -------- -------- --------
Average broker commission per share (a) ..... $ 0.04 N/A N/A N/A N/A
Net assets, end of year (000,000s)........... $ 3,339 $2,165 $1,432 $ 275 $ 155
============================================ ========= ======== ======== ======== ========
<FN>
- - ------------
* Less than .01%.
** Net investment income has been calculated based on an average of units
outstanding.
*** Total return calculation is based on the value of a single unit of
participation outstanding throughout the entire year. It represents the
percentage change in net asset value per unit between the beginning and
end of each year. The calculation includes only those expenses charged
directly to the Fund. This result may be reduced by any administrative
or other fees which are incurred in the management or maintenance of
individual participant accounts.
(a) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commisions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying rules are an integral part of the financial statements
SAI-103
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------
1996 1995 1994 1993 1992
- - ------------------------------------------------ --------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net investment income**.......................... $ 2.48 $ 2.24 $ 1.90 $ 1.81 $ 1.54
Net realized and unrealized gain (loss) ......... 19.86 24.26 (0.93) 4.55 3.04
Distribution of securities lending fee income
(a)............................................. 0.00 0.00 0.00 (0.01) (0.01)
- - ------------------------------------------------ --------- --------- -------- -------- --------
Net increase (decrease).......................... 22.34 26.50 0.97 6.35 4.57
NET ASSET VALUE
Beginning of year................................ 97.06 70.56 69.59 63.24 58.67
- - ------------------------------------------------ --------- --------- -------- -------- --------
End of year...................................... $119.40 $ 97.06 $70.56 $69.59 $63.24
================================================ ========= ========= ======== ======== ========
Total return (%)***.............................. 23.02 37.56 1.39 10.06 7.81
================================================ ========= ========= ======== ======== ========
Ratio of expenses to average net assets* ........ 0.00% 0.00% 0.00% 0.00% 0.00%
- - ------------------------------------------------ --------- --------- -------- -------- --------
Ratio of net investment income to average net
assets.......................................... 2.33% 2.66% 2.88% 2.68% 2.58%
- - ------------------------------------------------ --------- --------- -------- -------- --------
Portfolio turnover............................... 27% 10% 12% 22% 19%
- - ------------------------------------------------ --------- --------- -------- -------- --------
Average broker commission per share (b) ......... $ 0.04 N/A N/A N/A N/A
Net assets, end of year (000,000s)............... $20,916 $15,135 $8,258 $5,753 $4,233
================================================ ========= ========= ======== ======== ========
<FN>
- - ------------
* Less than .01%.
** Net investment income has been calculated based on an average of units
outstanding.
*** Total return calculation is based on the value of a single unit of
participation outstanding throughout the entire year. It represents the
percentage change in the net asset value per unit between the beginning
and end of each year and assumes reinvestment of dividends. The
calculation includes only those expenses charged directly to the Fund.
This result may be reduced by any administrative or other fees which
are incurred in the management or maintenance of individual participant
accounts.
(a) Zero amounts per unit represent those which are less than $.005.
(b) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying rules are an integral part of the financial statements
SAI-104
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") S&P 500
Flagship Fund and S&P 500 Index Fund with Futures (collectively, the "Funds")
are diversified equity pooled funds. The Funds were formed under a
Declaration of Trust dated February 21, 1991, as amended and restated through
July 19, 1991. Each Fund's objective is to replicate, as closely as possible,
the Standard & Poor's (S&P) 500 Index, which is accomplished by investing in
substantially all of the equity securities which comprise the Index.
Additionally, each of the Funds may hold up to 25% of its value in S&P 500
stock index futures contracts and hold units of certain State Street Bank and
Trust Company Investment Funds for Tax Exempt Retirement Plans, consistent
with its investment objectives. State Street Bank is the Funds' Trustee and
custodian. State Street Global Advisors, a division of State Street Bank, is
the Funds' investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments in securities listed on a national securities exchange and
over-the-counter securities are valued at the last reported sale price on the
valuation date, or if no sale price was reported on the valuation date, the
last published sale price. Short-term investments are stated at amortized
cost which approximates market. Investments in registered investment
companies or other State Street Bank and Trust Investment Funds for Tax
Exempt Retirement Plans are valued at net asset value per share/unit on the
valuation date. Futures contracts are valued at the settlement price
established each day by the board of trade or exchange upon which they are
traded.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of its units of participation are based on the
valuations of those securities determined as described above. The cost of
securities delivered and the net gain or loss on securities sold is
determined using the average cost method. Interest income is recorded on the
accrual basis. Interest income is increased by accretion of discount and
reduced by amortization of premium. Dividend income, net of applicable
withholding taxes, is recorded on ex-dividend date.
C. INCOME TAXES
It is the Funds' policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Funds are exempt from federal income taxes
and no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset values of the Funds are determined each business day
(valuation date). Issuances and redemptions of Fund units are made based upon
the closing market value of the securities bought or sold as of the valuation
date, adjusted for the related market effect and transaction costs previously
described.
SAI-105
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED DECEMBER 31, 1996
FINANCIAL STATEMENTS
The transaction costs and market effect associated with the investment of
proceeds from the issuance of Fund units are those incurred upon disposition
of investments to settle redemption of Fund units are allocated to the
applicable participant. Transaction costs include brokerage commissions,
taxes and other direct costs related to security transactions. Market effect
is the difference between the execution price of the investment on the trade
date and the investment's closing market value on the valuation date.
E. EXPENSES
According to the Declaration of Trust, the Funds may pay certain expenses
for services received during the year. The Trustee is paid a fee by the Funds
for custodial services at the annual rate of $50,000, plus a charge for each
security and futures transaction executed.
F. DISTRIBUTIONS TO PARTICIPANTS
All net investment income (excluding securities lending fees) and net
realized gains are retained by the Funds. Income generated by securities
lending is distributed to S&P 500 Flagship Fund participants monthly.
G. FUTURES CONTRACTS
The Funds may use futures contracts to manage their exposure to the equity
market. Buying futures tends to increase the Funds' exposure to the
underlying instrument. Futures contracts involve, to varying degrees, credit
and market risks. The Funds enter into futures contracts only on exchanges or
boards of trades where the exchange or board of trade acts as the
counterparty to the transaction. Thus, credit risk on such transactions is
limited to the failure of the exchange or board of trade. Losses in value may
arise from changes in the value of the underlying instruments or if there is
an illiquid secondary market for the contracts. In addition, there is the
risk that there may not be an exact correlation between a futures contract
and the underlying index. The maximum potential loss from a long futures
contract is the U.S. dollar value of the notional amount at the time the
contract is opened. The potential loss on a short contract is unlimited.
Upon entering into a futures contract, the Funds are required to deposit
either in cash or securities an amount ("initial margin") equal to a certain
percentage of the nominal value of the contract. Subsequent payments are made
or received by the Funds each day, depending on the daily fluctuation in the
value of the underlying securities, and are recorded as unrealized gains or
losses by the Funds. Such receipts or payments are known as "variation
margin". A gain or loss is realized when the contract is closed or expires.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles require the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
SAI-106
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
3. SECURITIES LENDING PROGRAM
The participants in the S&P 500 Flagship Fund (the "Lending Fund") have
authorized the Lending Fund to participate in the Securities Lending Program
maintained by State Street Bank. The investment objective, techniques and
results of operations of the Lending Fund are identical to those of the S&P
500 Index Fund with Futures (the "Index Fund"), except that the Lending Fund
engages in securities lending activities. Accordingly, the financial
statements of the Lending Fund and the Index Fund (collectively, the "Funds")
have been prepared on a combined basis, with separate disclosure of the
participant transactions and per unit data of each of the Funds. Each of the
Funds maintains a divided pro-rata interest in the combined assets and
liabilities (including each investment security position) proportionate to
the net asset value of the outstanding combined units of the Funds. All
interfund transactions have been eliminated in the combined financial
statements.
Under the Securities Lending Program, securities held by the Lending Fund
are loaned by State Street Bank, as agent, to certain brokers and other
financial institutions (the "Borrowers"). The Borrowers provide cash,
securities, or letters of credit as collateral against loans in an amount at
least equal to 100% of the market value of the loaned securities. The
Borrowers are required to maintain the collateral at not less than 100% of
the fair market value of the loaned securities. At December 31, 1996, the
value of securities loaned by the Lending Fund was $678,297,399 against which
was held cash collateral of $713,171,684. Cash collateral provided is
invested in a variety of registered investment companies managed by State
Street Bank. A portion of the income generated upon investment of the
collateral is remitted to the Borrowers, and the remainder is allocated
between the Lending Fund and State Street Bank in its capacity as lending
agent. Negotiated lenders' fees are received for those loans collateralized
by securities or letters of credit, if any.
State Street Bank, as lending agent, indemnifies the Lending Fund for
replacement of any loaned securities (or, in certain circumstances, return of
equivalent cash value) due to Borrower default on a security loan. Lending
Fund participants, however, bear the risk of loss with respect to the
investment of collateral.
All income earned from lending activities is distributed monthly to
Lending Fund participants. Participants in each of the Lending Fund or the
Index Fund may exchange their units for units of the other fund on any
valuation date.
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities, excluding short-term investments and
including in-kind contributions and redemptions, if any, during the year
ended December 31, 1996 were $5,699,762,775 and $2,391,064,474, respectively,
resulting in a net realized gain (loss) of $535,370,256. This gain (loss) is
prior to the recognition of the market effect and transaction costs
associated with contributions and redemptions.
SAI-107
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
5. UNITS OF PARTICIPATION
Participant transactions for each Fund were as follows:
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------
1996 1995
------------------------------ ------------------------------
UNITS AMOUNT UNITS AMOUNT
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
S&P 500 FLAGSHIP FUND:
Units issued .................... 98,935,366 $10,682,791,463 66,412,094 $ 5,900,504,862
Units redeemed .................. (79,681,942) (8,532,480,187) (27,527,383) (2,251,812,851)
-------------- --------------- -------------- ---------------
Total ......................... 19,253,424 $ 2,150,311,276 38,884,711 $ 3,648,692,011
-------------- --------------- -------------- ---------------
S&P 500 INDEX FUND WITH FUTURES:
Units issued .................... 9,657,971 $ 1,027,503,584 6,080,185 $ 501,064,924
Units redeemed .................. (3,999,223) (423,636,171) (4,070,455) (324,422,087)
-------------- --------------- -------------- ---------------
Total ......................... 5,658,748 $ 603,867,413 2,009,730 $ 176,642,837
-------------- --------------- -------------- ---------------
Net increase (decrease) in
units
and net assets resulting from
participant transactions ..... 24,912,172 $ 2,754,178,689 40,894,441 $ 3,825,334,848
============== =============== ============== ===============
</TABLE>
S&P 500 FLAGSHIP FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1996 held by 1 of the Lending Fund's 150 unitholders aggregated 11% of
the Lending Fund's total units outstanding.
During the year ended December 31, 1996, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Lending Fund units were $1,190,607.
S&P 500 INDEX FUND WITH FUTURES
Units in excess of 10% of the Index Fund units outstanding at December 31,
1996 held by 1 of the Index Fund's 19 unitholders aggregated 59% of the Index
Fund's total units outstanding.
During the year ended December 31, 1996, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Index Fund units were $136,961.
A redemption by one or more unitholders individually holding 10% or more
of the Funds' units may cause the remaining unitholders to bear
proportionately higher operating expenses and otherwise adversely affect the
Funds' future liquidity and investment operations. As described under
"Issuances and Redemptions of Units of Participation", however, redeeming
unitholders bear the transaction costs and market effect arising from any
redemption of units; additionally, in certain circumstances, redemptions may
be made on an in-kind basis. These practices may tend to mitigate the
potential adverse effects of such redemptions.
SAI-108
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
<S> <C> <C>
COMMON STOCK 98.0%
3COM Corp........................................... 723,768 $ 53,106,477
Abbott Laboratories................................. 3,270,142 165,959,706
Adolph Coors Co. Class B............................ 181,191 3,442,629
Advanced Micro Devices Inc.......................... 561,303 14,453,552
Aetna Inc........................................... 648,939 51,915,120
Air Products & Chemicals Inc........................ 497,637 34,399,158
Airtouch Communications............................. 2,101,364 53,059,441
Alberto Culver Co. Class B Conv..................... 117,924 5,660,352
Albertson's Inc..................................... 1,063,604 37,890,892
Alcan Aluminum Ltd.................................. 903,243 30,371,546
Alexander & Alexander Services Inc.................. 223,039 3,875,303
Allegheny Teledyne Inc.............................. 739,500 17,008,500
Allergan Inc........................................ 280,202 9,982,196
Allied Signal Inc................................... 1,191,676 79,842,292
Allstate Corp....................................... 1,892,796 109,545,568
Alltel Corp......................................... 784,920 24,626,865
Aluminum Co. of America............................. 742,105 47,309,194
Alza Corp........................................... 348,395 9,014,721
Amdahl Corp......................................... 556,238 6,744,386
Amerada Hess Corp................................... 399,912 23,144,907
American Brands Inc. ............................... 730,993 36,275,528
American Electric Power Co., Inc.................... 771,530 31,729,171
American Express Co................................. 1,992,017 112,548,960
American General Corp............................... 869,948 35,559,124
American Greetings Corp. Class A.................... 289,009 8,200,630
American Home Products Corp......................... 2,697,275 158,127,747
American International Group Inc.................... 1,975,404 213,837,483
American Stores Co. ................................ 639,398 26,135,393
Ameritech Corp...................................... 2,313,328 140,245,510
Amgen Inc........................................... 1,134,540 61,690,612
Amoco Corp.......................................... 2,096,720 168,785,960
AMP Inc. ........................................... 908,756 34,873,511
AMR Corp............................................ 384,579 33,891,024
Andrew Corp......................................... 264,453 14,032,537
Anheuser Busch Cos., Inc............................ 2,102,757 84,110,280
Aon Corp............................................ 463,797 28,813,389
Apple Computer...................................... 507,690 10,598,029
Applied Materials Inc............................... 755,237 27,141,330
Archer Daniels Midland Co........................... 2,310,653 50,834,366
Armco Inc. ......................................... 380,412 1,569,200
Armstrong World Industries Inc...................... 171,901 11,947,120
Asarco Inc.......................................... 177,516 4,415,711
Ashland Inc......................................... 265,612 11,653,727
AT&T Corp........................................... 6,824,677 296,873,449
Atlantic Richfield Co............................... 679,426 90,023,945
Autodesk Inc........................................ 185,330 5,189,240
Automatic Data Processing Inc....................... 1,219,087 52,268,355
Autozone Inc........................................ 632,400 17,391,000
Avery Dennison Corp................................. 494,288 17,485,438
The accompanying notes are an integral part of the financial statements.
SAI-109
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Avon Products Inc................................... 573,421 $ 32,756,675
B.F. Goodrich Co. .................................. 232,735 9,425,768
Baker Hughes Inc.................................... 611,069 21,081,881
Ball Corp........................................... 139,447 3,625,622
Baltimore Gas & Electric Co......................... 619,692 16,576,761
BancOne Corp........................................ 1,813,600 77,984,800
Bank of Boston Corp. ............................... 653,678 41,998,811
Bank of New York Co., Inc........................... 1,656,271 55,899,146
Bankamerica Corp.................................... 1,517,002 151,320,949
Bankers Trust New York Corp......................... 343,605 29,635,931
Barnett Banks Inc................................... 828,433 34,069,307
Barrick Gold Corp................................... 1,419,407 40,807,951
Battle Mountain Gold Co............................. 952,205 6,546,409
Bausch & Lomb Inc................................... 216,716 7,585,060
Baxter International Inc............................ 1,159,516 47,540,156
Bay Networks Inc.................................... 798,936 16,677,789
Becton Dickinson & Co............................... 582,393 25,261,296
Bell Atlantic Corp.................................. 1,836,933 118,941,412
Bellsouth Corp...................................... 4,178,643 168,712,711
Bemis Co., Inc. .................................... 204,472 7,539,905
Beneficial Corp..................................... 223,954 14,193,085
Bethlehem Steel Corp. .............................. 445,632 4,010,688
Beverly Enterprises Inc............................. 417,573 5,324,056
Biomet Inc.......................................... 468,328 7,083,461
Black & Decker Corp................................. 379,269 11,425,479
Boatmens Bancshares Inc............................. 685,531 44,216,749
Boeing Co........................................... 1,518,674 161,548,947
Boise Cascade Corp.................................. 196,303 6,232,620
Boston Scientific Corp.............................. 770,171 46,210,260
Briggs & Stratton Corp.............................. 108,660 4,781,040
Bristol-Myers Squibb Co............................. 2,109,299 229,386,266
Brown Forman Corp. Class B.......................... 276,075 12,630,431
Browning Ferris Industries Inc...................... 882,347 23,161,609
Brunswick Corp...................................... 393,420 9,442,080
Burlington Northern................................. 656,360 56,693,095
Burlington Resources Inc............................ 532,858 26,842,722
C.R. Bard Inc....................................... 231,745 6,488,860
Cabletron Systems Inc............................... 656,006 21,812,200
Caliber System, Inc................................. 162,978 3,137,327
Campbell Soup Co.................................... 991,569 79,573,412
Carolina Power & Light Co........................... 618,316 22,568,534
Case Corp........................................... 315,076 17,171,642
Caterpillar Inc..................................... 811,460 61,062,365
Centex Corp......................................... 122,442 4,606,880
Central & South West Corp........................... 871,652 22,336,082
Ceridian Corp....................................... 288,106 11,668,293
Champion International Corp......................... 404,455 17,492,679
Charming Shoppes Inc. .............................. 421,913 2,135,935
Chase Manhattan Corp................................ 1,866,652 166,598,691
Chevron Corp........................................ 2,743,857 178,350,705
The accompanying notes are an integral part of the financial statements.
SAI-110
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Chrysler Corp....................................... 3,070,674 $ 101,332,242
Chubb Corp.......................................... 735,172 39,515,495
CIGNA Corp. ........................................ 328,914 44,937,875
Cincinnati Milacron Inc............................. 160,624 3,513,650
Cinergy Corp........................................ 665,140 22,199,048
Circuit City Stores Inc............................. 433,337 13,054,277
Cisco Systems Inc................................... 2,746,956 174,775,075
Citicorp............................................ 1,994,541 205,437,723
Clorox Co........................................... 217,892 21,870,910
Coca Cola Co........................................ 10,495,219 552,310,900
Cognizant Corp...................................... 737,363 24,332,979
Colgate Palmolive Co................................ 618,358 57,043,525
Columbia Gas System Inc............................. 219,612 13,972,814
Columbia/HCA Healthcare Corp........................ 2,819,749 114,904,772
Comcast Corp. Class A............................... 438,500 7,728,563
Comcast Corp. Class A Special....................... 918,976 16,369,260
Comerica, Inc....................................... 491,785 25,757,239
Compaq Computer Corp................................ 1,127,764 83,736,477
Computer Associates International Inc............... 1,543,510 76,789,622
Computer Sciences Corp. ............................ 326,616 26,823,339
ConAgra Inc......................................... 1,026,971 51,091,807
Conrail Inc......................................... 329,361 32,812,590
Consolidated Edison Co. of New York Inc............. 978,409 28,618,463
Consolidated Natural Gas Co......................... 399,760 22,086,740
Cooper Industries Inc............................... 472,557 19,906,464
Cooper Tire & Rubber Co. ........................... 353,999 6,991,480
Corestates Financial Corp........................... 948,715 49,214,591
Corning Inc......................................... 966,299 44,691,329
CPC International Inc............................... 607,512 47,082,180
Crane Co. .......................................... 188,941 5,479,289
Crown Cork & Seal Co., Inc.......................... 555,137 30,185,574
CSX Corp. .......................................... 856,867 36,202,631
CUC International Inc............................... 1,671,632 39,701,260
Cummins Engine Co., Inc. ........................... 160,421 7,379,366
CVS Corp............................................ 469,230 19,414,391
Cyprus Amax Minerals Co............................. 380,291 8,889,302
Dana Corp........................................... 466,632 15,223,869
Darden Restaurants Inc.............................. 586,391 5,130,921
Data General Corp. ................................. 175,066 2,538,457
Dayton Hudson Corp.................................. 915,455 35,931,609
Dean Witter Discover & Co........................... 682,971 45,246,829
Deere & Co.......................................... 1,105,353 44,904,966
Dell Computer Corp.................................. 763,134 40,541,494
Delta Air Lines Inc................................. 326,201 23,119,496
DeLuxe Corp......................................... 345,701 11,321,708
Digital Equipment Corp.............................. 658,460 23,951,482
Dillard Department Stores Inc. Class A.............. 485,596 14,992,777
Dominion Resources Inc.............................. 736,777 28,365,914
Dover Corp.......................................... 497,901 25,019,525
Dow Chemical Co..................................... 1,026,182 80,427,014
The accompanying notes are an integral part of the financial statements.
SAI-111
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Dow Jones & Co., Inc................................ 384,728 $ 13,032,661
Dresser Industries Inc. ............................ 739,788 22,933,428
DSC Communications Corp............................. 502,777 8,987,139
DTE Energy Co. ..................................... 609,068 19,718,577
Duke Power Co....................................... 854,263 39,509,664
Dun & Bradstreet Corp. ............................. 741,963 17,621,621
E.I. du Pont de Nemours & Co........................ 2,358,633 222,595,989
Eastern Enterprises ................................ 86,545 3,061,529
Eastman Chemical Co................................. 326,839 18,057,855
Eastman Kodak Co.................................... 1,401,807 112,495,012
Eaton Corp.......................................... 319,673 22,297,192
Echlin Inc. ........................................ 243,912 7,713,717
Echo Bay Mines Ltd.................................. 525,053 3,478,476
Ecolab Inc. ........................................ 277,832 10,453,429
Edison International................................ 1,834,308 36,456,871
EG&G Inc............................................ 198,263 3,990,043
El Paso Natural Gas Co.............................. 1 47
Eli Lilly & Co...................................... 2,338,338 170,698,674
EMC Corp............................................ 991,688 32,849,665
Emerson Electric Co................................. 940,202 90,964,543
Engelhard Corp...................................... 585,616 11,199,906
Enron Corp.......................................... 1,063,968 45,883,620
Enserch Corp. ...................................... 301,959 6,945,057
Entergy Corp........................................ 981,334 27,232,018
Exxon Corp.......................................... 5,239,969 513,516,962
Federal Express Corp................................ 477,728 21,258,896
Federal Home Loan Mortgage Corp..................... 757,261 83,393,368
Federal National Mortgage Association............... 4,600,152 171,355,662
Federated Department Stores Inc..................... 886,319 30,245,636
Fifth Third Bancorp................................. 440,648 27,678,202
First Bank System Inc............................... 576,317 39,333,635
First Chicago NBD Corp.............................. 1,342,042 72,134,757
First Data Corp. ................................... 1,890,246 68,993,979
First Union Corp. .................................. 1,207,033 89,320,442
Fleet Financial Group Inc........................... 1,118,198 55,770,125
Fleetwood Enterprises Inc........................... 149,787 4,119,143
Fleming Cos., Inc. ................................. 158,120 2,727,570
Fluor Corp. ........................................ 352,213 22,101,366
FMC Corp............................................ 144,847 10,157,396
Ford Motor Co....................................... 4,959,356 158,079,472
Foster Wheeler Corp. ............................... 173,675 6,447,684
FPL Group Inc....................................... 784,072 36,067,312
Freeport McMoRan Copper & Gold Class B.............. 817,984 24,437,272
Frontier Corp....................................... 689,500 15,599,938
Fruit of the Loom Inc. Class A...................... 324,973 12,308,352
Gannett Co., Inc.................................... 589,439 44,134,245
Gap Inc............................................. 1,233,296 37,153,042
General Dynamics Corp............................... 269,566 19,004,403
General Electric Co................................. 6,937,189 685,914,562
General Instrument Corp............................. 535,633 11,583,064
The accompanying notes are an integral part of the financial statements.
SAI-112
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
General Mills Inc................................... 668,583 $ 42,371,448
General Motors Corp................................. 3,169,249 176,685,632
General Reinsurance Corp............................ 349,785 55,178,584
General Signal Corp. ............................... 200,334 8,564,279
Genuine Parts Co. .................................. 519,756 23,129,142
Georgia Pacific Corp................................ 380,650 27,406,800
Giant Foods Inc. Class A............................ 279,683 9,649,064
Giddings & Lewis Inc................................ 166,003 2,137,289
Gillette Co......................................... 2,339,117 181,866,347
Golden West Financial Corp. ........................ 245,968 15,526,730
Goodyear Tire & Rubber Co........................... 649,096 33,347,307
GPU Inc............................................. 505,867 17,009,778
Great Atlantic & Pacific Tea Co., Inc............... 161,262 5,140,226
Great Lakes Chemical Corp........................... 279,300 13,057,275
Great Western Financial Corp........................ 594,749 17,247,721
Green Tree Financial Corp........................... 583,207 22,526,370
GTE Corp............................................ 4,061,255 184,787,102
Guidant Corp........................................ 311,800 17,772,600
H&R Block Inc....................................... 436,395 12,655,455
H.F. Ahmanson & Co.................................. 479,962 15,598,765
H.J. Heinz Co....................................... 1,562,051 55,843,323
Halliburton Co...................................... 552,281 33,274,930
Harcourt General Inc................................ 300,523 13,861,623
Harnischfeger Industries Inc........................ 200,867 9,666,724
Harrahs Entertainment Inc........................... 427,471 8,495,986
Harris Corp......................................... 172,162 11,814,617
Hasbro Inc.......................................... 371,429 14,439,302
Helmerich & Payne Inc............................... 108,234 5,641,697
Hercules Inc........................................ 456,015 19,722,649
Hershey Foods Corp.................................. 646,139 28,268,581
Hewlett Packard Co.................................. 4,278,524 214,995,831
HFS Inc............................................. 516,410 30,855,497
Hilton Hotels Corp. ................................ 1,078,470 28,175,029
Home Depot Inc...................................... 2,023,043 101,405,030
Homestake Mining Co................................. 589,358 8,398,352
Honeywell Inc. ..................................... 538,962 35,436,751
Household International Inc......................... 415,633 38,342,144
Houston Industries Inc.............................. 1,062,938 24,048,972
Humana Inc.......................................... 675,527 12,919,454
IBM................................................. 2,189,162 330,563,462
Ikon Offices Solutions, Inc......................... 540,398 27,898,047
Illinois Tool Works Inc............................. 513,175 40,989,853
INCO Ltd............................................ 679,330 21,653,644
Ingersoll Rand Co. ................................. 453,263 20,170,204
Inland Steel Industries Inc......................... 204,149 4,082,980
Intel Corp.......................................... 3,454,670 452,345,853
Intergraph Corp..................................... 203,608 2,086,982
International Flavors & Fragrances.................. 453,194 20,393,730
International Paper Co.............................. 1,258,555 50,814,158
Interpublic Group of Cos., Inc...................... 348,858 16,570,755
The accompanying notes are an integral part of the financial statements.
SAI-113
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
ITT Corp............................................ 484,370 $ 21,009,549
ITT Hartford Group Inc. ............................ 501,457 33,848,347
ITT Industries Inc.................................. 487,542 11,944,779
J.C. Penney Co., Inc................................ 949,578 46,291,927
J.P. Morgan & Co., Inc. ............................ 784,375 76,574,609
James River Corp. of Virginia ...................... 381,898 12,650,371
Jefferson-Pilot Corp. .............................. 319,780 18,107,543
John Harland Co. ................................... 157,301 5,190,933
Johnson & Johnson................................... 5,625,583 279,872,754
Johnson Controls Inc................................ 173,243 14,357,514
Jostens Inc. ....................................... 209,340 4,422,308
K Mart Corp......................................... 2,030,504 21,066,479
Kaufman & Broad Home Corp. ......................... 169,236 2,178,914
Kellogg Co.......................................... 874,630 57,397,594
Kerr McGee Corp..................................... 220,182 15,853,104
Keycorp............................................. 964,526 48,708,563
Kimberly-Clark Corp. ............................... 1,202,666 114,553,936
King World Productions Inc.......................... 157,707 5,815,446
Knight-Ridder Inc................................... 399,811 15,292,771
Kroger Co........................................... 534,017 24,831,790
Laidlaw Inc. Class B................................ 1,179,790 13,567,585
Limited, Inc........................................ 1,147,340 21,082,373
Lincoln National Corp............................... 436,970 22,940,925
Liz Claiborne Inc................................... 355,274 13,722,458
Lockheed Martin Corp................................ 840,073 76,866,679
Loews Corp.......................................... 507,749 47,855,343
Longs Drug Stores Corp. ............................ 102,354 5,028,140
Louisiana Land & Exploration Co. ................... 145,861 7,821,796
Louisiana-Pacific Corp.............................. 410,942 8,681,150
Lowes Cos., Inc..................................... 727,939 25,841,834
LSI Logic Corp...................................... 544,806 14,573,561
Luby's Cafeterias Inc............................... 7,200 143,100
Lucent Technologies Inc............................. 2,687,164 124,281,335
Mallinckrodt Inc.................................... 325,355 14,356,289
Manor Care Inc...................................... 281,611 7,603,497
Marriott International Inc.......................... 567,798 31,370,839
Marsh & McLennan Cos., Inc.......................... 316,112 32,875,648
Masco Corp. ........................................ 693,723 24,974,028
Mattel Inc.......................................... 1,191,015 33,050,666
May Department Stores Co............................ 1,050,478 49,109,846
Maytag Corp. ....................................... 408,176 8,061,476
MBIA Inc............................................ 180,400 18,265,500
MBNA Corp........................................... 961,164 39,888,306
McDermott International Inc......................... 228,134 3,792,728
McDonald's Corp..................................... 2,953,464 133,644,246
McDonnell Douglas Corp.............................. 914,209 58,509,376
McGraw-Hill Inc..................................... 434,668 20,049,062
MCI Communications Corp............................. 2,885,582 94,322,462
Mead Corp........................................... 228,275 13,268,484
Medtronic Inc....................................... 1,014,591 68,992,188
The accompanying notes are an integral part of the financial statements.
SAI-114
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Mellon Bank Corp.................................... 575,619 $ 40,868,949
Mercantile Stores Co., Inc. ........................ 123,173 6,081,667
Merck & Co., Inc.................................... 5,081,373 402,698,810
Meredith Corp....................................... 113,050 5,963,388
Merrill Lynch & Co., Inc............................ 706,988 57,619,522
MFS Communications Co., Inc......................... 229,700 12,518,650
MGIC Investment Corp. .............................. 255,944 19,451,744
Micron Technology Inc. ............................. 874,127 25,458,949
Microsoft Corp. .................................... 5,026,722 415,332,905
Millipore Corp...................................... 193,188 7,993,154
Minnesota Mining & Manufacturing Co................. 1,761,177 145,957,544
Mobil Corp. ........................................ 1,664,363 203,468,377
Monsanto Co......................................... 2,503,750 97,333,281
Moore Corp., Ltd.................................... 386,117 7,867,134
Morgan Stanley Group Inc............................ 653,781 37,347,240
Morton International Inc............................ 617,001 25,142,791
Motorola Inc........................................ 2,493,803 153,057,159
NACCO Industries Inc. Class A....................... 46,446 2,484,861
Nalco Chemical Co. ................................. 272,337 9,838,174
National City Corp. ................................ 936,096 42,007,308
National Semiconductor Corp......................... 578,744 14,106,885
National Service Industries Inc..................... 225,187 8,416,364
NationsBank Corp.................................... 1,222,716 119,520,489
Navistar International Corp......................... 287,313 2,621,731
New York Times Co. Class A.......................... 372,557 14,157,166
Newell Co........................................... 706,621 22,258,561
Newmont Mining Corp................................. 406,412 18,186,937
Niagara Mohawk Power Corp. ......................... 568,356 5,612,516
Nicor Inc........................................... 209,128 7,476,326
Nike Inc. .......................................... 1,229,803 73,480,729
Noram Energy Corp................................... 567,059 8,718,532
Nordstrom Inc....................................... 336,962 11,941,091
Norfolk Southern Corp............................... 536,754 46,965,975
Northern States Power Co. .......................... 284,460 13,049,603
Northern Telecom Ltd................................ 1,049,681 64,949,012
Northrop Grumman Corp............................... 221,323 18,314,478
Norwest Corp........................................ 1,562,919 67,986,976
Novell Inc.......................................... 1,453,003 13,758,122
Nucor Corp.......................................... 367,326 18,733,626
NYNEX Corp.......................................... 1,861,220 89,571,212
Occidental Petroleum Corp........................... 1,333,689 31,174,980
Ohio Edison Co. .................................... 621,069 14,129,320
ONEOK Inc........................................... 111,858 3,355,740
Oracle Corp......................................... 2,771,969 115,729,706
Oryx Energy Co...................................... 470,967 11,656,433
Owens Corning Fiberglas Corp........................ 215,662 9,192,593
PACCAR Inc. ........................................ 164,985 11,218,980
Pacific Enterprises ................................ 349,626 10,619,890
Pacific Gas & Electric Co........................... 1,712,908 35,971,068
Pacific Telesis Group .............................. 1,794,478 65,947,066
The accompanying notes are an integral part of the financial statements.
SAI-115
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
PacifiCorp.......................................... 1,231,974 $ 25,255,467
Pall Corp. ......................................... 526,896 13,435,848
PanEnergy Corp...................................... 650,042 29,251,890
Parker Hannifin Corp................................ 321,709 12,466,224
PECO Energy Co...................................... 936,844 23,655,311
Pennzoil Co......................................... 192,419 10,871,674
Peoples Energy Corp................................. 156,631 5,305,875
Pep Boys--Manny, Moe & Jack......................... 261,072 8,027,964
PepsiCo Inc......................................... 6,527,328 190,924,344
Perkin-Elmer Corp................................... 209,872 12,356,214
Pfizer Inc.......................................... 2,723,850 225,739,069
Pharmacia & Upjohn Inc.............................. 2,102,331 83,304,866
Phelps Dodge Corp................................... 282,861 19,093,118
Philip Morris Cos., Inc............................. 3,429,208 386,214,551
Phillips Petroleum Co............................... 1,126,217 49,835,102
Pioneer HI-Bred International Inc................... 349,291 24,450,370
Pitney Bowes Inc.................................... 640,070 34,883,815
Placer Dome Inc..................................... 928,287 20,190,242
PNC Bank Corp....................................... 1,442,187 54,262,286
Polaroid Corp....................................... 159,980 6,959,130
Potlatch Corp....................................... 121,723 5,234,089
PP&L Resources Inc.................................. 648,466 14,914,718
PPG Industries Inc. ................................ 788,908 44,277,461
Praxair Inc......................................... 659,325 30,411,366
Price Costco Inc.................................... 874,428 21,970,004
Procter & Gamble Co. ............................... 2,874,241 308,980,907
Providian Corp...................................... 394,168 20,250,381
Public Service Enterprise Group Inc................. 1,005,519 27,400,393
Pulte Corp. ........................................ 115,293 3,545,260
Quaker Oats Co. .................................... 569,122 21,697,776
R.R. Donnelley & Sons Co. .......................... 632,671 19,850,053
Ralston Purina Co. ................................. 455,585 33,428,549
Raychem Corp........................................ 193,388 15,495,214
Raytheon Co......................................... 1,007,387 48,480,499
Reebok International Ltd............................ 280,168 11,767,056
Republic New York Corp.............................. 233,294 19,042,623
Reynolds Metals Co.................................. 277,102 15,621,625
Rite Aid Corp. ..................................... 484,278 19,250,051
Rockwell International Corp. ....................... 931,546 56,707,863
Rohm & Haas Co...................................... 276,614 22,578,618
Rowan Cos., Inc. ................................... 361,917 8,188,372
Royal Dutch Petroleum Co............................ 2,253,812 384,838,399
Rubbermaid Inc...................................... 623,526 14,185,217
Russell Corp........................................ 165,523 4,924,309
Ryan's Family Steak Houses Inc...................... 18,200 125,125
Ryder Systems Inc................................... 330,961 9,308,278
SAFECO Corp......................................... 561,417 22,140,883
Safety-Kleen Corp................................... 288,020 4,716,328
Salomon Inc......................................... 429,732 20,251,121
Santa Fe Energy Resources Inc....................... 403,223 5,594,719
The accompanying notes are an integral part of the financial statements.
SAI-116
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Santa Fe Pacific Gold Corp.......................... 548,813 $ 8,438,000
Sara Lee Corp. ..................................... 2,042,216 76,072,546
SBC Communications Inc.............................. 2,554,540 132,197,445
Schering-Plough Corp................................ 1,564,277 101,286,936
Schlumberger Ltd.................................... 1,048,722 104,741,110
Scientific Atlanta Inc. ............................ 315,599 4,733,985
Seagate Technology.................................. 1,003,388 39,633,826
Seagram Co., Ltd.................................... 1,517,177 58,790,609
Sears Roebuck & Co.................................. 1,654,725 76,324,191
Service Corp. International ........................ 1,011,513 28,322,364
Shared Medical Systems Corp......................... 103,058 5,075,607
Sherwin-Williams Co. ............................... 353,073 19,772,088
Shoneys Inc......................................... 14,600 102,200
Sigma Aldrich Corp.................................. 212,715 13,281,393
Silicon Graphics Inc................................ 733,428 18,702,414
Snap On Inc......................................... 262,788 9,361,823
Sonat Inc........................................... 372,334 19,175,201
Southern Co......................................... 2,821,764 63,842,410
Southwest Airlines Co............................... 604,890 13,383,191
Springs Industries Inc.............................. 91,272 3,924,696
Sprint Corp......................................... 1,817,347 72,466,712
St. Jude Medical Inc................................ 308,773 13,161,449
St. Paul Cos. Inc................................... 363,351 21,301,452
Stanley Works ...................................... 370,416 10,001,232
Stone Container Corp. .............................. 433,760 6,452,180
Stride Rite Corp. .................................. 270,805 2,708,050
Sun Co., Inc........................................ 296,608 7,229,820
Sun Microsystems Inc................................ 1,568,810 40,298,807
Suntrust Banks Inc.................................. 942,252 46,405,911
Supervalu Inc....................................... 283,759 8,051,662
Sysco Corp. ........................................ 750,382 24,481,213
Tandem Computers Inc................................ 502,065 6,903,394
Tandy Corp. ........................................ 249,712 10,987,329
Tektronix Inc....................................... 149,373 7,655,366
Tele-Communications Inc............................. 2,709,051 35,386,979
Tellabs Inc......................................... 768,976 28,932,722
Temple Inland Inc................................... 230,273 12,463,526
Tenet Healthcare Corp............................... 911,190 19,932,281
Tenneco Inc......................................... 722,354 32,596,224
Texaco Inc.......................................... 1,106,328 108,558,435
Texas Instruments Inc............................... 797,425 50,835,844
Texas Utilities Co.................................. 950,985 38,752,639
Textron Inc......................................... 349,514 32,941,694
Thermo Electron Corp................................ 628,800 25,938,000
Thomas & Betts Corp................................. 175,618 7,793,049
Time Warner Inc..................................... 2,405,266 90,197,475
Times Mirror Co..................................... 445,842 22,180,640
Timken Co. ......................................... 179,201 8,220,846
TJX Cos., Inc....................................... 348,101 16,491,285
Torchmark Corp...................................... 317,549 16,036,225
The accompanying notes are an integral part of the financial statements.
SAI-117
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
Toys R Us Inc....................................... 1,128,937 $ 33,868,110
TransAmerica Corp. ................................. 291,766 23,049,514
Travelers Inc....................................... 2,701,624 122,586,189
Tribune Co. ........................................ 254,805 20,097,744
Trinova Corp. ...................................... 110,404 4,015,946
TRW Inc. ........................................... 538,168 26,639,316
Tupperware Corp..................................... 278,179 14,917,349
Tyco International Ltd.............................. 662,616 35,035,821
Unicom Inc.......................................... 932,761 25,301,142
Unilever NV......................................... 660,865 115,816,591
Union Camp Corp..................................... 283,476 13,535,979
Union Carbide Corp.................................. 556,858 22,761,571
Union Electric Co................................... 412,317 15,874,205
Union Pacific Corp.................................. 1,029,340 61,889,067
Union Pacific Resources Group Inc................... 1,057,360 30,927,780
Unisys Corp......................................... 711,744 4,804,272
United Healthcare Corp.............................. 770,961 34,693,245
United Technologies Corp............................ 1,045,342 68,992,572
Unocal Corp......................................... 1,054,254 42,829,069
UNUM Corp........................................... 316,324 22,854,409
US Bancorp.......................................... 652,123 29,304,777
US Surgical Corp.................................... 227,311 8,950,371
US West Inc. Communications Group................... 1,989,354 64,156,666
US West Inc. Media Group............................ 2,618,650 48,445,025
USAir Group Inc..................................... 296,139 6,922,249
USF&G Corp.......................................... 496,247 10,359,156
USLIFE Corp......................................... 144,364 4,800,103
UST Inc............................................. 797,611 25,822,656
USX Marathon Group.................................. 1,233,068 29,439,498
USX United States Steel............................. 354,590 11,125,261
VF Corp............................................. 271,405 18,319,838
Viacom Inc. Class B................................. 1,494,403 52,117,305
W.W. Grainger Inc. ................................. 212,285 17,035,871
Wachovia Corp....................................... 701,514 39,635,541
Wal Mart Stores Inc................................. 9,660,078 220,974,284
Walgreen Co. ....................................... 1,055,184 42,207,360
Walt Disney Co...................................... 2,856,303 198,870,096
Warner Lambert Co. ................................. 1,153,119 86,483,925
Wells Fargo & Co.................................... 401,205 108,225,049
Wendy's International Inc........................... 488,965 10,023,783
Western Atlas Inc................................... 224,606 15,918,950
Westinghouse Electric Corp. ........................ 2,619,052 52,053,658
Westvaco Corp....................................... 421,239 12,110,621
Weyerhaeuser Co..................................... 823,839 39,029,373
Whirlpool Corp. .................................... 311,527 14,524,946
Whitman Corp. ...................................... 438,451 10,029,567
Willamette Industries Inc. ......................... 223,968 15,593,772
William Wrigley Jr. Co.............................. 481,424 27,080,100
Williams Cos., Inc.................................. 666,126 24,979,706
Winn Dixie Stores Inc............................... 585,324 18,510,872
The accompanying notes are an integral part of the financial statements.
SAI-118
<PAGE>
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND AND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------- ---------------
WMX Technologies Inc................................ 2,050,935 $ 66,911,754
Woolworth Corp...................................... 553,368 12,104,925
Worldcom Inc........................................ 2,498,276 65,111,318
Worthington Industries.............................. 327,239 5,931,207
WR Grace & Co....................................... 385,792 19,964,736
Xerox Corp.......................................... 1,396,717 73,502,232
---------------
Total Common Stock
(Cost $16,749,902,506)............................ $23,903,350,103
---------------
PRINCIPAL
AMOUNT
U.S. GOVERNMENT OBLIGATIONS -0.1%
U.S. Treasury Bills 4.90% 06-Mar-97 (a) $ 20,000,000 19,825,778
U.S. Treasury Bills 4.96% 06-Mar-97 (a) ............ 1,000,000 991,182
U.S. Treasury Bills 5.05% 06-Mar-97 (a) ............ 1,000,000 991,031
---------------
Total U.S. Government Obligations .................. 21,807,991
---------------
STATE STREET BANK AND TRUST COMPANY INVESTMENT
FUNDS FOR TAX EXEMPT RETIREMENT PLANS -1.9% UNITS
-------------
SHORT TERM INVESTMENT FUND ......................... 461,865,914 461,865,914
- - --------------------------------------------------- ------------- ---------------
TOTAL INVESTMENTS--100%
(Cost $17,233,576,411) ........................... $24,387,024,008
=================================================== ============= ===============
</TABLE>
(a) At December 31, 1996, U.S. Treasury Bills were pledged to cover margin
requirements for open futures contracts.
- - -----------------------------------------------------------------------------
The following long futures contracts were open at December 31, 1996:
<TABLE>
<CAPTION>
FUTURES NUMBER OF MATURITY UNREALIZED
CONTRACT CONTRACTS DATE GAIN (LOSS)
- - -------------- ------------------------------ ------------- --------------
<S> <C> <C> <C>
S&P 500 Index 950 March, 1997 $(4,403,275)
==============
(Notional Amount $358,040,775)
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-119
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of the
State Street Bank and Trust Company
Russell 2000 Fund and the
State Street Bank and the Trust Company
Russell 2000 Non-Lending Fund
In our opinion, the accompanying combined statement of assets and
liabilities, including the combined schedule of investments, and the related
combined statements of operations and of changes in net assets and the
selected per unit data present fairly, in all material respects, the
financial position of the State Street Bank and Trust Company Russell 2000
Fund and the State Street Bank and Trust Company Russell 2000 Non-Lending
Fund (the "Funds") at December 31, 1996, the results of their operations for
the year then ended, and the changes in their net assets and their selected
per unit data for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and selected per
unit data (hereafter referred to as "financial statements") are the
responsibility of the Fund's Trustee; 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 the Trustee,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
March 26, 1997
The accompanying notes are an integral part of the financial statements.
SAI-120
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investment in securities, at value (cost $947,561,017) ......... $ 984,818,322
Collateral held for loaned securities, at value ................ 64,003,544
Receivable for investments sold ................................ 10,366
Dividends receivable ........................................... 1,171,346
Interest and other receivables ................................. 231,732
- - ---------------------------------------------------------------- ---------------
Total assets ................................................ 1,050,235,310
- - ---------------------------------------------------------------- ---------------
LIABILITIES
Collateral on securities loaned ................................ 64,003,544
Variation margin payable ....................................... 310,888
Accrued expenses ............................................... 50,616
- - ---------------------------------------------------------------- ---------------
Total liabilities ........................................... 64,365,048
- - ---------------------------------------------------------------- ---------------
NET ASSETS ..................................................... $ 985,870,262
================================================================ ===============
Russell 2000 Fund:
49,457,774 units outstanding, at $19.24 per unit net asset
value ......................................................... $ 951,404,626
Russell 2000 Non-Lending Fund:
1,791,660 units outstanding, at $19.24 per unit net asset value 34,465,636
- - ---------------------------------------------------------------- ---------------
$ 985,870,262
================================================================ ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-121
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Statement of Operations*
Year ended December 31, 1996**
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $122) .................................. $ 10,985,753
Interest ................................................................... 1,796,194
Securities lending fee income, net of related expenses (Note 3) ........... 399,647
- - ---------------------------------------------------------------------------- --------------
Total investment income .................................................. 13,181,594
- - ---------------------------------------------------------------------------- --------------
EXPENSES
Audit ...................................................................... 25,230
Custody .................................................................... 381,646
- - ---------------------------------------------------------------------------- --------------
Total expenses ........................................................... 406,876
- - ---------------------------------------------------------------------------- --------------
Net investment income ...................................................... 12,774,718
- - ---------------------------------------------------------------------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss):
Investments ............................................................... 174,309,587
Futures contracts ......................................................... 2,101,712
- - ---------------------------------------------------------------------------- --------------
176,411,299
- - ---------------------------------------------------------------------------- --------------
Net change in unrealized appreciation (depreciation):
Investments ............................................................... (71,757,270)
Futures contracts ......................................................... (112,775)
- - ---------------------------------------------------------------------------- --------------
(71,870,045)
- - ---------------------------------------------------------------------------- --------------
Net realized and unrealized gain (loss) on investments and futures contracts 104,541,254
- - ---------------------------------------------------------------------------- --------------
Net increase (decrease) in net assets resulting from operations ........... $117,315,972
============================================================================ ==============
</TABLE>
- - ------------
* The Russell 2000 Non-Lending Fund commenced operations on September 30,
1996.
** See Note 1 to the financial statements.
The accompanying notes are an integral part of the financial statements.
SAI-122
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------
1996* 1995
- - ------------------------------------------------------------------------------ -------------- -------------
<S> <C> <C>
FROM OPERATIONS**
Net investment income........................................................ $ 12,774,718 $ 806,636
Net realized gain (loss) on investments and futures contracts .............. 176,411,299 3,720,072
Net change in unrealized appreciation (depreciation) on investments and
futures contracts .......................................................... (71,870,045) 110,075,573
- - ------------------------------------------------------------------------------ -------------- -------------
Net increase (decrease) in net assets resulting from operations ............. 117,315,972 114,602,281
- - ------------------------------------------------------------------------------ -------------- -------------
Distribution of securities lending fee income (Note 3) ....................... (399,647) (297,597)
- - ------------------------------------------------------------------------------ -------------- -------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions 332,105,190 50,437,261
- - ------------------------------------------------------------------------------ -------------- -------------
Net increase (decrease) in net assets ....................................... 449,021,515 164,741,945
NET ASSETS
Beginning of year ........................................................... 536,848,747 372,106,802
- - ------------------------------------------------------------------------------ -------------- -------------
End of year ................................................................. $985,870,262 $536,848,747
============================================================================== ============== =============
</TABLE>
- - ------------
* The Russell 2000 Non-Lending Fund commenced operations on September 30,
1996.
** See Note 1 to the financial statements.
The accompanying notes are an integral part of the financial statements.
SAI-123
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
-----------------------------------------------------
1996 1995 1994 1993 1992(A)
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Net investment income (b) ......................... $ 0.32 $ 0.03 $ 0.21 $ 0.17 $ 0.04
Distribution of securities lending fee income (c) . (0.01) (0.01) (0.01) 0.00 0.00
Net realized and unrealized gain (loss) ........... 2.45 3.61 (0.46) 1.83 1.07
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
Net increase (decrease)............................ 2.76 3.63 (0.26) 2.00 1.11
NET ASSET VALUE
Beginning of period................................ 16.48 12.85 13.11 11.11 10.00
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
End of period...................................... $ 19.24 $ 16.48 $ 12.85 $ 13.11 $ 11.11
=================================================== ========== ========== ========== ========== =========
Total return (d)................................... 16.81% 28.33% (1.98)% 18.00% 11.10%
=================================================== ========== ========== ========== ========== =========
Ratio of expenses to average net assets (e)(f) .... 0.06% 0.10% 0.07% 0.09% 0.39%
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
Ratio of net investment income to average net
assets (e)(f)..................................... 1.80% 1.80% 1.61% 1.37% 1.88%
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
Portfolio turnover................................. 131% 103% 48% 35% 1%
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
Average broker commission per share (g)............ $ 0.02 N/A N/A N/A N/A
- - --------------------------------------------------- ---------- ---------- ---------- ---------- ---------
Net assets, end of period (000s)................... $951,405 $536,849 $372,107 $451,119 $148,285
=================================================== ========== ========== ========== ========== =========
</TABLE>
- - ------------
(a) The Russell 2000 Fund commenced operations on October 31, 1992.
(b) Net investment income has been calculated based on an average of units
outstanding. Also, see Note 1 to the financial statements.
(c) Zero amounts represent those which are less than $.005 per unit.
(d) Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and the end of the period and assumes
reinvestment of distributions. The calculation includes only those
expenses charged directly to the Russell 2000 Fund. This result may be
reduced by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(e) 1992 data annualized.
(f) 1995 ratio reflects net investment income and expenses attributable to
the Russell 2000 Fund from its ownership in other collective investment
funds.
(g) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying notes are an integral part of the financial statements.
SAI-124
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 NON-LENDING FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31,
1996(A)
- - ------------------------------------------------------- --------------
<S> <C>
Net investment income (b).............................. $ 0.09
Net realized and unrealized gain (loss)................ 0.84
- - ------------------------------------------------------- --------------
Net increase (decrease)................................ 0.93
NET ASSET VALUE
Beginning of period.................................... 18.31
- - ------------------------------------------------------- --------------
End of period.......................................... $ 19.24
======================================================= ==============
Total return (c)....................................... 5.08%
- - ------------------------------------------------------- --------------
Ratio of expenses to average net assets (d)............ 0.06%
- - ------------------------------------------------------- --------------
Ratio of net investment income to average net assets
(d).................................................... 1.80%
- - ------------------------------------------------------- --------------
Portfolio turnover...................................... 131%
- - ------------------------------------------------------- --------------
Average broker commission per share (e)................. $ 0.02
- - ------------------------------------------------------- --------------
Net assets, end of period (000s)........................ $34,466
======================================================= ==============
</TABLE>
- - ------------
(a) The Russell 2000 Non-Lending Fund commenced operations on September 30,
1996.
(b) Net investment income has been calculated based on an average of units
outstanding.
(c) Total return calculation (not annualized) is based on the value of a
single unit of participation outstanding throughout the period. It
represents the percentage change in the net asset value per unit
between the beginning and the end of the period. The calculation
includes only those expenses charged directly to the Russell 2000
Non-Lending Fund. This result may be reduced by any administrative or
other fees which are incurred in the management or maintenance of
individual participant accounts.
(d) 1996 data annualized.
(e) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying notes are an integral part of the financial statements.
SAI-125
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Russell 2000
Fund and the State Street Bank and Trust Company Russell 2000 Non-Lending
Fund (collectively, the "Funds") are equity pooled funds formed under a
Declaration of Trust dated February 21, 1991, as amended and restated through
July 19, 1991. Pursuant to the Declaration of Trust, the Russell 2000 Fund
and the Russell 2000 Non-Lending Fund were formed under separate Fund
Declarations effective September 30, 1992 and 1996, respectively. As stated
in the Fund Declarations, the Funds' objective is to replicate, as closely as
possible, the return of the Russell 2000 Index.
From February 1, 1995 through June 17, 1996, the Russell 2000 Fund
invested in two other State Street Bank collective investment funds, the
Russell 2000 Grouth Fund and the Russell 2000 Value Fund. Effective June 18,
1996, the Russell 2000 Growth Fund and the Russell 2000 Value Fund ceased
operations. All assets and liabilities of these funds were transferred to the
Russell 2000 Fund. The results of operations of the Russell 2000 Growth Fund
and the Russell 2000 Value Fund for the period January 1, 1996 through June
17, 1996 have been consolidated in the 1996 results of operations of the
Russell 2000 Fund. The Russell 2000 Fund recorded a $174,542,657 realized
gain on securities as a result of this transaction. Subsequent to this
transaction, the Funds have invested directly in the securities contained in
the Russell 2000 Index.
The Funds may also invest in U.S. Treasury Bills, short-term fixed income
securities, equity index futures, Standard & Poor's Depository Receipts
("SPDRs") traded on the American Stock Exchange, certain other derivative
instruments, and units in short-term commingled investment funds maintained
by the Trustee, as well as shares of money market funds and short-term mutual
funds for which the Trustee acts as investment advisor. State Street Bank is
the Funds' Trustee and custodian. State Street Global Advisors, a division of
State Street Bank, is the Funds' investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments in securities listed on a national securities exchange and
over-the-counter securities are valued at the last reported sale price on the
valuation date, or if no sale price was reported on the valuation date, the
last published sale price. Short-term investments are stated at amortized
cost which approximates market. Investments in registered investment
companies or other State Street Bank Investment Funds for Tax Exempt
Retirement Plans are valued at the net asset value per share/unit on the
valuation date. Futures contracts are valued at the settlement price
established each day on the board of trade or exchange upon which they are
traded.
B. SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Funds in connection with the
issuance and redemption of units of participation are based on the valuations
of those securities determined as described above. The cost of securities
delivered and the net gain or loss on securities sold are determined using
SAI-126
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
the average cost method. Dividend income is recorded net of applicable
withholding taxes on the ex-dividend date. Interest income is recorded on the
accrual basis and is increased by accretion of discount and reduced by
amortization of premium.
The Russell 2000 Growth Fund and the Russell 2000 Value Fund retained all
net investment income (excluding securities lending fee income) and net
realized gains. Accordingly, 1996 and 1995 realized and unrealized gains and
losses reported by the Russell 2000 Fund include a component attributable to
net investment income.
C. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Funds are exempt from federal income taxes
and no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset values of the Funds are determined on each business day
(valuation date). Issuances and redemptions of participant units are made
based upon the closing market value of the securities bought or sold as of
the valuation date, adjusted for the related market effect and transaction
costs described below.
Transaction costs and market effect associated with the investment of
proceeds from the issuance of Fund units or those incurred upon the
disposition of investments to settle redemption of Fund units are allocated
to the applicable participant. Transaction costs include brokerage
commissions, taxes and other direct costs related to security transactions.
Market effect is the difference between the execution price of the investment
on the trade date and the investment's closing market value on the valuation
date.
E. EXPENSES
According to the Declaration of Trust, the Funds may pay certain expenses
for services received during the year. The Trustee is paid a custody fee at
the annual rate of $50,000 plus .0125% of the net asset value of assets
custodied, and a transaction charge of $15 per trade for equity trades and
$275 for futures transactions.
F. DISTRIBUTIONS TO PARTICIPANTS
All net investment income (excluding securities lending fee income) and
net realized gains are retained by the Funds. Income generated by securities
lending is distributed monthly to participants monthly to participants of the
Russell 2000 Fund.
G. FUTURES CONTRACTS
The Funds may use futures contracts to manage their exposure to the equity
market. Buying futures tends to increase the Funds' exposure to the
underlying instrument. Selling futures tends to decrease the Funds' exposure
to the underlying instrument, or hedge other Fund investments. Futures
contracts involve, to varying degrees, credit
SAI-127
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
and market risks. The Funds enter into futures contracts only on exchanges
or boards of trade where the exchange or board of trade acts as the
counterparty to the transaction. Thus, credit risk on such transactions is
limited to the failure of the exchange or board of trade. Losses in value may
arise from changes in the value of the underlying instrument or if there is
an illiquid secondary market for the contracts. In addition, there is the
risk that there may not be an exact correlation between a futures contract
and the underlying index. The maximum potential loss on a long futures
contract is the U.S. dollar value of the notional amount at the time the
contract is opened. The potential loss on a short futures contract is
unlimited.
Upon entering into a futures contract, the Funds are required to deposit
either in cash or in securities an amount ("initial margin") equal to a
certain percentage of the nominal value of the contract. Subsequent payments
are made or received by the Funds periodically, depending on the daily
fluctuation in the value of the underlying securities, and are recorded as
unrealized gains or losses by the Funds. A gain or loss is realized when the
contract is closed or expires.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. SECURITIES LENDING PROGRAM
The participants in the Russell 2000 Fund (the "Lending Fund") have
authorized the Lending Fund to participate in the Securities Lending Program
maintained by State Street Bank. The investment objective, techniques and
results of operations of the Lending Fund are identical to those of the
Russell 2000 Non-Lending Fund (the "Non-Lending Fund"), except that the
Lending Fund engages in securities lending activities. Accordingly, the
financial statements of the Lending Fund and the Non-Lending Fund have been
prepared on a combined basis, with separate disclosure of the participant
transactions and per unit data of each of the Funds. Each of the Funds
maintains a divided pro-rata interest in the combined assets and liabilities
(including each investment security position) proportionate to the net asset
value of the outstanding combined units of the Funds. All interfund
transactions have been eliminated in the combined financial statements.
Under the Securities Lending Program, securities held by the Lending Fund
are loaned by State Street Bank, as agent, to certain brokers and other
financial institutions (the "Borrowers"). The Borrowers provide cash,
securities, or letters of credit as collateral against loans in an amount at
least equal to 102% of the market value of the loaned securities. The
Borrowers are required to maintain the collateral at not less than 100% of
the fair market value of the loaned securities. At December 31, 1996, the
value of the securities loaned by the Lending Fund was $60,810,020 against
which was held cash collateral of $64,003,544. Cash collateral provided by
the Borrowers is invested in a variety of registered investment companies. A
portion of the income generated upon investment of the collateral is remitted
to the Borrowers, and the remainder is allocated between the Lending Fund and
State Street Bank in its capacity as lending agent. Negotiated lenders' fees
are received for those loans collateralized by securities or letters of
credit, if any.
SAI-128
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
State Street Bank, as lending agent, indemnifies the Lending Fund for
replacement of any loaned securities (or, in certain circumstances, return of
equivalent cash value) due to Borrower default on a security loan. Lending
Fund participants, however, bear the risk of loss with respect to the
investment of collateral.
All income earned from lending activities is distributed monthly to the
Lending Fund participants. Participants in each of the Funds may exchange
their units for units of the other fund on any valuation date.
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities, excluding short-term investments and
including transactions related to the Fund reorganization (see Note 1) and
in-kind contributions and redemptions, if any, during the year ended December
31, 1996 were $1,235,036,580 and $934,353,813, respectively, resulting in a
net realized gain (loss) of $174,347,592. This gain (loss) is prior to the
recognition of the market effect and transaction costs associated with
contributions and redemptions.
5. UNITS OF PARTICIPATION
Participant transactions for the Funds were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
----------------------------------------------------------
1996 1995
----------------------------- ----------------------------
UNITS AMOUNT UNITS AMOUNT
------------- --------------- ------------- --------------
<S> <C> <C> <C> <C>
RUSSELL 2000 FUND
Units issued.................................... 26,821,340 $ 474,201,831 10,327,958 $145,764,191
Units redeemed.................................. (9,933,191) (174,945,263) (6,710,651) (95,326,930)
------------- --------------- ------------- --------------
Total......................................... 16,888,149 $ 299,256,568 3,617,307 $ 50,437,261
============= =============== ============= ==============
RUSSELL 2000 NON-LENDING FUND
Units issued.................................... 1,791,660 $ 32,848,622
Units redeemed.................................. -- --
------------- ---------------
Total......................................... 1,791,660 $ 32,848,622
------------- ---------------
Net increase (decrease) in units and net assets
resulting from participant transactions ....... 18,679,809 $ 332,105,190
============= ===============
</TABLE>
The Non-Lending Fund commenced operations on September 30, 1996. Initial
Non-Lending Fund units had an offering price equivalent to the net asset
value per unit of the Lending Fund on the commencement date.
RUSSELL 2000 FUND
Units in excess of 10% of the Lending Fund's units outstanding at December
31, 1996 held by one of the Lending Fund's 40 unitholders aggregated 49% of
the Lending Fund's total units outstanding.
SAI-129
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
During the year ended December 31, 1996, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Lending Fund units were $67,015.
RUSSELL 2000 NON-LENDING FUND
All of the Non-Lending Fund's units outstanding at December 31, 1996 were
held by two unitholders. Both unitholders held more than 10% of the
Non-Lending Fund's total units outstanding.
During the period ended December 31, 1996, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Non-Lending Fund units were $(29,010).
A redemption by one or more unitholders individually holding 10% or more
of Funds' units may cause the remaining unitholders to bear proportionately
higher operating expenses and otherwise adversely affect the Funds' future
liquidity and investment operations. As described under "Issuances and
Redemptions of Units of Participation", however, redeeming unitholders bear
the transaction costs and market effect arising from any redemption of units;
additionally, in certain circumstances, redemptions may be made on an in-kind
basis. These practices may tend to mitigate the potential adverse effects of
such redemptions.
SAI-130
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
<S> <C> <C>
COMMON STOCK 96.1%
1st Source Corp. ................................... 10,991 $ 269,280
20th Century Industries............................. 65,800 1,110,375
3D Systems Corp. ................................... 6,800 86,700
3DO Co. ............................................ 15,100 72,669
7th Level Inc. ..................................... 13,300 49,875
A. O. Smith Corp. .................................. 21,500 642,312
A. Schulman Inc. ................................... 52,400 1,283,800
A. T. Cross Co. .................................... 15,200 176,700
A.M. Castle & Co. .................................. 16,050 308,963
Aames Financial Corp. .............................. 20,300 728,262
AAR Corp. .......................................... 20,800 629,200
Aaron Rents Inc. ................................... 19,900 278,600
ABC Rail Products Corp. ............................ 11,400 226,575
ABM Industries Inc. ................................ 20,900 386,650
ABR Information Services Inc. ...................... 14,375 566,016
ABT Building Products Corp. ........................ 14,600 365,000
ACC Corp. .......................................... 20,000 605,000
Acceptance Insurance Cos., Inc. .................... 16,700 329,825
Access Health Marketing Inc. ....................... 18,750 839,062
Acclaim Entertainment Inc. ......................... 42,900 139,425
Ackerley Communications, Inc. ...................... 25,400 298,450
Acme Metals Inc. ................................... 15,800 306,125
Acordia Inc. ....................................... 18,200 527,800
ACT Networks Inc. .................................. 13,900 507,350
Actel Corp. ........................................ 26,200 622,250
Action Performance Cos., Inc. ...................... 7,100 127,800
Activision Inc. .................................... 18,700 240,763
Acuson Corp. ....................................... 29,400 716,625
ACX Technologies.................................... 18,600 369,675
Acxiom Corp. ....................................... 68,000 1,632,000
Adac Laboratories................................... 25,500 608,812
Adelphia Communications Corp. ...................... 21,300 122,475
Adolph Coors Co. ................................... 51,800 984,200
Advanced Energy Industries Inc. .................... 3,100 16,663
Advanced Lighting Technologies Inc. ................ 3,300 80,025
Advanced Polymer Systems Inc. ...................... 22,100 168,513
Advanced Technology Laboratories Inc. .............. 20,800 644,800
Advanced Tissue Sciences Inc. ...................... 50,700 484,819
Advent Software Inc. ............................... 5,500 167,063
Advo Inc. .......................................... 31,700 443,800
Affiliated Computer Services Inc. .................. 35,600 1,059,100
AG Chemical Equipment Inc. ......................... 5,300 96,725
AGL Resources Inc. ................................. 74,200 1,567,475
Agouron Pharmaceuticals Inc. ....................... 17,400 1,178,850
Air & Water Technologies Corp. ..................... 25,300 145,475
Air Express International Corp. .................... 26,137 842,918
Airborne Freight Corp. ............................. 26,700 624,112
Alamo Group Inc. ................................... 11,000 188,375
Alaska Air Group Inc. .............................. 19,900 417,900
The accompanying notes are an integral part of the financial statements.
SAI-131
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Albank Financial Corp. ............................. 16,800 $ 527,100
Albany International Corp. ......................... 33,700 779,312
Alex Brown Inc. .................................... 19,400 1,406,500
Alexander & Alexander Services Inc. ................ 55,500 964,312
Alexander's Inc. ................................... 5,200 411,450
Alfa Corp. ......................................... 29,100 367,388
Aliant Communications Inc. ......................... 50,800 863,600
Alkermes Inc. ...................................... 19,200 446,400
Allen Group Inc. ................................... 31,900 709,775
Alliance Entertainment Corp. ....................... 16,000 30,000
Alliance Pharmaceutical Corp. ...................... 39,100 532,737
Alliance Semiconductor Corp. ....................... 31,000 220,875
Alliant Techsystems Inc. ........................... 12,900 709,500
Allied Capital Commercial Corp. .................... 19,800 460,350
Allied Group Inc. .................................. 28,575 932,259
Allied Products Corp. .............................. 13,100 389,725
Allied Waste Industries Inc. ....................... 82,400 762,200
Alltrista Corp. .................................... 9,625 247,844
Allwaste Inc. ...................................... 38,700 198,338
Alpharma Inc. ...................................... 18,600 265,050
Alteon Inc. ........................................ 25,000 131,250
Alternative Resources Corp. ........................ 17,100 297,113
Altron Inc. ........................................ 19,450 408,450
Amax Gold Inc. ..................................... 64,900 413,737
AMC Entertainment Inc. ............................. 2,800 40,250
Amcast Industrial Corp. ............................ 10,600 262,350
Amcol International Corp. .......................... 24,300 382,725
Amcore Financial Inc. .............................. 15,835 423,586
Amerco.............................................. 21,900 766,500
America West Airlines Inc. ......................... 65,815 1,044,813
American Annuity Group Inc. ........................ 9,793 138,326
American Bankers Insurance Group Inc. .............. 28,000 1,431,500
American Buildings Co. ............................. 5,600 133,700
American Business Information, Inc. ................ 14,200 315,950
American Business Products Inc. .................... 17,812 447,526
American Eagle Outfitters, Inc. .................... 4,300 33,863
American Federal Bank FSB........................... 15,000 283,125
American Financial Enterprises Inc. ................ 2,300 63,825
American Freightways Corp. ......................... 28,500 317,063
American Health Properties Inc. .................... 28,500 680,437
American Heritage Life Insurance Corp. ............. 11,115 291,769
American HomePatient Inc. .......................... 10,200 277,950
American Homestar Corp. ............................ 6,700 152,425
American Media Inc. ................................ 55,100 323,713
American Medical Response........................... 25,300 822,250
American Mobile Satellite Corp. .................... 23,100 282,975
American Oncology Resources Inc. ................... 64,800 664,200
American Paging Inc. ............................... 200 938
American Radio Systems Corp. ....................... 20,800 566,800
American Satellite Network Industries--WTS (b) ..... 1,750 0
The accompanying notes are an integral part of the financial statements.
SAI-132
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
American Telecasting Inc. .......................... 11,200 $ 64,400
Americredit Corp. .................................. 41,200 844,600
Amerin Corp. ....................................... 30,400 782,800
Amerisource Health Corp. ........................... 32,700 1,577,775
Ameron Inc. ........................................ 4,800 247,800
Ametek Inc. ........................................ 45,600 1,014,600
Amisys Managed Care Systems Inc. ................... 11,900 202,300
Amli Residential Properties Trust................... 12,900 301,538
Ampex Corp. ........................................ 38,000 356,250
Amre Inc. (b)....................................... 17,000 27,625
Amresco Inc. ....................................... 19,100 510,925
Amvestors Financial Corp. .......................... 17,200 253,700
Amylin Pharmaceuticals Inc. ........................ 29,000 377,000
Anadigics Inc. ..................................... 7,300 286,525
Analogic Corp. ..................................... 10,700 358,450
Analysts International Corp. ....................... 19,174 541,665
Anchor Bancorp (Wisconsin) Inc. .................... 7,900 282,425
Anchor Gaming....................................... 8,500 342,125
Ancor Communications Inc. .......................... 7,400 103,600
Angeion Corp. ...................................... 35,300 123,550
Angelica Corp. ..................................... 13,800 263,925
Anixter International Inc. ......................... 47,900 772,387
Ann Taylor Stores Corp. ............................ 32,000 560,000
Antec Corp. ........................................ 21,700 195,300
Apartment Investment & Management Co. .............. 16,500 466,125
Aphton Corp. ....................................... 6,200 120,900
APL Ltd............................................. 32,600 770,175
Apogee Enterprises Inc. ............................ 19,100 759,225
Apple South Inc. ................................... 33,500 452,250
Applebees International Inc. ....................... 42,900 1,179,750
Applied Digital Access Inc. ........................ 13,600 74,800
Applied Industrial Technologies Inc. ............... 15,975 445,303
Applied Innovation Inc. ............................ 12,300 75,338
Applied Magnetics Corp. ............................ 33,107 989,072
Applied Power Inc. ................................. 16,700 661,737
Applix Inc. ........................................ 12,400 271,250
APS Holding Corp. .................................. 19,400 300,700
Aptargroup Inc. .................................... 24,400 860,100
Aquarion Co. ....................................... 9,700 270,388
Aquila Gas Pipeline Corp. .......................... 5,800 92,075
Arbor Drugs Inc. ................................... 36,618 636,238
Arbor Health Care Co. .............................. 8,100 210,600
Arbor Software Corp. ............................... 16,100 390,425
Arcadian Corp. ..................................... 51,500 1,364,750
Arch Communications Group Inc. ..................... 26,821 251,447
Arctic Cat Inc. .................................... 30,000 296,250
Argonaut Group Inc. ................................ 24,400 750,300
Argosy Gaming Corp. ................................ 14,800 68,450
Argyle Television Inc. ............................. 14,500 355,250
Armco Inc. ......................................... 118,300 487,987
The accompanying notes are an integral part of the financial statements.
SAI-133
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Armor All Products Corp. ........................... 13,200 $ 250,800
Arnold Industries Inc. ............................. 28,400 450,850
Arrow International Inc. ........................... 15,700 451,375
Arthrocare Corp. ................................... 5,000 36,250
Arthur J. Gallagher & Co. .......................... 19,300 598,300
Arvin Industries Inc. .............................. 29,700 735,075
Ascent Entertainment Group Inc. .................... 7,900 127,388
Ashland Coal Inc. .................................. 11,800 327,450
Aspen Technology Inc. .............................. 14,100 1,131,525
Associated Banc Corp. .............................. 22,825 970,062
Associated Estates Realty Corp. .................... 15,500 368,125
Associated Group Inc. .............................. 8,600 264,450
AST Research Inc. .................................. 45,677 191,272
Astea International Inc. ........................... 8,800 50,050
Astoria Financial Corp. ............................ 24,100 888,687
ATC Communications Group Inc. ...................... 22,900 303,425
Atlantic Energy Inc. ............................... 71,800 1,229,575
Atlantic Southeast Airlines Inc. ................... 31,800 695,625
Atlantic Telecommunications Network Inc. .......... 6,800 103,700
Atmos Energy Corp. ................................. 20,600 491,825
ATS Medical Inc. ................................... 18,300 141,825
Atwood Oceanics Inc. ............................... 6,700 425,450
Aura Systems Inc. .................................. 89,000 194,688
Auspex Systems Inc. ................................ 35,300 410,362
Authentic Fitness Corp. ............................ 24,700 296,400
Avalon Properties Inc. ............................. 38,700 1,112,625
Avant Corp. ........................................ 19,526 619,950
Avatar Holdings Inc. ............................... 10,100 323,200
Aviall Inc. ........................................ 19,100 176,675
Avid Technology Inc. ............................... 27,800 288,425
Avondale Industries Inc. ........................... 17,100 367,650
Aztar Corp. ........................................ 60,200 421,400
Baby Superstore Inc. ............................... 14,400 345,600
Bacou USA Inc. ..................................... 3,000 49,875
Baldor Electric Co. ................................ 27,235 670,662
Baldwin & Lyons Inc. ............................... 16,100 295,838
Ball Corp. ......................................... 41,200 1,071,200
Ballard Medical Products............................ 37,600 700,300
Bally's Grand, Inc. ................................ 940 33,840
Bancorpsouth Inc. .................................. 25,890 718,447
Banctec Inc. ....................................... 28,582 589,504
Bank of Granite Corp. .............................. 12,475 361,775
Bankatlantic Bancorp Inc., Class B.................. 11,400 152,475
Bankatlantic Bancorp Inc., Class A.................. 1,524 19,812
Bankers Corp. ...................................... 16,920 340,515
Bankers Life Holding Corp. ......................... 24,700 617,500
Banknorth Group Inc. ............................... 10,000 415,000
Banta Corp. ........................................ 42,550 973,331
Barefoot Inc. ...................................... 17,600 279,400
Barnes Group Inc. .................................. 4,700 282,000
The accompanying notes are an integral part of the financial statements.
SAI-134
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Barnett Banks Inc. ................................. 16,700 $ 455,075
Barr Laboratories Inc. ............................. 6,850 173,819
Barra Inc. ......................................... 8,700 239,250
Barrett Resources Corp. ............................ 42,570 1,814,546
Bassett Furniture Industries Inc. .................. 19,062 467,019
Battle Mountain Gold Co. ........................... 311,300 2,140,187
Bay Apartment Communities Inc. ..................... 25,800 928,800
Bay State Gas Co. .................................. 18,500 522,625
Bay View Capital Corp. ............................. 7,900 334,763
BBN Corp. .......................................... 29,100 654,750
BDM International Inc. ............................. 20,100 1,090,425
BE Aerospace Inc. .................................. 25,000 678,125
Beacon Properties................................... 45,100 1,651,787
Belco Oil & Gas Corp. .............................. 9,200 251,850
Belden & Blake Corp. ............................... 14,200 362,100
Belden Inc. ........................................ 32,200 1,191,400
Bell & Howell Co. .................................. 19,400 460,750
Benton Oil & Gas Co. ............................... 41,100 929,887
Berg Electric Corp. ................................ 8,700 255,563
Berkshire Realty Co. , Inc. ........................ 37,200 367,350
Berlitz International Inc. ......................... 3,075 63,806
Berry Petroleum Co. ................................ 24,600 353,625
Best Buy Co. , Inc. ................................ 41,700 443,062
BET Holdings Inc. .................................. 9,200 264,500
Big Flower Press Holdings Inc. ..................... 19,100 358,125
Billing Info Concepts Corp. ........................ 19,400 557,750
Bindley Western Industries Inc. .................... 10,000 193,750
Bio Rad Laboratories Inc. .......................... 14,800 444,000
Bio Technology General Corp. ....................... 67,300 883,312
Biomatrix Inc. ..................................... 9,200 147,200
Birmingham Steel Corp. ............................. 39,000 741,000
Bisys Group Inc. ................................... 35,200 1,304,600
BJ Services Co. .................................... 50,687 2,585,037
Black Box Inc. ..................................... 24,300 1,002,375
Black Hills Corp. .................................. 20,200 568,125
Blair Corp. ........................................ 10,300 198,275
Block Drug Co. , Inc. .............................. 18,108 832,988
Blount International Inc. .......................... 15,150 581,381
BMC Industries Inc. ................................ 39,200 1,234,800
BMC West Corp. ..................................... 16,450 201,513
Bob Evans Farms Inc. ............................... 57,600 777,600
Boca Research Inc. ................................. 6,800 70,550
BOK Financial Corp. ................................ 6,967 188,109
Bombay Co. , Inc. .................................. 55,300 255,763
Books A Million Inc. ............................... 9,400 64,625
Boole & Babbage Inc. ............................... 23,475 586,875
Borg Warner Automotive Inc. ........................ 19,000 731,500
Borg Warner Security Corp. ......................... 14,200 152,650
Borland International Inc. ......................... 45,600 247,950
Boston Beer Inc. ................................... 23,800 243,950
The accompanying notes are an integral part of the financial statements.
SAI-135
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Boston Technology Inc. ............................. 31,200 $ 897,000
Bowne & Co. , Inc. ................................. 24,300 598,387
Box Energy Corp. ................................... 25,100 229,038
Boyd Gaming Corp. .................................. 33,800 278,850
Bradley Real Estate Inc. ........................... 24,364 438,552
BRC Holdings Inc. .................................. 7,600 340,100
BRE Properties Inc. ................................ 43,582 1,078,654
Breed Technologies Inc. ............................ 18,900 491,400
Brenton Banks Inc. ................................. 7,145 197,381
Brightpoint Inc. ................................... 18,000 535,500
Bristol Hotel Co. .................................. 21,600 685,800
Brite Voice Systems Inc. ........................... 14,700 218,663
Broadband Technologies Inc. ........................ 15,800 233,050
Broderbund Software Inc. ........................... 22,400 666,400
Brooktrout Technology Inc. ......................... 13,500 378,000
Brown Group Inc. ................................... 25,000 459,375
Brush Wellman Inc. ................................. 22,300 365,163
BT Office Products International Inc. .............. 16,100 142,888
Buckeye Cellulose Corp. ............................ 20,400 543,150
Buffets Inc. ....................................... 61,905 564,883
Burlington Coat Factory Warehouse Corp. ............ 24,200 314,600
Burlington Industries, Inc. ........................ 86,200 948,200
Burnham Pacific Properties Inc. .................... 23,300 349,500
Burr-Brown Corp. ................................... 22,800 592,800
Bush Boake Allen Inc. .............................. 7,900 210,338
Bush Industries Inc. ............................... 13,850 266,613
Butler Manufacturing Co. ........................... 8,750 354,375
BWIP Holding Inc. .................................. 33,500 552,750
C D I Corp. ........................................ 13,900 394,412
C Tec Corp. ........................................ 17,300 419,525
C-Cor Electronics Inc. ............................. 14,400 190,800
Cable Design Technologies Corp. .................... 22,850 711,206
Cabot Oil & Gas Corp. .............................. 26,900 460,662
Caere Corp. ........................................ 21,900 251,850
CAI Wireless Systems Inc. .......................... 38,710 38,710
Cairn Energy USA Inc. .............................. 22,500 225,000
Cal Fed Bancorp Inc. ............................... 63,380 1,552,810
Calgene Inc. ....................................... 41,900 209,500
Calgon Carbon Corp. ................................ 52,800 646,800
Cali Reality Corp. ................................. 21,000 648,375
California Amplifier Inc. .......................... 19,800 121,275
California Microwave Inc. .......................... 23,600 351,050
California Water Service Co. ....................... 9,400 394,800
Calmat Co. ......................................... 27,100 508,125
Cambrex Corp. ...................................... 16,050 525,637
Camco International Inc. ........................... 34,400 1,586,700
Camden Property Trust............................... 20,300 581,087
Canandaigua Wine Co. , Inc. ........................ 22,200 743,700
Cannondale Corp. ................................... 10,400 234,000
Capital Reinsurance Corp. .......................... 15,700 732,012
The accompanying notes are an integral part of the financial statements.
SAI-136
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Capital Southwest Corp. ............................ 3,500 $ 252,000
Capitol American Financial Corp. ................... 5,200 189,150
Capmac Holdings Inc. ............................... 5,200 172,250
Capstead Mortgage Corp. ............................ 49,625 1,191,000
Capstone Pharmacy Services Inc. .................... 15,300 174,038
Capsure Holdings Corp. ............................. 15,400 175,175
Caraustar Industries Inc. .......................... 33,700 1,120,525
Carlisle Cos., Inc. ................................ 18,600 1,125,300
Carmike Cinemas Inc. ............................... 14,200 360,325
Carolina First Corp. ............................... 13,900 269,313
Carpenter Technology Corp. ......................... 21,300 780,112
Carr America Realty Corp. .......................... 45,500 1,330,875
Carrington Laboratories Inc. ....................... 11,900 92,225
Carson Pirie Scott & Co. ........................... 22,900 578,225
Carter Wallace Inc. ................................ 31,400 490,625
Cascade Corp. ...................................... 13,500 217,688
Caseys General Stores Inc. ......................... 35,700 669,375
Cash America International Inc. .................... 40,000 340,000
Casino America Inc. ................................ 27,922 89,001
Casino Data Systems................................. 13,400 92,125
Casino Magic Corp. ................................. 43,400 107,144
Castle & Cooke, Inc. ............................... 21,100 334,963
Catalina Marketing Corp. ........................... 26,900 1,482,862
Catellus Development Corp. ......................... 101,400 1,153,425
Cato Corp. ......................................... 27,550 137,750
Cavalier Homes Inc. ................................ 15,625 179,688
CBL & Associates Properties Inc. ................... 28,500 737,437
CBT Corp. .......................................... 9,600 264,000
CCB Financial Corp. ................................ 20,550 1,402,537
Cellpro Inc. ....................................... 21,300 266,250
Cellstar Corp. ..................................... 13,600 244,800
Cellular Communications International Inc. ........ 14,400 417,600
Cellular Communications of Puerto Rico.............. 15,500 306,125
Cellular Technical Services Co. , Inc. ............. 25,606 512,120
Cellularvision USA Inc. ............................ 4,800 33,600
Centennial Cellular Corp. .......................... 21,515 260,869
Centennial Technologies Inc. ....................... 16,200 842,400
Centerpoint Properties Corp. ....................... 19,700 645,175
Centex Construction Products Inc. .................. 15,600 280,800
Centex Corp. ....................................... 40,400 1,520,050
Central Hudson Gas & Electric Corp. ................ 23,900 749,862
Central Louisiana Electric Co. , Inc. .............. 30,200 834,275
Central Maine Power Co. ............................ 45,000 523,125
Central Parking Corp. .............................. 7,100 237,850
Centura Banks Inc. ................................. 32,300 1,441,387
Century Communications Corp. ....................... 45,800 260,488
Cephalon Inc. ...................................... 34,400 705,200
Cerner Corp. ....................................... 32,600 505,300
CFW Communications Co. ............................. 18,000 398,250
Chad Therapeutics Inc. ............................. 15,135 213,782
The accompanying notes are an integral part of the financial statements.
SAI-137
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Champion Enterprises Inc. .......................... 69,444 $1,354,158
Chancellor Braodcasting Co. ........................ 23,600 560,500
Chaparral Steel Co. ................................ 5,100 61,838
Charles E. Smith Residential........................ 14,200 415,350
Charming Shoppes Inc. .............................. 128,200 649,012
Charter Power Systems Inc. ......................... 8,800 268,400
Chase Brass Industries Inc. ........................ 13,600 270,300
Checkfree Corp. .................................... 28,600 489,775
Cheesecake Factory.................................. 12,300 222,938
Chelsea GCA Realty, Inc. ........................... 15,000 519,375
Chemed Corp. ....................................... 11,500 419,750
Chemfirst Inc. ..................................... 28,000 647,500
Chemical Financial Corp. ........................... 13,921 553,360
Chesapeake Corp. ................................... 29,000 909,875
Chicago Miniature Lamp Inc. ........................ 5,750 238,625
Chips & Technologies Inc. .......................... 29,300 534,725
Chiquita Brands International Inc. ................. 42,100 536,775
Chittenden Corp. ................................... 13,887 331,552
Chronimed Inc. ..................................... 17,900 243,888
Church & Dwight Co. , Inc. ......................... 24,800 567,300
Chyron Corp. ....................................... 132,300 380,363
Ciber Inc. ......................................... 11,800 354,000
CIDCO, Inc. ........................................ 21,300 372,750
Cilcorp Inc. ....................................... 18,300 670,237
Cincinnati Milacron Inc. ........................... 54,300 1,187,812
Circon Corp. ....................................... 15,300 233,325
Citation Corp. ..................................... 7,900 80,975
Citfed Bancorp Inc. ................................ 10,350 341,550
Citizens Bancorp.................................... 18,300 1,134,600
Citizens Banking Corp. ............................. 15,400 485,100
Citizens Corp. ..................................... 9,500 213,750
Citizens Utilities Co. ............................. 107,952 1,200,966
Citrix Systems Inc. ................................ 35,500 1,386,719
City National Corp. ................................ 50,807 1,098,701
Cityscape Financial Corp. .......................... 8,100 212,625
CKE Restaurants Inc. ............................... 26,800 964,800
CKS Group Inc. ..................................... 2,600 72,475
Claire's Stores Inc. ............................... 64,825 842,725
Clarcor Inc. ....................................... 20,200 446,925
Clarify Inc. ....................................... 14,400 691,200
Cleveland-Cliffs Inc. .............................. 14,000 635,250
Cliffs Drilling Co. ................................ 9,800 619,850
Clinicorp Inc. ..................................... 500 47
Clintrials Research Inc. ........................... 12,150 276,413
CMAC Investment Corp. .............................. 31,800 1,168,650
CMG Information Services Inc. ...................... 9,600 160,800
CML Group Inc. ..................................... 72,800 245,700
CNB Bancshares Inc. ................................ 25,857 1,079,530
CNS Inc. ........................................... 26,500 380,938
Coachmen Industries Inc. ........................... 21,300 604,387
The accompanying notes are an integral part of the financial statements.
SAI-138
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Coast Savings Financial Inc. ....................... 24,600 $ 900,975
Coastal Physician Group Inc. ....................... 28,800 100,800
Coastcast Corp. .................................... 10,200 147,900
Coca Cola Bottling Co. Consolidated................. 8,200 399,750
Cocensys Inc. ...................................... 29,900 171,925
Coeur D'Alene Mines Corp. .......................... 30,898 467,332
Cognex Corp. ....................................... 48,500 897,250
Coherent Communications Systems Corp. .............. 12,400 241,800
Coherent Inc. ...................................... 15,300 646,425
Cohu Inc. .......................................... 12,600 292,950
Cole National Corp. ................................ 16,200 425,250
Cole Taylor Financial Group Inc. ................... 11,300 299,450
Collagen Corp. ..................................... 11,200 204,400
Collective Bancorp Inc. ............................ 28,150 988,769
Collins & Aikman Corp. ............................. 95,200 595,000
Colonial Bancgroup Inc. ............................ 16,200 648,000
Colonial Properties Trust........................... 24,100 732,037
Coltec Industries Inc. ............................. 66,500 1,255,187
Columbia Laboratories Inc. ......................... 36,000 522,000
Columbus McKinnon Corp. ............................ 5,300 82,813
Columbus Realty Trust............................... 17,300 393,575
Comforce Corp. ..................................... 3,100 44,175
Commerce Bancorp Inc. .............................. 15,445 509,685
Commerce Group Inc. ................................ 26,300 664,075
Commercial Federal Corp. ........................... 20,500 984,000
Commercial Intertech Corp. ......................... 18,600 253,425
Commercial Metals Co. .............................. 16,533 498,057
Commercial Net Lease Realty Inc. ................... 21,400 339,725
Commonwealth Aluminum Corp. ........................ 12,500 192,188
Commonwealth Bancorp Inc. .......................... 22,555 338,325
Commonwealth Energy Systems......................... 23,500 552,250
Community First Bankshares Inc. .................... 14,900 409,750
Community Trust Bancorp Inc. ....................... 10,850 265,825
Comnet Cellular Inc. ............................... 18,900 526,837
Compdent Corp. ..................................... 13,200 465,300
Compucom Systems Inc. .............................. 31,300 336,475
Computer Horizons Corp. ............................ 20,800 800,800
Computer Language Research Inc. .................... 4,400 47,300
Computer Management Sciences Inc. .................. 4,200 97,650
Computer Network Technology Corp. .................. 37,400 187,000
Computer Products Inc. ............................. 34,000 663,000
Computer Task Group Inc. ........................... 10,200 439,875
ComputerVision Corp. ............................... 89,100 824,175
Comshare Inc. ...................................... 15,300 267,750
Comverse Technology Inc. ........................... 29,200 1,104,125
Conceptus Inc. ..................................... 3,500 35,875
Cone Mills Corp. ................................... 28,500 224,438
Conmed Corp. ....................................... 19,600 401,800
Connecticut Energy Corp. ........................... 12,100 257,125
Connecticut Natural Gas Corp. ...................... 13,900 354,450
The accompanying notes are an integral part of the financial statements.
SAI-139
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Conseco Inc. ....................................... 11,293 $ 719,907
Consolidated Products Inc. ......................... 15,330 298,935
Continental Homes Holding Corp. .................... 9,600 204,000
Control Data Systems Inc. .......................... 20,100 442,200
Cooper & Chyan Technology Inc. ..................... 9,800 320,950
Copart Inc. ........................................ 10,000 131,250
Copley Pharmaceutical Inc. ......................... 7,245 67,016
Copytele Inc. ...................................... 63,000 311,063
Coram Healthcare Corp. ............................. 64,100 320,500
Corestaff Inc. ..................................... 18,400 435,850
Cor Therapeutics Inc. .............................. 26,600 262,675
Cort Business Services Corp. ....................... 16,300 336,188
Corus Bankshares Inc. .............................. 11,800 380,550
Cousins Properties Inc. ............................ 30,700 863,437
Covenant Transport Inc. ............................ 15,100 217,063
Coventry Corp. ..................................... 39,300 364,139
CP Clare Corp. ..................................... 14,600 146,000
CPB Inc. ........................................... 6,500 193,375
CPI Corp. .......................................... 19,300 323,275
CRA Managed Care Inc. .............................. 4,100 184,500
Crawford & Co. ..................................... 32,300 738,862
Creative Biomolecules Inc. ......................... 39,400 408,775
Credence Systems Corp. ............................. 29,150 586,644
Credit Acceptance Corp. ............................ 28,600 672,100
Cree Research Inc. ................................. 13,300 124,688
Crescent Real Estate Equities....................... 28,500 1,503,375
Criimi Mae Inc. .................................... 41,500 534,312
Crompton & Knowles Corp. ........................... 93,744 1,804,572
Cross Timbers Oil Co. .............................. 20,100 505,012
Crown America Realty Trust.......................... 36,400 273,000
Crown Central Petroleum Corp. ...................... 8,100 100,238
Cryolife Inc. ...................................... 12,000 150,000
CSG Systems International Inc. ..................... 4,000 61,500
CSS Industries Inc. ................................ 10,000 260,000
CTS Corp. .......................................... 5,400 230,850
Cubic Corp. ........................................ 7,200 166,500
Culbro Corp. ....................................... 2,600 168,675
Cullen/Frost Bankers Inc. .......................... 30,440 1,012,130
Culligan Water Technologies Inc. ................... 23,700 959,850
Cuno Inc. .......................................... 18,600 276,675
Curative Health Services Inc. ...................... 14,100 390,394
Curtiss Wright Corp. ............................... 4,000 201,500
CWM Mortgage Holdings Inc. ......................... 63,800 1,371,700
Cybercash Inc. ..................................... 7,900 181,700
Cygnus Inc. ........................................ 22,400 324,800
Cyrix Corp. ........................................ 22,300 395,825
Cytel Corp. ........................................ 17,100 58,781
Cytogen Corp. ...................................... 62,500 343,750
Cytyc Corp. ........................................ 3,000 81,000
D.R. Horton Inc. ................................... 27,955 304,011
The accompanying notes are an integral part of the financial statements.
SAI-140
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Daisytek International Corp. ....................... 5,100 $ 209,100
Daka International Inc. ............................ 16,900 162,663
Dallas Semiconductor Corp. ......................... 38,400 883,200
Dames & Moore Inc. ................................. 21,100 308,588
Daniel Industries Inc. ............................. 13,300 196,175
Dart Group Corp. ................................... 2,500 232,500
Data Broadcasting Corp. ............................ 35,300 247,100
Data General Corp. ................................. 47,000 681,500
Data Processing Corp. .............................. 2,600 48,100
Data Translation Inc. .............................. 2,500 10,000
Data Transmission Network Corp. .................... 12,400 275,900
Datascope Corp. .................................... 18,600 372,000
Datastream Systems Inc. ............................ 5,200 93,600
Dauphin Deposit Corp. .............................. 42,400 1,399,200
Davox Corp. ........................................ 7,400 305,250
Day Runner Inc. .................................... 7,100 138,450
Dean Foods Co. ..................................... 53,800 1,735,050
DecisionOne Corp. .................................. 11,800 194,700
Dekalb Genetics Corp. .............................. 18,600 948,600
Delchamps Inc. ..................................... 7,500 145,313
Delphi Financial Group Inc. ........................ 17,200 507,400
Delta & Pine Land Co. .............................. 27,598 883,136
Dendrite International Inc. ........................ 11,500 94,875
Department 56 Inc. ................................. 28,300 700,425
Deposit Guaranty Corp. ............................. 53,000 1,643,000
Depotech Corp. ..................................... 15,000 245,625
Desktop Data Inc. .................................. 9,600 184,800
Destec Energy Inc. ................................. 19,700 307,813
Detroit Diesel Corp. ............................... 11,600 266,800
Developers Diversified Realty Corp. ................ 25,800 957,825
Devon Energy Corp. ................................. 25,200 875,700
Devon Group Inc. ................................... 9,700 266,750
Devry Inc. ......................................... 35,800 841,300
Dexter Corp. ....................................... 32,600 1,039,125
DH Technology Inc. ................................. 9,850 236,400
Diagnostic Products Corp. .......................... 15,200 393,300
Dialogic Corp. ..................................... 10,600 333,900
Diamond Multimedia Systems Inc. .................... 40,300 478,562
Diana Corp. ........................................ 4,525 124,438
Digi International Inc. ............................ 17,900 170,050
Digital Microwave Corp. ............................ 20,700 577,012
DII Group Inc. ..................................... 17,200 399,900
Dimon Inc. ......................................... 46,700 1,079,937
Dionex Corp. ....................................... 16,900 591,500
Discount Auto Parts Inc. ........................... 11,800 275,825
Documentum Inc. .................................... 13,900 469,125
Donaldson Co. , Inc. ............................... 28,700 961,450
Donnkenny Inc. ..................................... 14,500 67,063
Doubletree Corp. ................................... 41,810 1,881,433
Downey Financial Corp. ............................. 23,828 467,615
The accompanying notes are an integral part of the financial statements.
SAI-141
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Dravo Corp. ........................................ 18,400 $ 259,900
Dress Barn, Inc. ................................... 22,100 331,500
Dreyers Grand Ice Cream, Inc. ...................... 15,000 435,000
DSP Communications Inc. ............................ 66,200 1,282,625
DT Inductries Inc. ................................. 7,000 245,000
Duke Realty Investments Inc. ....................... 40,600 1,563,100
Dura Pharmaceuticals Inc. .......................... 58,100 2,774,275
Duriron Co. , Inc. ................................. 33,600 911,400
Duty Free International Inc. ....................... 28,100 407,450
Dynatech Corp. ..................................... 24,700 1,092,975
E'Town Corp. ....................................... 10,000 316,250
E. W. Blanch Holdings, Inc. ........................ 14,000 281,750
Eagle Hardware & Garden, Inc. ...................... 25,900 537,425
Eagle River Interactive Inc. ....................... 4,000 31,500
Eagle USA Airfreight Inc. .......................... 6,500 170,625
Earthgrains Co. .................................... 12,700 663,575
Eastern Enterprises................................. 28,200 997,575
Eastern Utilities Associates........................ 27,200 472,600
Eaton Vance Corp. .................................. 9,900 471,487
Egghead Inc. ....................................... 17,600 92,400
EIS International Inc. ............................. 13,000 112,125
El Paso Electric Co. ............................... 77,800 505,700
Elcom International Inc. ........................... 6,500 51,188
Elcor Chemical Corp. ............................... 10,600 226,575
Electro Rent Corp. ................................. 9,700 241,288
Electro Scientific Industries Inc. ................. 11,700 304,200
Electroglas Inc. ................................... 25,900 417,637
Eltron International Inc. .......................... 8,000 161,000
Embrace Systems Corp. (b)........................... 3,800 0
Emcare Holdings Inc. ............................... 10,400 241,800
Emeritus Corp. ..................................... 12,300 166,050
Emmis Broadcasting Corp. ........................... 11,600 379,900
Empire District Electric Co. ....................... 22,700 425,625
Employee Solutions Inc. ............................ 23,600 483,800
Encad Inc. ......................................... 12,700 523,875
Endosonics Corp. ................................... 18,000 274,500
Energen Corp. ...................................... 14,450 437,112
Energy Conversion Devices Inc. ..................... 16,100 219,363
Energy Ventures Inc. ............................... 18,600 946,275
Enhance Financial Services Group Inc. .............. 16,800 613,200
Ennis Business Forms Inc. .......................... 20,925 235,406
Enterprise Systems Inc. ............................ 3,900 91,650
Envoy Corp. ........................................ 18,900 708,750
Enzo Biochem Inc. .................................. 27,227 493,489
Epic Design Technology Inc. ........................ 16,700 417,500
Epitope Inc. ....................................... 19,200 220,800
Equimed Inc. ....................................... 19,100 66,850
Equity Corp. International.......................... 11,650 233,000
Equity Inns Inc. ................................... 30,200 392,600
Ergo Science Corp. ................................. 11,400 149,625
The accompanying notes are an integral part of the financial statements.
SAI-142
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
ESS Technology Inc. ................................ 25,000 $ 703,125
Esterline Technologies Corp. ....................... 11,900 310,888
Etec Systems Inc. .................................. 20,900 799,425
Ethan Allen Interiors Inc. ......................... 20,200 777,700
Evans & Sutherland Computer Co. .................... 13,000 325,000
Evans Withycombe Residential........................ 24,800 520,800
Evergreen Media Corp. .............................. 29,150 728,750
Exabyte Corp. ...................................... 31,500 421,312
Excalibur Technologies Corp. ....................... 12,000 189,000
Excel Realty Trust Inc. ............................ 21,400 543,025
Excite Inc. ........................................ 5,100 52,275
Executive Risk Inc. ................................ 13,000 481,000
Executive Telecard Ltd.............................. 24,600 153,750
Executone Information Systems Inc. ................. 54,900 130,388
Exide Corp. ........................................ 24,100 554,300
Expeditors International of Washington Inc. ....... 34,000 782,000
Express Scripts Inc. ............................... 23,100 828,712
Extended Stay America Inc. ......................... 46,000 925,750
EZ Communications Inc. ............................. 9,500 347,938
F & M National Corp. ............................... 25,902 553,655
Fab Industries, Inc. ............................... 5,900 162,250
Fabri Centres America Inc. ......................... 20,450 329,756
Fair Isaac & Co. , Inc. ............................ 9,800 383,425
Fairchild Corp. .................................... 20,600 303,850
Falcon Building Prods Inc. ......................... 6,200 91,450
Falcon Drilling..................................... 16,100 631,925
Family Dollar Stores Inc. .......................... 56,600 1,153,225
Farmer Brothers Co. ................................ 1,030 156,560
Fastcomm Communications Corp. ...................... 14,200 86,975
Fedders Corp. ...................................... 58,700 366,875
Federal Mogul Corp. ................................ 48,400 1,064,800
Federal Realty Investment Trust..................... 46,500 1,261,312
Felcor Suite Hotels Inc. ........................... 32,100 1,135,537
Ferro Corp. ........................................ 36,200 1,027,175
Fibreboard Corp. ................................... 12,300 415,125
Fidelity National Financial Inc. ................... 12,298 186,007
Fieldcrest Cannon Inc. ............................. 11,800 188,800
Figgie International Holdings Inc. ................. 25,300 303,600
Filenet Corp. ...................................... 20,300 649,600
Financial Federal Corp. ............................ 15,200 254,600
Financial Security Assurance Holdings Ltd. ......... 40,153 1,320,030
Financial Trust Corp. .............................. 11,574 461,513
Fingerhut Cos., Inc. ............................... 64,100 785,225
First American Financial Corp. ..................... 13,880 570,815
First Citizens Bancshares Inc. ..................... 15,200 1,170,400
First Commerce Bancshares Inc. ..................... 15,500 410,750
First Commercial Corp. ............................. 31,086 1,154,068
First Commonwealth Financial Corp. ................. 30,200 562,475
First Federal Savings Bank of Colorado.............. 20,778 353,226
First Financial Bancorp............................. 19,180 623,356
The accompanying notes are an integral part of the financial statements.
SAI-143
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
First Financial Bankshares Inc. .................... 8,875 $ 355,000
First Financial Corp. .............................. 49,875 1,221,937
First Financial Corp.--Indiana...................... 7,360 272,320
First Hawaiian Inc. ................................ 32,800 1,148,000
First Industrial Reality Trust Inc. ................ 32,700 993,262
First Indiana Corp. ................................ 8,299 221,998
First Michigan Bank Corp. .......................... 35,458 1,050,443
First Midwest Bancorp Inc. ......................... 20,625 672,891
First Savings Bank Inc. ............................ 13,300 244,388
First Union Corp. .................................. 23 1,718
First United Bancshares Inc. ....................... 9,700 305,550
First Western Bancorp Inc. ......................... 10,700 280,875
Firstbank (Puerto Rico)............................. 16,400 426,400
Firstbank of Illinois Co. .......................... 13,550 470,862
Firstfed Financial Corp. ........................... 12,575 276,650
Firstmerit Corp. ................................... 42,200 1,498,100
Fisher Scientific International Inc. ............... 27,800 1,310,075
Fleming Cos., Inc. ................................. 51,600 890,100
Flores & Rucks Inc. ................................ 16,400 873,300
Florida East Coast Industries Inc. ................. 5,200 454,350
Florida Rock Industries Inc. ....................... 8,200 268,550
Flowers Industries Inc. ............................ 77,600 1,668,400
Fluke Corp. ........................................ 7,800 348,075
FM Bancorporation Inc. ............................. 8,720 259,420
FNB Corp. .......................................... 13,550 311,650
Foamex International Inc. .......................... 19,000 313,500
Foodbrands America Inc. ............................ 14,900 204,875
Foodmaker Inc. ..................................... 55,100 489,012
Forcenergy Inc. .................................... 12,300 445,875
Foremost Corp. of America........................... 12,200 732,000
Forest City Enterprises Inc. ....................... 5,200 314,600
Forest Oil Corp. ................................... 28,000 493,500
Fort Wayne National Corp. .......................... 16,150 613,700
Fossil Inc. ........................................ 6,300 85,050
Foxmeyer Health Corp. .............................. 18,918 30,742
Franchise Finance Corp. ............................ 55,900 1,544,237
Franklin Electric Co. , Inc. ....................... 5,800 271,150
Franklin Electronic Publishers, Inc. ............... 10,900 132,163
Franklin Quest Co. ................................. 22,900 480,900
Freeport-McMoran Copper & Gold Inc. ................ 34,300 1,101,887
Fremont General Corp. .............................. 28,097 871,007
Friedmans Inc. ..................................... 19,500 287,625
Frontier Insurance Group Inc. ...................... 15,180 580,635
Frozen Food Express Industries Inc. ................ 8,267 74,403
FSI International Inc. ............................. 29,500 442,500
FTP Software Inc. .................................. 45,500 273,000
Fuisz Technologies Ltd.............................. 17,500 137,813
Fulton Financial Corp. ............................. 44,855 964,382
Fund American Enterprises Holding, Inc. ............ 9,394 899,475
Furniture Brands International Inc. ................ 83,000 1,162,000
The accompanying notes are an integral part of the financial statements.
SAI-144
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Furon Co. .......................................... 13,300 $ 282,625
Fusion Systems Corp. ............................... 12,300 261,375
G & K Services, Inc. ............................... 28,200 1,064,550
Gables Residential Trust............................ 22,300 646,700
Gadzooks Inc. ...................................... 11,400 208,050
Gainsco Inc. ....................................... 28,163 271,069
Galileo Electro Optics Corp. ....................... 9,100 228,638
Galoob (Lewis) Toys Inc. ........................... 19,600 274,400
Garden Ridge Corp. ................................. 22,900 197,513
Gasonics International Corp. ....................... 11,700 119,925
GATX Corp. ......................................... 28,200 1,367,700
Gaylord Container Corp. ............................ 72,700 445,287
GC Cos., Inc. ...................................... 8,200 283,925
Gelman Sciences Inc. ............................... 9,300 302,250
Geltex Pharmaceuticals Inc. ........................ 17,500 424,375
Gencorp Inc. ....................................... 35,100 636,187
Genelabs Technologies Inc. ......................... 49,000 300,125
General Binding Corp. .............................. 7,200 214,200
General Communication Inc. ......................... 35,200 286,000
General Datacomm Industries Inc. ................... 28,400 298,200
General Growth Properties Inc. ..................... 37,100 1,196,475
General Magic Inc. ................................. 15,000 34,688
General Reinsurance Corp. .......................... 60 9,465
General Scanning Inc. .............................. 8,000 94,000
Genesco Inc. ....................................... 37,300 345,025
Genesis Health Ventures Inc. ....................... 33,800 1,052,025
Geneva Steel Co. ................................... 12,600 37,800
Genovese Drug Stores Inc. .......................... 1 17
Genrad Inc. ........................................ 33,100 769,575
Gensia Inc. ........................................ 34,700 160,488
Gentex Corp. ....................................... 42,800 861,350
Genus Inc. ......................................... 17,800 97,900
Genzyme Transgenics Corp. .......................... 580 3,553
Geon Co. ........................................... 30,100 590,712
Geotek Communications Inc. ......................... 79,400 565,725
Geoworks............................................ 14,100 345,450
Gerber Scientific Inc. ............................. 25,200 374,850
Getchell Gold Corp. ................................ 35,635 1,367,493
Getty Petroleum Corp. .............................. 11,518 187,168
Giant Industries Inc. .............................. 11,600 162,400
Gibraltar Steel Corp. .............................. 4,400 115,500
Gibson Greetings Inc. .............................. 20,500 402,312
Giddings & Lewis Inc. .............................. 43,800 563,925
Gilead Sciences Inc. ............................... 41,400 1,035,000
Gleason Corp. ...................................... 4,400 145,750
Glendale Federal Bank FSB........................... 60,100 1,397,325
Glimcher Realty Trust............................... 30,000 660,000
Global Industrial Technologies Inc. ................ 29,600 654,900
Global Industries Ltd............................... 31,400 584,825
Golden Books Family Entertainment Inc. ............. 25,800 287,025
The accompanying notes are an integral part of the financial statements.
SAI-145
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Goulds Pumps Inc. .................................. 29,400 $ 674,362
Graco Inc. ......................................... 18,400 450,800
Grancare Inc. ...................................... 27,161 485,503
Granite Construction Inc. .......................... 16,150 306,850
GRC International Inc. ............................. 14,100 114,563
Great Financial Corp. .............................. 19,500 567,937
Greenbrier Cos., Inc. .............................. 10,100 104,788
Greenfield Industries Inc. ......................... 21,700 664,562
Greenwich Air Services Inc. ........................ 9,800 220,500
Greif Brothers Corp. ............................... 25,000 706,250
Grey Advertising Inc. .............................. 1,130 282,500
Greyhound Lines Inc. ............................... 71,100 275,513
Griffon Corp. ...................................... 41,300 505,925
Guarantee Life Cos., Inc. .......................... 13,500 249,750
Guaranty National Corp. ............................ 19,711 330,159
Guilford Mills Inc. ................................ 17,350 461,944
Gulf South Medical Supply Inc. ..................... 19,600 502,250
H. B. Fuller Co. ................................... 19,100 897,700
Ha Lo Industries Inc. .............................. 12,500 343,750
Hach Co. ........................................... 3,150 59,850
Hadco Corp. ........................................ 11,500 563,500
Haemonetics Corp. .................................. 31,600 596,450
Halliburton Co. .................................... 79 4,772
Hancock Fabrics Inc. ............................... 28,400 294,650
Hancock Holding Co. ................................ 11,615 470,407
Handleman Co. ...................................... 49,400 419,900
Handy & Harman...................................... 20,200 353,500
Harbinger Corp. .................................... 12,700 333,375
Hardinge Brothers Inc. ............................. 8,400 223,650
Harken Energy Corp. ................................ 99,000 297,000
Harleysville Group Inc. ............................ 8,200 250,100
Harleysville National Corp. ........................ 9,025 218,856
Harman International Industries Inc. ............... 19,815 1,102,209
Harmonic Lightwaves Inc. ........................... 15,200 233,700
Harper Group Inc. .................................. 16,350 388,313
Harris Savings Bank................................. 2,200 40,150
Harte-Hanks Communications, Inc. ................... 22,068 612,387
Hartford Steam Boiler Inspection & Insurance ....... 28,100 1,303,137
Hartmarx Corp. ..................................... 27,600 155,250
Harveys Casino Resorts.............................. 9,800 165,375
HCC Insurance Holdings Inc. ........................ 39,200 940,800
HCIA Inc. .......................................... 3,400 117,300
Health Care Property Investors Inc. ................ 39,600 1,386,000
Health Care REIT Inc. .............................. 20,400 499,800
Health Management Systems Inc. ..................... 20,025 280,350
Healthcare Realty Trust............................. 17,300 458,450
Healthdyne Technologies Inc. ....................... 20,600 182,825
Healthplan Services Corp. .......................... 10,400 219,700
Heartland Express Inc. ............................. 20,335 495,666
Heartland Wireless Communication Inc. .............. 17,700 232,313
The accompanying notes are an integral part of the financial statements.
SAI-146
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Hearx Ltd........................................... 90,500 $ 254,531
Hechinger Co. ...................................... 50,200 103,538
Hecla Mining Co. ................................... 69,000 388,125
Heftel Broadcasting Corp. .......................... 10,400 327,600
Heilig Meyers Co. .................................. 67,800 1,101,750
Helix Technology Corp. ............................. 10,100 292,900
Helmerich & Payne Inc. ............................. 33,700 1,756,612
Henry Schein Inc. .................................. 8,600 295,625
Herbalife International Inc. ....................... 16,700 544,837
Heritage Financial Services Inc. ................... 5,700 121,125
Heritage Media Corp. ............................... 45,400 510,750
Herman Miller Inc. ................................. 33,500 1,896,937
Hexcel Corp. ....................................... 51,600 838,500
Highlands Insurance Group........................... 15,600 315,900
Highwaymaster Communications Inc. .................. 29,000 525,625
Highwoods Properties Inc. .......................... 43,300 1,461,375
Hilb Rogal & Hamilton Co. .......................... 18,762 248,597
HMT Technology Corp. ............................... 13,300 199,708
HNC Software Inc. .................................. 20,600 643,750
Hollinger International Inc. ....................... 30,400 349,600
Holly Corp. ........................................ 8,200 219,350
Hollywood Entertainment Corp. ...................... 29,100 538,350
Hollywood Park Inc. ................................ 18,400 276,000
Hologic Inc. ....................................... 16,300 403,425
Holophane Corp. .................................... 14,900 283,100
Home Beneficial Corp. .............................. 17,300 655,237
Homeland Bankshares Corp. .......................... 7,100 294,650
Hon Industries Inc. ................................ 32,200 1,062,600
Hondo Oil & Gas Co. ................................ 4,100 44,588
Horace Mann Educators Corp. ........................ 31,300 1,263,737
Horizon CMS Healthcare Corp. ....................... 72,016 909,202
Horizon Group Inc. ................................. 25,092 498,703
Hospitality Properties Trust........................ 31,400 910,600
Host Marriott Services Corp. ....................... 39,800 363,175
Houghton Mifflin Co. ............................... 19,800 1,121,175
House of Fabrics Inc. .............................. 15 51
House of Fabrics Inc.--WTS.......................... 37 74
HPR Inc. ........................................... 17,100 235,125
HSN Inc. ........................................... 17,080 405,650
Hubco Inc. ......................................... 27,108 664,146
Hudson Foods Inc. .................................. 29,000 551,000
Huffy Corp. ........................................ 17,100 245,813
Hughes Supply Inc. ................................. 8,700 375,188
Hugoton Capital L.P................................. 19,000 192,375
Human Genome Sciences Inc. ......................... 25,800 1,051,350
Hunt Manufacturing Co. ............................. 11,300 204,813
Huntco Inc. ........................................ 9,700 143,075
Hutchinson Technology Inc. ......................... 6,900 524,400
Hybridon Inc. ...................................... 32,900 193,288
Hyperion Software Corp. ............................ 22,700 482,375
The accompanying notes are an integral part of the financial statements.
SAI-147
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
I Stat Corp. ....................................... 18,400 $ 437,000
I2 Technologies Inc. ............................... 800 30,600
ICN Pharmaceuticals Inc. ........................... 48,794 957,582
ICOS Corp. ......................................... 38,800 295,850
ICU Medical Inc. ................................... 7,500 59,063
IDEC Pharmaceuticals Corp. ......................... 16,900 401,375
Identix Inc. ....................................... 24,600 201,413
Idex Corp. ......................................... 23,150 923,106
IDT Corp. .......................................... 4,700 51,700
IDX Systems Corp. .................................. 8,400 240,450
IES Industries Inc. ................................ 41,600 1,242,800
IHOP Corp. ......................................... 11,300 266,963
IKOS Systems Inc. .................................. 12,100 242,000
Imatron Inc. ....................................... 102,600 339,863
Imclone Systems Inc. ............................... 29,900 291,525
Imco Recycling Inc. ................................ 15,900 232,538
Immulogic Pharmaceutical Corp. ..................... 25,600 163,200
Immune Response Corp. .............................. 24,100 198,825
Immunex Corp. ...................................... 24,800 483,600
Immunomedics Inc. .................................. 32,400 178,200
Imnet Systems Inc. ................................. 13,800 334,650
IMP Inc. ........................................... 42,900 95,184
Imperial Bancorp.................................... 22,257 534,168
Imperial Credit Industries Inc. .................... 32,072 673,512
In Focus Systems Inc. .............................. 10,600 229,225
Inacom Corp. ....................................... 12,300 492,000
Inbrand Corp. ...................................... 11,850 248,850
Incontrol Inc. ..................................... 17,200 137,600
Incyte Pharmaceuticals Inc. ........................ 9,000 463,500
Indiana Energy Inc. ................................ 27,000 658,125
Individual Inc. .................................... 4,200 25,200
Indus Group Inc. ................................... 3,900 100,425
Inference Corp. .................................... 12,600 91,350
Information Resources Inc. ......................... 36,600 512,400
Ingles Markets Inc. ................................ 9,600 120,000
Inhale Therapeutic Systems.......................... 16,000 242,000
Inphynet Medical Management Inc. ................... 15,300 275,400
Insignia Financial Group Inc. ...................... 45,100 1,014,750
Insilco Corp. ...................................... 13,300 512,050
Insituform Technologies Inc. ....................... 31,785 234,414
Inso Corp. ......................................... 10,900 433,275
Integon Corp. ...................................... 18,500 328,375
Integra Lifesciences Corp. ......................... 44,401 205,355
Integrated Device Technology........................ 105,600 1,438,800
Integrated Health Services Inc. .................... 30,600 745,875
Integrated Measurement Systems Inc. ................ 2,600 45,175
Integrated Packaging Assembly Corp. ................ 8,800 71,088
Integrated Process Equipment Corp. ................. 21,000 378,000
Integrated Silicon Solution......................... 20,200 174,225
Integrated Systems Inc. ............................ 23,300 605,800
The accompanying notes are an integral part of the financial statements.
SAI-148
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Intellidata Technologies Corp. ..................... 19,000 $ 137,750
Intelligent Electronics Inc. ....................... 41,400 331,200
Intelliquest Information Group...................... 2,300 52,325
Inter-Regional Financial Group Inc. ................ 16,600 585,150
Inter-Tel Inc. ..................................... 11,000 209,000
Intercardia Inc. ................................... 2,300 49,450
Intercel Inc. ...................................... 15,300 187,425
Interdigital Communications Corp. .................. 60,500 347,875
Interface Inc. ..................................... 27,100 545,387
Intergraph Corp. ................................... 55,600 569,900
Interim Services Inc. .............................. 21,700 770,350
Intermagnetics General Corp. ....................... 18,641 223,692
Intermedia Commerce of Florida...................... 22,100 569,075
Intermet Corp. ..................................... 26,500 427,312
International Cabletel Inc. ........................ 40,233 1,015,883
International Dairy Queen Inc. ..................... 20,700 414,000
International Family Entertainment Inc. ............ 38,925 603,337
International Imaging Materials, Inc. .............. 9,500 216,125
International Multifoods Corp. ..................... 23,800 431,375
Interpool Inc. ..................................... 13,900 324,913
Intersolv Inc. ..................................... 30,800 284,900
Interstate Power Co. ............................... 13,800 400,200
Intervoice Inc. .................................... 24,300 297,675
Intevac Inc. ....................................... 3,900 66,300
Invacare Corp. ..................................... 40,500 1,113,750
Investment Technology Group Inc. ................... 6,600 127,050
Investors Financial Services Corp. ................. 430 11,503
Ionics Inc. ........................................ 22,100 1,060,800
IPC Information Systems Inc. ....................... 4,500 68,063
Iron Mountain Inc. ................................. 6,100 184,525
IRT Property Co. ................................... 37,900 435,850
Irvine Apartment Communities Inc. .................. 23,500 587,500
Irwin Financial Corp. .............................. 8,400 207,900
Isis Pharmaceuticals, Inc. ......................... 34,900 628,200
Isolyser Inc. ...................................... 29,800 208,600
ITI Technologies Inc. .............................. 14,200 214,775
Itron Inc. ......................................... 12,100 214,775
ITT Educational Services Inc. ...................... 7,550 174,594
J & L Specialty Steel Inc. ......................... 24,900 283,238
J. B. Hunt Transport Services Inc. ................. 31,000 434,000
J. M. Smucker Co. , Class A......................... 40,300 710,287
J.C. Penney Co. , Inc. ............................. 35 1,706
Jabil Circuit Inc. ................................. 8,300 332,000
Jack Henry & Associates Inc. ....................... 10,100 361,075
Jacobs Engineering Group Inc. ...................... 29,000 685,125
Jacor Communications Inc.--WTS...................... 8,700 17,400
Jacor Communications Inc. .......................... 8,800 240,900
Jayhawk Acceptance Corp. ........................... 13,800 155,250
JDA Software Group Inc. ............................ 4,700 133,950
JDN Realty Corp. ................................... 16,200 447,525
The accompanying notes are an integral part of the financial statements.
SAI-149
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Jefferies Group Inc. ............................... 14,100 $ 569,287
Jefferson Bankshares Inc. .......................... 20,000 572,500
Jenny Craig Inc. ................................... 7,500 66,563
John Alden Financial Corp. ......................... 32,100 593,850
John Harland Co. ................................... 42,800 1,412,400
John Nuveen & Co. , Inc. ........................... 9,100 241,150
John Wiley & Sons Inc. ............................. 17,800 574,050
Jones Intercable Inc. .............................. 29,200 310,250
Jones Medical Industries Inc. ...................... 31,200 1,142,700
Jostens Inc. ....................................... 47,000 992,875
JP Foodservice Inc. ................................ 16,700 465,512
JP Realty Inc. ..................................... 17,200 445,050
JSB Financial Inc. ................................. 11,600 440,800
Juno Lighting Inc. ................................. 24,200 387,200
Just For Feet Inc. ................................. 25,850 678,562
Justin Industries Inc. ............................. 26,550 305,325
K2 Inc. ............................................ 19,683 541,282
Kaiser Aluminum Corp. .............................. 12,000 139,500
Kaman Corp. ........................................ 25,400 330,200
Kansas City Life Insurance Co. ..................... 4,300 273,050
Katz Media Group Inc. .............................. 21,100 237,375
Kaufman & Broad Home Corp. ......................... 53,600 690,100
Kaydon Corp. ....................................... 21,900 1,032,037
KCS Energy Inc. .................................... 14,000 500,500
Keane Inc. ......................................... 46,050 1,462,087
Kelley Oil & Gas Corp. ............................. 27,700 67,519
Kellwood Co. ....................................... 29,700 594,000
KEMET Corp. ........................................ 52,200 1,213,650
Kennametal Inc. .................................... 36,300 1,411,162
Kenneth Cole Productions Inc. ...................... 10,100 156,550
Kent Electronics Corp. ............................. 34,700 893,525
Keravision Inc. .................................... 17,900 246,125
Keystone Financial Group Inc. ...................... 52,698 1,317,450
Keystone International Inc. ........................ 42,700 859,337
KFX Inc. ........................................... 9,900 54,450
Kimball International Inc. ......................... 25,600 1,059,200
Kimco Realty Corp. ................................. 36,700 1,279,912
Kinder-Care Learning Centres Inc. .................. 14,300 268,125
Kinetic Concepts Inc. .............................. 23,600 289,100
Kirby Corp. ........................................ 33,100 653,725
Klamath First Bancorp Inc. ......................... 18,200 286,650
KN Energy Inc. ..................................... 28,808 1,130,714
Knickerbocker Village Inc. ......................... 6,400 40,800
Knight Transportation Inc. ......................... 3,100 58,900
Koger Equity Inc. .................................. 20,400 382,500
Kronos Inc. ........................................ 10,950 350,400
Kuhlman Corp. ...................................... 17,500 339,063
Kulicke & Soffa Industries Inc. .................... 26,700 507,300
L.S. Starrett Co. .................................. 9,600 272,400
Labone Inc. ........................................ 3,200 59,200
The accompanying notes are an integral part of the financial statements.
SAI-150
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Laboratory Corp. America Holdings................... 115,40 $ 331,775
Laclede Gas Co. .................................... 23,900 576,587
Lance Inc. ......................................... 22,200 399,600
Land's End Inc. .................................... 21,900 580,350
Landauer Inc. ...................................... 11,700 286,650
Landec Corp. ....................................... 2,800 21,350
Landrys Seafood Restaurants Inc. ................... 21,500 459,562
Landstar Systems Inc. .............................. 16,500 383,625
Lattice Semiconductor Corp. ........................ 30,750 1,414,500
Lawson Products Inc. ............................... 10,800 236,250
Lawter International Inc. .......................... 39,500 498,687
La-Z-Boy Inc. ...................................... 18,400 542,800
LCA Vision Inc. .................................... 6,100 15,250
Learning Tree International Inc. ................... 8,400 247,800
LeaRonal Inc. ...................................... 9,500 218,500
Legato Systems Inc. ................................ 26,100 851,512
Legg Mason Inc. .................................... 20,350 783,475
Lennar Corp. ....................................... 35,900 978,275
Level One Communications Inc. ...................... 19,000 679,250
Libbey Inc. ........................................ 20,000 557,500
Liberty Bancorp Inc. ............................... 7,400 368,150
Liberty Corp. ...................................... 20,300 796,775
Liberty Financial Cos., Inc. ....................... 7,536 292,962
Liberty Property.................................... 40,100 1,032,575
Life Re Corp. ...................................... 13,700 529,162
Life Technologies Inc. ............................. 14,800 370,000
Life USA Holding Inc. .............................. 21,300 255,600
Lifecore Biomedical Inc. ........................... 16,100 289,800
Ligand Pharmaceuticals Inc. ........................ 28,935 430,408
Lilly Industries Inc. .............................. 26,688 487,056
LIN Television Corp. ............................... 17,600 743,600
Lincoln Electric Co. ............................... 34,500 1,134,187
Lindsay Manufacturing Co. .......................... 9,550 446,462
Liposome Co. , Inc. ................................ 44,300 847,237
Liqui-Box Corp. .................................... 5,400 175,500
Littelfuse Inc. .................................... 16,700 809,950
Living Centers of America Inc. ..................... 18,600 516,150
Logic Works Inc. ................................... 6,800 38,250
Logicon Inc. ....................................... 17,400 635,100
LoJack Corp. ....................................... 28,700 287,000
Lomak Petroleum Inc. ............................... 19,200 328,800
Lone Star Industries Inc. .......................... 15,900 586,312
Lone Star Technologies Inc. ........................ 26,700 453,900
Long Island Bancorp Inc. ........................... 34,100 1,193,500
Longs Drug Stores Corp. ............................ 19,000 933,375
Longview Fibre Co. ................................. 70,600 1,297,275
Louis Dreyfus Natural Gas Holdings Corp. .......... 8,000 137,000
LSI Industries Inc. ................................ 12,000 159,000
LTC Properties...................................... 24,800 458,800
LTX Corp. .......................................... 53,200 312,550
The accompanying notes are an integral part of the financial statements.
SAI-151
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Luby's Cafeterias Inc. ............................. 33,000 $ 655,875
Lukens Inc. ........................................ 21,300 428,662
Lunar Corp. ........................................ 7,800 273,000
Lydall Inc. ........................................ 23,800 535,500
M.S. Carriers Inc. ................................. 12,900 206,400
Mac Frugals Bargains Inc. .......................... 34,700 906,537
MacDermid Inc. ..................................... 7,800 214,500
Macerich Co. ....................................... 23,800 621,775
Madison Gas & Electric Co. ......................... 20,650 418,162
MAF Bancorp Inc. ................................... 14,281 496,265
Mafco Consolidated Group Inc. ...................... 7,100 180,163
Mafco Consolidated Group Inc.--Rts.................. 31,300 29,344
Magellan Health Services Inc. ...................... 44,500 995,687
Magna Bancorp Inc. ................................. 20,700 362,250
Magna Group Inc. ................................... 37,300 1,100,350
MagneTek Inc. ...................................... 26,900 346,338
MAI Systems Corp. .................................. 457 2,999
MAIC Holdings Inc. ................................. 12,030 407,516
Mail Boxes Etc...................................... 11,400 256,500
Manhattan Bagel Inc. ............................... 2,200 15,950
Manitowoc Co. , Inc. ............................... 15,950 645,975
Manufactured Home Communities Inc. ................. 32,900 764,925
Manugistics Group Inc. ............................. 9,900 393,525
Marcus Corp. ....................................... 15,575 330,969
Marine Drilling Cos., Inc. ......................... 54,600 1,074,937
Mariner Health Group Inc. .......................... 38,800 324,950
Marisa Christina Inc. .............................. 6,500 53,625
Mark Twain Bancshares Inc. ......................... 19,250 938,437
Markel Corp. ....................................... 5,240 471,600
Marquette Medical Systems Inc. ..................... 14,300 316,388
Marshall Industries................................. 23,600 722,750
Martek Biosciences Corp. ........................... 16,700 334,000
MascoTech Inc. ..................................... 46,800 766,350
Mastec Inc. ........................................ 8,900 471,700
Material Sciences Corp. ............................ 20,400 367,200
Mathews International Corp. ........................ 11,100 313,575
Matria Healthcare Inc. ............................. 47,600 226,100
Matrix Pharmaceutical Inc. ......................... 24,100 147,613
Mattson Technology Inc. ............................ 14,100 133,950
Maxicare Health Plans Inc. ......................... 25,400 565,150
Maxis Inc. ......................................... 9,900 121,275
MAXXAM Inc. ........................................ 8,300 395,287
May & Speh Inc. .................................... 9,200 112,700
McClatchy Newspapers Inc. .......................... 41,800 1,463,000
McDonald & Co. Investments Inc. .................... 11,420 396,845
McGrath RentCorp.................................... 8,400 216,300
McWhorter Technologies Inc. ........................ 8,900 203,588
MDL Information Systems Inc. ....................... 10,300 191,838
MDU Resources Group Inc. ........................... 37,600 864,800
Meadowbrook Insurance Group Inc. ................... 6,500 136,500
The accompanying notes are an integral part of the financial statements.
SAI-152
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Measurex Corp. ..................................... 19,800 $ 475,200
Medcath Inc. ....................................... 15,100 241,600
Media 100 Inc. ..................................... 10,000 88,750
Media General Inc. ................................. 16,700 505,175
Medimmune Inc. ..................................... 19,200 326,400
Medusa Corp. ....................................... 22,000 756,250
Mentor Corp. ....................................... 32,300 952,850
Mercer International Inc. .......................... 16,600 170,150
Mercury Interactive Corp. .......................... 20,900 271,700
Meridian Diognostic................................. 12,200 158,600
Meridian Industrial Trust Inc. ..................... 14,900 312,900
Merix Corp. ........................................ 6,500 99,125
Merrill Corp. ...................................... 7,700 177,100
Merry Land & Investment Co. , Inc. ................. 51,600 1,109,400
Mesa Air Group Inc. ................................ 36,700 247,725
Mesa, Inc. ......................................... 93,300 489,825
Metatools Inc. ..................................... 12,600 148,050
Methode Electronics Inc. ........................... 42,700 864,675
Metricom Inc. ...................................... 15,800 237,000
Metrocall Inc. ..................................... 16,277 81,639
Metrocall Inc.--Rts................................. 7,878 0
Metromedia International Group Inc. ................ 51,084 504,454
Meyer Fred Inc. .................................... 36,600 1,299,300
MGI Properties...................................... 15,800 347,600
Michael's Stores Inc. .............................. 26,200 314,400
Michaels Foods...................................... 14,600 186,150
MicroAge Inc. ...................................... 19,200 384,000
Microchip Technology Inc. .......................... 48,700 2,477,612
Microcom Inc. ...................................... 20,300 251,213
Micros Systems Inc. ................................ 11,400 350,550
Microtouch Systems Inc. ............................ 10,500 252,000
Microware Systems Corp. ............................ 7,300 104,025
Mid Am Inc. ........................................ 28,528 488,535
Mid Atlantic Medical Services Inc. ................. 57,500 769,062
Mid-America Apartment Communities Inc. ............. 13,900 401,362
Midcom Communications Inc. ......................... 20,700 175,950
Midwest Express Holdings Inc. ...................... 6,200 223,200
Mikasa Inc. ........................................ 10,800 110,700
Miller Industries Inc. ............................. 22,050 441,000
Mills Co. .......................................... 19,600 467,950
Mine Safety Appliances Co. ......................... 3,900 207,675
Minerals Technologies Inc. ......................... 31,200 1,279,200
Minimed Inc. ....................................... 4,600 148,350
Minnesota Power & Light Co. ........................ 39,200 1,078,000
Mississippi Chemical Corp. ......................... 38,652 927,648
Mitchell Energy & Development Corp. ................ 50,400 1,127,700
ML Bancorp Inc. .................................... 14,300 201,988
MMI Cos., Inc. ..................................... 13,100 422,475
Mobile Telecommunications Technologies Corp. ...... 74,000 629,000
Mobilemedia Corp. .................................. 56,100 24,544
The accompanying notes are an integral part of the financial statements.
SAI-153
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Modine Manufacturing Co. ........................... 30,100 $ 805,175
Mohawk Industries Inc. ............................. 28,877 635,294
Molten Metal Technology Inc. ....................... 20,000 235,000
Morgan Keegan Inc. ................................. 19,084 326,814
MorningStar Group Inc. ............................. 9,300 182,513
Morrison Health Care Inc. .......................... 11,033 162,737
Morrison Knudsen Corp. ............................. 9,700 87,300
MOSAIX Inc. ........................................ 8,100 129,600
Mosinee Paper Corp. ................................ 12,352 438,496
Mossimo Inc. ....................................... 1,500 18,563
Movie Gallery Inc. ................................. 8,800 114,400
MRV Communications Inc. ............................ 18,800 408,900
MTS Systems Corp. .................................. 12,800 256,000
Mueller Industries Inc. ............................ 24,000 924,000
Multicare Cos., Inc. ............................... 19,250 389,812
Mycogen Corp. ...................................... 24,300 522,450
Myers Industries Inc. .............................. 17,038 287,516
Mylex Corp. ........................................ 29,600 370,000
Myriad Genetics Inc. ............................... 12,600 318,150
NABI, Inc. ......................................... 40,500 354,375
NAC Reinsurance Corp. .............................. 20,800 704,600
NACCO Industries Inc. .............................. 9,600 513,600
Nash Finch Co. ..................................... 15,100 320,875
National Auto Credit Inc. .......................... 17,330 207,960
National Bancorp of Alaska Inc. .................... 5,900 404,150
National City Bancshares Inc. ...................... 11,544 337,662
National Commerce Bancorp........................... 34,075 1,303,369
National Computer Systems Inc. ..................... 19,500 497,250
National Data Corp. ................................ 35,700 1,552,950
National Education Corp. ........................... 51,000 777,750
National Golf Properties Inc. ...................... 15,400 487,025
National Health Investors Inc. ..................... 24,900 943,087
National Instruments Corp. ......................... 11,500 368,000
National Media Corp. ............................... 20,200 141,400
National Penn Bancshares Inc. ...................... 8,902 232,565
National Presto Industries Inc. .................... 6,200 231,725
National Steel Corp. ............................... 26,200 242,350
National Surgery Centers Inc. ...................... 13,000 494,000
National Western Life Insurance Co. ................ 3,100 269,700
Nationwide Health Properties Inc. .................. 56,900 1,379,825
Nature's Sunshine Products Inc. .................... 20,379 366,822
Nautica Enterprises Inc. ........................... 51,100 1,290,275
Navistar International Corp. ....................... 101,800 928,925
NBTY Inc. .......................................... 21,500 408,500
NCH Corp. .......................................... 5,600 337,400
NCI Building Systems Inc. .......................... 9,300 320,850
Neopath Inc. ....................................... 15,200 277,400
Neoprobe Corp. ..................................... 26,000 399,750
Neose Technologies Inc. ............................ 10,500 189,000
Netcom Online Communications........................ 14,900 193,700
The accompanying notes are an integral part of the financial statements.
SAI-154
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
NetManage Inc. ..................................... 41,500 $ 249,000
Network Appliance Inc. ............................. 23,600 1,200,650
Network Equipment Technologies Inc. ................ 27,100 447,150
Network Peripherals Inc. ........................... 13,700 243,175
Neurex Corp. ....................................... 18,500 314,500
Neurogen Corp. ..................................... 17,200 331,100
Neuromedical Systems Inc. .......................... 39,700 526,025
Nevada Power Co. ................................... 65,800 1,348,900
New England Business Service Inc. .................. 16,400 352,600
New Jersey Resources Corp. ......................... 25,000 731,250
New York Bancorp Inc. .............................. 13,386 518,707
Newfield Exploration Co. ........................... 51,000 1,326,000
Newpark Resources Inc. ............................. 14,890 554,652
Nexstar Pharmaceuticals Inc. ....................... 38,800 582,000
NFO Research Inc. .................................. 11,600 255,200
NHP Inc. ........................................... 11,000 170,500
Nichols Research Corp. ............................. 12,300 313,650
Nimbus CD International Inc. ....................... 20,600 175,100
NL Industries Inc. ................................. 33,600 365,400
NN Ball & Roller Inc. .............................. 10,225 155,931
Noel Group.......................................... 31,200 218,400
Norrell Corp. ...................................... 18,600 506,850
North American Mortgage Co. ........................ 20,300 400,925
North Carolina Natural Gas Corp. ................... 8,050 232,444
North Fork Bancorporation Inc. ..................... 33,700 1,200,562
North Side Savings Bank (New York).................. 6,763 368,584
Northfield Laboratories Inc. ....................... 19,000 204,250
Northland Cranberries Inc. ......................... 17,500 402,500
Northwest Natural Gas Co. .......................... 30,550 733,200
Northwestern Public Service Co. .................... 13,100 448,675
Nova Corp. ......................................... 800 17,700
Novacare Inc. ...................................... 87,000 957,000
Novadigm Inc. ...................................... 15,400 127,050
Novellus Systems Inc. .............................. 22,700 1,230,056
Noven Pharmaceuticals Inc. ......................... 22,800 319,200
NPC International Inc. ............................. 25,700 212,025
Nu-kote Holding Inc. ............................... 31,400 321,850
Nuevo Energy Co. ................................... 16,200 842,400
NUI Corp. .......................................... 12,800 289,600
NVR Inc. ........................................... 13,200 171,600
NYMAGIC Inc. ....................................... 6,300 113,400
O'Reilly Automotive Inc. ........................... 6,700 214,400
O'Sullivan Corp. ................................... 19,600 215,600
Oak Industries Inc. ................................ 24,660 567,180
Oak Technology...................................... 47,200 531,000
Oasis Residential Inc. ............................. 21,100 480,025
Occusystems Inc. ................................... 28,900 780,300
Oceaneering International Inc. ..................... 33,800 536,575
OEA Inc. ........................................... 22,400 1,024,800
Offshore Logistics Inc. ............................ 25,600 496,000
The accompanying notes are an integral part of the financial statements.
SAI-155
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Ogden Corp. ........................................ 67,700 $1,269,375
OHM Corp. .......................................... 26,300 223,550
OIS Optical Imaging Systems Inc. ................... 25,800 40,313
Old National Bancorp................................ 34,200 1,342,350
Olympic Financial Ltd............................... 49,300 708,687
OM Group Inc. ...................................... 25,350 684,450
Omega Financial Corp. .............................. 9,200 322,000
Omega Healthcare Investors Inc. .................... 23,009 765,049
OMI Corp. .......................................... 41,100 359,625
On Assignment Inc. ................................. 6,500 191,750
ONBANCorp Inc. ..................................... 19,796 734,926
Oncogene Science Inc. .............................. 26,200 167,025
One Valley Bancorp of West Virginia Inc. .......... 27,000 1,002,375
Oneida Ltd.......................................... 12,550 225,900
ONEOK Inc. ......................................... 32,000 960,000
Ontrak Systems Inc. ................................ 4,600 67,275
Optical Coating Laboratory Inc. .................... 14,900 160,175
Optical Data Systems Inc. .......................... 13,600 163,200
Orange & Rockland Utilities Inc. ................... 18,200 652,925
Orbital Sciences Corp. ............................. 40,400 696,900
Oregon Metallurgical Corp. ......................... 10,900 351,525
Oregon Steel Mills Inc. ............................ 29,700 497,475
Organogenesis Inc. ................................. 18,975 438,797
Orion Capital Corp. ................................ 19,068 1,165,531
Ortel Corp. ........................................ 8,900 213,600
Orthodontic Centres of America Inc. ................ 22,500 360,000
Orthologic Corp. ................................... 26,600 149,625
Oshkosh B Gosh Inc. , Class A....................... 16,100 245,525
Osmonics Inc. ...................................... 14,500 319,000
Ostex International Inc. ........................... 9,600 52,800
Otter Tail Power Co. ............................... 15,400 494,725
Outboard Marine Corp. .............................. 28,700 473,550
Overseas Shipholding Group Inc. .................... 38,900 661,300
Owen Healthcare Inc. ............................... 18,000 477,000
Owens & Minor Inc. Holding Co. ..................... 35,900 367,975
Oxford Resources Corp. ............................. 6,400 197,600
P Com Inc. ......................................... 23,400 693,225
P.H. Glatfelter Co. ................................ 36,600 658,800
Pacific Scientific Co. ............................. 16,500 185,625
Palm Harbor Homes Inc. ............................. 15,750 441,000
Palmer Wireless Inc. ............................... 11,900 124,950
Palomar Medical Technologies........................ 25,600 166,400
Papa John's International Inc. ..................... 17,475 589,781
Paragon Group Inc. ................................. 21,900 388,725
Paragon Trade Brands Inc. .......................... 14,200 426,000
Parexel International Corp. ........................ 11,900 614,337
Park Electrochemical Corp. ......................... 14,000 318,500
Park National Corp. ................................ 5,800 307,400
Park-Ohio Industries Inc. .......................... 8,600 110,725
Parker & Parsley Petroleum Co. ..................... 49,200 1,808,100
The accompanying notes are an integral part of the financial statements.
SAI-156
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Parker Drilling Co. ................................ 73,300 $ 705,512
PathoGenesis Corp. ................................. 16,300 354,525
Patriot American Hospitality Inc. .................. 28,700 1,237,687
Patterson Dental Co. ............................... 19,350 546,637
PAXAR Corp. ........................................ 32,015 552,259
Paxson Communications Corp. ........................ 2,600 20,475
Payless Cashways Inc. .............................. 44,700 89,400
Payment Services Inc. .............................. 40,500 708,750
PDT Inc. ........................................... 6,950 194,600
Peak Technologies Group Inc. ....................... 12,500 150,000
PEC Israel Economic Corp. .......................... 7,700 128,975
Pediatrix Medical Group............................. 12,400 457,250
Penn Engineering & Manufacturing Corp. ............. 11,500 238,625
Penn National Gaming Inc. .......................... 7,800 111,150
PennCorp Financial Group Inc. ...................... 31,700 1,141,200
Pennsylvania Enterprises Inc. ...................... 6,500 285,188
Pennsylvania REIT................................... 9,100 221,813
Pentair Inc. ....................................... 51,800 1,670,550
People's Bank....................................... 16,100 464,887
People's Choice TV Corp. ........................... 17,000 104,125
Peoples First Corp. ................................ 12,258 312,579
Peoples Heritage Financial Group Inc. .............. 34,251 959,028
Pepsi Cola Puerto Rico Bottling Co. ................ 16,200 64,800
Perceptron Inc. .................................... 9,000 308,250
Perclose Inc. ...................................... 11,900 240,975
Performance Food Group Co. ......................... 13,450 208,475
Periphonics Corp. .................................. 15,100 441,675
Perrigo Co. ........................................ 92,500 844,062
Personal Group of America Inc. ..................... 16,600 400,475
Petco Animal Supplies Inc. ......................... 19,700 408,775
Pete's Brewing Co. ................................. 8,000 64,000
Petroleum Heat & Power Co. , Inc. .................. 27,300 174,038
Petrolite Corp. .................................... 8,100 388,800
Pharmaceutical Product Development Inc. ............ 18,404 464,701
Pharmacopeia Inc. .................................. 14,400 279,000
PHH Corp. .......................................... 48,200 2,072,600
Philadelphia Suburban Corp. ........................ 23,050 458,119
Phillips-Van Heusen Corp. .......................... 34,100 490,187
Phoenix Duff & Phelps Corp. ........................ 59,300 422,512
Phoenix Technology Ltd.............................. 21,900 353,138
Photronics Inc. .................................... 12,350 336,538
PHP Healthcare Corp. ............................... 15,100 386,938
Phymatrix Corp. .................................... 10,600 151,050
Physician Corp. of America.......................... 52,600 526,000
Physicians Computer Network Inc. ................... 27,800 236,300
Physicians Health Services, Inc. ................... 9,100 134,225
Physicians Resource Group Inc. ..................... 30,500 541,375
Physio Control International Corp. ................. 21,800 490,500
Piedmont Natural Gas Co. , Inc. .................... 39,900 932,662
Pier 1 Imports Inc. ................................ 61,300 1,080,412
The accompanying notes are an integral part of the financial statements.
SAI-157
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Pilgrim's Pride Corp. .............................. 2,200 $ 18,975
Pinkerton's Inc. ................................... 5,900 148,238
Pinnacle Systems Inc. .............................. 10,200 107,100
Pioneer Financial Services Inc. .................... 10,300 257,500
Pioneer Group Inc. ................................. 28,700 681,625
Pioneer-Standard Electronics Inc. .................. 31,075 407,859
Piper Jaffray Cos., Inc. ........................... 15,000 234,375
Pittston Bulington Group............................ 25,000 500,000
Pittway Corp. ...................................... 20,200 1,080,700
Pixar............................................... 9,800 127,400
Plains Resources Inc. .............................. 22,100 345,313
Planar Systems Inc. ................................ 10,700 125,725
Plantronics Inc. ................................... 11,500 517,500
PLATINUM Technology Inc. ........................... 67,094 914,156
Playboy Enterprises Inc. ........................... 27,800 271,050
Players International Inc. ......................... 43,300 232,738
Playtex Family Products Corp. ...................... 36,700 293,600
Ply Gem Industries Inc. ............................ 12,600 155,925
Poe & Brown Inc. ................................... 7,400 196,100
Polaris Industries Inc. ............................ 37,600 893,000
Policy Management Systems Corp. .................... 21,800 1,005,525
Pool Energy Services Co. ........................... 23,600 362,850
Pope & Talbot Inc. ................................. 18,300 290,513
Possis Medical Inc. ................................ 16,400 342,350
Post Properties Inc. ............................... 28,900 1,163,225
Power Control Technologies Inc. .................... 31,300 234,750
Pre-Paid Legal Services Inc. ....................... 28,200 514,650
Precision Castparts Corp. .......................... 28,400 1,409,350
Precision Systems Inc. ............................. 18,900 94,500
Premark International Inc. ......................... 77,400 1,722,150
Premenos Technology Corp. .......................... 7,700 66,413
Premiere Radio Networks Inc. ....................... 3,000 37,875
Premiere Technologies Inc. ......................... 10,300 257,500
Presidential Life Corp. ............................ 36,900 445,106
PRI Automation Inc. ................................ 8,600 391,300
Price Enterprises Inc. ............................. 18,600 323,175
Price REIT Inc. .................................... 12,100 465,850
Pricellular Corp. .................................. 29,893 343,770
Pride Petroleum Services Inc. ...................... 41,200 957,900
Primadonna Resorts Inc. ............................ 10,700 181,900
Primark Corp. ...................................... 35,600 881,100
Prime Hospitality Corp. ............................ 42,500 685,312
Prime Medical Services Inc. ........................ 12,400 134,850
Prism Solutions Inc. ............................... 6,100 50,325
Production Operators Corp. ......................... 11,500 534,750
Proffitt's Inc. .................................... 24,200 892,375
Profit Recovery Group International Inc. .......... 6,400 102,400
Progress Software Corp. ............................ 16,300 326,000
Project Software & Development Inc. ................ 8,000 339,000
Pronet Inc. ........................................ 11,100 48,563
The accompanying notes are an integral part of the financial statements.
SAI-158
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Protein Design Inc. ................................ 16,100 $ 587,650
Protocol Systems Inc. .............................. 14,000 182,000
Provident Bancorp Inc. ............................. 25,050 851,700
Provident Bankshares Corp........................... 10,596 413,244
Proxim Inc. ........................................ 13,900 319,700
Psinet Inc. ........................................ 33,500 364,313
Public Service Co. of New Mexico.................... 51,600 1,012,650
Public Service Co. of North Carolina Inc. ......... 27,200 496,400
Public Storage Inc. ................................ 79,100 2,452,100
Puerto Rican Cement Inc. ........................... 6,200 193,750
Pulitzer Publishing Co. ............................ 7,882 365,528
Pulte Corp. ........................................ 24,800 762,600
Pure Atria Corp. ................................... 33,939 839,990
PXRE Corp. ......................................... 18,496 457,776
Quaker State Corp. ................................. 49,500 699,187
Quality Dining Inc. ................................ 9,700 173,388
Quality Food Centers Inc. .......................... 12,161 410,434
Quanex Corp. ....................................... 17,600 481,800
Quarterdeck Office Systems.......................... 38,900 160,463
Queens County Bancorp., Inc. ....................... 9,366 443,714
Quick & Reilly Group Inc. .......................... 15,625 466,797
Quickresponse Services Inc. ........................ 8,400 239,400
Quickturn Design Systems Inc. ...................... 19,200 393,600
Quiksilver Inc. .................................... 10,500 224,438
Quintel Entertainment Inc. ......................... 5,100 47,813
R.P. Scherer Corp. ................................. 31,500 1,582,875
RAC Financial Group Inc. ........................... 10,400 219,700
Radisys Corp. ...................................... 8,300 404,625
Railtex Inc. ....................................... 12,100 305,525
Rainbow Technologies Inc. .......................... 8,200 152,725
Rainforest Cafe Inc. ............................... 12,850 301,975
Ralcorp Holdings Inc. .............................. 43,800 925,275
Ramtron International Corp. ........................ 41,000 246,000
Raptor Systems Inc. ................................ 2,900 58,363
RARE Hospitality International Inc. ................ 10,000 188,750
Raymond James Financial Inc. ....................... 21,887 659,346
RCSB Financial Inc. ................................ 15,500 449,500
Realty Income Corp. ................................ 31,300 747,287
Reckson Associates Realty Corp. .................... 11,800 498,550
Recoton Corp. ...................................... 14,700 219,581
Red Brick Systems Inc. ............................. 17,600 404,800
Red Roof Inns Inc. ................................. 13,600 210,800
Redhook Ale Brewery Inc. ........................... 11,300 108,763
Redwood Trust Inc. ................................. 13,200 491,700
Regal Beloit Corp. ................................. 28,400 557,350
Regal Cinemas Inc. ................................. 35,562 1,093,531
Regency Health Services Inc. ....................... 22,500 216,563
Regency Realty Corp. ............................... 14,800 388,500
Regeneron Pharmaceuticals Inc. ..................... 28,900 466,012
Regis Corp. ........................................ 15,100 245,375
The accompanying notes are an integral part of the financial statements.
SAI-159
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Reinhold Industries Inc. ........................... 966 $ 3,140
Reinsurance Group of America Inc. .................. 23,500 1,107,437
Reliance Group Holdings Inc. ....................... 85,288 778,253
Reliance Steel & Aluminum Co. ...................... 10,300 360,500
Remedy Corp. ....................................... 15,200 817,000
Renaissance Communications Corp. ................... 15,550 555,912
Renaissance Solutions Inc. ......................... 2,900 129,775
Renal Treatment Centers Inc. ....................... 40,500 1,032,750
Reno Air Inc. ...................................... 3,600 26,325
Renters Choice Inc. ................................ 18,200 263,900
Republic Bancorp Inc. .............................. 19,097 222,003
Republic Industries Inc. ........................... 16,650 519,272
Research Medical Corp. ............................. 15,000 345,000
ReSound Corp. ...................................... 20,000 142,500
Resource Bancshares Mortgage Group Inc. ............ 17,452 248,691
Resource Mortgage Capital Inc. ..................... 27,800 816,625
Res-Care Inc. ...................................... 9,000 157,500
Respironics Inc. ................................... 24,300 422,212
Rexall Sundown Inc. ................................ 13,800 375,188
Rexel Inc. ......................................... 19,000 301,625
Rexene Corp. ....................................... 25,500 347,438
RFS Hotel Investors Inc. ........................... 33,700 665,575
Riggs National Corp. ............................... 27,550 475,237
Rightchoice Managed Care Inc. ...................... 3,700 39,313
Rio Hotel & Casino Inc. ............................ 21,500 314,438
Riscorp Inc. ....................................... 48,300 175,088
Riser Foods Inc. ................................... 12,000 381,000
Risk Capital Holding Inc. .......................... 22,000 426,250
Rite Aid Corp. ..................................... 49,205 1,955,899
Rival Co. .......................................... 14,200 353,225
Riviana Foods Inc. ................................. 10,000 172,500
RLI Corp. .......................................... 7,599 253,617
RMI Titanium Co. ................................... 15,600 438,750
Roadway Express Inc. ............................... 17,900 346,813
Robbins & Myers Inc. ............................... 10,200 255,000
Robert Mondavi Corp. ............................... 10,400 379,600
Roberts Pharmaceutical Corp. ....................... 17,100 192,375
Robotic Vision Systems Inc. ........................ 20,300 241,063
ROC Communities Inc. ............................... 16,800 466,200
Rochester Gas & Electric Corp. ..................... 52,900 1,011,712
Rock-Tenn Co. ...................................... 45,090 890,527
Rogers Corp. ....................................... 10,700 290,238
Rohr Inc. .......................................... 28,300 640,287
Rollins Environmental Services Inc. ................ 81,900 143,325
Rollins Inc. ....................................... 29,000 580,000
Rollins Truck Leasing Corp. ........................ 51,075 644,822
Romac International Inc. ........................... 8,200 180,400
Roosevelt Financial Group Inc. ..................... 47,749 1,002,729
Roper Industries Inc. .............................. 18,400 719,900
Roses Stores Inc.--WTS.............................. 2,148 67
The accompanying notes are an integral part of the financial statements.
SAI-160
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Ross Stores Inc. ................................... 34,900 $1,745,000
Ross Technology Inc. ............................... 28,900 101,150
RoTech Medical Corp. ............................... 36,100 758,100
Rouge Steel Co. .................................... 11,400 240,825
Royal Gold Inc. .................................... 13,800 184,575
RPC Energy Services Inc. ........................... 9,000 135,000
RTW Inc. ........................................... 15,400 282,975
Ruby Tuesday Inc. .................................. 18,950 350,575
Ruddick Corp. ...................................... 35,000 490,000
Rural/Metro Corp. .................................. 13,200 475,200
Russ Berrie & Co. Inc. ............................. 12,200 219,600
Ryan's Family Steak Houses Inc. .................... 71,600 492,250
Ryland Group Inc. .................................. 20,700 284,625
S & T Bancorp Inc. ................................. 14,400 442,800
S. E. Rykoff & Co. ................................. 36,343 576,945
S3 Inc. ............................................ 69,300 1,126,125
Safeskin Corp. ..................................... 10,800 526,500
Safety-Kleen Corp. ................................. 80,100 1,311,637
Saga Communications................................. 11,000 214,500
Samsonite Corp. .................................... 15,200 583,300
Sanderson Farms Inc. ............................... 10,300 172,525
Sandisk Corp. ...................................... 24,000 234,000
Sangstat Medical Corp. ............................. 17,300 458,450
Sanmina Corp. ...................................... 24,500 1,384,250
Santa Cruz Operation Inc. .......................... 26,500 185,500
Sapient Corp. ...................................... 2,000 84,250
Saul Centers Inc. .................................. 12,400 196,850
Savannah Foods & Industries Inc. ................... 30,500 411,750
Sbarro Inc. ........................................ 17,000 433,500
Schnitzer Steel Industries Inc. .................... 5,900 151,188
Scholastic Corp. ................................... 16,900 1,136,525
Schweitzer-Mauduit International, Inc. ............. 21,900 692,587
Sciclone Pharmaceuticals Inc. ...................... 18,700 149,600
Scientific Games Holdings Corp. .................... 17,800 476,150
Scios Nova Inc. .................................... 48,856 300,006
Scopus Technology................................... 11,800 548,700
Scotsman Industries Inc. ........................... 12,600 297,675
Scotts Co. ......................................... 26,200 520,725
SDL Inc. ........................................... 11,750 308,438
Seaboard Corp. ..................................... 520 138,320
Seacor Holdings Inc. ............................... 14,300 900,900
Seafield Capital Corp. ............................. 6,400 248,000
Seagull Energy Corp. ............................... 82,972 1,825,384
Seattle Filmworks Inc. ............................. 10,700 218,013
Secure Computing Corp. ............................. 20,100 183,413
Security Capital Corp. ............................. 12,800 944,000
Security Corp. ..................................... 11,800 414,475
Segue Software Inc. ................................ 2,800 51,100
SEI Investments Corp. .............................. 17,400 387,150
Seitel Inc. ........................................ 14,700 588,000
The accompanying notes are an integral part of the financial statements.
SAI-161
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Selective Insurance Group, Inc. .................... 19,500 $ 741,000
Semitool Inc. ...................................... 11,250 106,875
Sepracor Inc. ...................................... 36,800 611,800
Sequa Corp. ........................................ 11,000 431,750
Sequent Computer Systems Inc. ...................... 41,300 733,075
Sequus Pharmaceuticals Inc. ........................ 38,700 619,200
Serologicals Corp. ................................. 10,900 385,588
Service Merchandise Co. , Inc. ..................... 135,800 577,150
SFX Broadcasting Inc. .............................. 9,500 282,625
Sheldahl Co. ....................................... 13,700 256,875
Shiloh Industries Inc. ............................. 7,000 113,750
Shoneys Inc. ....................................... 51,300 359,100
ShopKo Stores Inc. ................................. 25,200 378,000
Shorewood Packaging Corp. .......................... 19,200 374,400
Showbiz Pizza Time, Inc. ........................... 23,100 418,687
Showboat Inc. ...................................... 22,300 384,675
Shuffle Master Inc. ................................ 15,400 136,675
Shurgard Storage Centres Inc. ...................... 31,700 939,112
Sierra Health Services Inc. ........................ 20,000 492,500
Sierra Pacific Resources............................ 42,600 1,224,750
Sierra Semi-Conductor Corp. ........................ 41,000 615,000
SIG Corp. , Inc. ................................... 21,400 740,975
Silicon Storage Technology Inc. .................... 28,800 140,400
Silicon Valley Bancshares........................... 12,200 393,450
Silicon Valley Group Inc. .......................... 42,200 849,275
Siliconix Inc. ..................................... 14,500 340,750
Simpson Industries Inc. ............................ 25,375 276,350
Simpson Manufacturing Inc. ......................... 5,300 121,900
Simula Inc. ........................................ 9,100 122,850
Sirrom Capital Corp. ............................... 9,600 352,800
Sitel Corp. ........................................ 29,200 412,450
Skyline Corp. ...................................... 13,600 336,600
Skywest Inc. ....................................... 9,800 135,975
Smart & Final Inc. ................................. 13,900 300,588
Smart Modular Technologies Inc. .................... 18,700 469,837
Smith Micro Software Inc. .......................... 100 488
Smithfield Foods Inc. .............................. 22,500 855,000
Smiths Food & Drug Centers Inc. .................... 16,837 521,947
Snyder Oil Corp. ................................... 36,300 630,712
Sodak Gaming Inc. .................................. 14,300 219,863
Sofamor/Danek Group Inc. ........................... 31,000 945,500
Software 2000 Inc. ................................. 7,300 61,138
Sola International Inc. ............................ 34,500 1,311,000
Solv Ex Corp. ...................................... 19,000 266,000
Somatix Therapy Corp. .............................. 21,000 69,563
Somatogen Inc. ..................................... 26,700 293,700
Sonic Corp. ........................................ 18,950 483,225
Sotheby's Holdings Inc. ............................ 59,900 1,115,637
South Jersey Industries Inc. ....................... 12,020 292,988
South West Property Trust Inc. ..................... 29,100 491,062
The accompanying notes are an integral part of the financial statements.
SAI-162
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Southdown Inc. ..................................... 23,500 $ 731,437
Southeastern Michigan Gas........................... 17,720 327,820
Southern California Water Co. ...................... 12,000 261,000
Southern Energy Homes Inc. ......................... 12,550 144,325
Southern Union Co. ................................. 11,388 250,536
Southwest Gas Corp. ................................ 33,800 650,650
Southwestern Energy Co. ............................ 33,800 511,225
Sovereign Bancorp Inc. ............................. 62,764 823,777
Sovran Self Storage Inc. ........................... 10,100 315,625
Spacelabs Medical Inc. ............................. 14,000 287,000
Spartech Corp. ..................................... 22,900 254,763
Specialty Equipment Cos., Inc. ..................... 16,600 207,500
Spectrum Holobyte Inc. ............................. 39,200 294,000
Speedfam International Inc. ........................ 6,400 182,400
Spelling Entertainment Group Inc. .................. 15,900 117,263
Spieker Properties Inc. ............................ 42,600 1,533,600
Spine Tech Inc. .................................... 14,100 352,500
Spinnaker Industries Inc. , Class A................. 1,600 92,800
Spinnaker Industries Inc. .......................... 300 11,100
Sports & Recreation Inc. ........................... 27,100 210,025
Sports Authority Inc. .............................. 43,950 955,912
Springs Industries Inc. ............................ 19,300 829,900
SPS Technologies Inc. .............................. 8,200 526,850
SPS Transaction Services Inc. ...................... 9,700 147,925
SPSS Inc. .......................................... 8,900 248,088
SPX Corp. .......................................... 15,500 600,625
Spyglass Inc. ...................................... 17,000 212,500
SQA Inc. ........................................... 2,900 96,425
St John Knits Inc. ................................. 20,300 883,050
St Paul Bancorp Inc. ............................... 24,815 728,941
Staar Surgical Co. ................................. 17,300 229,225
Stac Electronics.................................... 33,600 222,600
Standard Financial Inc. ............................ 24,400 478,850
Standard Microsystems Corp. ........................ 20,400 193,800
Standard Motor Products Inc. ....................... 9,900 137,363
Standard Pacific Corp. ............................. 44,800 257,600
Standard Products Co. .............................. 19,975 509,362
Standard Register Co. .............................. 18,400 598,000
Standex International Corp. ........................ 16,200 500,175
Stanford Telecommunications Inc. ................... 6,300 217,350
Stanhome Inc. ...................................... 24,800 657,200
Stant Corp. ........................................ 22,900 360,675
Starsight Telecast Inc. ............................ 35,200 330,000
Starter Corp. ...................................... 15,500 89,125
State Auto Financial Corp. ......................... 8,250 148,500
State Of The Art Inc. .............................. 14,300 176,963
Station Casinos Inc. ............................... 27,400 277,425
Steck Vaughn Publishing Corp. ...................... 3,400 37,400
Steel Technologies Inc. ............................ 10,200 135,150
Stein Mart Inc. .................................... 11,500 232,875
The accompanying notes are an integral part of the financial statements.
SAI-163
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Stepan Co. ......................................... 12,198 $ 248,534
Stewart & Stevenson Services Inc. .................. 42,800 1,246,550
Stillwater Mining Co. .............................. 21,100 382,438
Stone & Webster Inc. ............................... 9,000 283,500
Stone Energy Corp. ................................. 11,900 355,513
Storage Computer Corp. ............................. 3,100 40,688
Storage Trust Realty................................ 16,500 445,500
Storage USA Inc. ................................... 29,000 1,091,125
Stormedia Inc. ..................................... 25,900 417,637
Strategic Distribution Inc. ........................ 11,200 88,200
Stratosphere Corp. ................................. 9,900 8,353
Stratus Computer Inc. .............................. 34,100 929,225
Strawbridge & Clothier.............................. 10,112 160,528
Stride Rite Corp. .................................. 65,200 652,000
Structural Dynamics Research Corp. ................. 48,200 964,000
Student Loan Corp. ................................. 6,100 227,225
Studio Plus Hotels Inc. ............................ 14,300 225,225
Sturm Ruger & Co. , Inc. ........................... 25,200 488,250
Submicron Systems Corp. ............................ 21,900 90,338
Sumitomo Bank of California......................... 5,100 127,500
Summit Care Corp. .................................. 5,400 88,425
Summit Medical Systems Inc. ........................ 10,600 80,825
Summit Properties Inc. ............................. 25,000 553,125
Summit Technology Inc. ............................. 44,300 243,650
Sun Communities Inc. ............................... 19,300 665,850
Sun Healthcare Group Inc. .......................... 55,720 752,220
Sunrise Medical Inc. ............................... 24,500 388,937
Sunriver Corp. ..................................... 22,000 35,750
Sunshine Mining Co. ................................ 280,500 262,969
Superior Industries International Inc. ............. 29,800 689,125
Superior Services Inc. ............................. 3,500 71,313
Supertex Inc. ...................................... 9,500 124,688
Susquehanna Bancshares Inc. ........................ 18,150 628,444
Swift Energy Co. ................................... 19,600 585,550
Swift Transportation Co. , Inc. .................... 17,100 401,850
Sylvan Learning Systems Inc. ....................... 24,350 693,975
Symantec Corp. ..................................... 76,000 1,102,000
Symmetricom Inc. ................................... 20,600 409,425
Sync Research Inc. ................................. 22,200 305,250
Synetic Inc. ....................................... 24,000 1,164,000
Syratech Corp. ..................................... 4,900 154,350
System Software Associates Inc. .................... 38,700 411,187
Systemix Inc. ...................................... 3,800 57,950
Systems & Computer Technology Corp. ................ 19,100 305,600
Systemsoft Corp. ................................... 23,500 349,563
Target Therapeutics Inc. ........................... 14,600 613,200
Taubman Centers Inc. ............................... 41,000 527,875
TBC Corp. .......................................... 28,962 217,215
TCA Cable TV Inc. .................................. 22,100 665,762
TCSI Corp. ......................................... 16,600 103,750
The accompanying notes are an integral part of the financial statements.
SAI-164
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Tech Data Corp. .................................... 47,800 $1,308,525
Tech Sym Corp. ..................................... 8,700 258,825
Techne Corp. ....................................... 12,900 335,400
Technitrol Inc. .................................... 8,900 341,538
Technology Solutions Co. ........................... 23,450 973,175
Tecnol Medical Products Inc. ....................... 18,600 281,325
Tejas Gas Corp. .................................... 19,085 908,923
Tejon Ranch Co. .................................... 13,700 196,938
Tekelec Inc. ....................................... 9,300 146,475
Tel-Save Holdings Inc. ............................. 11,400 330,600
Telco Systems Inc. ................................. 16,000 304,000
Teleflex Inc. ...................................... 24,900 1,297,912
Teltrend Inc. ...................................... 8,300 230,325
Telxon Corp. ....................................... 21,900 268,275
Tencor Instruments.................................. 43,700 1,152,587
Tennant Co. ........................................ 11,800 324,500
Tesoro Petroleum Corp. ............................. 37,000 518,000
Tetra Tech. Inc. ................................... 16,575 327,356
Tetra Technologies, Inc. ........................... 17,400 439,350
Texas Industries Inc. .............................. 15,678 793,699
The Buckle Inc. .................................... 2,200 55,000
The Colonial Gas Co. ............................... 11,550 245,438
The Gymboree Corp. ................................. 33,300 761,737
The Men's Wearhouse Inc. ........................... 16,050 393,225
The Town & Country Trust............................ 21,300 311,513
The Trust Co. of New Jersey......................... 26,900 376,600
Theragenics Corp. .................................. 14,000 316,750
Theratech Inc. ..................................... 20,450 270,963
Theratx Inc. ....................................... 21,700 222,425
Thermo Ecotek Corp. ................................ 6,200 94,550
Thermo Power Corp. ................................. 5,000 39,688
Thermo Remediation Inc. ............................ 3,200 28,000
Thermo Terratech, Inc. ............................. 4,300 42,463
Thermospectra Corp. ................................ 6,000 73,500
Thermotrex Corp. ................................... 12,700 347,663
Thiokol Corp. ...................................... 24,900 1,114,275
Thomas & Betts Corp. ............................... 16,716 741,772
Thomas Industries Inc. ............................. 15,900 331,913
Thomas Nelson Inc. ................................. 15,749 234,266
Thor Industries Inc. ............................... 6,900 174,225
Thoratec Labs Corp. ................................ 6,400 60,800
Thornburg Mortgage Asset Corp. ..................... 20,400 436,050
Timberland Co. ..................................... 11,200 425,600
Titan Wheel International Inc. ..................... 20,800 265,200
TJ International Inc. .............................. 21,300 495,225
TNP Enterprises Inc. ............................... 15,200 416,100
Toll Brothers Inc. ................................. 31,400 612,300
Tom Brown, Inc. .................................... 26,000 542,750
Tootsie Roll Industries Inc. ....................... 24,071 953,813
Top Source Technologies Inc. ....................... 32,500 81,250
The accompanying notes are an integral part of the financial statements.
SAI-165
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Topps Co. , Inc. ................................... 61,300 $ 245,200
Toro Co. ........................................... 16,600 605,900
Toronto Dominion Bank............................... 4,779 121,865
Tosco Corp. ........................................ 1 79
Total Renal Care Holdings Inc. ..................... 700 25,375
Tower Automotive Inc. .............................. 8,600 268,750
Toy Biz Inc. ....................................... 24,400 475,800
TR Financial Corp. ................................. 11,800 418,900
Tracor Inc. ........................................ 30,400 646,000
Tractor Supply Co. ................................. 4,600 94,875
Trans Financial Inc. ............................... 15,500 356,500
Trans World Airlines Inc. .......................... 24,900 169,631
Transaction Network Services Inc. .................. 11,600 133,400
Transaction Systems Architects Inc. ................ 36,600 1,216,950
Transcend Services Inc. ............................ 30,200 158,550
Transitional Hospitals Corp. ....................... 61,600 592,900
Transtexas Gas Corp. ............................... 12,200 176,900
Transwitch Corp. ................................... 11,600 60,900
Tredegar Industries Inc. ........................... 11,150 447,394
Tremont Corp. ...................................... 6,500 234,813
Trenwick Group Inc. ................................ 7,600 351,500
Trescom International Inc. ......................... 17,900 143,200
Triangle Pacific Corp. ............................. 19,300 464,406
Triarc Cos., Inc. .................................. 29,620 340,630
Trident Microsystems Inc. .......................... 16,300 275,063
Trigen Energy Corp. ................................ 4,300 123,625
Trimas Corp. ....................................... 21,700 518,087
Trimble Navigation Ltd.............................. 25,300 290,950
TriNet Corporate Realty Trust Inc. ................. 16,900 599,950
Trinova Corp. ...................................... 35,900 1,305,862
Triquint Semiconductor Inc. ........................ 11,600 305,950
True North Communications, Inc...................... 24,400 533,750
Trump Hotels & Casino Resorts....................... 33,400 400,800
Trustco Bank Corp. ................................. 28,159 601,899
Trustmark Corp. .................................... 36,300 925,650
Tseng Laboratories Inc. ............................ 18,900 59,063
TSX Corp. .......................................... 15,150 134,456
Tuboscope Vetco International Corp. ................ 58,700 909,850
Turbochef Inc. ..................................... 4,100 90,713
Tuscon Electric Power Co. .......................... 44,520 740,145
Tyco Toys Inc. ..................................... 45,200 531,100
UGI Corp. .......................................... 45,000 1,006,875
UICI................................................ 46,400 1,508,000
Ultramar Diamond Shamrock........................... 32,129 1,016,080
Ultratech Stepper Inc. ............................. 23,100 548,625
UMB Financial Corp. ................................ 22,640 916,924
Unifirst Corp. ..................................... 26,700 567,375
Union Acceptance Corp. ............................. 7,700 136,675
Uniphase Corp. ..................................... 22,700 1,191,750
Unison Software Inc. ............................... 3,100 82,925
The accompanying notes are an integral part of the financial statements.
SAI-166
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
United Bankshares Inc. ............................. 21,100 $ 696,300
United Carolina Bancshares Corp. ................... 33,500 1,323,250
United Cities Gas Co. .............................. 18,500 416,250
United Companies Financial Corp. ................... 36,296 966,381
United Dental Care Inc. ............................ 7,600 230,850
United Dominion Realty Trust Inc. .................. 77,300 1,198,150
United Fire & Casualty Co. ......................... 13,575 478,519
United Illuminating Co. ............................ 19,400 608,675
United International Holdings Inc. ................. 53,300 652,925
United Meridian Corp. .............................. 40,700 2,106,225
United Stationers Inc. ............................. 19,600 382,200
United Television Inc. ............................. 5,700 490,912
United Video Satellite Group Inc. .................. 13,800 241,500
United Waste Systems Inc. .......................... 54,000 1,856,250
United Water Resources Inc. ........................ 34,600 536,300
United Wisconsin Services Inc. ..................... 9,400 246,750
Unitog Co. ......................................... 12,550 341,988
Unitrode Corp. ..................................... 14,500 425,937
Universal Corp. .................................... 47,900 1,538,787
Universal First Products Inc. ...................... 18,000 238,500
Universal Foods Corp. .............................. 35,200 1,240,800
Universal Health Realty Income Trust................ 10,100 207,050
Universal Health Services Inc. ..................... 45,300 1,296,712
UNR Industries Inc. ................................ 30,300 181,800
Urban Outfitters Inc. .............................. 15,200 197,600
Urban Shopping Centers Inc. ........................ 17,300 501,700
Urohealth Systems Inc. ............................. 16,000 128,000
Uromed Corp. ....................................... 27,700 270,075
US Bancorp Inc. .................................... 7,900 334,763
US Bioscience Inc. ................................. 28,800 363,600
US Can Co. ......................................... 15,700 264,938
US Data Corp. ...................................... 6,600 37,125
US Filter Corp. .................................... 52,850 1,677,987
US Freightways Corp. ............................... 31,700 869,769
US Home Corp. ...................................... 16,300 423,800
US Long Distance Corp. ............................. 20,500 164,000
US Office Products Co. ............................. 47,200 1,610,700
US Trust Corp. ..................................... 12,900 1,019,100
USA Detergents Inc. ................................ 8,600 357,975
UST Corp. .......................................... 23,200 478,500
Valassis Communications Inc. ....................... 29,500 623,187
Valhi Inc. ......................................... 13,400 85,425
Vallicorp Holdings Inc. ............................ 18,200 370,825
Valmont Industries Inc. ............................ 11,600 478,500
Valspar Corp. ...................................... 21,000 1,189,125
Value City Department Stores Inc. .................. 11,300 118,650
Value Line Inc. .................................... 2,800 123,900
Valuevision International Inc. ..................... 32,900 176,838
Valujet Inc. ....................................... 49,600 319,300
Vanguard Cellular Systems Inc. ..................... 38,200 601,650
The accompanying notes are an integral part of the financial statements.
SAI-167
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Vans Inc. .......................................... 13,300 $ 166,250
Vanstar Corp. ...................................... 21,300 521,850
Vantive Corp. ...................................... 12,900 403,125
Varco International Inc. ........................... 25,000 578,125
Ventritex Inc. ..................................... 24,700 608,237
Veritas DGC Inc. ................................... 12,400 229,400
Veritas Software Co. ............................... 14,500 721,375
Verity Inc. ........................................ 10,900 167,588
Vertex Pharmaceuticals Inc. ........................ 26,700 1,074,675
Vesta Insurance Group Inc. ......................... 26,150 820,456
Veterinary Centers America Inc. .................... 19,700 216,700
Viasoft Inc. ....................................... 24,400 1,152,900
Vical Inc. ......................................... 21,900 361,350
Vicor Corp. ........................................ 41,700 695,869
Videolan Technologies Inc. ......................... 11,900 18,594
Videoserver Inc. ................................... 18,300 777,750
Viewlogic Systems Inc. ............................. 22,900 260,488
Vintage Petroleum Inc. ............................. 14,900 514,050
Visio Corp. ........................................ 10,500 519,750
Visioneer Communications Inc. ...................... 5,400 24,300
VISX Inc. .......................................... 15,700 347,363
Vital Signs Inc. ................................... 6,900 179,400
Vitalink Pharmacy Services Inc. .................... 2,200 50,600
Vitesse Semiconductor Corp. ........................ 25,200 1,146,600
Vivus Inc. ......................................... 24,600 891,750
VLSI Technology Inc. ............................... 63,700 1,520,837
Volt Information Sciences Inc. ..................... 7,000 306,250
Vornado Realty Trust................................ 33,400 1,753,500
VWR Corp. .......................................... 25,900 433,825
W. H. Brady Co. .................................... 28,600 704,275
W.R. Berkley Corp. ................................. 19,400 984,550
Waban Inc. ......................................... 43,100 1,120,600
Wabash National Corp. .............................. 25,200 463,050
Wackenhut Corp. .................................... 14,900 257,025
Wackenhut Corrections Corp. ........................ 9,100 182,000
Walbro Corp. ....................................... 11,800 215,350
Walden Residential Properties Inc. ................. 14,500 360,688
Wall Data Inc. ..................................... 9,100 137,638
Walter Industries Inc. ............................. 57,100 806,537
Wang Laboratories Inc. ............................. 49,300 998,325
Washington Energy Co. .............................. 34,600 713,625
Washington Federal Inc. ............................ 57,800 1,531,700
Washington Gas Light Co. ........................... 58,400 1,321,300
Washington National Corp. .......................... 15,500 426,250
Washington Real Estate Investment Trust............. 41,650 728,875
Waters Corp. ....................................... 35,500 1,078,312
Watkins Johnson Co. ................................ 12,400 303,800
Watsco Inc. ........................................ 17,300 499,537
Watts Industries Inc. .............................. 25,300 604,037
Wausau Paper Mills Co. ............................. 38,625 714,562
The accompanying notes are an integral part of the financial statements.
SAI-168
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Waverly Inc. ....................................... 4,100 $ 97,375
WD40 Co. ........................................... 8,800 448,937
Webb (Del) Corp. ................................... 23,100 378,263
Weeks Corp. ........................................ 15,300 508,725
Weingarten Realty Investors......................... 32,400 1,316,250
Wellman Inc. ....................................... 37,500 642,187
Wellsford Residential Property Trust................ 22,124 536,507
Werner Enterprises Inc. ............................ 29,050 526,531
Wesbanco Inc. ...................................... 11,600 377,000
West Co. , Inc. .................................... 18,100 511,325
West Marine Inc. ................................... 11,500 324,875
Westamerica Bancorporation.......................... 13,300 768,075
Westcorp............................................ 12,795 279,891
Westell Technologies................................ 1,100 25,163
Western Gas Resources Inc. ......................... 19,600 377,300
Western Investment Real Estate Trust................ 25,400 330,200
Western Pacific Airlines Inc. ...................... 7,500 52,500
Western Water Co. .................................. 9,200 133,400
Westinghouse Air Brake Co. ......................... 24,600 310,575
Westpoint Stevens Inc. ............................. 23,100 690,112
Westwood One Inc. .................................. 43,600 724,850
Wet Seal Inc. ...................................... 7,700 164,588
WFS Financial Inc. ................................. 6,200 123,225
White River Corp. .................................. 5,900 321,550
Whitney Holding Corp. .............................. 22,500 795,937
Whittaker Corp. .................................... 15,100 190,638
Whole Foods Market Inc. ............................ 26,000 585,000
WHX Corp. .......................................... 31,700 281,338
Wicor Inc. ......................................... 24,900 893,287
Williams Sonoma Inc. ............................... 25,937 943,458
Wilmar Industries Inc. ............................. 12,600 349,650
Wind River Systems Inc. ............................ 13,800 653,775
Windmere Corp. ..................................... 24,200 311,575
Winnebago Industries Inc. .......................... 24,000 174,000
Winstar Communications Inc. ........................ 36,400 764,400
Winthrop Resources Corp. ........................... 4,000 115,000
Wireless One Inc. .................................. 17,800 117,925
Wireless Telecom Group Inc. ........................ 22,300 231,363
WLR Foods Inc. ..................................... 19,600 242,550
WMS Industries Inc. ................................ 24,900 498,000
Wolverine Tube Inc. ................................ 18,600 655,650
Wolverine World Wide Inc. .......................... 39,375 1,141,875
Wonderware Corp. ................................... 21,900 194,705
Workgroup Technology Corp. ......................... 3,500 23,188
World Acceptance Corp. ............................. 31,400 215,875
World Airways Inc. ................................. 2,600 21,125
World Color Press Inc. ............................. 46,500 895,125
WPL Holdings Inc. .................................. 41,900 1,178,437
WPS Resources Corp. ................................ 31,700 903,450
Wyle Laboratories................................... 17,800 703,100
The accompanying notes are an integral part of the financial statements.
SAI-169
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - --------------------------------------------------- ------------ --------------
Wyman-Gordon Co. ................................... 27,300 $ 607,425
Wynn's International Inc. .......................... 13,100 414,287
X-Rite Inc. ........................................ 17,900 295,350
Xicor Inc. ......................................... 25,200 258,300
Xircom Inc. ........................................ 21,900 476,325
Xoma Corp. ......................................... 38,800 198,850
Xpedite Systems Inc. ............................... 3,700 78,625
Xtra Corp. ......................................... 22,100 958,587
Yahoo Inc. ......................................... 3,900 66,300
Yankee Energy Systems Inc. ......................... 14,250 304,594
Yellow Corp. ....................................... 29,000 416,875
Young Broadcasting Inc. ............................ 12,200 356,850
Youth Services Inc. ................................ 9,100 138,775
Zale Corp. ......................................... 45,100 862,537
Zebra Technologies Corp. ........................... 26,800 626,450
Zeigler Coal Holding Co. ........................... 20,300 433,912
Zenith Electronics Corp. ........................... 38,300 416,512
Zenith National Insurance Corp. .................... 13,600 372,300
Zero Corp. ......................................... 12,650 253,000
Zila Inc. .......................................... 34,300 227,238
Zilog Inc. ......................................... 26,550 693,619
Zoltek Cos., Inc. .................................. 10,200 371,025
Zoran Corp. ........................................ 5,100 91,800
Zurich Reinsurance Centre Holdings Inc. ............ 15,100 471,875
Zurn Industries Inc. ............................... 16,700 436,287
Zygo Corp. ......................................... 6,100 317,200
Zytec Corp. ........................................ 9,400 99,875
--------------
Total Common Stock
(Cost $909,384,887)............................... 946,642,192
--------------
PRINCIPAL
AMOUNT
U.S. GOVERNMENT OBLIGATIONS -0.1%
US Treasury Bills 4.85% 06-Mar-97 (a)............... $ 200,000 198,275
US Treasury Bills 4.90% 06-Mar-97 (a)............... 1,000,000 991,289
--------------
TOTAL U.S. GOVERNMENT OBLIGATIONS................... 1,189,564
--------------
STATE STREET BANK AND TRUST COMPANY INVESTMENT
FUNDS
FOR TAX EXEMPT RETIREMENT PLANS -3.8% UNITS
SHORT TERM INVESTMENT FUND.......................... 36,986,566 36,986,566
- - --------------------------------------------------- ------------ --------------
TOTAL INVESTMENTS--100%
(Cost $947,561,017)............................... $984,818,322
=================================================== ============ ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-170
<PAGE>
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
The following long futures contracts were open at December 31, 1996:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS AMOUNT DATE GAIN (LOSS)
- - -------------- ----------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
Russell 2000 .. 216 $39,287,025 March, 1997 $(112,775)
============
</TABLE>
(a) At December 31, 1996, U.S. Treasury Bills were pledged to cover margin
requirements for open futures contracts.
(b) Issuer filed for bankruptcy.
The accompanying notes are an integral part of the financial statements.
SAI-171
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of the
State Street Bank and Trust Company
Daily EAFE Fund
and the State Street Bank and Trust Company
Daily EAFE Fund Non-Lending
In our opinion, the accompanying combined statement of assets and
liabilities, including the combined schedule of investments, and the related
combined statements of operations and of changes in net assets and the
selected per unit data present fairly, in all material respects, the
financial position of the State Street Bank and Trust Company Daily EAFE Fund
and the State Street Bank and Trust Company Daily EAFE Fund Non-Lending at
December 31, 1996, the results of their operations for the year then ended,
and the changes in their net assets and their selected per unit data for the
periods indicated, in conformity with generally accepted accounting
principles. These financial statements and selected per unit data (hereafter
referred to as "financial statements") are the responsibility of the Trustee;
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 the Trustee, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1996 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable
basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1997
SAI-172
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments in securities, at value (cost $378,664,783).......................................... $414,208,889
Foreign currency................................................................................. 42,644,083
Foreign currency, segregated..................................................................... 2,206,904
Investment in State Street Bank and Trust Company Quality A Short-Term Investment Fund, at value 13,498,662
Receivable for investments sold.................................................................. 3,013,911
Dividends, interest and other receivables........................................................ 846,876
- - ------------------------------------------------------------------------------------------------ --------------
Total assets.................................................................................. 476,419,325
- - ------------------------------------------------------------------------------------------------ --------------
LIABILITIES
Collateral on securities loaned.................................................................. 13,498,662
Payable to custodian............................................................................. 121,000
Payable for investments purchased................................................................ 43,443,494
Payable for open forward foreign currency contracts.............................................. 559,248
Payable for fund units redeemed.................................................................. 26,946
Variation margin payable......................................................................... 1,388,941
Accrued expenses................................................................................. 128,532
- - ------------------------------------------------------------------------------------------------ --------------
Total liabilities............................................................................. 59,166,823
- - ------------------------------------------------------------------------------------------------ --------------
NET ASSETS....................................................................................... $417,252,502
================================================================================================ ==============
Daily EAFE Fund
(7,869,113 units outstanding, at $12.59 per unit net asset value)............................... $ 99,048,088
Daily EAFE Fund Non-Lending
(25,280,513 units outstanding, at $12.59 per unit net asset value).............................. 318,204,414
- - ------------------------------------------------------------------------------------------------ --------------
$417,252,502
================================================================================================ ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-173
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Statement of Operations
Year ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $611,280) .................................................... $ 5,548,208
Interest.......................................................................................... 3,004,419
Securities lending fee income (net of related expenses), allocated to Daily EAFE Fund ............ 62,368
- - -------------------------------------------------------------------------------------------------- -------------
Total investment income ........................................................................ 8,614,995
- - -------------------------------------------------------------------------------------------------- -------------
EXPENSES.......................................................................................... 638,468
- - -------------------------------------------------------------------------------------------------- -------------
Net investment income .......................................................................... 7,976,527
- - -------------------------------------------------------------------------------------------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss):
Investments...................................................................................... 400,125
Futures contracts................................................................................ 2,289,457
Foreign currency and related forward contracts................................................... (3,617,520)
- - -------------------------------------------------------------------------------------------------- -------------
Net realized gain (loss) on investments, futures contracts and foreign currency ................ (927,938)
- - -------------------------------------------------------------------------------------------------- -------------
Net change in unrealized appreciation (depreciation):
Investments...................................................................................... 14,160,238
Futures contracts................................................................................ (1,410,996)
Foreign currency and related forward contracts................................................... (615,122)
- - -------------------------------------------------------------------------------------------------- -------------
Net change in unrealized appreciation (depreciation) on investments, futures contracts and
foreign currency............................................................................... 12,134,120
- - -------------------------------------------------------------------------------------------------- -------------
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency . 11,206,182
- - -------------------------------------------------------------------------------------------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................................. $19,182,709
================================================================================================== =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-174
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------
1996 1995
- - ------------------------------------------------------------------------------- -------------- --------------
<S> <C> <C>
FROM OPERATIONS
Net investment income......................................................... $ 7,976,527 $ 4,448,240
Net realized gain (loss) on investments, futures contracts and foreign
currency...................................................................... (927,938) 3,275,177
Net change in unrealized appreciation (depreciation) on investments, futures
contracts and foreign currency............................................... 12,134,120 11,650,516
- - ------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations................ 19,182,709 19,373,933
- - ------------------------------------------------------------------------------- -------------- --------------
Distributions of securities lending fee income to Daily EAFE Fund participants. (62,368) (58,096)
- - ------------------------------------------------------------------------------- -------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions.. 168,362,362 (32,466,781)
- - ------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets ......................................... 187,482,703 (13,150,944)
NET ASSETS
Beginning of year............................................................. 229,769,799 242,920,743
- - ------------------------------------------------------------------------------- -------------- --------------
End of year................................................................... $417,252,502 $229,769,799
=============================================================================== ============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-175
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
----------------------------------------
1996 1995 1994 1993**
- - -------------------------------------------------------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C>
Net investment income (loss)*........................... $ 0.29 $ 0.25 $ 0.19 $ (0.01)
Distributions of securities lending fee income (a) .... (0.01) (0.01) 0.00 0.00
Net realized and unrealized gain (loss) ................ 0.44 0.99 0.59 (0.13)
- - -------------------------------------------------------- --------- --------- ---------- ---------
Net increase (decrease) ................................ 0.72 1.23 0.78 (0.14)
NET ASSET VALUE
Beginning of period .................................... 11.87 10.64 9.86 10.00
- - -------------------------------------------------------- --------- --------- ---------- ---------
End of period .......................................... $ 12.59 $ 11.87 $ 10.64 $ 9.86
======================================================== ========= ========= ========== =========
Total return*** ........................................ 6.15% 11.64% 7.91% (1.40)%
- - -------------------------------------------------------- --------- --------- ---------- ---------
Ratio of expenses to average net assets (b) ............ 0.19% 0.20% 0.19% 0.57%
Ratio of net investment income to average net assets (b) 2.38% 2.22% 1.88% (0.14)%
Portfolio turnover ..................................... 5% 9% 47% 28%
Average broker commission per share (c) ................ $0.0149 N/A N/A N/A
Net assets, end of period (000s) ....................... $99,048 $75,760 $139,678 $229,612
========= ========= ========== =========
</TABLE>
- - ------------
* Net investment income (loss) per unit has been calculated based upon an
average of monthly units outstanding.
** The Daily EAFE Fund commenced operations on September 30, 1993.
*** Total return is based on the value of a single unit of participation
outstanding throughout the entire period. It represents the percentage
change in the net asset value per unit between the beginning and end of
each period and assumes reinvestment of any distributions. The
calculation includes only those expenses charged directly to the Daily
EAFE Fund. This result may be reduced by any administrative or other
fees which are incurred in the management or maintenance of individual
participant accounts.
(a) Zero amounts represent those which are less than $.005 per unit.
(b) 1993 data annualized.
(c) Represents total commission paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying notes are an integral part of the financial statements.
SAI-176
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND NON-LENDING
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------
1996 1995 1994**
- - ---------------------------------------------------- ---------- ----------- ----------
<S> <C> <C> <C>
Net investment income*............................... $ 0.28 $ 0.24 $ 0.19
Net realized and unrealized gain (loss).............. 0.44 0.99 0.59
- - ---------------------------------------------------- ---------- ----------- ----------
Net increase (decrease).............................. 0.72 1.23 0.78
NET ASSET VALUE
Beginning of period.................................. 11.87 10.64 9.86
- - ---------------------------------------------------- ---------- ----------- ----------
End of year ......................................... $ 12.59 $ 11.87 $ 10.64
==================================================== ========== =========== ==========
Total return***...................................... 6.07% 11.56% 7.91%
- - ---------------------------------------------------- ---------- ----------- ----------
Ratio of expenses to average net assets.............. 0.19% 0.20% 0.19%
Ratio of net investment income to average net
assets.............................................. 2.31% 2.15% 1.85%
Portfolio turnover................................... 5% 9% 47%
Average broker commission per share (a) ............. $ 0.0149 N/A N/A
Net assets, end of year (000s)....................... $318,204 $154,010 $103,242
========== =========== ==========
</TABLE>
- - ------------
* Net investment income per unit has been calculated using an average of
monthly units outstanding.
** The Daily EAFE Fund Non-Lending commenced operations on January 3,
1994.
*** Total return is based on the value of a single unit of participation
outstanding throughout the entire year. It represents the percentage
change in the net asset value per unit between the beginning and end of
each year. The calculation includes only those expenses charged
directly to the Daily EAFE Fund Non-Lending. This result may be reduced
by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(a) Represents total commissions paid on portfolio securities divided by
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
The accompanying notes are an integral part of the financial statements.
SAI-177
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Investment
Funds for Tax Exempt Retirement Plans have been formed under a Declaration of
Trust dated May 19, 1983, as amended and restated through July 19, 1991. The
Daily EAFE Fund and the Daily EAFE Fund Non-Lending (together, the "Fund")
were established through Fund Declarations effective September 16, 1993 and
January 3, 1994, respectively, and commenced investment operations on
September 30, 1993 and January 3, 1994, respectively. State Street Bank is
the Fund's Trustee and custodian. State Street Global Advisors, a division of
State Street Bank, is the Fund's investment manager.
The investment objective of the Fund is to closely match the performance
of the Morgan Stanley Capital International (MSCI) Europe, Australia and Far
East (EAFE) Index (the "Index"), while providing daily liquidity. The Fund
may invest in equity securities, equity-based derivatives, swaps, short-term
instruments and foreign exchange contracts, as well as in commingled funds or
mutual funds maintained by the Fund's Trustee.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments for which market quotations are readily available are valued
at the last reported sale price on the valuation date or, if no sales are
reported for that day, the more recent of the last published sale or the mean
between the last reported bid and asked prices, or at fair value as
determined in good faith by the Trustee. Short-term investments are stated at
amortized cost which approximates market. Foreign securities quoted in
foreign currencies (which constitute most of the investments) and foreign
currencies are translated into U.S. dollars at the current exchange rate.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of units of participation are based on the valuations
of those securities determined as described above. The cost of securities
delivered and the net gain or loss on securities sold are determined using
the average cost method. Dividend income is recorded net of applicable
withholding taxes on the ex-dividend date or as soon as the Fund is informed
of the ex-dividend date. Interest income earned on foreign securities is
recorded net of applicable withholding taxes on the accrual basis; interest
earned on foreign currency transaction accounts is recorded when the Trustee
is first notified of the amount credited by the depository bank.
C. FOREIGN CURRENCY TRANSLATION AND FORWARD FOREIGN CURRENCY CONTRACTS
The accounting records of the Fund are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in a
foreign currency are translated into U.S. dollars at the prevailing rates of
exchange at period end. Purchases and sales of securities, income and
expenses are translated into U.S. dollars at the prevailing exchange rate on
the respective date of the transactions.
SAI-178
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
The Fund may use forward foreign currency contracts to facilitate
transactions in foreign securities or as a hedge against either specific
transactions or portfolio positions. Such contracts are valued based upon the
applicable forward exchange rates and any resulting unrealized gains or
losses are recorded in the Fund's financial statements. The Fund records
realized gains or losses at the time the forward contract is extinguished by
entry into a closing transaction or by delivery of the currency. Risks in
foreign currency contracts arise from the possible inability of
counterparties to meet the contract's terms and from movements in currency
values. The maximum potential loss from such contracts is the aggregate face
value in U.S. dollars at the time the contract was opened.
D. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Fund is exempt from federal income taxes and
no federal income tax provision is required.
E. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset value of the Fund is determined on each business day
(valuation date) and any other day determined by the Trustee. Issuances and
redemptions of Fund units are made on the basis of the value of the Fund as
of the Fund's last preceding valuation date on which such order to issue or
redeem is received. From the Fund's inception through October 31, 1996, a
transaction fee of .5% was charged on contributions and withdrawals and is
presented in Note 5 as a separate component of paid in capital. Effective
November 1, 1996, a transaction fee of .5% is charged on contributions or
withdrawals greater than 5% of the net asset value of the Fund.
F. EXPENSES
Under the Fund Declaration, the Fund may pay certain expenses for services
received during the year. These transactions include, but are not limited to,
transaction, holding, stamp duty and audit fees. The Fund also pays an annual
fee of $50,000 for daily pricing services to the Trustee in its capacity as
custodian.
G. DISTRIBUTIONS TO PARTICIPANTS
All net investment income (excluding securities lending fee income) and
net realized gains are retained by the Fund. Income generated by securities
lending is distributed monthly.
H. FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the equity
market. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's exposure
to the underlying instrument, or hedge other Fund investments. Futures
contracts involve, to varying degrees, credit and market risks. The Fund
enters into futures contracts only on exchanges or boards of trade where the
exchange or board of trade acts as the counterparty to the transaction. Thus,
credit risk on such transactions is limited to the failure of the exchange or
board of trade. Losses in value may arise from changes in the value of the
underlying instruments or if there is an illiquid secondary market for the
contracts. In addition, there is the risk that there may
SAI-179
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
not be an exact correlation between a futures contract and the underlying
index. The maximum potential loss on a long futures contract is the U.S.
dollar value of the notional amount at the time the contract is opened. The
potential loss on a short futures contract is unlimited.
Upon entering into a futures contract, the Fund is required to deposit
either in cash or securities an amount ("initial margin") equal to a certain
percentage of the nominal value of the contract. Subsequent payments are made
or received by the Fund periodically, depending on the daily fluctuation in
the value of the underlying securities, and are recorded as unrealized gains
or losses by the Fund. A gain or loss is realized when the contract is closed
or expires.
I. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. SECURITIES LENDING PROGRAM; PRINCIPLES OF COMBINATION
The participants in the Daily EAFE Fund (the "EAFE Fund") have authorized
the EAFE Fund to participate in the Securities Lending Program maintained by
State Street Bank. The investment objective, techniques and results of
operations of the EAFE Fund are identical to those of the Daily EAFE Fund
Non-Lending (the "Non-Lending Fund"), except that the EAFE Fund engages in
securities lending activities. Accordingly, the financial statements of the
EAFE Fund and the Non-Lending Fund (collectively, the "Fund") have been
prepared on a combined basis, with separate disclosure of the participant
transactions and per unit data of the EAFE Fund and the Non-Lending Fund. The
EAFE Fund and the Non-Lending Fund each maintain a divided pro-rata interest
in the combined assets and liabilities (including each investment security
position) proportionate to the net asset value of the outstanding combined
units of the Fund. All interfund transactions have been eliminated in the
combined financial statements.
Under the Securities Lending Program, securities held by the EAFE Fund are
loaned by State Street Bank, as agent, to certain brokers and other financial
institutions (the "Borrowers"). The Borrowers provide cash, securities, or
letters of credit as collateral against loans in an amount at least equal to
100% of the market value of the loaned securities. The Borrowers are required
to maintain the collateral at not less than 100% of the fair market value of
the loaned securities. At December 31, 1996, the value of securities loaned
by the EAFE Fund was $13,094,336 against which was held cash collateral of
$13,498,662. Cash collateral provided by the Borrowers is invested in a
variety of registered investment companies. At December 31, 1996, the cash
collateral held by the Fund was invested in State Street Bank and Trust
Company Quality A Short-Term Investment Fund. A portion of the income
generated upon investment of the collateral is remitted to the Borrowers, and
the remainder is allocated between the EAFE Fund and State Street Bank in its
capacity as lending agent. Negotiated lenders' fees are received for those
loans collateralized by securities or letters of credit, if any. Income
earned from lending activities is distributed to EAFE Fund participants
monthly.
State Street Bank, as lending agent, indemnifies the EAFE Fund for
replacement of any loaned securities (or, in certain circumstances, return of
equivalent cash value) due to Borrower default on a security loan. EAFE Fund
participants, however, bear the risk of loss with respect to the investment
of collateral.
SAI-180
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
4. INVESTMENT TRANSACTIONS
Purchases and sales of securities, excluding short-term investments and
including in-kind contributions and redemptions, if any, during the year
ended December 31, 1996 were $186,158,398 and $15,571,835, respectively,
resulting in a net realized gain (loss) of $400,125.
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1996 1995
---------------------------- -----------------------------
UNITS AMOUNT UNITS AMOUNT
------------- -------------- ------------- ---------------
<S> <C> <C> <C> <C>
DAILY EAFE FUND
Units issued..................... 260,114 $ 3,283,151 -- $ --
Interfund transfers (net)........ 1,332,149 15,595,684 -- --
Units redeemed................... (105,475) (1,328,475) (6,742,000) (70,246,080)
Paid in capital from transaction
fees (Note 2E).................. -- 406 -- 246,080
------------- -------------- ------------- ---------------
Total............................ 1,486,788 $ 17,550,766 (6,742,000) $(70,000,000)
------------- -------------- ------------- ---------------
DAILY EAFE FUND NON-LENDING
Units issued..................... 20,560,785 $249,590,583 9,429,069 $105,163,988
Interfund transfers (net)........ (1,332,149) (15,595,684) -- --
Units redeemed................... (6,922,598) (84,485,013) (6,155,370) (68,452,109)
Paid in capital from transaction
fees (Note 2E).................. -- 1,301,710 -- 821,340
------------- -------------- ------------- ---------------
Total............................ 12,306,038 $150,811,596 3,273,699 $ 37,533,219
------------- -------------- ------------- ---------------
Net increase (decrease) in units
and net assets resulting from
participant transactions........ 13,792,826 $168,362,362 (3,468,301) $(32,466,781)
============= ============== ============= ===============
</TABLE>
DAILY EAFE FUND
Units in excess of 10% of EAFE Fund units outstanding at December 31, 1996
held by 1 of the EAFE Fund's 11 unitholders aggregated 81% of the EAFE Fund's
total units outstanding.
DAILY EAFE FUND NON-LENDING
Units in excess of 10% of Non-Lending Fund units outstanding at December
31, 1996 held by 2 of the Non-Lending Fund's 34 unitholders aggregated 24% of
the Non-Lending Fund's total units outstanding.
SAI-181
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1996
A redemption by one or more unitholders individually holding 10% or more
of the Fund's units may cause the remaining unitholders to bear
proportionately higher operating expenses and otherwise adversely affect the
Fund's future liquidity and investment operations. As described under
"Issuances and Redemptions of Units of Participation", however, redeeming
unitholders may bear transaction costs arising from the redemption of units;
additionally, in certain circumstances, redemptions may be made on an in-kind
basis. These practices may tend to mitigate the potential adverse effects of
such redemptions. Participants in each of the EAFE Fund or the Non-Lending
Fund may exchange their units for units of the other fund on any valuation
date.
6. REALIZED GAINS AND LOSSES ON FOREIGN CURRENCY TRANSACTIONS
Reported net realized gains and losses on foreign currency transactions
represent net gains and losses from disposition of foreign currencies,
currency gains and losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of net
investment income accrued and the U.S. dollar amount actually received. The
effects of changes in foreign currency exchange rates on investments in
securities are not segregated in the Statement of Operations from the effects
of changes in market prices of those securities, but are included with the
net realized and unrealized gain or loss on investments in securities. Net
realized gain (loss) from foreign currency transactions amounted to
$(3,617,520) for the year ended December 31, 1996.
SAI-182
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
<S> <C> <C> <C>
COMMON STOCK 88.1% (unless otherwise noted)
AUSTRALIA 2.4%
Aberfoyle Ltd. AUD0.50....................................................... 4,875 $ 12,468
Amcor Ltd. Ord AUD1.......................................................... 40,063 257,434
Ashton Mining Ltd. AUD0.50................................................... 14,439 25,116
Australian Gas Light Co. Ord AUD1............................................ 18,400 104,642
Australian National Industries Ltd. AUD0.30.................................. 40,474 40,185
Boral Ltd. Ord AUD0.50....................................................... 71,416 203,073
Brambles Industries Ltd. AUD0.50............................................. 13,992 272,838
Broken Hill Proprietary Co., Ltd. Ord AUD1................................... 125,635 1,788,228
Burns, Philp & Co., Ltd. AUD0.50............................................. 33,074 58,845
Coca Cola Amatil Ltd. AUD0.50................................................ 34,373 367,210
Coles Myer Ltd. AUD0.50...................................................... 68,531 281,962
CRA Ltd. AUD2................................................................ 20,827 326,714
Crown Ltd. AUD0.50........................................................... 31,600 66,011
CSR Ltd. AUD1................................................................ 62,038 216,813
David Jones Ltd. AUD0.30..................................................... 19,899 27,659
Delta Gold NL AUD0.25........................................................ 10,400 19,495
Email Ltd. AUD0.50........................................................... 18,432 59,586
Faulding (FH) & Co., Ltd. AUD0.50............................................ 6,142 41,516
Fosters Brewing Group AUD1................................................... 124,214 251,585
Futuris Corp., Ltd. AUD0.20.................................................. 26,521 36,232
General Property Trust AUD1.................................................. 72,701 141,475
Gio Australia Holding AUD1................................................... 37,649 96,291
Goodman Fielder Wattie Ltd. AUD0.50.......................................... 77,639 96,201
Great Central Mines NL AUD0.20............................................... 13,100 37,250
Howard Smith Ltd. AUD1....................................................... 11,586 95,246
ICI Australia Ltd. AUD1...................................................... 18,813 203,969
James Hardie Industries Ltd. AUD1............................................ 24,922 78,389
Leighton Holdings Ltd. Ord AUD0.50........................................... 16,400 70,342
Lend Lease Corp., Ltd. AUD0.50............................................... 15,440 299,234
Metal Manufacturers Ltd. AUD0.50............................................. 9,700 23,884
MIM Holdings Ltd. AUD0.50.................................................... 102,529 143,329
National Australia Bank Ltd. AUD1............................................ 93,215 1,095,776
Newcrest Mining Ltd. AUD0.50................................................. 14,965 59,432
News Corp., Ltd. AUD0.50 Pfd................................................. 126,815 668,826
Normandy Mining Ltd. AUD0.20................................................. 102,135 141,156
North Ltd. AUD0.50........................................................... 44,399 129,776
Pacific Dunlop Ltd. AUD0.50.................................................. 64,837 164,796
Pioneer International Ltd. AUD0.50........................................... 56,222 167,460
Plutonic Resources Ltd. AUD0.50.............................................. 9,700 45,072
QBE Insurance Group AUD1..................................................... 17,982 94,695
QCT Resources Ltd. AUD0.50................................................... 41,319 55,792
Renison Goldfields Consolidated Ltd. AUD0.50................................. 10,837 48,117
Rothmans Holdings Ltd. AUD0.50............................................... 6,200 39,889
Samantha Gold NL AUD0.20..................................................... 9,200 19,145
Santos Ltd. AUD0.25.......................................................... 34,023 137,822
Schroders Property Fund AUD1................................................. 20,681 37,945
Sons of Gwalia Ltd. AUD0.25.................................................. 5,200 30,688
Southcorp Holdings Ltd. Ord AUD0.50.......................................... 36,680 116,537
The accompanying notes are an integral part of the financial statements.
SAI-183
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Stockland Trust Group AUD1.10................................................ 20,648 $ 53,301
Tab Corp. Holdings Ltd. AUD1................................................. 19,100 91,025
Western Mining Corp. AUD0.50................................................. 70,494 444,017
Westfield Trust New Units AUD1 .............................................. 2,499 4,605
Westfield Trust Units AUD1................................................... 70,191 132,688
Westpac Banking Corp. AUD1................................................... 114,476 651,031
-------------
10,172,813
-------------
AUSTRIA 0.4%
Austria Mikros Systeme International AG ATS100............................... 200 15,425
Austrian Airlines ATS1000.................................................... 200 30,444
Bank Austria AG ATS100....................................................... 3,700 273,076
Bank Austria AG ATS100 Rfd 1/12/96........................................... 300 22,058
Bank Austria AG ATS100 Rfd 1May96............................................ 320 23,529
Bau Holdings AG ATS100 Rfd 01Apr93........................................... 300 17,935
Bohler Uddeholm ATS100....................................................... 800 57,198
BWT AG ATS100................................................................ 100 10,323
Creditanstalt-Bankverein ATS100.............................................. 1,990 134,570
EA Generali AG ATS100........................................................ 500 147,608
Flughafen Wien AG ATS100..................................................... 1,500 76,387
Lenzing AG ATS100............................................................ 300 19,125
Mayr Melnhof Karto ATS100.................................................... 800 39,116
Oesterreichische Brau Beteiligungs AG ATS100................................. 600 40,685
Oesterreichische Elektrizitaetswirtschafts AG ATS100......................... 2,100 157,023
OMV AG ATS100................................................................ 1,876 211,319
Radex Heraklith Industriebeteiligungs AG ATS100.............................. 950 30,061
Steyr-Daimler Puch AG ATS100................................................. 700 11,172
Universale-Bau AG ATS100..................................................... 300 13,838
VA Technologie AG ATS100 Bearer.............................................. 1,000 156,788
Wienerberger Baustoff Industrie ATS100....................................... 500 96,868
-------------
1,584,548
-------------
BELGIUM 1.1%
Barco NV NPV................................................................. 800 138,016
Bekaert SA NPV............................................................... 160 101,497
Cementbedrijven Cimenteries NPV.............................................. 1,550 140,778
Delhaize Le Lion SA NPV...................................................... 3,545 210,371
Electrabel SA NPV............................................................ 3,760 888,967
Electrabel SA NPV Vvpr Strip................................................. 585 571
Fortis AG NPV................................................................ 2,622 420,154
Generale de Banque NPV Vvpr Strip............................................ 91 51
Generale de Banque Put Wts 15Nov99 Tractebel................................. 955 13,830
Generale de Banque NPV....................................................... 1,125 402,867
Gevaert Photo Producten, NV NPV.............................................. 1,790 123,975
Glaverbel SA NPV............................................................. 462 53,597
Groupe Bruxelles Lambert NPV................................................. 1,600 205,764
Kredietbank NV NPV Vvpr Strip................................................ 125 38,880
Kredietbank NV NPV........................................................... 895 293,031
Petrofina SA NPV............................................................. 1,600 508,744
Royale Belge NPV............................................................. 1,100 226,826
The accompanying notes are an integral part of the financial statements.
SAI-184
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Solvay SA NPV................................................................ 575 $ 351,631
Tractebel Capital NPV........................................................ 955 444,210
Union Miniere SA NPV......................................................... 1,705 115,404
-------------
4,679,164
-------------
DENMARK 0.8%
Aarhus Oliefabrik A/S A DKK100............................................... 222 11,478
Aarhus Oliefabrik A/S B DKK100............................................... 47 2,438
Bang & Olufsen Holding DKK10 Series B........................................ 880 42,666
Carlsberg Brewery A/S A DKK20................................................ 2,443 164,830
Carlsberg Brewery A/S B DKK20................................................ 1,987 134,063
D/S AF 1912 B DKK1000........................................................ 15 385,241
D/S Svendborg B DKK1000...................................................... 10 374,646
Danisco A/S DKK20............................................................ 3,840 233,047
Den Danske Bank A/S DKK100................................................... 3,876 312,109
FLS Industries A/S B DKK100.................................................. 640 81,914
Gn Store Nord A/S DKK100..................................................... 413 40,258
ISS International Service System A/S Series B DKK20.......................... 2,062 54,181
Korn Og Foderstof DKK20...................................................... 840 34,018
Lauritzen Holdings A/S B DKK20............................................... 171 20,002
NKT Holding A/S DKK100....................................................... 521 30,913
Novo Nordisk A/S DKK20 B..................................................... 2,657 499,969
Ostasiatiske Kompagni Dkr100................................................. 1,487 32,266
Radiometer A/S B Shares DKK20................................................ 706 41,889
SAS Danmark A/S DKK10........................................................ 3,254 40,269
Sophus Berendsen A/S A Shares DKK20.......................................... 454 58,492
Sophus Berendsen A/S B DKK20................................................. 1,447 185,938
Superfos A/S DKK100.......................................................... 429 54,180
Tele Danmark A/S Series B DKK10.............................................. 9,081 500,318
Unidanmark A/S A DKK100 Regd................................................. 3,691 190,841
-------------
3,525,966
-------------
FINLAND 0.7%
Ameri Group A FIM20.......................................................... 1,925 39,678
Cultor Ltd. Series 2 FIM12................................................... 500 25,710
Cultor Ltd. Series 1 Ord FIM12............................................... 1,000 54,242
Instrumentarium Corp. Series A FIM10......................................... 1,100 40,239
Instrumentarium Corp. Series B FIM10......................................... 400 14,493
Kemira Oy Ord FIM10.......................................................... 9,700 122,065
Kesko Oy FIM10............................................................... 6,600 92,936
Kone Corp. B FIM50........................................................... 500 55,110
Metra Oy A FIM20............................................................. 1,000 56,194
Metra Oy B FIM20............................................................. 900 50,380
Nokia AB Oy FIM5 Series K.................................................... 7,600 438,620
Nokia AB Oy FIM5 Series A.................................................... 14,600 845,147
Outokumpu Oy A FIM10......................................................... 9,400 160,100
Pohjola Ord Series A FIM5.................................................... 1,600 37,839
Pohjola Series B FIM5........................................................ 1,600 35,930
Sampo Insurance Co., Ltd. A FIM20............................................ 1,100 86,635
Stockmann AB B FIM20......................................................... 450 26,850
Stockmann AB A FIM20......................................................... 600 36,450
The accompanying notes are an integral part of the financial statements.
SAI-185
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Merita Ltd. Series A FIM10................................................... 66,020 $ 204,835
UPM Kymmene Oy FIM10......................................................... 19,895 416,547
-------------
2,840,000
-------------
FRANCE 5.9%
Accor SA FRF100.............................................................. 2,066 261,091
Air Liquide FRF70............................................................ 2,442 380,476
Air Liquide FRF70 ........................................................... 2,135 332,644
Alcatel Alsthom CGE FRF40.................................................... 10,135 812,547
AXA FRF60.................................................................... 12,126 769,712
Banque Nationale de Paris FRF25.............................................. 12,982 501,421
BIC SA FRF50................................................................. 1,750 261,887
Bongrain Group FRF50......................................................... 110 42,466
Bouygues SA FRF50............................................................ 1,480 153,158
Canal Plus FRF20............................................................. 1,566 345,202
Carrefour SA FRF100.......................................................... 2,408 1,563,709
Chargeurs International FRF100............................................... 400 19,774
Club Mediterranee SA FRF25................................................... 681 44,118
Compagnie Bancaire SA FRF100................................................. 1,760 207,863
Compagnie de St. Gobain FRF100............................................... 5,413 764,242
Compagnie de Suez FRF75...................................................... 10,259 435,319
Compagnie Financiere Paribas FRF50 A Shares.................................. 7,779 525,054
Compagnie Generale de Geophysique FRF10...................................... 125 8,656
Compagnie Generale des Eaux FRF100........................................... 7,586 938,255
Compagnie Par Reesco FRF50................................................... 530 42,186
Comptoirs Modernes FRF100.................................................... 325 175,040
Credit National SA FRF100.................................................... 744 42,761
Dollfus-Mieg & Cie FRF75..................................................... 250 6,049
Eridania Beghin-Say FRF65.................................................... 1,624 260,837
Essilor International Compagnie Generale FRF20............................... 560 169,655
Etab Eco Casino Guich Perr & Co. FRF10....................................... 3,846 178,732
Europe 1 Communication FRF100 Regd........................................... 64 13,542
Fin Pour L'Expans D'Telecomm SA FRF100....................................... 650 10,027
Groupe Danone FRF10.......................................................... 4,551 632,910
GTM Entrepose FRF50.......................................................... 736 33,977
Havas SA FRF15............................................................... 4,031 282,235
Imetal SA FRF50.............................................................. 975 143,658
L'Oreal SA FRF10............................................................. 4,259 1,600,771
Lafarge FRF25 ............................................................... 5,913 354,066
Lagardere Groupe FRF40 Regd.................................................. 6,098 167,030
Legrand SA FRF10 ............................................................ 1,740 295,868
Louis Vuitton Moet Hennessy FRF10............................................ 5,481 1,527,654
Lyonnaise des Eaux-Dumer FRF60............................................... 3,706 344,239
Michelin FRF12 Regd Class B.................................................. 7,280 392,231
Moulinex SA FRF10............................................................ 1,395 32,066
Nord Est FRF50............................................................... 750 18,624
Pathe FRF100................................................................. 500 120,220
Pernod Ricard SA FRF20....................................................... 3,542 195,536
Peugeot SA FRF35............................................................. 3,129 351,492
Pinault Printemps FRF100..................................................... 1,388 549,454
Primagaz FRF10............................................................... 1,250 146,909
The accompanying notes are an integral part of the financial statements.
SAI-186
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Promodes SA FRF20............................................................ 1,200 $ 338,155
Rhone Poulenc SA FRF25 Ord A Shares.......................................... 20,332 691,839
SAGEM FRF50.................................................................. 250 150,515
Saint Louis FRF100........................................................... 510 126,745
Salomon SA FRF10 ............................................................ 900 77,037
Sanofi SA FRF25.............................................................. 6,567 651,799
Sefimeg FRF100 Regd.......................................................... 998 72,180
Seita FRF50.................................................................. 3,250 135,656
Sidel FRF15.................................................................. 1,750 120,172
Simco FRF100 Regd............................................................ 770 67,094
Simco FRF100 Rfd1Jul96....................................................... 31 2,602
Skis Rossignol FRF25 ........................................................ 600 16,585
Societe Eurafrance FRF200.................................................... 230 99,188
Societe Generale FRF30....................................................... 5,744 619,832
Societe National Elf Aquitaine FRF50......................................... 17,105 1,553,953
Sodexho SA FRF100............................................................ 433 240,704
Sommer Allibert FRF5......................................................... 1,000 29,815
Spie Batignolles FRF50....................................................... 8,345 385,082
Technip FRF20................................................................ 1,000 93,675
Thomson CSF FRF20............................................................ 7,505 242,958
TOTAL SA FRF50 B Shares...................................................... 15,139 1,228,872
Unibail SA FRF100 Regd....................................................... 450 44,664
Union Assurance Ltd. FRF10................................................... 16,634 414,346
Union Immobiliere France FRF100.............................................. 412 33,562
Usinor Sacilor FRF20......................................................... 15,250 221,469
Valeo FRF20.................................................................. 4,380 269,601
-------------
24,383,463
-------------
GERMANY 6.9%
Adidas AG DEM5............................................................... 2,850 245,961
AGIV AG DEM5................................................................. 1,800 26,046
Allianz AG Holding DEM50..................................................... 1,452 2,638,116
AMB Aachener & Muenchener Bet DEM50.......................................... 50 32,444
AMB Aachener & Muenchener Bet (Regd) DEM50................................... 262 187,009
BASF AG DEM5................................................................. 39,200 1,507,868
Bayer AG DEM5................................................................ 45,350 1,848,018
Bayer Hypothe & Weschel Bank DEM5............................................ 15,980 482,687
Bayerische Vereinsbank AG DEM5............................................... 16,950 695,114
Beiersdorf AG DEM5 .......................................................... 5,400 266,654
Bilfinger & Berger DEM5...................................................... 1,900 69,658
Brau & Brunnen AG DEM50...................................................... 221 15,000
Buderus AG DEM50............................................................. 150 73,973
CKAG Colonia Konzern DEM5.................................................... 1,340 110,428
Continental AG DEM5.......................................................... 6,050 108,744
Daimler Benz AG DEM5......................................................... 33,030 2,271,871
Degussa AG DEM50............................................................. 550 248,572
Deutsche Bank AG DEM5........................................................ 32,130 1,499,025
Deutsche Telekom DEM5........................................................ 141,000 2,968,951
Didier Werke AG DEM50........................................................ 100 7,916
DLW AG DEM50................................................................. 50 3,034
Douglas Holding AG DEM5...................................................... 2,050 80,478
The accompanying notes are an integral part of the financial statements.
SAI-187
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Dresdner Bank AG DEM5........................................................ 28,600 $ 855,532
Dyckerhoff AG DEM50.......................................................... 71 26,952
Escada AG DEM50.............................................................. 50 8,079
FAG Kugelfischer DEM5........................................................ 3,200 43,501
Heidelberg Zement DEM5....................................................... 2,760 222,971
Herlitz AG DEM50............................................................. 105 11,923
Hochtief AG DEM5............................................................. 4,500 178,120
Holsten Brauerei AG DEM50.................................................... 62 13,679
IWKA AG DEM50................................................................ 100 23,684
Karstadt AG DEM50............................................................ 533 179,846
Klockner Humboldt Deutz DEM5................................................. 2,250 10,220
Linde AG DEM50............................................................... 538 328,155
Lufthansa AG DEM5............................................................ 24,500 333,852
MAN AG DEM50................................................................. 728 176,201
Mannesmann AG DEM50.......................................................... 2,370 1,025,754
Merck KGAA DEM5.............................................................. 11,050 397,229
Metro AG DEM5................................................................ 5,817 468,048
Munich Reinsurance DEM100.................................................... 520 1,297,385
Preussag AG DEM50............................................................ 1,000 226,137
PWA Papierwerke Waldhof Aschaffenberg AG DEM50............................... 350 46,558
Rheinmetall Berlin AG DEM50.................................................. 100 16,092
RWE AG DEM5.................................................................. 21,680 917,225
Salamander AG DEM50.......................................................... 100 9,863
SAP AG DEM5.................................................................. 3,900 530,173
Schering AG DEM5............................................................. 4,400 370,878
SGL Carbon DEM5.............................................................. 1,350 169,944
Siemens AG DEM5.............................................................. 35,950 1,691,243
Strabag AG DEM50............................................................. 100 6,359
Thyssen AG DEM50............................................................. 2,000 354,292
VEBA AG DEM5................................................................. 31,350 1,810,493
VIAG AG DEM50................................................................ 1,654 648,249
VIAG AG DEM50 Rfd 1/1/97..................................................... 51 19,359
Volkswagen AG DEM50.......................................................... 1,805 749,594
-------------
28,555,157
-------------
HONG KONG 3.2%
Applied International Holdings HKD0.20....................................... 31,000 1,844
Bank of East Asia Ltd. HKD2.50............................................... 68,489 304,592
Cathay Pacific Airways Ltd. HKD0.20.......................................... 215,000 339,108
Cheung Kong (Holdings) Ltd. HKD0.50.......................................... 144,000 1,279,897
China Light & Power Co., Ltd. HKD5........................................... 124,207 552,388
Chinese Estates Holdings Ord HKD0.10......................................... 120,499 133,974
Dickson Concept Inc. HKD0.30................................................. 15,600 58,487
Electric & Eltek International Holdings Ltd. HKD0.10......................... 49,000 10,769
Giordano International HKD0.10............................................... 45,000 38,397
Hang Lung Development Co., Ltd. HKD1......................................... 84,000 184,615
Hang Seng Bank Ltd. HKD5..................................................... 120,712 1,466,959
Hong Kong & China Gas Co., Ltd. HKD0.25...................................... 187,152 361,722
Hong Kong & Shanghai Hotels Wts 10Dec98 ..................................... 4,500 1,687
Hong Kong & Shanghai Hotels Ltd. HKD0.50..................................... 73,000 137,789
The accompanying notes are an integral part of the financial statements.
SAI-188
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Hong Kong Aircraft Engineering Co. HKD1...................................... 9,200 $ 28,308
Hong Kong Telecommunications Ltd. HKD0.50.................................... 719,000 1,157,279
Hopewell Holdings Ltd. HKD0.50............................................... 274,000 177,117
Hutchison Whampoa Ltd. HKD0.25............................................... 226,000 1,774,984
Hysan Development Co., Ltd. HKD5............................................. 64,000 254,842
Johnson Electric Holdings HKD0.10............................................ 23,900 66,123
Kumagai Gumi Ltd. HKD1....................................................... 23,000 26,762
Lai Sun Garment International Ltd. HKD0.50................................... 13,000 20,672
Miramar Hotel & Investment HKD0.70........................................... 36,350 72,841
New World Development Co., Ltd. HKD1......................................... 109,708 741,079
Oriental Press Group HKD0.25................................................. 91,000 40,882
Peregrine Investment Holdings HKD0.60........................................ 39,000 66,807
Playmates Toys Holdings HKD0.10.............................................. 30,000 8,048
Regal Hotel International HKD0.10............................................ 194,000 67,718
Shangri-La Asia Ltd. HKD1.................................................... 99,000 146,548
Shun Tak Holdings Ltd. HKD0.25............................................... 91,000 60,588
South China Morning Post HKD0.10............................................. 109,000 90,187
Stelux Holdings International HKD0.10........................................ 45,000 11,635
Sun Hung Kai Properties Ltd. HKD0.50......................................... 149,320 1,829,098
Swire Pacific Ltd.A HKD0.60.................................................. 99,000 943,924
Tai Cheung Holdings Ltd. HKD0.10............................................. 38,600 36,429
Television Broadcasting Ltd. HKD0.05......................................... 26,000 103,866
Wharf Holdings Ltd. HKD1..................................................... 141,400 705,629
Wing Lung Bank Ltd. HKD5..................................................... 12,075 81,957
Winsor Industrial Corp., Ltd. HKD0.50........................................ 10,000 2,340
-------------
13,387,891
-------------
IRELAND 0.3%
Allied Irish Banks PLC Ord IEP0.25........................................... 47,100 315,701
Crean (James) PLC Units...................................................... 3,100 9,969
CRH PLC Ord IEP0.25.......................................................... 25,226 261,312
Fyffes PLC Ord IEP0.05....................................................... 19,122 35,603
Greencore Group Ord IEP0.50.................................................. 12,948 82,843
Independent Newspapers PLC Ord IEP0.25....................................... 17,243 89,017
Irish Life PLC Ord IEP0.10................................................... 21,870 101,243
Jefferson Smurfit Group PLC Ord IEP0.25...................................... 75,962 230,792
Kerry Group PLC Ord IEP0.10.................................................. 5,300 53,825
Waterford Wedgewood PLC Ord IEP0.05.......................................... 50,437 64,882
Woodchester Investments PLC Ord IEP0.20...................................... 15,552 57,385
-------------
1,302,572
-------------
ITALY 2.7%
Arnoldo Mondadori Editore SpA ITL1000 Ord.................................... 8,000 64,979
Assicurazioni Generali ITL2000............................................... 59,585 1,126,648
Banca Commerciale Italiana SpA ITL1000....................................... 116,950 212,287
Banca Populare di Milano ITL1000............................................. 13,000 65,834
Banco Ambrosiano Veneto SpA Ord ITL1000...................................... 29,100 69,855
Banco Ambrosiano Veneto SpA ITL1000 non conv................................. 11,500 21,480
Benetton Group SpA ITL500.................................................... 11,400 143,878
Bulgari SpA ITL500........................................................... 4,000 81,026
Burgo Cartiere SpA ITL5000................................................... 8,400 38,671
The accompanying notes are an integral part of the financial statements.
SAI-189
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Cementir SpA ITL1000......................................................... 13,100 $ 8,366
Cogefar Impresit SpA ITL1000................................................. 33,300 25,843
Credito Italiano SA ITL500................................................... 142,500 156,136
Danieli & Cofficine Meccaniebe SpA ITL2000................................... 2,100 17,264
Danieli & Cofficine Meccaniebe SpA ITL2000 non conv.......................... 2,100 8,770
Edison SpA ITL1000........................................................... 41,400 261,388
ENI SpA ITL1000 Regd......................................................... 515,000 2,636,814
Falck, Accia & Ferr Lombarde ITL2500......................................... 5,880 23,493
Fiat SpA ITL1000............................................................. 222,530 671,761
Fiat SpA ITL1000 non conv.................................................... 45,790 80,106
Gilardini Industriale SpA ITL1000............................................ 27,500 34,092
IMI ITL5000.................................................................. 38,000 324,893
INA Ist Nazionale Assoc ITL1000.............................................. 276,000 358,682
IST Bancario S.Paolo(to) ITL10000............................................ 50,740 310,347
Italcementi SpA ITL2000...................................................... 10,910 60,990
Italcementi SpA ITL2000 non conv............................................. 5,200 12,705
Italgas ITL1000.............................................................. 42,660 177,738
La Previdente ITL1000........................................................ 3,100 16,841
La Rinascente SpA ITL1000.................................................... 10,778 62,378
La Rinascente SpA ITL1000 non conv........................................... 2,100 5,359
Marzotto & Figli SpA ITL1000................................................. 3,200 20,625
Mediaset ITL1000............................................................. 76,000 349,885
Mediobanca SpA ITL1000....................................................... 32,366 174,229
Montedison SpA ITL1000 non conv.............................................. 36,600 23,252
Montedison SpA New ITL1000 .................................................. 260,727 177,305
Olivetti & C SpA Ord ITL1000................................................. 237,247 83,477
Parmalat Finanziaria SpA ITL1000............................................. 94,500 144,189
Pirelli SpA ITL1000.......................................................... 92,183 170,664
Pirelli SpA ITL1000 non conv................................................. 4,200 6,174
RAS SpA ITL1000.............................................................. 22,376 208,235
RAS SpA ITL1000 non conv..................................................... 8,913 47,188
S.A.I. ITL1000 non conv...................................................... 3,100 11,000
S.A.I. ITL1000............................................................... 7,500 69,056
Saffa SpA Ord A ITL1000...................................................... 3,100 5,821
Sasib SpA ITL1000............................................................ 4,366 13,639
Sasib SpA ITL1000 non conv................................................... 3,100 5,801
Sirti SpA ITL1000............................................................ 13,732 83,087
Snia BPD SpA ITL1000 non conv................................................ 200 148
Snia BPD SpA ITL1000......................................................... 43,500 44,916
Societa Italiana L'Eserc SpA (Sip) ITL1000 non conv.......................... 101,489 197,571
Telecom Italia Mobilia ITL50 Di Risp......................................... 91,989 130,981
Telecom Italia Mobilia ITL50................................................. 397,265 1,001,980
Telecom Italia SpA ITL1000................................................... 383,765 994,432
-------------
11,042,279
-------------
JAPAN 27.8%
77 Bank JPY50................................................................ 24,000 196,433
Acom Co. JPY50............................................................... 9,000 383,045
Advantest Corp. JPY50........................................................ 5,100 238,589
Ajinomoto Co., Inc. JPY50.................................................... 40,000 406,651
Alps Electric Co. JPY50...................................................... 10,000 108,555
The accompanying notes are an integral part of the financial statements.
SAI-190
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Amada Co., Ltd. JPY50........................................................ 18,000 $ 139,571
Amano Corp. JPY50............................................................ 6,000 64,099
Aoki Corp. JPY50............................................................. 21,000 43,603
Aoyama Trading Co. JPY50..................................................... 4,000 106,143
Arabian Oil Co. JPY500....................................................... 3,300 122,254
Asahi Bank Ltd. JPY50........................................................ 143,000 1,268,976
Asahi Breweries Ltd. JPY50................................................... 27,000 279,142
Asahi Chemical Industry JPY50................................................ 90,000 508,659
Asahi Glass Co., Ltd. JPY50.................................................. 73,000 685,535
Ashikaga Bank Ltd. JPY50..................................................... 38,000 183,010
Autobacs Seven JPY50......................................................... 2,400 169,346
Bank of Tokyo JPY50.......................................................... 289,400 5,360,644
Bank of Yokohama Ltd. JPY50.................................................. 71,000 458,775
Bridgestone Corp. JPY50...................................................... 49,000 928,750
Brother Industries Ltd. JPY50................................................ 17,000 73,232
Canon, Inc. JPY50............................................................ 53,000 1,168,950
Casio Computer Co. JPY50..................................................... 17,000 131,231
Chiba Bank Ltd. JPY50........................................................ 48,000 326,699
Chiyoda Corp. JPY50.......................................................... 10,000 64,702
Chugai Pharmaceutical Co. JPY50.............................................. 15,000 125,355
Citizen Watch Co., Ltd. JPY50................................................ 19,000 135,866
Cosmo Oil Co. Ltd JPY50...................................................... 39,000 187,154
Credit Saison Co., Ltd. JPY50................................................ 8,500 189,670
CSK Corp. JPY50.............................................................. 4,000 104,764
Dai Ichi Pharmaceutical Co. JPY50............................................ 17,000 272,422
Dai Nippon Printing Co., Ltd. JPY50.......................................... 47,000 822,004
Daicel Chemical Industries Ltd. JPY50........................................ 23,000 107,599
Daido Steel Co., Ltd. JPY50.................................................. 27,000 100,026
Daiei Inc. JPY50............................................................. 44,000 335,487
Daifuku Co., Ltd. JPY50...................................................... 7,000 88,050
Daikin Industries, Ltd. JPY50................................................ 16,000 141,983
Daikyo Inc. JPY50............................................................ 8,000 37,701
Daimaru Inc. JPY50........................................................... 14,000 74,662
Dainippon Ink & Chemicals Inc. JPY50......................................... 49,000 181,106
Dainippon Screen Manufacturing Co., Ltd. JPY50............................... 10,000 73,662
Daito Trust Construction JPY50............................................... 8,800 97,803
Daiwa House Industry JPY50................................................... 32,000 410,787
Daiwa Kosho Lease Co., Ltd. JPY50............................................ 9,000 69,010
Daiwa Securities Co., Ltd. JPY50............................................. 84,000 745,412
Denki Kagaku Kogyo KK JPY50.................................................. 30,000 73,662
East Japan Railway Co. JPY50000.............................................. 249 1,117,679
Ebara Corp. JPY50............................................................ 18,000 234,169
Eisai Co., Ltd. JPY50........................................................ 16,450 323,133
Ezaki Glico Co., Ltd. JPY50.................................................. 8,000 68,924
Fanuc Ltd. JPY50............................................................. 14,700 469,863
Fuji Bank Ltd. JPY50......................................................... 180,000 2,620,832
Fuji Photo Film Co., Ltd. JPY50.............................................. 32,000 1,053,158
Fujikura Ltd JPY50........................................................... 21,000 167,899
Fujita Corp. JPY50........................................................... 31,000 88,938
Fujita Kanko Inc. JPY50...................................................... 8,000 148,186
The accompanying notes are an integral part of the financial statements.
SAI-191
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Fujitsu Ltd. JPY50........................................................... 114,000 $1,060,739
Furukawa Electric Ltd. JPY50................................................. 40,000 189,196
Gakken JPY50................................................................. 5,000 28,216
Gunma Bank Ltd. JPY50........................................................ 31,000 269,751
Gunze Ltd. JPY50............................................................. 15,000 77,669
Hankyu Corp. JPY50........................................................... 53,000 262,557
Hankyu Department Store JPY50................................................ 12,000 118,894
Haseko Corp. JPY50........................................................... 24,000 64,099
Hazama Corp. JPY50........................................................... 20,000 55,311
Higo Bank JPY50.............................................................. 16,000 106,556
Hirose Electric Co., Ltd. JPY50.............................................. 2,400 138,744
Hitachi Ltd. JPY50........................................................... 207,000 1,926,079
Hitachi Zosen Corp. JPY50.................................................... 62,000 240,372
Hokuriku Bank Ltd. JPY50..................................................... 42,000 205,531
Honda Motor Co., Ltd. JPY50.................................................. 61,000 1,739,554
House Food Industrial Co., Ltd. JPY50........................................ 7,000 112,777
Hoya Corp. JPY50............................................................. 7,000 274,403
Inax Corp. JPY50............................................................. 15,000 110,881
Industrial Bank of Japan Ltd. JPY50.......................................... 157,440 2,726,410
Isetan Co., Ltd. JPY50....................................................... 14,000 180,925
Ishihara Sangyo Kaisha JPY50................................................. 14,000 33,773
Ito Yokado Co., Ltd. JPY50................................................... 26,000 1,128,974
ITOCHU Corp. JPY50........................................................... 89,000 476,936
Itoham Foods JPY50........................................................... 14,000 86,603
Iwatani International Corp. JPY50............................................ 13,000 55,217
Jaccs Co., Ltd. JPY50........................................................ 9,000 69,785
Japan Airlines Co., Ltd. JPY50............................................... 109,000 577,539
Japan Energy Corp. JPY50..................................................... 67,000 181,830
Japan Metals & Chemicals JPY50............................................... 7,000 23,279
Japan Steel Works Ltd. JPY50................................................. 17,000 38,666
JGC Corp. JPY50.............................................................. 9,000 67,382
Joyo Bank Ltd. JPY50 Rfd 12Oct96............................................. 4,000 23,641
Joyo Bank Ltd. JPY50......................................................... 51,000 306,694
Jusco Co., Ltd. JPY50........................................................ 20,000 677,178
Kajima Corp. JPY50........................................................... 60,000 428,018
Kaken Pharmaceutical JPY50................................................... 4,000 23,744
Kamigumi Co., Ltd. JPY50..................................................... 16,000 104,764
Kandenko Co. Ltd JPY50....................................................... 12,900 122,254
Kanebo Ltd. JPY50............................................................ 32,000 65,891
Kaneka Corp. JPY50........................................................... 22,000 112,398
Kansai Electric Power Co., Inc. JPY500....................................... 60,800 1,257,172
Kansai Paint Co., Ltd. JPY50................................................. 14,000 62,721
Kao Corp. JPY50.............................................................. 37,000 430,344
Katokichi Co. JPY50.......................................................... 3,000 58,155
Kawasaki Heavy Industries Ltd. JPY50......................................... 85,000 350,780
Kawasaki Kisen Kaisha Ltd. JPY50............................................. 36,000 81,882
Kawasaki Steel JPY50......................................................... 202,000 579,530
Keihin Electric Express Railway JPY50........................................ 31,480 144,016
Kikkoman Corp. JPY50......................................................... 10,000 59,016
Kinden Corp. JPY50........................................................... 16,200 205,169
The accompanying notes are an integral part of the financial statements.
SAI-192
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Kinki Nippon Railway JPY50................................................... 100,370 $ 625,205
Kirin Brewery Co., Ltd. JPY50................................................ 65,000 638,408
Kissei Pharmaceutical Co., Ltd. JPY50........................................ 3,300 65,392
Kokuyo Co., Ltd. JPY50....................................................... 8,000 197,122
Komatsu Ltd. JPY50........................................................... 61,000 499,268
Komori Corp. JPY50........................................................... 5,000 105,971
Konami Co., Ltd. JPY50....................................................... 2,000 68,062
Konica Corp. JPY50........................................................... 22,000 145,567
Koyo Seiko Co., Ltd. JPY50................................................... 12,000 99,250
Kubota Corp. JPY50........................................................... 88,000 423,813
Kumagai Gumi Co., Ltd. JPY50................................................. 42,000 103,851
Kurabo Industries JPY50...................................................... 12,000 34,117
Kuraray Co., Ltd. JPY50...................................................... 21,000 193,590
Kureha Chemical Industry Co., Ltd. JPY50..................................... 12,000 47,868
Kurita Water Industries Ltd. JPY50........................................... 8,600 173,378
Kyocera Corp. JPY50.......................................................... 12,000 746,446
Kyowa Hakko Kogyo Co., Ltd. JPY50............................................ 27,000 205,635
Kyudenko Co., Ltd. JPY50..................................................... 4,000 41,354
Lion Corp. JPY50............................................................. 19,000 94,124
Maeda Road Construction Co., Ltd. JPY50...................................... 5,000 57,724
Makino Milling Machine Co., Ltd. JPY50....................................... 5,000 31,834
Makita Corp. JPY50........................................................... 10,000 139,571
Marubeni Corp. JPY50......................................................... 93,000 399,018
Maruha Corp. JPY50........................................................... 13,000 37,296
Marui Co., Ltd. JPY50........................................................ 23,000 414,147
Matsushita Electric Industrial Co., Ltd. JPY50............................... 131,000 2,133,109
Meiji Milk Products JPY50.................................................... 18,000 91,497
Meiji Seika Kaisha Ltd. JPY50................................................ 24,000 124,270
Minebea Co. Ltd JPY50........................................................ 24,000 200,155
Misawa Homes Co., Ltd. JPY50................................................. 6,000 41,871
Mitsubishi Corp. JPY50....................................................... 97,000 1,002,843
Mitsubishi Electric Corp. JPY50.............................................. 132,000 784,699
Mitsubishi Estate Co., Ltd. JPY50............................................ 81,000 830,447
Mitsubishi Gas & Chemical Co., Inc. JPY50.................................... 31,000 111,372
Mitsubishi Heavy Industries Ltd. JPY50....................................... 210,000 1,664,513
Mitsubishi Kasei Corp. JPY50................................................. 135,000 436,159
Mitsubishi Material Corp. JPY50.............................................. 70,000 282,244
Mitsubishi Oil Co., Ltd. JPY50............................................... 28,000 167,175
Mitsubishi Paper Mills Ltd. JPY50............................................ 16,000 62,445
Mitsubishi Rayon Co., Ltd. JPY50............................................. 39,000 144,146
Mitsubishi Trust & Banking Corp. JPY50....................................... 81,000 1,081,675
Mitsubishi Warehouse & Transportation Co., Ltd. JPY50........................ 10,000 129,232
Mitsui & Co., Ltd. JPY50..................................................... 97,000 785,560
Mitsui Engineering & Shipbuilding Co., Ltd. JPY50............................ 52,000 105,729
Mitsui Fudosan Co., Ltd. JPY50............................................... 50,000 499,698
Mitsui Marine & Fire Insurance Co., Ltd. JPY50............................... 45,000 241,535
Mitsui Mining & Smelting Co., Ltd. JPY50..................................... 31,000 105,497
Mitsui OSK Lines Ltd. JPY50.................................................. 68,000 162,281
Mitsui Soko Co. JPY50........................................................ 7,000 45,654
Mitsui Toatsu Chemicals Inc. JPY50........................................... 49,000 149,022
The accompanying notes are an integral part of the financial statements.
SAI-193
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Mitsui Trust & Banking Co., Ltd. JPY50....................................... 74,000 $ 576,979
Mitsukoshi Ltd. JPY50........................................................ 30,000 212,458
Mori Seiki Co., Ltd. JPY50................................................... 5,000 68,924
Murata Manufacturing Co., Ltd. JPY50......................................... 15,000 497,545
Nagase & Co., Ltd. JPY50..................................................... 9,000 74,515
Nagoya Railroad Co., Ltd. JPY50.............................................. 50,000 191,695
Namco JPY50.................................................................. 3,000 91,755
Nankai Electric Railway JPY50................................................ 30,750 165,579
NEC Corp. JPY50.............................................................. 96,000 1,157,922
New Oji Paper Co., Ltd. JPY50................................................ 65,166 411,533
NGK Insulators Ltd. JPY50.................................................... 21,000 199,018
NGK Spark Plug Co., Ltd. JPY50............................................... 14,000 153,183
Nichido Fire & Marine Insurance Co., Ltd. JPY50.............................. 28,100 159,783
Nichii Co. Ltd. JPY50........................................................ 18,000 260,532
Nichirei Corp. JPY50......................................................... 16,000 77,608
Nihon Cement Co., Ltd. JPY50................................................. 21,000 106,927
Niigata Engineering Co., Ltd. JPY50.......................................... 15,000 41,871
Nikon Corp. JPY50............................................................ 23,000 285,345
Nippon Beet Sugar Manufacturing Co. JPY50.................................... 8,000 29,637
Nippon Comsys Corp. JPY50.................................................... 7,000 79,607
Nippon Express Co. Ltd. JPY50................................................ 67,000 458,327
Nippon Fire & Marine Insurance Co., Ltd. JPY50............................... 36,000 162,833
Nippon Light Metal Co. JPY50................................................. 33,000 135,332
Nippon Meat Packers JPY50.................................................... 14,000 180,925
Nippon Oil Co., Ltd. JPY50................................................... 76,000 389,593
Nippon Paper Industries JPY50................................................ 59,000 274,490
Nippon Sharyo Ltd. JPY50..................................................... 7,000 50,056
Nippon Sheet Glass Co., Ltd. JPY50........................................... 27,000 95,606
Nippon Shinpan Co., Ltd. JPY50............................................... 19,000 106,401
Nippon Shokubai Co., Ltd. JPY50.............................................. 10,000 74,093
Nippon Steel Corp. JPY50..................................................... 423,000 1,246,369
Nippon Suisan Kaisha Ltd. JPY50.............................................. 16,000 56,518
Nippon Yusen KK JPY50........................................................ 72,000 325,045
Nippondenso Co., Ltd. JPY50.................................................. 54,000 1,298,010
Nishimatsu Construction Co., Ltd. JPY50...................................... 17,000 147,928
Nissan Motor Co., Ltd. JPY50................................................. 154,000 891,600
Nisshinbo Industries Inc. JPY50.............................................. 15,000 116,568
Nissin Food Products JPY50................................................... 8,000 170,242
Nitto Denko Corp. JPY50...................................................... 9,000 131,817
NKK Corp. JPY50.............................................................. 219,000 492,453
NOF Corp. JPY50.............................................................. 10,000 43,250
Nomura Securities Co., Ltd. JPY50............................................ 122,000 1,828,896
Noritake Co., Ltd. JPY50..................................................... 10,000 83,226
NSK Ltd. JPY50............................................................... 35,000 211,683
NTN Toyo Bearing Co., Ltd. JPY50............................................. 29,000 157,405
Obayashi Corp. JPY50......................................................... 46,000 309,916
Odakyu Electric Railway JPY50................................................ 45,080 269,929
Okamoto Industries Inc. JPY50................................................ 7,000 33,109
Okuma Corp. JPY50............................................................ 8,000 63,686
Okumura Corp. JPY50.......................................................... 15,000 90,980
The accompanying notes are an integral part of the financial statements.
SAI-194
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Olympus Optical Co., Ltd. JPY50.............................................. 16,000 $ 151,633
Omron Corp. JPY50............................................................ 16,000 300,508
Onoda Cement Co., Ltd. JPY50................................................. 36,000 152,908
Onward Kashiyama Co., Ltd. JPY50............................................. 11,000 154,476
Orient Corp. JPY50........................................................... 21,000 112,716
Orix Corp. JPY50............................................................. 4,000 166,107
Osaka Gas Co., Ltd. JPY50.................................................... 157,000 428,784
Oyo Corp. JPY50.............................................................. 2,000 86,672
Penta Ocean Construction Co., Ltd. JPY50..................................... 22,000 97,803
Pioneer Electronic Corp. JPY50............................................... 11,000 209,443
QP Corp. JPY50............................................................... 8,000 64,789
Renown Inc. JPY50............................................................ 12,000 31,946
Rohm Co. JPY50............................................................... 7,000 458,344
Sakura Bank Ltd. JPY50....................................................... 213,000 1,519,462
Sanden Corp. JPY50........................................................... 7,000 55,966
Sankyo Aluminium Industries Co., Ltd. JPY50.................................. 16,000 62,859
Sankyo Co., Ltd. JPY50....................................................... 28,000 791,247
Sanrio Co., Ltd. JPY50....................................................... 3,000 24,166
Sanwa Shutter Corp. JPY50.................................................... 15,000 111,786
Sanyo Electric Co., Ltd. JPY50............................................... 120,000 496,252
Sapporo Breweries JPY50...................................................... 21,000 173,688
Sato Kogyo JPY50............................................................. 12,000 41,768
Secom Co., Ltd. JPY50........................................................ 7,000 422,762
Sega Enterprises Ltd. JPY50.................................................. 6,300 211,683
Seino Transportation JPY50................................................... 9,000 99,250
Seiyu Ltd. JPY50............................................................. 14,000 137,503
Sekisui Chemical Co., Ltd. JPY50............................................. 34,000 342,724
Sekisui House Ltd. JPY50..................................................... 44,000 447,316
Sharp Corp. JPY50............................................................ 70,000 995,089
Shimachu JPY50............................................................... 3,000 76,764
Shimano Inc. JPY50........................................................... 9,000 152,753
Shimizu Corp. JPY50.......................................................... 49,000 365,168
Shin-Etsu Chemical Co., Ltd. JPY50........................................... 20,800 378,117
Shionogi & Co., Ltd. JPY50................................................... 22,000 156,750
Shiseido Co., Ltd. JPY50..................................................... 25,000 288,619
Shizuoka Bank Ltd. JPY50..................................................... 50,000 529,853
Showa Denko KK JPY50......................................................... 65,000 148,962
Skylark Co., Ltd. JPY50...................................................... 6,000 91,497
SMC Corp. JPY50.............................................................. 4,000 268,459
Snow Brand Milk Products Co., Ltd. JPY50..................................... 20,000 112,863
Sony Corp. JPY50............................................................. 23,300 1,523,624
Sumitomo Bank Ltd. JPY50..................................................... 195,000 2,805,635
Sumitomo Cement Co., Ltd. JPY50.............................................. 28,000 92,393
Sumitomo Chemical Co., Ltd. JPY50............................................ 101,000 399,406
Sumitomo Corp. JPY50......................................................... 65,000 511,286
Sumitomo Electric Industries JPY50........................................... 43,000 600,155
Sumitomo Forestry Co., Ltd. JPY50............................................ 11,000 133,626
Sumitomo Heavy Industries Ltd. JPY50......................................... 37,000 112,208
Sumitomo Marine & Fire Insurance Co., Ltd. JPY50............................. 42,000 260,532
Sumitomo Metal Industries JPY50.............................................. 193,000 473,895
The accompanying notes are an integral part of the financial statements.
SAI-195
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Sumitomo Metal Mining Co. JPY50.............................................. 35,000 $ 235,504
Taisei Corp. JPY50........................................................... 63,000 325,666
Taisho Pharmaceutical Co., Ltd. JPY50........................................ 21,000 493,926
Taiyo Yuden Co. Ltd JPY50.................................................... 7,000 97,700
Takara Shuzo Co., Ltd. JPY50................................................. 11,000 77,238
Takara Standard JPY50........................................................ 9,000 74,826
Takashimaya Co. JPY50........................................................ 19,000 227,535
Takeda Chemical Industries Ltd. JPY50........................................ 54,000 1,130,525
Takuma Co., Ltd JPY50........................................................ 4,000 43,767
Teijin Ltd. JPY50............................................................ 60,000 261,566
Teikoku Oil Co., Ltd. JPY50.................................................. 15,000 81,287
Toa Corp. JPY50.............................................................. 12,000 62,652
Tobu Railway Co., Ltd. JPY50................................................. 53,000 258,904
Toei JPY50................................................................... 9,000 57,844
Toho Co. JPY500.............................................................. 1,100 159,214
Tohoku Electric Power Co., Inc. JPY500....................................... 30,900 612,303
Tokai Bank Ltd. JPY50........................................................ 125,000 1,303,093
Tokio Marine & Fire Insurance Co., Ltd. JPY50................................ 96,000 901,525
Tokyo Broadcasting System Inc. JPY50......................................... 11,000 167,744
Tokyo Dome Corp. JPY50....................................................... 10,000 174,033
Tokyo Electric Power Co., Inc. JPY500........................................ 84,100 1,840,389
Tokyo Electron Ltd. JPY50.................................................... 9,000 275,265
Tokyo Gas Co., Ltd. JPY50.................................................... 175,000 473,421
Tokyo Steel Manufacturing JPY50.............................................. 9,700 137,891
Tokyo Style JPY50............................................................ 6,000 83,743
Tokyo Tatemono Co. Ltd JPY50................................................. 14,000 62,721
Tokyotokeiba JPY20........................................................... 18,000 58,155
Tokyu Corp. JPY50............................................................ 68,000 385,492
Toppan Printing Co. Ltd JPY50................................................ 43,000 537,176
Toray Industries Inc. JPY50.................................................. 87,000 535,927
Tosoh Corp. JPY50............................................................ 37,000 126,553
Tostem Corp. JPY50........................................................... 14,000 385,974
Toto Ltd. JPY50.............................................................. 21,000 238,821
Toyo Engineering Corp. JPY50................................................. 8,000 35,703
Toyo Exterior Co. JPY50...................................................... 3,000 44,456
Toyo Seikan Kaisha Ltd. JPY50................................................ 12,000 288,447
Toyobo Co., Ltd. JPY50....................................................... 43,000 128,922
Toyoda Auto Loom Works Ltd. JPY50............................................ 17,000 317,825
Toyota Motor Corp. JPY50..................................................... 235,000 6,742,052
Trans Cosmos Inc. JPY50...................................................... 1,000 31,533
Tsubakimoto Machinery + Engineering JPY50.................................... 12,000 64,099
UBE Industries Ltd. JPY50.................................................... 51,000 144,120
Uni-Charm JPY50.............................................................. 4,000 97,872
Uniden Corp. JPY50........................................................... 2,000 26,363
Unitika Ltd. JPY50........................................................... 30,000 64,616
UNY Co., Ltd. JPY50.......................................................... 12,000 219,178
Wacoal Corp. JPY50........................................................... 10,000 110,278
Yamaguchi Bank Ltd. JPY50.................................................... 12,000 175,756
Yamaha Corp. JPY50........................................................... 12,000 203,670
Yamaichi Securities Co. JPY50................................................ 75,000 332,773
The accompanying notes are an integral part of the financial statements.
SAI-196
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Yamanouchi Pharmaceutical Co., Ltd. JPY50.................................... 20,000 $ 410,097
Yamato Transport Co., Ltd. JPY50............................................. 23,000 237,788
Yamazaki Baking Co. Ltd JPY50................................................ 14,000 223,141
Yasuda Trust & Banking Co., Ltd. JPY50....................................... 69,000 291,884
Yokogawa Electric Corp. JPY50................................................ 16,000 137,848
-------------
115,771,036
-------------
MALAYSIA 2.6%
Aluminium Co. of Malaysia Bhd MYR1........................................... 6,300 9,380
Amalgamated Steel Mills Bhd Ord MYR0.50...................................... 86,800 64,615
AMMB Holdings Bhd MYR1....................................................... 29,400 246,795
Antah Holdings Bhd Ord MYR0.50............................................... 17,220 23,592
Aokam Perdana Bhd MYR1....................................................... 14,000 16,575
Berjaya Group Bhd MYR1....................................................... 60,650 51,632
Berjaya Leisure Bhd MYR1..................................................... 31,900 48,251
Commerce Asset Holdings Bhd MYR1............................................. 21,700 163,255
DCB Holdings Bhd MYR1........................................................ 56,700 194,201
Edaran Otomobil Nasional Bhd MYR1............................................ 17,100 170,966
Ekran Bhd MYR1............................................................... 20,200 84,783
Golden Hope Plantations Bhd MYR1............................................. 69,200 117,822
Golden Plus Holdings Bhd MYR1................................................ 8,300 15,446
Guinness Anchor Bhd MYR0.50.................................................. 20,700 50,818
Highlands & Lowlands Bhd Ord MYR0.50......................................... 42,300 70,681
Hong Leong Industries Bhd MYR0.50............................................ 14,880 50,670
Hong Leong Properties Bhd Ord MYR0.50........................................ 48,500 64,142
Hume Industries Bhd MYR1..................................................... 17,500 110,176
Idris Hydraulic (Malaysia) Bhd MYR0.50....................................... 37,200 42,864
IGB Corp. Bhd MYR0.50........................................................ 33,000 36,718
Industrials Oxygen Inc. Bhd MYR0.50.......................................... 61,400 94,331
Jaya Tiasa Holdings MYR1..................................................... 18,000 95,506
Johan Holdings Bhd MYR0.50................................................... 21,700 18,474
Kedah Cement Holdings Bhd MYR1............................................... 28,600 56,622
Kelanamas Industries Bhd MYR1................................................ 6,800 12,709
Kemayan Corp. Bhd MYR0.50.................................................... 22,500 30,647
Kian Joo Can Factory Bhd MYR0.50............................................. 8,300 46,011
Kuala Lumpur Kepong Bhd Ord MYR1............................................. 51,500 130,509
Land & General Bhd MYR1...................................................... 34,900 83,605
Landmarks Bhd MYR1........................................................... 28,900 38,449
Leader Universal Holdings Bhd MYR1........................................... 30,000 62,958
Magnum Corp. Bhd MYR0.50..................................................... 111,700 216,721
Malayan Banking Bhd MYR1..................................................... 84,900 941,279
Malayan Cement Bhd MYR0.50................................................... 20,700 47,539
Malayan United Industries Bhd MYR1........................................... 87,800 65,359
Malayawata Steel Bhd MYR1.................................................... 7,300 13,759
Malaysia Mining Corp. Bhd MYR1............................................... 57,800 66,829
Malaysian Airline System Bhd Ord MYR1........................................ 53,500 138,755
Malaysian International Shipping Corp. Bhd MYR1 Alien Market................. 76,833 228,172
Malaysian Mosaics Bhd MYR1................................................... 18,600 23,862
Malaysian Oxygen Bhd MYR0.50................................................. 9,800 50,445
Malaysian Pacific Industries Bhd MYR0.50..................................... 14,966 58,074
Malaysian Resources Corp. Bhd MYR1........................................... 37,300 146,955
The accompanying notes are an integral part of the financial statements.
SAI-197
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
MBF Capital Bhd MYR1......................................................... 54,000 $ 87,666
Metroplex Bhd MYR0.50........................................................ 57,600 70,703
Mulpha International Bhd MYR0.50............................................. 53,000 45,959
Multi Purpose Holdings MYR1.................................................. 51,700 100,309
Mycom Bhd MYR1............................................................... 23,666 29,987
Nestle Malaysia Bhd MYR1..................................................... 16,500 132,627
New Straits Times Press Bhd MYR1............................................. 13,400 77,466
Oriental Holdings Bhd MYR1................................................... 14,420 98,208
Palmco Holdings Bhd MYR1..................................................... 8,400 9,579
Pan-Malaysia Cement Works Bhd MYR0.50........................................ 51,400 51,899
Perlis Plantations Bhd MYR1.................................................. 25,000 77,707
Perusahaan Otomobil Nasional Bhd MYR1........................................ 40,300 255,316
Petaling Garden Bhd MYR0.50.................................................. 13,400 17,509
Pilecon Engineering Bhd MYR0.50.............................................. 11,500 14,025
Promet Bhd MYR1.............................................................. 36,200 31,391
Public Bank Bhd MYR0.50 Alien Market......................................... 82,866 175,543
Rashid Hussain Bhd MYR1...................................................... 24,600 162,669
Resorts World Bhd MYR0.50.................................................... 81,800 372,481
RJ Reynolds Bhd MYR1......................................................... 17,600 47,737
Rothmans of Pall Mall Bhd MYR0.50............................................ 21,200 222,451
Selangor Properties Bhd MYR1................................................. 23,800 26,104
Shell Refining Co. MYR1...................................................... 21,200 62,118
Sime Darby Bhd MYR0.50....................................................... 173,700 684,346
Sungei Way Holdings Rights .................................................. 2,400 2,423
Sungei Way Holdings Bhd MYR1................................................. 24,000 71,273
Ta Enterprise Bhd MYR1....................................................... 44,000 58,190
Tan Chong Motor Holdings Bhd MYR0.50......................................... 46,500 78,804
Tech Resources Industries Bhd MYR1........................................... 60,200 118,708
Telekom Malaysia Bhd MYR1.................................................... 148,900 1,326,569
Tenaga Nasional Bhd MYR1..................................................... 225,900 1,082,316
Time Engineering Bhd MYR1.................................................... 35,000 64,858
UMW Holdings Bhd MYR1........................................................ 19,300 90,176
United Engineers (Malaysia) Ltd. MYR0.50..................................... 57,000 514,591
YTL Corp., Bhd Ord MYR0.50................................................... 44,800 241,251
-------------
10,803,911
-------------
NETHERLANDS 4.7%
ABN Amro Holdings NV NLG5.................................................... 24,234 1,574,692
Akzo Nobel NV NLG20.......................................................... 5,191 708,218
Elsevier NV NLG0.10.......................................................... 48,503 818,758
Getronics NV NLG 0.25........................................................ 5,956 161,485
Heineken NV NLG25............................................................ 3,664 647,735
Hollandsche Beton Groep NV Ord NLG20......................................... 209 43,243
IHC Caland NV NLG2........................................................... 1,675 95,573
ING Groep NV Cva NLG1........................................................ 57,364 2,062,690
KLM Royal Dutch Airlines NLG20............................................... 6,300 177,003
Kon Hoogovens NV Cva NLG20................................................... 2,250 93,652
Kon Pvc Nederlanden NLG10.................................................... 34,152 1,301,085
Koninklijke Ahold NV NLG1.25................................................. 12,175 760,146
Koninklijke KNP Bt NV NLG2.50................................................ 7,085 154,413
The accompanying notes are an integral part of the financial statements.
SAI-198
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Koninklijke Pakhoed NV Cva NLG5.............................................. 1,879 $ 58,658
Nedlloyd Groep NV NLG10...................................................... 1,572 43,076
Oce van der Grinten NV NLG4.................................................. 1,319 143,048
Philips Electronics NV NLG10................................................. 25,030 1,012,892
Royal Dutch Petroleum Co. NLG5 Br............................................ 39,144 6,854,386
Stad Rotterdam Cva NLG2.50................................................... 2,004 79,127
Stork NV NLG10............................................................... 1,896 66,751
Unilever NV Cva NLG4......................................................... 11,686 2,064,540
Wolters Kluwer NV Cva NLG1................................................... 4,951 656,870
-------------
19,578,041
-------------
NEW ZEALAND 0.4%
Brierley Investment Ltd. NZD0.50............................................. 188,740 174,710
Carter Holt Harvey Ltd. NZD0.50.............................................. 122,137 277,035
Ceramco Corp., Ltd. Ord NZD0.50.............................................. 1,900 1,812
Fisher & Paykel Industries NZD0.50........................................... 6,865 26,922
Fletcher Challenge Forestry Ltd. NZD......................................... 56,678 94,917
Fletcher Challenge Ltd. Paper Shares NZD0.40................................. 52,200 107,336
Fletcher Challenge Ltd. Energy Shs NZD0.40................................... 26,050 75,470
Fletcher Challenge Ltd. Building Shares NZD0.40.............................. 26,050 80,072
Lion Nathan Ltd. NZD0.25..................................................... 38,700 92,703
Telecom Corp. of New Zealand NZD1............................................ 133,360 680,370
-------------
1,611,347
-------------
NORWAY 0.6%
Aker AS NOK20 B.............................................................. 600 12,121
Aker AS NOK20 Series A....................................................... 3,300 73,386
Bergesen DY A/S NOK2.50 A.................................................... 3,700 90,394
Bergesen DY A/S NOK2.50 B (Non Vtg).......................................... 1,600 38,087
Christiania Bank NOK7........................................................ 43,300 136,978
Dyno Industrier A/S NOK20.................................................... 1,800 45,667
Elkem AS NOK20 A............................................................. 3,400 56,175
Hafslund ASA NOK1 Ser A...................................................... 6,147 45,245
Hafslund ASA NOK1 Ser B...................................................... 4,467 30,571
Helikopter Service A/S NOK11.50.............................................. 1,400 18,198
Kvaerner AS NOK12.50 B....................................................... 700 30,366
Kvaerner AS NOK12.50......................................................... 2,400 116,704
Leif Hoegh & Co., A/S NOK2................................................... 2,100 44,398
Norsk Hydro AS NOK20......................................................... 17,666 954,485
Norske Skogsindustrier AS NOK20 A............................................ 2,200 73,386
Norske Skogsindustrier AS NOK20 B............................................ 400 12,184
Nycomed NOK4 Ser A........................................................... 4,247 64,849
Nycomed NOK4 Ser B........................................................... 2,867 44,001
Orkla A/S NOK25 B............................................................ 800 50,741
Orkla AS NOK25 A............................................................. 3,100 216,040
Petroleum Geo Services A/S NOK5.............................................. 2,300 89,689
Storebrand ASA A NOK20....................................................... 22,200 128,637
Unitor Ships Service NOK12.50................................................ 1,300 16,694
Vard A/S NOK2 A.............................................................. 13,285 22,262
-------------
2,411,258
-------------
The accompanying notes are an integral part of the financial statements.
SAI-199
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
SINGAPORE 1.3%
Amcol Holdings (a) SGD0.25................................................... 17,667 $ 0
Chuan Hup Holdings SGD1...................................................... 16,000 10,695
City Developments Ltd. SGD0.50............................................... 54,680 492,542
Comfort Group SGD0.25........................................................ 37,000 32,800
Creative Technology Ord SGD0.25.............................................. 6,000 62,625
Cycle & Carriage Ltd. SGD1................................................... 16,000 195,596
DBS Land Ltd. SGD1........................................................... 64,000 235,630
Development Bank of Singapore Ltd. SGD1 (Alien Market)....................... 24,250 327,656
First Capital Corp. SGD1..................................................... 17,000 51,287
Fraser & Neave Ltd. SGD1..................................................... 20,800 214,126
Goldtron Ltd. SGD0.20........................................................ 23,000 13,401
Hai Sun Hup Group Ltd. SGD0.20............................................... 30,000 22,090
Haw Par Brothers International Ltd. SGD1..................................... 13,200 30,009
Hotel Properties SGD1........................................................ 28,000 45,239
Inchcape Bhd SGD0.50......................................................... 11,000 38,218
IPC Corp. SGD0.05............................................................ 70,000 24,521
Jurong Shipyard Ltd. SGD0.50................................................. 8,000 40,320
Keppel Corp., Ltd. SGD1...................................................... 36,000 280,526
Lum Chang Holdings Ltd. SGD0.50.............................................. 19,600 17,235
Metro Holdings SGD1.......................................................... 6,600 23,309
Natsteel Ltd. SGD0.50........................................................ 23,000 52,288
Neptune Orient Lines Ltd. SGD1............................................... 50,000 43,251
Overseas Chinese Banking Corp. SGD1 Alien Market............................. 37,400 465,227
Overseas Union Enterprise Ltd. SGD1.......................................... 9,000 45,039
Parkway Holdings Ltd. SGD0.50................................................ 21,000 82,571
Prima Ltd. SGD1.............................................................. 2,000 7,363
Robinson & Co., Ltd. SGD1.................................................... 4,000 16,300
Sembawang Maritime Ltd. SGD1................................................. 6,000 17,158
Shangri La Hotel Ltd. SGD1................................................... 11,000 37,589
Singapore Airlines Ltd. SGD1 (Alien Market).................................. 48,000 435,802
Singapore Press Holdings Ltd. SGD1 (Alien Market)............................ 12,800 252,559
Singapore Technical Industries SGD1.25....................................... 48,000 120,103
Singapore Telecommunications SGD0.15......................................... 425,000 1,002,645
Straits Trading Co., Ltd. SGD1............................................... 21,000 51,044
United Industrial Corp., Ltd. SGD1........................................... 94,000 79,297
United Overseas Bank Ltd. SGD1 (Alien Market)................................ 38,634 430,862
United Overseas Land Ltd. SGD1............................................... 35,000 53,296
Van Der Horst Ltd. SGD1...................................................... 8,000 33,457
-------------
5,383,676
-------------
SPAIN 2.2%
Acerinox SA ESP1000 Regd..................................................... 834 120,283
Aguila SA ESP500............................................................. 1,507 7,218
Argentaria Corp Bancaria De Espana ESP500.................................... 9,150 408,699
Autopistas Concesionaria Espanola SA ESP500.................................. 16,685 229,607
Banco Bilbao Vizcaya ESP600 Regd............................................. 16,364 881,888
Banco Central Hispanoamericano SA ESP500 Regd................................ 11,928 305,823
Banco de Santander SA ESP750 Regd............................................ 11,654 744,530
Corporacion Financiera Alba SA ESP1000....................................... 1,100 110,951
The accompanying notes are an integral part of the financial statements.
SAI-200
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Corporacion Mapfre Compania Internacional de Reaseguros SA ESP500 Regd ...... 2,173 $ 132,143
Dragados Y Construciones SA ESP500........................................... 3,968 61,011
Ebro Agricolas ESP100........................................................ 3,350 58,849
Empresa Nacional de Celulosas ESP1000........................................ 1,200 14,346
Empresa Nacional de Electricidad ESP800...................................... 18,912 1,343,432
Ercros SA ESP500............................................................. 10,400 6,396
Fomento de Construcciones y Contratas SA ESP500.............................. 1,050 97,674
Gas Natural Sdg SA ESP600.................................................... 2,735 634,995
General de Aguas d' Barcelona ESP500......................................... 3,178 131,933
General de Aguas d' Barcelona New Esp500 Rfd 1/1/97.......................... 43 1,785
Iberdrola SA ESP500.......................................................... 66,954 947,110
INM Metrovacesa ESP500....................................................... 1,539 56,496
Inmobiliaria Urbis SA ESP500................................................. 2,300 9,195
Portland Valderrivas ESP500.................................................. 450 30,236
Prosegur Seguridad ESP100 Regd............................................... 4,250 39,208
Repsol SA ESP500............................................................. 21,826 835,622
Sarrio SA ESP500............................................................. 3,750 12,339
Tabacalera SA ESP500 Regd.................................................... 2,553 109,716
Telefonica de Espana SA ESP500............................................... 68,428 1,586,088
Union Electrica Fenosa SA ESP500............................................. 22,186 237,936
Uralita SA ESP500............................................................ 3,362 26,234
Vallehermoso SA ESP500....................................................... 3,010 65,141
Viscofan Envolturas Celulosi ESP100.......................................... 1,500 21,910
Zardoya Otis SA ESP1000...................................................... 695 80,680
-------------
9,349,474
-------------
SWEDEN 2.2%
AB Electrolux B SEK25........................................................ 4,700 272,584
AGA AB A SEK5................................................................ 7,600 114,646
AGA AB B SEK5................................................................ 6,300 94,112
ASEA AB A SEK50.............................................................. 4,300 484,915
ASEA AB B SEK50.............................................................. 1,700 192,209
Astra AB A SEK2.50........................................................... 31,965 1,577,651
Astra AB B SEK2.50........................................................... 7,300 351,743
Atlas Copco AB A SEK5........................................................ 7,800 188,488
Atlas Copco AB B SEK5........................................................ 3,400 82,660
Autoliv AB SEK10............................................................. 3,200 140,129
Diligentia SEK10............................................................. 3,360 52,900
Ericsson LM Telephone B SEK2.50.............................................. 60,960 1,883,796
Esselte AB A SEK12.50........................................................ 1,100 24,971
Esselte AB B SEK12.50........................................................ 800 17,692
Euroc AB A SEK25............................................................. 3,400 124,487
H&M AB B SEK5................................................................ 2,600 359,461
Securitas AB Ser B SEK2...................................................... 4,200 122,100
Skandia Foersaekrings AB SEK5................................................ 6,500 183,729
Skandinaviska Enskilda Banken A SEK10........................................ 33,600 344,464
Skanska AB B SEK10........................................................... 8,000 353,251
SKF International AB B SEK12.50.............................................. 3,700 87,515
SKF International AB A SEK12.50.............................................. 3,000 68,761
Stadshypotek AB A SEK25...................................................... 7,700 210,882
Stora Kopparbergs B SEK5..................................................... 3,600 49,034
The accompanying notes are an integral part of the financial statements.
SAI-201
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Stora Kopparbergs Series A SEK5.............................................. 16,700 $ 229,906
Svenska Cellulosa B SEK10.................................................... 12,570 254,971
Svenska Handelsbanken B SEK10................................................ 1,100 30,287
Svenska Handelsbanken A SEK10................................................ 13,200 378,910
Swedish Match Co. SEK2....................................................... 27,800 97,715
Trelleborg AB B SEK25........................................................ 7,100 94,105
Volvo AB A SEK5.............................................................. 9,100 198,579
Volvo AB B SEK5.............................................................. 20,500 451,853
-------------
9,118,506
-------------
SWITZERLAND 5.6%
Adia SA CHF10................................................................ 1,185 296,515
Alusuisse Lonza Holdings AG CHF125 Br........................................ 145 113,058
Alusuisse Lonza Holdings AG CHF125 Regd...................................... 297 235,999
BBC Brown Boveri Ltd. CHF100................................................. 580 719,169
BBC Brown Boveri Ltd. CHF20 Regd............................................. 375 90,483
CS Holding AG CHF20 Regd..................................................... 13,650 1,397,732
Danzas Holding AG Ptg Certs CHF20............................................ 175 35,905
Forbo Holding CHF50 Regd..................................................... 105 42,225
Georg Fischer AG CHF100 Regd................................................. 30 6,144
Georg Fischer AG CHF500 Br................................................... 35 36,230
Grands Magasins Jelmoli CHF50 Br............................................. 25 13,777
Grands Magasins Jelmoli CHF10 Regd........................................... 95 10,046
Holderbank Financiere Glaris Ltd. CHF50 Br................................... 515 366,652
Kuoni Reisen Holding CHF50 Regd Series B..................................... 20 48,406
Merkur Holding AG CHF25 Regd................................................. 295 56,241
Moevenpick Holdings CHF50 Br................................................. 45 12,868
Moevenpick Holdings Ptg Certs CHF50.......................................... 15 3,709
Nestle SA CHF10 Regd......................................................... 2,854 3,054,214
Novartis AG CHF20 Regd....................................................... 4,396 5,018,668
Novartis AG CHF20 Br......................................................... 562 641,186
Roche Holding Ltd. CHF100 Br................................................. 116 1,304,439
Roche Holding Ltd. NPV....................................................... 510 3,955,652
Schindler Holding AG Ptg Certs CHF100........................................ 95 102,938
Schweize Bankgesellschaft CHF100 Br.......................................... 1,858 1,623,052
Schweize Bankverein CHF50 Regd............................................... 5,498 1,042,032
SGS Holding CHF100 Br........................................................ 122 298,913
Sika Finanz AG CHF60 Br...................................................... 170 40,512
SMH Swiss Corp. for Microelectronics & Watchmaking Industries Ltd. CHF10
Regd........................................................................ 1,045 148,641
SMH Swiss Corp. for Microelectronics & Watchmaking Industries Ltd. CHF50 Br . 253 155,440
Sulzer AG CHF100 Regd........................................................ 160 92,106
Sulzer AG Ptg Certs CHF100................................................... 81 43,190
Swiss Reinsurance Co. CHF10 Regd............................................. 1,043 1,109,955
Swissair Transport Co., Ltd. CHF350 Regd..................................... 161 129,850
Zurich Insurance CHF10 Regd.................................................. 3,295 912,824
-------------
23,158,771
-------------
UNITED KINGDOM 16.3%
Abbey National PLC Ord GBP0.10............................................... 88,100 1,151,752
AMEC PLC Ord GBP0.50......................................................... 8,109 12,766
Amstrad PLC Ord GBP0.25...................................................... 4,580 11,540
The accompanying notes are an integral part of the financial statements.
SAI-202
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Anglian Water PLC Ord GBP1................................................... 16,900 $ 170,041
Argos PLC Ord GBP0.10 5/7.................................................... 17,849 234,260
Argyll Group PLC Ord GBP0.25................................................. 67,953 468,601
Arjo Wiggins Appleton PLC Ord GBP0.25........................................ 51,467 158,082
Associated British Foods PLC Ord GBP0.05..................................... 56,400 466,140
Barclays PLC Ord GBP1........................................................ 96,000 1,643,532
Barratt Developments PLC Ord GBP0.10......................................... 11,750 50,667
Bass PLC Ord GBP0.25......................................................... 55,100 775,021
BAT Industries PLC Ord GBP0.25............................................... 193,914 1,605,995
BBA Group PLC Ord GBP0.25.................................................... 26,000 156,605
BICC PLC Ord GBP0.50......................................................... 26,241 123,482
Blue Circle Industries PLC Ord GBP0.50....................................... 46,042 281,263
BOC Group PLC Ord GBP0.25.................................................... 30,198 451,627
Boots Co., PLC GBP0.25....................................................... 56,700 584,076
Bowater PLC Ord GBP0.50...................................................... 31,250 193,575
Bowthorpe Holdings PLC Ord GBP0.10........................................... 12,138 94,088
BPB Industries PLC Ord GBP0.50............................................... 31,400 206,324
British Aerospace PLC Ord GBP0.10............................................ 26,869 587,587
British Airways PLC Ord GBP0.25.............................................. 60,300 625,803
British Gas PLC Ord GBP0.25.................................................. 275,100 1,054,456
British Land Co., PLC Ord GBP0.25............................................ 26,833 238,760
British Petroleum Co., PLC Ord GBP0.25....................................... 352,997 4,228,232
British Sky Broadcasting PLC Ord GBP0.50..................................... 107,600 961,109
British Steel PLC GBP0.50.................................................... 127,700 349,624
British Telecommunications PLC Ord GBP0.25................................... 394,600 2,667,129
BTR PLC Ord GBP0.25.......................................................... 250,886 1,223,520
Burmah Castrol PLC Ord GBP1.................................................. 12,670 239,351
Cable & Wireless PLC Ord GBP0.25............................................. 139,366 1,163,768
Cadbury Schweppes PLC Ord GBP0.25............................................ 61,680 520,333
Calor Group PLC Ord GBP0.50.................................................. 6,600 33,316
Caradon PLC Ord GBP0.25...................................................... 37,600 154,415
Carlton Communications PLC GBP0.05........................................... 36,310 317,868
Chubb Security PLC Ord GBP0.05............................................... 14,200 79,091
Coats Viyella PLC Ord GBP0.20................................................ 35,206 80,726
Commercial Union PLC Ord GBP0.25............................................. 42,188 494,503
Courtaulds PLC Ord GBP0.25................................................... 25,400 171,680
Courtaulds Textile PLC Ord GBP0.25........................................... 3,975 15,100
De La Rue Co., PLC Ord GBP0.25............................................... 14,098 138,712
Delta PLC Ord GBP0.25........................................................ 6,200 40,580
East Midlands Electricity PLC Ord 56 9/11P................................... 12,124 137,339
Electrocomponents PLC Ord GBP0.10............................................ 26,459 208,720
EMI PLC Ord GBP0.25.......................................................... 26,767 631,961
English China Clays PLC Ord GBP0.25.......................................... 15,469 50,293
FKI PLC GBP0.10.............................................................. 35,420 123,037
FR Group PLC Ord GBP0.25..................................................... 4,580 48,120
General Electric Co., PLC Ord GBP0.05........................................ 173,300 1,135,761
GKN PLC Ord GBP1............................................................. 21,900 375,118
Glaxo Holdings PLC Ord GBP0.25............................................... 220,000 3,576,318
Granada Group PLC Ord GBP0.25................................................ 53,215 785,841
Grand Metropolitan PLC Ord GBP0.25........................................... 131,446 1,030,155
The accompanying notes are an integral part of the financial statements.
SAI-203
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Great Portland Estates PLC Ord GBP0.50....................................... 20,375 $ 73,216
Great Universal Stores PLC Ord Stock GBP0.25................................. 63,100 661,881
Guardian Royal Exchange PLC Ord GBP0.05...................................... 56,463 269,078
Guinness PLC Ord GBP0.25..................................................... 120,900 949,574
Hammerson Property & Investment Development Corp., PLC Ord GBP0.25 .......... 17,768 122,831
Hanson PLC Ord GBP0.25....................................................... 322,100 451,954
Harrison & Crosfield PLC Ord GBP0.25......................................... 35,910 81,111
Hepworth PLC Ord GBP0.25..................................................... 15,300 65,975
HSBC Holdings PLC Ord HKD10.................................................. 112,298 2,446,190
HSBC Holdings PLC Ord GBP0.75................................................ 54,114 1,208,398
Hyder PLC Ord GBP1.20........................................................ 8,783 112,117
IMI PLC Ord GBP0.25.......................................................... 21,700 138,874
Imperial Chemical Industries PLC Ord GBP1.................................... 45,500 599,114
J. Sainsbury PLC Ord GBP0.25................................................. 115,042 761,828
Johnson Matthey PLC Ord GBP1................................................. 13,513 127,638
Kerry Group PLC A Ord IEP0.10................................................ 6,100 62,106
Kingfisher PLC GBP0.25....................................................... 41,985 452,610
Ladbroke Group PLC Ord GBP0.10............................................... 73,278 290,905
Laird Group PLC Ord GBP0.25.................................................. 7,200 48,912
Land Securities PLC Ord GBP1................................................. 32,100 409,764
Lasmo PLC Ord GBP0.25........................................................ 60,557 243,513
Legal & General Group Ord 10P................................................ 78,125 497,973
Lex Service PLC Ord GBP0.25.................................................. 5,716 31,006
London Electricity PLC Ord Gbp0.58 1/3....................................... 10,900 126,924
Lonrho PLC Ord GBP0.25....................................................... 39,269 83,994
Lucas Varity Ord GBP0.25..................................................... 88,966 339,484
Marks & Spencer PLC Ord GBP0.25.............................................. 176,800 1,488,460
Marley PLC Ord GBP0.25....................................................... 13,338 28,643
MEPC PLC Ord GBP0.25......................................................... 26,300 195,315
Mercury Assets Management Group PLC Ord GBP0.05.............................. 11,481 243,608
Meyer International PLC Ord GBP0.25.......................................... 6,412 39,718
National Grid Group Ord GBP0.10.............................................. 106,934 356,813
National Power PLC Ord GBP0.50............................................... 71,300 595,387
Next PLC Ord GBP0.10......................................................... 23,500 228,807
North West Water PLC Ord GBP1................................................ 32,574 345,026
Northern Electric Ord 56 12/23P.............................................. 5,419 59,995
Ocean Group PLC Ord GBP0.25.................................................. 9,800 81,164
P & O Holdings PLC Ord GBP1.................................................. 37,990 384,190
Pearson PLC Ord GBP0.25...................................................... 35,600 453,833
Pilkington PLC Ord GBP0.50................................................... 62,994 170,312
Provident Financial PLC Ord GBP0.10.......................................... 16,800 144,025
Prudential Corp., PLC Ord GBP0.05............................................ 120,115 1,011,235
Racal Electronics PLC Ord GBP0.25............................................ 14,200 62,204
Railtrack Group Ord 25P Regd Int Certs 200P.................................. 31,400 207,399
Rank Group Ord GBP0.10....................................................... 52,182 391,097
Redland PLC Ord GBP0.25...................................................... 32,615 205,937
Reed International PLC Ord GBP0.25........................................... 35,100 659,476
Reuters Holdings PLC Ord GBP0.025............................................ 105,200 1,351,003
RMC Group PLC Ord GBP0.25.................................................... 15,650 267,796
Rolls Royce PLC Ord GBP0.20.................................................. 90,861 399,577
The accompanying notes are an integral part of the financial statements.
SAI-204
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
Royal Bank of Scotland Group PLC Ord GBP0.25................................. 50,545 $ 486,076
RTZ Corp., PLC Ord GBP0.10 Regd.............................................. 67,072 1,076,549
Rugby Group PLC Ord GBP0.25.................................................. 40,200 64,661
Schroders PLC Ord GBP1....................................................... 12,200 317,108
Scottish & Newcastle Breweries PLC Ord GBP0.20............................... 38,542 453,086
Scottish Power PLC Ord GBP0.50............................................... 72,417 434,948
Sears PLC Ord GBP0.25........................................................ 95,500 153,611
Sedgwick Group PLC GBP0.10................................................... 34,320 76,932
Slough Estates PLC Ord GBP0.25............................................... 24,500 116,128
Smithkline Beecham Ord GBP0.125.............................................. 172,647 2,387,043
Smiths Industries PLC Ord GBP0.25............................................ 19,000 260,746
Southern Electronics Corp. Ord 53 71/93...................................... 16,244 220,145
St James Place Capital Ord GBP0.15........................................... 8,300 13,777
Sun Alliance Group PLC Ord GBP0.25........................................... 95,324 726,674
T&N PLC Ord GBP1............................................................. 26,928 80,176
Tarmac PLC Ord GBP0.50....................................................... 46,693 78,701
Tate & Lyle PLC GBP0.25...................................................... 24,924 201,516
Taylor Woodrow PLC Ord GBP0.25............................................... 24,200 62,943
TBS Group Ord GBP0.25........................................................ 324,318 2,391,873
Tesco PLC Ord GBP0.05........................................................ 135,040 818,004
Thames Water PLC Ord GBP1.................................................... 23,200 242,560
Thorn PLC Ord GBP0.25........................................................ 27,167 117,612
TI Group PLC Ord GBP0.25..................................................... 29,523 292,502
Transport Development Group PLC Ord GBP0.25.................................. 5,800 18,857
Unigate PLC Ord GBP0.25...................................................... 14,900 106,064
Unilever PLC Ord GBP0.05..................................................... 51,100 1,237,278
United Biscuits PLC Ord GBP0.25.............................................. 33,200 119,870
Vickers PLC Ord GBP0.50...................................................... 16,700 72,584
Vodafone Group PLC Ord GBP0.05............................................... 191,700 810,231
Williams Holdings PLC Ord GBP0.25............................................ 36,384 214,170
Willis Corroon Group PLC Ord GBP0.125........................................ 17,663 42,918
Wilson Holdings PLC Ord GBP0.25.............................................. 8,600 24,502
Wimpey (George) PLC Ord GBP0.25.............................................. 18,300 39,143
Wolseley PLC GBP0.25......................................................... 35,600 280,524
Zeneca Group Ord GBP0.25..................................................... 59,400 1,672,023
-------------
68,067,288
-------------
UNITED STATES 0.0%
Millennium Chemicals Inc. Common............................................. 3,750 66,563
-------------
PREFERRED STOCK 0.4%
AUSTRALIA (0.1%)
News Corp. Ltd. Pfd AUD0.50.................................................. 72,287 321,531
Sydney Harbour Casino Holdings Ltd. Pfd AUD1 ................................ 34,700 53,469
-------------
375,000
-------------
AUSTRIA 0.0%
Bau Holdings AG Pfd ATS100................................................... 100 4,991
Creditanstalt-Bankverein Pfd ATS100.......................................... 1,100 50,740
Z Landerbank Bank Austria AG Pfd ATS100...................................... 400 15,499
-------------
71,230
-------------
The accompanying notes are an integral part of the financial statements.
SAI-205
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
SHARES VALUE
- - ---------------------------------------------------------------------------- ------------ -------------
FRANCE 0.0%
Etab Eco Casino Guich Perr & Co. FRF10 Pfd................................... 704 $ 25,729
GERMANY 0.3%
CKAG Colonia Konzern Non Vtg Pfd DEM5........................................ 500 34,716
Dyckerhoff AG Pfd DEM50...................................................... 70 19,304
Escada AG Pfd DEM50.......................................................... 50 8,208
Friedrich Grohe AG Pfd DEM50................................................. 150 41,367
Herlitz AG Pfd DEM50......................................................... 66 7,024
MAN AG Pfd DEM50............................................................. 200 40,036
Metro AG Non Vtg Pref DEM5................................................... 400 22,581
Rheinmetall Berlin AG Pfd DEM50.............................................. 66 8,565
RWE AG Non Vtg Pfd DEM5...................................................... 13,900 469,016
SAP AG Pfd DEM5.............................................................. 2,700 376,679
Volkswagen AG Pfd DEM50...................................................... 400 128,350
-------------
1,155,846
-------------
ITALY 0.0%
Fiat SpA Privilege ITL1000................................................... 60,850 100,250
La Rinascente SpA Privilege ITL1000.......................................... 2,100 4,765
-------------
105,015
-------------
SINGAPORE 0.0%
Goldtron Ltd. Non Red Conv Cum Pfd........................................... 4,600 2,680
-------------
PRINCIPAL
AMOUNT
U.S. GOVERNMENT OBLIGATIONS 1.4%
United States Treasury Bills 4.845% 20-Mar-97 (b)............................ $ 5,960,000 5,897,435
-------------
UNITS
STATE STREET BANK AND TRUST COMPANY INVESTMENT FUNDS
FOR TAX EXEMPT RETIREMENT PLANS 10.1%
Short Term Investment Fund................................................... 41,989,134 41,989,134
-------------
TOTAL INVESTMENTS--100%
(Cost $378,664,783)........................................................ $414,208,889
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-206
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE FUND
DAILY EAFE FUND NON-LENDING
Combined Schedule of Investments (Concluded)
(showing percentage of total value of investments)
December 31, 1996
- - -----------------------------------------------------------------------------
The following long futures contracts were open at December 31, 1996:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACT CONTRACTS VALUE DATE GAIN (LOSS)
- - --------------------- ----------- ----------------- -------------- ------------
<S> <C> <C> <C> <C>
All Ordinaries Index 36 A$ 2,159,100 March 1997 $ 35,748
DAX Index ............ 23 DM 6,529,700 March 1997 98,655
CAC 40 Index ......... 47 FF 21,601,200 March 1997 58,831
Hang Seng Index ...... 26 HK$ 17,433,000 January 1997 8,404
Nikkei 300 Index .... 812 yen 2,359,672,000 March 1997 (743,474)
pounds sterling
FTSE Index ........... 63 6,335,438 March 1997 273,733
OMX Index ............ 55 SKr 9,997,625 January 1997 50,143
MIB 30 Index ......... 16 Lr2,552,700,000 March 1997 4,700
------------
$(213,260)
============
</TABLE>
The outstanding forward foreign currency contracts at December 31, 1996 are
as follows:
<TABLE>
<CAPTION>
SETTLEMENT CONTRACTS IN EXCHANGE UNREALIZED
DATE TO DELIVER FOR GAIN (LOSS)
- - ------------ ----------------- ----------------- ------------
<S> <C> <C> <C>
3/21/97 ..... A$ 1,832,000 $ 1,456,531 $ 4,076
3/21/97 ..... $ 3,145,016 A$ 3,976,000 7,065
3/21/97 ..... DM 5,948,000 $ 3,837,419 (40,061)
3/21/97 ..... $ 8,083,468 DM 12,493,000 60,951
3/21/97 ..... FF 15,675,500 $ 2,997,246 (30,286)
3/21/97 ..... $ 7,146,057 FF 37,331,000 64,297
3/21/97 ..... Lr 2,291,953,000 $ 1,492,040 (10,025)
3/21/97 ..... $ 3,125,573 Lr 4,799,473,000 19,847
3/21/97 ..... yen 2,143,100,000 $ 18,671,371 11,903
3/21/97 ..... $ 39,406,250 yen 4,413,500,000 (967,675)
3/21/97 ..... $ 1,352,747 SKr 9,221,000 946
pounds sterling
3/21/97 ..... 4,988,000 $ 8,409,019 (108,817)
pounds sterling
3/21/97 ..... $ 19,094,780 11,434,000 428,531
------------
$(559,248)
============
</TABLE>
Currency Legend
A$ Australian Dollar
pounds sterling British Pound Sterling
FF French Franc
DM German Mark
HK$ Hong Kong Dollar
Lr Italian Lira
yen Japanese Yen
SKr Swedish Krona
$ U.S. Dollar
(a) Issuer filed for bankruptcy.
(b) At December 31, 1996, these securities were pledged to cover margin
requirements for open futures contracts.
The accompanying notes are an integral part of the financial statements.
SAI-207
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of the
State Street Bank and Trust Company
Daily Government/Corporate Bond Fund
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the selected per unit data
present fairly, in all material respects, the financial position of the State
Street Bank and Trust Company Daily Government/Corporate Bond Fund (the
"Fund") at December 31, 1996, the results of its operations for the year then
ended, and the changes in its net assets and the selected per unit data for
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and selected per unit data (hereafter
referred to as "financial statements") are the responsibility of the Fund's
Trustee; 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 the Trustee, and evaluating
the overall financial statement presentation. We believe that our audits,
which included confirmation of securities at December 31, 1996 by
correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
March 10, 1997
SAI-208
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments in securities, at value
(cost $3,058,109,797) ................................................ $3,080,182,066
Receivable for investments sold ....................................... 9,202,487
Interest receivable ................................................... 49,859,329
- - ---------------------------------------------------------------------- ---------------
Total assets ....................................................... 3,139,243,882
- - ---------------------------------------------------------------------- ---------------
LIABILITIES
Payable for investments purchased ..................................... 79,193,403
Accrued expenses ...................................................... 48,711
- - ---------------------------------------------------------------------- ---------------
Total liabilities .................................................. 79,242,114
- - ---------------------------------------------------------------------- ---------------
NET ASSETS
(equivalent to $11.85 per unit based on 258,288,303 units
outstanding) ......................................................... $3,060,001,768
====================================================================== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-209
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Operations
Year ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Interest ........................................................... $170,510,337
- - -------------------------------------------------------------------- ---------------
EXPENSES
Audit .............................................................. 18,000
Custody ............................................................ 300,645
- - -------------------------------------------------------------------- ---------------
Total expenses ................................................... 318,645
- - -------------------------------------------------------------------- ---------------
Net investment income ............................................ 170,191,692
- - -------------------------------------------------------------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments ............................ (7,925,396)
Net change in unrealized appreciation (depreciation) on investments (65,598,636)
- - -------------------------------------------------------------------- ---------------
Net realized and unrealized gain (loss) ............................ (73,524,032)
- - -------------------------------------------------------------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .... $ 96,667,660
==================================================================== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-210
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996 1995
- - ----------------------------------------------------------------------------- --------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ........................................................ $ 170,191,692 $ 111,519,777
Net realized gain (loss) on investments ...................................... (7,925,396) 70,530,694
Net change in unrealized appreciation (depreciation) on investments ......... (65,598,636) 113,689,214
- - ----------------------------------------------------------------------------- --------------- ---------------
Net increase (decrease) in net assets resulting from operations ........... 96,667,660 295,739,685
- - ----------------------------------------------------------------------------- --------------- ---------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions 971,941,551 155,213,160
- - ----------------------------------------------------------------------------- --------------- ---------------
Net increase (decrease) in net assets ........................................ 1,068,609,211 450,952,845
NET ASSETS
Beginning of year ............................................................ 1,991,392,557 1,540,439,712
- - ----------------------------------------------------------------------------- --------------- ---------------
END OF YEAR .................................................................. $3,060,001,768 $1,991,392,557
============================================================================= =============== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-211
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
------------------------------------------------
1996 1995 1994 1993*
- - -------------------------------------------------------- ------------ ------------ ------------ ---------
<S> <C> <C> <C> <C>
Net investment income** ................................. $ 0.78 $ 0.70 $ 0.73 $ 0.11
Net realized and unrealized gain (loss) ................. (0.42) 1.17 (1.05) (0.17)
- - -------------------------------------------------------- ------------ ------------ ------------ ---------
Net increase (decrease) ................................. 0.36 1.87 (0.32) (0.06)
NET ASSET VALUE
Beginning of period ..................................... 11.49 9.62 9.94 10.00
- - -------------------------------------------------------- ------------ ------------ ------------ ---------
END OF PERIOD ........................................... $ 11.85 $ 11.49 $ 9.62 $ 9.94
======================================================== ============ ============ ============ =========
Total return (a)*** ..................................... 3.13% 19.44% (3.22)% (3.27)%
- - -------------------------------------------------------- ------------ ------------ ------------ ---------
Ratio of expenses to average net assets (a) ............. 0.01% 0.01% 0.01% 0.02%
Ratio of net investment income to average net assets (a) 6.82% 6.53% 6.81% 5.94%
Portfolio turnover ...................................... 299% 611% 144% 23%
Net assets, end of period (000s) ........................ $3,060,002 $1,991,393 $1,540,440 $322,680
- - -------------------------------------------------------- ------------ ------------ ------------ ---------
</TABLE>
- - ------------
(a) 1993 data annualized.
* Investment operations commenced on October 25, 1993.
** Net investment income has been calculated based on an average of
units outstanding.
*** Total return calculation is based on the value of a single unit of
participation outstanding throughout the period. It represents the
percentage change in the net asset value per unit between the
beginning and end of the period. The calculation includes only those
expenses charged directly to the Fund. This result may be reduced by
any administrative or other fees which are incurred in the management
or maintenance of individual participant accounts.
The accompanying notes are an integral part of the financial statements.
SAI-212
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Daily
Government/Corporate Bond Fund (the "Fund") is a fixed income fund formed
under a Declaration of Trust dated February 21, 1991 as amended and restated
through July 19, 1991. The Fund's objective is to match or exceed the return
of the Lehman Brothers Aggregate Bond Index. State Street Bank is the Fund's
Trustee and custodian. State Street Global Advisors, a division of State
Street Bank, is the Fund's investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments in securities listed on a national securities exchange and
over-the-counter securities are valued at the last reported sale price on the
valuation date, or if no sale price was reported on the valuation date, the
last published sale price. Short-term investments are stated at amortized
cost which approximates market. Investments in registered investment
companies or other State Street Bank Investment Funds for Tax Exempt
Retirement Plans are valued at net asset value per share/unit on the
valuation date. Certain investments are valued at fair value on the basis of
valuations furnished by a pricing service, approved by the Trustee, which
determines valuations using methods based on market transactions for
comparable securities and various relationships between securities which are
generally recognized by institutional traders.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of its units of participation are based on the
valuations of those securities determined as described above. The cost of
securities delivered and the net gain or loss on securities sold is
determined using the average cost method. Interest income, net of applicable
withholding taxes, is recorded on the accrual basis. Interest income is
increased by accretion of discount and reduced by amortization of premium.
C. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment of employee
benefit funds. Accordingly, the Fund is exempt from federal income taxes and
no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
The net asset value of the Fund is determined each business day (valuation
date) and any other day determined by the Trustee. Issuances and redemptions
of Fund units are made on such days and at such unit principal values.
E. EXPENSES
According to the Declaration of Trust, the Fund may pay certain expenses
for services received during the year. The Trustee is paid a custody fee at
the annual rate of .0125% of the Fund's net asset value.
SAI-213
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
F. DISTRIBUTIONS TO PARTICIPANTS
All net investment income and net realized gains are retained by the Fund.
G. DELAYED DELIVERY COMMITMENTS
The Fund may purchase or sell securities on a delayed delivery, when
issued, or forward commitment basis. Payment and delivery may take place a
month or more after the date of the transaction. The price of the underlying
securities and the date when the securities will be delivered and paid for
are fixed at the time the transaction is negotiated.
H. DOLLAR ROLL TRANSACTIONS
The Fund may enter into dollar roll transactions. A dollar roll
transaction involves a sale by the Fund of securities that it holds with an
agreement by the Fund to repurchase substantially similar securities at an
agreed upon price and date. During the period between the sale and
repurchase, the Fund will not be entitled to accrue interest and/or receive
principal payments on the securities sold. Dollar roll transactions involve
the risk that the market value of the securities sold by the Fund may decline
below the repurchase price of those securities. In the event the buyer of the
securities under a dollar roll transaction files for bankruptcy or becomes
insolvent, the Fund's use of proceeds of the transaction may be restricted
pending a determination by or with respect to the other party.
I. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. INVESTMENT TRANSACTIONS
Purchases and sales, excluding short-term investments and including
in-kind contributions and redemptions, if any, during the year ended December
31, 1996 were $8,627,763,408 and $7,450,666,028, respectively, resulting in a
net realized gain (loss) of ($7,925,396).
SAI-214
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
4. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------
1996 1995
----------------------------- ------------------------------
UNITS AMOUNT UNITS AMOUNT
-------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C>
Units issued...................... 114,745,253 $1,312,397,893 68,144,527 $ 728,525,510
Units redeemed.................... (29,740,964) (340,456,342) (54,935,984) (573,312,350)
-------------- -------------- -------------- ---------------
Net increase (decrease) in units
and net assets resulting from
participant transactions......... 85,004,289 $ 971,941,551 13,208,543 $ 155,213,160
============== ============== ============== ===============
</TABLE>
Units in excess of 10% of Fund units outstanding at December 31, 1996 held
by 2 of the Fund's 27 unitholders aggregated 71% of the Fund's total units
outstanding.
A redemption by one or more unitholders individually holding 10% or more
of Fund units may cause the remaining unitholders to bear proportionately
higher operating expenses and otherwise adversely affect the Fund's future
liquidity and investment operations.
SAI-215
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
<S> <C> <C> <C>
NOTES & DEBENTURES 96.6%
$ 9,500,000 ABN Amro Bank NV 7.55%................................... 28-Jun-06 $ 9,851,187
5,150,000 ABN Amro Bank NV 7.25%................................... 31-May-05 5,233,677
6,400,000 ABN Amro Bank NV 7.00%................................... 01-Apr-08 6,345,126
5,380,000 Aetna Services Inc. 7.63%................................ 15-Aug-26 5,442,134
2,500,000 Aetna Services Inc. 6.97%................................ 15-Aug-36 2,543,985
16,850,000 Aetna Services Inc. 6.75%................................ 15-Aug-01 16,930,324
5,000,000 Airtouch Communications Inc. 7.00%....................... 01-Oct-03 5,029,625
7,350,000 Alltel Corp. 6.75%....................................... 15-Sep-05 7,277,720
2,000,000 American General Finance Corp. 8.50%..................... 15-Aug-98 2,068,900
5,200,000 American General Finance Corp. 8.50%..................... 15-Jun-99 5,440,307
4,925,000 American General Finance Corp. 8.25%..................... 15-Jan-98 5,031,971
9,650,000 American General Finance Corp. 6.88%..................... 01-Jul-99 9,773,636
4,000,000 Anadarko Petroleum Corp. 7.25%........................... 15-Nov-96 3,838,068
11,200,000 Apache Corp. 7.63%....................................... 01-Nov-96 11,156,992
6,250,000 Applied Materials Inc. 6.70%............................. 06-Sep-05 6,101,025
2,091,727 Arkansas State Development Finance Authority 9.75% ...... 15-Nov-05 2,333,802
9,500,000 Asset Securitization Corp. 7.04%......................... 13-Nov-26 9,519,297
3,550,000 Associates Corp. 8.13%................................... 15-Jan-98 3,623,059
5,525,000 Associates Corp. 7.25%................................... 15-May-98 5,603,842
16,450,000 Associates Corp. of North America 6.38%.................. 15-Aug-98 16,526,969
3,165,000 Associates Corp. of North America 6.25%.................. 15-Mar-99 3,167,722
15,165,000 Associates Corp. of North America 9.13%.................. 01-Apr-00 16,316,782
6,295,000 Associates Corp. of North America 8.80%.................. 01-Aug-98 6,543,464
19,450,000 Associates Corp. of North America 7.30%.................. 15-Mar-98 19,714,909
3,675,000 Associates Corp. of North America 7.25%.................. 01-Sep-99 3,755,703
10,325,000 Associates Corp. of North America 6.75%.................. 15-Oct-99 10,442,602
7,550,000 Associates Corp. of North America 6.00%.................. 15-Mar-99 7,515,194
4,325,000 Australia & New Zealand Banking 6.25%.................... 01-Feb-04 4,170,169
1,650,000 Avco Financial Services Inc. 7.25%....................... 15-Jul-99 1,679,469
250,000 BankAmerica Corp. 7.20%.................................. 15-Sep-02 255,215
10,440,000 BankAmerica Corp. 6.88%.................................. 01-Jun-03 10,436,346
4,500,000 BankAmerica Corp. 6.85%.................................. 01-Mar-03 4,494,960
5,000,000 Bayerische Landesbank 6.38%.............................. 15-Oct-05 4,869,600
7,000,000 Bell Telephone Co. 9.50%................................. 15-Oct-10 8,502,459
6,500,000 Beneficial Corp. 9.13%................................... 15-Feb-98 6,716,190
1,363,000 Beneficial Corp. 9.00%................................... 17-Jul-98 1,421,950
10,300,000 Beneficial Corp. 8.31%................................... 06-Dec-99 10,822,148
6,500,000 Beneficial Corp. 8.00%................................... 01-Nov-99 6,769,334
1,940,000 Beneficial Corp. 7.99%................................... 17-Feb-00 2,023,808
2,000,000 Beneficial Corp. 7.91%................................... 15-Mar-99 2,066,660
9,100,000 Berkley (WR) Capital Trust 8.20%......................... 15-Dec-45 8,950,432
1,000,000 Berkley (WR) Corp. 9.88%................................. 15-May-08 1,191,337
3,200,000 Berkley (WR) Corp. 8.70%................................. 01-Jan-22 3,531,363
4,275,000 Boeing Co. 7.88%......................................... 15-Apr-43 4,590,880
11,000,000 Branch Banking & Trust Co. 5.70%......................... 01-Feb-01 10,674,334
5,000,000 Burlington Northern Santa Fe 7.29%....................... 01-Jun-36 5,204,040
1,000,000 Carter Holt Harvey Ltd. 8.38%............................ 15-Apr-15 1,084,037
1,635,000 Carter Holt Harvey Ltd. 7.63%............................ 15-Apr-02 1,696,329
320,911 Case Equipment Loan Trust 7.30%.......................... 15-Mar-02 324,192
The accompanying notes are an integral part of the financial statements.
SAI-216
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$ 3,000,000 Caterpillar Financial Services 8.12%..................... 10-Mar-98 $ 3,075,630
11,350,000 Caterpillar Financial Services 6.92%..................... 15-Aug-00 11,489,185
5,965,000 Chase Manhattan Corp. 6.63%.............................. 15-Jan-98 6,005,502
5,000,000 Chase Manhattan Corp. 6.45%.............................. 29-Mar-01 4,965,950
4,500,000 Chase Manhattan Corp. 5.50%.............................. 15-Feb-01 4,325,688
5,000,000 Chase Manhattan Credit Card Master Trust 6.73% .......... 15-Feb-03 5,046,765
12,212,918 Chase Manhattan Grantor Trust 5.90%...................... 15-Nov-01 12,175,608
13,500,000 Chemical Bank 7.00%...................................... 01-Jun-05 13,471,650
5,000,000 CIT Group Holdings Inc. 7.13%............................ 17-Jun-02 5,107,995
1,050,000 CIT Group Holdings Inc. 6.75%............................ 30-Apr-98 1,058,957
18,515,000 CIT Group Holdings Inc. 6.50%............................ 13-Jul-98 18,662,009
14,925,000 CIT Group Holdings Inc. 6.38%............................ 21-May-99 14,977,237
22,365,000 CIT Group Holdings Inc. 6.35%............................ 31-Jul-98 22,469,422
3,500,000 CIT Group Holdings Inc. 5.85%............................ 16-Mar-98 3,496,080
9,120,000 CIT Group Holdings Inc. 5.63%............................ 01-Apr-98 9,079,325
5,000,000 CIT Group Holdings Inc. 5.38%............................ 25-Jan-99 4,927,400
12,000,000 Citicorp 8.63%........................................... 01-Dec-02 13,079,280
10,365,000 Citicorp 6.70%........................................... 30-Apr-01 10,403,807
3,590,000 Citizens Utilities Co. 7.05%............................. 01-Oct-46 3,437,174
1,000,000 Columbia/HCA Heatlthcare Corp. 8.36%..................... 15-Apr-24 1,119,859
6,175,000 Comerica Bank 6.75%...................................... 12-May-98 6,239,096
13,000,000 Comerica Bank 6.65%...................................... 01-Jun-00 13,080,418
3,360,000 Commercial Credit Group Inc. 10.00%...................... 01-May-99 3,625,070
850,000 Commercial Credit Group Inc. 8.50%....................... 15-Feb-98 870,434
10,000,000 Commercial Credit Group Inc. 6.13%....................... 01-Mar-00 9,871,500
2,700,000 Commercial Credit Group Inc. 6.00%....................... 15-Apr-00 2,658,366
13,715,000 Commercial Credit Group Inc. 6.00%....................... 15-Jun-00 13,502,555
9,545,000 Commercial Credit Group Inc. 5.70%....................... 01-Mar-98 9,518,828
5,455,000 Commercial Credit Group Inc. 5.55%....................... 15-Feb-01 5,273,021
5,430,000 Continental Bank NA 7.88%................................ 01-Feb-03 5,720,255
5,000,000 Crown Cork & Seal Co. 7.50%.............................. 15-Dec-96 4,897,885
4,900,000 Crown Cork & Seal Fin Plc 7.00%.......................... 15-Dec-06 4,857,664
15,985,000 Dean Witter Discover & Co. 6.00%......................... 01-Mar-98 15,994,383
4,000,000 Deere (John) Capital Corp. 6.50%......................... 20-Sep-99 4,016,360
7,000,000 Deere (John) Capital Corp. 6.43%......................... 09-Aug-99 7,019,110
13,800,000 Deere (John) Capital Corp. 6.35%......................... 15-Mar-01 13,701,192
14,315,000 Discover Card Master Trust I 5.40%....................... 16-Nov-01 14,153,956
23,640,000 Discover Card Trust 6.25%................................ 16-Aug-00 23,676,878
3,275,000 Discover Credit Corp. 9.00%.............................. 01-Apr-98 3,394,734
3,650,000 Eastern Energy Ltd. 6.75%................................ 01-Dec-06 3,549,760
5,360,000 Enersis SA 7.40%......................................... 01-Dec-16 5,200,486
4,600,000 Enersis SA 6.60%......................................... 01-Dec-26 4,513,704
4,350,000 Enron Corp. 9.65%........................................ 15-May-01 4,781,242
27,960,000 Equitable Life Assurance Society 7.70% (R)............... 01-Dec-15 27,847,042
27,225,000 Farm Credit Systems 9.38%................................ 21-Jul-03 31,369,435
9,750,000 Federal Home Loan Banks 7.00%............................ 20-Jun-01 9,984,585
2,969,393 Federal Home Loan Mortgage Corp. 6.42%................... 01-Dec-05 2,892,041
3,000,000 Federal Home Loan Mortgage Corp. 5.95%................... 19-Jan-06 2,857,500
1,686,876 Federal Home Loan PC 8.75%............................... 01-Jul-08 1,750,661
7,865,889 Federal Home Loan PC 7.50%............................... 01-Sep-01 7,971,528
The accompanying notes are an integral part of the financial statements.
SAI-217
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$ 866,983 Federal Home Loan PC 7.00%............................... 01-Aug-01 $ 872,939
1,138,746 Federal Home Loan PC 7.00%............................... 01-Sep-01 1,146,569
5,100,000 Federal Home Loan PC 6.78%............................... 01-Jan-97 5,130,804
4,133,002 Federal Home Loan PC 6.50%............................... 01-Oct-99 4,100,682
11,100,000 Federal National Mortgage Association 9.05%.............. 10-Apr-00 12,015,029
2,004,178 Federal National Mortgage Association 7.49%.............. 01-Sep-06 2,063,990
985,633 Federal National Mortgage Association 5.50%.............. 01-Dec-08 935,425
12,580,936 Federal National Mortgage Association 5.50%.............. 01-Jan-09 11,939,766
3,251,938 Federal National Mortgage Association 5.50%.............. 01-Jul-09 3,085,276
976,493 Federal National Mortgage Association 5.50%.............. 01-Jun-11 922,786
16,135,000 Finland (Republic of) 7.88%.............................. 28-Jul-04 17,364,584
7,195,000 First Chicago Corp. 6.50%................................ 01-Nov-01 7,137,800
13,125,000 First Data Corp. 6.82%................................... 18-Sep-01 13,235,394
30,335,000 First Data Corp. 6.44%................................... 09-Aug-99 30,380,533
20,000,000 First National Bank of Boston 7.38%...................... 15-Sep-06 20,434,180
4,000,000 First Union National Bank 7.13%.......................... 15-Oct-06 4,030,960
10,000,000 Fletcher Challenge Capital Canada Inc. 8.25%............. 20-Jun-16 10,616,720
5,000,000 Fletcher Challenge Capital Canada Inc. 7.75%............. 20-Jun-06 5,175,870
22,000,000 Ford Credit Auto Lease Trust 5.80%....................... 15-May-99 21,860,234
7,705,000 Ford Credit Auto Loan Master Trust 6.50%................. 15-Aug-02 7,728,300
11,875,000 Ford Credit Auto Loan Master Trust 5.50%................. 15-Feb-03 10,788,295
7,000,000 Ford Credit Auto Owner Trust 6.30%....................... 15-Jan-01 6,879,600
11,610,000 Ford Motor Credit Co. 8.38%.............................. 15-Jan-00 12,224,866
2,750,000 Ford Motor Credit Co. 7.75%.............................. 01-Oct-99 2,841,107
18,000,000 Ford Motor Credit Co. 7.00%.............................. 25-Sep-01 18,268,380
6,700,000 Ford Motor Credit Co. 6.85%.............................. 15-Aug-00 6,773,291
30,500,000 Ford Motor Credit Co. 6.25%.............................. 26-Feb-98 30,601,443
11,125,000 Ford Motor Credit Co. 5.63%.............................. 15-Dec-98 11,016,120
22,015,000 Ford Motor Credit Co. 5.63%.............................. 15-Jan-99 21,795,158
15,325,000 General Electric Capital Corp. 8.75%..................... 21-May-07 17,413,384
3,000,000 General Electric Capital Corp. 8.63%..................... 12-Mar-98 3,087,180
275,000 General Electric Capital Corp. 8.63%..................... 15-Jun-08 312,830
4,000,000 General Electric Capital Corp. 8.09%..................... 01-Apr-04 4,294,160
4,000,000 General Electric Capital Corp. 7.88%..................... 01-Dec-06 4,281,400
3,614,000 General Electric Capital Corp. 7.65%..................... 23-Feb-98 3,694,267
2,441,000 General Motors Acceptance Corp. 9.63%.................... 15-May-00 2,668,118
9,045,000 General Motors Acceptance Corp. 8.40%.................... 15-Oct-99 9,503,672
13,800,000 General Motors Acceptance Corp. 8.25%.................... 20-Jan-98 14,131,062
6,850,000 General Motors Acceptance Corp. 7.38%.................... 26-May-99 7,010,564
1,210,601 General Motors Acceptance Corp. 7.15%.................... 15-Mar-00 1,223,833
4,500,000 General Motors Acceptance Corp. 7.13%.................... 01-Jun-99 4,573,485
6,685,000 General Motors Acceptance Corp. 6.75%.................... 25-Feb-98 6,749,778
17,750,000 General Motors Acceptance Corp. 6.63%.................... 17-Apr-00 17,832,182
5,700,000 General Motors Acceptance Corp. 6.45%.................... 24-May-99 5,718,411
6,000,000 General Motors Acceptance Corp. 6.13%.................... 23-Apr-98 6,015,420
2,370,000 General Motors Acceptance Corp. 6.00%.................... 30-Dec-98 2,360,520
6,500,000 General Motors Acceptance Corp. 5.95%.................... 16-Jul-98 6,495,190
8,000,000 General Motors Acceptance Corp. 5.88%.................... 30-Mar-98 7,998,160
10,710,000 General Motors Acceptance Corp. 5.88%.................... 12-Jan-99 10,638,993
5,930,000 General Motors Acceptance Corp. 5.38%.................... 09-Mar-98 5,897,148
The accompanying notes are an integral part of the financial statements.
SAI-218
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$ 4,646,399 Government Trust Certificates 9.63%...................... 15-May-02 $ 4,960,589
632,530 Government Trust Certificates 9.40%...................... 15-May-02 717,171
12,677,694 Government Trust Certificates 9.25%...................... 15-Nov-01 14,093,716
278,963 Government Trust Certificates 8.00%...................... 15-May-98 283,058
1,600,000 GTE Corp. 10.75%......................................... 15-Sep-17 1,726,538
2,800,000 GTE Corp. 9.38%.......................................... 01-Dec-00 3,076,836
14,600,000 GTE Corp. 8.85%.......................................... 01-Mar-98 15,065,316
5,000,000 GTE Corp. 8.75%.......................................... 01-Nov-21 5,765,350
4,526,471 Guaranteed Export Trust 6.28%............................ 15-Jun-04 4,489,761
5,000,000 Household Finance Corp. 9.77%............................ 12-Mar-98 5,217,100
8,000,000 Hydro Quebec 8.05%....................................... 07-Jul-24 8,774,432
7,500,000 IBM Corp. 7.25%.......................................... 01-Nov-02 7,737,030
15,960,000 Integra Bank 6.55%....................................... 15-Jun-00 16,006,603
International Bank For Reconstruction & Development
22,461,000 9.25%.................................................... 15-Jul-17 27,905,075
International Bank For Reconstruction & Development
5,420,000 8.63%.................................................... 15-Oct-16 6,330,235
International Bank For Reconstruction & Development
5,000,000 5.20%.................................................... 15-Dec-98 4,925,980
14,750,000 International Lease Finance Corp. 6.63%.................. 15-Aug-00 14,822,570
3,000,000 International Lease Finance Corp. 6.13%.................. 01-Nov-99 2,979,906
3,850,000 Ireland (Republic of) 9.50%.............................. 03-Apr-00 4,208,878
22,825,000 Ireland (Republic of) 8.63%.............................. 15-Apr-01 24,685,831
11,000,000 Ireland Republic 7.88%................................... 01-Dec-01 11,616,220
47,040,000 Israel US Government Guaranteed Notes 8.00%.............. 15-Nov-01 50,191,115
10,600,000 Israel US Government Guaranteed Notes 7.63%.............. 15-Aug-04 11,234,951
4,950,000 Israel US Government Guaranteed Notes 6.63%.............. 15-Feb-04 4,979,868
23,500,000 Israel Short Term US Government Guaranteed Notes 6.38% .. 15-Aug-01 23,496,898
3,580,000 Israel US Government Guaranteed Notes 5.63%.............. 15-Sep-03 3,416,004
5,805,000 Kemper Corp. 6.88%....................................... 15-Sep-03 5,816,204
1,500,000 Key Bank NA 7.13%........................................ 15-Aug-06 1,503,446
10,000,000 Key Bank NA 6.05%........................................ 06-Apr-98 9,997,870
8,725,000 Key Bank NA 6.00%........................................ 07-Oct-98 8,728,315
7,000,000 KFW International Finance Inc. 9.38%..................... 15-Jul-98 7,342,895
2,000,000 KFW International Finance Inc. 9.00%..................... 23-Feb-99 2,108,160
6,000,000 KFW International Finance Inc. 8.85%..................... 15-Jun-99 6,356,460
1,000,000 KFW International Finance Inc. 8.62%..................... 15-Oct-01 1,087,343
1,105,000 KFW International Finance Inc. 8.20%..................... 01-Jun-06 1,215,228
17,800,000 KFW International Finance Inc. 8.00%..................... 15-Feb-10 19,502,677
2,500,000 KFW International Finance Inc. 7.63%..................... 15-Feb-04 2,642,605
13,335,000 KFW International Finance Inc. 7.20%..................... 15-Mar-14 13,520,490
12,400,000 KFW International Finance Inc. 7.00%..................... 01-Mar-13 12,350,896
5,230,000 Korea Development Bank 7.25%............................. 15-May-06 5,325,338
9,275,000 Korea Development Bank 6.63%............................. 21-Nov-03 9,183,001
16,600,000 Landeskreditbank Baden 7.88%............................. 15-Oct-01 17,536,074
5,300,000 Landeskreditbank Baden Wurttemburg 7.63%................. 01-Feb-23 5,604,368
5,000,000 Lockheed Martin Corp. 6.85%.............................. 15-May-01 5,044,500
2,915,000 Malayan Banking Berhad New York Branch 7.13%............. 15-Sep-05 2,896,519
5,690,000 Manitoba (Province of) 9.63%............................. 15-Mar-99 6,086,024
1,500,000 Manitoba (Province of) 9.50%............................. 01-Oct-00 1,650,867
5,300,000 Manitoba (Province of) 8.00%............................. 15-Apr-02 5,631,759
23,826,000 Manitoba (Province of) 7.75%............................. 01-Feb-02 25,047,559
21,219,000 Manitoba (Province of) 6.88%............................. 15-Sep-02 21,509,912
The accompanying notes are an integral part of the financial statements.
SAI-219
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$10,495,000 Manitoba (Province of) 6.75%............................. 01-Mar-03 $10,574,531
5,000,000 Manitoba (Province of) 9.00%............................. 15-Dec-00 5,434,600
6,000,000 Margaretten Financial Corp. 6.75%........................ 15-Jun-00 6,019,440
1,000,000 MBNA Master Credit Card Trust 6.20%...................... 15-Aug-99 1,010,406
19,488,000 MBNA Master Credit Card Trust 5.40%...................... 15-Sep-00 19,256,483
3,500,000 Medpartners Inc. 7.38%................................... 01-Oct-06 3,512,250
4,000,000 Merrill Lynch & Co., Inc. 9.00%.......................... 01-May-98 4,151,088
5,590,000 Metropolitan Life Insurance Co. 7.70% (R)................ 01-Nov-15 5,589,100
6,300,000 Midland Bank PLC 7.65%................................... 01-May-25 6,644,156
3,375,000 Morgan Stanley Group Inc. 9.25%.......................... 01-Mar-98 3,497,006
5,400,000 Morgan Stanley Group Inc. 6.50%.......................... 30-Mar-01 5,380,236
16,740,000 Morgan Stanley Group Inc. 5.63%.......................... 01-Mar-99 16,528,741
13,620,000 National Australia Bank Ltd. 9.70%....................... 15-Oct-98 14,434,067
8,000,000 National City Bank 6.35%................................. 15-Mar-01 7,942,168
3,000,000 National Westminster Bank PLC 9.45%...................... 01-May-01 3,319,530
5,012,718 NationsBank Auto Grantor Trust 5.85%..................... 15-Jun-02 5,003,710
12,700,000 NationsBank Corp. 6.75%.................................. 15-Aug-00 12,820,396
7,115,000 NationsBank Corp. 6.65%.................................. 09-Apr-02 7,130,923
5,750,000 NationsBank Corp. 5.85%.................................. 05-Feb-02 5,525,756
5,400,000 NationsBank Corp. 5.75%.................................. 25-Jan-01 5,234,814
13,125,000 NationsBank Corp. 5.13%.................................. 15-Sep-98 12,913,163
5,000,000 NationsBank Credit Card Master Trust 6.45%............... 15-Apr-03 5,018,750
18,330,000 New England Mutual Life Insurance Co. 7.88% (R) ......... 15-Feb-24 18,469,161
10,650,000 New York Life Insurance Co. 6.40% (R).................... 15-Dec-03 10,390,129
27,315,000 New Zealand (Government of) 8.75%........................ 15-Dec-06 31,248,852
10,740,000 New Zealand Government 10.63%............................ 15-Nov-05 13,461,194
3,095,000 News America Holdings Inc. 7.70%......................... 30-Oct-25 2,929,851
5,500,000 News America Holdings Inc. 7.45%......................... 01-Jun-00 5,628,194
14,500,000 Nordbanken AB 7.25%...................................... 30-Oct-06 14,609,228
12,000,000 Norsk Hydro AS 7.50%..................................... 01-Oct-16 12,280,920
10,000,000 Norwest Corp. 6.25%...................................... 15-Apr-99 10,004,720
3,000,000 Norwest Corp. 6.13%...................................... 15-Oct-00 2,969,520
5,000,000 Norwest Corp. 6.00%...................................... 13-Oct-98 4,995,400
15,000,000 Norwest Corp. 6.00%...................................... 15-Mar-00 14,816,250
2,869,000 Norwest Corp. 5.75%...................................... 15-Mar-98 2,860,709
10,400,000 Norwest Financial Inc. 7.25%............................. 15-Mar-00 10,620,792
1,000,000 Norwest Financial Inc. 6.68%............................. 15-Sep-99 1,009,366
13,250,000 Norwest Financial Inc. 6.38%............................. 01-Oct-99 13,276,672
5,000,000 Norwest Financial Inc. 6.25%............................. 15-Mar-99 5,002,200
5,300,000 Occidental Petroleum Corp. 9.25%......................... 01-Aug-19 6,376,944
8,813,000 Old Kent Bank & Trust Co. 6.88%.......................... 15-Apr-98 8,917,434
10,000,000 Old Kent Financial Corp. 6.63%........................... 15-Nov-05 9,644,600
8,500,000 Paine Webber 6.80% (a)................................... 01-Jun-01 8,569,063
2,000,000 PepsiCo Inc. 6.13%....................................... 15-Jan-98 2,006,232
16,500,000 Petroliam Nasional Bhd 7.75% (R)......................... 15-Aug-15 17,003,745
12,085,000 Petroliam Nasional Bhd 7.63% (R)......................... 15-Oct-26 12,518,368
15,000,000 Petroliam Nasional Bhd 7.13% (R)......................... 18-Oct-06 15,137,250
5,000,000 Petroliam Nasional Bhd 6.63% (R)......................... 18-Oct-01 5,003,300
6,000,000 Praxair Inc. 6.90%....................................... 01-Nov-06 5,952,876
2,000,000 Praxair Inc. 6.85%....................................... 15-Jun-05 1,978,240
The accompanying notes are an integral part of the financial statements.
SAI-220
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$ 8,910,000 Premier Auto Trust 6.15%................................. 06-Mar-00 $ 8,943,315
14,640,000 Premier Auto Trust 6.05%................................. 06-Apr-00 14,591,761
11,000,000 Premier Auto Trust 6.00%................................. 06-Oct-99 11,039,413
4,000,000 Premier Auto Trust 6.00%................................. 06-May-00 4,001,292
13,795,000 Premier Auto Trust 5.90%................................. 06-Jul-99 13,801,842
4,700,000 Private Export Funding Corp. 5.80%....................... 01-Feb-04 4,392,347
2,000,000 Province of Nova Scotia 9.13%............................ 01-May-21 2,402,878
4,200,000 Province of Ontario 8.00%................................ 17-Oct-01 4,448,972
19,375,000 Province of Ontario 7.75%................................ 04-Jun-02 20,451,494
5,000,000 Province of Ontario 6.00%................................ 21-Feb-06 4,756,250
7,475,000 Province of Quebec 9.13%................................. 01-Mar-00 8,037,688
415,000 Province of Quebec 8.63%................................. 19-Jan-05 456,110
8,030,000 Province of Quebec 7.50%................................. 15-Jul-23 7,990,251
7,000,000 Province of Quebec 7.13%................................. 09-Feb-24 6,653,423
10,000,000 Province of Saskatchewan 9.38%........................... 15-Dec-20 12,310,390
2,455,000 Republic New York Corp. 9.50%............................ 15-Apr-14 2,960,983
5,000,000 Republic of Finland 6.95%................................ 15-Feb-26 4,850,315
5,000,000 Resolution Funding Corp. 8.88%........................... 15-Jul-20 6,157,330
19,750,000 Resolution Funding Corp. 8.13%........................... 15-Oct-19 22,565,580
5,000,000 Santander Financial Issuances Ltd. 7.88%................. 15-Apr-05 5,231,500
1,000,000 Santander Financial Issuances Ltd. 7.25%................. 30-May-06 1,007,360
9,050,000 Sears Credit Account Master Trust II 6.25%............... 15-Jan-03 9,062,534
3,000,000 Sears Roebuck & Co. 9.50%................................ 01-Jun-99 3,205,350
4,050,000 Sears Roebuck Acceptance Corp. 6.54%..................... 06-May-99 4,071,384
12,200,000 Sears Roebuck Acceptance Corp. 6.38%..................... 16-Feb-99 12,230,866
11,000,000 Sears Roebuck Acceptance Corp. 6.22%..................... 25-Mar-99 10,988,120
5,000,000 Sears Roebuck Acceptance Corp. 6.11%..................... 26-Oct-98 4,997,750
5,000,000 Signet Group 5.20%....................................... 15-Feb-02 4,929,650
1,125,000 Societe Generale 9.88%................................... 15-Jul-03 1,298,964
15,525,000 Societe Generale 7.40%................................... 01-Jun-06 15,807,571
13,425,000 Society National Bank 7.25%.............................. 01-Jun-05 13,600,599
3,000,000 Southern Investments UK PLC 6.80%........................ 01-Dec-06 2,929,650
7,000,000 SPNB Home Equity Loan 8.85%.............................. 15-May-98 7,202,062
35,000,000 Standard Credit Card Master Trust I 5.50%................ 07-Feb-00 34,362,440
8,450,000 Suntrust Banks Inc. 6.00%................................ 15-Feb-26 7,913,501
5,000,000 Telekom Malaysia Berhad 7.88% (R)........................ 01-Aug-25 5,191,250
700,000 Tenneco Inc. 7.45%....................................... 15-Dec-25 688,261
2,500,000 Time Warner Entertainment Co., LP 8.38%.................. 15-Jul-33 2,510,950
9,500,000 Transamerica Finance Corp. 8.38%......................... 15-Feb-98 9,715,840
4,350,000 Transamerica Finance Corp. 6.80%......................... 15-Mar-99 4,395,762
5,640,000 Transamerica Finance Corp. 5.82%......................... 09-Jun-98 5,618,286
1,600,000 Union Carbide Corp. 7.75%................................ 01-Oct-96 1,621,549
13,000,000 Union Pacific Corp. 7.25%................................ 01-Nov-08 13,049,335
6,200,000 US Bancorp 6.25%......................................... 03-Aug-98 6,248,794
13,090,000 US Leasing International Inc. 6.63%...................... 15-May-03 12,954,479
25,610,000 US Treasury Bonds 13.25%................................. 15-May-14 39,727,513
500,000 US Treasury Bonds 12.75%................................. 15-Nov-10 707,735
2,500,000 US Treasury Bonds 12.00%................................. 15-Aug-13 3,576,175
2,435,000 US Treasury Bonds 11.75%................................. 15-Nov-14 3,504,501
40,000 US Treasury Bonds 11.25%................................. 15-Feb-15 59,069
The accompanying notes are an integral part of the financial statements.
SAI-221
<PAGE>
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL
AMOUNT VALUE
- - ------------- -------------------------------------------------------- ----------- ---------------
$12,320,000 US Treasury Bonds 9.88%.................................. 15-Nov-15 $ 16,456,810
1,185,000 US Treasury Bonds 9.25%.................................. 15-Feb-16 1,504,393
400,000 US Treasury Bonds 9.00%.................................. 15-Nov-18 501,936
11,500,000 US Treasury Bonds 8.88%.................................. 15-Feb-19 14,276,215
37,000,000 US Treasury Bonds 8.75%.................................. 15-Nov-08 41,543,970
3,500,000 US Treasury Bonds 8.75%.................................. 15-May-17 4,270,560
31,150,000 US Treasury Bonds 8.75%.................................. 15-Aug-20 38,377,734
3,260,000 US Treasury Bonds 8.50%.................................. 15-Feb-20 3,915,553
3,445,000 US Treasury Bonds 8.13%.................................. 15-Aug-19 3,984,900
15,000,000 US Treasury Bonds 8.13%.................................. 15-Aug-21 17,414,100
16,300,000 US Treasury Bonds 8.00%.................................. 15-Nov-21 18,688,928
8,183,000 US Treasury Bonds 7.88%.................................. 15-Feb-21 9,249,327
6,071,000 US Treasury Bonds 7.50%.................................. 15-Nov-16 6,571,858
6,840,000 US Treasury Bonds 7.50%.................................. 15-Nov-24 7,481,250
46,395,000 US Treasury Bonds 7.25%.................................. 15-Aug-22 49,077,095
5,990,000 US Treasury Bonds 7.13%.................................. 15-Feb-23 6,253,919
71,775,000 US Treasury Bonds 6.75% (a).............................. 15-Aug-26 72,313,312
6,011,000 US Treasury Bonds 6.25%.................................. 15-Aug-23 5,635,313
5,000,000 US Treasury Bonds 6.00%.................................. 15-Feb-26 4,550,800
32,000 US Treasury Notes 8.88%.................................. 15-Nov-98 33,670
22,855,000 US Treasury Notes 6.50%.................................. 15-Oct-06 22,980,017
15,000 US Treasury Notes 6.25%.................................. 15-Feb-03 14,981
11,450,000 US Treasury Notes 5.88%.................................. 15-Nov-99 11,405,231
10,000,000 US Treasury Notes 5.88%.................................. 30-Nov-01 9,854,700
11,275,000 US Treasury Notes 5.75%.................................. 15-Aug-03 10,936,750
6,000,000 US Treasury Notes 5.75%.................................. 31-Dec-98 5,985,960
5,050,000 Usinor Sacilor 7.25%..................................... 01-Aug-06 5,049,546
33,030,000 Victorian Public Authority Finance Agency 8.45% ......... 01-Oct-01 35,598,479
10,850,000 Victorian Public Authority Financing 8.25%............... 15-Jan-02 11,528,136
5,500,000 Wachovia Bank NA 6.70%................................... 14-Apr-99 5,546,530
5,000,000 Wells Fargo & Co. 6.88%.................................. 01-Apr-06 4,916,650
7,500,000 Wendys International Inc. 7.00%.......................... 15-Dec-25 6,987,338
13,412,000 Westpac Banking Capital Corp. 7.88%...................... 15-Oct-02 14,158,512
3,000,000 Willamette Industries Inc. 7.35%......................... 01-Jul-26 3,137,571
- - ------------- -------------------------------------------------------------------- ---------------
TOTAL NOTES & DEBENTURES (Cost $2,953,401,618) .......... 2,975,473,887
- - ------------- -------------------------------------------------------------------- ---------------
UNITS
- - ------------- -------------------------------------------------------------------- ---------------
STATE STREET BANK AND TRUST COMPANY
INVESTMENT FUNDS FOR TAX EXEMPT RETIREMENT PLANS--3.4%
104,708,179 Short Term Investment Fund .............................. $ 104,708,179
- - ------------- -------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS--100% (Cost $3,058,109,797) ........... $3,080,182,066
============= ==================================================================== ===============
</TABLE>
(a) A portion of these securities have been purchased on a delayed delivery
basis.
(R) These securities are exempt from registration under Rule 144A of the
Securities Act of 1933. Such securities may be resold, normally to
qualified institutional buyers, in transactions exempt from
registration. Rule 144A securities amounted to $117,149,345 or 3.8% of
total investments, as of December 31, 1996.
The accompanying notes are an integral part of the financial statements.
SAI-222
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of the
State Street Bank and Trust Company
Short Term Investment Fund
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the selected per unit data
present fairly, in all material respects, the financial position of State
Street Bank and Trust Company Short Term Investment Fund (the "Fund") at
December 31, 1996, the results of its operations for the year then ended, and
the changes in its net assets and the selected per unit data for the periods
indicated, in conformity with generally accepted accounting principles. These
financial statements and selected per unit data (hereafter referred to as
"financial statements") are the responsibility of the Fund's Trustee; 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 the Trustee, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1996 by correspondence with the
custodian, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
March 3, 1997
SAI-223
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Assets and Liabilities
December 31, 1996
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments in securities, at amortized cost ............................ $13,749,690,548
Cash..................................................................... 762
Interest and other receivables .......................................... 85,167,867
- - ------------------------------------------------------------------------ ----------------
Total assets ......................................................... 13,834,859,177
- - ------------------------------------------------------------------------ ----------------
LIABILITIES
Distributions payable ................................................... 71,893,608
Accrued expenses ........................................................ 26,000
- - ------------------------------------------------------------------------ ----------------
Total liabilities .................................................... 71,919,608
- - ------------------------------------------------------------------------ ----------------
Net assets
(equivalent to $1.00 per unit based on 13,762,946,432 units
outstanding) ........................................................... $13,762,939,569
======================================================================== ================
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-224
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Operations
Year ended December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Interest ...................................................... $781,333,955
- - --------------------------------------------------------------- ---------------
EXPENSES
Audit ......................................................... 22,000
Other ......................................................... 14,670
- - --------------------------------------------------------------- ---------------
Total expenses .............................................. 36,670
- - --------------------------------------------------------------- ---------------
Net investment income ....................................... 781,297,285
- - --------------------------------------------------------------- ---------------
Net realized gain (loss) on investments ........................ (39,765)
- - --------------------------------------------------------------- ---------------
Net increase (decrease) in net assets resulting from operations $781,257,520
=============================================================== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-225
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------
1996 1995
- - ----------------------------------------------------------------------------- ---------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ........................................................ $ 781,297,285 $ 716,462,126
Net realized gain (loss) on investments ...................................... (39,765) 164,710
- - ----------------------------------------------------------------------------- ---------------- ---------------
Net increase in net assets resulting from operations ......................... 781,257,520 716,626,836
- - ----------------------------------------------------------------------------- ---------------- ---------------
Distributions from net investment income ..................................... (781,297,285) (716,462,126)
- - ----------------------------------------------------------------------------- ---------------- ---------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions 1,369,831,060 3,153,764,191
- - ----------------------------------------------------------------------------- ---------------- ---------------
Net increase (decrease) in net assets ........................................ 1,369,791,295 3,153,928,901
NET ASSETS
Beginning of year............................................................. 12,393,148,274 9,239,219,373
- - ----------------------------------------------------------------------------- ---------------- ---------------
End of year .................................................................. $13,762,939,569 $12,393,148,274
============================================================================= ================ ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
SAI-226
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
1996 1995 1994 1993 1992
- - ----------------------------------------- ------------- ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Net investment income..................... $ 0.0548 $ 0.0604 $ 0.0424 $ 0.0336 $ 0.0402
========================================= ============= ============= ============ ============= ============
Distributions from net investment income . $ 0.0548 $ 0.0604 $ 0.0424 $ 0.0336 $ 0.0402
========================================= ============= ============= ============ ============= ============
Total return**............................ 5.62% 6.21% 4.32% 3.41% 4.09%
Ratio of expenses to average net assets* . --% --% --% --% --%
Ratio of net investment income to average
net assets............................... 5.60% 6.04% 4.24% 3.36% 4.02%
Net assets, end of year (000s)............ $13,762,940 $12,393,148 $9,239,219 $12,657,842 $10,016,685
========================================= ============= ============= ============ ============= ============
</TABLE>
- - ------------
* Less than .01%.
** Total return calculation assumes dividend reinvestment and includes only
those expenses charged directly to the Fund. This result may be reduced
by any administrative or other fees which are incurred in the management
or maintenance of individual participant accounts.
The accompanying notes are an integral part of the financial statements.
SAI-227
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
1. INVESTMENT OBJECTIVE
The State Street Bank and Trust Company ("State Street Bank") Short Term
Investment Fund (the "Fund") is a money market pooled fund formed under a
Declaration of Trust dated May 19, 1983, as amended and restated through
August 1, 1992. The Fund's objective is to maintain a diversified portfolio
of short-term securities. The investments of the Fund are currently limited
to high-quality bonds, notes, commercial paper and other evidences of
indebtedness which are payable on demand or which have a maturity date not
exceeding three months from the date of purchase, except that up to 20% of
the Fund's investments may be placed in securities with a maturity date not
exceeding 13 months. State Street Bank is the Fund's Trustee and custodian.
State Street Global Advisors, a division of State Street Bank, is the Fund's
investment manager.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION
Investments are stated at amortized cost, which approximates market value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). The cost of securities contributed to, and
proceeds related to securities delivered by, the Fund in connection with the
issuance and redemption of its units of participation are based on the
valuations of those securities determined as described above. The cost of
securities delivered and the net gain or loss on securities sold is
determined using the average cost method. Interest income is recorded on the
accrual basis. Interest income is increased by accretion of discount and
reduced by amortization of premium.
C. INCOME TAXES
It is the Fund's policy to comply with the requirements of Section 501(a)
of the Internal Revenue Code relating to collective investment funds of
employee benefit plans. Accordingly, the Fund is exempt from federal income
taxes and no federal income tax provision is required.
D. ISSUANCES AND REDEMPTIONS OF UNITS OF PARTICIPATION
Issuances and redemptions of participant units are made on each day the
New York Stock Exchange is open (valuation date). Participant units are
typically purchased and redeemed at a constant net asset value of $1 per
unit. In the event that a significant disparity exists between the constant
net asset value and the market based net asset value of the Fund, the Trustee
may determine that continued redemption at a constant $1 net asset value will
create inequitable results for the Fund's unitholders. In these
circumstances, the Trustee, at its sole discretion and acting on behalf of
the Fund's unitholders, may direct that units be redeemed at the market based
net asset value until such time as the disparity between the market based and
the constant net asset value per unit is deemed to be immaterial.
E. EXPENSES
According to the Declaration of Trust, the Fund may pay certain expenses
for services received during the year.
SAI-228
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
F. DISTRIBUTIONS TO PARTICIPANTS
Distributions from net investment income are recorded on each valuation
date and distributed monthly. All net realized gains are retained by the
Fund.
G. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Trustee 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. INVESTMENT TRANSACTIONS
Purchases and sales of short-term investments (including maturities)
during the year ended December 31, 1996 were $893,160,398,940 and
$891,917,413,847, respectively.
4. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------
1996 1995
--------------------------------- ---------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Units issued ............. 62,949,538,186 $ 62,949,538,186 42,906,095,439 $ 42,906,095,439
Units redeemed ........... (61,579,707,126) (61,579,707,126)(39,752,331,248) (39,752,331,248)
---------------- ---------------- ---------------- ----------------
Net increase in units
and net assets
resulting from
participant
transactions ........... 1,369,831,060 $ 1,369,831,060 3,153,764,191 $ 3,153,764,191
================ ================ ================ ================
</TABLE>
SAI-229
<PAGE>
State Street Bank and Trust Company
Short Term Investment Fund
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MATURITY AMORTIZED
AMOUNT DATE COST
- - -------------- --------------------------------------------------------------- ------------ --------------
<S> <C> <C> <C>
SHORT TERM INSTRUMENTS 96.4%
$ 25,000,000 Abbey National PLC 5.11%........................................ 17-Mar-97 $ 24,988,146
80,000,000 Abbey National PLC 5.39%........................................ 17-Mar-97 80,001,637
65,000,000 Abbey National Treasury Services PLC 5.45%...................... 16-Apr-97 64,992,241
75,000,000 Abbey National Treasury Services PLC 5.39%...................... 21-Feb-97 75,000,000
75,000,000 Abbey National Treasury Services PLC 5.50%...................... 20-Mar-97 75,000,000
50,000,000 Abbey National Treasury Services PLC 5.37%...................... 01-Jan-97* 49,985,932
40,000,000 ABN Amro Bank NV 5.43%.......................................... 13-Feb-97 40,000,473
50,000,000 ABN Amro Bank NV 5.75%.......................................... 10-Apr-97 49,993,507
48,000,000 AIG Matched Funding Corp. 5.61%................................. 15-Jan-97* 48,000,000
30,000,000 AIG Matched Funding Corp. 5.63%................................. 15-Jan-97* 29,999,361
50,000,000 American Express Credit Corp. 5.58%............................. 14-Jan-97* 49,997,065
50,000,000 Ameritech Capital Funding Corp. 6.00%........................... 07-Jan-97 49,950,000
25,000,000 Australia & New Zealand Banking Group 5.59%..................... 21-Jan-97 25,000,200
25,000,000 Avco Financial Services Inc. 5.46%.............................. 18-Feb-97* 24,998,910
50,000,000 Bank America National Trust & Svgs Association 5.50% ........... 19-Jun-97 50,000,000
150,000,000 Bank of America 5.40%........................................... 05-Feb-97 150,000,000
125,000,000 Bank of America 5.38%........................................... 06-Feb-97 125,000,000
100,000,000 Bank of America 5.38%........................................... 13-Feb-97 100,000,000
45,000,000 Bank of America 5.38%........................................... 19-Feb-97 45,000,000
150,000,000 Bank of Montreal 5.50%.......................................... 08-Jan-97 150,000,000
135,000,000 Bank of New York 5.50%.......................................... 12-Mar-97 134,995,305
50,000,000 Bank of Nova Scotia 5.41%....................................... 05-Feb-97 50,000,000
150,000,000 Bank of Nova Scotia 5.41%....................................... 28-Feb-97 150,000,000
125,000,000 Bank of Scotland 5.49%.......................................... 13-Jun-97 125,000,000
130,000,000 Bank One 5.43%.................................................. 01-Jan-97* 129,913,057
74,000,000 Bank One 5.69%.................................................. 28-Oct-97 73,960,614
50,000,000 Bayerische Hypotheken Bank 5.42%................................ 12-Mar-97 50,000,959
47,500,000 Bayerische Hypotheken Und 5.38%................................. 13-Feb-97 47,500,560
34,400,000 Bayerische Hypotheken Und 5.38%................................. 25-Feb-97 34,399,139
50,000,000 Bayerische Landesbank 5.48%..................................... 15-Jan-97* 49,998,664
100,000,000 Bayerische Vereinsbank 5.75%.................................... 07-Jan-97 100,000,000
50,000,000 Bayerische Vereinsbank 5.53%.................................... 20-Jun-97 50,005,743
50,000,000 Bayerische Vereinsbank 5.43%.................................... 13-Mar-97 50,000,973
80,000,000 Beneficial Corp. 5.58%.......................................... 15-Jan-97* 80,011,886
200,000,000 Boatmen's National Bank of St. Louis 6.75%...................... 02-Jan-97 200,000,000
45,000,000 Caisse d' Amort de la Dette 5.30%............................... 17-Jan-97 44,894,000
75,000,000 Caisse des Depots 6.53%......................................... 02-Jan-97 74,986,396
80,000,000 Caisse des Depots 5.44%......................................... 23-Jan-97 79,734,044
160,000,000 Canadian Imperial Bank 5.57%.................................... 31-Jan-97 160,000,000
75,000,000 Canadian Imperial Bank 5.41%.................................... 30-Jan-97 75,000,000
The accompanying notes are an integral part of the financial statements.
SAI-230
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL MATURITY AMORTIZED
AMOUNT DATE COST
- - -------------- --------------------------------------------------------------- ------------ --------------
$ 65,000,000 Canadian Imperial Bank 5.39%.................................... 03-Feb-97 $ 65,000,000
400,000,000 Chase Manhattan Corp. 7.00%..................................... 02-Jan-97 400,000,000
50,000,000 Cheltenham & Glouster Building 5.35%............................ 23-Jun-97 48,714,514
55,000,000 Cheltenham & Glouster Building 5.28%............................ 25-Mar-97 54,330,467
100,000,000 Cit Group Holdings Inc. Med Term 5.35%.......................... 01-Jan-97* 99,909,225
215,000,000 Comerica Bank 5.58%............................................. 14-Jan-97* 215,000,000
100,000,000 Comerica Bank 5.47%............................................. 13-Jan-97* 99,981,338
142,000,000 Commerzbank AG 5.47%............................................ 10-Jan-97 141,998,910
75,000,000 Commonwealth Bank Australia 5.35%............................... 12-Feb-97 74,531,875
50,000,000 Commonwealth Bank Australia 5.29%............................... 21-Feb-97 49,625,292
25,000,000 Commonwealth Edison Co. 5.35%................................... 10-Jan-97 24,966,563
50,000,000 Commonwealth Edison Co. 5.32%................................... 22-Jan-97 49,844,833
70,000,000 Daimler-Benz North America 5.38%................................ 07-Jan-97 69,937,233
55,000,000 Daimler-Benz North America 5.38%................................ 16-Jan-97 54,876,708
50,000,000 Daimler-Benz North America 5.35%................................ 12-Feb-97 49,687,917
100,000,000 Daimler-Benz North America 5.35%................................ 21-Mar-97 98,827,069
35,350,000 Daimler-Benz North America 5.37%................................ 27-Mar-97 34,901,792
50,000,000 Den Danske Bank 5.53%........................................... 17-Jan-97 50,000,000
45,000,000 Den Danske Corp. 5.35%.......................................... 06-Feb-97 44,759,250
100,000,000 Den Danske Grand Cayman 5.59%................................... 21-Jan-97 100,000,000
45,000,000 Deutsche Bank Finance Inc. 5.70%................................ 06-Jan-97 44,964,375
100,000,000 Deutsche Bank Finance Inc. 5.21%................................ 11-Mar-97 99,992,721
25,000,000 E.I. Du Pont de Nemours & Co. 5.26%............................. 14-Feb-97 24,839,278
25,000,000 E.I. Du Pont de Nemours & Co. 5.26%............................. 18-Mar-97 24,722,389
25,000,000 E.I. Du Pont de Nemours & Co. 5.26%............................. 19-Mar-97 24,718,736
50,300,000 FCC National Bank 4.94%......................................... 26-Feb-97 50,279,825
59,000,000 Federal Farm Credit Bank 5.60%.................................. 03-Jun-97 58,965,376
62,000,000 Federal Farm Credit Bank 5.55%.................................. 02-May-97 61,974,308
86,000,000 Federal Farm Credit Banks Consolidated Systems 5.43% ........... 17-Jan-97* 85,916,668
65,000,000 Federal Farm Credit Banks Consolidated Systems 5.36% ........... 02-Jan-97* 64,947,034
87,000,000 Federal Farm Credit Banks Consolidated Systems 5.25% ........... 01-Jan-97* 86,919,598
90,000,000 Federal Home Loan Bank 5.61%.................................... 05-Jun-97 89,913,969
46,500,000 Federal Home Loan Bank 5.47%.................................... 19-Jan-97* 46,467,950
120,000,000 Federal Home Loan Bank 5.39%.................................... 02-Jan-97* 119,928,880
55,000,000 Federal Home Loan Bank Consolidated Discount Notes 5.40% ....... 16-Jan-97 54,876,250
50,000,000 Federal Home Loan Mortgage Discount Notes 5.42%................. 22-Jan-97 49,841,917
55,400,000 Federal Home Loan Mortgage Discount Notes 5.36%................. 24-Feb-97 54,954,584
50,000,000 Federal National Mortgage Association 5.53%..................... 29-Oct-97 49,932,790
100,000,000 Federal National Mortgage Association 5.48%..................... 19-Jan-97* 99,984,558
130,000,000 Federal National Mortgage Association 5.39%..................... 28-Mar-97* 129,967,189
203,000,000 Federal National Mortgage Association 5.35%..................... 12-Mar-97* 202,882,749
The accompanying notes are an integral part of the financial statements.
SAI-231
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL MATURITY AMORTIZED
AMOUNT DATE COST
- - -------------- --------------------------------------------------------------- ------------ --------------
$ 50,000,000 Federal National Mortgage Association 5.32%..................... 19-Feb-97* $ 49,965,595
85,000,000 Federal National Mortgage Association 5.31%..................... 06-Mar-97* 84,977,571
28,880,000 Federal National Mortgage Association 5.30%..................... 28-Jan-97 28,765,202
90,000,000 Federal National Mortgage Association 4.78%..................... 14-Feb-97 89,991,236
150,000,000 Federal National Mortgage Association 4.77%..................... 01-Jan-97* 149,985,570
110,000,000 First Bank NA 5.59%............................................. 15-Jan-97* 109,999,092
70,000,000 Ford Motor Credit Co. 5.65%..................................... 18-Feb-97* 70,017,561
200,000,000 General Electric Capital Corp. 7.00%............................ 02-Jan-97 199,961,111
50,000,000 General Electric Capital Corp. 5.48%............................ 17-Jan-97* 50,000,000
75,000,000 General Electric Capital Corp. 5.38%............................ 18-Mar-97 74,148,167
50,000,000 General Electric Capital Corp. 5.32%............................ 27-Jan-97 49,807,889
50,000,000 General Electric Capital Corp. 5.32%............................ 05-Feb-97 49,741,389
100,000,000 General Electric Capital Corp. 5.30%............................ 11-Feb-97 99,396,389
50,000,000 General Electric Capital Corp. 5.29%............................ 19-Feb-97 49,639,986
50,000,000 Gillette Co. 5.28%.............................................. 16-Jan-97 49,890,000
48,990,000 Gillette Co. 5.28%.............................................. 05-Mar-97 48,537,332
25,000,000 Household Finance Corp 5.54%.................................... 31-Mar-97* 24,996,274
50,000,000 Household Finance Corp. 5.48%................................... 26-Feb-97* 50,000,000
125,000,000 Household Finance Corp. 5.42%................................... 24-Feb-97* 124,992,731
40,000,000 IBM Credit Corp. 5.46%.......................................... 20-Mar-97* 39,983,808
100,000,000 ING Bank 7.00%.................................................. 02-Jan-97 100,000,000
30,000,000 International Business Machines Corp. 5.46%..................... 20-Jun-97 29,985,608
74,710,000 International Nederlanden US Funding Corp. 5.48%................ 02-Jan-97 74,698,627
90,500,000 International Nederlanden US Funding Corp. 5.48%................ 03-Jan-97 90,472,448
140,000,000 J. P. Morgan & Co., Inc. 6.50%.................................. 02-Jan-97 139,974,722
25,000,000 Key Bank N A Medium Term Note 5.61%............................. 19-Dec-97 24,965,041
100,000,000 Key Bank NA 5.59%............................................... 01-Jan-97* 99,949,370
83,500,000 Key Bank NA 5.51%............................................... 10-Jan-97* 83,450,330
66,000,000 Key Bank NA 5.51%............................................... 10-Jan-97* 65,960,740
95,000,000 KFW International Finance Inc. 5.32%............................ 31-Jan-97 94,578,833
46,000,000 M & I Madison Bank 5.66%........................................ 14-Jan-97* 46,004,554
60,000,000 MCI Communications 5.32%........................................ 27-Jun-97 58,430,600
62,000,000 MCI Communications 5.31%........................................ 22-May-97 60,710,555
65,000,000 MCI Communications 5.31%........................................ 27-May-97 63,600,225
35,000,000 MCI Communications 5.31%........................................ 19-Jun-97 34,127,537
160,000,000 Merrill Lynch & Co., Inc. 6.75%................................. 02-Jan-97 159,970,000
50,000,000 Merrill Lynch & Co., Inc. 5.35%................................. 21-Jan-97 49,851,389
100,000,000 Merrill Lynch & Co., Inc. 5.32%................................. 12-Feb-97 99,379,333
100,000,000 Merrill Lynch & Co., Inc. 5.30%................................. 24-Mar-97 98,792,778
200,000,000 Morgan Stanley Group Inc. 6.79%................................. 02-Jan-97 199,962,278
25,000,000 Morgan Guaranty Trust Co. 5.95%................................. 06-Jun-97 24,994,871
The accompanying notes are an integral part of the financial statements.
SAI-232
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments (Continued)
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL MATURITY AMORTIZED
AMOUNT DATE COST
- - -------------- --------------------------------------------------------------- ------------ --------------
$ 25,000,000 Morgan Guaranty Trust Co. 5.85%................................. 09-May-97 $ 25,000,000
30,200,000 Morgan Guaranty Trust Co. 5.73%................................. 12-Aug-97 30,154,520
50,000,000 Morgan Guaranty Trust Co. 5.47%................................. 07-Jan-97 50,000,082
75,000,000 Morgan Guaranty Trust Co. 5.38%................................. 14-Feb-97* 74,952,515
55,000,000 Morgan Guaranty Trust Co. 5.39%................................. 01-Jan-97* 54,990,893
85,000,000 Morgan Guaranty Trust Co. 5.08%................................. 28-Feb-97 84,923,661
50,000,000 Morgan Guaranty Trust Co. 4.90%................................. 13-Feb-97 49,993,961
100,000,000 National Australia Bank Ltd. 5.50%.............................. 06-Jan-97 100,000,000
25,000,000 National Australia Bank Ltd. 5.39%.............................. 06-Feb-97 24,999,652
50,000,000 National Australia Bank Ltd. 5.38%.............................. 22-Jan-97 50,000,000
50,000,000 National Australia Funding 5.45%................................ 13-Jan-97 49,909,167
106,000,000 National Westminster Bank PLC 5.51%............................. 06-Jan-97 106,000,435
100,000,000 National Westminster Bank PLC 5.41%............................. 10-Feb-97 100,001,101
25,000,000 NationsBank Corp. 5.65%......................................... 16-Apr-97 24,975,743
120,000,000 Norwest Corp. 4.96%............................................. 20-Feb-97 120,000,000
70,600,000 Oesterreichische Kontrollbank 5.33%............................. 31-Jan-97 70,286,712
80,000,000 Pfizer Incorporated 5.45%....................................... 05-Mar-97 79,237,000
35,000,000 Pfizer Incorporated 5.40%....................................... 02-Apr-97 34,522,250
50,000,000 PNC Bank NA 5.56%............................................... 21-Jan-97* 49,994,608
29,000,000 PNC Bank NA 5.50%............................................... 13-Jan-97* 28,989,475
50,000,000 PNC Bank NA 5.46%............................................... 02-Jan-97* 49,975,635
25,000,000 Rabobank 5.47%.................................................. 07-Jan-97 25,000,041
25,000,000 Rabobank NA 5.25%............................................... 11-Mar-97 25,000,455
63,000,000 Student Loan Marketing Association 5.99%........................ 18-Sep-97 63,001,705
53,000,000 Student Loan Marketing Association 5.62%........................ 29-Oct-97 52,965,909
20,000,000 Sudwestdeutsche Landesbank 5.51%................................ 28-Apr-97 20,001,378
40,000,000 Sudwestdeutsche Landesbank 5.46%................................ 19-Mar-97 39,998,030
60,000,000 Suntrust Banks Inc. 6.75%....................................... 02-Jan-97 60,000,000
8,302,000 Svenska Grand Cayman 6.75%...................................... 02-Jan-97 8,302,000
50,000,000 Svenska Handelsbanken 5.75%..................................... 22-May-97 49,990,752
300,000,000 Swiss Bank Corp. 6.50%.......................................... 02-Jan-97 300,000,000
20,000,000 Swiss Bank Corp. 5.40%.......................................... 03-Feb-97 19,999,396
75,000,000 Tiers Trust 5.64%............................................... 15-Jan-97* 75,000,000
175,000,000 UBS Finance Delaware Inc. 5.55%................................. 21-Jan-97 174,460,417
25,000,000 United States Treasury Notes 7.50%.............................. 31-Jan-97 25,049,932
60,000,000 United States Treasury Notes 6.88%.............................. 28-Feb-97 60,153,360
30,000,000 United States Treasury Notes 6.63%.............................. 31-Mar-97 30,078,699
50,000,000 US National Bank 5.52%.......................................... 16-Jan-97* 49,988,683
100,000,000 US National Bank 5.29%.......................................... 01-Jan-97* 99,974,405
50,000,000 Vermont American Corp. 5.47%.................................... 27-Jan-97 49,802,472
50,000,000 Wachovia Bank NA 5.47%.......................................... 12-Jan-97* 49,995,775
The accompanying notes are an integral part of the financial statements.
SAI-233
<PAGE>
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments (Concluded)
(showing percentage of total value of investments)
December 31, 1996
PRINCIPAL MATURITY AMORTIZED
AMOUNT DATE COST
- - -------------- --------------------------------------------------------------- ------------ --------------
$ 50,000,000 Wachovia Bank NA 5.44%.......................................... 07-Jan-97* $ 49,993,879
125,000,000 Wachovia Bank NA 5.53%.......................................... 17-Jan-97* 124,994,898
25,000,000 Walt Disney Co. 5.26%........................................... 14-Feb-97 24,839,278
150,000,000 Westdeutsche Landesbank 5.75%................................... 10-Jan-97 150,000,000
100,000,000 Westdeutsche Landesbank 5.63%................................... 17-Jan-97 100,000,000
58,000,000 Westdeutsche Landesbank 5.40%................................... 03-Feb-97 57,989,882
24,000,000 Westdeutsche Landesbank 5.38%................................... 12-Feb-97 23,998,658
115,000,000 Westpac Banking Corp. 6.24%..................................... 04-Sep-97 115,000,000
30,000,000 Westpac Banking Corp. 5.92%..................................... 28-Aug-97 29,996,243
50,000,000 Westpac Banking Corp. 5.81%..................................... 09-Apr-97 49,998,715
25,000,000 Westpac Banking Corp. 5.61%..................................... 02-Apr-97 24,998,804
50,000,000 Westpac Banking Corp. 5.53%..................................... 14-Mar-97 49,998,106
20,000,000 Westpac Banking Corp. 5.53%..................................... 24-Jan-97* 20,006,199
75,000,000 Westpac Banking Corp. 5.51%..................................... 19-Jun-97 75,003,426
24,000,000 Westpac Banking Corp. 5.34%..................................... 04-Mar-97 23,997,649
50,000,000 Westpac Banking Corp. 5.15%..................................... 04-Mar-97 49,995,092
25,000,000 Wool International 5.26%........................................ 28-Feb-97 24,788,139
100,000,000 Woolwich Building Society 5.33%................................. 30-Jan-97 99,570,639
- - -------------- ------------------------------- ................................------------ --------------
TOTAL SHORT TERM INSTRUMENTS ................................... 13,249,690,110
- - -------------- ------------------------------- ................................------------ --------------
SHARES
OTHER INVESTMENTS--0%
438 SSgA Money Market Fund (a)...................................... 438
- - -------------- ------------------------------- ................................------------ --------------
PRINCIPAL
AMOUNT
REPURCHASE AGREEMENT--3.6%
$500,000,000 Goldman Sachs Government Repo 6.55% (collaterized by US
Treasury Notes 6.25%--7.75% due 7/31/98--11/30/99, valued at
$505,914,069) .................................................. 02-Jan-97 500,000,000
- - -------------- ------------------------------- ................................------------ --------------
TOTAL INVESTMENTS--100%......................................... $13,749,690,548
============== ============================================================================ ===============
</TABLE>
- - ------------
(a) Registered Investment Company advised by State Street Global Advisors.
* Variable rate security. Rate disclosed is that which was in effect at
December 31, 1996. Date disclosed is the next interest rate reset date.
The accompanying notes are an integral part of the financial statements.
SAI-234
<PAGE>
Supplement dated May 1, 1997 to Prospectus dated May 1, 1997
- - -------------------------------------------------------------------------------
MEMBERS RETIREMENT PROGRAMS
funded under contracts with
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
1290 Avenue of the Americas, New York, New York 10104
Toll-Free Telephone 800-223-5790
------------------------------
VARIABLE ANNUITY BENEFITS
------------------------------
This Prospectus Supplement should be read and retained for
future reference by Participants in the Members Retirement
Programs who are
considering variable annuity
payment benefits after
retirement.
This Prospectus Supplement is not authorized for
distribution unless accompanied or preceded by
the Prospectus dated May 1, 1997 for the
appropriate Members Retirement Program.
- - -------------------------------------------------------------------------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED UPON THE ACCURACY OR
ADEQUACY OF THIS PROSPECTUS: ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
- - -------------------------------------------------------------------------------
<PAGE>
RETIREMENT BENEFITS
When you become eligible to receive benefits under a Members
Retirement Program, you may select one or more of the following forms of
distribution, which are available in variable or fixed form. The law requires
that if the value of your Account Balance is more than $3,500, you must receive
a Qualified Joint and Survivor Annuity unless your Spouse consents to a
different election.
Life Annuity - an annuity providing monthly payments for your life. No
payments will be made after your death, even if you have received only one
payment.
Life Annuity - Period Certain - an annuity providing monthly payments
for your life or, if longer, a specified period of time. If you die before the
end of that specified period, payments will continue to your beneficiary until
the end of the period. Subject to legal limitations, you may specify a minimum
payment period of 5, 10, 15 or 20 years; the longer the specified period, the
smaller the monthly payments will be.
Joint and Survivor Annuity - Period Certain - an annuity providing
monthly payments for your life and that of your beneficiary or, if longer, a
specified period of time. If you and your beneficiary both die before the end
of the specified period, payments will continue to your contingent beneficiary
until the end of the period. Subject to legal limitations, you may specify a
minimum payment period of 5, 10, 15 or 20 years; the longer the specified
period, the smaller the monthly payments will be.
How Annuity Payments are Made
When your distribution of benefits under an annuity begins, your Units
in the Funds are redeemed. Part or all of the proceeds, plus part or all of
your Account Balance in the General Account Options, may be used to purchase an
annuity. The minimum amount that can be used to purchase any type of annuity is
$3,500. Usually, a $350 charge will be deducted from the amount used to
purchase the annuity to reimburse us for administrative expenses associated
with processing the application and with issuing each month's annuity payment.
Applicable premium taxes will also be deducted.
Annuity payments may be fixed or variable.
FIXED ANNUITY PAYMENTS. Fixed annuity payments are determined from our
annuity rate tables in effect at the time the first annuity payment is
made. The minimum amount of the fixed payments is determined from
tables in our contract with the Trustees, which show the amount of
proceeds necessary to purchase each $1 of monthly annuity payments
(after deduction of any applicable taxes and the annuity
administrative charge). These tables are
- 2 -
<PAGE>
designed to determine the amounts required to pay for the annuity
selected, taking into account our administrative and investment
expenses and mortality and expense risks. The size of your payment
will depend upon the form of annuity chosen, your age and the age of
your beneficiary if you select a joint and survivor annuity. If our
current group annuity rates for payment of proceeds would produce a
larger payment, those rates will apply instead of the minimums in the
contract tables. If we give any group pension client with a qualified
plan a better annuity rate than those currently available for the
Program, we will also make those rates available to Program
participants. The annuity administrative charge may be greater than
$350 in that case. Under our contract with the Trustees, we may change
the tables but not more frequently than once every five years. Fixed
annuity payments will not fluctuate during the payment period.
VARIABLE ANNUITY PAYMENTS. Variable annuity payments are funded
through our Separate Account No. 4 (Pooled) (the "Fund"), through the
purchase of Annuity Units. The number of Annuity Units purchased is
equal to the amount of the first annuity payment divided by the
Annuity Unit Value for the due date of the first annuity payment. The
amount of the first annuity payment is determined in the same manner
for a variable annuity as it is for a fixed annuity. The number of
Annuity Units stays the same throughout the payment period for the
variable annuity but the Annuity Unit Value changes to reflect the
investment income and the realized and unrealized capital gains and
losses of the Fund, after adjustment for an assumed base rate of
return of 5-3/4%, described below.
The amounts of variable annuity payments are determined as follows:
Payments normally start as of the first day of the second calendar month
following our receipt of the proper forms. The first two monthly payments are
the same.
Payments after the first two will vary according to the investment
performance of the Fund. Each monthly payment will be calculated by multiplying
the number of Annuity Units credited to you by the Annuity Unit Value for the
first business day of the calendar month before the due date of the payment.
The Annuity Unit Value was set at $1.1553 as of July 1, 1969, the
first day that Separate Account No. 4 (Pooled) was operational. For any month
after that date, it is the Annuity Unit Value for the preceding month
multiplied by the change factor for the current month. The change factor gives
effect to the assumed annual base rate of return of 5-3/4% and to the actual
investment experience of the Fund.
Because of the adjustment for the assumed base rate of return, the
Annuity Unit Value rises and falls depending on whether the actual rate of
investment return is higher or lower than 5-3/4%.
- 3 -
<PAGE>
Illustration of Changes in Annuity Payments. To show how we determine
variable annuity payments from month to month, assume that the amount you
applied to purchase an annuity is enough to fund an annuity with a monthly
payment of $363 and that the Annuity Unit Value for the due date of the first
annuity payment is $1.05. The number of annuity units credited under your
certificate would be 345.71 (363 / 1.05 = 345.71). If the third monthly payment
is due on March 1, and the Annuity Unit Value for February was $1.10, the
annuity payment for March would be the number of units (345.71) times the
Annuity Unit Value ($1.10), or $380.28. If the Annuity Unit Value was $1.00 on
March 1, the annuity payment for April would be 345.71 times $1.00 or $345.71.
Summary of Annuity Unit Values for the Fund
This table shows the Annuity Unit Values with an assumed based rate of
return of 5-3/4%.
<TABLE>
<CAPTION>
First Business Day of Annuity Unit Value
--------------------- ------------------
<S> <C>
October 1987 $4.3934
October 1988 $3.5444
October 1989 $4.8357
October 1990 $3.8569
October 1991 $5.4677
October 1992 $5.1818
October 1993 $6.3886
October 1994 $6.1563
October 1995 $7.4970
October 1996 $8.0828
</TABLE>
THE FUND
The Fund (Separate Account No. 4 (Pooled)) was established pursuant to
the Insurance Law of the State of New York in 1969. It is an investment account
used to fund benefits under group annuity contracts and other agreements for
tax-deferred retirement programs administered by us.
- 4 -
<PAGE>
For a full description of the Fund, its investment policies, the risks
of an investment in the Fund and information relating to the valuation of Fund
assets, see the description of the Fund in our May 1, 1997 prospectus and the
Statement of Additional Information.
INVESTMENT MANAGER
The Manager
We, Equitable Life, act as Investment Manager to the Fund. As such, we
have complete discretion over Fund assets and we invest and reinvest these
assets in accordance with the investment policies described in our May 1, 1997
prospectus and Statement of Additional Information.
We are a New York stock life insurance company with our Home Office at
1290 Avenue of the Americas, New York, New York 10104. Founded in 1859, we are
one of the largest insurance companies in the United States. Equitable Life,
our sole stockholder Equitable Companies, Inc., and their subsidiaries managed
assets of approximately $239.8 billion as of December 31, 1996, including third
party assets of $184.8 billion.
Investment Management
In providing investment management to the Funds, we currently use the
personnel and facilities of our majority owned subsidiary, Alliance Capital
Management L.P. ("Alliance"), for portfolio selection and transaction services.
For a description of Alliance, see our May 1, 1997 Members Retirement Program
prospectus.
Fund Transactions
The Fund is charged for securities brokers commissions, transfer taxes
and other fees relating to securities transactions. Transactions in equity
securities for the Fund are executed primarily through brokers which are
selected by Alliance/Equitable Life and receive commissions paid by the Fund.
For 1996 and 1995, the Fund paid $5,682,578 and $6,044,623, respectively, in
brokerage commissions. For a full description of our policies relating to the
selection of brokers, see the description of the Fund in our May 1, 1997
Statement of Additional Information.
- 5 -
<PAGE>
FINANCIAL STATEMENTS
The financial statements of the Fund reflect applicable fees,
charges and other expenses under the Members Programs as in effect during the
periods covered, as well as the charges against the account made in accordance
with the terms of all other contracts participating in the account.
Separate Account No. 4 (Pooled): Page
Report of Independent Accountants - Price Waterhouse LLP 7
Statement of Assets and Liabilities, 8
December 31, 1996
Statement of Operations and Changes in Net Assets
for the Years Ended December 31, 1996 and 1995 9
Portfolio of Investments
December 31, 1996 10
Notes to Financial Statements 15
- 6 -
<PAGE>
- - ------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of
The Equitable Life Assurance Society of the United States and the
Participants in the American Dental Association Members Retirement Program
In our opinion, the accompanying statement of assets and liabilities,
including the portfolio of investments, and the related statements of
operations and changes in net assets present fairly, in all material
respects, the financial position of Separate Account No. 4 of The Equitable
Life Assurance Society of the United States ("Equitable Life") at December
31, 1996 and its results of operations and changes in net assets for each of
the two years in the period then ended, in conformity with generally accepted
accounting principles. These financial statements are the responsibility of
Equitable Life'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, 1996 by
correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
Our audit was conducted for the purpose of forming an opinion on the basic
financial statements taken as a whole. The selected per unit information
(appearing under "Condensed Financial Information" in the prospectus) is
presented for the purpose of satisfying regulatory reporting requirements and
is not a required part of the basic financial statements. Such selected per
unit information has been subjected to auditing procedures applied during the
audit of the basic financial statements and, in our opinion, is fairly stated
in all material respects in relation to the basic financial statements taken
as a whole.
Price Waterhouse LLP
New York, New York
February 10, 1997
- 7 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED) (THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Assets and Liabilities
December 31, 1996
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
- - -------------------------------------------------------------------------------------------------------
ASSETS:
Investments (Notes 2 and 3):
Common stocks--at market value (cost: $1,991,952,527) ................................ $2,440,835,888
Preferred stocks--at market value (cost: $1,742,250) ................................. 1,809,000
Long-term debt securities--at value (amortized cost: $2,863,053) ..................... 2,493,750
Participation in Separate Account No. 2A--at amortized cost, which approximates
market value, equivalent to 85,593 units at $255.57 ................................. 21,875,326
Cash................................................................................... 2,419,444
Receivables:
Securities sold ...................................................................... 18,681,125
Dividends............................................................................. 474,057
- - -------------------------------------------------------------------------------------- --------------
Total assets.......................................................................... 2,488,588,590
- - -------------------------------------------------------------------------------------- --------------
LIABILITIES:
Payables:
Securities purchased ................................................................. 13,390,630
Due to Equitable Life's General Account .............................................. 15,548,100
Investment management fees payable ................................................... 7,688
Accrued expenses ...................................................................... 475,122
Amount retained by Equitable Life in Separate Account No. 4 (Note 1) ................. 641,292
- - -------------------------------------------------------------------------------------- --------------
Total liabilities..................................................................... 30,062,832
- - -------------------------------------------------------------------------------------- --------------
NET ASSETS (NOTE 1):
Net assets attributable to participants' accumulations ................................ 2,432,753,839
Reserves and other contract liabilities attributable to annuity benefits ............. 25,771,919
- - -------------------------------------------------------------------------------------- --------------
NET ASSETS ............................................................................ $2,458,525,758
====================================================================================== ==============
</TABLE>
See Notes to Financial Statements.
- 8 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Operations and Changes in Net Assets
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996 1995
- - ---------------------------------------------------------------------------- -------------- ---------------
<S> <C> <C>
FROM OPERATIONS:
INVESTMENT INCOME (NOTE 2):
Dividends (net of foreign taxes withheld--1996: $62,998 and 1995: $239,657) $ 13,755,557 $ 19,610,344
Interest and amortization of premium ........................................ 292,364 (852,218)
- - ---------------------------------------------------------------------------- -------------- ---------------
Total ....................................................................... 14,047,921 18,758,126
EXPENSES (NOTE 4) ........................................................... (18,524,630) (16,007,109)
- - ---------------------------------------------------------------------------- -------------- ---------------
NET INVESTMENT INCOME (LOSS) ................................................ (4,476,709) 2,751,017
- - ---------------------------------------------------------------------------- -------------- ---------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (NOTE 2):
Realized gain from security and foreign currency transactions .............. 218,176,662 260,870,246
- - ---------------------------------------------------------------------------- -------------- ---------------
Unrealized appreciation of investments
and foreign currency transactions:
Beginning of year .......................................................... 290,870,386 41,831,973
End of year ................................................................ 448,580,808 290,870,386
- - ---------------------------------------------------------------------------- -------------- ---------------
Change in unrealized appreciation/depreciation .............................. 157,710,422 249,038,413
- - ---------------------------------------------------------------------------- -------------- ---------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ............................. 375,887,084 509,908,659
- - ---------------------------------------------------------------------------- -------------- ---------------
Increase in net assets attributable to operations ........................... 371,410,375 512,659,676
- - ---------------------------------------------------------------------------- -------------- ---------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions ............................................................... 552,427,638 422,289,107
Withdrawals ................................................................. (590,972,941) (474,530,080)
- - ---------------------------------------------------------------------------- -------------- ---------------
Decrease in net assets attributable to contributions and withdrawals ....... (38,545,303) (52,240,973)
- - ---------------------------------------------------------------------------- -------------- ---------------
Decrease in accumulated amount retained by Equitable Life in Separate
Account No. 4 (Note 1) ..................................................... 536,145 113,489
- - ---------------------------------------------------------------------------- -------------- ---------------
INCREASE IN NET ASSETS ...................................................... 333,401,217 460,532,192
NET ASSETS--BEGINNING OF YEAR ............................................... 2,125,124,541 1,664,592,349
- - ---------------------------------------------------------------------------- -------------- ---------------
NET ASSETS--END OF YEAR ..................................................... $2,458,525,758 $2,125,124,541
============================================================================ ============== ===============
</TABLE>
See Notes to Financial Statements.
- 9 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1996
<TABLE>
<CAPTION>
- - ---------------------------------------------------------- ------------ ---------------
NUMBER OF VALUE
SHARES (NOTE 3)
- - ---------------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS:
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (1.7%)
Republic Industries, Inc.* ................................ 1,355,000 $ 42,259,063
---------------
PRINTING, PUBLISHING & BROADCASTING (0.1%)
Australis Media Ltd. Conv. Note* .......................... 25,000,000 2,483,906
---------------
PROFESSIONAL SERVICES (0.7%)
Ceridian Corp.* ........................................... 170,000 6,885,000
Service Corp. International ............................... 360,000 10,080,000
---------------
16,965,000
---------------
TOTAL BUSINESS SERVICES (2.5%) ............................ 61,707,969
---------------
CONSUMER CYCLICALS
AIRLINES (6.9%)
America West Airlines, Inc. (Class B)* .................... 1,250,000 19,843,750
Continental Airlines, Inc. (Class B)* ..................... 1,300,000 36,725,000
Delta Air Lines, Inc. ..................................... 375,000 26,578,125
KLM Royal Dutch Airlines .................................. 230,000 6,411,250
Northwest Airlines Corp. (Class A)* ....................... 1,400,000 54,775,000
UAL Corp.* ................................................ 400,000 25,000,000
---------------
169,333,125
---------------
FOOD SERVICES, LODGING (1.2%)
Host Marriott Corp.* ...................................... 1,000,000 16,000,000
La Quinta Motor Inns, Inc. ................................ 700,000 13,387,500
---------------
29,387,500
---------------
HOUSEHOLD FURNITURE, APPLIANCES (1.2%)
Industrie Natuzzi (ADR) ................................... 1,000,000 23,000,000
Sunbeam Corp. ............................................. 255,800 6,586,850
---------------
29,586,850
---------------
LEISURE-RELATED (0.3%)
Carnival Corp. ............................................ 225,000 7,425,000
---------------
RETAIL--GENERAL (1.6%)
AutoZone, Inc.* ........................................... 500,000 13,750,000
CompUSA, Inc.* ............................................ 1,200,000 24,750,000
---------------
38,500,000
---------------
TOTAL CONSUMER CYCLICALS (11.2%) .......................... 274,232,475
---------------
- 10 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1996 (Continued)
- - ---------------------------------------------------------- ------------ ---------------
NUMBER OF VALUE
SHARES (NOTE 3)
- - ---------------------------------------------------------- ------------ ---------------
CONSUMER NONCYCLICALS
DRUGS (1.5%)
Centocor, Inc.* ........................................... 750,000 $ 26,812,500
Geltex Pharmaceuticals, Inc.* ............................. 210,000 5,092,500
MedImmune, Inc.* .......................................... 300,000 5,100,000
---------------
37,005,000
---------------
HOSPITAL SUPPLIES & SERVICES (1.9%)
Columbia/HCA Healthcare Corp. ............................. 540,000 22,005,000
Oxford Health Plans, Inc.* ................................ 200,000 11,712,500
Saint Jude Medical, Inc.* ................................. 310,000 13,213,750
---------------
46,931,250
---------------
SOAPS & TOILETRIES (1.0%)
Colgate Palmolive Co. ..................................... 275,000 25,368,750
---------------
TOBACCO (6.7%)
Loews Corp. ............................................... 1,750,000 164,937,500
---------------
TOTAL CONSUMER NONCYCLICALS (11.1%) ....................... 274,242,500
---------------
CREDIT-SENSITIVE
BANKS (1.0%)
First Union Corp. ......................................... 320,000 23,680,000
---------------
FINANCIAL SERVICES (8.0%)
A.G. Edwards, Inc. ........................................ 300,000 10,087,500
Dean Witter Discover & Co. ................................ 420,000 27,825,000
Legg Mason, Inc. .......................................... 935,000 35,997,500
MBNA Corp. ................................................ 900,000 37,350,000
Merrill Lynch & Co., Inc. ................................. 1,000,000 81,500,000
Resource Bancshares Mortgage Group, Inc. .................. 248,800 3,545,400
---------------
196,305,400
---------------
INSURANCE (11.4%)
CNA Financial Corp.* ...................................... 1,700,000 181,900,000
IPC Holdings Ltd. ......................................... 207,400 4,640,575
Life Re Corp. ............................................. 721,000 27,848,625
NAC Re Corp. .............................................. 564,600 19,125,825
PMI Group, Inc. ........................................... 12,600 697,725
Travelers Group, Inc. ..................................... 1,020,000 46,282,500
---------------
280,495,250
---------------
- 11 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1996 (Continued)
- - ---------------------------------------------------------- ------------ ---------------
NUMBER OF VALUE
SHARES (NOTE 3)
- - ---------------------------------------------------------- ------------ ---------------
UTILITY--TELEPHONE (7.8%)
Frontier Corp. ............................................ 365,000 $ 8,258,125
Telephone & Data Systems, Inc. ............................ 4,550,000 164,937,500
WorldCom, Inc.* ........................................... 755,000 19,677,188
---------------
192,872,813
---------------
TOTAL CREDIT-SENSITIVE (28.2%) ............................ 693,353,463
---------------
ENERGY
COAL & GAS PIPELINES (0.2%)
Nabors Industries, Inc.* .................................. 250,000 4,812,500
---------------
OIL--DOMESTIC (0.5%)
Ultramar Diamond Shamrock Corp. ........................... 408,000 12,903,000
---------------
OIL--INTERNATIONAL (0.0%)
Tatneft (ADR)* ............................................ 19,000 912,000
---------------
OIL--SUPPLIES & CONSTRUCTION (8.8%)
Coflexip* ................................................. 75,000 1,968,750
Diamond Offshore Drilling, Inc.* .......................... 350,000 19,950,000
ENSCO International, Inc.* ................................ 550,000 26,675,000
Marine Drilling Co., Inc.* ................................ 56,500 1,112,344
Noble Drilling Corp.* ..................................... 1,100,000 21,862,500
Parker Drilling Co.* ...................................... 4,900,000 47,162,500
Rowan Cos., Inc.* ......................................... 4,000,000 90,500,000
Transocean Offshore, Inc. ................................. 110,000 6,888,750
---------------
216,119,844
---------------
TOTAL ENERGY (9.5%) ....................................... 234,747,344
---------------
TECHNOLOGY
ELECTRONICS (13.7%)
Applied Materials, Inc.* .................................. 250,000 8,984,375
Cisco Systems, Inc.* ...................................... 3,000,000 190,875,000
IDT Corp.* ................................................ 155,000 1,705,000
LSI Logic Corp.* .......................................... 210,000 5,617,500
Seagate Technology, Inc.* ................................. 2,150,000 84,925,000
Teradyne, Inc.* ........................................... 603,000 14,698,125
3Com Corp.* ............................................... 400,000 29,350,000
---------------
336,155,000
---------------
OFFICE EQUIPMENT (1.7%)
Compaq Computer Corp.* .................................... 400,000 29,700,000
Sterling Software, Inc.* .................................. 376,700 11,913,138
---------------
41,613,138
---------------
- 12 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1996 (Continued)
- - ---------------------------------------------------------- ------------ ---------------
NUMBER OF VALUE
SHARES (NOTE 3)
- - ---------------------------------------------------------- ------------ ---------------
OFFICE EQUIPMENT SERVICES (4.5%)
Checkfree Corp.* .......................................... 416,700 $ 7,135,988
Electronic Data Systems Corp. ............................. 900,000 38,925,000
Informix Corp.* ........................................... 1,150,000 23,431,250
Oracle Corp.* ............................................. 400,000 16,700,000
Sterling Commerce, Inc.* .................................. 700,000 24,675,000
---------------
110,867,238
---------------
TELECOMMUNICATIONS (16.8%)
American Online, Inc.* .................................... 150,000 4,987,500
American Satellite Network--Rights* ....................... 70,000 0
Cellular Communications Puerto Rico, Inc.* ................ 482,200 9,523,450
Colt Telecom Group PLC (ADR)* ............................. 175,000 3,368,750
Deutsche Telekom AG (ADR)* ................................ 1,300,000 26,487,500
DSC Communications Corp.* ................................. 720,000 12,870,000
MFS Communications Co., Inc.* ............................. 820,000 44,690,000
Millicom International Cellular S.A.* ..................... 1,775,000 57,021,874
Netscape Communications Corp.* ............................ 400,000 22,750,000
Nokia Corp. (ADR) ......................................... 600,000 34,575,000
Palmer Wireless, Inc.* .................................... 102,000 1,071,000
Rogers Cantel Mobile Communications, Inc. (Class B)(ADR)* 1,364,100 26,429,437
Scientific Atlanta, Inc. .................................. 2,650,400 39,756,000
U.S. Cellular Corp.* ...................................... 3,200,000 89,200,000
Vanguard Cellular Systems, Inc. (Class A)* ................ 2,615,000 41,186,250
---------------
413,916,761
---------------
TOTAL TECHNOLOGY (36.7%) .................................. 902,552,137
---------------
TOTAL COMMON STOCKS (99.2%)
(Cost $1,991,952,527)..................................... 2,440,835,888
---------------
PREFERRED STOCKS:
CONSUMER CYCLICALS
AIRLINES (0.1%)
Continental Airlines Financial
Trust 8.5% Conv., 2020 ................................... 27,000 1,809,000
---------------
TOTAL CONSUMER CYCLICALS (0.1%) ........................... 1,809,000
---------------
TOTAL PREFERRED STOCKS (0.1%)
(Cost $1,742,250) ........................................ 1,809,000
---------------
</TABLE>
- 13 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1996 (Concluded)
<TABLE>
<CAPTION>
- - ------------------------------------------------------------------------ ------------ --------------
PRINCIPAL VALUE
AMOUNT (NOTE 3)
- - ------------------------------------------------------------------------ ------------ --------------
<S> <C> <C>
LONG-TERM DEBT SECURITIES:
TECHNOLOGY
TELECOMMUNICATIONS (0.1%)
U.S. Cellular Corp.,
Zero Coupon Conv., 2015 ................................................ $7,500,000 $ 2,493,750
--------------
TOTAL TECHNOLOGY (0.1%) ................................................. 2,493,750
--------------
TOTAL LONG-TERM DEBT SECURITIES (0.1%)
(Amortized Cost $2,863,053) ............................................ 2,493,750
--------------
PARTICIPATION IN SEPARATE ACCOUNT NO. 2A,
at amortized cost, which approximates
market value, equivalent to 85,593 units
at $255.57 (0.9%) each ................................................. 21,875,326
--------------
TOTAL INVESTMENTS (100.3%)
(Cost/Amortized Cost $2,018,433,156) ................................... 2,467,013,964
LIABILITIES IN EXCESS OF CASH AND RECEIVABLES (-0.3%) ................... (7,846,914)
AMOUNT RETAINED BY EQUITABLE LIFE IN
SEPARATE ACCOUNT NO. 4 (0.0%)(NOTE 1) .................................. (641,292)
--------------
NET ASSETS (100.0%) ..................................................... $2,458,525,758
==============
Reserves attributable to participants' accumulations .................... $2,432,753,839
Reserves and other contract liabilities attributable to annuity benefits 25,771,919
--------------
NET ASSETS .............................................................. $2,458,525,758
==============
</TABLE>
* Non-income producing.
See Notes to Financial Statements.
- 14 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Notes to Financial Statements
1. Separate Account No. 4 (Pooled) (the Growth Equity Fund) (the Fund) of
The Equitable Life Assurance Society of the United States (Equitable Life), a
wholly-owned subsidiary of The Equitable Companies Incorporated, was
established in conformity with the New York State Insurance Law. Pursuant to
such law, to the extent provided in the applicable contracts, the net assets
in the Fund are not chargeable with liabilities arising out of any other
business of Equitable Life. The excess of assets over reserves and other
contract liabilities amounting to $641,292 as shown in the Statements of
Assets and Liabilities in Separate Account No. 4 may be transferred to
Equitable Life's General Account.
Interests of retirement and investment plans for Equitable Life employees,
managers, and agents in Separate Account No. 4 aggregated $288,921,270
(11.8%), at December 31, 1996 and $246,531,777 (11.6%), at December 31, 1995,
of the net assets in the Fund.
Equitable Life is the investment manager for the Fund. Alliance Capital
Management L.P. (Alliance) serves as the investment adviser to Equitable Life
with respect to the management of the Fund. Alliance is a publicly-traded
limited partnership which is indirectly majority-owned by Equitable Life.
Equitable Life and Alliance seek to obtain the best price and execution of
all orders placed for the Fund considering all circumstances. In addition to
using brokers and dealers to execute portfolio security transactions for
accounts under their management, Equitable Life and Alliance may also enter
into other types of business and securities transactions with brokers and
dealers, which will be unrelated to allocation of the Fund's portfolio
transactions.
The accompanying financial statements are prepared in conformity with
generally accepted accounting principles (GAAP). The preparation of financial
statements in conformity with GAAP 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 revenues and expenses during the
reporting period. Actual results could differ from those estimates.
2. Security transactions are recorded on the trade date. Amortized cost of
debt securities consists of cost adjusted, where applicable, for amortization
of premium or accretion of discount. Dividend income is recorded on the
ex-dividend date; interest income (including amortization of premium and
discount on securities using the effective yield method) is accrued daily.
Realized gains and losses on the sale of investments are computed on the
basis of the identified cost of the related investments sold.
Transactions denominated in foreign currencies are recorded at the rate
prevailing at the date of such transactions. Asset and liability accounts
that are denominated in a foreign currency are adjusted to reflect the
current exchange rate at the end of the period. Transaction gains or losses
resulting from changes in the exchange rate during the reporting period or
upon settlement of the foreign currency transactions are reflected under
"Realized and Unrealized Gain (Loss) on Investments" in the Statements of
Operations and Changes in Net Assets.
- 15 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Notes to Financial Statements (Continued)
Equitable Life's internal short-term investment account, Separate Account
No. 2A, was established to provide a more flexible and efficient vehicle to
combine and invest temporary cash positions of certain eligible accounts
(Participating Funds) under Equitable Life's management. Separate Account No.
2A invests in debt securities maturing in sixty days or less from the date of
acquisition. At December 31, 1996, the amortized cost of investments held in
Separate Account No. 2A consists of the following:
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
AMORTIZED COST %
- - -------------------------------------------------------- -------------- --------
<S> <C> <C>
Commercial Paper, 5.3%-6.9% due 01/02/97 through
02/18/97................................................ $292,301,486 87.9%
Time Deposits, 6.5% due 01/02/97......................... 40,000,000 12.0
- - -------------------------------------------------------- -------------- --------
Total Investments........................................ 332,301,486 99.9
Cash and Receivables Less Liabilities.................... 175,640 0.1
- - -------------------------------------------------------- -------------- --------
Net Assets of Separate Account No. 2A.................... $332,477,126 100.0%
======================================================== ============== ========
Units Outstanding........................................ 1,300,905
Unit Value............................................... $255.57
- - -------------------------------------------------------- -------------- --------
</TABLE>
Participating Funds purchase or redeem units depending on each
participating account's excess cash availability or cash needs to meet its
liabilities. Separate Account No. 2A is not subject to investment management
fees. Separate Account No. 2A is valued daily at amortized cost, which
approximates market value.
For 1996 and 1995, investment security transactions, excluding short-term
debt securities, were as follows:
- - -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
SEPARATE ACCOUNT NO. 4
------------------------------
COST OF NET PROCEEDS
PURCHASES OF SALES
- - ----------------------------------------------- -------------- --------------
<S> <C> <C>
Stocks and long-term corporate debt securities:
1996.......................................... $2,439,864,229 $2,487,456,851
1995.......................................... 2,037,876,834 2,082,648,235
U.S. Government obligations:
1996.......................................... -- --
1995.......................................... -- --
</TABLE>
----------------------------------------------------------------------------
3. Investment securities are valued as follows:
Stocks listed on national securities exchanges and certain
over-the-counter issues traded on the National Association of Securities
Dealers, Inc. Automated Quotation (NASDAQ) national market system are valued
at the last sale price, or, if no sale, at the latest available bid price.
Foreign securities not traded directly, or in American Depository Receipt
(ADR) form in the United States, are valued at the last sale price in the
local currency on an exchange in the country of origin. Foreign currency is
converted into its U.S. dollar equivalent at current exchange rates.
United States Treasury securities and other obligations issued or
guaranteed by the United States Government, its agencies or instrumentalities
are valued at representative quoted prices.
- 16 -
<PAGE>
- - -----------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Notes to Financial Statements (Concluded)
Long-term publicly traded corporate bonds are valued at prices obtained
from a bond pricing service of a major dealer in bonds when such prices are
available; however, in circumstances where Equitable Life and Alliance deem
it appropriate to do so, an over-the-counter or exchange quotation may be
used.
Convertible preferred stocks listed on national securities exchanges are
valued at their last sale price or, if there is no sale, at the latest
available bid price.
Convertible bonds and unlisted convertible preferred stocks are valued at
bid prices obtained from one or more major dealers in such securities; where
there is a discrepancy between dealers, values may be adjusted based on
recent premium spreads to the underlying common stock.
Other assets that do not have a readily available market price are valued
at fair value as determined in good faith by Equitable Life's investment
officers.
Separate Account No. 2A is valued daily at amortized cost, which
approximates market value. Short-term debt securities purchased directly by
the Funds which mature in 60 days or less are valued at amortized cost.
Short-term debt securities which mature in more than 60 days are valued at
representative quoted prices.
4. Charges and fees are deducted in accordance with the terms of the
various contracts which participate in the Fund. With respect to the American
Dental Association Members Retirement Program, these expenses consist of
investment management and accounting fees, program expense charge, direct
expenses and record maintenance and report fee. These charges and fees are
paid to Equitable Life by the Fund and are recorded as expenses in the
accompanying Statements of Operations and Changes in Net Assets.
5. No Federal income tax based on net income or realized and unrealized
capital gains was applicable to contracts participating in the Fund for the
two years ended December 31, 1996, by reason of applicable provisions of the
Internal Revenue Code and no Federal income tax payable by Equitable Life for
such years will affect such contracts. Accordingly, no Federal income tax
provision is required.
- 17 -
<PAGE>
PART C
OTHER INFORMATION
Item 24. Financial Statements and Exhibits
(a) Financial Statements included in Part B.
The following are included in the Statement of Additional
Information relating to the American Dental Association Members
Retirement Program:
1. Separate Account No. 195:
-Report of Independant Accountants
-Statement of Assets and Liabilities, December 31, 1996
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1996 and 1995
-Notes to Financial Statements
2. Separate Account No. 197:
-Report of Independant Accountants
-Statement of Assets and Liabilities, December 31, 1996
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1996 and 1995
-Notes to Financial Statements
3. Separate Account No. 198:
-Report of Independant Accountants
-Statement of Assets and Liabilities, December 31, 1996
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1996 and 1995
-Notes to Financial Statements
4. The Equitable Life Assurance Society of the United States:
-Report of Independent Accountants - Price Waterhouse
-Consolidated Balance Sheets, December 31, 1996 and 1995
-Consolidated Statements of Earnings for the Years Ended
December 31, 1996, 1995 and 1994
-Consolidated Statements of Equity for Years Ended December 31,
1996, 1995 and 1994
-Consolidated Statements of Cash Flows for the Years Ended
December 31, 1996, 1995 and 1994
-Notes to Consolidated Financial Statements
5. Lifecycle Group Trust - Conservative:
-Report of Independent Accountants - Lifecycle Group Trust
Conservative -Statements of Assets and Liabilities, December 31,
1996 -Statements of Operations for the Year Ended December 31,
1996 -Statements of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
C-1
<PAGE>
6. Lifecycle Group Trust - Moderate:
-Report of Independent Accountants - Lifecycle Group Trust -
Moderate -Statements of Assets and Liabilities, December 31, 1996
-Statements of Operations for the Year Ended December 31, 1996
-Statements of Changes in Net Assets for the Years Ended December
31, 1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
7. S&P 500 Flagship Fund:
-Report of Independent Accountants - S&P 500 Index with Futures:
-Combined Statements of Assets and Liabilities Ended December 31,
1996
-Combined Statements of Operations for the Years Ended December
31, 1996 and 1995
-Combined Statements of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995 Schedule of Investments, December 31,
1996
8. Russell 2000 Fund:
-Report of Independent Accountants - Russell 2000 Fund
-Statements of Assets and Liabilities, December 31, 1996
-Statements of Operations for the Year Ended December 31, 1996
-Statements of Changes in Net Assets for the Years Ended December
31,
1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
9. Daily EAFE Fund:
-Report of Independent Accountants - Daily EAFE Fund -Statements
of Assets and Liabilities, December 31, 1996 -Statements of
Operations for the Year Ended December 31, 1996 -Statements of
Changes in Net Assets for the Years Ended December 31,
1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
10. Daily Government/Corporate Bond Fund:
-Report of Independent Accountants - Daily Government/Corporate
Bond Fund
-Statements of Assets and Liabilities, December 31, 1996
-Statements of Operations for the Year Ended December 31, 1996
-Statements of Changes in Net Assets for the Years Ended
December 31, 1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
C-2
<PAGE>
11. Short Term Investment Fund:
-Report of Independent Accountants - Short Term Investment Fund
-Statements of Assets and Liabilities, December 31, 1996
-Statements of Operations for the Year Ended December 31, 1996
-Statements of Changes in Net Assets for the Years Ended December
31, 1996 and 1995
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1996
(b) Exhibits.
The following Exhibits are filed herewith:
1.(a) Resolutions of the Board of Directors of The Equitable Life
Assurance Society of the United States ("Equitable") authorizing
the establishment of Separate Accounts Nos. 197 and 198,
incorporated by reference to Registration Statement No. 33-75616
on Form N-4 of Registrant, filed on February 27, 1995.
(b) Action by Brian S. O'Neil, Executive Vice President and Chief
Investment Officer of Equitable, dated October, 1993 establishing
Separate Account No. 195 and copies of resolutions of the Board
of Directors of Equitable referenced in said action, incorporated
by reference to Registration Statement No. 33-75616 on Form N-4
of Registrant, filed on February 27, 1995.
2. Not applicable.
3. (a)(1)Service Agreement, effective as of February 1, 1994,
among The Seven Seas Series Fund, Russell Fund
Distributors, Inc. in its capacity as distributor of the
Seven Seas Series Fund and The Equitable Life Assurance
Society of the United States, incorporated by reference to
Registration No.33-75614 on Form N-4 of Registrant, filed
on February 23, 1994.
(a)(2)Service Agreement, effective as of February 1, 1994,
between State Street Bank and Trust Company and The
Equitable Life Assurance Society of The United States,
incorporated by reference to Registration No.33-75614 on
Form N-4 of Registrant, filed on February 23, 1994.
(b) Letter Agreement between The Equitable Life Assurance
Society of the United States and the Trustees of the
American Dental Association Members Retirement Trust and
Trustees of the American Dental Association Members Pooled
Trust for Retirement, incorporated by reference to
Registration No. 33-75616 on Form N-4 of Registrant, filed
on April 29, 1994.
(c) Letter Agreement between The Equitable Life Assurance
Society of the United States and the Trustees of the
American Dental Association Members Retirement Trust and
Trustees of the American Dental Association Members Pooled
Trust for Retirement, incorporated by reference to
C-3
<PAGE>
Registration No. 33-75616 on Form N-4 of Registrant, filed
on April 28, 1995.
(d) Form of Agreement, effective as of May 1, 1995, between
State Street Bank and Trust Company and The Equitable Life
Assurance Society of the United States regarding Lifecycle
Fund Group Trusts and Underlying Funds, incorporated by
reference to Registration No. 33-75616 on Form N-4 of
Registrant, filed on April 28, 1995.
4. (a) Exhibit 6(a)(2) (Group Annuity Contract AC 2100, as amended
and restated effective February 1, 1991 on contract Form
No. APC 1,000-91, among the Trustees of the American Dental
Association Members Retirement Trust, the American Dental
Association Members Pooled Trust for Retirement Plans and
The Equitable Life Assurance Society of the United States),
incorporated by reference to Post-Effective Amendment No. 1
on Form N-3 to Registration Statement 33-40162, filed on
December 20, 1991.
(b) Rider No. 1 to Group Annuity Contract AC 2100 among the
Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Registration No. 33-46995 on Form N-3 of
Registrant, filed on April 8, 1992.
(c) Form of Rider No. 2 to Group Annuity Contract AC 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Registration No. 33-46995 on Form N-3 of
Registrant, filed on April 8, 1992.
(d) Rider No. 3 to Group Annuity Contract AC 2100 among the
Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States. (Filed as Exhibit
4(i) to Registration No. 33-75616 on Form N-4 of
Registrant, filed on April 29, 1994.)
(e) Form of Rider No. 4 to Group Annuity Contract AC 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Registration No. 33-75616 on Form N-4 of
Registrant, filed on April 29, 1994.
(f) Form of Rider No. 5 to Group Annuity Contract AC 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
C-4
<PAGE>
reference to Registration No. 33-75616 on Form N-4 of
Registrat, filed on February 27, 1995.
(g) Form of Rider No. 6 to Group Annuity Contract 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Post-Effective Amendment No. 3 to Registration
No. 33-75616 on Form N-4 of Registrant, filed on April 30,
1996.
(h) Form of Rider No. 7 to Group Annuity Contract 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Post-Effective Amendment No. 3 to Registration
No. 33-75616 on Form N-4 of Registrant, filed on April 30,
1996.
(i) Form of Rider No. 8 to Group Annuity Contract 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States, incorporated by
reference to Post-Effective Amendment No. 3 to Registration
No. 33-75616 on Form N-4 of Registrant, filed on April 30,
1996.
(j) Form of Rider No. 9 to Group Annuity Contract 2100 among
the Trustees of the American Dental Association Members
Retirement Trust, the American Dental Association Members
Pooled Trust for Retirement Plans and The Equitable Life
Assurance Society of the United States.
5. (a) Exhibit 7(a) (Form of Participation Agreement for the
standardized Profit-Sharing Plan under the ADA Program),
incorporated by reference to Post-Effective Amendment No. 1
on Form N-3 to Registration Statement on Form S-1 of
Registrant, filed on April l6, 1986.
(b) Exhibit 7(b) (Form of Participation Agreement for the
non-standardized Profit-Sharing Plan under the ADA
Program), incorporated by reference to Post-Effective
Amendment No. 1 on Form N-3 to Registration Statement on
Form S-1 of Registrant, filed on April l6, 1986.
(c) Exhibit 7(e) (Copy of Attachment to Profit Sharing
Participation Agreement under the American Dental
Association Members Retirement Plan), incorporated by
reference to Registration No. 33-21417 on Form N-3 of
Registrant, filed on April 26, 1988.
(d) Exhibit 7(e)(2) (Form of Participant Enrollment Form under
the ADA Program), incorporated by reference to
Post-Effective Amendment No. 2 on Form N-3 to Registration
C-5
<PAGE>
Statement on Form S-1 of Registrant, filed on April 2l,
l987.
(e) Exhibit 7(v) (Form of Simplified Participation Agreement
for the Profit-Sharing Plan under the ADA Program, as filed
with the Internal Revenue Service), incorporated by
reference to Post-Effective Amendment No. 2 to Registration
No. 33-21417 on Form N-3 of Registrant, filed on April 26,
1989.
(f) Exhibit 7(w) (Form of Non-Standardized Participation
Agreement for the Profit-Sharing Plan under the ADA
Program, as filed with the Internal Revenue Service),
incorporated by reference to Post-Effective Amendment No. 2
to Registration No. 33-21417 on Form N-3 of Registrant,
filed on April 26, 1989.
(g) Exhibit 7(x) (Form of Standardized Participation Agreement
for the Profit-Sharing Plan under the ADA Program, as filed
with the Internal Revenue Service), incorporated by
reference to Post-Effective Amendment No. 2 to Registration
No. 33-21417 on Form N-3 of Registrant, filed on April 26,
1989.
6. (a) Copy of the Restated Charter of The Equitable Life
Assurance Society of the United States, adopted August 6,
1992, incorporated by reference to Post-Effective Amendment
No. 2 to Registrant No. 33-46995 on Form N-3 of Registrant,
filed on March 2, 1993.
(b) By-Laws of The Equitable Life Assurance Society of the
United States, as amended through July 22, 1992,
incorporated by reference to Post-Effective Amendment No. 2
to Registration No. 33-46995 on Form N-3 of Registrant,
filed on March 2, 1993.
(c) Copy of the Certificate of Amendment to the Restated
Charter of The Equitable Life Assurance Society of the
United States, adopted November 18, 1993, incorporated by
reference to Post-Effective Amendment No. 3 to Registration
No. 33-75616 on Form N-4 of Registrant, filed on April 30,
1996.
(d) By-Laws of The Equitable Life Assurance Society of the
United States, as amended November 21, 1996.
(e) Copy of the Restated Charter of The Equitable Life
Assurance Society of the United States, as amended January
1, 1997.
7. Not applicable
8. (a) Exhibit 11(a)(2) (Form of American Dental Association
Members Retirement Plan, as filed with the Internal Revenue
Service), incorporated by reference to Post-Effective
Amendment No. 2 to Registration No. 33-21417 on Form N-3 of
Registrant, filed on April 26, 1989.
C-6
<PAGE>
(b) Exhibit 11(g)(2) (Form of American Dental Association
Members Retirement Trust, as filed with the Internal
Revenue Service), incorporated by reference to
Post-Effective Amendment No. 2 to Registration No. 33-21417
on Form N-3 of Registrant, filed on April 26, 1989.
(c) Exhibit 11(i) (Form of First Amendment to the American
Dental Association Members Retirement Trust), incorporated
by reference to Post-Effective Amendment No. 1 to
Registration No. 33-40162 on Form N-3 of Registrant, filed
on December 20, 1991.
(d) Exhibit 11(g) (Copy of Administration Services Agreement,
dated January 10, 1986, among The Equitable Life Assurance
Society of the United States, the Trustees of the Trust
maintained under the American Dental Association Members
Retirement Plan, the Trustees of the Pooled Trust
maintained by the American Dental Association and the
Council of Insurance of the American Dental Association),
incorporated by reference to Post-Effective Amendment No. 1
on Form N-3 to Registration Statement on Form S-1 of
Registrant, filed on April l6, 1986.
(e) Exhibit 11(j) (Copy of American Dental Association Members
Pooled Trust for Retirement Plans, dated as of January 1,
1984), incorporated by reference to Post-Effective
Amendment No. 1 to Registration No. 33-40162 on Form N-3 of
Registrant on Form N-3 of Registrant, filed on December 20,
1991.
(f) Exhibit 11(k) (Form of First Amendment to the American
Dental Association Members Pooled Trust for Retirement
Plans, dated as of January 1, 1984), incorporated by
reference to Post-Effective Amendment No. 1 to Registration
No. 33-40162 on Form N-3 of Registrant, filed on
December 20, 1991.
(g) Administrative Services Agreement among The Equitable Life
Assurance Society of the United States, the Trustees of the
American Dental Association Members Retirement Trust and of
the American Dental Association Member Retirement Trust for
Retirement Plans and the Council on Insurance of the
American Dental Association, incorporated by reference to
Registration No. 33-75616 on Form N-4 of Registrant, filed
on April 29, 1994.
(h) Declaration of Trust dated February 21, 1991 for the State
Street Bank and Trust Company Investment Funds for Tax
Exempt Retirement Plans, incorporated by reference to
Registration No. 33-75616 on Form N-4 of Registrant, filed
on February 27, 1995.
(i) First Amendment to the Declaration of Trust dated as of
July 19, 1991, incorporated by reference to Registration
No. 33-75616 on Form N-4 of Registrant, filed on February
27, 1995.
C-7
<PAGE>
(j) Fund Declaration of State Street Bank and Trust Company
establishing the Lifecycle Fund Group Trust-Conservative
dated February 1, 1995, incorporated by reference to
Registration No. 33-75616 on Form N-4 of Registrant, filed
on February 27, 1995.
(k) First Amendment and Fund Declaration for the Lifecycle
Group Trust-Conservative, effective April 26, 1995,
incorporated by reference to Registration No. 33-75616,
filed on April 28, 1995.
(l) Fund Declaration of State Street Bank and Trust Company
establishing the Lifecycle Fund Group Trust-Moderate dated
February 1, 1995, incorporated by reference to Registration
No. 33-75616 on Form N-4 of Registrant, filed on February
27, 1995.
(m) First Amendment and Fund Declaration for the Lifecycle Fund
Group Trust-Moderate, effective April 26, 1995,
incorporated by reference to Registration No. 33-75616,
filed on April 28, 1995.
(n) Amendment and Fund Declaration for the S&P 500 Flagship
Fund effective September 1, 1991, incorporated by reference
to Registration No. 33-75616 on Form N-4 of Registrant,
filed on February 27, 1995.
(o) Amendment and Fund Declaration for the Short Term
Investment Fund effective September 1, 1991, incorporated
by reference to Registration No. 33-75616 on Form N-4 of
Registrant, filed on February 27, 1995.
(p) Fund Declaration for the Daily EAFE Fund effective
September 16, 1993, incorporated by reference to
Registration No. 33-75616 on Form N-4 of Registrant, filed
on February 27, 1995.
(q) First Amendment and Fund Declaration for the Daily
Government/Corporate Bond Fund effective November 30, 1994,
incorporated by reference to Registration No. 33-75616 on
Form N-4 of Registrant, filed on February 27, 1995.
(r) Second Amendment and Fund Declaration for the Russell 2000
Fund effective February 1, 1995, incorporated by reference
to Registration No. 33-75616 on Form N-4 of Registrant,
filed on February 27, 1995.
(s) Fund Declaration for the Russell 2000 Growth Fund effective
February 1, 1995, incorporated by reference to Registration
No. 33-75616 on Form N-4 of Registrant, filed on February
27, 1995.
(t) Fund Declaration for the Russell 2000 Value Fund effective
February 1, 1995, incorporated by reference to Registration
No. 33-75616 on Form N-4 of Registrant, filed on February
27, 1995.
C-8
<PAGE>
9. Not applicable.
10. (a) Consent of Price Waterhouse LLP.
(b) Powers of Attorney (Equitable).
(c) Powers of Attorney (State Street), incorporated by
reference to Registration No. 33-75616 of Registrant, filed
on April 28, 1995.
11. Not applicable.
12. Not applicable.
13. Not applicable.
14. Not Applicable.
27. Financial Data Schedule.
C-9
<PAGE>
Item 25: Directors and Officers of Equitable.
Set forth below is information regarding the directors and principal
officers of Equitable. Equitable's address is 1290 Avenue of the
Americas, New York, New York 10104. The business address of the
persons whose names are preceded by an asterisk is that of
Equitable.
<TABLE>
<CAPTION>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- - ---------------- ---------
<S> <C>
DIRECTORS
- - ---------
Claude Bebear Director
AXA-UAP
23, Avenue Matignon
75008 Paris, France
Christopher J. Brocksom Director
AXA Equity & Law
Elbury 9
Weedon Lane
Buckinghamshire HP 6505
England
Francoise Colloc'h Director
AXA-UAP
23, Avenue Matignon
75008 Paris, France
Henri de Castries Director
AXA-UAP
23, Avenue Matignon
75008 Paris, France
Joseph L. Dionne Director
The McGraw-Hill Companies
1221 Avenue of the Americas
New York, NY 10020
William T. Esrey Director
Sprint Corporation
P.O. Box 11315
Kansas City, MO 64112
Jean-Rene Fourtou Director
Rhone-Poulenc S.A.
25 Quai Paul Doumer
92408 Courbevoie Cedex,
France
C-10
<PAGE>
<CAPTION>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- - ---------------- ---------
<S> <C>
Norman C. Francis Director
Xavier University of Louisiana
7325 Palmetto Street
New Orleans, LA 70125
Donald J. Greene Director
LeBouef, Lamb, Greene & MacRae
125 West 55th Street
New York, NY 10019-4513
John T. Hartley Director
Harris Corporation
1025 NASA Boulevard
Melbourne, FL 32919
John H.F. Haskell, Jr. Director
Dillion, Read & Co., Inc.
535 Madison Avenue
New York, NY 10028
Mary R. (Nina) Henderson Director
CPC International, Inc.
International Plaza
P.O. Box 8000
Englewood Cliffs, NJ 07632-9976
W. Edwin Jarmain Director
Jarmain Group Inc.
121 King Street West
Suite 2525
Toronto, Ontario M5H 3T9,
Canada
G. Donald Johnston, Jr. Director
184-400 Ocean Road
John's Island
Vero Beach, FL 32963
Winthrop Knowlton Director
Knowlton Brothers, Inc.
530 Fifth Avenue
New York, NY 10036
Arthur L. Liman Director
Paul, Weiss, Rifkind, Wharton &
Garrison
1285 Avenue of the Americas
New York, NY 10019
C-11
<PAGE>
<CAPTION>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- - ---------------- ---------
<S> <C>
George T. Lowy Director
Cravath, Swaine & Moore
825 Eighth Avenue
New York, NY 10019
Didier Pineau-Valencienne Director
Schneider S.A.
64/70 Avenue Jean-Baptiste Clement
92646 Boulogne-Billancourt Cedex
France
George J. Sella, Jr. Director
P.O. Box 397
Newton, NJ 07860
Dave H. Williams Director
Alliance Capital Management Corporation
1345 Avenue of the Americas
New York, NY 10105
OFFICER-DIRECTORS
- - -----------------
*James M. Benson President and Director (until 5/1/97)
*William T. McCaffrey Senior Executive Vice President,
Chief Operating Officer and Director
*Joseph J. Melone Chairman of the Board, Chief Executive
Officer and Director; President
(effective 5/1/97)
OTHER OFFICERS
- - --------------
*A. Frank Beaz Senior Vice President
*Leon Billis Senior Vice President
*Harvey Blitz Senior Vice President and Deputy
Chief Financial Officer
*Kevin R. Byrne Vice President and Treasurer
*Jerry M. de St. Paer Executive Vice President
*Gordon G. Dinsmore Senior Vice President
*Alvin H. Fenichel Senior Vice President and
Controller
C-12
<PAGE>
*Paul J. Flora Senior Vice President and Auditor
*Robert E. Garber Executive Vice President and General
Counsel
*Donald R. Kaplan Vice President and Chief Compliance
Officer and Associate General Counsel
*Michael S. Martin Senior Vice President
*Peter D. Noris Executive Vice President and Chief
Investment Officer
*Anthony C. Pasquale Senior Vice President
*Pauline Sherman Vice President, Secretary and
Associate General Counsel
*Samuel B. Shlesinger Senior Vice President
*Richard V. Silver Senior Vice President and Deputy
General Counsel
*Jose Suquet Executive Vice President and Chief
Agency Officer
*Stanley B. Tulin Senior Executive Vice President
and Chief Financial Officer
</TABLE>
C-13
<PAGE>
Item 26. Persons Controlled by or Under Common Control with the Insurance
Company or Registrant
Separate Account Nos. 195, 197 and 198 of The Equitable Life
Assurance Society of the United States (the "Separate Accounts") are separate
accounts of Equitable. Equitable, a New York stock life insurance company, is a
wholly owned subsidiary of The Equitable Companies Incorporated (the "Holding
Company"), a publicly traded company.
The largest stockholder of the Holding Company is AXA-UAP. As of
January 1, 1997, AXA-UAP beneficially owned 63.8% of the outstanding common
stock of the Holding Company (assuming conversion of the convertible preferred
stock held by AXA-UAP). Under its investment arrangements with Equitable Life
and the Holding Company, AXA-UAP is able to exercise significant influence over
the operations and capital structure of the Holding Company and its
subsidiaries, including Equitable Life. AXA-UAP, a French company, is the
holding company for an international group of insurance and related financial
services companies.
C-14
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
The Equitable Companies Incorporated (l991) (Delaware)
Donaldson, Lufkin & Jenrette, Inc. (1993) (Delaware) (44.1%) (See
Addendum B(1) for subsidiaries)
The Equitable Life Assurance Society of the United States (1859)
(New York) (a)(b)
The Equitable of Colorado, Inc. (l983) (Colorado)
EVLICO, INC. (1995) (Delaware)
EVLICO East Ridge, Inc. (1995) (California)
GP/EQ Southwest, Inc. (1995) (Texas) (5.885%)
Franconom, Inc. (1985) (Pennsylvania)
Frontier Trust Company (1987) (North Dakota)
Gateway Center Buildings, Garage, and Apartment Hotel, Inc.
(inactive) (pre-l970) (Pennsylvania)
Equitable Deal Flow Fund, L.P.
Equitable Managed Assets (Delaware)
EREIM LP Associates (99%)
EML Associates, L.P. (19.8%)
Alliance Capital Management L.P. (2.71% limited partnership
interest)
ACMC, Inc. (1991) (Delaware)(s)
Alliance Capital Management L.P. (1988) (Delaware)
(49.09% limited partnership interest)
EVCO, Inc. (1991) (New Jersey)
EVSA, Inc. (1992) (Pennsylvania)
Prime Property Funding, Inc. (1993) (Delaware)
Wil Gro, Inc. (1992) (Pennsylvania)
Equitable Underwriting and Sales Agency (Bahamas) Limited (1993)
(Bahamas)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
C-15
<PAGE>
The Equitable Companies Incorporated (cont.)
Donaldson Lufkin & Jenrette, Inc.
The Equitable Life Assurance Society of the United States (cont.)
Fox Run Inc. (1994) (Massachusetts)
STCS, Inc. (1992) (Delaware)
CCMI Corporation (1994) (Maryland)
FTM Corporation (1994) (Maryland)
HVM Corporation (1994) (Maryland)
Equitable BJVS, Inc. (1992) (California)
Equitable Rowes Wharf, Inc. (1995) (Massachusetts)
GP/EQ Southwest, Inc. (1995) (Texas) (94.132%)
Camelback JVS, Inc. (1995) (Arizona)
ELAS Realty, Inc. (1996) (Delaware)
Equitable Realty Assets Corporation (1983) (Delaware)
100 Federal Street Realty Corporation (Massachusetts)
Equitable Structured Settlement Corporation (1996) (Delaware)
Equitable Holding Corporation (1985) (Delaware)
EQ Financial Consultants, Inc. (formerly
Equico Securities, Inc.) (l97l) (Delaware) (a) (b)
ELAS Securities Acquisition Corp. (l980) (Delaware)
100 Federal Street Funding Corporation (Massachusetts)
EquiSource of New York, Inc. (1986) (New York) (See
Addendum A for subsidiaries)
Equitable Casualty Insurance Company (l986) (Vermont)
EREIM LP Corp. (1986) (Delaware)
EREIM LP Associates (1%)
EML Associates (.02%)
Six-Pac G.P., Inc. (1990) (Georgia)
Equitable Distributors, Inc. (1988) (Delaware) (a)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
C-16
<PAGE>
The Equitable Companies Incorporated (cont.)
Donaldson Lufkin & Jenrette, Inc.
The Equitable Life Assurance Society of the United States (cont.)
Equitable Holding Corporation (cont.)
Equitable JVS, Inc. (1988) (Delaware)
Astor/Broadway Acquisition Corp. (1990) (New York)
Astor Times Square Corp. (1990) (New York)
PC Landmark, Inc. (1990) (Texas)
Equitable JVS II, Inc. (1994) (Maryland)
EJSVS, Inc. (1995) (New Jersey)
Donaldson, Lufkin & Jenrette, Inc. (1985 by EIC; 1993 by EQ and
EHC) (Delaware) (36.1%) (See Addendum B(1) for
subsidiaries)
JMR Realty Services, Inc. (1994) (Delaware)
Equitable Structured Settlement Corporation (1996) (Delaware)
Equitable Investment Corporation (l97l) (New York)
Stelas North Carolina Limited Partnership (50% limited
partnership interest) (l984)
Equitable JV Holding Corporation (1989) (Delaware)
Alliance Capital Management Corporation (l991) (Delaware) (b)
(See Addendum B(2) for subsidiaries)
Equitable Capital Management Corporation (l985) (Delaware) (b)
Alliance Capital Management L.P. (1988) (Delaware)
(14.67% limited partnership interest)
EQ Services, Inc. (1992) (Delaware)
Equitable Agri-Business, Inc. (1984) Delaware
Equitable Real Estate Investment Management, Inc. (l984)
(Delaware) (b) (See Addendum B(3) for subsidiaries)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
C-17
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
ADDENDUM A - SUBSIDIARY
OF EQUITABLE HOLDING CORPORATION
HAVING MORE THAN FIVE SUBSIDIARIES
EquiSource of New York, Inc. (formerly Traditional Equinet Business Corporation
of New York) has the following subsidiaries that are brokerage companies to
make available to Equitable Agents within each state traditional (non-equity)
products and services not manufactured by Equitable:
EquiSource of Alabama, Inc. (1986) (Alabama)
EquiSource of Arizona, Inc. (1986) (Arizona)
EquiSource of Arkansas, Inc. (1987) (Arkansas)
EquiSource Insurance Agency of California, Inc. (1987) (California)
EquiSource of Colorado, Inc. (1986) (Colorado)
EquiSource of Delaware, Inc. (1986) (Delaware)
EquiSource of Hawaii, Inc. (1987) (Hawaii)
EquiSource of Maine, Inc. (1987) (Maine)
EquiSource Insurance Agency of Massachusetts, Inc. (1988)
(Massachusetts)
EquiSource of Montana, Inc. (1986) (Montana)
EquiSource of Nevada, Inc. (1986) (Nevada)
EquiSource of New Mexico, Inc. (1987) (New Mexico)
EquiSource of Pennsylvania, Inc. (1986) (Pennsylvania)
EquiSource Insurance Agency of Utah, Inc. (1986) (Utah)
EquiSource of Washington, Inc. (1987) (Washington)
EquiSource of Wyoming, Inc. (1986) (Wyoming)
C-18
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
ADDENDUM B - INVESTMENT SUBSIDIARIES
HAVING MORE THAN FIVE SUBSIDIARIES
Donaldson, Lufkin & Jenrette, Inc. has the following subsidiaries, and
approximately 150 other subsidiaries, most of which are special purpose
subsidiaries (the number fluctuates according to business needs):
Donaldson, Lufkin & Jenrette, Securities Corporation (1985)
(Delaware) (a) (b)
Wood, Struthers & Winthrop Management Corp. (1985)
(Delaware) (b)
Autranet, Inc. (1985) (Delaware) (a)
DLJ Real Estate, Inc.
DLJ Capital Corporation (b)
DLJ Mortgage Capital, Inc. (1988) (Delaware)
Column Financial, Inc. (1993) (Delaware) (50%)
Alliance Capital Management Corporation (as general partner) (b)has the
following subsidiaries:
Alliance Capital Management L.P. (1988) (Delaware) (b)
Alliance Capital Management Corporation of Delaware, Inc.
(Delaware)
Alliance Fund Services, Inc. (Delaware) (a)
Alliance Fund Distributors, Inc. (Delaware) (a)
Alliance Capital Oceanic Corp. (Delaware)
Alliance Capital Management Australia Pty. Ltd.
(Australia)
Meiji - Alliance Capital Corp. (Delaware) (50%)
Alliance Capital (Luxembourg) S.A. (99.98%)
Alliance Eastern Europe Inc. (Delaware)
Alliance Barra Research Institute, Inc. (Delaware)
(50%)
Alliance Capital Management Canada, Inc. (Canada)
(99.99%)
Alliance Capital Management (Brazil) Llda
Alliance Capital Global Derivatives Corp. (Delaware)
Alliance International Fund Services S.A. (Luxembourg)
Alliance Capital Management (India) Ltd. (Delaware)
Alliance Capital Mauritius Ltd.
Alliance Corporate Finance Group, Incorporated (Delaware)
Equitable Capital Diversified Holdings, L.P. I
Equitable Capital Diversified Holdings, L.P. II
Curisitor Alliance L.L.C. (Delaware)
Curisitor Holdings Limited (UK)
Alliance Capital Management (Japan), Inc.
Alliance Capital Management (Asia) Ltd.
Alliance Capital Management (Turkey), Ltd.
Cursitor Alliance Management Limited (UK)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
C-19
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
ADDENDUM B - (CONT.)
INVESTMENT SUBSIDIARIES
HAVING MORE THAN FIVE SUBSIDIARIES
Equitable Real Estate Investment Management, Inc. (b) has the following
subsidiaries:
Equitable Realty Portfolio Management, Inc. (1984) (Delaware)
EQK Partners (100% general partnership interest)
Compass Management and Leasing Co. (formerly EREIM, Inc.) (1984)
(Colorado)
Equitable Real Estate Capital Markets, Inc. (1987) (Delaware)
(a)
EPPNLP Corp. (1987) (Delaware)
Equitable Pacific Partners Corp. (1987) (Delaware)
Equitable Pacific Partners Limited Partnership
EREIM Managers Corp. (1986) (Delaware)
ML/EQ Real Estate Portfolio, L.P.
EML Associates, L.P. (80%)
Compass Retail, Inc. (1990) (Delaware)
Compass Management and Leasing, Inc. (1991) (Delaware)
CJVS, Inc. (1994) (California)
Compass Cayman (1996) (Cayman Islands)
Compass Management and Leasing (UK) Limited
Column Financial, Inc. (1993) (Delaware) (50%)
Buckhead Strategic Corp. (1994) (Delaware)
Buckhead Strategic Fund, L.P.
BH Strategic Co. I, L.P.
BH Strategic Co. II, L.P.
BH Strategic Co. III, L.P.
BH Strategic Co. IV, L.P.
Community Funding, Inc. (1994) (Delaware)
Community Mortgage Fund, L.P. (1994) (Delaware)
Buckhead Strategic Corp., II (1995) (Delaware)
Buckhead Strategic Fund L.P. II
Buckhead Co. I, L.P.
Buckhead Co. II, L.P.
Buckhead Co. III, L.P.
HYDOC, L.L.C.
Headwind Holding Corp.
Buckhead Co. IV, L.P.
Tricon Corp.
Tricon, L.P.
Equitable Real Estate Hyperion Capital Advisors LLC (1995)
(Delaware)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
C-20
<PAGE>
AXA GROUP CHART
The information listed below is dated as of December 31, 1996; percentages
shown represent voting power. The name of the owner is noted when AXA
indirectly controls the company.
<TABLE>
<CAPTION>
AXA INSURANCE AND REINSURANCE BUSINESS HOLDING
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Axa Assurances Iard France 99%
Axa Assurances Vie France 100% by Axa and Axa Courtage
Vie
Axa Courtage Iard France 99.9% by Axa and Axa
Assurances Iard
Axa Courtage Vie France 99.4% by Axa and Axa
Assurances Iard and Axa
Courtage Iard
Alpha Assurances Vie France 100%
Axa Direct France 100%
Direct Assurances Iard France 100% by Axa Direct
Direct Assurance Vie France 100% by Axa Direct
Axa Direkt Versicherung A.G. Germany 100% owned by Axa Direct
Axiva France 100% by Axa and Axa Courtage
Vie
Defense Civile France 95%
Societe Francaise d'Assistance France 100% by SFA Holding
Monvoisin Assurances France 99.9% by different companies
and Mutuals
Societe Beaujon France 99.9%
Lor Finance France 99.9%
Jour Finance France 100% by Alpha Assurances Iard
and by Axa Assurances Iard
Compagnie Auxiliaire pour le France 99.8% by Societe Beaujon
Commerce and l'Industrie
C.F.G.A. France 99.96% owned by Mutuals and
Finaxa
Axa Global Risks France 100% owned by Axa and Mutuals
Saint Bernard Diffusion France 94.92% owned by Direct
Assurances Iard
Sogarep France 95%, (100% with Mutuals)
Argovie France 100% by Axiva and SCA Argos
Finargos France 70.5% owned by Axiva
C-21
<PAGE>
<CAPTION>
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Astral Finance France 99.33% by Axa Courtage Vie
Argos France N.S.
Finaxa Belgium Belgium 100%
Axa Belgium Belgium 26.8% by Axa(SA) and 72.6% by
Finaxa Belgium
De Kortrijske Verzekering Belgium 99.8% by Axa Belgium
Juris Belgium 100% owned by Finaxa Belgium
Finaxa Luxembourg Luxembourg 100%
Axa Assurance IARD Luxembourg Luxembourg 99.9%
Axa Assurance Vie Luxembourg Luxembourg 99.9%
Axa Aurora Spain 50% owned by Axa
Aurora Polar SA de Seguros y Spain 99.4% owned by Axa Aurora
Reaseguros
Axa Vida SA de Seguros y Spain 89.82% owned by Aurora Polar
Reaseguros 5% by Axa
Axa Gestion de Seguros y Spain 99.1% owned by Axa Aurora
Reaseguros
Hilo Direct Seguros Spain 99.9% by Axa Aurora
Axa Assicurazioni Italy 100% owned by Axa
Eurovita Italy 30% owned by Axa
Assicurazioni
Axa Equity & Law plc U.K. 99.9% owned by Axa
Axa Equity & Law Life U.K. 100% by Axa Equity & Law plc
Assurance Society
Axa Equity & Law International U.K. 100% owned by Axa Equity &
Law Life Assurance Society
Axa Leven The Netherlands 100% by Axa Equity & Law Life
Assurance Society
Axa Insurance U.K. 100% owned by Axa
Axa Global Risks U.K. 100% owned by Axa Global
Risks (France)
Axa Canada Canada 100% owned by Axa
Boreal Insurance Canada 100% owned by Gestion
Fracapar
Axa Assurances Inc. Canada 100% owned by Axa Canada
C-22
<PAGE>
<CAPTION>
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Axa Insurance Inc. Canada 100% owned by Axa Canada and
Axa Assurance Inc.
Anglo Canada General Canada 100% owned by Axa Canada
Insurance Cy
Axa Pacific Insurance Canada 100% by Boreal Insurance
Boreal Assurances Agricoles Canada 100% by Boreal Insurance
Sime Axa Berhad Malaysia 30% owned by Axa and Axa
Reassurance
Axa Sime Investment Holdings Singapore 50%
Pte Ltd
Axa Sime Assurance Hong Kong 100% owned by Axa Sime Invt.
Holdings Pte Ltd
Axa Sime Assurance Singapore 100% owned by Axa Sime Invt
Holdings Pte Ltd
Axa Life Insurance Hong Kong 100%
PT Asuransi Axa Indonesia Indonesia 80%
Equitable Cies Incorp. U.S.A. 60.8% between Axa, 44.69%
Financiere 45, 3.8%,
Lorfinance 7.6% and Axa
Equity & Law Life Association
Society 4.8%
Equitable Life Assurance of U.S.A. 100% owned by Equitable Cies
the USA Inc.
National Mutual Holdings Ltd Australia 51% between Axa, 42.1% and
Axa Equity & Law Life
Assurance Society 8.9%
The National Mutual Life Australia 100% owned by National Mutual
Association of Australasia Ltd Holdings Ltd
National Mutual International Australia 100% owned by National Mutual
Pty Ltd Holdings Ltd
National Mutual (Bermuda) Ltd Australia 100% owned by National Mutual
International Pty Ltd
National Mutual Asia Ltd Australia 55% owned by National Mutual
Holdings Ltd and 20% by
Datura Ltd and 13% by
National Mutual Life
Association of Australasia
Australian Casualty & Life Ltd Australia 100% owned by National Mutual
Holdings Ltd
National Mutual Health Australia 100% owned by National Mutual
Insurance Pty Ltd Holdings Ltd
C-23
<PAGE>
<CAPTION>
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Axa Reassurance France 100% owned by Axa, Axa
Assurances Iard and Axa
Global Risks
Axa Re Finance France 80% owned by Axa Reassurance
Axa Re Vie France 99.9% owned by Axa
Reassurance
Axa Cessions France 100% by Axa
Axa Re Mexico Mexico 100% owned by Axa Reassurance
Axa Re Asia Singapore 100% owned by Axa Reassurance
Axa Re U.K. Plc U.K. 100% owned by Axa Re U.K.
Holding
Axa Re U.K. Holding U.K. 100% owned by Axa Reassurance
Axa Re U.S.A. U.S.A. 100% owned by Axa America
and Axa Reassurance
Axa America U.S.A. 100% owned by Axa Reassurance
International Technology U.S.A. 80% owned by Axa America
Underwriters Inc. (INTEC)
Axa Re Life U.S.A. 100% owned by Axa Re Vie
C.G.R.M. Monaco 100% owned by Axa Reassurance
Axa Life Insurance Japan 100% owned by Axa
Dongbu Axa Life Insurance Co Korea 50% owned by Axa
Ltd
Axa Oyak Hayat Sigota Turkey 60% owned by Axa
Oyak Sigorta Turkey 11% owned by Axa
</TABLE>
C-24
<PAGE>
<TABLE>
<CAPTION>
AXA FINANCIAL BUSINESS
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Compagnie Financiere de Paris France 96.9%, (100% with Mutuals)
(C.F.P.)
Axa Banque France 98.7% owned by C.F.P.
Financiere 78 France 100% owned by C.F.P.
Axa Credit France 65% owned by C.F.P.
Axa Gestion Interessement France 100% owned by Axa Asset
Management Europe
Compagnie Europeenne de France 100% owned by C.F.P.
Credit (C.E.C.)
Fidei France 20.7% owned by C.F.P. and
10.8% by Axamur
Societe de Placements France 98.58% with Mutuals
Selectionnes S.P.S.
Presence et Initiative France 100% with Mutuals
Vamopar France 100% owned by Societe Beaujon
Financiere Mermoz France 100%
Axa Asset Management Europe France 100%
Axa Asset Management France 100% owned by Axa Asset
Partenaires Management Europe
Axa Asset Management Conseils France 100% owned by Axa Asset
Management Europe
Axa Asset Management France 100% owned by Axa Asset
Distribution Management Europe
Axa Equity & Law Home Loans U.K. 100% owned by Axa Equity &
Law Plc
Axa Equity & Law Commercial U.K. 100% owned by Axa Equity &
Loans Law Plc
C-25
<PAGE>
<CAPTION>
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Alliance Capital Management U.S.A. 59% held by ELAS
Donaldson Lufkin & Jenrette U.S.A. 44.1% owned by Equitable Cies
Inc. and 36.1% by Equitable
Holding Cies
National Mutual Funds Australia 100% owned by National
Management (Global) Ltd Holdings Ltd
National Mutual Funds USA 100% by National Mutual Funds
Management North America Management (Global) Ltd.
Holding Inc.
Cogefin Luxembourg 100% owned by Axa Belgium
Financiere 45 France 99.8% owned by Axa
Mofipar France 99.76% owned by Axa
ORIA France 100% owned by Axa Millesimes
Axa Oeuvres d'Art France 100% by Mutuals
Axa Cantenac Brown France 100% by Societe Beaujon
Axa Suduiraut France 99.6% owned by Societe
Beaujon
Colisee Acti Finance 2 France 100% owned by Axa Assurances
Iard Mutuelle
</TABLE>
C-26
<PAGE>
<TABLE>
<CAPTION>
AXA REAL ESTATE BUSINESS
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
C.I.P.M. France 97.8% with Mutuals
Fincosa France 100% owned by C.I.P.M.
Prebail France 100% owned by Societe Beaujon
and C.F.P.
Axamur France 100% by different companies
and Mutuelles
Parigest France 100% by the Mutuals, C.I.P.M.
and Fincosa
Parimmo France 100% by the insurance
companies and Mutuals
S.G.C.I. France 100% by different companies
and Mutuelles
Transaxim France 100% owned by S.G.C.I. and
C.P.P.
Compagnie Parisienne de France 100% owned by S.G.C.I.
Participations
Monte Scopando France 100% owned by C.P.P.
Matipierre France 100% by different companies
Securimmo France 87.12% by different companies
and Mutuals
Paris Orleans France 100% by Axa Courtage Iard
Colisee Bureaux France 100% by different companies
and Mutuals
Colisee Premiere France 100% by different companies
and Mutuals
Colisee Laffitte France 100% by Colisee Bureaux
Foniere Carnot Laforge France 100% by Colisee Premiere
Parc Camoin France 100% by Colisee Premiere
Delta Point du Jour France 100% owned by Matipierre
Paroi Nord de l'Arche France 100% owned by Matipierre
Falival France 100% owned by Axa Reassurance
Compagnie du Gaz d'Avignon France 99% owned by Axa Ass Iard
Ahorro Familiar France 42.2% owned by Axa Assurances
Iard
Fonciere du Val d'Oise France 100% owned by C.P.P.
Sodarec France 100% owned by C.P.P.
C-27
<PAGE>
<CAPTION>
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
Centrexpo France 100% owned by C.P.P.
Fonciere de la Vile du Bois France 100% owned by Centrexpo
Colisee Seine France 100% owned by different
companies
Translot France 100% owned by SGCI
S.N.C. Dumont d'Urville France 100% owned by Colisee
Premiere
Colisee Federation France 100% by SGCI
Colisee Saint Georges France 100% by SGCI
Drouot Industrie France 50% by SGCI and 50% by Axamur
Colisee Vauban France 99.6% by Matipierre
Fonciere Colisee France 100% by Matipierre and
different companies
Axa Pierre S.C.I. France 97.6% owned by different
companies and Mutuals
Axa Millesimes France 85.2% owned by AXA and the
Mutuals
Chateau Suduirault France 100% owned by Axa Millesimes
Diznoko Hongrie 95% owned by Axa Millesimes
Compagnie Fonciere Matignon France 100% by different companies
and Mutuals
Equitable Real Estate U.S.A. 100% owned by ELAS
Investment
Quinta do Noval Vinhos S.A. Portugal 99.6% owned by Axa Millesimes
</TABLE>
C-28
<PAGE>
<TABLE>
<CAPTION>
OTHER AXA BUSINESS
COMPANY COUNTRY VOTING POWER
- - ------- ------- ------------
<S> <C> <C>
A.N.F. France 95.4% owned by Finaxa
Lucia France 20.6% owned by Axa Assurances
Iard and 8.6% by Mutuals
Schneider S.A. France 10.4%
</TABLE>
C-29
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
NOTES
1. The year of formation or acquisition and state or country of
incorporation of each affiliate is shown.
2. The chart omits certain relatively inactive special purpose real estate
subsidiaries, partnerships, and joint ventures formed to operate or
develop a single real estate property or a group of related properties,
and certain inactive name-holding corporations.
3. All ownership interests on the chart are 100% common stock
ownership except: (a) The Equitable Companies Incorporated's
44.1% interest in Donaldson, Lufkin & Jenrette, Inc. and
Equitable Holding Corporation's 36.1% interest in same; (b)
as noted for certain partnership interests; (c) Equitable
Life's ACMC, Inc.'s and Equitable Capital Management
Corporation's limited partnership interests in Alliance
Capital Management L.P.; (d) as noted for certain
subsidiaries of Alliance Capital Management Corp. of
Delaware, Inc.; (e) Treasurer Robert L. Bennett's 20%
interest in Compass Management and Leasing Co. (formerly
EREIM, Inc.); and (f) DLJ Mortgage Capital's and Equitable
Real Estate's respective ownerships, 50% each in Column
Financial, Inc.
4. The operational status of the entities shown as having been formed or
authorized but "not yet fully operational" should be checked with the
appropriate operating areas, especially for those that are start-up
situations.
5. The following entities are not included in this chart because, while they
have an affiliation with The Equitable, their relationship is not the
ongoing equity-based form of control and ownership that is characteristic
of the affiliations on the chart, and, in the case of the first two
entities, they are under the direction of at least a majority of "outside"
trustees:
The Equitable Funds
The Hudson River Trust
EQ Advisors Trust
Separate Accounts
6. This chart was last revised on April 1, 1997.
C-30
<PAGE>
Item 27. Number of Contractowners
As of March 31, 1997, the number of participants in the American
Dental Association Members Program offered by the Registrant
was 23,162.
Item 28. Indemnification
(a) Indemnification of Principal Underwriter: to the
extent permitted by law of the State of New York and
subject to all applicable requirements thereof, Equico
Securities, Inc. ("Equico") undertook to indemnify
each of its directors and officers who is made or
threatened to be made a party to any action or
proceeding, whether civil or criminal, by reason of
the fact that he or she, is or was a director or
officer of Equico.
(b) Undertaking: insofar as indemnification for liability
arising under the Securities Act of 1933 may be
permitted to directors, officers and controlling
persons of the registrant pursuant to the foregoing
provisions, or otherwise, the registrant has been
advised that in the opinion of the Securities and
Exchange Commission such indemnification is against
public policy as expressed in the Act and is,
therefore, unenforceable. In the event that a claim
for indemnification against such liabilities (other
than the payment by the registrant of expenses
incurred or paid by a director, officer or controlling
person of the registrant in the successful defense of
any action, suit or proceeding) is asserted by such
director, officer or controlling person in connection
with the securities being registered, the registrant
will, unless in the opinion of its counsel the matter
has been settled by controlling precedent, submit to a
court of appropriate jurisdiction the question whether
such indemnification by it is against public policy as
expressed in the Act and will be governed by the final
adjudication of such issue.
Item 29. Principal Underwriters
(a) EQ Financial Consultants, Inc. ("EQ Financial"), a
wholly-owned subsidiary of Equitable, is the principal
underwriter for Equitable's Separate Account No. 301
and Separate Account A, Separate Account I and
Separate Account FP. EQ Financials's principal
business address is 1755 Broadway, NY, NY 10019.
(b) See Item 25.
(c) Not applicable.
C-31
<PAGE>
Item 30. Location of Accounts and Records
The records required to be maintained by Section 31(a) of the
Investment Company Act of 1940 and Rules 31a-1 to 31a-3 promulgated thereunder,
are maintained by The Equitable Life Assurance Society of the United States at
135 West 50th Street New York, New York 10020.
Item 31. Management Services
Not applicable.
Item 32. Undertakings
The Registrant hereby undertakes:
(a) to file a post-effective amendment to this registration
statement as frequently as is necessary to ensure that the
audited financial statements in the registration statement are
never more than 16 months old for so long as payments under the
variable annuity contracts may be accepted;
(b) to include either (1) as part of any application to purchase a
contract offered by the prospectus, a space that an applicant
can check to request a Statement of Additional Information, or
(2) a postcard or similar written communication affixed to or
included in the prospectus that the applicant can remove to send
for a Statement of Additional Information;
(c) to deliver any Statement of Additional Information and any
financial statements required to be made available under this
Form promptly upon written or oral request; and
(d) Equitable represents that the fees and charges deducted
under the Contract described in this Registration Statement, in
the aggregate, are reasonable in relation to the services
rendered, the expenses to be incurred, and the risks assumed
by Equitable under the Contract. Equitable bases its
representation on its assessment of all of the facts and
circumstances, including such relevant factors as: the
nature and extent of such services, expenses and risks, the
need for Equitable to earn a profit, the degree to which the
Contract includes innovative features, and regulatory standards
for the grant of exemptive relief under the Investment Company
Act of 1940 used prior to October 1996, including the range of
industry practice.
C-32
<PAGE>
SIGNATURES
As required by the Securities Act of 1933, the Registrant certifies that
it meets the requirements of Securities Act Rule 485(b) for effectiveness of
this amended Registration Statement and has caused this amended Registration
Statement to be signed on its behalf, in the City and State of New York, on the
30th day of April, 1997.
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF THE UNITED STATES
(Registrant)
By: The Equitable Life Assurance
Society of the United States
By: /s/Naomi J. Weinstein
---------------------
Naomi J. Weinstein
Vice President
C-33
<PAGE>
SIGNATURES
As required by the Securities Act of 1933, the Depositor certifies that
it meets the requirements of Securities Act Rule 485(b) for effectiveness of
this amended Registration Statement and has caused this amended registration
statement to be signed on its behalf in the City and State of New York, on this
30th day of April, 1997.
THE EQUITABLE LIFE ASSURANCE
SOCIETY OF THE UNITED STATES
(Depositor)
By: /s/Naomi J. Weinstein
---------------------
Naomi J. Weinstein
Vice President
As required by the Securities Act of 1933 and the Investment Company Act
of 1940 this amendment to the registration statement has been signed by the
following persons in the capacities and on the date indicated:
PRINCIPAL EXECUTIVE OFFICERS:
Joseph J. Melone Chairman of the Board, Chief
Executive Officer and Director
James M. Benson President and Director
William T. McCaffrey Senior Executive Vice President,
Chief Operating
Officer and Director
PRINCIPAL FINANCIAL OFFICER:
Stanley B. Tulin Senior Executive Vice President and
Chief Financial Officer
PRINCIPAL ACCOUNTING OFFICER:
/s/ Alvin H. Fenichel
- - ---------------------
Alvin H. Fenichel Senior Vice President and
April 30, 1997 Controller
DIRECTORS:
Claude Bebear Norman C. Francis Arthur L. Liman
James M. Benson Donald J. Greene George T. Lowy
Christopher J. Brocksom John T. Hartley William T. McCaffrey
Francoise Colloc'h John H.F. Haskell, Jr. Joseph J. Melone
Henri de Castries Mary R. (Nina) Henderson Didier Pineau-Valencienne
Joseph L. Dionne W. Edwin Jarmain George J. Sella, Jr.
William T. Esrey G. Donald Johnston, Jr. Dave H. Williams
Jean-Rene Fourtou Winthrop Knowlton
/s/Naomi J. Weinstein
------------------
Naomi J. Weinstein
Attorney-in-Fact
April 30, 1997
C-34
<PAGE>
EXHIBIT INDEX
EXHIBIT NO. PAGE NO.
- - ---------- --------
4(j) Form of Rider No. 9 to Group Annuity Contract 2100.
6(d) By-Laws of The Equitable Life Assurance
Society of the United States, as amended
November 21, 1996.
6(e) Restated Charter of The Equitable Life Assurance
Society of the United States, as amended January 1, 1997.
10(a) Consent of Price Waterhouse LLP.
10(b) Powers of Attorney (Equitable).
27 Financial Data Schedule.
C-35
<PAGE>
Attached to and made part of GROUP ANNUITY CONTRACT NO. AC 2100
between
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
and
TRUSTEES OF THE AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT TRUST AND OF THE
AMERICAN DENTAL ASSOCIATION MEMBERS POOLED TRUST FOR RETIREMENT PLANS
RIDER NO. 9
IT IS HEREBY AGREED that, effective as May 1, 1997, said Contract is amended as
described below.
1. As of May 1, 1997, the definition of "Employer Plan" is added after the
definition of Employer: "EMPLOYER PLAN - the retirement program of an
Employer which adopts the Plan or an individually designed plan that
has adopted the Pooled Trust."
2. Section 5.1 is amended to read as follows:
5.1 "On each May 1 commencing with May 1, 1997, an annual program
expense charge, consisting of the sum of the components described in
subsections (a) and (b) of this Section 5.1, shall be paid to
Equitable from the Funding Accounts.
(a) A "Percentage Charge" consisting of the sum of the amounts derived
by multiplying the following percentages times the aggregate balance
of the Funding Accounts as of the immediately preceding January 31:
(i) 0.535% of the first $400 million of the aggregate balance;
(ii) 0.530% of the next $100 million of the balance;
(iii) 0.520% of the next $500 million of the balance;
(iv) 0.500% of the next $500 million of the balance;
(v) 0.485% of the next $500 million of the balance; and
(vi) 0.470% of the balance in excess of $2 billion.
Page 1
<PAGE>
(b) An amount equal to the total of a "per plan charge" of (x) $150 for each
Employer Plan which is enrolled in the Program as of January 31 of each
year and (y) $400 for each Employer Plan which enrolled in the Program
during the calendar year ended immediately before such January 31. The per
plan charge will exclude inactive Employer Plans which have no balances in
the Funding Accounts as of that January 31. Commencing January 31, 1998 and
on January 31 of each year thereafter, the per plan charge will be
increased at a rate equal to the increase in the Consumer Price Index (as a
measure of change in consumer prices-among the components are housing
costs, food, transportation and electricity) during the 12 consecutive
month period ending with such December 31, but the per plan charge will
never increase more than 5% pr year. The per plan charge calculated as of
each January 31 will be converted to a basis point charge equal to the
ratio that such charge bears to the aggregate balance of the Funding
Accounts as of such January 31.
The program expense charge will be calculated as of each January 31.
One-twelfth of the program expense charge will be charged to Participants'
account balances on a daily basis during the 12 consecutive months
beginning May 1 of the same calendar year.
In the case of a Funding Account that is not valued every Business Day, a
pro rata portion of the then applicable program expense charge will be
charged to Participants' Accounts in such Funding Account on each Business
Day for which a value is established.
On the date each GRA is opened, Equitable will determine a pro rata portion
of the then applicable program expense charge for amounts held in such GRA,
which shall constitute the program expense charge for said GRA until its
maturity. The net interest rate declared by Equitable on a Fixed Income
Product will reflect the compounded effect of the then applicable program
expense charge.
As soon as practicable after the end of each quarter, Equitable will remit
a portion of the program expense charge to the ADA as reimbursement for its
expenses in connection with its duties with respect to the Plan and Trusts,
calculated as described above but based on the following percentages of the
total amounts held in the Funding Accounts as of the applicable January 31:
(a) 0.025% of the aggregate balances in the Funding Accounts not in excess
of $400 million; and
(b) 0.020% of the aggregate balances in the Funding Accounts in excess of
$400 million.
The ADA's portion of the program expense charge applicable to GRAs shall be
calculated based on the amount Equitable will receive as a program expense
charge with respect to each GRA.
Page 2
<PAGE>
If the ADA determines that its expenses for any year are less or greater
than the amount which equals its portion of the program expense charge, it
may direct Equitable, upon at least 60 days prior written notice, to
decrease or increase the percentages set forth in Subsection (a) of 5.1;
provided, however, that it makes a corresponding decrease or increase in
the portion of the program expense charge that Equitable must remit to the
ADA. No change in the program expense charge made pursuant to this
paragraph shall affect the program expense charge which is applicable to
GRAs which were opened prior to the effective date of the change.
Equitable shall have no responsibility for remitting to the ADA pursuant to
this Section 5.1 amounts Equitable has not received from a Major Insurance
Carrier or Major Bank which is making GRAs available as a Funding Account
pursuant to Article III or Section 4.5.
The parties agree that the program expense charge may be changed as of May
1, 1998 and as of any succeeding May 1.
Sections 7.1 through 7.6 are amended to read as follows:
7.1. A party may terminate this Contract on the last day of any month,
provided written notice of such termination is received by the other party
at least 24 months before the date of termination. No amounts may be
contributed or transferred to any Funding Account on or after the date on
which the termination of this Contract is effective.
7.2 If the Administrative Agreement is terminated for cause, either party
may elect, upon three months' written notice, to terminate this Contract as
of the date of termination of the Administrative Agreement. For purposes of
this Section 7.2, "cause," with respect to Equitable, shall mean (a)
Equitable's willful misconduct, gross negligence or gross and continued
nonfeasance in the performance of its duties under the Administrative
Agreement, (b) a decline in Equitable's insurance claims paying ratings
such that it is both "Baa" or below as rated by Moody's Investors Service
and "BBB" or below as rated by Standard & Poor's Corporation or (c) a
greater than six percent decrease in the number of Employers participating
in the Program, based on Program participation on December 31, 1990, which
is the result of concern about Equitable's financial condition; "cause,"
with respect to the Trustees, shall mean the making available to ADA
members by the ADA or the Trustees of any investment product that is not
made available pursuant to the terms of this Contract and which is marketed
for use in qualified retirement plans. As of the date of termination of the
Administrative Agreement, the fees set forth in Article V shall cease to be
paid to Equitable. If neither party elects to terminate this Contract upon
termination of the Administrative Agreement for cause, (a) the Trustees
shall appoint a successor recordkeeper under the Trusts and shall require
such recordkeeper to comply with Equitable's reasonable administrative
requirements, (b) Equitable shall receive fees from the Funding Accounts it
provides in accordance with its standard fee schedule charged for
investment management and administrative services to group pension clients
receiving
Page 3
<PAGE>
similar investment products and no recordkeeping services and (c) Equitable
shall no longer be responsible for receiving, directing, redirecting or
disbursing any amounts to or from any Funding Account provided by any other
party.
7.3 Following the termination of this Contract, Equitable shall pay the
amounts allocated on behalf of Participants in the Funding Accounts it provides
(in cash in the case of amounts allocated to the Money Market Guarantee and in
cash or marketable assets, or both, in the case of any other Funding Account)
to any person designated in writing by the Trustees (or, if the Trustees make
no such designation, to the Trustees), except that:
(a) Equitable shall not transfer any such amount that is invested in a GRA
provided by Equitable prior to the stated maturity, except as
otherwise provided in this Contract;
(b) Equitable will pay the value of the Trusts' interests in the Real
Estate Fund in cash derived from contributions and transfers to, and
from liquidating assets of, the Real Estate Fund. Equitable may defer
the transfer of all or part of the amounts held for the Trusts in the
Real Estate Fund for such time as Equitable reasonably considers
necessary to obtain the requisite liquidity to pay the amount to be
withdrawn or to protect the interests of other clients in the Real
Estate Fund or in Equitable's Pooled Separate Account No. 8;
(c) Beginning May 1, 1997, if the Trustees terminate this Contract for
cause which is based on the second and third definitions of "cause"
listed in Section 7.2, except as provided in Section 7.5, Equitable
shall transfer amounts held under the Money Market Guarantee in
twenty-one monthly installments beginning on the last Business Day of
the month following the date the termination of this Contract is
effective. The amount of each monthly installment will be determined
as of the date it becomes payable and will be equal to (i) the amount
then held under the Money Market Guarantee, divided by (ii) the number
of installments that have not yet been made (including the current
payment), less (iii) the aggregate amount that has been paid out by
Equitable from the Money Market Guarantee pursuant to Section 7.5
since the date of the last installment; provided, however, that in no
event shall the amount of any monthly installment be less than zero
(in the event the amount under clause "(iii)" above exceeds the
quotient resulting from dividing clause "(i)" by clause "(ii)" above,
such excess shall be added to the amounts referred to in clause
"(iii)" above when determining the amount payable in the next
succeeding installment).
7.4 The parties may agree to terminate the Money Market Guarantee, at any
time, subject to the payout provisions of this Section 7.4. Except as provided
in Section 7.5, if the Administrative Agreement is not then terminated,
Equitable shall transfer amounts held under the Money Market Guarantee in
monthly installments over a period of not more than 24 months
Page 4
<PAGE>
beginning at the end of the month following such agreement. If the
Administrative Agreement is terminated by either party, Equitable will begin
payment of the amounts held under the Money Market Guarantee over a period of
24 months beginning at the end of the month immediately succeeding the
termination date of the Administrative Agreement. The amount of each monthly
installment will be determined as of the date it becomes payable and will be
equal to (i) the amount then held under the Money Market Guarantee divided by
(ii) the number of installments that have not yet been made (including the
current payment), less (iii) the aggregate amount that has been paid out by
Equitable from the Money Market Guarantee pursuant to Section 7.5 since the
date of the last installment; provided, however, that in no event shall the
amount of any monthly installment be less than zero (in the event the amount
under clause "(iii)" above exceeds the quotient resulting from dividing clause
"(i)" by clause "(ii)" above, such excess shall be added to the amounts
referred to in clause "(iii)" above when determining the amount payable in the
next succeeding installment).
7.5 Equitable shall transfer amounts from the Money Market Guarantee
without regard to Section 7.3 and 7.4 as necessary to satisfy Participant
requests for withdrawals, transfers and benefit distributions under the Plan
which are made solely at the direction of the Participant, without any
direction or influence by the Trustees or the ADA (other than objective
announcements regarding general issues relating to the Trusts or the Funding
Accounts or neutral recitations of facts in response to specific Participant
inquiries) and subject to reasonable administrative procedures which Equitable
may institute upon termination of this Contract; provided, however, that
Equitable shall not be required to transfer any amounts pursuant to this
Section if (a) the Participant has requested a transfer to another funding
option (i) which is a Fixed Income Product with a stated maturity of less than
one year or (ii) in which the possible loss of principal amounts invested is
significantly affected by changes in prevailing interest rates (including money
market funds), the investments of which have an average maturity of less than
one year, or (b) the Participant has any amounts (which can be transferred or
reallocated without restriction or penalty) allocated to any funding option (i)
which is a Fixed Income Product with a stated maturity of less than one year or
(ii) in which the possible loss of principal amounts invested is significantly
affected by changes in prevailing interest rates (including money market
funds), the investments of which have an average maturity of less than one
year.
7.6 Equitable shall not be responsible for any amounts which are held by a
Major Insurance Carrier or Major Bank or any other provider of Funding Accounts
pursuant to Article III or Section 4.5.
Page 5
<PAGE>
NEW YORK, NEW YORK
FOR THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES:
By: By:
------------------------------- -------------------------------
Chairman and Chief Executive President and Chief Operating
Officer Officer
By:
------------------------------------
Vice President and Secretary
--------------------------------- ----------------------------------
Assistant Registrar Date of Issue
FOR THE CONTRACTHOLDER: Trustees of the American Dental Association Members
Retirement Trust and of the American Dental Association Members Pooled Trust
for Retirement Plans
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
, Trustee , Trustee
- - ------------------------------ ------------------------------
Page 6
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF
THE UNITED STATES
BY-LAWS
-------
As Amended November 21, 1996
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF
THE UNITED STATES
BY-LAWS
-------
Table of Contents
ARTICLE I SHAREHOLDERS................................................ 1
Section 1.1 Annual Meetings............................................ 1
Section 1.2 Notice of Meetings; Waiver................................. 1
Section 1.3 Organization; Procedure.................................... 2
Section 1.4 Action Without a Meeting................................... 2
ARTICLE II BOARD OF DIRECTORS.......................................... 2
Section 2.1 Regular Meetings........................................... 2
Section 2.2 Special Meetings........................................... 2
Section 2.3 Independent Directors; Quorum.............................. 2
Section 2.4 Notice of Meetings......................................... 3
Section 2.5 Newly Created Directorships;
Vacancies................................................ 3
Section 2.6 Presiding Officer.......................................... 3
Section 2.7 Telephone Participation in
Meetings; Action by Consent
Without Meeting.......................................... 3
ARTICLE III COMMITTEES.................................................. 4
Section 3.1 Committees................................................. 4
Section 3.2 Authority of Committees.................................... 5
Section 3.3 Quorum and Manner of Acting................................ 5
Section 3.4 Removal of Members......................................... 6
Section 3.5 Vacancies.................................................. 6
Section 3.6 Subcommittees.............................................. 6
Section 3.7 Alternate Members of Committees............................ 6
Section 3.8 Attendance of Other Directors.............................. 6
<PAGE>
ARTICLE IV OFFICERS.................................................... 6
Section 4.1 Chairman of the Board...................................... 6
Section 4.2 Vice-Chairman of the Board................................. 7
Section 4.3 President.................................................. 7
Section 4.4 Chief Executive Officer.................................... 7
Section 4.5 Secretary.................................................. 7
Section 4.6 Other Officers............................................. 8
ARTICLE V CAPITAL STOCK............................................... 8
Section 5.1 Transfers of Stock;
Registered Shareholders.................................. 8
Section 5.2 Transfer Agent and Registrar............................... 9
ARTICLE VI EXECUTION OF INSTRUMENTS..................................... 9
Section 6.1 Execution of Instruments................................... 9
Section 6.2 Facsimile Signatures of
Former Officers.......................................... 10
Section 6.3 Meaning of Term "Instruments".............................. 10
ARTICLE VII GENERAL..................................................... 10
Section 7.1 Reports of Committees...................................... 10
Section 7.2 Independent Certified
Public Accountants....................................... 10
Section 7.3 Directors' Fees............................................ 10
Section 7.4 Indemnification of Directors,
Officers and Employees................................... 10
Section 7.5 Waiver of Notice........................................... 11
Section 7.6 Company.................................................... 11
ARTICLE VIII AMENDMENT OF BY-LAWS....................................... 11
Section 8.1 Amendment of By-Laws....................................... 11
Section 8.2 Notice of Amendment........................................ 12
<PAGE>
BY-LAWS
OF
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF THE UNITED STATES
ARTICLE I
---------
SHAREHOLDERS
------------
Section 1.1. Annual Meetings. The annual meeting of the shareholders
of the Company for the election of Directors and for the transaction of such
other business as properly may come before such meeting shall be held at the
principal office of the Company on the third Wednesday in the month of May at
3:00 P.M., local time, or at such other place, within or without the State of
New York, or on such other earlier or later date in April or May or at such
other hour as may be fixed from time to time by resolution of the Board of
Directors and set forth in the notice or waiver of notice of the meeting.
[Business Corporation Law Secs. 602(a), (b)]*
Section 1.2. Notice of Meetings; Waiver. The Secretary or any Assistant
Secretary shall cause written notice of the place, date and hour of each meeting
of the shareholders, and, in the case of a special meeting, the purpose or
purposes for which such meeting is called and by or at whose direction such
notice is being issued, to be given, personally or by first class mail, not
fewer than ten nor more than fifty days before the date of the meeting to each
shareholder of record entitled to vote at such meeting.
No notice of any meeting of shareholders need be given to any
shareholder who submits a signed waiver of notice, in person or by proxy,
whether before or after the meeting or who attends the meeting, in person or by
proxy, without protesting prior to its conclusion the lack of notice of such
meeting. [Business Corporation Law Secs. 605, 606]
- - --------------
* Citations are to the Business Corporation Law and Insurance Law of the State
of New York, as in effect on [date of adoption], and are inserted for reference
only, and do not constitute a part of the By-Laws.
<PAGE>
Section 1.3. Organization; Procedure. At every meeting of shareholders
the presiding officer shall be the Chairman of the Board or, in the event of
his or her absence or disability, the President or, in his or her absence, any
officer of the Company designated by the shareholders. The order of business
and all other matters of procedure at every meeting of shareholders may be
determined by such presiding officer. The Secretary, or in the event of his or
her absence or disability, an Assistant Secretary or, in his or her absence, an
appointee of the presiding officer, shall act as Secretary of the meeting.
Section 1.4. Action Without a Meeting. Any action required or
permitted to be taken by shareholders may be taken without a meeting on written
consent signed by the holders of all the outstanding shares entitled to vote on
such action. [Business Corporation Law Sec. 615]
ARTICLE II
----------
BOARD OF DIRECTORS
------------------
Section 2.1. Regular Meetings. Regular meetings of the Board of
Directors shall be held at the principal office of the Company on the third
Thursday of each month, except January and August, unless a change in place or
date is ordered by the Board of Directors. The first regular meeting of the
Board of Directors following the annual meeting of the shareholders of the
Company is designated as the Annual Meeting. [Business Corporation Law Sec.
710]
Section 2.2. Special Meetings. Special meetings of the Board of
Directors may be called at any time by the Chairman of the Board, the
President, or two directors. [Business Corporation Law Sec. 710]
Section 2.3. Independent Directors; Quorum. Not less than one-third of
the Board of Directors shall be persons who are not officers or employees of
the Company or of any entity controlling, controlled by, or under common
control with the Company and who are not beneficial owners of a controlling
interest in the voting stock of the Company or of any such entity.
A majority of the entire Board of Directors, including at least one
Director who is not an officer or employee of the Company or of any entity
controlling, controlled by, or under common control with the Company and who is
not a beneficial owner of a controlling interest in the voting stock of the
Company
<PAGE>
or of any such entity, shall constitute a quorum for the transaction of
business at any regular or special meeting of the Board of Directors, except as
otherwise prescribed by these By-Laws. Except as otherwise prescribed by law,
the Charter of the Company, or these By-Laws, the vote of a majority of the
Directors present at the time of the vote, if a quorum is present at such time,
shall be the act of the Board of Directors. A majority of the Directors
present, whether or not a quorum is present, may adjourn any meeting from time
to time and from place to place. As used in these By-Laws "entire Board of
Directors" means the total number of directors which the Company would have if
there were no vacancies. [Business Corporation Law Secs. 707, 708; Insurance
Law Sec. 1202]
Section 2.4. Notice of Meetings. Notice of a regular meeting of the
Board of Directors need not be given. Notice of a change in the time or place
of a regular meeting of the Board of Directors shall be given to each Director
at least five days in advance thereof in writing and by telephone or telecopy.
Notice of each special meeting of the Board of Directors shall be given to each
Director at least 24 hours prior to the special meeting, personally or by
telephone or telegram or telecopy, and shall state in general terms the purpose
or purposes of the meeting. Any such notice for a regular or special meeting
not specifically required by this Section 2.4 to be given by telephone or
telecopy shall be deemed given to a director when sent by mail, telegram,
cablegram or radiogram addressed to such director at his or her address
furnished to the Secretary. Notice of an adjourned regular or special meeting
of the Board of Directors shall be given if and as determined by a majority of
the directors present at the time of the adjournment, whether or not a quorum
is present. [Business Corporation Law Sec. 711]
Section 2.5. Newly Created Directorships; Vacancies. Any newly created
directorships resulting from an increase in the number of Directors and
vacancies occurring in the Board of Directors for any reasons (including
vacancies resulting from the removal of a Director without cause) shall be
filled by the shareholders of the Company. [Business Corporation Law Sec. 705;
Insurance Law Sec. 4211]
Section 2.6. Presiding Officer. In the absence or inability to act of
the Chairman of the Board at any regular or special meeting of the Board of
Directors, any Vice-Chairman of the Board, or the President, as designated by
the chief executive officer, shall preside at such meeting. In the absence or
inability to act of all of such officers, the Board of Directors shall select
from among their number present a presiding officer.
Section 2.7. Telephone Participation in Meetings; Action by Consent
Without Meeting. Any Director may participate in a meeting of the Board
<PAGE>
or any committee thereof by means of a conference telephone or similar
communications equipment by means of which all persons participating in the
meeting can hear each other at the same time, and such participation shall
constitute presence in person at such meeting; provided that one meeting of the
Board each year shall be held without the use of such conference telephone or
similar communication equipment. When time is of the essence, but not in lieu
of a regularly scheduled meeting of the Board of Directors, any action required
or permitted to be taken by the Board or any committee thereof may be taken
without a meeting if all members of the Board or such committee, as the case
may be, consent in writing to the adoption of a resolution authorizing the
action and such written consents and resolution are filed with the minutes of
the Board or such committee, as the case may be. [Business Corporation Law Sec.
708]
ARTICLE III
-----------
COMMITTEES
----------
Section 3.1. Committees. (a) The Board of Directors, by resolution
adopted by a majority of the entire Board of Directors, may establish from
among its members an Executive Committee of the Board composed of three or more
Directors. Not less than one-third of the members of such committee shall be
persons who are not officers or employees of the Company or of any entity
controlling, controlled by, or under common control with the Company and who
are not beneficial owners of a controlling interest in the voting stock of the
Company or of any such entity.
(b) The Board of Directors, by resolution adopted by a majority of the
entire Board of Directors, shall establish from among its members one or more
committees with authority to discharge the responsibilities enumerated in this
subsection (b). Each such committee shall be composed of three or more
Directors and shall be comprised solely of Directors who are not officers or
employees of the Company or of any entity controlling, controlled by, or under
common control with the Company and who are not beneficial owners of a
controlling interest in the voting stock of the Company or of any such entity.
Such committee or committees shall have responsibility for:
(i) Recommending to the Board of Directors candidates for nomination
for election by the shareholders to the Board of Directors;
<PAGE>
(ii) Evaluating the performance of officers deemed by any such
committee to be principal officers of the Company and recommending their
selection and compensation;
(iii) Recommending the selection of independent certified public
accountants;
(iv) Reviewing the scope and results of the independent audit and of
any internal audit; and
(v) Reviewing the Company's financial condition.
(c) The Board of Directors, by resolution adopted from time to time by
a majority of the entire Board of Directors, may establish from among its
members one or more additional committees of the Board, each composed of five
or more Directors. Not less than one-third of the members of each such
committee shall be persons who are not officers or employees of the Company or
of any entity controlling, controlled by, or under common control with the
Company and who are not beneficial owners of a controlling interest in the
voting stock of the Company or of any such entity. [Business Corporation Law
Sec. 712; Insurance Law Sec. 1202]
Section 3.2. Authority of Committees. Each committee shall have all
the authority of the Board of Directors, to the extent permitted by law and
provided in the resolution creating such committee, provided, however, that no
committee shall have authority as to the following matters:
(a) the submission to shareholders of any action as to which
shareholder approval is required by law;
(b) the filling of vacancies in the Board of Directors or in any
committee thereof;
(c) the fixing of compensation of the Directors for serving on the
Board of Directors or any committee thereof;
(d) the amendment or repeal of the By-Laws, or the adoption of new
By-Laws; or
(e) the amendment or repeal of any resolution of the Board of
Directors unless such resolution of the Board of Directors by its terms
provides that it may be so amended or repealed.
<PAGE>
Section 3.3. Quorum and Manner of Acting. A majority of the total
membership that a committee would have if there were no vacancies (including at
least one Director who is not an officer or employee of the Company or of any
entity controlling, controlled by, or under common control with the Company and
who is not a beneficial owner of a controlling interest in the voting stock of
the Company or of any such entity) shall constitute a quorum for the
transaction of business. The vote of a majority of the members present at the
time of the vote, if a quorum is present at such time, shall be the act of such
committee. Except as otherwise prescribed by these By-Laws or by the Board of
Directors, each committee may elect a chairman from among its members, fix the
times and dates of its meetings, and adopt other rules of procedure.
Section 3.4. Removal of Members. Any member (and any alternate member)
of a committee may be removed by vote of a majority of the entire Board of
Directors.
Section 3.5. Vacancies. Any vacancy occurring in any committee for any
reason may be filled by vote of a majority of the entire Board of Directors.
Section 3.6. Subcommittees. Any committee may appoint one or more
subcommittees from its members. Any such subcommittee may be charged with the
duty of considering and reporting to the appointing committee on any matter
within the responsibility of the committee appointing such subcommittee but
cannot act in place of the appointing committee.
Section 3.7. Alternate Members of Committees. The Board of Directors
may designate, by resolution adopted by a majority of the entire Board of
Directors, one or more directors as alternate members of any committee who may
replace any absent member or members at a meeting of such committee. [Business
Corporation Law Sec. 712]
Section 3.8. Attendance of Other Directors. Except as otherwise
prescribed by the Board of Directors, members of the Board of Directors may
attend any meeting of any committee.
ARTICLE IV
----------
OFFICERS
--------
Section 4.1. Chairman of the Board. The Board of Directors may at a
regular or special meeting elect from among their number a Chairman of the
<PAGE>
Board who shall hold office, at the pleasure of the Board of Directors, until
the next Annual Meeting.
The Chairman of the Board shall preside at all meetings of the Board
of Directors and also shall exercise such powers and perform such duties as may
be delegated or assigned to or required of him or her by these By-Laws or by or
pursuant to authorization of the Board of Directors.
Section 4.2. Vice-Chairman of the Board. The Board of Directors may at
a regular or special meeting elect from among their number one or more
Vice-Chairmen of the Board who shall hold office, at the pleasure of the Board
of Directors, until the next Annual Meeting.
The Vice-Chairmen of the Board shall exercise such powers and perform
such duties as may be delegated or assigned to or required of them by these
By-Laws or by or pursuant to authorization of the Board of Directors or by the
Chairman of the Board.
Section 4.3. President. The Board of Directors shall at a regular or
special meeting elect from among their number a President who shall hold
office, at the pleasure of the Board of Directors, until the next Annual
Meeting and until the election of his or her successor.
The President shall exercise such powers and perform such duties as
may be delegated or assigned to or required of him or her by these By-Laws or
by or pursuant to authorization of the Board of Directors or (if the President
is not the chief executive officer) by the chief executive officer. The
President and Secretary may not be the same person.
Section 4.4. Chief Executive Officer. The Chairman of the Board or the
President shall be the chief executive officer of the Company as the Board of
Directors from time to time shall determine, and the Board of Directors from
time to time may determine who shall act as chief executive officer in the
absence or inability to act of the then incumbent.
Subject to the control of the Board of Directors, and to the extent
not otherwise prescribed by these By-Laws, the chief executive officer shall
have plenary power over all departments, officers, employees, and agents of the
Company, and shall be responsible for the general management and direction of
all the business and affairs of the Company.
<PAGE>
Section 4.5. Secretary. The Board of Directors shall at a regular or
special meeting elect a Secretary who shall hold office, at the pleasure of the
Board of Directors, until the next Annual Meeting and until the election of his
or her successor.
The Secretary shall issue notices of the meetings of the shareholders
and the Board of Directors and its committees, shall keep the minutes of the
meetings of the shareholders and the Board of Directors and its committees and
shall have custody of the Company's corporate seal and records. The Secretary
shall exercise such powers and perform such other duties as relate to the
office of the Secretary, and also such powers and duties as may be delegated or
assigned to or required of him or her by or pursuant to authorization of the
Board of Directors or by the Chairman of the Board or (if the Chairman of the
Board is not the chief executive officer) the chief executive officer.
Section 4.6. Other Officers. The Board of Directors may elect such
other officers as may be deemed necessary for the conduct of the business of
the Company. Each such officer elected by the Board of Directors shall exercise
such powers and perform such duties as may be delegated or assigned to or
required of him or her by the Board of Directors or the chief executive
officer, and shall hold office until the next Annual Meeting, but at any time
may be suspended by the chief executive officer or by the Board of Directors,
or removed by the Board of Directors. [Business Corporation Law Secs. 715, 716]
ARTICLE V
---------
CAPITAL STOCK
-------------
Section 5.1. Transfers of Stock; Registered Shareholders. (a) Shares
of stock of the Company shall be transferable only upon the books of the
Company kept for such purpose upon surrender to the Company or its transfer
agent or agents of a certificate (unless such shares shall be uncertificated
shares) representing shares, duly endorsed or accompanied by appropriate
evidence of succession, assignment or authority to transfer. Within a
reasonable time after the transfer of uncertificated shares, the Company shall
send to the registered owner thereof a written notice containing the
information required to be set forth or stated on certificates.
(b) Except as otherwise prescribed by law, the Board of Directors may
make such rules, regulations and conditions as it may deem expedient concerning
the subscription for, issue, transfer and registration of, shares of stock.
<PAGE>
Except as otherwise prescribed by law, the Company, prior to due presentment
for registration of transfer, may treat the registered owner of shares as the
person exclusively entitled to vote, to receive notifications, and otherwise to
exercise all the rights and powers of an owner. [Business Corporation Law Sec.
508(d), (f); Insurance Law Sec. 4203]
Section 5.2 Transfer Agent and Registrar. The Board of Directors may
appoint one or more transfer agents and one or more registrars, and may require
all certificates representing shares to bear the signature of any such transfer
agents or registrars. The same person may act as transfer agent and registrar
for the Company.
ARTICLE VI
----------
EXECUTION OF INSTRUMENTS
------------------------
Section 6.1. Execution of Instruments. (a) Any one of the following,
namely, the Chairman of the Board, any Vice-Chairman of the Board, the
President, any Vice-President (including a Deputy or Assistant Vice-President
or any other Vice-President designated by a number or a word or words added
before or after the title Vice-President to indicate his or her rank or
responsibilities), the Secretary, or the Treasurer, or any officer, employee or
agent designated by or pursuant to authorization of the Board of Directors or
any committee created under these By-Laws, shall have power in the ordinary
course of business to enter into contracts or execute instruments on behalf of
the Company (other than checks, drafts and other orders drawn on funds of the
Company deposited in its name in banks) and to affix the corporate seal. If any
such instrument is to be executed on behalf of the Company by more than one
person, any two or more of the foregoing or any one or more of the foregoing
with an Assistant Secretary or an Assistant Treasurer shall have power to
execute such instrument and affix the corporate seal.
(b) The signature of any officer may be in facsimile on any such
instrument if it shall also bear the actual signature, or personally inscribed
initials, of an officer, employee or agent empowered by or pursuant to the
first sentence of this Section to execute such instrument, provided that the
Board of Directors or a committee thereof may authorize the issuance of
insurance contracts and annuity contracts on behalf of the Company bearing the
facsimile signature of an officer without the actual signature or personally
inscribed initials of any person.
<PAGE>
(c) All checks, drafts and other orders drawn on funds of the Company
deposited in its name in banks shall be signed only pursuant to authorization
of and in accordance with rules prescribed from time to time by the Board of
Directors or a committee thereof, which rules may permit the use of facsimile
signatures.
Section 6.2. Facsimile Signatures of Former Officers. If any officer
whose facsimile signature has been placed upon any instrument shall have ceased
to be such officer before such instrument is issued, it may be issued with the
same effect as if he or she had been such officer at the time of its issue.
Section 6.3. Meaning of Term "Instruments". As used in this Article
VI, the term "instruments" includes, but is not limited to, contracts and
agreements, checks, drafts and other orders for the payment of money, transfers
of bonds, stocks, notes and other securities, and powers of attorney, deeds,
leases, releases of mortgages, satisfactions and all other instruments entitled
to be recorded in any jurisdiction.
ARTICLE VII
-----------
GENERAL
-------
Section 7.1. Reports of Committees. Reports of any committee charged
with responsibility for supervising or making investments shall be submitted at
the next meeting of the Board of Directors. Reports of other committees of the
Board of Directors shall be submitted at a regular meeting of the Board of
Directors as soon as practicable, unless otherwise directed by the Board of
Directors.
Section 7.2 Independent Certified Public Accountants. The books and
accounts of the Company shall be audited throughout each year by such
independent certified public accountants as shall be selected by the Board of
Directors.
Section 7.3. Directors' Fees. The Directors shall be paid such fees
for their services in any capacity as may have been authorized by the Board of
Directors. No Director who is a salaried officer of the Company shall receive
any fees for serving as a Director of the Company. [Business Corporation Law
Sec. 713(e)]
<PAGE>
Section 7.4. Indemnification of Directors, Officers and Employees. (a)
To the extent permitted by the law of the State of New York and subject to all
applicable requirements thereof:
(i) any person made or threatened to be made a party to any action or
proceeding, whether civil or criminal, by reason of the fact that he or
she, or his or her testator or intestate, is or was a director, officer or
employee of the Company shall be indemnified by the Company;
(ii) any person made or threatened to be made a party to any action or
proceeding, whether civil or criminal, by reason of the fact that he or
she, or his or her testator or intestate serves or served any other
organization in any capacity at the request of the Company may be
indemnified by the Company; and
(iii) the related expenses of any such person in any of said
categories may be advanced by the Company.
(b) To the extent permitted by the law of the State of New York, the
Company may provide for further indemnification or advancement of expenses by
resolution of shareholders of the Company or the Board of Directors, by
amendment of these By-Laws, or by agreement. [Business Corporation Law Secs.
721-726; Insurance Law Sec. 1216]
Section 7.5. Waiver of Notice. Notice of any meeting of the Board of
Directors or any committee thereof shall not be required to be given to any
Director who submits a signed waiver of notice whether before or after the
meeting, or who attends the meeting without protesting, prior to or at its
commencement, the lack of notice to him. [Business Corporation Law Sec. 711(c)]
Section 7.6. Company. The term "Company" in these By-Laws means The
Equitable Life Assurance Society of the United States.
ARTICLE VIII
------------
AMENDMENT OF BY-LAWS
--------------------
Section 8.1. Amendment of By-Laws. Subject to Section 1210 of the
Insurance Law of the State of New York, all By-Laws of the Corporation,
<PAGE>
whether adopted by the Board of Directors or the shareholders, shall be subject
to amendment, alteration or repeal, and new By-Laws may be made, either
(a) by the shareholders at any annual or special meeting of
shareholders the notice of which shall have specified or summarized the
proposed amendment, alteration, repeal or new By-Laws, or
(b) by resolution adopted by the Board of Directors at any regular or
special meeting, the notice or waiver of notice of which, unless none is
required hereunder, shall have specified or summarized the proposed
amendment, alteration, repeal or new By-Laws,
provided, however, that the shareholders may at any time provide in the By-Laws
that any specified provision or provisions of the By-Laws may be amended,
altered or repealed only in the manner specified in the foregoing clause (a),
in which event such provision or provisions shall be subject to amendment,
alteration or repeal only in such manner. [Business Corporation Law Sec.
601(a); Insurance Law Sec. 1210]
Section 8.2. Notice of Amendment. If any By-Law regulating an
impending election of directors is adopted, amended or repealed by the Board of
Directors, there shall be set forth in the notice of the next meeting of
shareholders for the election of directors the By-Law so adopted, amended or
repealed, together with a concise statement of the changes made. [Business
Corporation Law Sec. 601 (b).]
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF
THE UNITED STATES
RESTATED CHARTER
----------------
As Amended January 1, 1997
<PAGE>
RESTATED CHARTER
OF
THE EQUITABLE LIFE ASSURANCE SOCIETY
OF THE UNITED STATES
ARTICLE I
The name of the corporation shall continue to be The Equitable Life
Assurance Society of the United States.
ARTICLE II
The principal office of the corporation shall be located in the City
of New York, County of New York, State of New York.
ARTICLE III
(a) The business to be transacted by the corporation shall be the
kinds of insurance business specified in Paragraphs 1, 2 and 3 of Subsection
(a) of Section 1113 of the Insurance Law of the State of New York, as follows:
(1) "Life insurance": every insurance upon the lives of human
beings, and every insurance appertaining thereto, including the
granting of endowment benefits, additional benefits in the event of
death by accident, additional benefits to safeguard the contract from
lapse, accelerated payments of part or all of the death benefit or a
special surrender value upon diagnosis (A) of terminal illness defined
as a life expectancy of twelve months or less, or (B) of a medical
condition requiring extraordinary medical care or treatment regardless
of life expectancy, or provide a special surrender value, upon total
and permanent disability of the insured, and optional modes of
settlement of proceeds. "Life insurance" also includes additional
benefits to safeguard the contract against lapse in the event of
unemployment of the insured. Amounts paid the insurer for life
insurance and proceeds applied under optional modes of settlement or
under dividend options may be allocated by the insurer
<PAGE>
to one or more separate accounts pursuant to section four thousand two
hundred forty of the Insurance Law of the State of New York;
(2) "Annuities": all agreements to make periodical payments for a
period certain or where the making or continuance of all or some of a
series of such payments, or the amount of any such payment, depends
upon the continuance of human life, except payments made under the
authority of paragraph (1) above. Amounts paid the insurer to provide
annuities and proceeds applied under optional modes of settlement or
under dividend options may be allocated by the insurer to one or more
separate accounts pursuant to section four thousand two hundred forty
of the Insurance Law of the State of New York;
(3) "Accident and health insurance": (i) insurance against death
or personal injury by accident or by any specified kind or kinds of
accident and insurance against sickness, ailment or bodily injury,
including insurance providing disability benefits pursuant to article
nine of the workers' compensation law, except as specified in item
(ii) hereof; and (ii) non-cancellable disability insurance, meaning
insurance against disability resulting from sickness, ailment or
bodily injury (but excluding insurance solely against accidental
injury) under any contract which does not give the insurer the option
to cancel or otherwise terminate the contract at or after one year
from its effective date or renewal date;
and any amendments to such paragraphs or provisions in substitution therefor
which may be hereafter adopted; such other kind or kinds of business now or
hereafter authorized by the laws of the State of New York to stock life
insurance companies; and such other kind or kinds of business to the extent
necessarily or properly incidental to the kind or kinds of insurance business
which the corporation is authorized to do.
(b) The corporation shall also have all other rights, powers, and
privileges now or hereafter authorized or granted by the Insurance Law of the
State of New York or any other law or laws of the State of New York to stock
life insurance companies having power to do the kind or kinds of business
hereinabove referred to and any and all other rights, powers, and privileges of
a corporation now or hereafter granted by the laws of the State of New York and
not prohibited to such stock life insurance companies.
- 2 -
<PAGE>
ARTICLE IV
The business of the corporation shall be managed under the direction
of the Board of Directors.
ARTICLE V
(a) The Board of Directors shall consist of not less than 13 (except
for vacancies temporarily unfilled) nor more than 36 Directors, as may be
determined from time to time by a vote of a majority of the entire Board of
Directors. No decrease in the number of Directors shall shorten the term of any
incumbent Director.
(b) The Board of Directors shall have the power to adopt from time to
time such By-Laws, rules and regulations for the governance of the officers,
employees and agents and for the management of the business and affairs of the
corporation, not inconsistent with this Charter and the laws of the State of
New York, as may be expedient, and to amend or repeal such by-laws, rules and
regulations, except as provided in the By-Laws.
(c) Any or all of the Directors may be removed at any time, either for
or without cause, by vote of the shareholders.
(d) No Director shall be personally liable to the corporation or any
of its shareholders for damages for any breach of duty as a Director; provided,
however, that the foregoing provision shall not eliminate or limit (i) the
liability of a Director if a judgment or other final adjudication adverse to
him or her establishes that his or her acts or omissions were in bad faith or
involved intentional misconduct or that he or she personally gained in fact a
financial profit or other advantage to which he or she was not legally
entitled, or were acts or omissions which (a) he or she knew or reasonably
should have known violated the Insurance Law of the State of New York or (b)
violated a specific standard of care imposed on Directors directly, and not by
reference, by a provision of the Insurance Law of the State of New York (or any
regulations promulgated thereunder) or (c) constituted a knowing violation of
any other law; or (ii) the liability of a Director for any act or omission
prior to September 21, 1989.
- 3 -
<PAGE>
ARTICLE VI
(a) The Directors of the corporation shall be elected at each annual
meeting of shareholders of the corporation in the manner prescribed by law. The
annual meeting of shareholders shall be held at such place, within or without
the State of New York, and at such time as may be fixed by or under the
By-Laws. At each annual meeting of shareholders, directors shall be elected to
hold office for a term expiring at the next annual meeting of shareholders.
(b) Newly created directorships resulting from an increase in the
number of Directors and vacancies occurring in the Board of Directors shall be
filled by vote of the shareholders.
(c) Each Director shall be at least twenty-one years of age, and at
all times a majority of the Directors shall be citizens and residents of the
United States, and not less than three of the Directors shall be residents of
the State of New York.
(d) The Board of Directors shall elect such officers as are provided
for in the By-Laws at the first meeting of the Board of Directors following
each annual meeting of the shareholders. In the event of the failure to elect
officers at such meeting, officers may be elected at any regular or special
meeting of the Board of Directors. A vacancy in any office may be filled by the
Board of Directors at any regular or special meeting.
ARTICLE VII
The duration of the corporate existence of the corporation shall be
perpetual.
ARTICLE VIII
The amount of the capital of the corporation shall be $2,500,000, and
shall consist of 2,000,000 Common Shares, par value $1.25 per share.
- 4 -
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the use in the Statement of Additional Information
constituting part of this Post-Effective Amendment No. 4 to the Registration
Statement No. 333-75616 on Form N-4 (the "Registration Statement") of our
report dated February 10, 1997 relating to the financial statements of Separate
Account Nos. 195, 197, and 198 of The Equitable Life Assurance Society of the
United for the year ended December 31, 1996, and our report dated February 10,
1997 relating to the consolidated financial statements of The Equitable Life
Assurance Society of the United States for the year ended December 31, 1996,
which reports appear in such Statement of Additional Information, and to the
incorporation by reference of our reports into the Prospectus which constitutes
part of this Registration Statement. We also consent to the references to us
under the headings "Condensed Financial Information" and "Experts" in the
Prospectus.
/s/ Price Waterhouse LLP
- - ------------------------
Price Waterhouse LLP
New York, New York
April 30, 1997
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the inclusion in the Statement of Additional Information
constituting part of this Post-Effective Amendment No. 4 to the Registration
Statement on Form N-4 (No. 33-75616) of The Equitable Life Assurance Society
of the United States of our reports relating to the following funds established
under the Declaration of Trust of the State Street Bank and Trust Company
Investment Funds for Tax Exempt Retirement Plans:
FUND REPORT DATE
Lifecycle Fund Group Trust - Conservative April 10, 1997
Lifecycle Fund Group Trust - Moderate April 10, 1997
S&P 500 Flagship Fund and S&P 500 Index Fund
with Futures (Combined Financial Statements) March 10, 1997
Russell 2000 Fund and Russell 2000
Non-Lending Fund (Combined Financial Statements) March 26, 1997
Daily EAFE Fund and Daily EAFE Fund
Non-Lending (Combined Financial Statements) April 10, 1997
Daily Government/Corporate Bond Fund March 10, 1997
Short Term Investment Fund March 3, 1997
We also consent to the references to us relating to the funds listed above
appearing under the headings "Selected Financial Data" and "Experts" in the
Prospectus constituting part of this Registration Statement.
/s/ Price Waterhouse LLP
- - ------------------------
Price Waterhouse LLP
Boston, Massachusetts
April 29, 1997
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 24th day of February, 1997
/s/ Claude Bebear
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 6th day of February, 1997
/s/ James M. Benson
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Christopher Brocksom
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
Francoise Colloc'h
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Henri de Castries
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Joseph L. Dionne
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ William T. Esrey
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Jean-Rene Foutou
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 11th day of February, 1997
/s/ Norman C. Francis
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Donald J. Greene
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ John T. Hartley
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 19th day of February, 1997
/s/ John H.F. Haskell, Jr.
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 11th day of February, 1997
/s/ W. Edwin Jarmain
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 3rd day of February, 1997
/s/ G. Donald Johnston, Jr.
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Winthrop Knowlton
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Arthur L. Liman
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ George T. Lowy
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ William T. McCaffrey
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ Joseph J. Melone
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 20th day of February, 1997
/s/ George J. Sella, Jr.
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 3rd day of February, 1997
/s/ Dave H. Williams
<PAGE>
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that the undersigned officer or
director of The Equitable Life Assurance Society of the United States (the
"Company"), a New York stock life insurance company, hereby constitutes and
appoints Gordon G. Dinsmore, Samuel B. Shlesinger, Donald R. Kaplan, Pauline
Sherman, Michael F. McNelis, Naomi J. Weinstein, Maureen K. Wolfson, Mildred
Oliver, Jerome S. Golden and Dennis D. Witte and each of them (with full power
to each of them to act alone), his or her true and lawful attorney-in-fact and
agent, with full power of substitution to each, for him or her and on his or
her behalf and in his or her name, place and stead, to execute and file any of
the documents referred to below relating to registrations under the Securities
Act of 1933, the Securities Exchange Act of 1934 and the Investment Company Act
of 1940 with respect to any insurance or annuity contracts or other agreements
providing for allocation of amounts to Separate Accounts of the Company, and
related units or interests in Separate Accounts: registration statements on any
form or forms under the Securities Act of 1933 and the Investment Company Act
of 1940 and annual reports on any form or forms under the Securities Exchange
Act of 1934, and any and all amendments and supplements thereto, with all
exhibits and all instruments necessary or appropriate in connection therewith,
each of said attorneys-in-fact and agents and his, her or their substitutes
being empowered to act with or without the others or other, and to have full
power and authority to do or cause to be done in the name and on behalf of the
undersigned each and every act and thing requisite and necessary or appropriate
with respect thereto to be done in and about the premises in order to
effectuate the same, as fully to all intents and purposes as the undersigned
might or could do in person, hereby ratifying and confirming all that said
attorneys-in-fact and agents, or any of them, may do or cause to be done by
virtue hereof.
IN WITNESS WHEREOF, the undersigned has hereunto set his or her hand
this 28th day of February, 1997
/s/ Stanley B. Tulin
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000727920
<NAME> SEP ACCT. NO. 195 (ADA)
<SERIES>
<NUMBER> 01
<NAME> THE EQUITY INDEX FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 30,674,317
<INVESTMENTS-AT-VALUE> 33,428,766
<RECEIVABLES> 32,269
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<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 33,461,035
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<OTHER-ITEMS-LIABILITIES> 58,732
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<DIVIDEND-INCOME> 714,952
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 315,573
<NET-INVESTMENT-INCOME> 399,379
<REALIZED-GAINS-CURRENT> 3,369,472
<APPREC-INCREASE-CURRENT> 1,268,671
<NET-CHANGE-FROM-OPS> 5,037,522
<EQUALIZATION> 0
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<NET-CHANGE-IN-ASSETS> 13,953,057
<ACCUMULATED-NII-PRIOR> 0
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000727920
<NAME> SEP ACCT. NO. 197 (ADA)
<SERIES>
<NUMBER> 02
<NAME> THE LIFECYCLE FUND-CONSERVATIVE
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 4,325,438
<INVESTMENTS-AT-VALUE> 4,561,626
<RECEIVABLES> 0
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,561,626
<PAYABLE-FOR-SECURITIES> 0
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<OTHER-ITEMS-LIABILITIES> 51,364
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<NET-ASSETS> 4,510,262
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 92,493
<NET-INVESTMENT-INCOME> (92,493)
<REALIZED-GAINS-CURRENT> 155,169
<APPREC-INCREASE-CURRENT> 126,000
<NET-CHANGE-FROM-OPS> 188,676
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
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<NET-CHANGE-IN-ASSETS> 1,347,949
<ACCUMULATED-NII-PRIOR> 0
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000727920
<NAME> SEP ACCT. NO. 3 (MRP)
<SERIES>
<NUMBER> 03
<NAME> THE LIFECYCLE FUND-MODERATE
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 79,126,053
<INVESTMENTS-AT-VALUE> 88,294,348
<RECEIVABLES> 36,210
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<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 88,330,558
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<OTHER-ITEMS-LIABILITIES> 138,273
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<OTHER-INCOME> 0
<EXPENSES-NET> 897,989
<NET-INVESTMENT-INCOME> (897,989)
<REALIZED-GAINS-CURRENT> 981,358
<APPREC-INCREASE-CURRENT> 8,340,014
<NET-CHANGE-FROM-OPS> 8,423,383
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</TABLE>
