<PAGE>
Registration No. 333-
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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-4
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [X]
Pre-Effective Amendment No. [ ]
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Post-Effective Amendment No. [ ]
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AND/OR
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 [ ]
Amendment No. [ ]
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(Check appropriate box or boxes)
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THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
(Exact Name of Registrant)
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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
ROBIN WAGNER
Vice President and 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)
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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
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CALCULATION OF REGISTRATION FEE UNDER
THE SECURITIES ACT OF 1933
<TABLE>
<CAPTION>
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Title of Securities Being Amount Being Registered Proposed Maximum Proposed Maximum Amount of Registration
Registered Offering Price per Unit* Aggregate Offering Fee(2)
Price*
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<S> <C> <C> <C> <C>
Units of Interest $60,000,000 .000264 $60,000,000 $15,840
Under Group Annuity
Contract
(1)
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</TABLE>
*Estimated solely for purpose of determining the registration fee.
(1) The Contract does not provide for a predetermined amount or number of units
(2) Of the $75,000,000 of units of interest under group annuity contracts
registered under Registration Statement No. 333-77113, $58,551,561, for
which a filing fee of $16,277 was previously paid, are being carried
forward. Pursuant to Rule 429 of the Securities Act of 1933.
Approximate Date of Proposed Public Offering: As soon as practicable after the
effective date of this registration statement.
The Registrant hereby amends this registration statement on such date or dates
as may be necessary to delay its effective date until the Registrant shall file
a further amendment which specifically states that this registration statement
shall thereafter become effective in accordance with Section 8(a) of the
Securities Act of 1933 or until the registration statement shall become
effective on such date as the Commission, acting pursuant to said Section 8(a),
may determine.
<PAGE>
American Dental Association
Members Retirement Program
PROSPECTUS DATED MAY 1, 2000
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Please read this prospectus and keep it for future reference. It contains
important information you should know before participating in the Program or
allocating amounts under the contract.
ABOUT THE ADA PROGRAM
The Program provides members of the American Dental Association and their
eligible employees several plans for the accumulation of retirement savings on a
tax-deferred basis. Through trusts ("trusts") maintained under these plans, you
can allocate contributions among the investment options offered under the
Program. There are currently twelve investment options under the Program
including: 3-year and 5-year Guaranteed Rate Accounts, and, through the American
Dental Association Members Retirement Program contract, nine investment funds
and the Money Market Guarantee Account. THIS PROSPECTUS DESCRIBES THREE OF THE
AVAILABLE INVESTMENT FUNDS: 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.
WHAT IS THE AMERICAN DENTAL ASSOCIATION MEMBERS RETIREMENT PROGRAM CONTRACT?
The American Dental Association Members Retirement Program contract is a
deferred group annuity contract issued by THE EQUITABLE LIFE ASSURANCE SOCIETY
OF THE UNITED STATES. Contributions to the trusts maintained under the plans
will be allocated among our investment funds and our Money Market Guarantee
Account, in accordance with participant instructions.
<TABLE>
<S> <C>
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INVESTMENT FUNDS
o Growth Equity Fund o Lifecycle Fund -
o Aggressive Equity Fund Moderate
o ADA Foreign Fund o Lifecycle Fund -
o Equity Index Fund Conservative
o Real Estate Fund o ADA Blue Chip Growth
o Equity Income Fund Fund
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</TABLE>
The Growth Equity Fund is managed by Equitable Life.
The Real Estate Fund invests primarily in units of Equitable Life's Prime
Property Fund.
The Aggressive Equity Fund, ADA Foreign Fund, Equity Index Fund, Equity Income
Fund and ADA Blue Chip Growth Fund respectively invest in shares of the
following mutual funds: MFS Emerging Growth Fund, Templeton Foreign Fund - Class
A, State Street Global Advisors (SSgA) S&P 500 Index Fund, Putnam Equity Income
Fund, and INVESCO Blue Chip Growth Fund ("Underlying Mutual Funds"). You should
also read the prospectuses for the Underlying Mutual Funds and keep them for
future reference.
The Lifecycle Funds - Conservative and Moderate ("Lifecycle Funds") each invest
in units of a corresponding group trust ("Lifecycle Fund Group Trusts")
maintained by State Street Bank and Trust Company ("State Street"). The
Lifecycle Fund Group Trusts in turn invest in units of collective investment
funds of State Street. We refer to these as the "Underlying State Street Funds."
The Underlying State Street Funds are the S&P 500 Flagship Fund, Russell 2000
Fund, Daily EAFE Non-Lending Fund, Daily Government/ Corporate Bond Fund, and
Short Term Investment Fund, which we also describe in this prospectus. Each
Underlying State Street Fund may invest cash on a temporary basis in other
mutual funds managed by State Street.
OTHER AVAILABLE INVESTMENT FUNDS AND INVESTMENT OPTIONS, EXCEPT THE EQUITY INDEX
FUND AND THE LIFECYCLE FUNDS, ARE DESCRIBED, IN DETAIL, IN A SEPARATE PROSPECTUS
FOR THOSE INVESTMENT FUNDS. You may obtain a copy of that prospectus, or of any
Underlying Mutual Fund prospectus, by writing or calling us toll-free. See "How
To Reach Us" on the back cover.
We have filed registration statements relating to this offering with the
Securities and Exchange Commission. A statement of additional information
("SAI"), dated May 1, 2000, which is part of the registration statements, is
available free of charge upon request by writing to us or calling us toll-free.
The SAI has been incorporated by reference into this prospectus. The table of
contents for the SAI and a request form to obtain the SAI appear at the end of
this prospectus. You may also obtain a copy of this prospectus and the SAI
through the SEC web site at www.sec.gov.
THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED THESE
SECURITIES OR PASSED UPON THE ADEQUACY OR ACCURACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. THE SECURITIES ARE NOT
INSURED BY THE FDIC OR ANY OTHER AGENCY. THEY ARE NOT DEPOSITS OR OTHER
OBLIGATIONS OF ANY BANK AND ARE NOT BANK GUARANTEED. THEY ARE SUBJECT TO
INVESTMENT RISKS AND POSSIBLE LOSS OF PRINCIPAL.
<PAGE>
Contents of this prospectus
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1
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ADA PROGRAM
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Index of key words and phrases 3
The Program at a glance - key features 4
The Contract at a glance - key features 5
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1 FEE TABLE 6
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Program expense charge and investment fund
operating expenses 6
Examples 9
Selected financial data and condensed financial
information 9
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2 PROGRAM INVESTMENT OPTIONS 10
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Investment options 10
Risks and investment techniques: Lifecycle Fund Group
Trusts and Underlying State Street Funds 14
Additional information about the funds 18
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3 HOW WE VALUE YOUR ACCOUNT BALANCE IN
THE INVESTMENT FUNDS 19
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When we use the words "we," "us" and "our," we mean Equitable Life. Please see
the index of key words and phrases used in this prospectus. The index will refer
you to the page where particular terms are defined or explained.
When we address the reader of this prospectus with words such as "you" and
"your," we generally mean the individual participant in one or more of the plans
available in the Program unless otherwise explained. For example, "The Program"
section of the prospectus is primarily directed at the employer.
<PAGE>
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2
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4 TRANSFERS AND ACCESS TO YOUR ACCOUNT 20
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Transfers among investment options 20
Our Account Investment Management System (AIM)
and Our Internet Website 20
Participant loans 20
Choosing benefit payment options 21
Spousal consent 21
Benefits payable after the death of a participant 22
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5 THE PROGRAM 23
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Eligible employers 23
Summary of plan choices 23
Getting started 24
How to make Program contributions 24
Allocating Program contributions 24
Distributions from the investment options 25
Rules applicable to participant distributions 25
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6 PERFORMANCE INFORMATION 26
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Annual percentage change in fund unit values 27
Average annual percentage change in fund units
values - years ending December 31, 1999 27
How we calculate performance data 27
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7 CHARGES AND EXPENSES 28
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Charges based on amounts invested in the Program 28
Plan and transaction expenses 29
Deductions and charges related to the Lifecycle Trusts
and Underlying State Street Funds 30
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8 TAX INFORMATION 31
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Income taxation of distributions to qualified plan
participants 31
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9 MORE INFORMATION 33
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About Program changes or termination 33
IRS disqualification 33
About the separate accounts 33
About State Street 34
About legal proceedings 34
About our independent accountants 34
Reports we provide and available information 35
Acceptance 35
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APPENDIX I: SELECTED FINANCIAL DATA AND
CONDENSED FINANCIAL INFORMATION A-1
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TABLE OF CONTENTS OF STATEMENT OF
ADDITIONAL INFORMATION S-1
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About Equitable Life Inside Back Cover
How to Reach Us Back Cover
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<PAGE>
ADA Program
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3
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INDEX OF KEY WORDS AND PHRASES
Below is an index of key words and phrases used in this prospectus. The index
will refer you to the page where particular terms are defined or explained. This
index should help you locate more information on the terms used in this
prospectus.
PAGE
----
AIM System 20
beneficiary 22
benefit payment options 21
business day 20
contract 33
Contributions 24
eligible rollover distributions 31
Equitable Life S-2
individually designed plan 23
Internet website 20
IRA 31
investment funds front cover
investment options front cover
Lifecycle Funds 10
Lifecycle Fund Group Trusts 11
Master Plan 23
Master Trust 23
Pooled Trust 23
Program 23
Self Directed Prototype Plan 23
separate accounts 33
State Street 34
Trustees 33
Underlying Mutual Funds front cover
Underlying State Street Funds 11
unit value 19
unit 19
<PAGE>
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4
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THE PROGRAM AT A GLANCE - KEY FEATURES
EMPLOYER CHOICE OF RETIREMENT PLANS
Our Master Plan is a defined contribution master plan that can be adopted as a
profit-sharing plan (401(k), SIMPLE 401(k) and safe harbor 401(k) features are
available) and a defined contribution pension plan, or both. The Program's
investment options are the only investment choices under the Master Plan.
Our Self-Directed Prototype Plan gives added flexibility in choosing your
investments.
If you maintain your own individually-designed plan which invests through our
Investment Only arrangement, you may use the investment options in the Program
through our Pooled Trust.
PLAN FEATURES
MASTER PLAN:
o Program investment options used as the only investment choices.
o Plan-level and participant-level recordkeeping, benefit payments, tax
withholding and reporting provided.
o Use of our Master Trust.
o No minimum amount must be invested.
o 5500 reporting.
o Automatic updates for law changes.
SELF-DIRECTED PROTOTYPE PLAN:
o You may combine Program investment options with individual stock and bond
investments.
o Our Pooled Trust is adopted for investment use only, and a minimum of
$25,000 must be maintained in the Trust.
o Recordkeeping services provided only for plan assets in Pooled Trust.
o Third party recordkeeping services can be arranged through us.
o Brokerage services can be arranged through us.
INVESTMENT ONLY:
o Our Pooled Trust is adopted for investment use only.
o Recordkeeping services provided for plan assets in Pooled Trust.
TAX ADVANTAGES
o On earnings
No tax on investment earnings until withdrawn.
o On transfers
No tax on internal transfers.
ADDITIONAL FEATURES FOR AMOUNTS HELD IN THE TRUST
o Toll-free number available for transfers and account information.
o Participant loans (if elected by your employer; some restrictions apply).
o Regular statements of account.
o Retirement Program Specialist and Account Executive support.
o Daily valuation of accounts.
PLAN CHARGES AND EXPENSES
o Plan and transaction charges that vary by type of plan adopted, or by
specific transaction.
<PAGE>
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5
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THE CONTRACT AT A GLANCE - KEY FEATURES
PROFESSIONAL INVESTMENT MANAGEMENT
The Program's investments are managed by registered professional investment
advisers.
GUARANTEED OPTIONS
The three guaranteed options include two Guaranteed Rate Accounts ("GRAs") and a
Money Market Guarantee Account.
TAX NOTE
Because you are buying a contract to fund a retirement plan that already
provides tax deferral under Federal income tax rules, you should do so for the
contract's features and benefits other than tax deferral. The tax deferral of
the contract does not provide necessary or additional benefits.
CONTRACT CHARGES AND EXPENSES
o Program expense charge assessed against combined value of Program assets in
the Trust.
o Investment management and administration fees and other expenses charged on
an investment fund-by-fund basis, as applicable.
o Indirectly, charges of underlying investment vehicles for investment
management, 12b-1 fees and other expenses.
BENEFIT PAYMENT OPTIONS
o Lump sum.
o Installments on a time certain or dollar certain basis.
o Variety of annuity benefit payout options as available under your employer's
plan.
o Fixed or variable annuity options available.
<PAGE>
1 Fee table
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6
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The fee tables and discussion below will help you understand the various charges
and expenses you will bear under the contract. The tables reflect charges: (1)
you will directly incur, including Program expense charge, administration fee,
investment management fee and other expenses, and (2) fees and expenses of the
Underlying Mutual Fund, and the Lifecycle Group Trusts and their underlying
collective funds ("Underlying State Street Funds") you will indirectly incur.
Certain other Program charges also apply as described under "Plan and
Transaction Expenses." If you annuitize your account, charges for premium taxes
and other fees may apply.
WHEN YOU PURCHASE OR REDEEM UNITS OF ANY OF THE INVESTMENT FUNDS YOU WILL PAY NO
SALES LOAD, NO DEFERRED SALES CHARGE, NO SURRENDER FEES AND NO TRANSFER OR
EXCHANGE FEES.
PROGRAM EXPENSE CHARGE AND INVESTMENT FUND OPERATING EXPENSES
The Program expense charge and investment fund operating expenses are paid out
of each investment fund's assets. No investment management fees are paid to us
by the Equity Index Fund or the Lifecycle Funds. State Street, however, is paid
a management fee for managing the assets of the Lifecycle Fund Group Trusts
underlying the Lifecycle Funds. The Program expense charge is based partly on
the level of assets in the Trust and partly on the number of plans. An
administration fee is based on investment fund assets. Each investment fund also
incurs other expenses for services such as printing, mailing, legal, and similar
items. All of these operating expenses are reflected in each investment fund's
unit value. See "How We Value Your Account."
The tables that follow summarize the charges, at annual percentage rates, that
apply to the Equity Index Fund and Lifecycle Funds. They do not include other
charges which are specific to the various plans, such as enrollment fees or
record maintenance and report fees. See "Charges and Expenses," for more
details. THE EXPENSES SHOWN FOR THE INVESTMENT FUNDS ARE BASED ON AVERAGE
PROGRAM ASSETS IN EACH OF THESE FUNDS DURING THE YEAR ENDED DECEMBER 31, 1999,
AND REFLECT APPLICABLE FEES.
The Equity Index Fund invests in shares of the SSgA S&P 500 Index Fund. The
following table shows, at annual percentage rates, the charges and fees which
are deducted from the Equity Index Fund and the SSgA S&P 500 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. THE CHARGES FOR THE SSGA S&P 500 INDEX FUND ARE SHOWN AS A PERCENTAGE
OF THAT UNDERLYING MUTUAL FUND'S AVERAGE DAILY NET ASSETS.
EQUITY INDEX FUND
<TABLE>
<CAPTION>
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Investment Fund Operating Expenses
-------------------------------------------------------------
Program Investment
Expense Administration Management Other
Charge Fee Fee Expenses 12b-1 Fee Total
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<S> <C> <C> <C> <C> <C> <C>
Equity Index Fund 0.62% 0.15% None 0.12% None 0.89%
SSgA S&P 500 Index
Fund After Waiver (1) None None None 0.09% 0.09% 0.18%(2)
- ----------------------------------------------------------------------------------------------------------------------
TOTAL 0.62% 0.15% None 0.21% 0.09% 1.07%(2)
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</TABLE>
(1) Source: SSgA S&P 500 Index Fund Prospectus dated December 17, 1999.
<PAGE>
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7
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(2) State Street has voluntarily agreed to waive up to the full amount of its
management fee of .10% of average daily net assets to the extent that
total operating expenses exceed .18% 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 .27% 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. If the waiver agreement is terminated, the
full amount of State Street's management fee may be assessed and the
total Equity Index 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 Lifecycle Fund Group Trusts. 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 State Street 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 Lifecycle Trusts' investment in such other collective
investment funds and mutual funds. 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 Lifecycle
Trust. In addition, other expenses are deducted from the assets of the
Underlying State Street 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 State Street Funds are shown
in the table below. THE EXPENSES FOR EACH OF THE LIFECYCLE FUND GROUP TRUSTS AND
UNDERLYING STATE STREET FUNDS ARE EXPRESSED AS A PERCENTAGE OF THEIR RESPECTIVE
AVERAGE NET ASSETS FOR 1999.
<TABLE>
<CAPTION>
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Program Investment
Expense Administration Management Other
Charge Fee Fee Expenses Total
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<S> <C> <C> <C> <C> <C>
Lifecycle Fund - Conservative 0.62% 0.15% None 0.43%(1) 1.20%
Lifecycle Fund
Group Trust - Conservative None 0.09%(2) 0.17% 0.12%(1&3) 0.38%
Underlying State Street Funds:
S&P 500 Flagship Fund None None None -%(4) -%(4)
Russell 2000 Fund None None None 0.03%(5) -%(4)
Daily EAFE Non-Lending Fund None None None 0.08%(5) 0.01%(6)
Daily Government/Corporate Bond
Fund None None None 0.01%(5) 0.01%(6)
Short Term Investment Fund None None None -%(4) -%(4)
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TOTAL 0.62% 0.24% 0.17% 0.57%(6) 1.60%(6)
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</TABLE>
<PAGE>
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8
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<TABLE>
<CAPTION>
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Program Investment
Expense Administration Management Other
Charge Fee Fee Expenses Total
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<S> <C> <C> <C> <C> <C>
Lifecycle Fund - Moderate 0.62% 0.15% None 0.16%(1) 0.93%
Lifecycle Fund
Group Trust - Moderate None 0.01%(2) 0.17% 0.01%(1&3) 0.19%
Underlying State Street Funds:
S&P 500 Flagship Fund None None None -%(4) -%(4)
Russell 2000 Fund None None None 0.03%(5) -%(4)
Daily EAFE Non-Lending Fund None None None 0.08%(5) 0.01%(6)
Daily Government/Corporate Bond
Fund None None None 0.01%(5) 0.01%(6)
Short Term Investment Fund None None None -%(4) -%(4)
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TOTAL 0.62% 0.16% 0.17% 0.19%(6) 1.14%(6)
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</TABLE>
(1) These include a charge at the annual rate of .03% of the value of the
respective program 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 State Street Funds maintained
by State Street among the investment options described in this prospectus
and the SAI. Other expenses also include $150,087 of costs incurred by
Equitable Life and State Street in the organization of the Lifecycle
Funds. These costs are being reimbursed from the Lifecycle Funds, over a
five year period, pro rata based on the assets of each of those
investment funds, 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 $12,000 per year, per fund, and average net assets
for 1999.
(3) Based on the Lifecycle Fund Group Trusts - Conservative and Moderate
average net assets for 1999.
(4) Less than 0.01%.
(5) Other expenses of the Underlying State Street Funds are based on expenses
incurred by each Fund during 1999.
(6) These totals are based upon a weighted average of the other expenses for
each Underlying State Street Fund. In calculating the weighted average,
expenses for each Underlying State Street Fund were multiplied by their
respective target percentages within their respective Group Trust. See
"Lifecycle Funds - Conservative" and "Lifecycle Funds - Moderate" for a
description of the targeted percentage weightings of the Lifecycle Fund
Group Trusts - Conservative and Moderate.
<PAGE>
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9
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EXAMPLES
You would pay the expenses shown below on a $1,000 initial investment over the
time period indicated for each investment fund listed below, assuming a 5%
annual rate of return. The examples include all annual fund operating expenses
plus an estimate of average plan and transaction charges over the time periods
indicated, 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 "Plan and Transaction Expenses."
As the minimum amount that can be converted to an annuity is $5,000, the amount
accumulated from the $1,000 contribution could not be paid in the form of an
annuity at the end of any of the periods shown in the examples. There are no
surrender charges, so the amounts would be the same, whether you withdraw all or
a portion of your Account Balance.
<TABLE>
<CAPTION>
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Investment Fund 1 Year 3 Years 5 Years 10 Years
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<S> <C> <C> <C> <C>
Equity Index(1) $11.17 $34.81 $60.31 $133.16
Lifecycle - Conservative 16.49 51.11 88.07 191.71
Lifecycle - Moderate 11.86 36.94 63.95 140.94
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</TABLE>
(1) The expenses shown reflect the waiver of the .10% investment management
fee by State Street discussed in the fee table above.
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.
We may deduct a $350 annuitization fee if you elect a variable annuity payout
option. Assuming an annuity payout option could be issued, the expenses shown in
the above example would, in each case, be increased by $4.34 based on the
average amount applied to annuity payout options in 1999.
SELECTED FINANCIAL DATA AND CONDENSED FINANCIAL INFORMATION
Please see APPENDIX I at the end of this prospectus for selected financial data
and condensed financial information concerning the Equity Index Fund and
Lifecycle Funds.
FINANCIAL STATEMENTS
The Equity Index Fund and the Lifecycle Funds are each separate accounts of
ours as described in "About the Separate Accounts" under "More Information."
The financial statements for the Equity Index Fund (Separate Account No. 195),
Lifecyle Fund - Conservative (Separate Account No. 197) and Lifecycle Fund -
Moderate (Separate Account No. 198), may be found in the SAI for this
prospectus.
<PAGE>
2 Program Investment Options
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10
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INVESTMENT OPTIONS
You may choose from TWELVE INVESTMENT OPTIONS under the Program, eight of which
are covered in a separate prospectus. Three of these are discussed below: the
Equity Index Fund and the two Lifecycle Funds - Conservative and Moderate. Each
of these three Funds has a different investment objective. We cannot assure you
that any of these Funds will meet their investment objectives. Also discussed
are the Lifecycle Fund Group Trusts in which the Lifecycle Funds invest and the
Underlying State Street Funds in which the Lifecycle Fund Group Trusts invest.
THE EQUITY INDEX FUND
The Equity Index Fund invests in shares of the SSgA S&P 500 Index Fund, one of
the Underlying Mutual Funds. The investment results you will experience will
depend on the investment performance of SSgA S&P 500 Index Fund. The table below
shows the investment objective and adviser for the SSgA S&P 500 Index Fund.
UNDERLYING MUTUAL FUND
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Investment Fund Name Objective Adviser
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Equity Index Fund SSgA S&P Replicate the State Street
500 Index total return Global
Fund of the S&P Advisers
500 Index (SSgA)
- -----------------------------------------------------------------------
</TABLE>
The Underlying Mutual Fund used by the Equity Index Fund is selected by the ADA
Trustees. We have no investment management responsibilities for the Equity Index
Fund. As to that Fund, we act in accordance with the investment policies
established by the ADA Trustees.
PLEASE REFER TO THE PROSPECTUS AND SAI OF THE SSGA S&P 500 INDEX FUND FOR A MORE
DETAILED DISCUSSION OF INVESTMENT OBJECTIVES AND STRATEGIES, THE ADVISER, RISK
FACTORS AND OTHER INFORMATION CONCERNING THAT FUND.
LIFECYCLE FUNDS - CONSERVATIVE AND MODERATE
Each Lifecycle Fund invests in a Lifecycle Fund Group Trust. Each Lifecycle
Trust has identical investment objectives and policies to the Lifecycle Fund to
which it relates. We have no investment management responsibilities for the
Lifecycle Funds. As to those Funds, we act in accordance with the investment
policies established by the ADA Trustees.
OBJECTIVES
The Lifecycle Fund - Conservative seeks to provide current income and a low to
moderate growth of capital by investing exclusively in units of the Lifecycle
Group Trust - Conservative.
The Lifecycle Fund - Moderate seeks to provide growth of capital and a
reasonable level of current income by investing exclusively in units of the
Lifecycle Group Trust - Moderate.
In turn each of the Lifecycle Fund Group Trusts invests in a mix of Underlying
State Street Funds. The following table diagrams this investment structure:
[THE NARRATIVE AND/OR TABULAR INFORMATION BELOW IS A FAIR AND ACCURATE
DESCRIPTION OF GRAPHIC OR IMAGE MATERIAL OMITTED FOR THE
PURPOSE OF EDGAR FILING.]
LIFECYCLE FUND LIFECYCLE FUND
CONSERVATIVE MODERATE
(SA 197) (SA 198)
| |
| |
LIFECYCLE FUND LIFECYCLE FUND
GROUP TRUST GROUP TRUST
CONSERVATIVE MODERATE
UNDERLYING FUNDS
S&P 500 FLAGSHIP FUND
RUSSELL 2000 FUND
DAILY EAFE NON LENDING FUND
DAILY GOV'T CORPORATE
BOND FUND
SHORT TERM
INVESTMENT FUND
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THE LIFECYCLE FUND GROUP TRUSTS
The Lifecycle Fund Group Trusts (Lifecycle Trusts) are maintained by State
Street. Each of the Lifecycle Trusts is organized as a collective investment
trust under Massachusetts law. Because of exclusionary provisions, the Lifecycle
Fund Group Trusts are not subject to regulation under the Investment Company Act
of 1940. 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. The Lifecycle Fund Group Trusts were
selected by the ADA Trustees.
State Street serves as the trustee and investment manager to the Lifecycle Fund
Group Trusts. 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.
State Street Global Advisors (SSgA) is the investment management arm of State
Street. SSgA is a leading manager of retirement assets with $672.4 billion in
assets under management as of December 31, 1999. SSgA's investment expertise
spans multiple strategies, disciplines and markets around the world. SSgA's
customers include corporate, union, public pension plans, endowments,
foundations, other financial institutions and individuals worldwide. As of
December 31, 1999, SSgA was ranked the largest U.S. manager of tax-exempt
assets.
INVESTMENT OBJECTIVES AND POLICIES
Each Lifecycle Trust has the same investment objective as the Lifecycle Fund to
which it relates. These investment objectives are described above. Each of the
Lifecycle Trusts attempts to achieve its investment objective by investing 100%
of their respective assets in a mix of underlying collective investment trusts
(the Underlying State Street 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
State Street Funds may receive contributions from other tax exempt retirement
plans.
INVESTMENT POLICIES OF THE LIFECYCLE FUND GROUP TRUST - CONSERVATIVE
The table below shows the mix of Underlying State Street Funds targeted by the
Lifecycle Fund Group Trust - Conservative.
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S&P 500 Flagship Fund 15%
Russell 2000 Fund 5%
Daily EAFE Non-Lending Fund 10%
Daily Government/Corporate Bond Fund 50%
Short Term Investment Fund 20%
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INVESTMENT POLICIES OF THE LIFECYCLE FUND GROUP TRUST - MODERATE
The table below shows the mix of Underlying State Street Funds targeted by the
Lifecycle Fund Group Trust - Moderate.
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S&P 500 Flagship Fund 35%
Russell 2000 Fund 10%
Daily EAFE Non-Lending Fund 15%
Daily Government/Corporate Bond Fund 30%
Short Term Investment Fund 10%
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The target percentages shown above for each Lifecycle Trust 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 each Lifecycle Trust,
from time to time makes adjustments in the mix of Underlying State Street Funds
as needed to maintain, to the extent practicable, the target percentages in each
of the Underlying State Street Funds.
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THE UNDERLYING STATE STREET FUNDS
The Underlying State Street Funds are bank collective investment trusts. They
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 State
Street 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 Standard & Poor's 500
Index (the "S&P 500 Index").
The S&P 500 Index is comprised of stocks of 500 leading companies whose stocks
are chosen for market size, liquidity and industry group representation by
Standard & Poor's Corporation. The stocks are also representative of the broad
U.S. equity market and the U.S. economy. The S&P 500 is a market-value weighted
index (stock price time number of shares outstanding), with each stock's weight
in the index proportionate to its market value. The "500" is one of the most
widely used benchmarks of U.S. equity performance.
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.
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. The Flagship Fund will use U.S. Treasury Bills and
other short-term cash equivalents it holds as collateral for the futures
contracts.
For additional discussion related to the investment policies of the Flagship
Fund, see discussion 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").
INVESTMENT POLICIES
The Russell 2000 Fund seeks to fully replicate the Russell 2000 Index. 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. The Russell 2000 Index 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.
The composition of the Russell 2000 Index is updated continuously to reflect
corporate actions affecting companies in the Index. Once a year, at the end of
June, the Index is fully reconstituted and 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.
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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 under "Risks and Investment Techniques," and the Statement
of Additional Information.
DAILY EAFE NON-LENDING FUND
OBJECTIVE
The investment objective of the Daily EAFE Non-Lending 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 Non-Lending Fund seeks to achieve its objective by investing in
other funds which invest in each of the foreign markets which comprise the EAFE
Index.
The Morgan Stanley Capital International Europe, Australasia, and Far East (MSCI
EAFE) Index is a broadly diversified index representing over 1,000 stocks across
20 developed markets outside of North America. The Index captures about 60% of
the available market capitalization in each country and is designed to offer
investors access to some of the world's largest and most liquid equity
securities outside the U.S. and Canada.
The Daily EAFE Non-Lending 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, 1999, companies located in Japan (27.5%) and the United
Kingdom (19.2%) dominated the market capitalization of the EAFE Index, with
companies located in Germany, France, Switzerland and Netherlands also being
well represented on the Index. The Index covers a wide spectrum of industries.
Morgan Stanley Capital International, the creator of the EAFE Index, is neither
a sponsor of nor affiliated with the Daily EAFE Non-Lending Fund.
The Daily EAFE Non-Lending Fund seeks to fully replicate the MSCI EAFE Index,
but from time to time may not be able to hold all of the more than 1,000 stocks
that comprise the EAFE Index because of the costs involved. From time to time
the Daily EAFE Non-Lending Fund will hold a representative sample of the issues
that comprise the EAFE Index. The Daily EAFE Non-Lending Fund selects stocks for
inclusion 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
Non-Lending Fund will invest in each country in approximately the same
percentage as that country's weight in the EAFE Index.
For additional discussion related to the investment policies of the Daily EAFE
Non-Lending Fund, see discussion 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. The GC Bond Fund may make
direct 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,
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(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 GC Bond Fund will hold securities that 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 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
seek to provide safety of principal, daily liquidity, and a competitive yield by
investing in high quality money market instruments.
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 STIF Fund's
investments will 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 under "Risks and Investment Techniques," and the Statement of
Additional Information.
RISKS AND INVESTMENT TECHNIQUES: LIFECYCLE FUND GROUP TRUSTS AND UNDERLYING
STATE STREET 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 Underlying State Street 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 SSgA S&P 500 Index Fund are
discussed in the prospectus and Statement of Additional Information for the SSgA
S&P 500 Index Fund.
IN GENERAL
You should note that the S&P 500 Flagship Fund, the Russell 2000 Fund and the
Daily EAFE Non-Lending 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 S&P 500 Flagship Fund attempts to match the return
of the S&P 500 Index by using automated statistical methods to make stock
selections. Similar methods
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are employed in selecting stocks for the Russell 2000 Fund and the Daily EAFE
Non-Lending 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 State Street 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 State Street 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 State Street 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 State
Street Funds may invest may be subject to more abrupt or erratic market
movements than larger, more established companies for two reasons: the
securities typically are traded in lower volume and the issuers typically are
subject, to a greater degree, to changes in earnings and profits.
FIXED-INCOME SECURITIES
Certain of the Underlying State Street 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. Accordingly, the prices of
fixed-income securities 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 State Street 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 Non-Lending 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 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 State Street Funds investing in
foreign securities will be subject to additional risks. Such risks include
possible adverse political and economic developments, possible
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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 transactions involving the Underlying State Street
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 State Street 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 State Street 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 State Street Fund will incur
brokerage fees when it purchases and sells futures contracts.
The Underlying State Street Funds will not purchase futures contracts for
speculation. Futures contracts are used to increase the liquidity of each
Underlying State Street Fund and for hedging purposes.
Transactions in futures contracts entail certain risks and transaction costs to
which an Underlying State Street Fund would not otherwise be subject, and the
Underlying State Street 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 State
Street 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 State Street 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 State Street Fund might
realize from trading could be eliminated by adverse changes in the exchange
rate, or such Underlying State Street 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.
SECURITIES OF MEDIUM AND SMALLER SIZED COMPANIES. Certain of the Underlying
State Street 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.
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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 State Street 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. The
Underlying State Street Funds will invest this cash collateral in various
collective investment funds maintained by State Street. The portion of net
income from such investments will increase the return to the Underlying State
Street Funds. However, an Underlying State Street Fund may experience a loss if
the institution with which it has engaged in a portfolio loan transaction
breaches its agreement. All securities lending transactions in which the
Underlying State Street 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
State Street 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, 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.
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ADDITIONAL INFORMATION ABOUT THE FUNDS
CHANGE OF INVESTMENT OBJECTIVES
The ADA Trustees may change the investment objectives of the Equity Index Fund
and Lifecycle Funds. The ADA Trustees may also change the mutual fund or
collective investment fund in which any one of these Funds invests. The Trustees
and we can make these changes without your consent.
VOTING RIGHTS
If SSgA S&P 500 Index Fund holds a meeting of shareholders, we will vote shares
held in the corresponding Equity Index Fund in accordance with instructions
received from employers, participants or trustees, as the case may be. Shares
will be voted in proportion to the voter's interest in the Equity Index Fund
holding the shares as of the record date for the shareholders meeting. We
abstain from voting shares if we receive no instructions. Employers,
participants or trustees will receive: (1) periodic reports relating to the SSgA
S&P 500 Index Fund and (2) proxy materials, together with a voting instruction
form, in connection with shareholder meetings.
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 State Street Fund, or with respect to any changes in investment
policy of any of these entities.
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3 How we value your account balance in the Equity Index Fund and
Lifecycle Funds
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FOR AMOUNTS IN THE FUNDS
When you invest in the Equity Index Fund and Lifecycle Funds, your contribution
or transfer purchases "units" of that Fund. The unit value on any day reflects
the value of the Fund's investments for the day and the charges and expenses we
deduct from the Fund. We calculate the number of units you purchase by dividing
the amount you invest by the unit value of the Fund as of the close of business
on the day we receive your contribution or transfer instruction.
On any given day, your account value in the Equity Index Fund and Lifecycle
Funds equals the number of the Fund's units credited to your account, multiplied
by that day's value for one Fund unit. In order to take deductions for expenses
from any Fund, we cancel units having a value equal to the amount we need to
deduct. Otherwise, the number of your Fund units of any Fund does not change
unless you make additional contributions, make a withdrawal, effect a transfer,
or request some other transaction that involves moving assets into or out of
that Fund option.
For a description of how Fund unit values are computed, see "How We Compute Unit
Values for the Funds" in the SAI.
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4 Transfers and access to your account
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TRANSFERS AMONG INVESTMENT OPTIONS
You may transfer some or all of your amounts among all of the investment options
if you participate in the Master Plan. Participants in other plans may make
transfers as allowed by the plan.
Transfers from the Equity Index Fund and 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.
OUR ACCOUNT INVESTMENT MANAGEMENT SYSTEM (AIM) AND OUR INTERNET WEBSITE
Participants may use our automated AIM System or our Internet Website to
transfer between investment options, obtain account information, change the
allocation of future contributions and maturing GRAs and hear investment
performance information (transfer between investment options and the ability to
change the allocation of future contributions and maturing GRA's will be
available through our Internet Website by the second half of 2000). To use the
AIM System, you must have a touch-tone telephone, or our Internet Website can be
accessed at www.equitable.com/ada. We assign a personal security code ("PSC")
number to you after we receive your completed enrollment form.
We have established procedures to reasonably confirm the genuineness of
instructions communicated to us by telephone when using the AIM System and by
Internet, the website. The procedures require personal identification
information, including your PSC number, prior to acting on telephone
instructions and by Internet, the website, and providing written confirmation of
the transfers. Thus, we will not be liable for following telephone instructions,
or Internet instructions, we reasonably believe to be genuine.
A transfer request will be effective on the business day we receive the request.
We will confirm all transfers in writing.
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A business day is any day on which both the New York Stock Exchange and we are
open, and generally ends at 4:00 p.m. Eastern Time. We may, however, close due
to emergency conditions.
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PARTICIPANT LOANS
Participants loans are available if the employer plan permits them. Participants
must apply for a plan loan through the employer. Loan packages containing all
necessary forms, along with an explanation of how interest rates are set, are
available from our Account Executives.
Loans are subject to restrictions under Federal tax laws and ERISA. If you are a
sole proprietor, 10% or more partner, or a shareholder-employee of an S
Corporation who owns more than 5% of the shares (or a family member of any of
the above as defined under Federal income tax laws), you presently may not
borrow from your 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. A loan may not be taken from the Real Estate
Fund, or from the Guaranteed Rate Accounts prior to maturity. If a participant
is married, written spousal consent will be required for a loan.
Generally, the loan amount will be transferred from the investment options into
a loan account. The participant must pay the interest as required by Federal
income tax rules. If you fail to repay the loan when due, the amount of the
unpaid balance may be taxable and subject to additional penalty taxes. Interest
paid on a retirement plan loan is not deductible.
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CHOOSING BENEFIT PAYMENT OPTIONS
Benefit payments are subject to plan provisions.
The Program offers a variety of benefit payment options for employees that adopt
the Master Plan. (If you are a participant in a self-directed or
individually-designed plan, ask your employer for information on benefit payment
options under your Plan.) Your plan may allow you a choice of one or more of the
following forms of distribution:
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
All of these options can be either fixed or variable except for the Cash Refund
Annuity and the Qualified Joint and Survivor Annuity which are fixed options
only.
- --------------------------------------------------------------------------------
The amount of each payment in a fixed option remains the same. Variable option
payments change to reflect the investment performance of the Growth Equity Fund.
- --------------------------------------------------------------------------------
See "Types of Benefits" in the SAI for detailed information regarding each of
the benefit payout options, and "Procedures for Withdrawals, Distributions and
Transfers" in the SAI.
Fixed annuities are available from insurance companies selected by the Trustees.
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 $5,000.
In most cases a variable 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.
If you are a participant in a self-directed or individually-designed plan, ask
your employer for information on benefit payment options under your Plan.
SPOUSAL CONSENT
If a participant is married and has an account balance greater than $5,000,
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 you and your spouse have properly waived that form of payment in advance.
Please see "Spousal Consent Requirements" under "Types of Benefits" in the SAI.
<PAGE>
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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 participant's beneficiary. If a participant dies
before he or she is required to begin receiving benefits, the law generally
requires the entire benefit to be distributed no more than five years after
death. There are exceptions: (1) a beneficiary who is not the participant's
spouse may elect payments over his or her life or a fixed period which does not
exceed the beneficiary's life expectancy, provided payments begin within one
year of death, (2) if the benefit is payable to the spouse, the spouse may elect
to receive benefits over his or her life or a fixed period which does not exceed
his/her 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,
or (3) the spouse may be able to roll over all or part of the death benefit to a
traditional individual retirement arrangement. 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, subject to the Federal
income tax minimum distribution rules. To designate a beneficiary or to change
an earlier designation, a participant must have the employer send us a
beneficiary designation form. In some cases, the spouse must consent in writing
to a designation of any non-spouse beneficiary, as explained in "Spousal Consent
Requirements" under "Types of Benefits" in the SAI.
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.
<PAGE>
5 The Program
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23
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This section explains the ADA Program in further detail. It is intended for
employers who wish to enroll in the Program, but contains information of
interest to participants as well. You should, of course, understand the
provisions of your plan and the Adoption Agreement that define the scope of the
Program in more specific terms. References to "you" and "your" in this section
are to you in your capacity as an employer. The Program is described in the
prospectus solely to provide a more complete understanding of how the investment
funds operate within 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 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 26,316 participants
and $1.6 billion in assets at December 31, 1999.
ELIGIBLE EMPLOYERS
You can adopt the Program if you or at least one of your partners or other
shareholders is a member of: (1) the ADA, (2) a constituent or component society
of the ADA, or (3) an ADA-affiliated organization. Participation by an
affiliated organization must first be approved by the ADA's Council on
Insurance.
Our Retirement Program Specialists are available to answer your questions about
joining the Program. Please contact us by using the telephone number or
addresses listed under "How To Reach Us - Information on Joining the Program" on
the back cover of the prospectus.
SUMMARY OF PLAN CHOICES
You have a choice of three retirement plan arrangements under the Program. You
can:
o Choose, the MASTER PLAN - which automatically gives you a full range of
services from Equitable Life. These include your choice of the Program
investment options, plan-level and participant-level recordkeeping,
benefit payments and tax withholding and reporting. Under the Master
Plan employers adopt our Master Trust and your only investment choices
are from the Investment Options.
- --------------------------------------------------------------------------------
The Master Plan is a defined contribution master plan that can be adopted as a
profit sharing plan (including optional 401(k), SIMPLE 401(k) and safe harbor
401(k) features), a defined contribution pension plan, or both.
- --------------------------------------------------------------------------------
o Choose the SELF-DIRECTED PROTOTYPE PLAN - which gives you added
flexibility in choosing investments. This is a defined contribution
prototype plan which can be used to combine the Program investment
options with your own individual investments such as stocks and bonds.
With this plan you must adopt our Pooled Trust and maintain a minimum
balance of $25,000 at all times.
You must 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 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, DLJ
Direct, at special rates or use the services of any other broker.
- --------------------------------------------------------------------------------
The Pooled Trust is an investment vehicle used with individually designed
qualified retirement plans. It can be used for both defined contribution and
defined benefit plans. We provide recordkeeping services for plan assets held in
the Pooled Trust.
- --------------------------------------------------------------------------------
o Maintain your own INDIVIDUALLY DESIGNED PLAN - and use the Pooled Trust
for investment options in the Program and your own individual
investments. The Pooled Trust is for investment only and can be used for
both defined benefit and defined contribution plans.
<PAGE>
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Choosing the right plan depends on your own set of circumstances. We recommend
that you review all plan, trust, participation and related agreements with your
legal and tax counsel.
GETTING STARTED
If you choose the Master Plan, you must complete an Adoption Agreement. If you
have your own individually designed plan and wish to use the Pooled Trust as an
investment vehicle, the trustee of your plan must complete an Adoption
Agreement.
If you choose the Self-Directed Prototype Plan, you must complete the Prototype
Plan adoption agreement as well as an Adoption Agreement in order to use the
Pooled Trust.
As an employer, you are responsible for the administration of the plan you
choose. If you have a Self-Directed Prototype Plan, you are also responsible for
appointing a plan trustee. Please see "Your Responsibilities as Employer" in the
SAI.
HOW TO MAKE PROGRAM CONTRIBUTIONS
Contributions must be in the form of a check drawn on a bank in the U.S.
clearing through the Federal Reserve System, in U.S. dollars, and made payable
to The ADA Retirement Trust. All contribution checks should be sent to Equitable
Life at the address shown "For Contribution Checks Only" in the "Information
Once You Join the Program" section under "How to Reach Us" on the back cover of
this prospectus. Third party checks are not acceptable, except for rollover
contributions, tax-free exchanges or trustee checks that involve no refund. All
checks are subject to collection. We reserve the right to reject a payment if it
is received in an unacceptable form.
All contributions must be accompanied by a Contribution Remittance form which
designates the amount to be allocated to each participant by contribution type
and fiscal year to which the Contribution will be applied. 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.
There is no minimum amount which must be contributed for investment if you adopt
the Master Plan, or if you have your own individually designed plan that uses
the Pooled Trust. If you adopt our self-directed prototype plan, you must, as
indicated above, keep at least $25,000 in the Pooled Trust at all times.
ALLOCATING PROGRAM CONTRIBUTIONS
Under the Master Plan, participants make all of the investment decisions.
Investment decisions in the Self-Directed Prototype Plan and individually
designed plans are made either by the participant or by the plan trustees,
depending on the terms of the plan.
Participants may allocate contributions among any number of Program investment
options. Allocation instructions can be changed at any time. IF WE DO NOT
RECEIVE ADEQUATE INSTRUCTIONS, WE WILL ALLOCATE YOUR CONTRIBUTIONS TO THE MONEY
MARKET GUARANTEE ACCOUNT UNTIL WE ARE PROPERLY INSTRUCTED OTHERWISE.
WHEN TRANSACTION REQUESTS ARE EFFECTIVE. Contributions, as well as transfer
requests and allocation changes (not including GRA maturity allocation changes
discussed in the SAI), are effective on the business day they are received.
In-service distribution requests are also effective on the business day they are
received. Benefit payments are subject to Plan provisions. Transaction requests
received after the end of a business day will be credited the next business day.
Processing of any transaction may be delayed if a properly completed form is not
received.
Trustee-to-trustee transfers of plan assets are effective the business day after
we receive all items we require, including check and mailing instructions, and
the new or amended plan opinion/IRS determination letter or adequate proof of
this letter.
<PAGE>
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25
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DISTRIBUTIONS FROM THE INVESTMENT OPTIONS
Keep in mind two sets of rules when considering distributions or withdrawals
from the Program. The first are rules and procedures that apply to the
investment options, exclusive of the provisions of your plan. We discuss those
in this section. The second are rules specific to your plan. We discuss those
"Rules Applicable to Participant Distributions" below. Certain plan
distributions may be subject to Federal income tax, and penalty taxes. See "Tax
Information."
AMOUNTS IN THE EQUITY INDEX FUND AND LIFECYCLE FUNDS. These 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 redemptions from the related Underlying Mutual Fund, or with respect to
the Lifecycle Funds, from the Lifecycle Fund Group Trusts in which they invest.
Payments or withdrawals 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 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 is not reasonably
practicable because of an emergency.
RULES APPLICABLE TO PARTICIPANT DISTRIBUTIONS
In addition to our own procedures, distribution and benefit payment options
under a tax qualified retirement plan are subject to complicated legal
requirements. A general explanation of the Federal income tax treatment of
distributions and benefit payment options is provided in "Tax Information" in
this prospectus and the SAI. You should discuss your options with a qualified
financial advisor. Our Account Executives also can 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. Participants in an
individually designed plan are eligible for retirement benefits depending on the
terms of their plan. See "Benefit Payment Options" under "Transfers and Access
to Your Money," and "Tax Information" 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 from the employer sponsoring the plan.
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.
<PAGE>
6 Performance information
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26
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The investment performance of the Equity Index Fund and Lifecycle Funds reflects
changes in unit values experienced over time. The unit value calculations for
the Funds include all earnings, including dividends and realized and unrealized
capital gains. Unlike the typical mutual fund, the Funds reinvest, rather than
distribute, their earnings.
The following tables show the annual percentage change in Fund unit values, and
the average annual percentage change in Fund unit values, for the appropriate
period ended December 31, 1999. You may compare the performance results for each
Fund with the data presented for certain unmanaged market indices, or
"benchmarks."
Performance data for the benchmarks do not reflect any deductions for investment
advisory, brokerage or other expenses of the type typically associated with an
actively managed investment fund. This overstates their rates of return and
limits the usefulness of the benchmarks in assessing the performance of the
Funds. The benchmark results have been adjusted to reflect reinvestment of
dividends and interest for greater comparability. The benchmarks are:
o Standard and Poor's 500 Index ("S&P 500") - a weighted index of the
securities of 500 companies widely regarded by investors as
representative of the stock market.
o Russell 2000 Index ("Russell 2000") - a broadly diversified small
capitalization index 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.
o Morgan Stanley Capital International Europe, Australasia, and Far East
Index ("MSCI EAFE") - a broadly diversified index representing
approximately 1,000 stocks across 20 major developed markets in Europe,
Australia, New Zealand and the Far East. The MSCI EAFE index captures
about 60% of the available market capitalization in each country and is
designed to offer global investors access to some of the world's largest
and most liquid equity securities outside the U.S. and Canada.
o Lehman Government/Corporate Bond Index ("Lehman") - an index widely
regarded as representative of the bond market.
o Salomon Brothers 3-Month T-Bill Index ("Salomon 3 Mo. T-Bill") - an
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 that can be used as a non-securities benchmark.
The annual percentage change in unit values represents the percentage increase
or decrease in unit values from the beginning of one year to the end of that
year. 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.
Historical results are presented for the Funds for the periods during which the
Funds were available under the Program. Hypothetical results were calculated for
prior periods, as described in "How We Calculate Performance Data." For the
Equity Index Fund, no results are presented for periods prior to 1993, as the
SSgA 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.
THE PERFORMANCE SHOWN DOES NOT REFLECT ANY RECORD MAINTENANCE AND REPORT OR
ENROLLMENT FEES. NO PROVISIONS HAVE BEEN MADE FOR THE EFFECT OF TAXES ON INCOME
AND GAINS OR UPON DISTRIBUTION. PAST PERFORMANCE IS NOT AN INDICATION OF FUTURE
PERFORMANCE.
<PAGE>
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27
- --------------------------------------------------------------------------------
ANNUAL PERCENTAGE CHANGE IN FUND
UNIT VALUES
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
LIFECYCLE LIFECYCLE SALOMON
EQUITY FUND - FUND - S&P RUSSELL MSCI 3-MO.
INDEX* CONSERVATIVE MODERATE 500 2000 EAFE LEHMAN T-BILL CPI
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 19.8% 5.1% 12.0% 21.1% 21.3% 27.0% (2.2)% 4.7% 2.7%
1998 27.2 10.2 15.1 28.6 (2.6) 20.0 9.5 5.1 1.6
1997 31.7 9.9 16.1 33.4 22.4 1.8 9.8 5.2 1.9
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
1992 - - - 7.6 18.4 (12.2) 7.6 3.6 2.9
1991 - - - 30.5 46.1 12.5 16.1 5.8 3.0
1990 - - - 3.1 19.5 (23.2) 8.3 7.9 6.2
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL PERCENTAGE CHANGE IN
FUND UNIT VALUES - YEARS ENDING
DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
LIFECYCLE LIFECYCLE SALOMON
EQUITY FUND - FUND - S&P RUSSELL MSCI 3-MO.
INDEX* CONSERVATIVE MODERATE 500 2000 EAFE LEHMAN T-BILL CPI
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 19.8% 5.1% 12.0% 21.1% 21.3% 27.0% (2.2)% 4.7% 2.7%
3 Years 26.2 8.4 14.4 27.6 13.1 15.8 5.6 5.0 2.0
5 Years 26.9 N/A N/A 28.6 16.7 12.8 7.6 5.2 2.4
10 Years N/A N/A N/A 18.2 13.4 7.0 7.7 5.1 2.9
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Hypothetical results, in bold, are based on underlying mutual fund
performance before the inception of the respective Funds.
HOW WE CALCULATE PERFORMANCE DATA
The Equity Index Fund began operations as Separate Account No. 195 on February
1, 1994. For prior periods hypothetical results are shown. The results reflect
the actual performance of SSgA S&P 500 Index Fund beginning with 1993, the first
full year after that mutual 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.
The Lifecycle Fund - Conservative and the Lifecycle Fund - Moderate performance
shown reflects actual investment performance of Separate Account No. 197 and
Separate Account No. 198 for the period beginning May 1, 1995, when the Funds
commenced operations.
<PAGE>
7 Charges and expenses
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You will incur two general types of charges under the Program:
o Charges based on the value of your assets in the Trust - these apply to all
amounts invested in the Trust (including installment payout option
payments), and do not vary by plan. These are, in general, reflected as
reductions in the unit values of the Equity Index Fund and Lifecycle Funds.
o Plan and transaction charges - these vary by plan or are charged for
specific transactions, and are typically stated in a dollar amount. Unless
otherwise noted, these are deducted in fixed dollar amounts by reducing the
number of units in the Equity Index Fund and Lifecycle Funds.
We make no deduction from your contributions or withdrawals for sales expenses.
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 the Trust. The purpose of this charge is to cover the expenses that we
and the ADA incur in connection with the Program.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
ANNUAL PROGRAM EXPENSE CHARGE*
-------------------------------------------
VALUE OF PROGRAM ASSETS EQUITABLE LIFE ADA TOTAL
- ------------------------------------------------------------------------
<S> <C> <C> <C>
First $400 million .615% .025% .640%
Over $400 million .615 .020 .635
- ------------------------------------------------------------------------
</TABLE>
* The Program expense charge is determined by negotiation between us and the
Trustees. The charge is primarily based on a formula that gives effect to
total Program assets and the number of plans enrolled in the Program.
Currently, the portion paid to the ADA has been reduced to 0.015% for all
asset levels, but the ADA's portion could be increased in the future. For
the 12 months beginning May 1, 2000, the total Program expense charge is
0.635%.
For investment options other than GRAs, the Program expense charge is calculated
based on Program assets in the Trust on January 31 of 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.
We apply our portion of the Program expense charge toward the cost of
maintenance of the investment funds, promotion of the Program investment funds
and Money Market Guarantee Account, 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 ADA Trustees can direct us to raise or lower the ADA's part of this
fee to reflect their expenses in connection with the Program. During 1999 we
received $8,919,753 and the ADA received $210,784 under the Program expense
charge.
ADMINISTRATION FEES
The computation of unit values for each investment fund also reflects fees
charged for administration. We receive an administrative fee at the annual rate
of .15% of assets held in the Equity Index Fund and Lifecycle Funds. As part of
our administrative functions, we maintain records for all portfolio transactions
and cash flow control, calculate unit values, monitor compliance with the New
York Insurance Law and supervise custody matters for all these Funds.
OTHER EXPENSES BORNE BY THE FUNDS
Certain other expenses are charged directly to the Equity Index Fund and
Lifecycle Funds. These include SEC filing fees and certain related expenses such
as printing of SEC filings, prospectuses and reports, mailing costs, custodians'
fees, financial accounting costs, outside auditing and legal expenses, and other
costs related to the Program.
The Equity Index Fund purchases and redeems shares in the SSgA S&P 500 Index
Fund at net asset value. The net asset
<PAGE>
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29
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value reflects charges for 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 Fund,
please refer to the prospectus for the SSgA S&P 500 Index Fund.
The Lifecycle Funds - Conservative and Moderate purchase and redeem units in the
Lifecycle Fund Group Trusts - Conservative and Moderate, respectively, at net
asset value. The net asset value reflects charges for investment management,
audit, legal, custodian and other fees. By agreement with the ADA Trustees, we
impose a charge at the annual rate of .03% of the value of the respective assets
of the Lifecycle Funds - Conservative and Moderate. This charge compensates us
for additional legal, accounting and other potential expenses resulting from the
inclusion of the Lifecycle Fund Group Trusts and Underlying State Street Funds
among the investment options described in this prospectus. For a description of
charges and expenses assessed by the Lifecycle Fund Group Trusts, which are
indirectly borne by the Lifecycle Funds, see "Deductions and Charges Related to
the Lifecycle Trusts and Underlying State Street Fund," below.
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:
------------------------------------------------------------
ADA Members Retirement Plan participants $3 per quarter
Self-Directed Prototype Plan participants $3 per quarter
Investment Only $1 per quarter
------------------------------------------------------------
ENROLLMENT FEE. We charge an employer a non-refundable enrollment fee of $25 for
each participant enrolled under its plan. If we do not maintain individual
participant records under an individually-designed plan, we instead charge the
employer $25 for each plan or trust. If the employer fails to pay these charges,
we may deduct the amount from subsequent contributions or from participants'
account balances.
PROTOTYPE SELF-DIRECTED PLAN FEES. Employers who participate in our Prototype
Self-Directed Plan 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, we deduct a $350 charge from the amount used to purchase the
annuity. This charge reimburses us for administrative expenses associated with
processing the application for the annuity and issuing each month's annuity
payment. The minimum amount that can be converted to an annuity, so that the
charge would apply, is $5,000. Annuities purchased from other providers may also
be subject to fees and charges.
CHARGES FOR STATE PREMIUM AND OTHER APPLICABLE TAXES
We deduct a charge designed to approximate certain applicable taxes that may be
imposed on us, for example, for our state premium tax. Currently, we deduct the
charge from the amount applied to provide an annuity payout option. The current
tax charge that might be imposed on us varies by state and ranges from 0% to 5%
(1% in Puerto Rico and 5% in the U.S. Virgin Islands).
We reserve the right to deduct any applicable charges such as premium taxes from
each contribution or from distributions or upon termination of your contract. If
we have deducted any applicable tax charges from contributions, we will not
deduct a charge for the same taxes later. If, however, an additional tax is
later imposed on us when you make a partial or full withdrawal, or your contract
is terminated, or you begin receiving annuity payments, we reserve the right to
deduct a charge at that time.
<PAGE>
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30
- --------------------------------------------------------------------------------
GENERAL INFORMATION ON FEES AND CHARGES
We may change the fees and charges described above at any time with the ADA's
consent. During 1999 we received total fees and charges under the Program of
$12,601,267.
DEDUCTIONS AND CHARGES RELATED TO THE LIFECYCLE TRUSTS AND UNDERLYING STATE
STREET FUNDS
In addition to the generally applicable Program fees and charges that we impose,
State Street imposes fees and charges 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 State Street
Funds. State Street deducts these fees from the assets of the Lifecycle Fund
Group Trusts in which the Lifecycle Funds invest, or the Underlying State Street
Funds in which the Lifecycle Fund Group Trusts invest.
INVESTMENT MANAGEMENT FEE. Each Lifecycle Trust pays State Street a fee equal to
.17% of the average annual net assets of each Lifecycle Trust for providing
investment management services to the Trusts. No fee is paid to State Street for
managing the assets of the Underlying State Street 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 State Street Funds may be invested.
State Street has agreed to reduce its management fee charged to each of the
Lifecycle Trusts to offset any management fees State Street receives
attributable to the Trusts' investment in such other collective investment funds
and mutual funds.
FIXED ADMINISTRATION FEE. State Street also makes a deduction from the assets of
each Lifecycle Fund Group Trust to compensate it 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 $12,000 per year for
each 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 State
Street Funds. State Street serves as custodian to each of these Funds.
<PAGE>
8 Tax information
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31
- --------------------------------------------------------------------------------
In this section, we briefly outline current Federal income tax rules relating to
adoption of the Program, contributions to the Program and distributions to
participants under qualified retirement plans. Certain other information about
qualified retirement plans appears here and in the SAI. We do not discuss the
effect, if any, of state tax laws that may apply.
The United States Congress has in the past considered and may in the future
consider proposals for legislation that, if enacted, could change the tax
treatment of qualified retirement plans. In addition, the Treasury Department
may amend existing regulations, issue new regulations, or adopt new
interpretations of existing laws. State tax laws or, if you are not a United
States resident, foreign tax laws, may affect the tax consequences to you or the
beneficiary. These laws may change from time to time without notice and, as a
result, the tax consequences may also change. There is no way of predicting
whether, when or in what form any such change would be adopted.
Any such change could have retroactive effects regardless of the date of
enactment. We suggest you consult your legal or tax advisor.
Because you are buying a contract to fund a retirement plan that already
provides tax deferral under Federal income tax rules, you should do so for the
contract's features and benefits other than tax deferral. The tax deferral of
the contract does not provide additional benefits.
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.
ELIGIBLE ROLLOVER DISTRIBUTIONS. Many types of distributions from qualified
plans are "eligible rollover distributions" that can be transferred directly to
another qualified plan or traditional 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.
ANNUITY OR INSTALLMENT PAYMENTS. Each payment you receive is ordinary income for
tax purposes, 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 had to include in gross income in prior years. You
may exclude from gross income a portion of each annuity or installment payment
you receive. If you (and your survivor) continue to receive payments after you
have received your cost basis in the contract, all amounts will be taxable.
IN-SERVICE WITHDRAWALS. Some plans allow in-service withdrawals of after-tax
contributions. The portion of each withdrawal attributable to cost basis is not
taxable. The portion of each withdrawal attributable to earnings is taxable.
Withdrawals are taxable only after they exceed your cost basis if they are
attributable to your pre-January 1, 1987 contributions under plans that
permitted those withdrawals as of May 5, 1986. Amounts that you include 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
<PAGE>
- ------
32
- --------------------------------------------------------------------------------
active service after age 55 and (d) distributions you use to pay deductible
medical expenses.
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 distribution. See "Eligible Rollover
Distributions and Federal Income Tax Withholding" in the SAI. Under the ADA
Master Retirement Plan, we will withhold the tax and send you the remaining
amount. Under an individually designed plan or our prototype self-directed plan
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 taxes, state and local estate
and inheritance taxes, 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.
<PAGE>
9 More information
- ------
33
- --------------------------------------------------------------------------------
ABOUT PROGRAM CHANGES OR TERMINATIONS
AMENDMENTS. The group annuity contract has been amended in the past and we and
the Trustees may agree to amendments in the future. No future change can affect
annuity benefits in the course of payment. If certain conditions are met, we
may: (1) terminate the offer of any of the investment options and (2) offer new
investment options with different terms.
TERMINATION. We or the ADA Trustees may terminate the group annuity contract. If
the contract is terminated, we will not accept any further contributions or
perform any recordkeeping functions after the date of termination. We then would
make arrangements with the ADA Trustees with respect to the assets held in the
investment options that we provide, subject to the following:
o transfers and withdrawals from the Real Estate Fund would continue to be
subject to the restrictions described in this prospectus and in the SAI;
o the ADA Trustees could transfer assets from the Money Market Guarantee
Account in installments over a period of time not to exceed two years;
however, during that time participants would be permitted to make transfers
to funding vehicles provided by another financial institution (other than a
money market fund or similar investment); and
o amounts allocated to the GRAs would be held until maturity.
If the ADA Trustees make arrangements with us, you may be able to continue to
invest amounts in the investment options that we provide and elect payment of
benefits through us.
AGREEMENT WITH STATE STREET. We 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 State Street 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, under the terms of the Agreement, we
may terminate it upon three months prior written notice to State Street, and
State Street may terminate it upon six months prior written notice to us. In the
event of a termination of the Agreement, State Street has the right, upon four
months' prior notice to us, 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.
IRS DISQUALIFICATION
If your plan is found not to qualify under the Internal Revenue Code, we may:
(1) return the plan's assets to the employer (in our capacity as the plan
administrator) or (2) prevent plan participants from investing in the separate
accounts.
ABOUT THE SEPARATE ACCOUNTS
Each investment fund is one of our separate accounts. We established the
separate accounts under special provisions of the New York Insurance Law. These
provisions prevent creditors from any other business we conduct from reaching
the assets we hold in our investment funds for owners of our variable annuity
contracts, including our group annuity contracts with the ADA Trustees. The
results of each separate account's operations are accounted for without regard
to Equitable Life's, or any other separate account's, operating results. We are
the legal owner of all of the assets in the separate accounts and may withdraw
any amounts we have in the separate accounts that exceed our reserves and other
liabilities under variable annuity contracts.
The separate accounts that we call the Equity Index Fund and Lifecycle Funds
commenced operations on 1994 and 1995, respectively. Because of exclusionary
provisions, none of the investment funds is subject to regulation under the
Investment Company Act of 1940. The Equity Index Fund and Lifecycle Funds are
used exclusively in the ADA Program.
<PAGE>
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34
- --------------------------------------------------------------------------------
ABOUT STATE STREET
State Street, is one of the world's leading specialists in serving institutional
investors, providing a full range of products and services. As of December 31,
1999, State Street was the largest manager of pension assets with $672.4 billion
under management.
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.
ABOUT LEGAL PROCEEDINGS
Equitable Life and its affiliates are parties to various legal proceedings. In
our view, none of these proceedings is likely to have a material adverse effect
upon the separate accounts, our ability to meet our obligations under the
Program, or the distribution of group annuity contract interests under the
Program.
State Street is engaged in litigation of various kinds which in its judgment is
not of material importance in relation to its 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 Group Trusts or the Underlying
State Street Funds in which the Lifecycle Trusts invest.
ABOUT OUR INDEPENDENT ACCOUNTANTS
The following financial statements included in the SAI as well as the following
condensed financial information included in the prospectus have been so included
in reliance on the report of PricewaterhouseCoopers LLP given on the authority
of said firm as experts in auditing and accounting:
o The financial statements for Separate Account Nos. 195, 197 and 198 as of
December 31, 1999 and for each of the two years in the period ended December
31, 1999.
o The financial statements for Equitable Life as of December 31, 1999 and 1998
and for each of the three years in the period ended December 31, 1999.
o The condensed financial information for Separate Account No. 195 for each of
the six years in the period ended December 31, 1999.
o The condensed financial information for Separate Account Nos. 197 and 198
for each of the five years in the period ended December 31, 1999.
o The following financial statements as of December 31, 1999 and for each of
the two years in the period then ended:
o State Street Bank and Trust Company Lifecycle Fund Group Trust -
Conservative
o State Street Bank and Trust Company Lifecycle Fund Group Trust -
Moderate
o State Street Bank and Trust Company S&P 500 Flagship Fund and State
Street Bank and Trust Company S&P 500 Index Fund with Futures
o State Street Bank and Trust Company Russell 2000 Fund and State Street
Bank and Trust Company Russell 2000 Non-Lending Fund
<PAGE>
- ------
35
- --------------------------------------------------------------------------------
o State Street Bank and Trust Company Daily EAFE Securities Lending Fund
and State Street Bank and Trust Company Daily EAFE Non-Lending Fund
o State Street Bank and Trust Company Daily MSCI Europe Index Securities
Lending Fund and State Street Bank and Trust Company Daily MSCI Europe
Index Fund
o State Street Bank and Trust Company Daily MSCI Japan Index Securities
Lending Fund and State Street Bank and Trust Company Daily MSCI Japan
Index Fund
o State Street Bank and Trust Company Daily MSCI Pacific Basin ex-Japan
Index Securities Lending Fund and State Street Bank and Trust Company
Daily MSCI Pacific Basin ex-Japan Index Fund
o State Street Bank and Trust Company Daily Government/Corporate Bond Fund
o State Street Bank and Trust Company Short Term Investment Fund
o The condensed financial information for each of the four years in the period
ended December 31, 1999 for the following Trusts:
o State Street Bank and Trust Company Lifecycle Fund Group Trust -
Conservative
o State Street Bank and Trust Company Lifecycle Fund Group Trust -
Moderate
o The condensed financial information for each of the seven years in the
period ended December 31, 1999 for the following:
o State Street Bank and Trust Company S&P 500 Flagship Fund
o State Street Bank and Trust Company Russell 2000 Fund
o The condensed financial information for each of the five years in the period
ended December 31, 1999 for the following:
o State Street Bank and Trust Company Daily EAFE Non-Lending Fund
o State Street Bank and Trust Company Daily Government/Corporate Bond Fund
o State Street Bank and Trust Company Short Term Investment Fund
REPORTS WE PROVIDE AND AVAILABLE INFORMATION
We send reports annually to employers showing the aggregate Account Balances of
all participants and information necessary to complete annual IRS filings.
As permitted by the SEC's rules, we omitted certain portions of the registration
statement filed with the SEC from this prospectus and the SAI. You may obtain
the omitted information by: (1) requesting a copy of the registration statement
from the SEC's principal office in Washington, D.C., and paying prescribed fees,
or (2) by accessing the EDGAR Database at the SEC's web site at
http://www.sec.gov.
ACCEPTANCE
The employer or plan sponsor, as the case may be: (1) is solely responsible for
determining whether the Program is a suitable funding vehicle and (2) should
carefully read the prospectus and other materials before entering into an
Adoption Agreement.
<PAGE>
Appendix I: Selected financial data and condensed financial information
- -------
A-1
- --------------------------------------------------------------------------------
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 PricewaterhouseCoopers 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 DECEMBER 31,
-----------------------------------------------------
1999 1998 1997 1996
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Lifecycle Fund Group Trust - Conservative
Net investment income (loss)* $ 0.10 $ 0.09 $ 0.06 $ 0.05
Net realized and unrealized gain (loss) 0.81 1.41 1.28 0.65
Net increase (decrease) 0.91 1.50 1.34 0.70
Net asset value
Beginning of period 14.27 12.77 11.43 10.73
End of period $ 15.18 $ 14.27 $ 12.77 $ 11.43
Total return %** 6.38% 11.75% 11.72% 6.52%
Ratio of expenses to average net assets (b) 0.38% 0.43% 0.66% 0.81%
Ratio of net investment income (loss) to average net assets (a) 0.66% 0.68% 0.46% 0.31%
Portfolio turnover 42% 77% 44% 54%
Net assets, end of period (000s) $ 12,797 $ 13,516 $ 7,249 $ 4,534
Lifecycle Fund Group Trust - Moderate
Net investment income (loss)* $ 0.06 $ 0.06 $ 0.05 $ 0.04
Net realized and unrealized gain (loss) 2.14 2.30 2.11 1.27
Net increase (decrease) 2.20 2.36 2.16 1.31
Net asset value
Beginning of period 16.96 14.60 12.44 11.13
End of period 19.16 16.96 $ 14.60 $ 12.44
Total return** 12.97 16.16 17.36% 11.77%
Ratio of expenses to average net assets (b) 0.19% 0.19% 0.20% 0.20%
Ratio of net investment income (loss) to average net assets (a)(b) 0.34% 0.37% 0.37% 0.35%
Portfolio turnover 33% 46% 22% 18%
Net assets, end of period (000s) $132,764 $125,412 $108,435 $88,273
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Net investment income (loss) per unit has been calculated based upon a
monthly average of units outstanding.
** Total return calculation (not annualized for the period ended December
31, 1995) 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. The result may be reduced by any administrative or other fees which
are incurred in the management or maintenance of individual participant
accounts. Annualized for the period ended December 31, 1995.
(a) Ratio excludes income retained by the funds in which the Fund invests
(see Note 2).
(b) 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.
<PAGE>
- -------
A-2
- --------------------------------------------------------------------------------
UNDERLYING STATE STREET FUNDS
The selected financial data below provides information with respect to
investment income, expenses, and investment performance for each Underlying
State Street Fund attributable to each Underlying State Street Fund unit
outstanding for the periods indicated. The selected financial data has been
audited by PricewaterhouseCoopers 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 State Street
Funds, which appear in the SAI.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
S&P 500 Flagship Fund
Net investment income* $ 2.99 $ 2.77 $ 2.64 $ 2.48 $ 2.24 $ 1.90 $ 1.81
Net realized and unrealized gain (loss) 40.09 42.70 37.22 19.86 24.26 (0.93) 4.55
Distribution of securities lending fee income (a) (0.01) (0.01) 0.00 0.00 0.00 0.00 (0.01)
Net increase (decrease) 43.07 45.46 39.86 22.34 26.50 0.97 6.35
Net asset value
Beginning of year 204.72 159.26 119.40 97.06 70.56 69.59 63.24
End of year $ 247.79 $ 204.72 $ 159.26 $ 119.40 $ 97.06 $ 70.56 $ 69.59
Total return %** 21.04% 28.55% 33.38% 23.02% 37.56% 1.39% 10.06%
Ratio of expenses to average net assets*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Ratio of net investment income to average net
assets 1.35% 1.55% 1.86% 2.33% 2.66% 2.88% 2.68%
Portfolio turnover 13% 18% 18% 27% 10% 12% 22%
Net assets, end of year (000,000s) $ 75,574 $ 49,893 $ 36,664 $ 20,916 $15,135 $ 8,258 $ 5,753
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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 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 distributions. 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.
*** Zero amounts represented those which are less than .005% per unit.
(a) Zero amounts per unit represent those which are less than $.005 per unit.
<PAGE>
- -----
A-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------
1999 1998 1997
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Russell 2000 Fund
Net investment income (a) $ 0.39 $ 0.38 $ 0.36
Distribution of securities lending fee income (0.02) (0.02) (0.02)
Net realized and unrealized gain (loss) 4.34 (1.06) 4.19
Net increase (decrease) 4.71 (0.70) 4.53
Net asset value
Beginning of period 23.07 23.77 19.24
End of period $ 27.78 $ 23.07 $ 23.77
Total return (b) 20.50% (2.88)% 23.66%
Ratio of expenses to average net assets (%)(c) 0.03% 0.04% 0.06%
Ratio of net investment income to average net
assets (%)(c) 1.61% 1.61% 1.63%
Portfolio turnover (%) 51% 57% 105%
Net assets, end of year (000s) $1,903,731 $1,255,838 $1,174,146
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
PERIOD
ENDED
DECEMBER
YEAR ENDED DECEMBER 31, 31,
-------------------------------------- ------------
1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Russell 2000 Fund
Net investment income (a) $ 0.32 $ 0.03 $ 0.21 $ 0.17
Distribution of securities lending fee income (0.01) (0.01) (0.01) 0.00
Net realized and unrealized gain (loss) 2.45 3.61 (0.46) 1.83
Net increase (decrease) 2.76 3.63 (0.26) 2.00
Net asset value
Beginning of period 16.48 12.85 13.11 11.11
End of period $ 19.24 $ 16.48 $ 12.85 $ 13.11
Total return (b) 16.81% 28.33% (1.98)% 18.00%
Ratio of expenses to average net assets (%)(c) 0.06% 0.10% 0.07% 0.09%
Ratio of net investment income to average net
assets (%)(c) 1.80% 1.80% 1.61% 1.37%
Portfolio turnover (%) 131% 103% 48% 35%
Net assets, end of year (000s) $951,405 $536,849 $372,107 $451,119
- -----------------------------------------------------------------------------------------------------
</TABLE>
(a) Net investment income has been calculated based on an average of
units outstanding.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year and assumes
reinvestment of distributions. 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.
(c) 1996 ratios reflect net investment income and expenses attributable
to the Russell 2000 Fund from its ownership of other collective
investment funds.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
1999 1998 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Daily EAFE Non-Lending Fund
Net investment income (loss)* $ 0.00 $ 0.21 $ 0.19 $ 0.19 $ 0.16
Net realized and unrealized gain (loss) 2.87 1.57 (0.07) 0.29 0.66
Net increase (decrease) 2.87 1.78 0.12 0.48 0.82
Net asset value
Beginning of period 10.32 8.54 8.42 7.94 7.12
End of period $ 13.19 $ 10.32 $ 8.54 $ 8.42 $ 7.94
Total return(%)** 27.83% 20.84% 1.43 6.07 11.56
Ratio of expenses to average net assets (%) 0.00% 0.11% 0.11 0.19 0.20
Ratio of net investment income to average net
assets (%) 0.00% 2.13% 2.17 2.31 2.21
Portfolio turnover (%) 47 109 9 5 9
Net assets, end of year (000s) $515,570 $490,295 $277,080 $318,204 $154,010
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Net investment income per unit has been calculated using an average of
monthly units outstanding.
** Total return calculation is based on the value of a single unit of
participation outstanding throughout the entire period. 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 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.
<PAGE>
- -------
A-4
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Daily Government/
Corporate Bond Fund
Net investment income* $ 0.86 $ 0.80 $ 0.83 $ 0.78 $ 0.70
Net realized and unrealized gain (loss) (1.12) 0.38 0.32 (0.42) 1.17
Net increase (decrease) (0.26) 1.18 1.15 0.36 1.87
Net asset value
Beginning of year 14.18 13.00 11.85 11.49 9.62
End of year $ 13.92 $ 14.18 $ 13.00 $ 11.85 $ 11.49
Total return (%)** (1.83) 9.09% 9.70% 3.13% 19.44%
Ratio of expenses to average net assets (%)(a) 0.01% 0.01% 0.01% 0.01% 0.01%
Ratio of net investment income to average net
assets (%) 6.17% 5.89% 6.73% 6.82% 6.53%
Portfolio turnover (%) 824% 478% 294% 299% 611%
Net assets, end of year (000s) $4,807,644 $4,643,861 $4,273,490 $3,060,002 $1,991,393
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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 year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the 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.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Term Investment Fund
Net investment income $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
Net realized gain (loss)* 0.0000 0.0000 0.0000 0.0000 0.0000
Net change in net assets resulting from
operations $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
Distributions from net investment income $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
Total return (%)** 5.35 5.65 5.77 5.62 6.21
Ratio of expenses to average net assets
(%)*** - - - - -
Ratio of net investment income to average net
assets (%) 5.22 5.51 5.63 5.48 6.04
Net assets, end of year (000s) $22,958,561 $20,508,724 $18,563,057 $13,762,940 $12,393,148
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Zero amounts represent those which are less than $.00005 per unit.
** Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It assumes reinvestment of
distributions 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 of maintenance of individual participant
accounts.
*** Less than .005%
<PAGE>
- -------
A-5
- --------------------------------------------------------------------------------
EQUITY INDEX FUND AND LIFECYCLE FUND -
CONSERVATIVE AND LIFECYCLE FUND -
MODERATE: SEPARATE ACCOUNT
NOS. 195, 197 AND 198
Unit values and number of units outstanding for these Funds are shown below.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
INCEPTION
FOR THE YEARS ENDING DECEMBER 31, DATE
- ------------------------------------------------------------------------------------------------------------------------------
1993 1994 1995 1996 1997 1998 1999
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Index Fund 2/1/94
Unit Value - $ 9.71 $ 13.12 $ 15.91 $ 20.95 $ 26.65 $ 31.94
Number of units outstanding (000's) - 515 1,483 2,100 3,713 4,890 6,399
Lifecycle Fund - Conservative 5/1/95
Unit Value - - $ 10.59 $ 11.04 $ 12.13 $ 13.37 $ 14.06
Number of units outstanding (000's) - - 281 409 596 1,009 906
Lifecycle Fund - Moderate 5/1/95
Unit Value - - $ 11.01 $ 12.18 $ 14.14 $ 16.28 $ 18.23
Number of units outstanding (000's) - - 6,924 7,241 7,657 7,691 7,262
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
Table of contents of
statement of additional information
- -------
S-1
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
PAGE
Funding of the Program 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 State Street Funds SAI-11
Investment Restrictions Applicable to the Funds SAI-15
How We Determine the Unit Value for the Funds SAI-16
How We Value the Assets of the Funds SAI-16
How State Street Values the Assets of the
Underlying State Street Funds SAI-17
Transactions by the Underlying State Street Funds SAI-18
Investment Management Fee SAI-19
Underwriter SAI-19
Management: Equitable Life SAI-20
Management: State Street SAI-23
Financial Statements SAI-25
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,
2000 (State Street).
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Name
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Address
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Copyright 2000 by The Equitable Life Assurance Society of the United States. All
rights reserved.
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About Equitable Life
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The Equitable Life Assurance Society of the United States ("Equitable Life") is
the issuer of the group annuity contract that funds the Program. Equitable Life
also makes forms of plans and trusts available, and offers recordkeeping and
participant services to facilitate the operation of the Program.
Equitable Life is a New York stock life insurance corporation and has been doing
business since 1859. We are a wholly-owned subsidiary of AXA Financial, Inc.
(previously The Equitable Life Companies, Incorporated). The majority
shareholder of AXA Financial, Inc. is AXA, a French holding company for an
international group of insurance and related financial services companies. As a
majority shareholder, and under its other arrangements with Equitable Life and
Equitable Life's parent, AXA exercises significant influence over the operations
and capital structure of Equitable Life and its parent. No company other than
Equitable Life's related companies, however, have any legal responsibility to
pay amounts that Equitable Life owes under the contract.
Equitable Life manages over $462.7 billion in assets as of December 31, 1999.
For more than 100 years Equitable Life has been among the largest insurance
companies in the United States. We are licensed to sell life insurance and
annuities in all fifty states, the District of Columbia, Puerto Rico, and the
U.S. Virgin Islands. Our home office is located at 1290 Avenue of the Americas,
New York, NY 10104.
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HOW TO REACH US.
You can reach us as indicated below to obtain:
o Copies of any plans, trusts, participation agreements, enrollment or other
forms used in the Program.
o Unit values and other values under your plan.
o Any other information or materials that we provide in connection with the
Program.
INFORMATION ON JOINING THE PROGRAM
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BY PHONE:
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1-800-523-1125
(Retirement Program Specialists available weekdays
9am to 5pm Eastern Time)
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BY REGULAR MAIL:
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The ADA Members Retirement Program
c/o Equitable Life, Box 2011
Secaucus, NJ 07096
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BY REGISTERED, CERTIFIED, OR OVERNIGHT DELIVERY:
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The ADA Members Retirement Program
c/o Equitable Life
200 Plaza Drive, Second Floor
Secaucus, NJ 07094
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BY INTERNET:
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The ADA Members Retirement Program website www.equitable.com/ada, provides
information about the Program, as well as several interactive tools and
resources that can help answer some of your retirement planning questions. The
website also provides an email feature that can be accessed by clicking on
either "Contact Us" or "Send E-Mail to the Equitable."
INFORMATION ONCE YOU JOIN THE PROGRAM
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BY PHONE:
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1-800-223-5790 (Account Executives available weekdays 9am
to 5pm Eastern Time)
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TOLL-FREE AIM SYSTEM FOR AMOUNTS IN THE
TRUST:
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By calling 1-800-223-5790 you may, with your assigned personal security code,
use our Automated Investment Management ("AIM") System to:
o Transfer assets between investment options and obtain account information.
o Change the allocation of future contributions and maturing guaranteed
options.
o Hear investment performance information, including investment fund unit
values and current guaranteed option interest rates.
The AIM System operates 24 hours a day. You may speak with our Account
Executives during regular business hours about any matters covered by the AIM
System.
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BY INTERNET FOR AMOUNTS IN THE TRUST:
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By logging on to www.equitable.com/ada, Client Services you may, with your
social security number and your assigned personal security code, use the
Internet to access certain retirement account information such as:
o Investment performance, including investment fund unit
values, and current guaranteed option interest rates.
o Transfer between investment options and obtain account
information (available by the second half of 2000)
o Change the allocation of future contributions and maturing
guaranteed options (available by the second half of 2000)
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BY REGULAR MAIL:
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(correspondence): The ADA Members
Retirement Program
Box 2486 G.P.O.
New York, NY 10116
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FOR CONTRIBUTION CHECKS ONLY:
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The Association Members
Retirement Program
P.O. Box 1599
Newark, NJ 07101-9764
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FOR REGISTERED, CERTIFIED, OR OVERNIGHT
DELIVERY:
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The ADA Members
Retirement Program
c/o Equitable Life
200 Plaza Drive, 2B-55
Secaucus, NJ 07094
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BY E-MAIL:
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We welcome your comments and questions regarding the ADA Retirement Program. If
you have a comment or suggestion about the ADA website we would appreciate
hearing from you. Go to equitable.com/ada, Client Services and click on "Contact
Us" or click on "email the ADA Members Retirement Program."
No person is authorized by The Equitable Life Assurance Society of the United
States to give any information or make any representations other than those
contained in this prospectus and the SAI, or in other printed or written
material issued by Equitable Life. You should not rely on any other information
or representation.
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STATEMENT OF ADDITIONAL INFORMATION
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MAY 1, 2000
AMERICAN DENTAL ASSOCIATION
MEMBERS RETIREMENT PROGRAM
(STATE STREET)
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This Statement of Additional Information ("SAI") is not a prospectus. You
should read this SAI in conjunction with the prospectus dated May 1, 2000 for
the American Dental Association Members Retirement Program describing the
EQUITY INDEX FUND AND THE LIFECYCLE FUND-CONSERVATIVE AND THE LIFECYCLE
FUND-MODERATE.
A copy of the prospectus to which this SAI relates is available at no charge by
writing to the ADA Members Retirement Program at Box 2486 G.P.O., New York, New
York 10116 or by calling our toll-free telephone number 1-800-223-5790.
Definitions of special terms used in this SAI are found in the prospectus.
Certain of the cross references in this SAI are contained in the
prospectus dated May 1, 2000 to which this SAI relates.
CONTENTS OF THIS SAI
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PAGE IN SAI
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<S> <C>
The Program ......................................... SAI-2
Funding of the Program .............................. SAI-2
Your Responsibilities as Employer ................... SAI-2
Procedures for Withdrawals, Distributions and
Transfers ...................................... SAI-3
Pre-Retirement Withdrawals ..................... SAI-3
Benefit Distributions .......................... SAI-4
Eligible Rollover Distributions and Federal
Income Tax Withholding ....................... SAI-4
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-10
</TABLE>
<TABLE>
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PAGE IN SAI
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<S> <C>
Vesting ............................................. SAI-10
Additional Investment Policies and Techniques --
The Underlying State Street Funds ................. SAI-11
Investment Restrictions Applicable to the Funds ..... SAI-15
How We Determine Unit Value for the Funds ........... SAI-16
How We Value the Assets of the Funds ................ SAI-16
How State Street Values the Assets of the
Underlying State Street Funds ..................... SAI-17
Transactions by The Underlying State Street
Funds ............................................. SAI-18
Investment Management Fee ........................... SAI-19
Underwriter ......................................... SAI-19
Management: Equitable Life .......................... SAI-20
Management: State Street ............................ SAI-23
Financial Statements ................................ SAI-25
</TABLE>
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Copyright 2000 by The Equitable Life Assurance Society of The United States,
1290 Avenue of the Americas, New York, N.Y. 10104. All rights reserved.
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THE PROGRAM
The Program consists of the Master Plan, Self-Directed Prototype Plan and
Investment Only plans made available to members of the American Dental
Association and their eligible employees. The following information regarding
the Program is provided solely to provide a more complete understanding of how
the investment funds available under Equitable Life's group annuity contract
operate within the Program. In addition to issuing the group annuity contract
under which the investment funds are available, we also provide administrative
support, recordkeeping and marketing services in connection with the Program.
We provide these services pursuant to a administrative services agreement
between the ADA Trustees and Equitable Life. This agreement would normally
terminate when the group annuity contract with Equitable Life terminates.
FUNDING OF THE PROGRAM
The Program is primarily funded through a group annuity contract issued to the
ADA Trustees by Equitable Life. The contract governs the Investment Funds that
are provided by Equitable Life under the Program. The ADA Trustees hold all
contracts for the benefit of employers and participants in the Program.
The ADA Trustees and Equitable Life also have an administrative services
agreement for administrative support, recordkeeping and marketing services
provided by Equitable Life. This agreement would normally terminate when the
group annuity contract with Equitable Life terminates.
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
(including contribution type and fiscal year);
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
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o providing us with written instructions for allocating amounts in the
plan's forfeiture account.
If you, as an employer, have an individually designed plan, your
responsibilities will not be increased in any way by adopting 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 can provide guidance and assistance in the performance of your
responsibilities. If you have questions about any of your obligations, you can
contact our 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
generally may not receive a distribution prior to age 59 1/2, and employees
generally may not receive a distribution prior to separation from service.
However, if the Master Plan is maintained 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 the Master Plan is maintained 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 (except salary deferral amounts
if there is a successor plan).
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 "Tax Information" in the
prospectus.
We pay all benefit payments (including withdrawals due to plan terminations) in
accordance with the rules described below in the "Benefit Distributions"
discussion. We effect all other participant withdrawals as of the close of the
business day we receive the properly completed form.
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 Requirement" 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.
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Transfers and withdrawals from the Equity Index Fund may be delayed 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 delayed if there is any delay in redemption of units of the Lifecycle
Fund Group Trusts. We generally do not expect any such delays.
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 form. Benefit
payments will be made according to the provisions of your plan.
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." We will pay annuity payments directly to you and payments
will commence according to the provisions of your plan.
Transfers and withdrawals from the Equity Index Fund may be delayed 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 delayed 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 the
business 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 insurance 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.
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.
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 traditional individual retirement
arrangement (IRA). An "eligible rollover distribution" is generally 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 specified period of 10 years or more. In addition, the following are
not subject to mandatory 20% withholding:
o hardship withdrawals of salary deferred contributions from 401(k) plans;
o certain corrective distributions under Code Section 401(k) plans;
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o 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 we make a distribution 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", we will withhold
income tax 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, you may
select one or more of the following forms of distribution once you are eligible
to receive benefits. If your employer has adopted an individually designed plan
or a self-directed prototype profit sharing plan that does not offer annuity
benefits, not all of these distribution forms may be available to you. We
suggest you ask your employer what types of benefits are available under your
plan.
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 prior to the last death. THE LAW REQUIRES THAT IF THE
VALUE OF YOUR VESTED BENEFITS EXCEEDS $5,000, YOU MUST RECEIVE A QUALIFIED
JOINT AND SURVIVOR ANNUITY UNLESS YOUR SPOUSE CONSENTS IN WRITING TO A CONTRARY
ELECTION. Please see "Spousal Consent Requirements" below.
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 $5,000 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
investment options you designate, other than the Real Estate Fund; each payment
will be drawn pro rata from all the investment options you have selected. If
you die before receiving all the installments, we will make the remaining
payments to your beneficiary, subject to IRS minimum distribution rules and
beneficiary election. 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 prior
to your death.
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.
SAI-5
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JOINT AND SURVIVOR ANNUITY. An annuity providing monthly payments for your life
and that of your beneficiary. You may specify the percentage of the original
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 your 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.
FIXED AND VARIABLE ANNUITY CHOICES
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 ask our Account Executives for our
variable annuity prospectus supplement.
Fixed annuities will be issued by insurance companies selected by the ADA
Trustees from time to time. We do not currently offer fixed annuities under the
Program. Upon your request, the companies selected by the Trustees will provide
annuity benefit information. We have no further responsibility for the amount
used to purchase a fixed annuity once it has been sent to the insurance company
you select. The cost of a fixed annuity is determined by each issuing insurance
company. Your Account Executive has more details regarding the insurance
companies currently providing annuity benefits under the Program.
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: (1) the first day of the
plan year in which you attain age 35, or (2) 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 Survivor Annuity or designate your spouse as beneficiary, simply by
filing the appropriate form. Your spouse's consent is not required for this
revocation.
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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, with
respect to the waiver of the Qualified Joint and Survivor Annuity, the form of
distribution, but gives you the right to name any beneficiary, or 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 prototype
profit sharing plans that do not offer life annuity benefits.
PROVISIONS OF THE MASTER PLAN
PLAN ELIGIBILITY REQUIREMENTS. Under the Master Plan, the employer specifies
the eligibility requirements for its plan in the Adoption 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. We outline below the current federal income
tax rules relating to contributions under qualified retirement plans. This
outline assumes that you are not a participant in any other qualified
retirement plan.
The employer deducts contributions to the plan in the year it makes them. As a
general rule, an employer must make contributions for any year by the due date
(including extensions) for filing its Federal income tax return for that year.
However, Department of Labor ("DOL") rules generally require that the employer
contribute participants' salary deferrals (or post-tax employee contribution)
amounts under a 401(k) plan as soon as possible after the payroll period
applicable to a deferral. In any event, the employer must make these
contributions no later than the 15th business day of the month following the
month in which the employer withholds or receives participant contributions.
If the employer contributes more to the plan than it may deduct under the rules
we describe below, the employer (a) may be liable for a 10% penalty tax on that
nondeductible amount and (b) 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
discretionary contributions as it determines annually. The aggregate employer
contribution to the plan, including all participants' salary
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deferrals under a 401(k) arrangement, may not exceed 15% of all participants'
taxable compensation for the plan year. For plan purposes, compensation for
self-employed persons does not include deductible plan contributions on behalf
of the self-employed person.
A 401(k) arrangement is available as part of the profit sharing plan. Employees
may make pre-tax contributions to a plan under a 401(k) arrangement. The
maximum amount that highly compensated employees may contribute depends on (a)
the amount that non-highly compensated employees contribute and (b) the amount
the employer designates as a nonforfeitable 401(k) contribution. Different
rules apply to a SIMPLE 401(k) or safe harbor 401(k).
For 2000, a "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 1999. 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 $10,500 for 2000, reduced by that employee's
salary reduction contributions to simplified employee pension plans established
before 1997 (SARSEPs), SIMPLE plans, employee contributions to tax deferred
Section 403(b) arrangements, and contributions deductible by the employee under
a trust described under Section 501(c)(18) of the Internal Revenue Code. The
maximum amount a participant may defer in a SIMPLE 401(k) plan for 2000 is
$6,000.
Employers may adopt a safe harbor 401(k) arrangement. Under this arrangement,
an employer agrees to offer a matching contribution equal to (a) 100% of salary
deferral contributions or equal to up to 3% of compensation and (b) 50% of
salary deferral contributions that exceed 3% but are less than 5% of
compensation or a 2% non-elective contribution to all eligible employees. These
contributions must be non-forfeitable. If the employer makes these
contributions and meets the notice requirements for safe harbor 401(k) plans,
the plan is not subject to non-discrimination testing on salary deferral and
matching or non-elective contributions.
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 the Adoption Agreement specifies.
Under any type of plan, an employer must disregard compensation in excess of
$170,000 in 2000 in making contributions. An employer may integrate
contributions with Social Security. This means that contributions, for each
participant's compensation, that exceed the integration level may be greater
than contributions for compensation below the integration level. The Federal
tax law imposes limits on this excess. Your Account Executive can help you
determine the legally permissible contribution.
Contributions for non-key employees must be at least 3% of compensation (or,
under the profit sharing plan, the percentage the employer contributes for key
employees, if less than 3%). In 2000, "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 $67,500 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 (b), 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) on those contributions. Post-tax
contributions are subject to complex rules under which the maximum amount that
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a highly compensated employee may contribute depends on the amount that
non-highly employees contribute. BEFORE PERMITTING ANY HIGHLY-COMPENSATED
EMPLOYEE TO MAKE POST-TAX CONTRIBUTIONS, THE EMPLOYER SHOULD VERIFY THAT IT HAS
PASSED ALL NON-DISCRIMINATION TESTS. If an employer employs only "highly
compensated" employees (as defined above), the plan will not accept post-tax
contributions. In addition, the employer may make matching contributions to
certain plans, i.e., contributions based on the amount of post-tax or pre-tax
401(k) contributions that plan participants make. Special non-discrimination
rules apply to matching contributions. These rules may limit the amount of
matching contributions that an employer may make for highly compensated
employees. These non-discrimination rules for matching contributions do not
apply to SIMPLE and safe harbor 401(k) plans.
Contributions (including forfeiture amounts) for each participant may not
exceed the lesser of (a) $30,000 and (b) 25% of the participant's earnings
(excluding, in the case of self-employed persons, all deductible plan
contributions). The participant's post-tax contributions count toward 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 SIMPLE employer, safe harbor
non-elective, safe harbor matching and employer matching contributions. We will
also account separately for any amounts rolled over from a previous employer's
plan. 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 the participant's
account balance in each investment option attributable to each type of
contribution. Based on information that you supply, we will run the required
special non-discrimination tests (Actual Deferral Percentage and Actual
Contribution Percentage) applicable to (a) 401(k) plans (other than SIMPLE
401(k) and safe harbor 401(k)) and (b) plans that accept post-tax employee
contributions or employer matching contributions.
Non-discrimination tests do not apply to SIMPLE 401(k) plans, if the employer
makes (a) a matching contribution equal to 100% of the amount each participant
deferred, up to 3% of compensation, or (b) a 2% non-elective contribution to
all eligible employees. The employer must also follow the notification and
filing requirements outlined in the SIMPLE 401(k) model amendment to the Master
Plan to avoid non-discrimination tests.
Under a SIMPLE 401(k) the employer must offer all eligible employees the
opportunity to defer part of their salary into the plan and make either a
matching or non-elective contribution. The matching contribution must be 100%
of the salary deferral amount up to 3% of compensation. The non-elective
contribution is 2% of compensation, the employer must make it for all eligible
employees, even those not deferring. The matching or non-elective contribution
must be non-forfeitable. The employer must notify employees which contribution
the employer will make 60 days before the beginning of the year.
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. You, as employer or participant, may allocate
contributions among any number of the investment options. You may change
allocation instructions at any time, and as often as
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needed, by calling the AIM System or accessing the website on the Internet. 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
automatically apply to any 401(k) qualified non-elective contributions,
qualified matching contributions employer matching contributions SIMPLE
employer, safe harbor non-elective and safe harbor matching contributions. Your
allocation percentages for employee contributions 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. You may, of course, transfer to another
investment option at any time.
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, (a) make a broad range of
investment choices available to participants and beneficiaries and (b) provide
them with adequate information to make informed investment decisions. The
Investment Options and documentation available under the ADA Program provide
the broad range of investment choices and information needed in order to meet
the requirements of Section 404(c). However, while our suggested summary plan
descriptions, annual reports, prospectuses, and confirmation notices provide
the required investment information, the employer is responsible for
distributing this information in a timely manner to participants and
beneficiaries. You should read this information carefully before making your
investment decisions.
VESTING. Vesting refers to the participant's rights with respect to that
portion of a participant's Account Balance attributable to employer
contributions under the Master Plan. If a participant is "vested," the amount
or benefit in which the participant is vested belongs to the participant, and
may not be forfeited. The participant's Account Balance attributable to (a)
401(k) contributions (including salary deferral, qualified non-elective and
qualified matching contributions), (b) post-tax employee contributions and (c)
rollover contributions always belong to the participant, and is nonforfeitable
at all times.
A participant becomes 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 vested under the plan's vesting schedule are forfeited. The
normal retirement age is 65 under the Master Plan unless the employer elects a
lower age on its adoption agreement.
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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 in the
plan, the plan 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 rule, however, does not apply to employer and
matching contributions made to a plan before the plan is amended to become a
SIMPLE 401(k) plan. Non-elective and matching contributions required under a
safe harbor 401(k) arrangement are 100% vested and not subject to the vesting
schedule above.
ADDITIONAL INVESTMENT POLICIES AND TECHNIQUES -- THE UNDERLYING STATE STREET
FUNDS
The following discussion supplements the discussion of the investment policies
and techniques of the Underlying State Street 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 State Street Funds. As a general matter,
you should note that the S&P 500 Flagship Fund, the Russell 2000 Fund, and the
Daily EAFE Non-Lending Fund are index funds and, therefore, not "actively"
managed like other collective investment funds. Each of these Underlying State
Street 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
State Street Funds were actively managed.
U.S. GOVERNMENT SECURITIES. The Underlying State Street 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. Obligations issued or guaranteed by U.S. Government agencies
and instrumentalities are supported in one of the following ways: (a) by the
full faith and credit of the U.S. Treasury; (b) by the right of the issuer to
borrow from the Treasury; (c) by discretionary authority of the U.S. Government
to purchase certain obligations of the agency or instrumentality; or (d) 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.
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FOREIGN GOVERNMENT OBLIGATIONS; SECURITIES OF SUPRANATIONAL ENTITIES. Certain
of the Underlying State Street Funds may invest in obligations issued or
guaranteed by one or more foreign governments or any of their political
subdivisions, agencies or instrumentalities, if State Street determines that
the obligations are of comparable quality to the other obligations in which
such Underlying State Street 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
State Street 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 State Street 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
State Street 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.
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 State Street 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
State Street 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 State Street 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 State Street Fund.
REPURCHASE AGREEMENTS. The Underlying State Street Funds may enter into
repurchase agreements. Repurchase agreements involve the acquisition of an
underlying debt instrument, subject to an obligation
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of the seller to repurchase, and to resell, the instrument at a fixed price
usually not more than one week after its purchase. An Underlying State Street
Fund may incur certain costs 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
State Street Fund may be delayed or limited. Each Underlying State Street 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 State Street 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, the Underlying
State Street Funds do not contemplate 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 State Street 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 State
Street 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.
FUTURES CONTRACTS. To the extent permitted by applicable regulations, an
Underlying State Street Fund is permitted to use financial futures as a
substitute for a comparable market position in the underlying securities.
An Underlying State Street 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 State Street 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 State
Street 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.
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Although an Underlying State Street 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 State Street Fund to substantial losses.
INTEREST RATE AND EQUITY INDEX SWAPS. An Underlying State Street 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 State Street
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 State Street 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 an Underlying State
Street Fund may enter into. The risk of loss with respect to swaps is generally
limited to the net amount of payments that the Underlying State Street Fund is
contractually obligated to make. If the other party to a swap defaults, the
Underlying State Street Fund's risk of loss consists of the net amount of
payments that the Underlying State Street Fund contractually is entitled to
receive.
FOREIGN CURRENCY TRANSACTIONS. An Underlying State Street 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.
LENDING PORTFOLIO SECURITIES. An Underlying State Street Fund may lend
securities to brokers, dealers and other financial institutions. The Underlying
State Street Fund will receive collateral of at least 100% cash, letters of
credit or U.S. government securities. The Underlying State Street Fund can
increase its income through the investment of the collateral as well as the
interest receivable on the loan. An Underlying State Street Fund might
experience a loss if the institution with which it has engaged in a portfolio
loan transaction breaches its agreement.
SAI-14
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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 State Street Fund
will rely on State Street's judgment, analysis and experience in evaluating the
creditworthiness of an issuer.
INVESTMENT RESTRICTIONS APPLICABLE TO THE FUNDS
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 Life
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 STATE STREET 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
State Street 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 State Street 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 State Street 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 State Street 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 (a) secure any permitted borrowings, (b) engage in transactions
that involve the purchase of securities on a when-issued or forward
commitment basis, (c) deposit assets in escrow in connection with writing
covered put and call options, and (d) 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.
SAI-15
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(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 State Street 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 State Street Fund invests. This limit, however, may
not be exceeded as a result of investments made by an Underlying State
Street Fund.
(7) Purchase or sell commodities or commodity futures contracts, except that
an Underlying State Street Fund may enter into futures contracts to the
extent provided in such Underlying State Street 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 WE DETERMINE UNIT VALUE FOR THE FUNDS
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.
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.
HOW WE VALUE THE ASSETS OF THE FUNDS
The Equity Index Fund will invest all of its assets in the SSgA S&P 500 Index
Fund. The Equity Index Fund's investments in the SSgA S&P 500 Index Fund will
be valued at the underlying mutual fund's net
SAI-16
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asset value per share. 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
Lifecycle Trusts, in turn, will invest all of their assets in the Underlying
State Street Funds. 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 State
Street Funds will be valued at the Underlying State Street Fund's net asset
value per unit. The units of each Underlying State Street 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.
The method of valuing the assets of each Underlying State Street Fund is
discussed below.
HOW STATE STREET VALUES THE ASSETS OF THE UNDERLYING STATE STREET FUNDS
State Street values the assets of each Underlying State Street Fund, other than
the STIF Fund, 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.
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.
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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.
TRANSACTIONS BY THE UNDERLYING STATE STREET FUNDS
This section discusses the procedures followed by the Underlying State Street
Funds, with respect to the buying and selling of portfolio securities for these
Funds. In connections with such transactions, the Underlying State Street Funds
pay brokerage commissions, transfer taxes, and other fees.
Decisions to buy or sell securities for the Underlying State Street Funds are
made by State Street in accordance with the investment policies and
restrictions of each Underlying State Street 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, State Street
allocates the amount of each transaction 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 State Street 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
SAI-18
<PAGE>
- --------------------------------------------------------------------------------
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 State Street Fund.
State Street periodically will review the brokerage commissions paid by an
Underlying State Street 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 State Street Fund other than that for which the
transaction was executed. Conversely, any given Underlying State Street Fund
may be the primary beneficiary of the service received as a result of portfolio
transactions effected for such other accounts or Underlying State Street 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
State Street is the investment adviser to the SSgA S&P 500 Index Fund, the
underlying mutual fund in which the Equity Index Fund invests. No investment
management fee was paid to State Street in 1999 with respect to the Program's
investment in the SSgA S&P 500 Index Fund through the Equity Index Fund.
UNDERWRITER
AXA Advisors, Inc. (formerly EQ Financial Consultants, Inc.), an affiliate of
Equitable Life, may be deemed to be the principal underwriter of separate
account units under the group annuity contract. AXA Advisors 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. AXA Advisor's principal business
address is 1290 Avenue of the Americas, New York, NY 10104. 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 State Street Funds.
SAI-19
<PAGE>
- --------------------------------------------------------------------------------
MANAGEMENT: EQUITABLE LIFE
We are managed by a Board of Directors which is elected by our
shareholder(s). Our directors and certain of our executive officers and their
principal occupations are as follows. Unless otherwise indicated, the following
persons have been involved in the management of Equitable and/or its affiliates
in various executive positions during the last five years.
<TABLE>
<S> <C>
Francoise Colloc'h Member of the AXA Management Board and Group Executive
President, Human Resources, Communication and Synergies of AXA.
Henri de Castries Chairman of the Board, AXA Financial; Vice Chairman, AXA's
Management Board.
Joseph L. Dionne Retired Chairman and Chief Executive Officer, The McGraw-Hill
Companies.
Denis Duverne Executive Vice President, International AXA; member, AXA Executive
Board.
Jean-Rene Fourtou Vice Chairman of the Management Board, Aventis; prior thereto,
Chairman and Chief Executive Officer, Rhone-Poulenc, S.A.
Norman C. Francis President, Xavier University of Louisiana.
Donald J. Greene Of Counsel, LeBoeuf, Lamb, Greene & MacRae, L.L.P.; prior thereto,
Partner of the firm.
John T. Hartley Director and retired Chairman and Chief Executive Officer, Harris
Corporation.
John H. F. Haskell, Jr. Senior Advisor, Warburg, Dillon Read LLC; prior thereto, Managing
Director and member of the Board of Directors.
Mary (Nina) Henderson Corporate Vice President, Core Business Development of Bestfoods
(formerly CPC International, Inc.); prior thereto, Vice President and
President, Bestfoods Grocery.
W. Edwin Jarmain President, Jarmain Group Inc.
George T. Lowy Partner, Cravath, Swaine & Moore.
Didier Pineau-Valencienne Vice Chairman, Credit Suisse First Boston; Honorary Chairman,
Schneider Electric; prior thereto, Chairman and Chief Executive Officer.
George J. Sella, Jr. Retired Chairman and Chief Executive Officer, American Cyanamid
Company.
Peter J. Tobin Dean, Peter J. Tobin College of Business Administration, St. John's
University; prior thereto, Chief Financial Officer, Chase Manhattan
Corp.
Dave H. Williams Chairman, Alliance Capital Management; prior thereto, Chief Executive
Officer.
</TABLE>
SAI-20
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Michael Hegarty President and Chief Operating Officer of Equitable Life; Senior Vice
Chairman and Chief Operating Officer, AXA Financial, Inc.; prior
thereto, Vice Chairman, Chase Manhattan Corporation.
Edward D. Miller Chairman of the Board and Chief Executive Officer, Equitable Life;
former Senior Vice Chairman of Chase Manhattan Corporation; prior
thereto, President and Senior Vice Chairman of Chemical Bank.
Stanley B. Tulin Vice Chairman of the Board and Chief Financial Officer of Equitable
Life; prior thereto, Senior Executive Vice President of AXA Financial,
Inc. and Chairman of the Insurance Consulting and Actuarial Practice of
Coopers & Lybrand, L.L.P.
Leon B. Billis Executive Vice President and Chief Information Officer.
Derry E. Bishop Executive Vice President and Chief Agency Officer, Equitable Life and
AXA Client Solutions; Director and Executive Vice President, AXA
Advisors, LLC.
Harvey Blitz Senior Vice President of Equitable and of AXA Financial, Inc.;
Executive Vice President, AXA Advisors, LLC.
Kevin R. Byrne Senior Vice President and Treasurer, Equitable Life, AXA Financial,
Inc., AXA Client Solutions, LLC, Equitable Distributors and Equitable
of Colorado.
John A. Caroselli Executive Vice President; prior thereto, Senior Vice President, Chase
Manhattan Corp.
Judy A. Faucett Senior Vice President and Actuary; prior thereto, Partner and Senior
Actuarial Consultant of Coopers & Lybrand L.L.P.
Alvin H. Fenichel Senior Vice President and Controller, Equitable Life and AXA
Financial, Inc.
Paul J. Flora Senior Vice President and Auditor; Vice President and Auditor, AXA
Financial, Inc.
Robert E. Garber Executive Vice President and Chief Legal Officer; General Counsel,
AXA Financial, Inc.
Donald R. Kaplan Senior Vice President, Chief Compliance Officer and Associate General
Counsel.
Michael S. Martin Executive Vice President and Chief Marketing Officer; Chairman and
Chief Executive Officer, AXA Advisors LLC; President, Equitable of
Colorado.
Richard J. Matteis Executive Vice President; prior thereto, Executive Vice President Chase
Manhattan Corp.
</TABLE>
SAI-21
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Peter D. Noris Executive Vice President and Chief Investment Officer, Equitable Life
and AXA Financial, Inc.; Chairman, President and Trustee of EQ
ADVISORS TRUST; Executive Vice President of AXA Client Solutions
and Equitable of Colorado; Chief Investment Officer of Equitable of
Colorado.
Brian S. O'Neil Executive Vice President of Equitable Life, AXA Financial, Inc. and
AXA Client Solutions.
Anthony C. Pasquale Senior Vice President of Equitable Life and AXA Client Solutions;
Chairman and Chief Operating Officer, Casualty.
Pauline Sherman Senior Vice President, Secretary and Associate General Counsel of
Equitable Life, AXA Financial, Inc. and AXA Client Solutions; Senior
Vice President and Secretary, Equitable of Colorado.
Richard V. Silver Senior Vice President and General Counsel, Equitable Life; Senior Vice
President and Associate General Counsel, AXA Financial, Inc. and
AXA Client Solutions; Vice President and General Counsel, Equitable
of Colorado.
Jose S. Suquet Senior Executive Vice President and Chief Distribution Officer,
Equitable Life and AXA Client Solutions; Chairman, EDI.
Gregory G. Wilcox Executive Vice President, Equitable Life and AXA Financial, Inc.
R. Lee Wilson Executive Vice President, Equitable Life and AXA Client Solutions.
</TABLE>
SAI-22
<PAGE>
- --------------------------------------------------------------------------------
MANAGEMENT: 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>
DIRECTOR'S NAME PRINCIPAL OCCUPATION
- --------------------------- ------------------------------------------------------------------
<S> <C>
Tenley E. Albright, M.D. Chairman, Western Resources, Inc.
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
David P. Gruber Retired Chairman and CEO,
Wyman-Gordon Company
Charles F. Kaye* Chairman,
Transportation Investments, Inc.
John M. Kucharski Retired Chairman and CEO,
EG&G, Inc.
Charles R. LaMantia Retired Chairman and CEO,
Arthur D. Little, Inc.
David B. Perini Retired Chairman,
Perini Corporation
Dennis J. Picard Chairman Emeritus,
Raytheon Company
Alfred Poe Chairman and CEO, Menu Direct Corporation
Bernard W. Reznicek President, Premier Group; National Director -- Utility Marketing,
Central States Indemnity Company of Omaha
Richard P. Sergel President and CEO,
New England Electric System
Diana Chapman Walsh President, Wellesley College
Robert E. Weissman Chairman and CEO, IMS Health Incorporated
</TABLE>
- ----------
* Retired from State Street Corporation Board, April 1999.
SAI-23
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OFFICER-DIRECTOR'S NAME PRINCIPAL OCCUPATION
- ------------------------ -------------------------------------------------------
<S> <C>
Marshall N. Carter Chairman and CEO, State Street Corporation
David A. Spina President and Chief Operating Officer
State Street Bank Corporation
William S. Edgerly Chairman Emeritus, State Street Corporation, 1976-1992
</TABLE>
<TABLE>
<CAPTION>
OTHER OFFICERS NAMES PRINCIPAL OCCUPATION*
- ---------------------- ---------------------------------------------
<S> <C>
Maureen S. Bateman Executive Vice President and General Counsel
Joseph W. Chow Executive Vice President
Susan Comeau Executive Vice President
John A. Fiore Executive Vice President and CIO
Timothy B. Harbert Executive Vice President
Ronald E. Logue Vice Chairman
Nicholas A. Lopardo Vice Chairman
Ronald O'Kelley Executive Vice President, CFO and Treasurer,
Albert E. Peterson Executive Vice President
Stanley W. Shelton Executive Vice President
John R. Towers Executive Vice President
</TABLE>
- ----------
* All positions are with State Street Bank and Trust Company.
SAI-24
<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
Separate Account Nos. 195, 197 and 198 or the Underlying Funds. The financial
statements of Separate Account Nos. 195, 197 and 198 reflect applicable fees,
charges and other expenses under the Program as in effect during the periods
covered.
<TABLE>
<S> <C>
SEPARATE ACCOUNT NOS. 195, 197 AND 198:
Report of Independent Accountants .................................................... SAI-28
Separate Account No. 195 (Equity Index Fund):
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-29
Statement of Operations for Year Ended December 31, 1999 ............................. SAI-30
Statements of Changes in Net Assets for the Years Ended December 31, 1999 and 1998 ... SAI-31
Separate Account No. 197 (Lifecycle Fund -- Conservative):
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-32
Statement of Operations for Year Ended December 31, 1999 ............................. SAI-33
Statement of Changes in Net Assets for the Year Ended December 31, 1999 and 1998 ..... SAI-34
Separate Account No. 198 (Lifecycle Fund -- Moderate):
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-35
Statement of Operations for Year Ended December 31, 1999 ............................. SAI-36
Statement of Changes in Net Assets for the Year Ended December 31, 1999 and 1998 ..... SAI-37
Separate Account Nos. 195, 197 and 198:
Notes to Financial Statements ........................................................ SAI-38
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Report of Independent Accountants .................................................... SAI-39
Consolidated Balance Sheets, December 31, 1999 and 1998 .............................. SAI-40
Consolidated Statements of Earnings for the Year Ended December 31, 1999, 1998 and SAI-41
1997
Consolidated Statements of Shareholders' Equity and Comprehensive Income for the Years
Ended December 31, 1999, 1998 and 1997.............................................. SAI-42
Consolidated Statements of Cash Flows for the Years Ended December 31, 1999, 1998 and SAI-43
1997
Notes to Consolidated Financial Statements ........................................... SAI-44
</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 Fund invest.
<TABLE>
<S> <C>
STATE STREET BANK AND TRUST COMPANY --
LIFECYCLE FUND GROUP TRUST -- CONSERVATIVE
Report of Independent Accountants .................................................... SAI-79
Lifecycle Fund Group Trust -- Conservative:
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-80
Statement of Operations for Year Ended December 31, 1999 ............................. SAI-81
Statement of Changes in Net Assets for the Year Ended December 31, 1999 and December SAI-82
31, 1998
Selected Per Unit Data ............................................................... SAI-83
Notes to Financial Statements ........................................................ SAI-84
STATE STREET BANK AND TRUST COMPANY --
LIFECYCLE FUND GROUP TRUST -- MODERATE
Report of Independent Accountants -- ................................................. SAI-87
Lifecycle Fund Group Trust -- Moderate:
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-88
Statement of Operations for the Year Ended December 31, 1999 ......................... SAI-89
Statement of Changes in Net Assets for the Year Ended December 31, 1999 and December SAI-90
31, 1998
Selected Per Unit Data ............................................................... SAI-91
Notes to Financial Statements ........................................................ SAI-92
</TABLE>
SAI-25
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATE STREET BANK AND TRUST COMPANY -- UNDERLYING FUNDS
FLAGSHIP FUND
Report of Independent Accountants -- ................................................. SAI-95
S&P 500 Flagship Fund and S&P 500 Index Fund with Futures:
Combined Statement of Assets and Liabilities, December 31, 1999 ...................... SAI-96
Combined Statement of Operations for the Year Ended December 31, 1999 ................ SAI-97
Combined Statement of Changes in Net Assets for the Year Ended December 31, 1999 and SAI-98
1998
S&P 500 Index Fund with Futures Selected Per Unit Data ............................... SAI-99
S&P 500 Flagship Fund Selected Per Unit Data ......................................... SAI-100
Combined Schedule of Investments, December 31, 1999 .................................. SAI-101
Notes to Combined Financial Statements ............................................... SAI-115
RUSSELL 2000 FUND
Report of Independent Accountants -- ................................................. SAI-119
Russell 2000 Fund and Russell 2000 Non-Lending Fund:
Combined Statement of Asset and Liabilities, December 31, 1999 ....................... SAI-120
Combined Statement of Operations for the Year Ended December 31, 1999 ................ SAI-121
Combined Statement of Changes in Net Assets for the Years Ended December 31, 1999 and SAI-122
1998
Selected Per Unit Data ............................................................... SAI-123
Combined Schedule of Investments ..................................................... SAI-125
Notes to Combined Financial Statements ............................................... SAI-163
</TABLE>
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 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
investment again.
<TABLE>
<S> <C>
DAILY EAFE FUND
Report of Independent Accountants -- ................................................. SAI-167
Daily EAFE Securities Lending Fund and Daily EAFE Non-Lending:
Combined Statement of Assets and Liabilities, December 31, 1999 ...................... SAI-168
Combined Statement of Operations for the Year Ended December 31, 1999 ................ SAI-169
Combined Statement of Changes in Net Assets for the Year Ended December 31, 1999 and SAI-170
1998
Selected Per Unit Data ............................................................... SAI-171
Combined Schedule of Investments, December 31, 1999 .................................. SAI-172
Notes to Combined Financial Statements ............................................... SAI-175
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Report of Independent Accountants .................................................... SAI-179
Daily MSCI Europe Index Securities Lending Fund and Daily
MSCI Europe Index Fund:
Combined Statement of Assets and Liabilities, December 31, 1999 ...................... SAI-180
Combined Statement of Operations for the Year Ended December 31, 1999 ................ SAI-181
Combined Statement of Changes in Net Assets .......................................... SAI-182
Daily MSCI Europe Index Securities Lending Fund Selected Per Unit Data ............... SAI-183
Daily MSCI Europe Index Fund Selected Per Unit Data .................................. SAI-184
Combined Schedule of Investments ..................................................... SAI-185
Notes to Combined Financial Statements ............................................... SAI-203
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Report of Independent Accounts ....................................................... SAI-206
Daily MSCI Japan Index Securities Lending Fund and Daily
MSCI Japan Index Fund
Combined Statement of Assets and Liabilities, December 31, 1999 ...................... SAI-207
Combined Statement of Operations for the Year Ended December 31, 1999 ................ SAI-208
</TABLE>
SAI-26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Combined Statement of Changes in Net Assets for the Years Ended December 31, 1999 and SAI-209
1998
Daily MSCI Japan Index Securities Lending Fund Selected Per Unit Data ................ SAI-210
Daily MSCI Japan Index Fund Selected Per Unit Data for the Years Ended December 31, SAI-211
1999 and 1998
Combined Schedule of Investments ..................................................... SAI-212
Notes to Combined Financial Statements ............................................... SAI-221
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Report of Independent Accountants .................................................... SAI-224
Daily MSCI Pacific Basin ex-Japan Index Securities Lending Fund
Daily MSCI Pacific Basin ex-Japan Index Fund
Combined Statement of Assets and Liabilities, December 31, 1999 ...................... SAI-225
Combined Statement of Operations for the year Ended December 31, 1999 ................ SAI-226
Combined Statement of Changes in Net Assets .......................................... SAI-227
Daily MSCI Pacific Basin ex-Japan Index Securities Lending Fund Selected Per Unit SAI-228
Data
Daily MSCI Pacific Basin ex-Japan Index Selected Per Unit Data ....................... SAI-229
Combined Schedule of Investments ..................................................... SAI-230
Notes to Financial Statements ........................................................ SAI-235
GC BOND FUND
Report of Independent Accountants -- ................................................. SAI-238
Daily Government/Corporate Fund:
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-239
Statement of Operations for the Year Ended December 31, 1999 ......................... SAI-240
Statement of Changes in Net Assets for the Years Ended December 31, 1999 and 1998 .... SAI-241
Selected Per Unit Data ............................................................... SAI-242
Schedule of Investments, December 31, 1999 ........................................... SAI-243
Notes to Financial Statements ........................................................ SAI-252
STIF FUND
Report of Independent Accountants -- ................................................. SAI-256
Short-Term Investment Fund:
Statement of Assets and Liabilities, December 31, 1999 ............................... SAI-257
Statement of Operations for the Year Ended December 31, 1999 ......................... SAI-258
Statement of Changes in Net Assets for the Year Ended December 31, 1999 and 1998 ..... SAI-259
Selected Per Unit Data ............................................................... SAI-260
Schedule of Investments, December 31, 1999 ........................................... SAI-261
Notes to Financial Statements ........................................................ SAI-267
</TABLE>
SAI-27
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of
The Equitable Life Assurance Society of the United States
and the Contractowners of Separate Account Nos. 195, 197 and 198
of the Equitable Life Assurance Society of the United States
In our opinion, the accompanying statements of assets and liabilities, and the
related statements of operations and changes in net assets and the selected per
unit data (included under Condensed Financial Information in the prospectus of
the American Dental Association Members Retirement Program) present fairly, in
all material respects, the financial position of Separate Account Nos. 195 (The
Equity Index Fund), 197 (The Lifecycle Fund-Conservative) and 198 (The
Lifecycle Fund-Moderate) of The Equitable Life Assurance Society of the United
States ("Equitable Life") at December 31, 1999, the results of each of their
operations for the year then ended, changes in each of their net assets for the
two years then ended, and the selected per unit data for the periods presented,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and the selected per unit data
(hereafter referred to as "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 auditing standards generally
accepted in the United States of America, 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 shares owned in the
underlying mutual funds with the transfer agents at December 31, 1999, provide
a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 1, 2000
SAI-28
<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, 1999
<TABLE>
<S> <C>
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investments in 8,014,091 shares of The SSgA S&P 500 Index Fund -- at value (cost: $204,565,530
- ------------------------------------------------------------------------------------------ ------------
$173,323,962) (Note 2)
- ------------------------------------------------------------------------------------------
LIABILITIES:
Accrued expenses ......................................................................... 189,336
- ------------------------------------------------------------------------------------------- ------------
NET ASSETS ............................................................................... $204,376,194
=========================================================================================== ============
</TABLE>
See Notes to Financial Statements.
SAI-29
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 195
(THE EQUITY INDEX FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Operations
Year Ended December 31, 1999
<TABLE>
<S> <C>
- ----------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 2):
Dividends from The SSgA S&P 500 Index Fund ............................ $ 2,745,929
- ------------------------------------------------------------------------ ------------
EXPENSES (NOTE 3):
Accrued expenses ...................................................... (1,410,531)
Operating expenses .................................................... (205,893)
- ------------------------------------------------------------------------ ------------
Total expenses ........................................................ (1,616,424)
- ------------------------------------------------------------------------ ------------
Net investment income ................................................. 1,129,505
- ------------------------------------------------------------------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Realized gain from share transactions ................................. 9,010,089
Realized gain distribution from The SSgA S&P 500 Index Fund ........... 5,240,487
Change in unrealized appreciation/depreciation of investments ......... 17,690,654
- ------------------------------------------------------------------------ ------------
Net Realized and Unrealized Gain on Investments ....................... 31,941,230
- ------------------------------------------------------------------------ ------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO OPERATIONS ................. $ 33,070,735
======================================================================== ============
</TABLE>
See Notes to Financial Statements.
SAI-30
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 195
(THE EQUITY INDEX FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1999 1998
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income ..................................................... $ 1,129,505 $ 792,833
Net realized gain on investments .......................................... 14,250,576 19,159,197
Change in unrealized appreciation/depreciation of investments ............. 17,690,654 4,685,166
- ---------------------------------------------------------------------------- ------------- -------------
Net increase in net assets attributable to operations ..................... 33,070,735 24,637,196
- ---------------------------------------------------------------------------- ------------- -------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions ............................................................. 118,408,828 92,337,489
Withdrawals ............................................................... (77,428,296) (64,460,022)
- ---------------------------------------------------------------------------- ------------- -------------
Net increase in net assets attributable to contributions and withdrawals .. 40,980,532 27,877,467
- ---------------------------------------------------------------------------- ------------- -------------
INCREASE IN NET ASSETS .................................................... 74,051,267 52,514,663
NET ASSETS -- BEGINNING OF YEAR ........................................... 130,324,927 77,810,264
- ---------------------------------------------------------------------------- ------------- -------------
NET ASSETS -- END OF YEAR ................................................. $ 204,376,194 $ 130,324,927
============================================================================ ============= =============
</TABLE>
See Notes to Financial Statements.
SAI-31
<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, 1999
<TABLE>
<S> <C>
- ---------------------------------------------------------------------------------------------------------
ASSETS:
Investments in 842,999 shares of The Lifecycle Fund Group Trust Conservative -- at value
(cost: $11,836,299) (Note 2) ............................................................ $12,797,086
- ------------------------------------------------------------------------------------------- -----------
LIABILITIES:
Accrued expenses ......................................................................... 53,647
- ------------------------------------------------------------------------------------------- -----------
NET ASSETS ............................................................................... $12,743,439
=========================================================================================== ===========
</TABLE>
See Notes to Financial Statements.
SAI-32
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 197
(THE LIFECYCLE FUND -- CONSERVATIVE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Operations
Year Ended December 31, 1999
<TABLE>
<S> <C>
- -------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 2):
Dividends from The Lifecycle Fund Group Trust -- Conservative ......... $ --
- ------------------------------------------------------------------------ ----------
EXPENSES (NOTE 3):
Asset and investment management fees .................................. (108,084)
Operating expenses .................................................... (59,269)
- ------------------------------------------------------------------------ ----------
Total expenses ........................................................ (167,353)
- ------------------------------------------------------------------------ ----------
Net investment loss ................................................... (167,353)
- ------------------------------------------------------------------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Realized gain from share transactions ................................. 651,553
Change in unrealized appreciation/depreciation of investments ......... 163,228
- ------------------------------------------------------------------------ ----------
Net Realized and Unrealized Gain on Investments ....................... 814,781
- ------------------------------------------------------------------------ ----------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO OPERATIONS ................. $ 647,428
======================================================================== ==========
</TABLE>
See Notes to Financial Statements.
SAI-33
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 197
(THE LIFECYCLE FUND -- CONSERVATIVE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment loss .................................................................. $ (167,353) $ (138,799)
Net realized gain on investments ..................................................... 651,553 915,776
Change in unrealized appreciation/depreciation of investments ........................ 163,228 283,341
- --------------------------------------------------------------------------------------- ------------ ------------
Net increase in net assets attributable to operations ................................ 647,428 1,060,318
- --------------------------------------------------------------------------------------- ------------ ------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions ........................................................................ 8,067,257 13,680,884
Withdrawals .......................................................................... (9,461,925) (8,477,279)
- --------------------------------------------------------------------------------------- ------------ ------------
Net increase (decrease) in net assets attributable to contributions and withdrawals .. (1,394,668) 5,203,605
- --------------------------------------------------------------------------------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS .................................................... (747,240) 6,263,923
NET ASSETS -- BEGINNING OF YEAR ...................................................... 13,490,679 7,226,756
- --------------------------------------------------------------------------------------- ------------ ------------
NET ASSETS -- END OF YEAR ............................................................ $ 12,743,439 $ 13,490,679
======================================================================================= ============ ============
</TABLE>
See Notes to Financial Statements.
SAI-34
<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, 1999
<TABLE>
<S> <C>
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investments in 6,929,332 shares of The Lifecycle Fund Group Trust Moderate -- at value
(cost: $91,640,857) (Note 2) ............................................................ $132,765,667
- ------------------------------------------------------------------------------------------- ------------
LIABILITIES:
Accrued expenses ......................................................................... 373,906
- ------------------------------------------------------------------------------------------- ------------
NET ASSETS ............................................................................... $132,391,761
=========================================================================================== ============
</TABLE>
See Notes to Financial Statements.
SAI-35
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 198
(THE LIFECYCLE FUND -- MODERATE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statement of Operations
Year Ended December 31, 1999
<TABLE>
<S> <C>
- ---------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 2):
Dividends from The Lifecycle Fund Group Trust -- Moderate ............. $ --
- ------------------------------------------------------------------------ ------------
EXPENSES (NOTE 3):
Asset and investment management fees .................................. (1,027,111)
Operating expenses .................................................... (213,587)
- ------------------------------------------------------------------------ ------------
Total expenses ........................................................ (1,240,698)
- ------------------------------------------------------------------------ ------------
Net investment loss ................................................... (1,240,698)
- ------------------------------------------------------------------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Realized gain from share transactions ................................. 8,703,187
Change in unrealized appreciation/depreciation of investments ......... 7,388,385
- ------------------------------------------------------------------------ ------------
Net Realized and Unrealized Gain on Investments ....................... 16,091,572
- ------------------------------------------------------------------------ ------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO OPERATIONS ................. $ 14,850,874
======================================================================== ============
</TABLE>
See Notes to Financial Statements.
SAI-36
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 198
(THE LIFECYCLE FUND -- MODERATE)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment loss .................................................................. $ (1,240,698) $ (1,136,827)
Net realized gain on investments ..................................................... 8,703,187 6,306,841
Change in unrealized appreciation/depreciation of investments ........................ 7,388,385 10,843,586
- --------------------------------------------------------------------------------------- ------------- -------------
Net increase in net assets attributable to operations ................................ 14,850,874 16,013,600
- --------------------------------------------------------------------------------------- ------------- -------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions ........................................................................ 23,916,597 31,146,560
Withdrawals .......................................................................... (31,573,571) (30,260,348)
- --------------------------------------------------------------------------------------- ------------- -------------
Net increase (decrease) in net assets attributable to contributions and withdrawals .. (7,656,974) 886,212
- --------------------------------------------------------------------------------------- ------------- -------------
INCREASE IN NET ASSETS ............................................................... 7,193,900 16,899,812
NET ASSETS -- BEGINNING OF YEAR ...................................................... 125,197,861 108,298,049
- --------------------------------------------------------------------------------------- ------------- -------------
NET ASSETS -- END OF YEAR ............................................................ $ 132,391,761 $ 125,197,861
======================================================================================= ============= =============
</TABLE>
See Notes to Financial Statements.
SAI-37
<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 AXA Financial, Inc., 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
accounting principles generally accepted in the United States of America
(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, 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 the 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 charges, direct expenses and record maintenance
and report fees. These charges and fees are paid to Equitable Life by the
Funds and are recorded as expenses in the accompanying Statement of
Operations.
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-38
<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 comprehensive
income 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, 1999 and 1998, and the results
of their operations and their cash flows for each of the three years in the
period ended December 31, 1999, in conformity with accounting principles
generally accepted in the United States of America. 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 auditing standards
generally accepted in the United States of America, 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.
PricewaterhouseCoopers LLP
New York, New York
February 1, 2000
F-1
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED BALANCE SHEETS
DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
1999 1998
------------- --------------
(IN MILLIONS)
<S> <C> <C>
ASSETS
Investments:
Fixed maturities:
Available for sale, at estimated fair value............................. $ 18,599.7 $ 18,993.7
Held to maturity, at amortized cost..................................... 133.2 125.0
Mortgage loans on real estate............................................. 3,270.0 2,809.9
Equity real estate........................................................ 1,160.2 1,676.9
Policy loans.............................................................. 2,257.3 2,086.7
Other equity investments.................................................. 671.2 713.3
Investment in and loans to affiliates..................................... 1,201.8 928.5
Other invested assets..................................................... 911.6 808.2
------------- -------------
Total investments..................................................... 28,205.0 28,142.2
Cash and cash equivalents................................................... 628.0 1,245.5
Deferred policy acquisition costs........................................... 4,033.0 3,563.8
Other assets................................................................ 3,868.3 3,054.6
Closed Block assets......................................................... 8,607.3 8,632.4
Separate Accounts assets.................................................... 54,453.9 43,302.3
------------- -------------
TOTAL ASSETS................................................................ $ 99,795.5 $ 87,940.8
============= =============
LIABILITIES
Policyholders' account balances............................................. $ 21,351.4 $ 20,857.5
Future policy benefits and other policyholders' liabilities................. 4,777.6 4,726.4
Short-term and long-term debt............................................... 1,407.9 1,181.7
Other liabilities........................................................... 3,133.6 3,474.3
Closed Block liabilities.................................................... 9,025.0 9,077.0
Separate Accounts liabilities............................................... 54,332.5 43,211.3
------------- -------------
Total liabilities..................................................... 94,028.0 82,528.2
------------- -------------
Commitments and contingencies (Notes 11, 13, 14, 15 and 16)
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.............................................. 3,557.2 3,110.2
Retained earnings........................................................... 2,600.7 1,944.1
Accumulated other comprehensive (loss) income............................... (392.9) 355.8
------------- -------------
Total shareholder's equity............................................ 5,767.5 5,412.6
------------- -------------
TOTAL LIABILITIES AND SHAREHOLDER'S EQUITY.................................. $ 99,795.5 $ 87,940.8
============= =============
</TABLE>
See Notes to Consolidated Financial Statements.
F-2
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF EARNINGS
YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997
<TABLE>
<CAPTION>
1999 1998 1997
------------ ------------- -------------
(IN MILLIONS)
<S> <C> <C> <C>
REVENUES
Universal life and investment-type product policy fee
income...................................................... $ 1,257.5 $ 1,056.2 $ 950.6
Premiums...................................................... 558.2 588.1 601.5
Net investment income......................................... 2,240.9 2,228.1 2,282.8
Investment (losses) gains, net................................ (96.9) 100.2 (45.2)
Commissions, fees and other income............................ 2,177.9 1,503.0 1,227.2
Contribution from the Closed Block............................ 86.4 87.1 102.5
------------ ------------- -------------
Total revenues.......................................... 6,224.0 5,562.7 5,119.4
------------ ------------- -------------
BENEFITS AND OTHER DEDUCTIONS
Interest credited to policyholders' account balances.......... 1,078.2 1,153.0 1,266.2
Policyholders' benefits....................................... 1,038.6 1,024.7 978.6
Other operating costs and expenses............................ 2,797.3 2,201.2 2,203.9
------------ ------------- -------------
Total benefits and other deductions..................... 4,914.1 4,378.9 4,448.7
------------ ------------- -------------
Earnings from continuing operations before Federal
income taxes and minority interest.......................... 1,309.9 1,183.8 670.7
Federal income taxes.......................................... 332.0 353.1 91.5
Minority interest in net income of consolidated subsidiaries.. 199.4 125.2 54.8
------------ ------------- -------------
Earnings from continuing operations........................... 778.5 705.5 524.4
Discontinued operations, net of Federal income taxes.......... 28.1 2.7 (87.2)
------------ ------------- -------------
Net Earnings.................................................. $ 806.6 $ 708.2 $ 437.2
============ ============= =============
</TABLE>
See Notes to Consolidated Financial Statements.
F-3
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF SHAREHOLDER'S EQUITY AND COMPREHENSIVE INCOME
YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997
<TABLE>
<CAPTION>
1999 1998 1997
------------ ------------- -------------
(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............. 3,110.2 3,105.8 3,105.8
Additional capital in excess of par value..................... 447.0 4.4 -
------------ ------------- -------------
Capital in excess of par value, end of year................... 3,557.2 3,110.2 3,105.8
------------ ------------- -------------
Retained earnings, beginning of year.......................... 1,944.1 1,235.9 798.7
Net earnings.................................................. 806.6 708.2 437.2
Dividend paid to the Holding Company.......................... (150.0) - -
------------ ------------- -------------
Retained earnings, end of year................................ 2,600.7 1,944.1 1,235.9
------------ ------------- -------------
Accumulated other comprehensive income,
beginning of year........................................... 355.8 516.3 177.0
Other comprehensive (loss) income............................. (748.7) (160.5) 339.3
------------ ------------- -------------
Accumulated other comprehensive (loss) income, end of year.... (392.9) 355.8 516.3
------------ ------------- -------------
TOTAL SHAREHOLDER'S EQUITY, END OF YEAR....................... $ 5,767.5 $ 5,412.6 $ 4,860.5
============ ============= ============
COMPREHENSIVE INCOME
Net earnings.................................................. $ 806.6 $ 708.2 $ 437.2
------------ ------------- -------------
Change in unrealized (losses) gains, net of reclassification
adjustment.................................................. (776.9) (149.5) 343.7
Minimum pension liability adjustment.......................... 28.2 (11.0) (4.4)
------------ ------------- -------------
Other comprehensive (loss) income............................. (748.7) (160.5) 339.3
------------ ------------- -------------
COMPREHENSIVE INCOME.......................................... $ 57.9 $ 547.7 $ 776.5
============ ============= ============
</TABLE>
See Notes to Consolidated Financial Statements.
F-4
<PAGE>
THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
CONSOLIDATED STATEMENTS OF CASH FLOWS
YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997
<TABLE>
<CAPTION>
1999 1998 1997
------------ ------------- -------------
(IN MILLIONS)
<S> <C> <C> <C>
Net earnings.................................................. $ 806.6 $ 708.2 $ 437.2
Adjustments to reconcile net earnings to net cash
provided by operating activities:
Interest credited to policyholders' account balances........ 1,078.2 1,153.0 1,266.2
Universal life and investment-type product
policy fee income......................................... (1,257.5) (1,056.2) (950.6)
Investment losses (gains)................................... 96.9 (100.2) 45.2
Change in Federal income tax payable........................ 157.4 123.1 (74.4)
Change in property and equipment............................ (256.3) (81.8) (9.6)
Change in deferred acquisition costs........................ (260.7) (314.0) (220.7)
Other, net.................................................. (168.8) 70.9 399.7
------------ ------------- -------------
Net cash provided by operating activities..................... 195.8 503.0 893.0
------------ ------------- -------------
Cash flows from investing activities:
Maturities and repayments................................... 2,019.0 2,289.0 2,702.9
Sales....................................................... 7,572.9 16,972.1 10,385.9
Purchases................................................... (10,737.3) (18,578.5) (13,205.4)
(Increase) decrease in short-term investments............... (178.3) 102.4 (555.0)
Decrease in loans to discontinued operations................ - 660.0 420.1
Sale of subsidiaries........................................ - - 261.0
Other, net.................................................. (134.8) (341.8) (612.6)
------------ ------------- -------------
Net cash (used) provided by investing activities.............. (1,458.5) 1,103.2 (603.1)
------------ ------------- -------------
Cash flows from financing activities: Policyholders'
account balances:
Deposits.................................................. 2,366.2 1,508.1 1,281.7
Withdrawals............................................... (1,765.8) (1,724.6) (1,886.8)
Net increase (decrease) in short-term financings............ 378.2 (243.5) 419.9
Repayments of long-term debt................................ (41.3) (24.5) (196.4)
Payment of obligation to fund accumulated deficit of
discontinued operations................................... - (87.2) (83.9)
Dividend paid to the Holding Company........................ (150.0) - -
Other, net.................................................. (142.1) (89.5) (62.7)
------------ ------------- -------------
Net cash provided (used) by financing activities.............. 645.2 (661.2) (528.2)
------------ ------------- -------------
Change in cash and cash equivalents........................... (617.5) 945.0 (238.3)
Cash and cash equivalents, beginning of year.................. 1,245.5 300.5 538.8
------------ ------------- -------------
Cash and Cash Equivalents, End of Year........................ $ 628.0 $ 1,245.5 $ 300.5
============ ============= =============
Supplemental cash flow information
Interest Paid............................................... $ 92.2 $ 130.7 $ 217.1
============ ============= =============
Income Taxes Paid........................................... $ 116.5 $ 254.3 $ 170.0
============ ============= =============
</TABLE>
See Notes to Consolidated Financial Statements.
F-5
<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") is an indirect, wholly owned subsidiary of AXA Financial, Inc. (the
"Holding Company," and collectively with its consolidated subsidiaries,
"AXA Financial"). Equitable Life's insurance business is conducted
principally by Equitable Life and its wholly owned life insurance
subsidiaries, Equitable of Colorado ("EOC"), and, prior to December 31,
1996, Equitable Variable Life Insurance Company ("EVLICO"). Effective
January 1, 1997, EVLICO was merged into Equitable Life. Equitable Life's
investment management business, which comprises the Investment Services
segment, is conducted principally by Alliance Capital Management L.P.
("Alliance"), and Donaldson, Lufkin & Jenrette, Inc. ("DLJ"), an investment
banking and brokerage affiliate. 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 58.0% at
December 31, 1999 (53.0% if all securities convertible into, and options
on, common stock were to be converted or exercised).
On September 20, 1999, as part of AXA Financial's "branding" strategic
initiative, EQ Financial Consultants, Inc., a broker-dealer subsidiary of
Equitable Life, was merged into a new company, AXA Advisors, LLC ("AXA
Advisors"). Also, on September 21, 1999, AXA Advisors was transferred by
Equitable Life to AXA Distribution Holding Corporation ("AXA
Distribution"), a wholly owned indirect subsidiary of the Holding Company,
for $15.3 million. The excess of the sales price over AXA Advisors' book
value has been recorded in Equitable Life's books as a capital
contribution. Equitable Life will continue to develop and market the
"Equitable" brand of life and annuity products, while AXA Distribution and
its subsidiaries begin to assume responsibility for providing financial
advisory services, product distribution and customer relationship
management.
The Insurance 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. It also 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 includes Alliance and the results of DLJ
which are accounted for on an equity basis. In 1999, Alliance reorganized
into Alliance Capital Management Holding L.P. ("Alliance Holding") and
Alliance (the "Reorganization"). Alliance Holding's principal asset is its
interest in Alliance and it functions as a holding entity through which
holders of its publicly traded units own an indirect interest in the
operating partnership. The Company exchanged substantially all of its
Alliance Holding units for units in Alliance ("Alliance Units"). As a
result of the reorganization, the Company was the beneficial owner of
approximately 2% of Alliance Holding and 56% of Alliance. Alliance provides
diversified investment fund management services to a variety of
institutional clients, including pension funds, endowments, and foreign
financial institutions, as well as to individual investors, principally
through a broad line of mutual funds. This segment includes institutional
Separate Accounts which provide various investment options for large group
pension clients, primarily deferred benefit contribution plans, through
pooled or single group accounts. At December 31, 1999, Equitable Life has a
31.7% ownership interest in DLJ. DLJ's businesses include securities
underwriting, sales and trading, merchant banking, financial advisory
services, investment research, venture capital, correspondent brokerage
services, online interactive brokerage services and asset management. DLJ
serves institutional, corporate, governmental and individual clients both
domestically and internationally. Through June 10, 1997, this segment also
includes Equitable Real Estate Investment Management Inc. ("EREIM") which
was sold. EREIM provided real estate investment management services,
property management services, mortgage servicing and loan asset management,
and agricultural investment management.
F-6
<PAGE>
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") which
require 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.
The accompanying consolidated financial statements include the accounts of
Equitable Life and certain of its subsidiaries engaged in insurance related
business (collectively, the "Insurance Group"); other subsidiaries,
principally Alliance and through June 10, 1997, EREIM (see Note 5); 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, liabilities and results of operations are presented in the
consolidated financial statements as single line items (see Note 7). Unless
specifically stated, all other footnote disclosures contained herein
exclude the Closed Block related amounts.
All significant intercompany transactions and balances except those with
the Closed Block, DLJ and discontinued operations (see Note 8) have been
eliminated in consolidation. The years "1999," "1998" and "1997" refer to
the years ended December 31, 1999, 1998 and 1997, respectively. Certain
reclassifications have been made in the amounts presented for prior periods
to conform these periods with the 1999 presentation.
Closed Block
------------
On July 22, 1992, Equitable Life established the Closed Block for the
benefit of certain individual participating policies which were in force on
that date. The assets allocated to the Closed Block, together with
anticipated revenues from policies included in the Closed Block, were
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
Closed Block policyholders and will not revert to the benefit of the
Holding Company. No reallocation, transfer, borrowing or lending of assets
can be made between the Closed Block and other portions of Equitable Life's
General Account, any of its Separate Accounts or 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
-----------------------
Discontinued operations at December 31, 1999, principally consists of the
Group Non-Participating Wind-Up Annuities ("Wind-Up Annuities"), for which
a premium deficiency reserve has been established. Management reviews the
adequacy of the allowance each quarter and believes the allowance for
future losses at December 31, 1999 is adequate to provide for all future
losses; however, the quarterly allowance review 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 allowance for future losses, 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 allowance
are likely to result (see Note 8).
F-7
<PAGE>
Accounting Changes
------------------
In March 1998, the American Institute of Certified Public Accountants
("AICPA") issued Statement of Position ("SOP") 98-1, "Accounting for the
Costs of Computer Software Developed or Obtained for Internal Use," which
requires capitalization of external and certain internal costs incurred to
obtain or develop internal-use computer software during the application
development stage. The Company applied the provisions of SOP 98-1
prospectively effective January 1, 1998. The adoption of SOP 98-1 did not
have a material impact on the Company's consolidated financial statements.
Capitalized internal-use software is amortized on a straight-line basis
over the estimated useful life of the software.
New Accounting Pronouncements
-----------------------------
In June 1998, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standard ("SFAS") No. 133, "Accounting
for Derivative Instruments and Hedging Activities," which establishes
accounting and reporting standards for derivative instruments, including
certain derivatives embedded in other contracts, and for hedging
activities. It requires all derivatives to be recognized on the balance
sheet at fair value. The accounting for changes in the fair value of a
derivative depends on its intended use. Derivatives not used in hedging
activities must be adjusted to fair value through earnings. Changes in the
fair value of derivatives used in hedging activities will, depending on the
nature of the hedge, either be offset in earnings against the change in
fair value of the hedged item attributable to the risk being hedged or
recognized in other comprehensive income until the hedged item affects
earnings. For all hedging activities, the ineffective portion of a
derivative's change in fair value will be immediately recognized in
earnings. In June 1999, the FASB issued SFAS No. 137, "Accounting for
Derivative Instruments and Hedging Activities - Deferral of the Effective
Date of FASB Statement No. 133," which defers the effective date of SFAS
No. 133 to all fiscal quarters of all fiscal years beginning after June 15,
2000. The Company expects to adopt SFAS No. 133 effective January 1, 2001.
Adjustments resulting from initial adoption of the new requirements will be
reported in a manner similar to the cumulative effect of a change in
accounting principle and will be reflected in net income or accumulated
other comprehensive income based upon existing hedging relationships, if
any. Management currently is assessing the impact of adoption. However,
Alliance's adoption of the new requirements is not expected to have a
significant impact on the Company's consolidated balance sheet or statement
of earnings. Also, since most of DLJ's derivatives are carried at fair
values, the Company's consolidated earnings and financial position are not
expected to be significantly affected by DLJ's adoption of the new
requirements.
Valuation of Investments
------------------------
Fixed maturities identified as available for sale are reported at estimated
fair value. Fixed maturities, which the Company has both the ability and
the intent to hold to maturity, are stated principally at amortized cost.
The amortized cost of fixed maturities is adjusted for impairments in value
deemed to be other than temporary.
Valuation allowances are netted against the asset categories to which they
apply.
Mortgage loans on real estate are stated at unpaid principal balances, net
of unamortized discounts and valuation allowances. 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.
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 held for sale are computed using the lower of depreciated cost or
current estimated fair value, net of disposition costs. Depreciation is
discontinued on real estate held for sale.
F-8
<PAGE>
Policy loans are stated at unpaid principal balances.
Partnerships and joint venture interests in which the Company does not have
control or 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.
Equity securities, comprised of common stock classified as both trading and
available for sale securities, are carried at estimated fair value and are
included in other equity investments.
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.
Net Investment Income, Investment Gains, Net and Unrealized Investment
----------------------------------------------------------------------
Gains (Losses)
--------------
Net investment income and realized investment gains (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 (losses) are determined by specific
identification and are presented as a component of revenue. Changes in
valuation allowances are included in investment gains (losses).
Unrealized gains (losses) on publicly-traded common equity securities
classified as trading securities are reflected in net investment income.
Unrealized investment gains (losses) on fixed maturities and equity
securities available for sale held by the Company are accounted for as a
separate component of accumulated comprehensive income, net of related
deferred Federal income taxes, amounts attributable to discontinued
operations, participating group annuity contracts and deferred policy
acquisition costs ("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.
F-9
<PAGE>
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. 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 25
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
accumulated other comprehensive income in consolidated shareholder's equity
as of the balance sheet date.
As part of its asset/liability management process, in second quarter 1999,
management initiated a review of the matching of invested assets to
Insurance product lines given their different liability characteristics and
liquidity requirements. As a result of this review, management reallocated
the current and prospective interests of the various product lines in the
invested assets. These asset reallocations and the related changes in
investment yields by product line, in turn, triggered a review of and
revisions to the estimated future gross profits used to determine the
amortization of DAC for universal life and investment-type products. The
revisions to estimated future gross profits resulted in an after-tax
writedown of DAC of $85.6 million (net of a Federal income tax benefit of
$46.1 million).
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, 1999, the expected investment yield, excluding policy loans, generally
ranged from 7.75% grading to 7.5% over a 20 year period. 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. The effect on the amortization of
DAC of revisions to estimated gross margins is reflected in earnings in the
period such estimated gross margins are revised. The effect on the DAC
asset that would result from realization of unrealized gains (losses) is
recognized with an offset to accumulated comprehensive income in
consolidated shareholder's equity as of the balance sheet date.
For non-participating traditional life 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.
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
represents 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, includes a margin
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
F-10
<PAGE>
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 8.35% for
annuity liabilities.
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. While
management believes its disability income ("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 DI and major
medical policies were $948.4 million and $951.7 million at December 31,
1999 and 1998, respectively. Incurred benefits (benefits paid plus changes
in claim reserves) and benefits paid for individual DI and major medical
are summarized as follows:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Incurred benefits related to current year.......... $ 150.7 $ 140.1 $ 132.3
Incurred benefits related to prior years........... 64.7 84.2 60.0
------------- ------------ ------------
Total Incurred Benefits............................ $ 215.4 $ 224.3 $ 192.3
============= ============ ============
Benefits paid related to current year.............. $ 28.9 $ 17.0 $ 28.8
Benefits paid related to prior years............... 189.8 155.4 146.2
------------- ------------ ------------
Total Benefits Paid................................ $ 218.7 $ 172.4 $ 175.0
============= ============ ============
</TABLE>
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.
At December 31, 1999, participating policies, including those in the Closed
Block, represent approximately 23.0% ($47.0 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 consolidated subsidiaries. Current Federal income taxes are
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 are 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 Separate Accounts liabilities.
F-11
<PAGE>
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 1999, 1998 and 1997, investment results of such
Separate Accounts were $6,045.5 million, $4,591.0 million and $3,411.1
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.
Employee Stock Option Plan
--------------------------
The Company accounts for stock option plans sponsored by the Holding
Company, DLJ and Alliance in accordance with the provisions of Accounting
Principles Board Opinion ("APB") No. 25, "Accounting for Stock Issued to
Employees," and related interpretations. In accordance with the opinion,
compensation expense is recorded on the date of grant only if the current
market price of the underlying stock exceeds the option strike price at the
grant date. See Note 22 for the pro forma disclosures for the Holding
Company, DLJ and Alliance required by SFAS No. 123, "Accounting for
Stock-Based Compensation".
F-12
<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, 1999
-----------------
Fixed Maturities:
Available for Sale:
Corporate.......................... $ 14,866.8 $ 139.5 $ 787.0 $ 14,219.3
Mortgage-backed.................... 2,554.5 2.3 87.8 2,469.0
U.S. Treasury, government and
agency securities................ 1,194.1 18.9 23.4 1,189.6
States and political subdivisions.. 110.0 1.4 4.9 106.5
Foreign governments................ 361.8 16.2 14.8 363.2
Redeemable preferred stock......... 286.4 1.7 36.0 252.1
------------- ------------- ------------ -------------
Total Available for Sale............... $ 19,373.6 $ 180.0 $ 953.9 $ 18,599.7
============= ============= ============ =============
Held to Maturity: Corporate......... $ 133.2 $ - $ - $ 133.2
============= ============= ============ =============
Equity Securities:
Common stock available for sale...... 25.5 1.5 17.8 9.2
Common stock trading securities...... 7.2 9.1 2.2 14.1
------------- ------------- ------------ -------------
Total Equity Securities................ $ 32.7 $ 10.6 $ 20.0 $ 23.3
============= ============= ============ =============
December 31, 1998
-----------------
Fixed Maturities:
Available for Sale:
Corporate.......................... $ 14,520.8 $ 793.6 $ 379.6 $ 14,934.8
Mortgage-backed.................... 1,807.9 23.3 .9 1,830.3
U.S. Treasury, government and
agency securities................ 1,464.1 107.6 .7 1,571.0
States and political subdivisions.. 55.0 9.9 - 64.9
Foreign governments................ 363.3 20.9 30.0 354.2
Redeemable preferred stock......... 242.7 7.0 11.2 238.5
------------- ------------- ------------ -------------
Total Available for Sale............... $ 18,453.8 $ 962.3 $ 422.4 $ 18,993.7
============= ============= ============ =============
Held to Maturity: Corporate......... $ 125.0 $ - $ - $ 125.0
============= ============= ============ =============
Equity Securities:
Common stock available for sale...... $ 58.3 $ 114.9 $ 22.5 $ 150.7
============= ============= ============ =============
</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 determines an
estimated fair value using a discounted cash flow approach, including
provisions for credit risk, generally based on the assumption such
securities will be held to maturity. Estimated fair values for equity
securities, substantially all of which do not have a readily ascertainable
market value, have 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, 1999 and 1998, securities without a readily ascertainable
market value having an amortized cost of $3,322.2 million and $3,539.9
million, respectively, had estimated fair values of $3,177.7 million and
$3,748.5 million, respectively.
F-13
<PAGE>
The contractual maturity of bonds at December 31, 1999 is shown below:
<TABLE>
<CAPTION>
AVAILABLE FOR SALE
-------------------------------
AMORTIZED ESTIMATED
COST FAIR VALUE
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Due in one year or less................................................ $ 479.1 $ 477.8
Due in years two through five.......................................... 2,991.8 2,921.2
Due in years six through ten........................................... 7,197.9 6,813.0
Due after ten years.................................................... 5,864.0 5,666.5
Mortgage-backed securities............................................. 2,554.4 2,469.1
------------ ------------
Total.................................................................. $ 19,087.2 $ 18,347.6
============ ============
</TABLE>
Corporate bonds held to maturity with an amortized cost and estimated fair
value of $133.2 million are due in one year or less.
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
concentrations in any single issuer or 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, 1999, approximately 14.9% of the $18,344.3
million aggregate amortized cost of bonds held by the Company was
considered to be other than investment grade.
In addition, the Insurance Group is an equity investor in limited
partnership interests which primarily invest in securities considered to be
other than investment grade. The carrying values at December 31, 1999 and
1998 were $647.9 million and $562.6 million, respectively.
Investment valuation allowances and changes thereto are shown below:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Balances, beginning of year........................ $ 230.6 $ 384.5 $ 137.1
Additions charged to income........................ 68.2 86.2 334.6
Deductions for writedowns and
asset dispositions............................... (150.2) (240.1) (87.2)
------------- ------------ ------------
Balances, End of Year.............................. $ 148.6 $ 230.6 $ 384.5
============= ============ ============
Balances, end of year comprise:
Mortgage loans on real estate.................... $ 27.5 $ 34.3 $ 55.8
Equity real estate............................... 121.1 196.3 328.7
------------- ------------ ------------
Total.............................................. $ 148.6 $ 230.6 $ 384.5
============= ============ ============
</TABLE>
F-14
<PAGE>
At December 31, 1999, the carrying value of fixed maturities which are
non-income producing for the twelve months preceding the consolidated
balance sheet date was $152.1 million.
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 $106.0 million and $115.1
million at December 31, 1999 and 1998, 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 $9.5
million, $10.3 million and $17.2 million in 1999, 1998 and 1997,
respectively. Gross interest income on these loans included in net
investment income aggregated $8.2 million, $8.3 million and $12.7 million
in 1999, 1998 and 1997, respectively.
Impaired mortgage loans along with the related provision for losses were as
follows:
<TABLE>
<CAPTION>
DECEMBER 31,
-----------------------------------
1999 1998
-------------- --------------
(IN MILLIONS)
<S> <C> <C>
Impaired mortgage loans with provision for losses.................. $ 142.4 $ 125.4
Impaired mortgage loans without provision for losses............... 2.2 8.6
-------------- --------------
Recorded investment in impaired mortgage loans..................... 144.6 134.0
Provision for losses............................................... (23.0) (29.0)
-------------- --------------
Net Impaired Mortgage Loans........................................ $ 121.6 $ 105.0
============== ==============
</TABLE>
Impaired mortgage loans without 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 1999, 1998 and 1997, respectively, the Company's average recorded
investment in impaired mortgage loans was $141.7 million, $161.3 million
and $246.9 million. Interest income recognized on these impaired mortgage
loans totaled $12.0 million, $12.3 million and $15.2 million ($0.0 million,
$.9 million and $2.3 million recognized on a cash basis) for 1999, 1998 and
1997, respectively.
The Insurance Group's investment in equity real estate is through direct
ownership and through investments in real estate joint ventures. At
December 31, 1999 and 1998, the carrying value of equity real estate held
for sale amounted to $382.2 million and $836.2 million, respectively. For
1999, 1998 and 1997, respectively, real estate of $20.5 million, $7.1
million and $152.0 million was acquired in satisfaction of debt. At
December 31, 1999 and 1998, the Company owned $443.9 million and $552.3
million, respectively, of real estate acquired in satisfaction of debt.
Depreciation of real estate held for production of income 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 $251.6 million and $374.8 million at December 31, 1999 and 1998,
respectively. Depreciation expense on real estate totaled $21.8 million,
$30.5 million and $74.9 million for 1999, 1998 and 1997, respectively.
F-15
<PAGE>
4) JOINT VENTURES AND PARTNERSHIPS
Summarized combined financial information for real estate joint ventures
(25 individual ventures at both December 31, 1999 and 1998) and for 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, follows:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------
1999 1998
------------- -------------
(IN MILLIONS)
<S> <C> <C>
BALANCE SHEETS
Investments in real estate, at depreciated cost........................ $ 861.1 $ 913.7
Investments in securities, generally at estimated fair value........... 678.4 636.9
Cash and cash equivalents.............................................. 68.4 85.9
Other assets........................................................... 239.3 279.8
------------- -------------
Total Assets........................................................... $ 1,847.2 $ 1,916.3
============= =============
Borrowed funds - third party........................................... $ 354.2 $ 367.1
Borrowed funds - AXA Financial......................................... 28.9 30.1
Other liabilities...................................................... 313.9 197.2
------------- -------------
Total liabilities...................................................... 697.0 594.4
------------- -------------
Partners' capital...................................................... 1,150.2 1,321.9
------------- -------------
Total Liabilities and Partners' Capital................................ $ 1,847.2 $ 1,916.3
============= =============
Equity in partners' capital included above............................. $ 316.5 $ 365.6
Equity in limited partnership interests not included above and other... 524.1 390.1
------------- -------------
Carrying Value......................................................... $ 840.6 $ 755.7
============= =============
</TABLE>
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
STATEMENTS OF EARNINGS
Revenues of real estate joint ventures............. $ 180.5 $ 246.1 $ 310.5
Revenues of other limited partnership interests.... 455.1 128.9 506.3
Interest expense - third party..................... (39.8) (33.3) (91.8)
Interest expense - AXA Financial................... (2.5) (2.6) (7.2)
Other expenses..................................... (139.0) (197.0) (263.6)
------------- ------------ ------------
Net Earnings....................................... $ 454.3 $ 142.1 $ 454.2
============= ============ ============
Equity in net earnings included above.............. $ 10.5 $ 44.4 $ 76.7
Equity in net earnings of limited partnership
interests not included above..................... 76.0 37.9 69.5
Other.............................................. - - (.9)
------------- ------------ ------------
Total Equity in Net Earnings....................... $ 86.5 $ 82.3 $ 145.3
============= ============ ============
</TABLE>
F-16
<PAGE>
5) NET INVESTMENT INCOME AND INVESTMENT GAINS (LOSSES)
The sources of net investment income follows:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Fixed maturities................................... $ 1,499.8 $ 1,489.0 $ 1,459.4
Mortgage loans on real estate...................... 253.4 235.4 260.8
Equity real estate................................. 250.2 356.1 390.4
Other equity investments........................... 165.1 83.8 156.9
Policy loans....................................... 143.8 144.9 177.0
Other investment income............................ 161.3 185.7 181.7
------------- ------------ ------------
Gross investment income.......................... 2,473.6 2,494.9 2,626.2
Investment expenses.............................. (232.7) (266.8) (343.4)
------------- ------------ ------------
Net Investment Income.............................. $ 2,240.9 $ 2,228.1 $ 2,282.8
============= ============ ============
</TABLE>
Investment (losses) gains, net, including changes in the valuation
allowances, follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Fixed maturities................................... $ (290.9) $ (24.3) $ 88.1
Mortgage loans on real estate...................... (3.3) (10.9) (11.2)
Equity real estate................................. (2.4) 74.5 (391.3)
Other equity investments........................... 88.1 29.9 14.1
Sale of subsidiaries............................... - (2.6) 252.1
Issuance and sales of Alliance Units............... 5.5 19.8 -
Issuance and sales of DLJ common stock............. 106.0 18.2 3.0
Other.............................................. .1 (4.4) -
------------- ------------ ------------
Investment (Losses) Gains, Net..................... $ (96.9) $ 100.2 $ (45.2)
============= ============ ============
</TABLE>
Writedowns of fixed maturities amounted to $223.2 million, $101.6 million
and $11.7 million for 1999, 1998 and 1997, respectively, and writedowns of
equity real estate amounted to $136.4 million for 1997. In fourth quarter
1997, the Company reclassified $1,095.4 million depreciated cost of equity
real estate from real estate held for the production of income to real
estate held for sale. Additions to valuation allowances of $227.6 million
were recorded upon these transfers. Additionally, in fourth quarter 1997,
$132.3 million of writedowns on real estate held for production of income
were recorded.
For 1999, 1998 and 1997, respectively, proceeds received on sales of fixed
maturities classified as available for sale amounted to $7,138.6 million,
$15,961.0 million and $9,789.7 million. Gross gains of $74.7 million,
$149.3 million and $166.0 million and gross losses of $214.3 million, $95.1
million and $108.8 million, respectively, were realized on these sales. The
change in unrealized investment (losses) gains related to fixed maturities
classified as available for sale for 1999, 1998 and 1997 amounted to
$(1,313.8) million, $(331.7) million and $513.4 million, respectively.
On January 1, 1999, investments in publicly-traded common equity securities
in the General Account portfolio within other equity investments amounting
to $102.3 million were transferred from available for sale securities to
trading securities. As a result of this transfer, unrealized investment
gains of $83.3 million ($43.2 million net of related DAC and Federal income
taxes) were recognized as realized investment gains in the consolidated
statements of earnings. Net unrealized holding gains of $7.0 million were
included in net investment income in the consolidated statements of
earnings for 1999. These trading securities had a carrying value of $14.1
million and costs of $7.2 million at December 31, 1999.
F-17
<PAGE>
During 1999, DLJ completed its offering of a new class of its Common Stock
to track the financial performance of DLJdirect, its online brokerage
business. As a result of this offering, the Company recorded a non-cash
pre-tax realized gain of $95.8 million.
For 1999, 1998 and 1997, investment results passed through to certain
participating group annuity contracts as interest credited to
policyholders' account balances amounted to $131.5 million, $136.9 million
and $137.5 million, respectively.
In 1997, Equitable Life sold EREIM (other than its interest in Column
Financial, Inc.) ("ERE") to Lend Lease Corporation Limited ("Lend Lease"),
for $400.0 million and recognized an investment gain of $162.4 million, net
of Federal income tax of $87.4 million. Equitable Life entered into
long-term advisory agreements whereby ERE continues to provide
substantially the same services to Equitable Life's General Account and
Separate Accounts, for substantially the same fees, as provided prior to
the sale. Through June 10, 1997, the businesses sold reported combined
revenues of $91.6 million and combined net earnings of $10.7 million.
On June 30, 1997, Alliance reduced the recorded value of goodwill and
contracts associated with Alliance's 1996 acquisition of Cursitor Holdings
L.P. and Cursitor Holdings Limited (collectively, "Cursitor") by $120.9
million since Cursitor's business fundamentals no longer supported the
carrying value of its investment. The Company's earnings from continuing
operations for 1997 included a charge of $59.5 million, net of a Federal
income tax benefit of $10.0 million and minority interest of $51.4 million.
The remaining balance of intangible assets is being amortized over its
estimated useful life of 20 years.
Net unrealized investment gains (losses), included in the consolidated
balance sheets as a component of accumulated comprehensive income and the
changes for the corresponding years, follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Balance, beginning of year......................... $ 384.1 $ 533.6 $ 189.9
Changes in unrealized investment (losses) gains.... (1,486.6) (242.4) 543.3
Changes in unrealized investment losses
(gains) attributable to:
Participating group annuity contracts.......... 24.7 (5.7) 53.2
DAC............................................ 208.6 13.2 (89.0)
Deferred Federal income taxes.................. 476.4 85.4 (163.8)
------------- ------------ ------------
Balance, End of Year............................... $ (392.8) $ 384.1 $ 533.6
============= ============ ============
Balance, end of year comprises:
Unrealized investment (losses) gains on:
Fixed maturities............................... $ (773.9) $ 539.9 $ 871.2
Other equity investments....................... (16.3) 92.4 33.7
Other, principally Closed Block................ 46.8 111.1 80.9
------------- ------------ ------------
Total........................................ (743.4) 743.4 985.8
Amounts of unrealized investment gains
attributable to:
Participating group annuity contracts........ - (24.7) (19.0)
DAC.......................................... 80.8 (127.8) (141.0)
Deferred Federal income taxes................ 269.8 (206.8) (292.2)
------------- ------------ ------------
Total.............................................. $ (392.8) $ 384.1 $ 533.6
============= ============ ============
</TABLE>
Changes in unrealized gains (losses) reflect changes in fair value of only
those fixed maturities and equity securities classified as available for
sale and do not reflect any changes in fair value of policyholders' account
balances and future policy benefits.
F-18
<PAGE>
6) ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)
Accumulated other comprehensive income (loss) represents cumulative gains
and losses on items that are not reflected in earnings. The balances for
the past three years follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Unrealized (losses) gains on investments........... $ (392.8) $ 384.1 $ 533.6
Minimum pension liability.......................... (.1) (28.3) (17.3)
------------- ------------ ------------
Total Accumulated Other
Comprehensive (Loss) Income...................... $ (392.9) $ 355.8 $ 516.3
============= ============ ============
</TABLE>
The components of other comprehensive income (loss) for the past three
years follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Net unrealized (losses) gains on investment
securities:
Net unrealized (losses) gains arising during
the period..................................... $ (1,682.3) $ (186.1) $ 564.0
Adjustment to reclassify losses (gains)
included in net earnings during the period..... 195.7 (56.3) (20.7)
------------- ------------ ------------
Net unrealized (losses) gains on investment
securities..................................... (1,486.6) (242.4) 543.3
Adjustments for policyholder liabilities,
DAC and deferred Federal income taxes.......... 709.7 92.9 (199.6)
------------- ------------ ------------
Change in unrealized losses (gains), net of
adjustments.................................... (776.9) (149.5) 343.7
Change in minimum pension liability................ 28.2 (11.0) (4.4)
------------- ------------ ------------
Total Other Comprehensive (Loss) Income............ $ (748.7) $ (160.5) $ 339.3
============= ============ ============
</TABLE>
F-19
<PAGE>
7) CLOSED BLOCK
Summarized financial information for the Closed Block follows:
<TABLE>
<CAPTION>
DECEMBER 31,
---------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C
BALANCE SHEETS
Fixed Maturities:
Available for sale, at estimated fair value (amortized cost,
$4,144.8 and $4,149.0)........................................... $ 4,014.0 $ 4,373.2
Mortgage loans on real estate........................................ 1,704.2 1,633.4
Policy loans......................................................... 1,593.9 1,641.2
Cash and other invested assets....................................... 194.4 86.5
DAC.................................................................. 895.5 676.5
Other assets......................................................... 205.3 221.6
------------ ------------
Total Assets......................................................... $ 8,607.3 $ 8,632.4
============ ============
Future policy benefits and policyholders' account balances........... $ 9,011.7 $ 9,013.1
Other liabilities.................................................... 13.3 63.9
------------ ------------
Total Liabilities.................................................... $ 9,025.0 $ 9,077.0
============ ============
</TABLE>
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
STATEMENTS OF EARNINGS
Premiums and other revenue......................... $ 619.1 $ 661.7 $ 687.1
Investment income (net of investment
expenses of $15.8, $15.5 and $27.0).............. 574.2 569.7 574.9
Investment (losses) gains, net..................... (11.3) .5 (42.4)
------------- ------------ ------------
Total revenues............................... 1,182.0 1,231.9 1,219.6
------------- ------------ ------------
Policyholders' benefits and dividends.............. 1,024.7 1,082.0 1,066.7
Other operating costs and expenses................. 70.9 62.8 50.4
------------- ------------ ------------
Total benefits and other deductions.......... 1,095.6 1,144.8 1,117.1
------------- ------------ ------------
Contribution from the Closed Block................. $ 86.4 $ 87.1 $ 102.5
============= ============ ============
</TABLE>
Impaired mortgage loans along with the related provision for losses
follows:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------
1999 1998
------------- -------------
(IN MILLIONS)
<S> <C> <C>
Impaired mortgage loans with provision for losses...................... $ 26.8 $ 55.5
Impaired mortgage loans without provision for losses................... 4.5 7.6
------------- -------------
Recorded investment in impaired mortgages.............................. 31.3 63.1
Provision for losses................................................... (4.1) (10.1)
------------- -------------
Net Impaired Mortgage Loans............................................ $ 27.2 $ 53.0
============= =============
</TABLE>
During 1999, 1998 and 1997, the Closed Block's average recorded investment
in impaired mortgage loans was $37.0 million, $85.5 million and $110.2
million, respectively. Interest income recognized on these impaired
mortgage loans totaled $3.3 million, $4.7 million and $9.4 million ($.3
million, $1.5 million and $4.1 million recognized on a cash basis) for
1999, 1998 and 1997, respectively.
F-20
<PAGE>
Valuation allowances amounted to $4.6 million and $11.1 million on mortgage
loans on real estate and $24.7 million and $15.4 million on equity real
estate at December 31, 1999 and 1998, respectively. Writedowns of fixed
maturities amounted to $3.5 million for 1997. Writedowns of equity real
estate amounted to $28.8 million for 1997.
In fourth quarter 1997, $72.9 million depreciated cost of equity real
estate held for production of income was reclassified to equity real estate
held for sale. Additions to valuation allowances of $15.4 million were
recorded upon these transfers. Also in fourth quarter 1997, $28.8 million
of writedowns on real estate held for production of income were recorded.
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.
F-21
<PAGE>
8) DISCONTINUED OPERATIONS
Summarized financial information for discontinued operations follows:
<TABLE>
<CAPTION>
DECEMBER 31,
---------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
BALANCE SHEETS
Mortgage loans on real estate........................................ $ 454.6 $ 553.9
Equity real estate................................................... 426.6 611.0
Other equity investments............................................. 55.8 115.1
Other invested assets................................................ 87.1 24.9
------------ ------------
Total investments.................................................. 1,024.1 1,304.9
Cash and cash equivalents............................................ 164.5 34.7
Other assets......................................................... 213.0 219.0
------------ ------------
Total Assets......................................................... $ 1,401.6 $ 1,558.6
============ ============
Policyholders' liabilities........................................... $ 993.3 $ 1,021.7
Allowance for future losses.......................................... 242.2 305.1
Other liabilities.................................................... 166.1 231.8
------------ ------------
Total Liabilities.................................................... $ 1,401.6 $ 1,558.6
============ ============
</TABLE>
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
STATEMENTS OF EARNINGS
Investment income (net of investment
expenses of $49.3, $63.3 and $97.3).............. $ 98.7 $ 160.4 $ 188.6
Investment (losses) gains, net..................... (13.4) 35.7 (173.7)
Policy fees, premiums and other income............. .2 (4.3) .2
------------- ------------ ------------
Total revenues..................................... 85.5 191.8 15.1
Benefits and other deductions...................... 104.8 141.5 169.5
(Losses charged) earnings credited to allowance
for future losses................................ (19.3) 50.3 (154.4)
------------- ------------ ------------
Pre-tax loss from operations....................... - - -
Pre-tax earnings from releasing (loss from
strengthening) the allowance for future
losses........................................... 43.3 4.2 (134.1)
Federal income tax (expense) benefit............... (15.2) (1.5) 46.9
------------- ------------ ------------
Earnings (Loss) from Discontinued Operations....... $ 28.1 $ 2.7 $ (87.2)
============= ============ ============
</TABLE>
The Company's quarterly process for evaluating the allowance for future
losses applies the current period's results of the discontinued operations
against the allowance, re-estimates future losses and adjusts the
allowance, if appropriate. Additionally, as part of the Company's annual
planning process which takes place in the fourth quarter of each year,
investment and benefit cash flow projections are prepared. These updated
assumptions and estimates resulted in a release of allowance in 1999 and
1998 and strengthening of allowance in 1997.
In fourth quarter 1997, $329.9 million depreciated cost of equity real
estate was reclassified from equity real estate held for production of
income to real estate held for sale. Additions to valuation allowances of
$79.8 million were recognized upon these transfers. Also in fourth quarter
1997, $92.5 million of writedowns on real estate held for production of
income were recognized.
F-22
<PAGE>
Benefits and other deductions includes $26.6 million and $53.3 million of
interest expense related to amounts borrowed from continuing operations in
1998 and 1997, respectively.
Valuation allowances of $1.9 million and $3.0 million on mortgage loans on
real estate and $54.8 million and $34.8 million on equity real estate were
held at December 31, 1999 and 1998, respectively. Writedowns of equity real
estate were $95.7 million in 1997.
During 1999, 1998 and 1997, discontinued operations' average recorded
investment in impaired mortgage loans was $13.8 million, $73.3 million and
$89.2 million, respectively. Interest income recognized on these impaired
mortgage loans totaled $1.7 million, $4.7 million and $6.6 million ($.0
million, $3.4 million and $5.3 million recognized on a cash basis) for
1999, 1998 and 1997, respectively.
At December 31, 1999 and 1998, discontinued operations had real estate
acquired in satisfaction of debt with carrying values of $24.1 million and
$50.0 million, respectively.
9) SHORT-TERM AND LONG-TERM DEBT
Short-term and long-term debt consists of the following:
<TABLE>
<CAPTION>
DECEMBER 31,
---------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Short-term debt...................................................... $ 557.0 $ 179.3
------------ ------------
Long-term debt:
Equitable Life:
Surplus notes, 6.95% due 2005...................................... 399.5 399.4
Surplus notes, 7.70% due 2015...................................... 199.7 199.7
Other.............................................................. .4 .3
------------ ------------
Total Equitable Life........................................... 599.6 599.4
------------ ------------
Wholly Owned and Joint Venture Real Estate:
Mortgage notes, 5.43% - 9.5%, due through 2017..................... 251.3 392.2
------------ ------------
Alliance:
Other.............................................................. - 10.8
------------ ------------
Total long-term debt................................................. 850.9 1,002.4
------------ ------------
Total Short-term and Long-term Debt.................................. $ 1,407.9 $ 1,181.7
============ ============
</TABLE>
Short-term Debt
---------------
Equitable Life has a $700.0 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 and expires in September 2000. The
interest rates are based on external indices dependent on the type of
borrowing and at December 31, 1999 range from 5.76% to 8.5%. There were no
borrowings outstanding under this bank credit facility at December 31,
1999.
Equitable Life has a commercial paper program with an issue limit of $1.0
billion. This program is available for general corporate purposes used to
support Equitable Life's liquidity needs and is supported by Equitable
Life's existing $700.0 million bank credit facility. At December 31, 1999,
there were $166.9 million outstanding under this program.
Alliance has a $425.0 million five-year revolving credit facility with a
group of commercial banks. Under the 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 London Interbank Offered Rate ("LIBOR") or the
Federal Funds Rate. A facility fee is payable on the total facility. During
July 1999, Alliance increased the size of its commercial paper program by
$200.0 million from $425.0 million for a total available limit of $625.0
million. Borrowings from the revolving credit facility and the original
commercial paper program may not exceed $425.0 million in the aggregate.
The revolving credit facility provides backup liquidity for commercial
paper issued under
F-23
<PAGE>
Alliance's commercial paper program and can be used as a direct source of
borrowing. The revolving credit facility contains covenants that require
Alliance to, among other things, meet certain financial ratios. At December
31, 1999, Alliance had commercial paper outstanding totaling $384.7 million
at an effective interest rate of 5.9%; there were no borrowings outstanding
under Alliance's revolving credit facility.
In December 1999, Alliance established a $100.0 million extendible
commercial notes ("ECN") program to supplement its commercial paper
program. ECN's are short-term debt instruments that do not require any
back-up liquidity support.
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. At
December 31, 1999, the Company is in compliance with all debt covenants.
The Company has pledged real estate, mortgage loans, cash and securities
amounting to $323.6 million and $640.2 million at December 31, 1999 and
1998, respectively, as collateral for certain short-term and long-term
debt.
At December 31, 1999, aggregate maturities of the long-term debt based on
required principal payments at maturity was $3.0 million for 2000 and
$848.7 million for 2005 and thereafter.
10) FEDERAL INCOME TAXES
A summary of the Federal income tax expense in the consolidated statements
of earnings follows:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Federal income tax expense (benefit):
Current.......................................... $ 174.0 $ 283.3 $ 186.5
Deferred......................................... 158.0 69.8 (95.0)
------------- ------------ ------------
Total.............................................. $ 332.0 $ 353.1 $ 91.5
============= ============ ============
</TABLE>
F-24
<PAGE>
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 their tax effects
follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Expected Federal income tax expense................ $ 458.4 $ 414.3 $ 234.7
Non-taxable minority interest...................... (47.8) (33.2) (38.0)
Non-taxable subsidiary gains....................... (37.1) (6.4) -
Adjustment of tax audit reserves................... 27.8 16.0 (81.7)
Equity in unconsolidated subsidiaries.............. (64.0) (39.3) (45.1)
Other.............................................. (5.3) 1.7 21.6
------------- ------------ ------------
Federal Income Tax Expense......................... $ 332.0 $ 353.1 $ 91.5
============= ============ ============
</TABLE>
The components of the net deferred Federal income taxes are as follows:
<TABLE>
<CAPTION>
DECEMBER 31, 1999 December 31, 1998
----------------------------- -----------------------------
ASSETS LIABILITIES Assets Liabilities
----------- ------------ ------------ -----------
(IN MILLIONS)
<S> <C> <C> <C> <C>
Compensation and related benefits...... $ - $ 37.7 $ 235.3 $ -
Other.................................. - 20.6 27.8 -
DAC, reserves and reinsurance.......... - 329.7 - 231.4
Investments............................ 115.1 - - 364.4
----------- ------------ ------------ -----------
Total.................................. $ 115.1 $ 388.0 $ 263.1 $ 595.8
=========== ============ ============ ===========
</TABLE>
At December 31, 1999, in conjunction with the non-qualified employee
benefit plans, $236.8 million in deferred tax asset was transferred to the
Holding Company. See Note 12 for discussion of the benefit plans
transferred.
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 their
tax effects follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
DAC, reserves and reinsurance...................... $ 83.2 $ (7.7) $ 46.2
Investments........................................ 3.2 46.8 (113.8)
Compensation and related benefits.................. 21.0 28.6 3.7
Other.............................................. 50.6 2.1 (31.1)
------------- ------------ ------------
Deferred Federal Income Tax
Expense (Benefit)................................ $ 158.0 $ 69.8 $ (95.0)
============= ============ ============
</TABLE>
The Internal Revenue Service (the "IRS") is in the process of examining the
Holding Company's consolidated Federal income tax returns for the years
1992 through 1996. Management believes these audits will have no material
adverse effect on the Company's results of operations.
F-25
<PAGE>
11) 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. Ceded reinsurance does not relieve the originating insurer of
liability. The effect of reinsurance (excluding group life and health) is
summarized as follows:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Direct premiums.................................... $ 420.6 $ 438.8 $ 448.6
Reinsurance assumed................................ 206.7 203.6 198.3
Reinsurance ceded.................................. (69.1) (54.3) (45.4)
------------- ------------ ------------
Premiums........................................... $ 558.2 $ 588.1 $ 601.5
============= ============ ============
Universal Life and Investment-type Product
Policy Fee Income Ceded.......................... $ 69.7 $ 75.7 $ 61.0
============= ============ ============
Policyholders' Benefits Ceded...................... $ 99.6 $ 85.9 $ 70.6
============= ============ ============
Interest Credited to Policyholders' Account
Balances Ceded................................... $ 38.5 $ 39.5 $ 36.4
============= ============ ============
</TABLE>
Since 1997, the Company reinsures on a yearly renewal term basis 90% of the
mortality risk on new issues of certain term, universal and variable life
products. The Company's retention limit on joint survivorship policies is
$15.0 million. All in force business above $5.0 million is reinsured. The
Insurance Group also reinsures the entire risk on certain substandard
underwriting risks and in certain other cases.
The Insurance Group cedes 100% of its group life and health business to a
third party insurer. Premiums ceded totaled $.1 million, $1.3 million and
$1.6 million for 1999, 1998 and 1997, respectively. Ceded death and
disability benefits totaled $44.7 million, $15.6 million and $4.3 million
for 1999, 1998 and 1997, respectively. Insurance liabilities ceded totaled
$510.5 million and $560.3 million at December 31, 1999 and 1998,
respectively.
F-26
<PAGE>
12) 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 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 ("ERISA").
Effective December 31, 1999, the Holding Company legally assumed primary
liability from Equitable Life for all current and future obligations of its
Excess Retirement Plan, Supplemental Executive Retirement Plan and certain
other employee benefit plans that provide participants with medical, life
insurance, and deferred compensation benefits; Equitable Life remains
secondarily liable. The amount of the liability associated with employee
benefits transferred was $676.5 million, including $183.0 million of
non-qualified pension benefit obligations and $394.1 million of
postretirement benefits obligations at December 31, 1999. This transfer was
recorded as a non-cash capital contribution to Equitable Life.
Components of net periodic pension (credit) cost for the qualified and
non-qualified plans follow:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Service cost....................................... $ 36.7 $ 33.2 $ 32.5
Interest cost on projected benefit obligations..... 131.6 129.2 128.2
Actual return on assets............................ (189.8) (175.6) (307.6)
Net amortization and deferrals..................... 7.5 6.1 166.6
------------- ------------ ------------
Net Periodic Pension Cost (Credit)................. $ (14.0) $ (7.1) $ 19.7
============= ============ ============
</TABLE>
The projected benefit obligations under the qualified and non-qualified
pension plans were comprised of:
<TABLE>
<CAPTION>
DECEMBER 31,
-------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Benefit obligations, beginning of year................................. $ 1,933.4 $ 1,801.3
Service cost........................................................... 36.7 33.2
Interest cost.......................................................... 131.6 129.2
Actuarial (gains) losses............................................... (53.3) 108.4
Benefits paid.......................................................... (123.1) (138.7)
------------ ------------
Subtotal before transfer............................................... 1,925.3 1,933.4
Transfer of Non-qualified Pension Benefit Obligation
to the Holding Company............................................... (262.5) -
------------ ------------
Benefit Obligation, End of Year........................................ $ 1,662.8 $ 1,933.4
============ ============
</TABLE>
F-27
<PAGE>
The funded status of the qualified and non-qualified pension plans was as
follows:
<TABLE>
<CAPTION>
DECEMBER 31,
-------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Plan assets at fair value, beginning of year........................... $ 2,083.1 $ 1,867.4
Actual return on plan assets........................................... 369.0 338.9
Contributions.......................................................... .1 -
Benefits paid and fees................................................. (108.5) (123.2)
------------ ------------
Plan assets at fair value, end of year................................. 2,343.7 2,083.1
Projected benefit obligations.......................................... 1,925.3 1,933.4
------------ ------------
Excess of plan assets over projected benefit obligations............... 418.4 149.7
Unrecognized prior service cost........................................ (5.2) (7.5)
Unrecognized net (gain) loss from past experience different
from that assumed.................................................... (197.3) 38.7
Unrecognized net asset at transition................................... (.1) 1.5
------------ ------------
Subtotal before transfer............................................... 215.8 182.4
Transfer of Accrued Non-qualified Pension Benefit Obligation
to the Holding Company............................................... 183.0 -
------------ ------------
Prepaid Pension Cost, Net.............................................. $ 398.8 $ 182.4
============ ============
</TABLE>
The prepaid pension cost for pension plans with assets in excess of
projected benefit obligations was $412.2 million and $363.9 million and the
accrued liability for pension plans with projected benefit obligations in
excess of plan assets was $13.5 million and $181.5 million at December 31,
1999 and 1998, respectively.
The pension plan assets include corporate and government debt securities,
equity securities, equity real estate and shares of group trusts managed by
Alliance. The discount rate and rate of increase in future compensation
levels used in determining the actuarial present value of projected benefit
obligations were 8.0% and 6.38%, respectively, at December 31, 1999 and
7.0% and 3.83%, respectively, at December 31, 1998. As of January 1, 1999
and 1998, the expected long-term rate of return on assets for the
retirement plan was 10.0% and 10.25%, respectively.
The Company recorded, as a reduction of shareholder's equity, an additional
minimum pension liability of $.1 million, $28.3 million and $17.3 million,
net of Federal income taxes, at December 31, 1999, 1998 and 1997,
respectively, primarily representing the excess of the accumulated benefit
obligation of the non-qualified pension plan over the accrued liability.
The aggregate accumulated benefit obligation and fair value of plan assets
for pension plans with accumulated benefit obligations in excess of plan
assets were $325.7 million and $36.3 million, respectively, at December 31,
1999 and $309.7 million and $34.5 million, respectively, at December 31,
1998.
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 $30.2 million,
$31.8 million and $33.2 million for 1999, 1998 and 1997, respectively.
The Company provides certain medical and life insurance benefits
(collectively, "postretirement benefits") for qualifying employees,
managers and agents retiring from the Company (i) on or after attaining age
55 who have at least 10 years of service or (ii) on or after attaining age
65 or (iii) whose jobs have been abolished and who have attained age 50
with 20 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 1999, 1998 and 1997, the Company made estimated postretirement
benefits payments of $29.5 million, $28.4 million and $18.7 million,
respectively.
F-28
<PAGE>
The following table sets forth the postretirement benefits plan's status,
reconciled to amounts recognized in the Company's consolidated financial
statements:
<TABLE>
<CAPTION>
1999 1998 1997
----------------- ---------------- -----------------
(IN MILLIONS)
<S> <C> <C> <C>
Service cost....................................... $ 4.7 $ 4.6 $ 4.5
Interest cost on accumulated postretirement
benefits obligation.............................. 34.4 33.6 34.7
Unrecognized prior service costs................... (7.0) - -
Net amortization and deferrals..................... 8.4 .5 1.9
----------------- ---------------- -----------------
Net Periodic Postretirement Benefits Costs......... $ 40.5 $ 38.7 $ 41.1
================= ================ =================
</TABLE>
<TABLE>
<CAPTION>
DECEMBER 31,
-------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Accumulated postretirement benefits obligation, beginning
of year.............................................................. $ 490.4 $ 490.8
Service cost........................................................... 4.7 4.6
Interest cost.......................................................... 34.4 33.6
Contributions and benefits paid........................................ (29.5) (28.4)
Actuarial gains........................................................ (29.0) (10.2)
------------ ------------
Accumulated postretirement benefits obligation, end of year............ 471.0 490.4
Unrecognized prior service cost........................................ 26.9 31.8
Unrecognized net loss from past experience different
from that assumed and from changes in assumptions.................... (86.0) (121.2)
------------ ------------
Subtotal before transfer............................................... 411.9 401.0
Transfer to the Holding Company........................................ (394.1) -
------------ ------------
Accrued Postretirement Benefits Cost................................... $ 17.8 $ 401.0
============ ============
</TABLE>
Since January 1, 1994, costs to the Company for providing these 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 7.5% in 1999, gradually declining to
4.75% in the year 2010, and in 1998 was 8.0%, gradually declining to 2.5%
in the year 2009. The discount rate used in determining the accumulated
postretirement benefits obligation was 8.0% and 7.0% at December 31, 1999
and 1998, respectively.
If the health care cost trend rate assumptions were increased by 1%, the
accumulated postretirement benefits obligation as of December 31, 1999
would be increased 3.55%. The effect of this change on the sum of the
service cost and interest cost would be an increase of 3.91%. If the health
care cost trend rate assumptions were decreased by 1% the accumulated
postretirement benefits obligation as of December 31, 1999 would be
decreased by 4.38%. The effect of this change on the sum of the service
cost and interest cost would be a decrease of 4.96%.
F-29
<PAGE>
13) 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, 1999 and 1998,
respectively, was $797.3 million and $880.9 million. The average unexpired
terms at December 31, 1999 ranged from two months to 5.0 years. At December
31, 1999, the cost of terminating swaps in a loss position was $1.8
million. Equitable Life maintains an interest rate cap program designed to
hedge crediting rates on interest-sensitive individual annuities contracts.
The outstanding notional amounts at December 31, 1999 of contracts
purchased and sold were $7,575.0 million and $875.0 million, respectively.
The net premium paid by Equitable Life on these contracts was $51.6 million
and is being amortized ratably over the contract periods ranging from 1 to
4 years. Income and expense resulting from this program are reflected as an
adjustment to interest credited to policyholders' account balances.
DLJ enters into certain contractual agreements referred to as derivatives
or off-balance-sheet financial instruments primarily for trading purposes
and to provide products for its clients. DLJ performs the following
activities: writing over-the-counter ("OTC") options to accommodate
customer needs; trading in forward contracts in U.S. government and agency
issued or guaranteed securities; trading in futures contracts on equity
based indices, interest rate instruments, and currencies; and issuing
structured products based on emerging market financial instruments and
indices. DLJ also enters into swap agreements, primarily equity, interest
rate and foreign currency swaps. DLJ is not significantly involved in
commodity derivative instruments.
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 the timing
and 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 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, 1999 and 1998.
F-30
<PAGE>
Fair values 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.
Fair values of policy loans are estimated by discounting the face value of
the loans from the time of the next interest rate review to the present, at
a rate equal to the excess of the current estimated market rates over the
current interest rate charged on the loan.
The estimated fair values for the Company's association plan contracts,
supplementary contracts not involving life contingencies ("SCNILC") and
annuities certain, which are included in policyholders' account balances,
and guaranteed interest contracts are estimated using projected cash flows
discounted at rates reflecting expected current offering rates.
The estimated fair values for variable deferred annuities and single
premium deferred annuities ("SPDA"), which are included in policyholders'
account balances, are estimated by discounting the account value back from
the time of the next crediting rate review to the present, at a rate equal
to the excess of current estimated market rates offered on new policies
over the current crediting rates.
Fair values for long-term debt are 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 carrying value of short-term borrowings approximates their
estimated fair value.
The following table discloses carrying value and estimated fair value for
financial instruments not otherwise disclosed in Notes 3, 7 and 8:
<TABLE>
<CAPTION>
DECEMBER 31,
--------------------------------------------------------------------
1999 1998
--------------------------------- ---------------------------------
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.......... $ 3,270.0 $ 3,239.3 $ 2,809.9 $ 2,961.8
Other limited partnership interests.... 647.9 647.9 562.6 562.6
Policy loans........................... 2,257.3 2,359.5 2,086.7 2,370.7
Policyholders' account balances -
investment contracts................. 12,740.4 12,800.5 12,892.0 13,396.0
Long-term debt......................... 850.9 834.9 1,002.4 1,025.2
Closed Block Financial Instruments:
-----------------------------------
Mortgage loans on real estate.......... $ 1,704.2 $ 1,650.3 $ 1,633.4 $ 1,703.5
Other equity investments............... 36.3 36.3 56.4 56.4
Policy loans........................... 1,593.9 1,712.0 1,641.2 1,929.7
SCNILC liability....................... 22.8 22.5 25.0 25.0
Discontinued Operations Financial
---------------------------------
Instruments:
------------
Mortgage loans on real estate.......... $ 454.6 $ 467.0 $ 553.9 $ 599.9
Fixed maturities....................... 85.5 85.5 24.9 24.9
Other equity investments............... 55.8 55.8 115.1 115.1
Guaranteed interest contracts.......... 33.2 27.5 37.0 34.0
Long-term debt......................... 101.9 101.9 147.1 139.8
</TABLE>
F-31
<PAGE>
14) 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 $59.4 million to affiliated real estate joint
ventures; and to provide equity financing to certain limited partnerships
of $373.8 million at December 31, 1999, under existing loan or loan
commitment agreements.
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.
The Insurance Group had $24.9 million of letters of credit outstanding at
December 31, 1999.
15) LITIGATION
The Company
-----------
Life Insurance and Annuity Sales Cases
A number of lawsuits are pending as individual claims and purported class
actions against Equitable Life, its subsidiary insurance company and a
former insurance subsidiary. These actions involve, among other things,
sales of life and annuity products for varying periods from 1980 to the
present, and allege, among other things, sales practice misrepresentation
primarily involving: the number of premium payments required; the propriety
of a product as an investment vehicle; the propriety of a product as a
replacement of an existing policy; and failure to disclose a product as
life insurance. Some actions are in state courts and others are in U.S.
District Courts in different jurisdictions, and are in varying stages of
discovery and motions for class certification.
In general, the plaintiffs request an unspecified amount of damages,
punitive damages, enjoinment from the described practices, prohibition
against cancellation of policies for non-payment of premium or other
remedies, as well as attorneys' fees and expenses. Similar actions have
been filed against other life and health insurers and have resulted in the
award of substantial judgments, including material amounts of punitive
damages, or in substantial settlements. 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
these cases should not have a material adverse effect on the financial
position of the Company. 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.
Discrimination Case
Equitable Life is a defendant in an action, certified as a class action in
September 1997, in the United States District Court for the Northern
District of Alabama, Southern Division, involving alleged discrimination on
the basis of race against African-American applicants and potential
applicants in hiring individuals as sales agents. Plaintiffs seek a
declaratory judgment and affirmative and negative injunctive relief,
including the payment of back-pay, pension and other compensation. Although
the outcome of litigation cannot be predicted with certainty, the Company's
management believes that the ultimate resolution of this matter should not
have a material adverse effect on the financial position of the Company.
The Company's management cannot make an estimate of loss, if any, or
predict whether or not such matter will have a material adverse effect on
the Company's results of operations in any particular period.
Agent Health Benefits Case
Equitable Life is a defendant in an action, certified as a class action in
March 1999, in the United States District Court for the Northern District
of California, alleging, among other things, that Equitable Life violated
ERISA by eliminating certain alternatives pursuant to which agents of
Equitable Life could qualify for health care coverage. The class consists
of "[a]ll current, former and retired Equitable agents, who while
F-32
<PAGE>
associated with Equitable satisfied [certain alternatives] to qualify for
health coverage or contributions thereto under applicable plans."
Plaintiffs allege various causes of action under ERISA, including claims
for enforcement of alleged promises contained in plan documents and for
enforcement of agent bulletins, breach of unilateral contract, breach of
fiduciary duty and promissory estoppel. The parties are currently engaged
in discovery. Although the outcome of any litigation cannot be predicted
with certainty, the Company's management believes that the ultimate
resolution of this matter should not have a material adverse effect on the
financial position of the Company. The Company's management cannot make an
estimate of loss, if any, or predict whether or not such matter will have a
material adverse effect on the Company's results of operations in any
particular period.
Prime Property Fund Case
In January 2000, the California Supreme Court denied the Company's petition
for review of an October 1999 decision by the California Superior Court of
Appeal. Such decision reversed the dismissal by the Supreme Court of Orange
County, California of an action which was commenced in 1995 by a real
estate developer in connection with a limited partnership formed in 1991
with the Company on behalf of Prime Property Fund ("PPF"). The Company
serves as investment manager for PPF, an open-end, commingled real estate
separate account of the Company for pension clients. Plaintiff alleges
breach of fiduciary duty and other claims principally in connection with
PPF's 1995 purchase and subsequent foreclosure of the loan which financed
the partnership's property. Plaintiff seeks compensatory and punitive
damages. The case has been remanded to the Superior Court for further
proceedings. Although the outcome of litigation cannot be predicted with
certainty, the Company's management believes that the ultimate resolution
of this matter should not have a material adverse effect on the financial
position of the Company. The Company's management cannot make an estimate
of loss, if any, or predict whether or not this matter will have a material
adverse effect on the Company's results of operations in any particular
period.
Alliance Capital
----------------
In July 1995, a class action complaint was filed against Alliance North
American Government Income Trust, Inc. (the "Fund"), Alliance Holding 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 original complaint was dismissed in 1996; on
appeal, the dismissal was affirmed. In October 1996, plaintiffs filed a
motion for leave to file an amended complaint, alleging the Fund failed to
hedge against currency risk despite representations that it would do so,
the Fund did not properly disclose that it planned to invest in
mortgage-backed derivative securities and two Fund advertisements
misrepresented the risks of investing in the Fund. In October 1998, the
U.S. Court of Appeals for the Second Circuit issued an order granting
plaintiffs' motion to file an amended complaint alleging that the Fund
misrepresented its ability to hedge against currency risk and denying
plaintiffs' motion to file an amended complaint containing the other
allegations. In December 1999, the United States District Court for the
Southern District of New York granted the defendants' motion for summary
judgment on all claims against all defendants. Later in December 1999, the
plaintiffs filed motions for reconsideration of the Court's ruling. These
motions are currently pending with the Court.
In connection with the Reorganization; Alliance assumed any liabilities
which Alliance Holding may have with respect to this action. Alliance and
Alliance Holding believe that the allegations in the amended complaint are
without merit and intend to vigorously defend against these claims. While
the ultimate outcome of this matter cannot be determined at this time,
management of Alliance Holding and Alliance do not expect that it will have
a material adverse effect on Alliance Holding's or Alliance's results of
operations or financial condition.
DLJSC
-----
Donaldson, Lufkin & Jenrette Securities Corporation ("DLJSC") is a
defendant along with certain other parties in a class action complaint
involving the underwriting of units, consisting of notes and warrants to
purchase common shares, of Rickel Home Centers, Inc. ("Rickel"), which
filed a voluntary petition for reorganization pursuant to Chapter 11 of the
Bankruptcy Code. The complaint seeks unspecified compensatory and punitive
damages from DLJSC, as an underwriter and as an owner of 7.3% of the common
stock, for alleged violation of Federal securities laws and common law
fraud for alleged misstatements and omissions contained in the prospectus
and registration statement used in the offering of the units. In April
1999, the complaint against DLJSC and the other defendants was dismissed.
The plaintiffs have appealed. DLJSC intends to defend itself vigorously
against all the allegations contained in the complaint.
DLJSC is a defendant in a purported class action filed in a Texas State
Court on behalf of the holders of $550 million principal amount of
subordinated redeemable discount debentures of National Gypsum Corporation
("NGC"). The debentures were canceled in connection with a Chapter 11 plan
of reorganization for NGC consummated in July 1993. The litigation seeks
compensatory and punitive damages for DLJSC's activities as financial
advisor to NGC in the course of NGC's Chapter 11 proceedings. In March
1999, the Court granted motions for summary judgment filed by DLJSC and the
other defendants. The plaintiffs have appealed. DLJSC intends to defend
itself vigorously against all the allegations contained in the complaint.
In November 1998, three purported class actions were filed in the U.S.
District Court for the Southern District of New York against more than 25
underwriters of initial public offering securities, including DLJSC. The
complaints allege that defendants conspired to fix the "fee" paid for
underwriting initial public offering securities by setting the
underwriters' discount or "spread" at 7%, in violation of the Federal
antitrust laws. The complaints seek treble damages in an unspecified amount
and injunctive relief as well as attorneys' fees and costs. In March 1999,
the plaintiffs filed a consolidated amended complaint. A motion by all
defendants
F-33
<PAGE>
to dismiss the complaints on several grounds is pending. Separately, the
U.S. Department of Justice has issued a Civil Investigative Demand to
several investment banking firms, including DLJSC, seeking documents and
information relating to "alleged" price-fixing with respect to underwriting
spreads in initial public offerings. The Justice Department has not made
any charges against DLJSC or the other investment banking firms. DLJSC is
cooperating with the Justice Department in providing the requested
information and believes that no violation of law by DLJSC has occurred.
Although there can be no assurance, DLJ's management does not believe that
the ultimate resolution of the litigations described above to which DLJSC
is a party will have a material adverse effect on DLJ's consolidated
financial condition. Based upon the information currently available to it,
DLJ's management cannot predict whether or not such litigations will have a
material adverse effect on DLJ's results of operations in any particular
period.
Other Matters
In addition to the matters described above, the Holding Company 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.
16) LEASES
The Company has entered into operating leases for office space and certain
other assets, principally information technology equipment and office
furniture and equipment. Future minimum payments under noncancelable leases
for 2000 and the four successive years are $111.2 million, $93.3 million,
$78.3 million, $71.9 million, $66.5 million and $523.7 million thereafter.
Minimum future sublease rental income on these noncancelable leases for
2000 and the four successive years is $5.2 million, $4.1 million, $2.8
million, $2.8 million, $2.8 million and $23.8 million thereafter.
At December 31, 1999, the minimum future rental income on noncancelable
operating leases for wholly owned investments in real estate for 2000 and
the four successive years is $120.7 million, $113.5 million, $96.0 million,
$79.7 million, $74.1 million and $354.6 million thereafter.
17) OTHER OPERATING COSTS AND EXPENSES
Other operating costs and expenses consisted of the following:
<TABLE>
<CAPTION>
1999 1998 1997
------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C>
Compensation costs................................. $ 1,010.6 $ 772.0 $ 721.5
Commissions........................................ 549.5 478.1 409.6
Short-term debt interest expense................... 16.7 26.1 31.7
Long-term debt interest expense.................... 76.3 84.6 121.2
Amortization of policy acquisition costs........... 314.5 292.7 287.3
Capitalization of policy acquisition costs......... (709.9) (609.1) (508.0)
Writedown of policy acquisition costs.............. 131.7 - -
Rent expense, net of sublease income............... 113.9 100.0 101.8
Cursitor intangible assets writedown............... - - 120.9
Other.............................................. 1,294.0 1,056.8 917.9
------------- ------------ ------------
Total.............................................. $ 2,797.3 $ 2,201.2 $ 2,203.9
================= ================ =================
</TABLE>
F-34
<PAGE>
During 1997, the Company restructured certain operations in connection with
cost reduction programs and recorded a pre-tax provision of $42.4 million.
The amount paid during 1999 associated with cost reduction programs totaled
$15.6 million. At December 31, 1999, the remaining liabilities associated
with cost reduction programs was $8.8 million. The 1997 cost reduction
program included costs related to employee termination and exit costs.
18) INSURANCE GROUP STATUTORY FINANCIAL INFORMATION
Equitable Life is restricted as to the amounts it may pay as shareholder
dividends. Under the New York Insurance Law, the Superintendent has broad
discretion to determine whether the financial condition of a stock life
insurance company would support the payment of dividends to its
shareholders. For 1999, 1998 and 1997, statutory net income (loss) totaled
$547.0 million, $384.4 million and ($351.7) million, respectively.
Statutory surplus, capital stock and Asset Valuation Reserve ("AVR")
totaled $5,570.6 million and $4,728.0 million at December 31, 1999 and
1998, respectively. In September 1999, $150.0 million in dividends were
paid to the Holding Company by Equitable Life, the first such payment since
Equitable Life's demutualization in 1992.
At December 31, 1999, the Insurance Group, in accordance with various
government and state regulations, had $26.8 million of securities deposited
with such government or state agencies.
The differences between statutory surplus and capital stock determined in
accordance with Statutory Accounting Principles ("SAP") and total
shareholder's equity under GAAP are primarily: (a) the inclusion in SAP of
an AVR intended to stabilize surplus from fluctuations in the value of the
investment portfolio; (b) future policy benefits and policyholders' account
balances under SAP differ from GAAP due to differences between actuarial
assumptions and reserving methodologies; (c) certain policy acquisition
costs are expensed under SAP but deferred under GAAP and amortized over
future periods to achieve a matching of revenues and expenses; (d) external
and certain internal costs incurred to obtain or develop internal use
computer software during the application development stage is capitalized
under GAAP but expensed under SAP; (e) Federal income taxes are generally
accrued under SAP based upon revenues and expenses in the Federal income
tax return while under GAAP deferred taxes provide for timing differences
between recognition of revenues and expenses for financial reporting and
income tax purposes; (f) the valuation of assets under SAP and GAAP differ
due to different investment valuation and depreciation methodologies, as
well as the deferral of interest-related realized capital gains and losses
on fixed income investments; and (g) differences in the accrual
methodologies for post-employment and retirement benefit plans.
F-35
<PAGE>
19) BUSINESS SEGMENT INFORMATION
The Company's operations consist of Insurance and Investment Services. The
Company's management evaluates the performance of each of these segments
independently and allocates resources based on current and future
requirements of each segment. Management evaluates the performance of each
segment based upon operating results adjusted to exclude the effect of
unusual or non-recurring events and transactions and certain revenue and
expense categories not related to the base operations of the particular
business net of minority interest. Information for all periods is presented
on a comparable basis.
Intersegment investment advisory and other fees of approximately $75.6
million, $61.8 million and $84.1 million for 1999, 1998 and 1997,
respectively, are included in total revenues of the Investment Services
segment. These fees, excluding amounts related to discontinued operations
of $.5 million, $.5 million and $4.2 million for 1999, 1998 and 1997,
respectively, are eliminated in consolidation.
The following tables reconcile each segment's revenues and operating
earnings to total revenues and earnings from continuing operations before
Federal income taxes and cumulative effect of accounting change as reported
on the consolidated statements of earnings and the segments' assets to
total assets on the consolidated balance sheets, respectively.
<TABLE>
<CAPTION>
INVESTMENT
INSURANCE SERVICES ELIMINATION TOTAL
------------- ------------ ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
1999
----
Segment revenues..................... $ 4,283.0 $ 2,052.7 $ (23.8) $ 6,311.9
Investment (losses) gains............ (199.4) 111.5 - (87.9)
------------- ------------ ------------ ------------
Total Revenues....................... $ 4,083.6 $ 2,164.2 $ (23.8) $ 6,224.0
============= ============ ============ ============
Pre-tax operating earnings........... $ 895.7 $ 427.0 $ - $ 1,322.7
Investment (losses) gains , net of
DAC and other charges.............. (208.4) 110.5 - (97.9)
Non-recurring DAC adjustments........ (131.7) - - (131.7)
Pre-tax minority interest............ - 216.8 - 216.8
------------- ------------ ------------ ------------
Earnings from Continuing
Operations......................... $ 555.6 $ 754.3 $ - $ 1,309.9
============= ============ ============ ============
Total Assets......................... $ 86,842.7 $ 12,961.7 $ (8.9) $ 99,795.5
============= ============ ============ ============
1998
----
Segment revenues..................... $ 4,029.8 $ 1,438.4 $ (5.7) $ 5,462.5
Investment gains..................... 64.8 35.4 - 100.2
------------- ------------ ------------ ------------
Total Revenues....................... $ 4,094.6 $ 1,473.8 $ (5.7) $ 5,562.7
============= ============ ============ ============
Pre-tax operating earnings........... $ 688.6 $ 284.3 $ - $ 972.9
Investment gains, net of
DAC and other charges.............. 41.7 27.7 - 69.4
Pre-tax minority interest............ - 141.5 - 141.5
------------- ------------ ------------ ------------
Earnings from Continuing
Operations......................... 730.3 453.5 - 1,183.8
============= ============ ============ ============
Total Assets......................... $ 75,626.0 $ 12,379.2 $ (64.4) $ 87,940.8
============= ============ ============ ============
</TABLE>
F-36
<PAGE>
<TABLE>
<CAPTION>
INVESTMENT
INSURANCE SERVICES ELIMINATION TOTAL
------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
1997
----
Segment revenues..................... $ 3,990.8 $ 1,200.0 $ (7.7) $ 5,183.1
Investment (losses) gains............ (318.8) 255.1 - (63.7)
------------- ------------ ------------ ------------
Total Revenues....................... $ 3,672.0 $ 1,455.1 $ (7.7) $ 5,119.4
============= ============ ============ ============
Pre-tax operating earnings........... $ 507.0 $ 258.3 $ - $ 765.3
Investment (losses) gains, net of
DAC and other charges.............. (292.5) 252.7 - (39.8)
Non-recurring costs and expenses..... (41.7) (121.6) - (163.3)
Pre-tax minority interest............ - 108.5 - 108.5
------------- ------------ ------------ ------------
Earnings from Continuing
Operations......................... $ 172.8 $ 497.9 $ - $ 670.7
============= ============ ============ ============
Total Assets......................... $ 67,762.4 $ 13,691.4 $ (96.1) $ 81,357.7
============= ============ ============ ============
</TABLE>
20) QUARTERLY RESULTS OF OPERATIONS (UNAUDITED)
The quarterly results of operations for 1999 and 1998 are summarized below:
<TABLE>
<CAPTION>
THREE MONTHS ENDED
------------------------------------------------------------------------
MARCH 31 JUNE 30 SEPTEMBER 30 DECEMBER 31
------------- ------------- ------------ ------------
(IN MILLIONS)
<S> <C> <C> <C> <C>
1999
----
Total Revenues................ $ 1,484.3 $ 1,620.3 $ 1,512.1 $ 1,607.3
============= ============= ============ ============
Earnings from Continuing
Operations.................. $ 187.3 $ 222.6 $ 186.5 $ 182.1
============= ============= ============ ============
Net Earnings.................. $ 182.0 $ 221.3 $ 183.1 $ 220.2
============= ============= ============ ============
1998
----
Total Revenues................ $ 1,470.2 $ 1,422.9 $ 1,297.6 $ 1,372.0
============= ============= ============ ============
Earnings from Continuing
Operations.................. $ 212.8 $ 197.0 $ 136.8 $ 158.9
============= ============= ============ ============
Net Earnings.................. $ 213.3 $ 198.3 $ 137.5 $ 159.1
============= ============= ============ ============
</TABLE>
F-37
<PAGE>
21) INVESTMENT IN DLJ
At December 31, 1999, the Company's ownership of DLJ interest was
approximately 31.71%. The Company's ownership interest in DLJ will continue
to be reduced upon the exercise of options granted to certain DLJ employees
and the vesting of forfeitable restricted stock units acquired by DLJ
employees. DLJ restricted stock units represent 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.
Summarized balance sheets information for DLJ, reconciled to the Company's
carrying value of DLJ, are as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
-------------------------------
1999 1998
------------ ------------
(IN MILLIONS)
<S> <C> <C>
Assets:
Trading account securities, at market value............................ $ 27,982.4 $ 13,195.1
Securities purchased under resale agreements........................... 29,538.1 20,063.3
Broker-dealer related receivables...................................... 44,998.1 34,264.5
Other assets........................................................... 6,493.5 4,759.3
------------ ------------
Total Assets........................................................... $ 109,012.1 $ 72,282.2
============ ============
Liabilities:
Securities sold under repurchase agreements............................ $ 56,474.4 $ 35,775.6
Broker-dealer related payables......................................... 37,207.4 26,161.5
Short-term and long-term debt.......................................... 6,518.6 3,997.6
Other liabilities...................................................... 4,704.5 3,219.8
------------ ------------
Total liabilities...................................................... 104,904.9 69,154.5
DLJ's company-obligated mandatorily redeemed preferred
securities of subsidiary trust holding solely debentures of DLJ...... 200.0 200.0
Total shareholders' equity............................................. 3,907.2 2,927.7
------------ ------------
Total Liabilities, Cumulative Exchangeable Preferred Stock and
Shareholders' Equity................................................. $ 109,012.1 $ 72,282.2
============ ============
DLJ's equity as reported............................................... $ 3,907.2 $ 2,927.7
Unamortized cost in excess of net assets acquired in 1985
and other adjustments................................................ 22.9 23.7
The Holding Company's equity ownership in DLJ.......................... (1,341.4) (1,002.4)
Minority interest in DLJ............................................... (1,479.3) (1,118.2)
------------ ------------
The Company's Carrying Value of DLJ.................................... $ 1,109.4 $ 830.8
============ ============
</TABLE>
F-38
<PAGE>
Summarized statements of earnings information for DLJ reconciled to the
Company's equity in earnings of DLJ is as follows:
<TABLE>
<CAPTION>
1999 1998 1997
------------ ------------ -------------
(IN MILLIONS)
<S> <C> <C> <C>
Commission, fees and other income..................... $ 4,145.1 $ 3,150.5 $ 2,430.7
Net investment income................................. 2,175.3 2,189.1 1,652.1
Principal Transactions, net........................... 825.9 67.4 557.7
------------ ------------ -------------
Total revenues........................................ 7,146.3 5,407.0 4,640.5
Total expenses including income taxes................. 6,545.6 5,036.2 4,232.2
------------ ------------ -------------
Net earnings.......................................... 600.7 370.8 408.3
Dividends on preferred stock.......................... 21.2 21.3 12.2
------------ ------------ -------------
Earnings Applicable to Common Shares.................. $ 579.5 $ 349.5 $ 396.1
============ ============ =============
DLJ's earnings applicable to common shares as
reported............................................ $ 579.5 $ 349.5 $ 396.1
Amortization of cost in excess of net assets
acquired in 1985.................................... (.9) (.8) (1.3)
The Holding Company's equity in DLJ's earnings........ (222.7) (136.8) (156.8)
Minority interest in DLJ.............................. (172.9) (99.5) (109.1)
------------ ------------ -------------
The Company's Equity in DLJ's Earnings................ $ 183.0 $ 112.4 $ 128.9
============ ============ =============
</TABLE>
22) ACCOUNTING FOR STOCK-BASED COMPENSATION
The Holding Company sponsors a stock incentive plan for employees of
Equitable Life. DLJ and Alliance each sponsor their own stock option plans
for certain employees. The Company has elected to continue to account for
stock-based compensation using the intrinsic value method prescribed in APB
No. 25. Had compensation expense for the Holding Company, DLJ and Alliance
Stock Option Incentive Plan options been determined based on SFAS No. 123's
fair value based method, the Company's pro forma net earnings for 1999,
1998 and 1997 would have been $757.1 million, $678.4 million and $426.3
million, respectively.
The fair values of options granted after December 31, 1994, used as a basis
for the pro forma disclosures above, were estimated as of the grant dates
using the Black-Scholes option pricing model. The option pricing
assumptions for 1999, 1998 and 1997 follow:
<TABLE>
<CAPTION>
HOLDING COMPANY DLJ ALLIANCE
------------------------------ ------------------------------- ----------------------------------
1999 1998 1997 1999 1998 1997 1999 1998 1997
--------- ---------- --------- ---------- --------- ---------- --------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Dividend yield...... 0.31% 0.32% 0.48% 0.56% 0.69% 0.86% 8.70% 6.50% 8.00%
Expected volatility. 28% 28% 20% 36% 40% 33% 29% 29% 26%
Risk-free interest
rate.............. 5.46% 5.48% 5.99% 5.06% 5.53% 5.96% 5.70% 4.40% 5.70%
Expected life
in years.......... 5 5 5 5 5 5 7 7.2 7.2
Weighted average
fair value per
option at
grant-date........ $10.78 $11.32 $6.13 $17.19 $16.27 $10.81 $3.88 $3.86 $2.18
</TABLE>
F-39
<PAGE>
A summary of the Holding Company, DLJ and Alliance's option plans follows:
<TABLE>
<CAPTION>
HOLDING COMPANY DLJ ALLIANCE
----------------------------- ----------------------------- -----------------------------
Weighted Weighted Weighted
Average Average Average
Exercise Exercise Exercise
Price of Price of Price of
Shares Options Shares Options Units Options
(In Millions) Outstanding (In Millions) Outstanding (In Millions) Outstanding
--------------- ------------- --------------- ------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance as of
January 1, 1997........ 13.4 $10.40 22.2 $14.03 10.0 $ 9.54
Granted................ 6.4 $20.93 6.4 $30.54 2.2 $18.28
Exercised.............. (3.2) $10.13 (.2) $16.01 (1.2) $ 8.06
Forfeited.............. (.8) $11.72 (.2) $13.79 (.4) $10.64
--------------- ------------- ---------------
Balance as of
December 31, 1997...... 15.8 $14.53 28.2 $17.78 10.6 $11.41
Granted................ 8.6 $33.13 1.5 $38.59 2.8 $26.28
Exercised.............. (2.2) $10.59 (1.4) $14.91 (.9) $ 8.91
Forfeited.............. (.8) $23.51 (.1) $17.31 (.2) $13.14
--------------- ------------- ---------------
Balance as of
December 31, 1998...... 21.4 $22.00 28.2 $19.04 12.3 $14.92
Granted................ 4.3 $31.70 4.8 $45.23 2.0 $30.18
Exercised.............. (2.4) $13.26 (2.2) $34.61 (1.5) $ 9.51
Forfeited.............. (.6) $24.29 (.1) $15.85 (.3) $17.79
--------------- ------------- ---------------
Balance as of
December 31, 1999...... 22.7 $24.60 30.7 $23.30 12.5 $17.95
=============== ============= ===============
</TABLE>
F-40
<PAGE>
Information about options outstanding and exercisable at December 31, 1999
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
- -------------------- ------------------ ---------------- --------------- ------------------ ----------------
Holding
Company
- --------------------
<S> <C> <C> <C> <C> <C> <C>
$ 9.06 -$13.88 5.6 4.2 $10.50 10.9 $18.98
$14.25 -$22.63 5.2 7.7 $20.95 - -
$25.32 -$34.59 8.2 8.7 $29.08 - -
$40.97 -$41.28 3.7 8.6 $41.28 - -
----------------- ------------------
$ 9.06 -$41.28 22.7 7.3 $24.60 10.9 $18.98
================= ================ =============== ================== ================
DLJ
- --------------------
$13.50 -$25.99 20.2 8.4 $14.61 20.6 $16.62
$26.00 -$38.99 4.9 7.8 $33.99 - -
$39.00 -$52.875 4.8 9.0 $43.28 - -
$53.00 -$76.875 .8 9.7 $57.09 - -
----------------- ------------------
$13.50 -$76.875 30.7 8.4 $23.30 20.6 $16.62
================= ================ =============== ================== ================
Alliance
- --------------------
$ 3.66 -$ 9.81 2.6 3.8 $ 8.31 2.2 $ 8.12
$ 9.88 -$12.56 3.3 5.6 $11.16 2.6 $10.92
$13.75 -$18.47 1.8 7.9 $18.34 .7 $18.34
$18.78 -$26.31 2.8 8.9 $26.16 .6 $26.06
$27.31 -$30.94 2.0 9.9 $30.24 - -
----------------- ------------------
$ 3.66 -$30.94 12.5 7.0 $17.95 6.1 $12.12
================= ================ =============== ================== ================
</TABLE>
F-41
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
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 State Street Bank and Trust Company Lifecycle Fund Group Trust --
Conservative at December 31, 1999, and the results of its operations, the
changes in its net assets and the selected per unit data for the periods
indicated, in conformity with accounting principles generally accepted in the
United States. 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 auditing standards generally accepted in the United States
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by the Trustee, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1999 by correspondence with the
custodian, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
March 15, 2000
SAI-79
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in State Street Bank and Trust Company
Collective Investment Funds:
Daily EAFE Non-Lending Fund (97,241 units) ............................... $ 1,282,800
Daily Government/Corporate Bond Fund (458,403 units) ..................... 6,382,346
Russell 2000 Fund (23,325 units) ......................................... 647,932
S&P 500 Flagship Fund (7,755 units) ...................................... 1,921,635
Short Term Investment Fund (2,552,051 units) ............................. 2,552,051
- ------------------------------------------------------------------------------- -----------
Total investments, at value (cost $11,714,750)............................... 12,786,764
Receivable for Fund units issued ......................................... 2,044
Interest receivable ...................................................... 12,249
Dividends from securities lending fee income receivable .................. 53
- ------------------------------------------------------------------------------- -----------
Total assets ............................................................ 12,801,290
- ------------------------------------------------------------------------------- -----------
LIABILITIES
Accrued expenses ............................................................. 3,892
- ------------------------------------------------------------------------------- -----------
NET ASSETS (equivalent to $15.18 per unit based on 843,134 units outstanding) $12,797,398
=============================================================================== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-80
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest ............................................................... $142,034
Dividends from securities lending fee income ........................... 612
- -------------------------------------------------------------------------- --------
Total investment income ............................................. 142,646
- -------------------------------------------------------------------------- --------
EXPENSES
Administration ......................................................... 12,000
Audit .................................................................. 5,000
Legal .................................................................. 12,000
Management ............................................................. 23,193
- -------------------------------------------------------------------------- --------
Total expenses ...................................................... 52,193
- -------------------------------------------------------------------------- --------
Net investment income ............................................... 90,453
- -------------------------------------------------------------------------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) ............................................... 609,280
Net change in unrealized appreciation (depreciation) ................... 114,842
- -------------------------------------------------------------------------- --------
Net realized and unrealized gain (loss) on investments ............... 724,122
- -------------------------------------------------------------------------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ......... $814,575
========================================================================== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-81
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ............................................................. $ 90,453 $ 73,968
Net realized gain (loss) on investments ........................................... 609,280 730,277
Net change in unrealized appreciation (depreciation) on investments ............... 114,842 394,473
- ------------------------------------------------------------------------------------ ------------ ------------
Net increase (decrease) in net assets resulting from operations .................. 814,575 1,198,718
- ------------------------------------------------------------------------------------ ------------ ------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ..... (1,533,412) 5,068,906
- ------------------------------------------------------------------------------------ ------------ ------------
Net increase (decrease) in net assets ............................................. (718,837) 6,267,624
NET ASSETS
Beginning of year ................................................................ 13,516,235 7,248,611
- ------------------------------------------------------------------------------------ ------------ ------------
End of year ...................................................................... $ 12,797,398 $ 13,516,235
==================================================================================== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-82
<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,
----------------------------------------------------------
1999 1998 1997 1996 1995 (A)
----------- ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Net investment income (loss)(b) ............................... $ 0.10 $ 0.09 $ 0.06 $ 0.05 $ (0.08)
Net realized and unrealized gain (loss) ....................... 0.81 1.41 1.28 0.65 0.81
- --------------------------------------------------------------- -------- -------- -------- ------- --------
Net increase (decrease) ....................................... 0.91 1.50 1.34 0.70 0.73
NET ASSET VALUE
Beginning of period ........................................... 14.27 12.77 11.43 10.73 10.00
- --------------------------------------------------------------- -------- -------- -------- ------- --------
END OF PERIOD ................................................. $ 15.18 $ 14.27 $ 12.77 $ 11.43 $ 10.73
=============================================================== ======== ======== ======== ======= ========
Total return (%) (c) .......................................... 6.38 11.75 11.72 6.52 7.30
=============================================================== ======== ======== ======== ======= ========
Ratio of expenses to average net assets (%) (d) (e) ........... 0.38 0.43 0.66 0.81 2.13
Ratio of net investment income (loss) to average net assets (%)
(d) (f) ...................................................... 0.66 0.68 0.46 0.31 ( 1.04)
Portfolio turnover (%) ........................................ 42 77 44 54 131
Net assets, end of period (000s) .............................. $ 12,797 $ 13,516 $ 7,249 $ 4,534 $ 2,983
=============================================================== ======== ======== ======== ======= ========
</TABLE>
(a) The Fund commenced operations on May 5, 1995.
(b) Net investment income (loss) per unit has been calculated based upon
a monthly average of units outstanding.
(c) Total return calculation (not annualized for the period ended
December 31, 1995) 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. The result may be reduced by
any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(d) Annualized for the period ended December 31, 1995.
(e) 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.
(f) 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-83
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Lifecycle Fund
Group Trust -- Conservative (the "Fund") was formed by State Street Bank under
a Declaration of Trust. The investment objective of the Fund is to seek to
provide current income and a low to moderate growth of capital. The Fund will
attempt to achieve its investment objective by investing in other collective
investment funds (each an "underlying fund"), including funds managed by the
Trustee. Refer to the financial statements of each underlying fund for
disclosure of its accounting policies. State Street Bank is Trustee and
custodian of the Fund. 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 regulated investment companies or other State Street Bank
collective investment funds are valued at the net asset value per share/unit on
the valuation date. Short-term investments, if any, are stated at amortized
cost, which approximates market value.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. The cost of
securities contributed to, and proceeds related to securities delivered by, the
Fundin 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, if any, is
recorded net of applicable withholding taxes on the ex-dividend date. Interest
income earned on securities, if any, is recorded on the accrual basis.
State Street Bank collective investment fund(s), in which the Fund
invests, may retain investment income and net realized gains. Accordingly,
realized and unrealized gains and losses reported by the Fund may include a
component attributable to 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 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"). Issuances and redemptions of Fund units are made based upon
the value of the Fund as of the Fund's valuation date last preceding the date
on which such order to contribute or withdraw assets is received, adjusted for
the related market effect and transaction costs which 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
SAI-84
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
investment on the trade date and the investment's closing market value on the
valuation date. 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 deems appropriate.
E. EXPENSES
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year, including:
Administration Fee: The Trustee is paid an annual fee of $12,000 for the
administration of the Fund.
Management Fee: The Trustee is paid a management fee at the annual rate of
0.17% of the Fund's average net asset value.
F. DISTRIBUTIONS TO PARTICIPANTS
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 management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. GLOBAL SECURITIES LENDING PROGRAM
Fund participants have authorized the Fund to invest in certain collective
investment funds that participate in the Global Securities Lending Program
maintained by State Street Bank.
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, 1999 were $5,763,264 and $7,061,817, respectively, resulting in a
net realized gain (loss) of $609,280. This gain (loss) is prior to the
recognition of the market effect and transaction costs associated with
contributions and redemptions.
SAI-85
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--CONSERVATIVE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
1999 1998
------------------------------- ------------------------------
UNITS AMOUNT UNITS AMOUNT
------------- --------------- ------------- --------------
<S> <C> <C> <C> <C>
Units issued .................... 420,564 $ 6,057,061 927,648 $ 12,468,399
Units redeemed .................. (524,771) (7,590,473) (547,819) (7,399,493)
-------- ------------ -------- ------------
Net increase (decrease) ......... (104,207) $ (1,533,412) 379,829 $ 5,068,906
======== ============ ======== ============
</TABLE>
All of the Fund's units outstanding were held by 1 unitholder at December
31, 1999.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Fund units were $0.
SAI-86
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
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 State Street Bank and Trust Company Lifecycle Fund Group Trust -- Moderate
at December 31, 1999, and the results of its operations, the changes in its net
assets and the selected per unit data for the periods indicated, in conformity
with accounting principles generally accepted in the United States. 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 auditing standards generally accepted in the United States which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by the Trustee, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
March 15, 2000
SAI-87
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in State Street Bank and Trust Company
Collective Investment Funds:
Daily EAFE Non-Lending Fund (1,518,143 units) .............................. $ 20,027,346
Daily Government/Corporate Bond Fund (2,848,521 units) ..................... 39,659,965
Russell 2000 Fund (483,111 units) .......................................... 13,419,844
S&P 500 Flagship Fund (187,397 units) ...................................... 46,434,277
Short Term Investment Fund (13,214,473 units) .............................. 13,214,473
- --------------------------------------------------------------------------------- ------------
Total investments, at value (cost $99,909,576) .............................. 132,755,905
- --------------------------------------------------------------------------------- ------------
Interest receivable ............................................................ 62,761
- --------------------------------------------------------------------------------- ------------
Dividends from securities lending fee income receivable ........................ 1,078
- --------------------------------------------------------------------------------- ------------
Total assets ................................................................ 132,819,744
- --------------------------------------------------------------------------------- ------------
LIABILITIES
Payable for Fund units redeemed ................................................ 34,990
Accrued expenses ............................................................... 21,003
- --------------------------------------------------------------------------------- ------------
Total liabilities ........................................................... 55,993
- --------------------------------------------------------------------------------- ------------
NET ASSETS (equivalent to $19.16 per unit based on 6,927,507 units outstanding) $132,763,751
================================================================================= ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-88
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest ............................................................... $ 679,386
Dividends from securities lending fee income ........................... 11,943
- -------------------------------------------------------------------------- -----------
Total investment income .............................................. 691,329
- -------------------------------------------------------------------------- -----------
EXPENSES
Administration ......................................................... 12,000
Audit .................................................................. 5,000
Legal .................................................................. 12,000
Management ............................................................. 222,463
- -------------------------------------------------------------------------- -----------
Total expenses ....................................................... 251,463
- -------------------------------------------------------------------------- -----------
Net investment income ............................................... 439,866
- -------------------------------------------------------------------------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) ............................................. 8,157,928
Net change in unrealized appreciation (depreciation) ................. 7,489,948
- -------------------------------------------------------------------------- -----------
Net realized and unrealized gain (loss) on investments ........ ...... 15,647,876
- -------------------------------------------------------------------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ......... $16,087,742
========================================================================== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-89
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ............................................................. $ 439,866 $ 436,579
Net realized gain (loss) on investments ........................................... 8,157,928 11,197,178
Net change in unrealized appreciation (depreciation) on investments ............... 7,489,948 5,514,425
- ----------------------------------------------------------------------------------- ------------ ------------
Net increase (decrease) in net assets resulting from operations ................ 16,087,742 17,148,182
- ----------------------------------------------------------------------------------- ------------ ------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ..... (8,736,089) (171,083)
- ----------------------------------------------------------------------------------- ------------ ------------
Net increase (decrease) in net assets ............................................. 7,351,653 16,977,099
NET ASSETS
Beginning of year .............................................................. 125,412,098 108,434,999
- ----------------------------------------------------------------------------------- ------------ ------------
End of year .................................................................... $132,763,751 $125,412,098
=================================================================================== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-90
<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,
--------------------------
1999 1998
------------ -------------
<S> <C> <C>
Net investment income (loss) (b) ............................................ $ 0.06 $ 0.06
Net realized and unrealized gain (loss) ..................................... 2.14 2.30
- ----------------------------------------------------------------------------- -------- ---------
Net increase (decrease) ..................................................... 2.20 2.36
NET ASSET VALUE
Beginning of period ......................................................... 16.96 14.60
- ----------------------------------------------------------------------------- -------- ---------
End of period ............................................................... $ 19.16 $ 16.96
============================================================================= ======== =========
Total return (%) (c) ........................................................ 12.97 16.16
============================================================================= ======== =========
Ratio of expenses to average net assets (%) (d) (e) ......................... 0.19 0.19
Ratio of net investment income (loss) to average net assets (%) (d) (f) ..... 0.34 0.37
Portfolio turnover (%) ...................................................... 33 46
Net assets, end of period (000s) ............................................ $132,764 $ 125,412
============================================================================= ======== =========
<CAPTION>
PERIOD ENDED DECEMBER 31,
-------------------------------------
1997 1996 1995 (a)
------------- ----------- -----------
<S> <C> <C> <C>
Net investment income (loss) (b) ............................................ $ 0.05 $ 0.04 $ (0.01)
Net realized and unrealized gain (loss) ..................................... 2.11 1.27 1.14
- ------------------------------------------------------------------------------ --------- -------- --------
Net increase (decrease) ..................................................... 2.16 1.31 1.13
NET ASSET VALUE
Beginning of period ......................................................... 12.44 11.13 10.00
- ------------------------------------------------------------------------------ --------- -------- --------
End of period ............................................................... $ 14.60 $ 12.44 $ 11.13
============================================================================== ========= ======== ========
Total return (%) (c) ........................................................ 17.36 11.77 11.30
============================================================================== ========= ======== ========
Ratio of expenses to average net assets (%) (d) (e) ......................... 0.20 0.20 0.52
Ratio of net investment income (loss) to average net assets (%) (d) (f) ..... 0.37 0.35 ( 0.07)
Portfolio turnover (%) ...................................................... 22 18 30
Net assets, end of period (000s) ............................................ $ 108,435 $ 88,273 $ 76,246
============================================================================== ========= ======== ========
</TABLE>
(a) The Fund commenced operations on April 26, 1995.
(b) Net investment income (loss) per unit has been calculated based upon
a monthly average of units outstanding.
(c) Total return calculation (not annualized for the period ended
December 31, 1995) 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. The result may be reduced by
any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(d) Annualized for the period ended December 31, 1995.
(e) 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.
(f) 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-91
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Lifecycle Fund
Group Trust--Moderate (the "Fund") was formed by State Street Bank under a
Declaration of Trust. The investment objective of the Fund is to seek to
provide growth of capital and a reasonable level of current income. The Fund
will attempt to achieve its investment objective by investing in other
collective investment funds (each an "underlying fund"), including funds
managed by the Trustee. Refer to the financial statements of each underlying
fund for disclosure of its accounting policies. State Street Bank is Trustee
and custodian of the Fund. 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 regulated investment companies or other State Street Bank
collective investment funds are valued at the net asset value per share/unit on
the valuation date. Short-term investments, if any, are stated at amortized
cost, which approximates market value.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. The cost of
securities contributed to, and proceeds related to securities delivered by, the
Fundin 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, if any, is
recorded net of applicable withholding taxes on the ex-dividend date. Interest
income earned on securities, if any, is recorded on the accrual basis.
State Street Bank collective investment fund(s), in which the Fund
invests, may retain investment income and net realized gains. Accordingly,
realized and unrealized gains and losses reported by the Fund may include a
component attributable to 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 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"). Issuances and redemptions of Fund units are made based upon
the value of the Fund as of the Fund's valuation date last preceding the date
on which such order to contribute or withdraw assets is received, adjusted for
the related market effect and transaction costs which 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
SAI-92
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
investment on the trade date and the investment's closing market value on the
valuation date. 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 deems appropriate.
E. EXPENSES
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year, including:
Administration Fee: The Trustee is paid an annual fee of $12,000 for the
administration of the Fund.
Management Fee: The Trustee is paid a management fee at the annual rate of
0.17% of the Fund's average net asset value.
F. DISTRIBUTIONS TO PARTICIPANTS
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 management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. GLOBAL SECURITIES LENDING PROGRAM
Fund participants have authorized the Fund to invest in certain collective
investment funds that participate in the Global Securities Lending Program
maintained by State Street Bank.
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, 1999 were $43,345,218 and $52,352,272, respectively, resulting in
a net realized gain (loss) of $8,157,928. This gain (loss) is prior to the
recognition of the market effect and transaction costs associated with
contributions and redemptions.
SAI-93
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
LIFECYCLE FUND GROUP TRUST--MODERATE
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
1999 1998
---------------------------------- ----------------------------------
UNITS AMOUNT UNITS AMOUNT
--------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
Units issued .................... 820,220 $ 14,212,487 1,398,678 $ 21,978,243
Units redeemed .................. (1,288,057) (22,948,576) (1,431,640) (22,149,326)
---------- ------------- ---------- -------------
Net increase (decrease) ......... (467,827) $ (8,736,089) (32,962) $ (171,083)
========== ============= ========== =============
</TABLE>
All of the Fund's units outstanding were held by 1 unitholder at December
31, 1999.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Fund units were $0.
SAI-94
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
State Street Bank and Trust Company
S&P 500 Flagship Fund
and 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 State
Street Bank and Trust Company S&P 500 Flagship Fund and State Street Bank and
Trust Company S&P 500 Index Fund with Futures at December 31, 1999, and the
results of their operations, the changes in their net assets and their selected
per unit data for the periods indicated, in conformity with accounting
principles generally accepted in the United States. 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 auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by the Trustee, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
February 26, 2000
SAI-95
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $55,881,060,232) ............................... $89,768,941,879
Cash ..................................................................................... 8,338,436
Investments in State Street Bank and Trust Company Quality A Short-Term Investment Fund,
at value ............................................................................... 1,488,526,989
Receivable for Fund units issued ......................................................... 34,636,770
Receivable for investments sold .......................................................... 8,297,014
Variation margin receivable .............................................................. 2,364,279
Dividends receivable ..................................................................... 79,724,074
Interest receivable ...................................................................... 3,535,290
Tax reclaims receivable .................................................................. 14,854,644
- ------------------------------------------------------------------------------------------ ---------------
Total assets ............................................................................ 91,409,219,375
- ------------------------------------------------------------------------------------------ ---------------
LIABILITIES
Payable for collateral on securities loaned .............................................. 1,488,526,989
Payable for investments purchased ........................................................ 25,621,560
Accrued expenses ......................................................................... 54,227
- ------------------------------------------------------------------------------------------ ---------------
Total liabilities ....................................................................... 1,514,202,776
- ------------------------------------------------------------------------------------------ ---------------
NET ASSETS ............................................................................... $89,895,016,599
========================================================================================== ===============
S&P 500 Flagship Fund
(304,996,605 units outstanding, at $247.79 per unit net asset value) .................... $75,573,718,243
S&P 500 Index Fund with Futures
(57,797,175 units outstanding, at $247.79 per unit net asset value) ..................... 14,321,298,356
- ------------------------------------------------------------------------------------------ ---------------
$89,895,016,599
===============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-96
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $2,387) ............................................. $ 969,839,588
Interest ................................................................................ 39,125,767
Securities lending fee income (net of related expenses) allocated to the S&P 500 Flagship
Fund .................................................................................. 3,157,080
---------------
Total investment income .............................................................. 1,012,122,435
- ------------------------------------------------------------------------------------------ ---------------
EXPENSES
Audit ................................................................................... 30,000
Custody ................................................................................. 731,541
- ------------------------------------------------------------------------------------------ ---------------
Total expenses ....................................................................... 761,541
- ------------------------------------------------------------------------------------------ ---------------
Net investment income ................................................................ 1,011,360,894
- ------------------------------------------------------------------------------------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY AND FUTURES
CONTRACTS
Net realized gain (loss):
Investments and foreign currency ...................................................... 2,740,452,574
Futures contracts ..................................................................... 101,961,781
- ------------------------------------------------------------------------------------------ ---------------
2,842,414,355
---------------
Net change in unrealized appreciation (depreciation):
Investments ........................................................................... 10,906,340,821
Futures contracts ..................................................................... 11,681,152
- ------------------------------------------------------------------------------------------ ---------------
10,918,021,973
---------------
Net realized and unrealized gain (loss) on investments, foreign currency and futures
contracts ............................................................................ 13,760,436,328
- ------------------------------------------------------------------------------------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......................... $14,771,797,222
========================================================================================== ===============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-97
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
------------------- -------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................................................. $ 1,011,360,894 $ 811,777,247
Net realized gain (loss) on investments, foreign currency and futures contracts ........ 2,842,414,355 3,033,892,483
Net change in unrealized appreciation (depreciation) on investments and futures
contracts ............................................................................. 10,918,021,973 9,565,238,865
- ---------------------------------------------------------------------------------------- --------------- ---------------
Net increase (decrease) in net assets resulting from operations ........................ 14,771,797,222 13,410,908,595
- ---------------------------------------------------------------------------------------- --------------- ---------------
Distributions of securities lending fee income allocated to the S&P 500 Flagship Fund
participants .......................................................................... (3,157,080) (2,075,010)
- ---------------------------------------------------------------------------------------- --------------- ---------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions .......... 12,442,118,485 5,048,569,358
- ---------------------------------------------------------------------------------------- --------------- ---------------
Net increase (decrease) in net assets .................................................. 27,210,758,627 18,457,402,943
NET ASSETS
Beginning of year ..................................................................... 62,684,257,972 44,226,855,029
- ---------------------------------------------------------------------------------------- --------------- ---------------
End of year ........................................................................... $89,895,016,599 $62,684,257,972
======================================================================================== =============== ===============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-98
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net investment income (a) ............................... $ 2.98 $ 2.76 $ 2.64 $ 2.48 $ 2.24
Net realized and unrealized gain (loss) ................. 40.09 42.70 37.22 19.86 24.26
- ---------------------------------------------------------- -------- -------- -------- -------- -------
Net increase (decrease) ................................. 43.07 45.46 39.86 22.34 26.50
NET ASSET VALUE
Beginning of year ....................................... 204.72 159.26 119.40 97.06 70.56
- ---------------------------------------------------------- -------- -------- -------- -------- -------
End of year ............................................. $ 247.79 $ 204.72 $ 159.26 $ 119.40 $ 97.06
- ---------------------------------------------------------- -------- -------- -------- -------- -------
Total return (%) (b) .................................... 21.04 28.54 33.38 23.02 37.56
========================================================== ======== ======== ======== ======== =======
Ratio of expenses to average net assets (%) (c) ......... 0.00 0.00 0.00 0.00 0.00
Ratio of net investment income (loss) to average net
assets (%) ............................................. 1.34 1.55 1.85 2.33 2.66
Portfolio turnover (%) .................................. 13 18 18 27 10
- ---------------------------------------------------------- -------- -------- -------- -------- -------
Net assets, end of year (000,000s) ...................... $ 14,321 $ 12,791 $ 7,563 $ 3,339 $ 2,165
========================================================== ======== ======== ======== ======== =======
</TABLE>
(a) Net investment income per unit has been calculated based upon a
monthly average of units outstanding.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in net asset value per unit between the beginning
and end of the year. The calculation includes only those expenses
charged directly to the Non-Lending Fund. The result may be reduced
by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts.
(c) Zero amount represents that which is less than 0.005%.
The accompanying notes are an integral part of these financial statements.
SAI-99
<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>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net investment income (a) ................................. $ 2.99 $ 2.77 $ 2.64 $ 2.48 $ 2.24
Net realized and unrealized gain (loss) ................... 40.09 42.70 37.22 19.86 24.26
Distribution of securities lending fee income (b) ......... ( 0.01) ( 0.01) ( 0.00) ( 0.00) ( 0.00)
- ------------------------------------------------------------ -------- -------- -------- -------- -------
Net increase (decrease) ................................... 43.07 45.46 39.86 22.34 26.50
NET ASSET VALUE
Beginning of year ......................................... 204.72 159.26 119.40 97.06 70.56
- ------------------------------------------------------------ -------- -------- -------- -------- -------
End of year ............................................... $ 247.79 $ 204.72 $ 159.26 $ 119.40 $ 97.06
- ------------------------------------------------------------ -------- -------- -------- -------- -------
Total return (%) (c) ...................................... 21.04 28.55 33.38 23.02 37.56
============================================================ ======== ======== ======== ======== =======
Ratio of expenses to average net assets (%) (d) ........... 0.00 0.00 0.00 0.00 0.00
Ratio of net investment income (loss) to average net
assets (%) ............................................... 1.35 1.55 1.86 2.33 2.66
Portfolio turnover (%) .................................... 13 18 18 27 10
- ------------------------------------------------------------ -------- -------- -------- -------- -------
Net assets, end of year (000,000s) ........................ $ 75,574 $ 49,893 $ 36,664 $ 20,916 $15,135
============================================================ ======== ======== ======== ======== =======
</TABLE>
(a) Net investment income per unit has been calculated based upon a
monthly average of units outstanding.
(b) Zero amount represents that which is less than $0.005 per unit or
$(0.005) if negative.
(c) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the
beginning and end of the year and assumes reinvestment of
distributions. The calculation includes only those expenses charged
directly to the Lending Fund. The result may be reduced by any
administrative or other fees which are incurred in the management or
maintenance of individual participant accounts.
(d) Zero amount represents that which is less than 0.005%.
The accompanying notes are an integral part of these financial statements.
SAI-100
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SHARES VALUE
------------ ------------------
<S> <C> <C>
COMMON STOCK--99.0% (unless otherwise noted)
3COM Corp. ................................. 2,489,626 $ 117,012,422
Abbott Laboratories ........................ 10,952,213 397,702,235
Adaptec Inc. .............................. 758,635 37,836,921
ADC Telecommunications Inc. ................ 1,078,388 78,250,529
Adobe Systems Inc. ........................ 877,050 58,981,613
Adolph Coors Co. Class B ................... 272,129 14,286,773
Advanced Micro Devices Inc. ................ 1,044,336 30,220,473
AES Corp. .................................. 1,486,787 111,137,328
Aetna Inc. ................................ 1,029,655 57,467,620
Aflac Inc. ................................ 1,921,802 90,685,032
Air Products & Chemicals Inc. .............. 1,620,907 54,401,691
Alberto Culver Co. Class B ................. 401,382 10,360,673
Albertson's Inc. .......................... 3,055,084 98,526,459
Alcan Aluminum Ltd. ........................ 1,615,763 66,549,239
Alcoa Inc. ................................. 2,666,031 221,280,573
Allegheny Technologies Inc. ................ 664,514 14,910,033
Allergan Inc. .............................. 958,346 47,677,714
Allied Waste Industries Inc. ............... 1,323,185 11,660,568
Allstate Corp. ............................. 5,766,257 138,390,168
Alltel Corp. ............................... 2,221,173 183,663,242
Alza Corp. ................................. 746,388 25,843,685
Amerada Hess Corp. ......................... 672,487 38,163,637
Ameren Corp. ............................... 975,492 31,947,363
America Online Inc. ........................ 16,127,760 1,216,637,895
American Electric Power Co., Inc. .......... 1,399,249 44,950,874
American Express Corp. ..................... 3,237,527 538,238,864
American General Corp. ..................... 1,806,544 137,071,526
American Greetings Corp. Class A ........... 531,821 12,564,271
American Home Products Corp. ............... 9,451,361 372,738,049
American International Group Inc. .......... 11,169,790 1,207,733,544
Amgen Inc. ................................. 7,378,108 443,147,612
AMR Corp. .................................. 1,068,203 71,569,601
AmSouth Bancorp. ........................... 2,802,991 54,132,764
Anadarko Petroleum Corp. ................... 875,378 29,872,274
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-101
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- --------------- ------------------
<S> <C> <C>
Analog Devices Inc. ............................... 1,239,555 $ 115,278,615
Andrew Corp. ...................................... 635,022 12,025,729
Anheuser Busch Cos., Inc. ......................... 3,364,693 238,472,616
Aon Corp. ......................................... 1,848,984 73,959,360
Apache Corp. ...................................... 830,425 30,673,823
Apple Computer .................................... 1,164,109 119,684,957
Applied Materials Inc. ........................... 2,729,147 345,748,811
Archer Daniels Midland Co ......................... 4,461,396. 54,373,264
Armstrong World Industries Inc. .................. 289,111 9,649,080
Ashland Inc. ..................................... 533,163 17,561,056
Associates First Capital Corp. Class A ............ 5,282,976 144,951,654
AT&T Corp. ........................................ 23,052,539 1,169,916,354
Atlantic Richfield Co. ............................ 2,344,675 202,814,387
Autodesk Inc. ..................................... 416,927 14,071,286
Automatic Data Processing Inc. .................... 4,475,502 241,117,670
Autozone Inc. ..................................... 1,041,790 33,662,839
Avery Dennison Corp. .............................. 824,826 60,109,195
Avon Products Inc. ................................ 1,748,422 57,697,926
B.F. Goodrich Co. ................................. 791,829 21,775,298
Baker Hughes Inc. ................................. 2,412,034 50,803,466
Ball Corp. ........................................ 205,872 8,106,210
Bank America Corp. ................................ 12,326,195 618,620,912
Bank of New York Co., Inc. ........................ 5,291,948 211,677,920
Bank One Corp. .................................... 8,274,145 265,289,774
Barrick Gold Corp. ................................ 2,801,966 49,559,774
Bausch & Lomb Inc. ................................ 429,483 29,392,743
Baxter International Inc. ......................... 2,097,308 131,737,159
BB&T Corp. ........................................ 2,264,342 61,986,362
Bear Stearns & Cos., Inc. ......................... 854,401 36,525,643
Becton Dickinson & Co. ............................ 1,832,549 49,020,686
Bed Bath & Beyond Inc. ............................ 1,016,813 35,334,252
Bell Atlantic Corp. ............................... 11,194,642 689,170,160
Bellsouth Corp. ................................... 13,591,382 636,246,570
Bemis Co., Inc. ................................... 368,865 12,864,167
Best Buy Co., Inc. ................................ 1,476,664 74,110,074
Bestfoods ......................................... 2,047,759 107,635,332
Bethlehem Steel Corp. ............................. 853,173 7,145,324
Biomet Inc. ....................................... 826,269 33,050,760
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-102
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Black & Decker Corp. .............................. 625,970 $ 32,706,933
BMC Software Inc. ................................. 1,735,650 138,743,522
Boeing Co. ....................................... 6,742,313 280,227,384
Boise Cascade Corp. ............................... 417,536 16,910,208
Boston Scientific Corp. ........................... 2,951,947 64,573,841
Briggs & Stratton Corp. ........................... 178,568 9,575,709
Bristol-Myers Squibb Co. .......................... 14,311,307 918,607,018
Brown Forman Corp. Class B ........................ 494,168 28,291,118
Brunswick Corp. ................................... 754,092 16,778,547
Burlington Northern Santa Fe Inc. ................. 3,352,624 81,301,132
Burlington Resources Inc. ......................... 1,568,977 51,874,302
C.R. Bard Inc. .................................... 375,703 19,912,259
Cabletron Systems Inc. ........................... 1,246,749 32,415,474
Campbell Soup Co. ................................. 3,134,880 121,280,670
Capital One Financial Corp. ....................... 1,430,125 68,914,148
Cardinal Health Inc. .............................. 1,970,452 94,335,389
Carnival Cruise Lines Inc. ........................ 4,440,547 212,313,653
Carolina Power & Light Co. ........................ 1,160,595 35,325,610
Caterpillar Inc. .................................. 2,577,550 121,305,947
CBS Corp. ......................................... 5,511,526 352,393,194
Cendant Corp. ..................................... 5,174,465 137,446,727
Centex Corp. ...................................... 445,115 10,988,777
Central & South West Corp. ........................ 1,573,891 31,477,820
Centurytel Inc. ................................... 1,023,817 48,503,330
Ceridian Corp. .................................... 1,086,486 23,427,354
Champion International Corp. ...................... 706,398 43,752,526
Charles Schwab Corp. .............................. 5,888,180 225,958,907
Chase Manhattan Corp. ............................. 5,970,204 463,810,223
Chevron Corp. ..................................... 4,753,304 411,754,959
Chubb Corp. ....................................... 1,292,921 72,807,614
CIGNA Corp. ....................................... 1,345,521 108,398,536
Cincinnati Financial Corp. ........................ 1,171,164 36,525,677
Cinergy Corp. ..................................... 1,116,389 26,932,885
Circuit City Stores Inc. .......................... 1,433,882 64,614,308
Cisco Systems Inc. ................................ 23,590,764 2,527,160,593
Citigroup Inc. .................................... 24,376,581 1,354,423,782
Citrix Systems Inc. ............................... 632,800 77,834,400
Clear Channel Communications ...................... 2,423,219 216,272,296
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-103
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Clorox Co. ........................................ 1,665,326 $ 83,890,797
CMS Energy Corp. .................................. 861,961 26,882,409
Coastal Corp. ..................................... 1,539,477 54,555,216
Coca Cola Co. ..................................... 17,852,714 1,039,920,590
Coca Cola Enterprises Inc. ........................ 3,081,454 62,014,262
Colgate Palmolive Co. ............................. 4,228,222 274,834,430
Columbia Gas System Inc. .......................... 601,588 38,050,441
Columbia/HCA Healthcare Corp. ..................... 4,090,651 119,907,207
Comcast Corp. Class A ............................. 114,868 5,499,306
Comcast Corp. Class A Special ..................... 5,287,096 267,328,791
Comerica Inc. ..................................... 1,127,100 52,621,481
Compaq Computer Corp. ............................. 12,263,389 331,877,965
Computer Associates International Inc. ............ 3,896,322 272,499,020
Computer Sciences Corp. ........................... 1,190,322 112,634,219
Compuware Corp. ................................... 2,581,542 96,162,439
Comverse Technology Inc. ......................... 507,362 73,440,649
ConAgra Inc. ...................................... 3,638,153 82,085,827
Conoco Incorporated Class B ....................... 4,522,001 112,484,775
Conseco Inc. ...................................... 2,372,902 42,415,623
Consolidated Edison Inc. .......................... 1,602,456 55,284,732
Consolidated Natural Gas Co. ...................... 695,600 45,170,525
Consolidated Stores Corp. ......................... 885,358 14,387,068
Constellation Energy Group ........................ 1,144,524 33,191,196
Cooper Industries Inc. ............................ 681,946 27,576,191
Cooper Tire & Rubber Co. .......................... 555,993 8,652,641
Corning Inc. ...................................... 1,763,958 227,440,335
Costco Wholesale Corporation ...................... 1,591,722 145,244,632
Countrywide Credit Industries Inc. ............... 809,642 20,443,461
Crane Co. ......................................... 475,291 9,446,409
Crown Cork & Seal Co., Inc. ....................... 878,955 19,666,618
CSX Corp. ......................................... 1,572,673 49,342,615
Cummins Engine Co., Inc. .......................... 298,644 14,428,238
CVS Corp. ......................................... 2,835,624 113,247,733
Dana Corp. ........................................ 1,209,292 36,203,179
Danaher Corp. ..................................... 1,006,257 48,551,900
Darden Restaurants Inc. ........................... 947,145 17,167,003
Dayton Hudson Corp. ............................... 3,179,167 233,470,077
Deere & Co. ...................................... 1,708,938 74,125,186
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-104
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Dell Computer Corp. ............................... 18,331,070 $ 934,884,570
Delphi Automotive Systems Corp. ................... 4,101,976 64,606,122
Delta Air Lines Inc. .............................. 958,097 47,725,207
DeLuxe Corp. ...................................... 559,842 15,360,665
Dillards Inc. Class A ............................ 812,174 16,395,763
Dollar General Corp. .............................. 1,623,423 36,932,873
Dominion Resources Inc. ........................... 1,378,689 54,113,543
Dover Corp. ....................................... 1,496,672 67,911,492
Dow Chemical Co. .................................. 1,589,408 212,384,644
Dow Jones & Co., Inc. ............................. 661,052 44,951,536
DTE Energy Co. .................................... 1,040,601 32,648,856
Duke Power Co. .................................... 2,631,909 131,924,439
Dun & Bradstreet Corp. ............................ 1,171,877 34,570,372
E.I. du Pont de Nemours & Co. ..................... 7,523,939 495,639,482
Eastern Enterprises ............................... 205,299 11,791,861
Eastman Chemical Co. .............................. 586,230 27,955,843
Eastman Kodak Co. ................................. 2,305,933 152,768,061
Eaton Corp. ....................................... 521,762 37,892,965
Ecolab Inc. ....................................... 926,010 36,230,141
Edison International .............................. 2,514,983 65,861,117
El Paso Energy Corp. .............................. 1,643,409 63,784,812
Electronic Data Systems Corp. ..................... 3,412,357 228,414,647
Eli Lilly & Co. ................................... 7,862,760 522,873,540
EMC Corp. ......................................... 7,350,401 803,031,309
Emerson Electric Co. .............................. 3,139,973 180,155,951
Engelhard Corp. ................................... 931,121 17,574,909
Enron Corp. ....................................... 5,128,179 227,562,943
Entergy Corp. ..................................... 1,797,063 46,274,372
Equifax Inc. ...................................... 1,020,505 24,045,649
Exxon Mobil Corp. ................................. 24,913,797 2,007,117,771
FDX Corp. ......................................... 2,142,230 87,697,541
Federal Home Loan Mortgage Corp. .................. 5,010,608 235,811,739
Federated Department Stores Inc. .................. 1,514,531 76,578,474
Fifth Third Bancorp ............................... 2,169,544 159,190,291
First Data Corp. .................................. 3,021,023 148,974,197
First Union Corp. ................................. 6,965,294 228,548,709
Firstar Corp. (Wisconsin) ......................... 7,066,838 149,286,953
Firstenergy Corp. ................................. 1,711,303 38,825,187
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-105
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ --------------- ------------------
<S> <C> <C>
Fleet Boston Corp. ................................... 6,605,421 $ 229,951,219
Fleetwood Enterprises Inc. .......................... 248,433 5,123,931
Florida Progress Corp. ............................... 714,967 30,252,041
Fluor Corp. .......................................... 563,107 25,832,534
FMC Corp. ............................................ 236,608 13,560,596
FNMA ................................................. 7,406,946 462,471,191
Ford Motor Co. ....................................... 8,746,938 467,414,499
Fort James Corp. ..................................... 1,638,485 44,853,527
Fortune Brands Inc. .................................. 1,182,587 39,099,283
Foster Wheeler Corp. ................................. 380,424 3,376,263
FPL Group Inc. ....................................... 1,302,531 55,764,608
Franklin Resources Inc. .............................. 1,818,740 58,313,351
Freeport-McMoran Copper & Gold Inc. Class B ......... 1,214,592 25,658,256
Gannett Co., Inc. .................................... 2,016,616 164,480,242
Gap Inc. ............................................. 6,172,108 283,916,968
Gateway Inc. ......................................... 2,268,518 163,475,078
General Dynamics Corp. ............................... 1,445,739 76,262,732
General Electric Co. ................................. 23,689,810 3,665,998,097
General Instrument Corp. ............................. 1,244,444 105,777,740
General Mills Inc. ................................... 2,189,750 78,283,562
General Motors Corp. ................................. 4,629,252 336,488,755
Genuine Parts Co. .................................... 1,297,270 32,188,512
Georgia Pacific Corp. ................................ 1,232,681 62,558,561
Gillette Co. ........................................ 7,761,533 319,678,140
Global Crossing Limited .............................. 5,471,213 273,560,650
Golden West Financial Corp. .......................... 1,253,455 41,990,743
Goodyear Tire & Rubber Co. ........................... 1,138,610 32,094,569
GPU Inc. ............................................. 893,531 26,750,084
Great Atlantic & Pacific Tea Co., Inc. ............... 275,223 7,671,841
Great Lakes Chemical Corp ............................ 414,506. 15,828,948
GTE Corp. ............................................ 7,011,047 494,717,004
Guidant Corp. ........................................ 2,148,857 100,996,279
H&R Block Inc. ...................................... 705,763 30,877,131
H.J. Heinz Co. ....................................... 2,591,238 103,163,663
Halliburton Co. ...................................... 3,188,735 128,346,584
Harcourt General Inc. ................................ 491,154 19,768,949
Harrahs Entertainment Inc. ........................... 962,952 25,458,044
Hartford Financial Services Group .................... 1,639,068 77,650,846
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-106
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Hasbro Inc. ....................................... 1,426,255 $ 27,187,986
Healthsouth Rehabilitation ........................ 3,078,738 16,548,217
Hercules Inc. ..................................... 703,326 19,605,212
Hershey Foods Corp. ............................... 1,014,992 48,212,120
Hewlett Packard Co. ............................... 7,314,616 833,409,060
Hilton Hotels Corp. ............................... 2,279,140 21,936,723
Home Depot Inc. ................................... 16,610,318 1,138,844,894
Homestake Mining Co. .............................. 1,725,205 13,478,164
Honeywell International Inc. ...................... 5,721,958 330,085,452
Household International Inc. ...................... 3,392,017 126,352,633
Humana Inc. ....................................... 1,205,696 9,871,636
Huntington Bancshares Inc. ........................ 1,610,681 38,455,009
Huttig Building Prods Incorporated ................ 104,709 517,001
IBM Corp. ......................................... 13,013,955 1,405,507,140
Ikon Office Solutions Inc. ........................ 1,056,975 7,200,642
Illinois Tool Works Inc. .......................... 2,167,665 146,452,867
IMS Health Inc. .................................. 2,262,513 61,512,072
INCO Ltd. ......................................... 1,376,670 32,351,745
Ingersoll Rand Co. ............................... 1,211,497 66,708,054
Intel Corp. ....................................... 24,125,163 1,985,802,479
International Flavors & Fragrances ................ 758,109 28,618,615
International Paper Co. ........................... 3,023,574 170,642,958
Interpublic Group of Cos., Inc. ................... 2,024,621 116,795,324
ITT Industries Inc. ............................... 647,020 21,634,731
J.C. Penney Co., Inc. ............................. 1,949,799 38,874,118
J.P. Morgan & Co., Inc. ........................... 1,247,970 158,024,201
Jefferson-Pilot Corp. ............................. 740,170 50,516,603
Johnson & Johnson ................................. 10,049,400 935,850,375
Johnson Controls Inc. ............................. 614,970 34,976,419
Jostens Inc. ...................................... 259,234 6,302,627
K-Mart Corp. ...................................... 3,697,065 37,201,717
Kansas City Southern Industries Inc. .............. 779,439 58,165,635
Kaufman & Broad Home Corp. ........................ 353,166 8,542,203
Kellogg Co. ....................................... 2,929,368 90,261,151
Kerr McGee Corp. .................................. 623,716 38,670,392
Keycorp ........................................... 3,226,574 71,387,950
Kimberly-Clark Corp. .............................. 3,867,215 252,335,779
KLA Instruments Corp. ............................. 636,609 70,902,327
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-107
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Knight-Ridder Inc. ................................ 582,319 $ 34,647,981
Kohls Corp. ....................................... 1,166,180 84,183,619
Kroger Co. ........................................ 6,002,101 113,289,656
Leggett & Platt Inc. .............................. 1,433,039 30,720,774
Lehman Brothers Holdings Inc. ..................... 868,715 73,569,302
Lexmark International Group Inc. Class A ......... 921,634 83,407,877
Limited Inc. ...................................... 1,552,438 67,239,971
Lincoln National Corp. ............................ 1,408,769 56,350,760
Liz Claiborne Inc. ................................ 470,670 17,708,959
Lockheed Martin Corp. ............................. 2,816,592 61,612,950
Loews Corp. ....................................... 774,239 46,986,629
Longs Drug Stores Corp. ........................... 254,076 6,558,337
Louisiana-Pacific Corp. ........................... 767,800 10,941,150
Lowes Cos., Inc. .................................. 2,741,242 163,789,209
LSI Logic Corp. ................................... 1,048,402 70,767,135
Lucent Technologies Inc. ......................... 22,603,401 1,691,016,937
Mallinckrodt Inc. ................................. 503,811 16,027,487
Manor Care Inc. ................................... 749,493 11,991,888
Marriott International Inc. Class A .............. 1,794,547 56,640,390
Marsh & McLennan Cos., Inc. ....................... 1,906,639 182,441,519
Masco Corp. ....................................... 3,205,422 81,337,583
Mattel Inc. ....................................... 3,068,111 40,268,957
May Department Stores Co. ......................... 2,422,168 78,114,918
Maytag Corp. ...................................... 639,272 30,685,056
MBIA Inc. ......................................... 724,414 38,258,114
MBNA Corp. ........................................ 5,791,653 157,822,544
McDermott International Inc. ...................... 403,632 3,657,915
McDonald's Corp. .................................. 9,783,122 394,382,106
McGraw-Hill Inc. .................................. 1,436,233 88,507,859
MCI Worldcom Inc. ................................. 20,356,398 1,080,161,369
Mckesson Hboc Inc. ................................ 2,030,723 45,818,188
Mead Corp. ........................................ 756,484 32,859,774
MediaOne Group Inc. ............................... 4,339,449 333,323,926
Medtronic Inc. .................................... 8,452,103 307,973,503
Mellon Financial Corp. ............................ 3,717,509 126,627,650
Merck & Co., Inc. ................................. 16,891,179 1,132,764,692
Meredith Corp. .................................... 363,098 15,136,648
Merrill Lynch & Co., Inc. ........................ 2,658,964 222,023,494
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-108
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
MGIC Investment Corp. ............................. 794,269 $ 47,805,065
Micron Technology Inc. ............................ 1,946,954 151,375,673
Microsoft Corp. ................................... 37,209,662 4,344,228,038
Milacron Inc. ..................................... 266,623 4,099,329
Millipore Corp. ................................... 300,089 11,590,938
Minnesota Mining & Manufacturing Co. .............. 2,893,369 283,188,491
Mirage Resorts Inc. ............................... 1,462,765 22,398,589
Molex Inc. ........................................ 1,119,100 63,438,981
Monsanto Co. ...................................... 4,579,411 163,141,517
Morgan Stanley Dean Witter Discover & Co. ......... 4,018,261 573,606,758
Motorola Inc. ..................................... 4,387,698 646,088,530
Nabisco Group Holding ............................. 2,292,859 24,361,627
NACCO Industries Inc. Class A .................... 56,496 3,139,059
National City Corp. ............................... 4,404,088 104,321,834
National Semiconductor Corp. ...................... 1,234,282 52,842,698
National Service Industries Inc. .................. 307,268 9,064,406
Navistar International Corp. ...................... 470,288 22,279,894
Network Appliance Inc. ............................ 1,059,166 87,976,976
New Century Energies Inc. ......................... 771,566 23,436,317
New York Times Co. Class A ....................... 1,234,284 60,634,202
Newell Rubbermaid Inc. ............................ 2,045,897 59,331,013
Newmont Mining Corp. .............................. 1,144,134 28,031,283
Nextel Communications Inc. Class A ............... 2,601,617 268,291,753
Niagara Mohawk Holdings Inc. ...................... 1,376,252 19,181,512
Nicor Inc. ........................................ 339,351 11,028,908
Nike Inc. class B ................................ 2,014,299 99,833,694
Nordstrom Inc. .................................... 1,041,257 27,267,918
Norfolk Southern Corp. ............................ 2,756,563 56,509,542
Nortel Networks Corp. ............................. 9,635,534 973,188,934
Northern States Power Co. ......................... 1,048,143 20,438,789
Northern Trust Corp. .............................. 1,581,140 83,800,420
Northrop Grumman Corp. ............................ 501,280 27,100,450
Novell Inc. ....................................... 2,366,627 94,517,166
Nucor Corp. ....................................... 629,106 34,482,873
Occidental Petroleum Corp. ........................ 2,521,813 54,534,206
Office Depot Inc. ................................. 2,376,395 25,991,820
Old Kent Financial Corp. .......................... 861,700 30,482,638
Omnicom Group Inc. ................................ 1,283,666 128,366,600
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-109
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- --------------- ------------------
<S> <C> <C>
Oneok Inc. ....................................... 224,638 $ 5,644,030
Oracle Corp. ...................................... 10,270,919 1,150,984,860
Owens Corning Fiberglas Corp. ..................... 445,351 8,600,841
Owens Illinois Inc. .............................. 1,059,664 26,557,829
PACCAR Inc. ....................................... 563,923 24,988,838
Pactiv Corp. ...................................... 1,279,599 13,595,739
Paine Webber Group Inc. ........................... 1,071,913 41,603,623
Pall Corp. ........................................ 858,391 18,509,056
Parametric Technology Corp. ....................... 1,893,043 51,230,476
Parker Hannifin Corp. ............................. 793,211 40,701,639
Paychex Inc. ...................................... 1,779,603 71,184,120
PE Corp. .......................................... 739,442 88,964,116
PECO Energy Co. ................................... 1,364,007 47,399,243
Peoples Energy Corp ............................... 283,448. 9,495,508
PeopleSoft Inc. ................................... 1,696,663 36,160,130
Pep Boys -- Manny, Moe & Jack ..................... 342,963 3,129,537
PepsiCo Inc. ...................................... 10,519,650 370,817,662
Perkinelmer Inc. .................................. 337,573 14,072,574
Pfizer Inc. ....................................... 27,987,296 907,837,914
PG&E Corp. ........................................ 2,764,325 56,668,663
Pharmacia & Upjohn Inc. ........................... 3,692,064 166,142,880
Phelps Dodge Corp. ................................ 606,519 40,712,588
Philip Morris Cos., Inc. .......................... 17,105,191 396,626,616
Phillips Petroleum Co. ............................ 1,853,896 87,133,112
Pinnacle West Capital Corp. ....................... 607,107 18,554,708
Pitney Bowes Inc. ................................. 1,936,940 93,578,414
Placer Dome Inc. .................................. 2,247,243 24,157,862
PNC Bank Corp. .................................... 2,121,309 94,398,250
Polaroid Corp. .................................... 364,108 6,849,782
Potlatch Corp. .................................... 217,906 9,724,055
PP&L Resources Inc. ............................... 1,123,048 25,689,723
PPG Industries Inc. ............................... 1,259,384 78,790,211
Praxair Inc. ...................................... 1,152,686 57,994,514
Procter & Gamble Co. .............................. 9,498,426 1,040,671,299
Progressive Corp. ................................. 513,153 37,524,313
Providian Financial Corp. ......................... 1,035,102 94,258,976
Public Service Enterprise Group Inc. .............. 1,589,252 55,325,835
Pulte Corp. ....................................... 305,134 6,865,515
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-110
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Quaker Oats Co. ................................... 968,956 $ 63,587,738
Qualcomm Inc. ..................................... 4,760,404 838,426,154
Quintiles Transnational Corp. ..................... 820,700 15,336,831
R.R. Donnelley & Sons Co. ......................... 913,675 22,670,561
Ralston Purina Co. ................................ 2,345,530 65,381,649
Raytheon Company Class B .......................... 2,437,317 64,741,233
Reebok International Ltd. ......................... 402,861 3,298,424
Regions Financial Corp. ........................... 1,581,976 39,747,147
Reliant Energy Inc. ............................... 2,129,043 48,701,859
Republic New York Corp. ........................... 754,971 54,357,912
Reynolds Metals Co. ............................... 461,062 35,328,876
Rite Aid Corp. .................................... 1,829,673 20,469,467
Rockwell International Corp. ...................... 1,387,546 66,428,765
Rohm & Haas Co. ................................... 1,598,185 65,026,152
Rowan Cos., Inc. .................................. 627,824 13,615,933
Royal Dutch Petroleum Co. ......................... 15,484,730 935,858,369
Russell Corp. ..................................... 291,428 4,881,419
Ryder Systems Inc. ................................ 542,714 13,262,573
SAFECO Corp. ...................................... 965,322 24,012,385
Safeway Inc. ...................................... 3,673,383 130,634,683
Sara Lee Corp. .................................... 6,629,342 146,259,858
SBC Communications Inc. ........................... 24,631,263 1,200,774,071
Schering-Plough Corp. ............................. 10,588,342 446,695,678
Schlumberger Ltd. ................................. 3,916,264 220,289,850
Scientific Atlanta Inc. ........................... 555,752 30,913,705
Seagate Technology ................................ 1,507,269 70,182,213
Seagram Co., Ltd. ................................. 3,127,340 140,534,841
Sealed Air Corp. .................................. 610,302 31,621,272
Sears Roebuck & Co. ............................... 2,774,870 84,460,106
Sempra Energy ..................................... 1,637,733 28,455,611
Service Corp. International ...................... 2,042,896 14,172,591
Shared Medical Systems Corp. ...................... 216,427 11,024,250
Sherwin-Williams Co. .............................. 1,195,519 25,105,899
Sigma Aldrich Corp. .............................. 746,218 22,433,179
Silicon Graphics Inc. ............................. 1,324,484 12,996,499
SLM Holding Corp. ................................. 1,163,161 49,143,552
Snap On Inc. ...................................... 447,477 11,886,108
Solectron Corp. .................................. 2,118,079 201,482,265
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-111
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Southern Co. ...................................... 4,907,706 $ 115,331,091
Southtrust Corp. .................................. 1,237,257 46,783,780
Southwest Airlines Co. ............................ 3,524,818 57,057,991
Springs Industries Inc. ........................... 128,444 5,129,732
Sprint Corp. ...................................... 6,278,564 422,625,839
Sprint Corp. PCS Group Com 1 ..................... 3,108,989 318,671,372
St. Jude Medical Inc. ............................. 582,575 17,877,770
St. Paul Cos. Inc. ................................ 1,677,518 56,511,388
Stanley Works ..................................... 664,350 20,013,544
Staples Inc. ...................................... 3,331,646 69,131,655
State Street Corp. (a) ........................... 1,166,560 85,231,790
Summit Bancorp .................................... 1,272,775 38,978,734
Sun Microsystems Inc. ............................. 11,233,174 869,868,912
Sunoco Inc. ....................................... 650,827 15,294,435
Suntrust Banks Inc. ............................... 2,307,911 158,813,126
Supervalu Inc. .................................... 1,040,778 20,815,560
Synovus Financial Corp. ........................... 1,949,447 38,745,259
Sysco Corp. ....................................... 2,396,298 94,803,540
T. Rowe Price Associates Inc. ..................... 877,513 32,413,136
Tandy Corp. ....................................... 1,400,820 68,902,834
Tektronix Inc. .................................... 349,487 13,586,307
Tellabs Inc. ...................................... 2,880,912 184,918,539
Temple Inland Inc. ................................ 397,308 26,197,496
Tenet Healthcare Corp. ............................ 2,261,701 53,149,974
Teradyne Inc. ..................................... 1,213,000 80,058,000
Texaco Inc. ....................................... 3,987,248 216,557,407
Texas Instruments Inc. ............................ 5,796,783 561,563,353
Texas Utilities Co. ............................... 1,998,638 71,076,564
Textron Inc. ...................................... 1,072,166 82,221,730
Thermo Electron Corp. ............................. 1,208,199 18,122,985
Thomas & Betts Corp. .............................. 417,093 13,294,839
Time Warner Inc. .................................. 9,285,343 672,607,034
Times Mirror Co. Series A ......................... 434,175 29,089,725
Timken Co. ........................................ 442,940 9,052,586
TJX Cos., Inc. .................................... 2,234,713 45,671,947
Torchmark Corp. ................................... 948,781 27,573,948
Tosco Corp. ....................................... 1,094,432 29,754,870
Toys R Us Inc. .................................... 1,764,087 25,248,495
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-112
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ ------------------
<S> <C> <C>
Transocean Sedco Forex Inc. ....................... 1,489,789 $ 50,187,257
Tribune Co. ....................................... 1,707,288 94,007,545
Tricon Global Restaurants Inc. .................... 1,124,794 43,445,168
TRW Inc. ......................................... 881,975 45,807,577
Tupperware Corp. .................................. 450,769 7,634,900
Tyco International Ltd. ........................... 12,183,239 473,623,416
Unicom Inc. ....................................... 1,574,766 52,754,661
Unilever NV ....................................... 4,128,053 224,720,885
Union Carbide Corp. ............................... 975,921 65,142,727
Union Pacific Corp. ............................... 1,815,932 79,220,033
Union Pacific Resources Group Inc. ............... 1,853,373 23,630,506
Union Planters Corp. .............................. 1,017,307 40,120,045
Unisys Corp. ...................................... 2,223,392 71,009,582
United Healthcare Corp. ........................... 1,261,080 66,994,875
United Technologies Corp. ......................... 3,453,948 224,506,620
Unocal Corp. ...................................... 1,781,208 59,781,794
Unumprovident Corp. ............................... 1,733,271 55,573,001
US Bancorp ........................................ 5,267,109 125,423,021
US West Inc. ...................................... 3,639,976 262,078,272
USAir Group Inc. ................................. 535,286 17,162,607
UST Inc. .......................................... 1,277,244 32,170,583
USX Marathon Group ................................ 2,239,967 55,299,185
USX United States Steel ........................... 662,836 21,873,588
VF Corp. .......................................... 854,655 25,639,650
Viacom Inc. Class B .............................. 4,988,373 301,484,793
Vulcan Materials Co. .............................. 708,790 28,307,301
W.R. Grace & Company .............................. 583,693 8,098,740
W.W. Grainger Inc. ................................ 687,731 32,882,138
Wachovia Corp. .................................... 1,452,676 98,781,968
Wal-Mart Stores Inc. .............................. 32,092,689 2,218,407,127
Walgreen Co. ...................................... 7,235,189 211,629,278
Walt Disney Co. ................................... 14,839,551 434,056,867
Warner Lambert Co. ................................ 6,188,785 507,093,571
Washington Mutual Inc. ............................ 4,174,248 108,530,448
Waste Management Inc .............................. 4,537,449 77,987,405
Watson Pharmaceuticals Inc. ....................... 701,755 25,131,601
Wellpoint Health Networks Inc. .................... 458,608 30,239,465
Wells Fargo & Company ............................. 11,852,802 479,297,681
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-113
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ---------------------------------------------------------------------- --------------- ------------------
<S> <C> <C>
Wendy's International Inc. ........................................... 894,685 $ 18,452,878
Westvaco Corp. ....................................................... 722,157 23,560,372
Weyerhaeuser Co. ..................................................... 1,716,213 123,245,546
Whirlpool Corp. ...................................................... 562,249 36,581,326
Willamette Industries Inc. ........................................... 802,203 37,252,302
William Wrigley Jr. Co. .............................................. 835,012 69,253,808
Williams Cos., Inc. .................................................. 3,133,365 95,763,468
Winn Dixie Stores Inc. ............................................... 1,029,931 24,653,973
Worthington Industries ............................................... 667,081 11,048,529
Xerox Corp. .......................................................... 4,791,564 108,708,608
Xilinx Inc. .......................................................... 2,305,700 104,837,297
Yahoo Inc. ........................................................... 1,901,500 822,755,290
---------------
TOTAL COMMON STOCK
(Cost $54,986,227,143)............................................... 88,874,108,790
---------------
STATE STREET BANK AND TRUST COMPANY COLLECTIVE INVESTMENT FUNDS--0.9% UNITS
---------
SHORT TERM INVESTMENT FUND (B) (Cost $820,045,789).................... 820,045,789 820,045,789
- ----------------------------------------------------------------------- ----------- ---------------
U.S. GOVERNMENT OBLIGATIONS--0.1% PRINCIPAL
-----------
UNITED STATES TREASURY BILLS (C) 16-MAR-00 (Cost $74,787,300)......... $ 75,600,000 74,787,300
- ----------------------------------------------------------------------- ------------ ---------------
TOTAL INVESTMENTS--100%
(Cost $55,881,060,232)............................................... $89,768,941,879
======================================================================= ===============
</TABLE>
(a) Parent company of State Street Bank and Trust Company.
(b) Collective investment fund advised by State Street Global Advisors.
(c) At December 31, 1999, U.S. Treasury Bills with principal of
$75,600,000 were pledged to cover margin requirements for open
futures contracts. The following long futures contracts were open at
December 31, 1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS COST DATE GAIN (LOSS)
- ------------------ ----------- ----------------- ---------- --------------
<S> <C> <C> <C> <C>
S&P 500 Index 2,862 $1,029,482,949 Mar-00 $32,462,152
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-114
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") S&P 500 Flagship
Fund and State Street Bank and Trust Company S&P 500 Index Fund with Futures
(collectively, the "Fund") were formed by State Street Bank under a Declaration
of Trust. The investment objective of the Fund is to replicate, as closely as
possible, the S&P 500 Index, which is accomplished by investing in
substantially all of the equity securities which comprise the S&P 500 Index.
Additionally, the Fund may hold up to 25% of its value in S&P 500 stock index
futures contracts and invest in certain other collective investment funds
maintained by State Street Bank, consistent with its investment objectives.
State Street Bank is Trustee and custodian of the Fund. 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 sales are reported for that day, the last published
sale price, or at fair value as determined in good faith by the Trustee.
Short-term investments, if any, are stated at amortized cost, which
approximates market value. Investments in regulated investment companies or
other State Street Bank collective investment funds are valued at the net asset
value per share/unit on the valuation date. Futures contracts are valued at the
last settlement price at the end of each day on the board of trade or exchange
upon which they are traded.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. The cost of
securities contributed to, and proceeds related to securities delivered by, the
Fundin 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, if any, is
recorded net of applicable withholding taxes on the ex-dividend date. Interest
income earned on securities, if any, is recorded on the accrual basis. Interest
income includes accretion of discounts and amortization of premiums. Income
earned from securities lending activities is recorded on the accrual basis.
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"). 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,
SAI-115
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
adjusted for the related market effect and transaction costs which 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
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year. The Trustee is paid a custody fee at an
annual rate of $50,000, plus a charge for each security and futures transaction
executed.
F. DISTRIBUTIONS TO PARTICIPANTS
Net investment income (excluding securities lending fee income, if any)
and net realized gains are retained by the Fund. Income generated by securities
lending, if any, is distributed monthly to participants of the Lending Fund.
G. FUTURES CONTRACTS
The Fund may use futures contracts to manage exposure to the equity
market. Buying futures tends to increase a fund's exposure to the underlying
instrument. Selling futures tends to decrease a fund's exposure to the
underlying instrument, or hedge other 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 not be
an exact correlation between a futures contract and the underlying index.
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.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the S&P 500 Flagship Fund (the "Lending Fund") have
authorized the Lending Fund to participate in the Global Securities Lending
Program maintained by State Street Bank. The investment objective,
SAI-116
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
techniques and results of operations of the Lending Fund are identical to those
of the S&P 500 Index Fund with Futures (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 the Lending Fund and the Non-Lending Fund.
The Lending Fund and the Non-Lending Fund each maintain a divided pro-rata
interest in the combined assets and liabilities (including each investment
security position but excluding assets and liabilities related to securities
lending activities) 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 Global 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 market
value of the loaned securities. At December 31, 1999, the market value of
securities loaned by the Lending Fund was $1,470,913,912 against which was held
cash collateral of $1,488,526,989 and securities of $19,904,775. Cash
collateral provided by the Borrowers is 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 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. Income earned
from lending activities is distributed to Lending Fund participants monthly.
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.
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, 1999 were $22,671,304,890 and $9,686,974,078, respectively,
resulting in a net realized gain (loss) of $2,740,467,258. This gain (loss) is
prior to the recognition of the market effect and transaction costs associated
with contributions and redemptions. Net realized gain (loss) from foreign
currency transactions amounted to $4,291 for the year ended December 31, 1999.
SAI-117
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
S&P 500 FLAGSHIP FUND
S&P 500 INDEX FUND WITH FUTURES
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------------
1999 1998
--------------------------------------- ---------------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- -------------------- ---------------- --------------------
<S> <C> <C> <C> <C>
S&P 500 FLAGSHIP FUND
Unit issued ..................... 120,831,175 $ 26,845,195,043 92,017,865 $ 16,413,987,764
Units redeemed .................. (59,545,184) (13,328,442,043) (78,526,013) (14,165,404,386)
----------- ----------------- ----------- -----------------
Total .......................... 61,285,991 $ 13,516,753,000 13,491,852 $ 2,248,583,378
----------- ----------------- ----------- -----------------
S&P 500 INDEX FUND WITH FUTURES
Units issued .................... 10,262,130 $ 2,234,643,203 25,180,459 $ 4,576,511,370
Units redeemed .................. (14,946,171) (3,309,277,718) (10,189,163) (1,776,525,390)
----------- ----------------- ----------- -----------------
Total .......................... (4,684,041) $ (1,074,634,515) 14,991,296 $ 2,799,985,980
----------- ----------------- ----------- -----------------
Net increase (decrease) ......... 56,601,950 $ 12,442,118,485 28,483,148 $ 5,048,569,358
=========== ================= =========== =================
</TABLE>
S&P 500 FLAGSHIP FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 1 of the Lending Fund's 230 unitholders aggregated 31% of the
Lending Fund's total units outstanding.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Lending Fund units were $56,211.
S&P 500 INDEX FUND WITH FUTURES
Units in excess of 10% of the Non-Lending Fund units outstanding at
December 31, 1999 held by 2 of the Non-Lending Fund's 36 unitholders aggregated
50% of the Non-Lending Fund's total units outstanding.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Non-Lending Fund units were $(37,236).
SAI-118
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
State Street Bank and Trust Company
Russell 2000 Fund
and State Street Bank and 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 State
Street Bank and Trust Company Russell 2000 Fund and State Street Bank and Trust
Company Russell 2000 Non-Lending Fund at December 31, 1999, and the results of
their operations, the changes in their net assets and their selected per unit
data for the periods indicated, in conformity with accounting principles
generally accepted in the United States. 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 auditing standards generally
accepted in the United States which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
Trustee, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 29, 2000
The accompanying notes are an integral part of these financial statements.
SAI-119
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $1,878,730,469)............... $2,033,337,439
Cash ................................................................... 717,247
Investment in State Street Bank and Trust Company
Quality A Short-Term Investment Fund, at value ........................ 319,956,876
Receivable for investments sold ........................................ 966,013
Variation margin receivable ............................................ 987,669
Dividends receivable ................................................... 2,036,241
Interest receivable .................................................... 271,955
Tax reclaim receivable ................................................. 1,468
- ------------------------------------------------------------------------ --------------
Total assets ........................................................ 2,358,274,908
- ------------------------------------------------------------------------ --------------
LIABILITIES
Collateral on securities loaned ........................................ 319,956,876
Payable for investments purchased ...................................... 16,157,746
Accrued expenses ....................................................... 29,122
- ------------------------------------------------------------------------ --------------
Total liabilities ................................................... $ 336,143,744
- ------------------------------------------------------------------------ --------------
NET ASSETS ............................................................. $2,022,131,164
======================================================================== ==============
Russell 2000 Fund
(68,537,826 units outstanding, at $27.78 per unit net asset value)..... $1,903,730,927
Russell 2000 Non-Lending Fund
(4,262,627 units outstanding, at $27.78 per unit net asset value)...... 118,400,237
- ------------------------------------------------------------------------ --------------
$2,022,131,164
======================================================================== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-120
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends ..................................................................................... $ 22,565,592
Interest ...................................................................................... 3,456,442
Securities lending fee income (net of related expenses), allocated to the Russell 2000 Fund ... 1,080,610
- ------------------------------------------------------------------------------------------------- ------------
Total investment income ..................................................................... 27,102,644
- ------------------------------------------------------------------------------------------------- ------------
EXPENSES
Audit ......................................................................................... 19,500
Custody ....................................................................................... 504,356
- ------------------------------------------------------------------------------------------------- ------------
Total expenses .............................................................................. 523,856
- ------------------------------------------------------------------------------------------------- ------------
Net investment income ....................................................................... 26,578,788
- ------------------------------------------------------------------------------------------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss):
Investments ................................................................................... 123,766,301
Futures contracts ............................................................................. 8,570,780
- ------------------------------------------------------------------------------------------------- ------------
132,337,081
------------
Net change in unrealized appreciation (depreciation):
Investments ................................................................................... 175,829,371
Futures contracts ............................................................................. 1,106,126
- ------------------------------------------------------------------------------------------------- ------------
176,935,497
------------
Net realized and unrealized gain (loss) on investments and futures contracts .................. 309,272,578
- ------------------------------------------------------------------------------------------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................................ $335,851,366
================================================================================================= ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-121
<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,
1999 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .............................................................. $ 26,578,788 $ 21,300,896
Net realized gain (loss) on investments and futures contracts ...................... 132,337,081 38,959,547
Net change in unrealized appreciation (depreciation) on investments and futures
contracts ......................................................................... 176,935,497 (129,684,430)
- ------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations .................... 335,851,366 (69,423,987)
- ------------------------------------------------------------------------------------- -------------- --------------
Distributions of securities lending fee income allocated to the Russell 2000 Fund
participants ...................................................................... (1,080,610) (888,420)
- ------------------------------------------------------------------------------------- -------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ...... 302,887,388 161,065,128
- ------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets .............................................. 637,658,144 90,752,721
NET ASSETS
Beginning of year ................................................................. 1,384,473,020 1,293,720,299
- ------------------------------------------------------------------------------------- -------------- --------------
End of year ....................................................................... $2,022,131,164 $1,384,473,020
===================================================================================== ============== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-122
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------------
1999 1998 1997 1996 1995
-------------- -------------- -------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Net investment income (a) .............. $ 0.39 $ 0.38 $ 0.36 $ 0.32 $ 0.03
Distribution of securities lending
fee income ............................ (0.02) (0.02) (0.02) (0.01) (0.01)
Net realized and unrealized gain
(loss) ................................ 4.34 (1.06) 4.19 2.45 3.61
- ----------------------------------------- ---------- ---------- ---------- -------- --------
Net increase (decrease) ................ 4.71 (0.70) 4.53 2.76 3.63
NET ASSET VALUE
Beginning of year ...................... 23.07 23.77 19.24 16.48 12.85
- ----------------------------------------- ---------- ---------- ---------- -------- --------
End of year ............................ $ 27.78 $ 23.07 $ 23.77 $ 19.24 $ 16.48
- ----------------------------------------- ---------- ---------- ---------- -------- --------
Total return (%)(b) .................... 20.50 (2.88) 23.66 16.81 28.33
========================================= ========== ========== ========== ======== ========
Ratio of expenses to average net
assets (%) ............................ 0.03 0.04 0.06 0.06 0.10
- ----------------------------------------- ---------- ---------- ---------- -------- --------
Ratio of net investment income
to average net assets (%) ............. 1.61 1.61 1.63 1.80 1.80
- ----------------------------------------- ---------- ---------- ---------- -------- --------
Portfolio turnover (%) ................. 51 57 105 131 103
- ----------------------------------------- ---------- ---------- ---------- -------- --------
Net assets, end of year (000s) ......... $1,903,731 $1,255,838 $1,174,146 $951,405 $536,849
========================================= ========== ========== ========== ======== ========
</TABLE>
(a) Net investment income per unit has been calculated based upon a
monthly average of units outstanding.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the
beginning and end of the year and assumes reinvestment of
distributions. The calculation includes only those expenses charged
directly to the Lending Fund. The 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 these financial statements.
SAI-123
<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>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1999 1998 1997 1996 (a)
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Net investment income (b) ........................... $ 0.37 $ 0.36 $ 0.34 $ 0.09
Net realized and unrealized gain (loss) ............. 4.34 (1.06) 4.19 0.84
- ------------------------------------------------------ -------- -------- -------- -------
Net increase (decrease) ............................. 4.71 (0.70) 4.53 0.93
NET ASSET VALUE
Beginning of period ................................. 23.07 23.77 19.24 18.31
- ------------------------------------------------------ -------- -------- -------- -------
End of period ....................................... $ 27.78 $ 23.07 $ 23.77 $ 19.24
====================================================== ======== ======== ======== =======
Total return (%)(c) ................................. 20.42 (2.94) 23.54 5.08
====================================================== ======== ======== ======== =======
Ratio of expenses to average net assets (%) ......... 0.03 0.04 0.06 0.06
- ------------------------------------------------------ -------- -------- -------- -------
Ratio of net investment income to average net
assets (%) ......................................... 1.54 1.55 1.56 1.80
- ------------------------------------------------------ -------- -------- -------- -------
Portfolio turnover (%) .............................. 51 57 105 131
- ------------------------------------------------------ -------- -------- -------- -------
Net assets, end of period (000s) .................... $118,400 $128,635 $119,574 $34,465
====================================================== ======== ======== ======== =======
</TABLE>
(a) The Non-Lending Fund commenced operations on September 30, 1996.
(b) Net investment income per unit has been calculated based upon a
monthly average of units outstanding.
(c) 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 Non-Lending Fund. The 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 these financial statements.
SAI-124
<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, 1999
<TABLE>
<CAPTION>
SHARES VALUE
- -------------------------------------------- ---------- --------------
<S> <C> <C>
COMMON STOCK--97.2% (unless otherwise noted)
24 / 7 Media Inc. ......................... 27,800 $ 1,563,750
3Dfx Interactive Inc. ...................... 44,600 437,638
7 Eleven Inc. .............................. 319,200 568,575
99 Cents Only Stores ....................... 17,924 685,593
A. Schulman Inc. ........................... 65,600 1,070,100
A.M. Castle & Co. .......................... 20,750 243,813
A.O. Smith Corp. ........................... 44,900 982,187
AAR Corp. .................................. 57,000 1,022,437
Aaron Rents Inc. Class B .................. 36,100 640,775
Aavid Thermal Technologies Inc. ............ 19,600 481,425
ABC Rail Products Corp. .................... 38,400 316,800
Abgenix Inc. ............................... 19,000 2,517,500
ABM Industries Inc. ....................... 32,300 658,113
About Common Inc. .......................... 6,700 601,325
Acceptance Insurance Cos., Inc. ........... 24,500 142,406
Acclaim Entertainment Inc. ................. 85,100 436,138
Accredo Health Inc. ........................ 6,700 206,025
Ace Ltd .................................... 34,710 782,007
Ackerley Communications Inc. ............... 26,600 482,125
ACT Networks Inc. .......................... 20,700 192,769
Actel Corp. ................................ 41,900 1,005,600
Action Performance Cos., Inc. .............. 32,200 370,300
Active Inc. ................................ 61,500 2,809,781
Activision Inc. ............................ 49,400 756,437
Actuate Corp. .............................. 52,100 2,233,787
Acuson ..................................... 43,700 548,981
ACX Technologies ........................... 32,200 344,138
Adaptive Broadband Corp. ................... 32,000 2,362,000
Adelphia Business Solutions ................ 30,600 1,468,800
Adforce Inc. .............................. 10,000 713,750
Administaff Inc. ........................... 20,900 632,225
Adtran Inc. ................................ 41,700 2,144,944
Advance Paradigm Inc. ..................... 39,400 849,562
Advanced Communications Group .............. 25,500 347,438
Advanced Digital Information ............... 39,100 1,901,237
Advanced Energy Industries Inc. ........... 19,800 975,150
Advanced Fibre Communications .............. 148,600 6,640,562
Advanced Radio Telecom Corp. ............... 48,200 1,156,800
Advanta Corp. Class A ..................... 40,900 746,425
Advantage Learning Systems Inc. ........... 19,300 215,919
Advantica Restaurant Group Inc. ............ 65,200 114,100
Advent Software Inc. ....................... 25,799 1,662,423
Advest Group Inc. .......................... 16,000 294,000
Advo Inc. .................................. 39,100 928,625
AEP Industries Inc. ........................ 7,700 198,275
Aerial Communications Inc. ................. 34,100 2,075,837
Aeroflex Inc. .............................. 36,300 376,613
Affiliated Managers Group Inc. ............. 48,700 1,969,306
Affymetrix Inc. ............................ 33,700 5,718,469
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-125
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ----------------------------------------------------- ---------- ----------------
<S> <C> <C>
Aftermarket Technology Corp. ........................ 41,600 $ 496,600
Agco Corp. .......................................... 129,300 1,737,469
AGL Resources Inc. .................................. 120,600 2,050,200
Agribiotech Inc. ................................... 85,000 201,875
Agribrands International Inc. ....................... 19,700 906,200
AHL Services Inc. ................................... 13,300 277,638
Air Express International Corp. ..................... 70,855 2,289,502
Airborne Freight Corp. .............................. 96,600 2,125,200
Airgas Inc. ......................................... 132,300 1,256,850
Airtran Holdings Inc. ............................... 134,200 608,094
Alabama National BanCorp. ........................... 20,000 377,500
Alaris Med Inc. ..................................... 40,600 76,125
Alaska Air Group Inc. ............................... 51,700 1,815,962
Albany International Corp. Class A ................. 41,567 644,285
Albany Molecular Research Inc. ...................... 13,200 402,600
Albemarle Corp. ..................................... 50,200 963,212
Alexander & Baldwin Inc. ............................ 91,800 2,094,187
Alexander's Inc. .................................... 7,400 584,600
Alexandria Real Estate Equities Inc. ................ 24,300 773,044
Alfa Corp. .......................................... 83,100 1,355,569
Algos Pharmaceutical Corp. .......................... 22,300 245,300
Alkermes Inc. ....................................... 48,500 2,382,562
Allaire Corp. ....................................... 12,800 1,872,800
Alleghany Corp. ..................................... 10,200 1,892,100
Allen Telecom Inc. .................................. 64,500 745,781
Alliance Bancorp .................................... 22,700 419,950
Alliance Semiconductor Corp. ........................ 51,300 856,069
Alliant Techsystems Inc. ............................ 21,300 1,327,256
Allied Capital Corp. New ........................... 131,900 2,415,419
Alltrista Corp. ..................................... 14,300 316,388
Alpha Inds Inc. ..................................... 35,000 2,005,937
Alpharma Inc. Class A .............................. 41,300 1,269,975
Alpine Group Inc. ................................... 30,600 393,975
Alterra Healthcare Corp. ............................ 46,100 383,206
AMC Entertainment Inc. .............................. 40,600 350,175
Amcol International Corp. ........................... 57,250 923,156
Amcore Financial Inc. ............................... 60,102 1,442,448
Amerco .............................................. 14,400 360,000
America West Holding Corp. Class B .................. 71,815 1,490,161
American Annuity Group Inc. ......................... 16,393 295,074
American Axle & Manufacturing Holdings Inc. ......... 16,900 204,913
American Business Products Inc. ..................... 30,012 350,765
American Classic Voyager Co. ........................ 18,800 658,000
American Freightways Corp. .......................... 47,200 764,050
American Industrial Properties REIT ................. 36,600 452,925
American Italian Pasta Company Class A .............. 37,300 1,146,975
American Management Systems Inc. .................... 85,700 2,688,837
American Mobile Satellite Corp. ..................... 33,500 705,594
American Retirement Corp. ........................... 34,700 275,431
American Sts Water Company .......................... 19,600 705,600
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-126
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
American Superconductor Corp. ..................... 32,000 $ 896,000
American Woodmark Corp. ........................... 11,400 276,450
American Xtal Technology Inc. ..................... 34,100 594,619
Americredit Corp. ................................. 155,900 2,884,150
AmeriPath Inc. .................................... 178,600 5,045,450
Amerisource Health Corp. Class A ................. 101,100 1,535,456
Amerus Life Holdings Inc. ......................... 34,019 782,437
Ames Department Stores Inc. ....................... 61,300 1,766,206
Ametek Aerospace Products Inc. .................... 67,900 1,294,344
AMF Bowling Inc. .................................. 175,000 546,875
Amkor Technology Inc. ............................. 45,400 371,713
AMLI Residential Properties Trust ................. 30,000 605,625
Ampex Corp. Class A ............................... 89,000 483,938
Amphenol Corp. Class A ........................... 34,300 2,283,094
Amresco Inc. ...................................... 121,900 171,422
Amtran Inc. ....................................... 4,900 94,938
Anacomp Inc. ...................................... 27,400 498,338
Anadigics Inc. ................................... 37,300 1,760,094
Analogic Corp. .................................... 11,900 392,700
Analysts International Corp. ...................... 46,561 582,013
Anchor Bancorp Inc. .............................. 51,700 781,962
Anchor Financial Corp. (S.C.) .................... 17,100 470,250
Anchor Gaming ..................................... 15,800 686,313
Ancor Communications Inc. ......................... 57,000 3,868,875
Andover Bancorp Inc. .............................. 13,800 386,400
Andrew Corp. ...................................... 172,400 3,264,825
Anesta Corp. ...................................... 24,800 426,250
Anicom Inc. ....................................... 53,000 225,250
Anixter International Inc. ........................ 46,400 957,000
Ann Taylor Stores Corp. ........................... 46,400 1,597,900
Answerthink Consulting Group ...................... 57,600 1,972,800
Antec Corp. ....................................... 49,950 1,823,175
Apex Inc. ........................................ 34,750 1,120,687
Apogee Enterprises Inc. ........................... 65,700 332,606
Applebees International Inc. ...................... 55,900 1,649,050
Applied Analytical Industries Inc. ................ 20,600 187,975
Applied Graphics Technologies ..................... 34,807 300,210
Applied Industrial Technologies Inc. .............. 45,912 763,287
Applied Power Inc. Class A ....................... 82,182 3,020,188
Appliedtheory Corp. ............................... 12,200 338,550
Apria Healthcare Group Inc. ....................... 108,900 1,953,394
Aptargroup Inc. .................................. 67,000 1,683,375
Aquarion Co. ...................................... 24,950 923,150
Arcadia Financial Ltd. ............................ 81,900 363,431
Arch Chemicals Inc. .............................. 44,100 923,344
Arch Coal Inc. ................................... 32,900 372,181
Arctic Cat Inc. .................................. 42,200 422,000
Ardent Software Inc. ............................. 30,400 1,185,600
Area Bancshares Corp. ............................. 27,000 661,500
Argonaut Group Inc. .............................. 38,200 759,225
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-127
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Argosy Gaming Corp. ............................... 41,000 $ 638,063
Arguss Holdings Inc. .............................. 21,100 274,300
Arnold Industries Inc. ............................ 39,300 552,656
Arrow International Inc. ......................... 23,900 693,100
Artesyn Technologies Inc. ......................... 67,206 1,411,326
Arvin Industries Inc. ............................ 54,100 1,535,087
Ascent Entertainment Group Inc. .................. 62,283 790,216
Ashton Technology Group Inc. ...................... 47,600 306,425
Aspect Communications Inc. ........................ 97,100 3,799,037
Aspect Development Inc. ........................... 45,300 3,103,050
Aspen Technology Inc. ............................. 51,400 1,358,887
Associated Estates Realty Corp. ................... 39,000 304,688
Astec Industries Inc. ............................ 32,000 602,000
ASV Inc. .......................................... 20,100 273,863
Asyst Technologies Inc. .......................... 27,100 1,776,744
Atlantic Coast Airlines Inc. ...................... 24,600 584,250
Atlas Air Inc. .................................... 29,900 820,381
ATMI Inc. ........................................ 42,300 1,398,544
Atmos Energy Corp. ................................ 65,800 1,344,787
Atwood Oceanics Inc. ............................. 23,100 892,237
Aurora Foods Inc. ................................. 37,100 345,494
Aurther J. Gallagher & Co. ....................... 38,800 2,512,300
Auspex Systems Inc. ............................... 54,100 554,525
Autobytel Inc. .................................... 17,600 267,300
Autoweb Common Inc. ............................... 14,200 154,425
Avado Brands Inc. ................................. 48,100 202,922
Avant Corp. ....................................... 62,826 942,390
Aviall Inc. ....................................... 37,600 307,850
Aviation Sales Co. ................................ 24,200 399,300
Avid Technology Inc. .............................. 49,100 641,369
Aviron ............................................ 26,600 420,613
Avis Rent-A-Car Inc. ............................. 41,300 1,055,731
Avista Corp. ...................................... 70,100 1,082,169
AVT Corp. ......................................... 24,400 1,146,800
Aware Inc. ........................................ 34,100 1,240,387
Axent Technologies Inc. ........................... 53,400 1,121,400
Aztar Corp. ....................................... 86,700 942,862
Bacou USA Inc. .................................... 8,200 123,513
Baldor Electric Co. ............................... 64,613 1,171,111
Baldwin & Lyons Inc. Class B ...................... 28,100 621,713
Bally Total Fitness Holding Corp. ................. 49,500 1,321,031
Bancfirst Corp. ................................... 9,951 337,712
Bancfirst Ohio Corp. .............................. 14,300 328,900
Banco Santander ................................... 15,600 240,825
Bancorpsouth Inc. ................................. 116,580 1,901,711
Bancwest Corp. .................................... 107,000 2,086,500
Bandag Inc. ....................................... 27,400 685,000
Bank of Granite Corp. ............................. 24,643 529,825
Bank United Corp. Class A ......................... 62,800 1,711,300
Bankatlantic Bancorp Inc. ......................... 84,000 430,500
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-128
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- ------------------
<S> <C> <C>
Banknorth Group Inc. .............................. 49,660 $ 1,328,405
Banta Corp. ....................................... 55,750 1,257,859
Banyan Systems Inc. ............................... 51,500 1,030,000
Barnes and Noble Inc. Class A .................... 60,500 858,344
Barnes Group Inc. ................................. 36,900 601,931
Barr Laboratories Inc. ............................ 28,825 904,384
Barra Inc. ........................................ 24,050 763,587
Barrett Resources Corp. ........................... 60,770 1,788,917
Basin Exploration Inc. ............................ 29,300 516,413
Bassett Furniture Industries Inc. ................. 25,762 412,192
Battle Mountain Gold Co. .......................... 284,900 587,606
Bay View Capital Corp. ............................ 50,055 710,155
BE Aerospace Inc. ................................. 48,400 408,375
Bebe Stores Inc. .................................. 2,400 64,800
Bedford Property Investment Inc. .................. 44,400 757,575
Belco Oil & Gas Corp. ............................. 32,600 179,300
Belden Inc. ...................................... 51,000 1,071,000
Bell & Howell Co. ................................. 32,000 1,018,000
Benchmark Electronics Inc. ........................ 31,500 722,531
Beringer Wine Estates Holdings Class B ............ 37,600 1,499,300
Berlitz International Inc. ........................ 4,100 70,469
Berry Petroleum Co. Class A ....................... 37,400 565,675
Best Software Inc. ................................ 14,300 421,850
Bethlehem Steel Corp. ............................. 275,524 2,307,513
Beverly Enterprises Inc. .......................... 191,700 838,687
Beyond Common Corp. ............................... 49,700 388,281
Billing Info Concepts Corp. ....................... 76,300 495,950
Bindley Western Industries Inc. .................. 60,110 905,407
Bindview Development Corp. ........................ 34,200 1,699,312
Bio Rad Laboratories Inc. Class A ................. 19,300 451,138
Bio Technology General Corp. ...................... 110,100 1,679,025
Biomatrix Inc. .................................... 30,400 585,200
Black Box Inc. ................................... 37,900 2,539,300
Black Hills Corp. ................................. 45,600 1,011,750
Block Drug Co., Inc. ............................. 31,668 981,711
Blout International Inc. .......................... 46,481 740,791
BMC Industries Inc. ............................... 56,200 273,975
Bob Evans Farms Inc. ............................. 85,000 1,312,187
Boca Resorts Inc. Class A ......................... 63,500 619,125
Boise Cascade Office Products Corp. ............... 24,200 363,000
BOK Financial Corp. ............................... 24,044 485,764
Bombay Co., Inc. ................................. 77,000 346,500
Borders Group Inc. ............................... 166,700 2,677,619
Bottomline Technologies (Delaware) ................ 13,900 500,400
Bowne & Co., Inc. ................................ 75,900 1,024,650
Boyd Gaming Corp. ................................. 81,600 474,300
Boyds Collection Ltd. ............................. 110,800 768,675
Boykin Lodging Co. ................................ 40,600 444,063
Bradley Real Estate Inc. ......................... 52,264 911,353
Brandywine Realty Trust ........................... 74,300 1,216,662
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-129
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
BRE Properties Inc. .............................. 94,682 $ 2,148,098
Brenton Banks Inc. ............................... 37,472 379,404
Bright Horizons Family Solutions .................. 25,300 474,375
Brightpoint Inc. ................................. 111,548 1,464,067
Brio Technology Inc. ............................. 20,700 869,400
Britesmile Inc. .................................. 23,800 193,375
Broadvision Inc. ................................. 114,400 19,455,150
Brooke Group Ltd. ................................. 26,009 388,509
Brookline Bancorp Inc. ........................... 28,100 273,975
Brooks Automation Inc. ........................... 23,200 755,450
Brooktrout Technology Inc. ....................... 23,200 430,650
Brown & Brown Inc. ............................... 20,500 785,406
Brown Shoe Inc. .................................. 39,600 559,350
Brush Wellman Inc. ............................... 34,200 574,988
BSB Bancorp Inc. ................................. 13,700 263,725
BT Financial Corp. ................................ 34,289 754,358
Buckeye Technologies Inc. ........................ 55,800 830,025
Buckle Inc. ...................................... 14,900 220,706
Budget Group Inc. Class A ......................... 44,000 398,750
Buffets Inc. ..................................... 92,605 926,050
Building One Services Corp. ....................... 53,230 502,358
Burlington Coat Factory Warehouse Corp. ........... 40,399 560,536
Burlington Industries Inc. ....................... 119,800 479,200
Burnham Pacific Properties Inc. .................. 65,800 616,875
Burns International Services Corp. ................ 27,400 296,263
Burr-Brown Corp. .................................. 81,897 2,958,529
Bush Boake Allen Inc. ........................... 11,700 287,381
Bush Industries Inc. Class A .................... 19,200 330,000
Butler Manufacturing Co. .......................... 11,550 257,709
C&D Technologies .................................. 27,400 1,164,500
C-Cor Electronics Inc. ........................... 19,300 1,478,862
C-Cube Microsystems Inc. ......................... 83,100 5,172,975
Cable Design Technologies Corp. ................... 58,475 1,344,925
Cabot Industrial Trust ............................ 86,100 1,582,087
Cabot Oil & Gas Corp. Class A ..................... 48,700 782,244
CACI International Inc. Class A ................... 19,100 432,138
Cadiz Inc. ....................................... 77,200 733,400
Cais Internet Inc. ............................... 13,300 472,150
Cal Dive International Inc. ...................... 11,100 367,688
Calgon Carbon Corp. ............................... 77,600 460,750
California Water Service Group .................... 24,800 751,750
Callaway Golf Co. ................................. 160,500 2,838,844
Cambrex Corp. ..................................... 50,100 1,725,319
Cambridge Technology Partners Inc. ............... 107,800 2,829,750
Camden Property Trust ............................. 79,886 2,186,879
Canandaigua Wine Inc. Class A ..................... 34,500 1,759,500
Capital Automotive REIT ........................... 46,000 560,625
Capital City Bank Group Inc. ..................... 12,350 265,525
Capital Senior Living Corp. ....................... 27,300 138,206
Capitol Federal Financial ......................... 191,600 1,868,100
</TABLE>
The accompanying notes are an integral part of these financial statements.
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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Caprock Communications Corp. ...................... 69,200 $ 2,244,675
Capstead Mortgage Corp. ........................... 122,925 514,748
Caraustar Industries Inc. ........................ 53,600 1,286,400
Carbo Ceramics Inc. .............................. 10,400 227,500
Career Education Corp. ............................ 15,300 587,138
Careerbuilder Inc. ............................... 9,300 59,869
Caremark Rx Inc. ................................. 428,800 2,170,800
Carematrix Corp. .................................. 20,200 50,500
Carey International Inc. ......................... 19,200 468,000
Carmike Cinemas Inc. Class A .................... 22,100 172,656
Carolina First Corp. .............................. 54,900 1,001,925
Carpenter Technology Corp. ........................ 39,000 1,070,062
Carriage Services Inc. Class A ................... 23,900 141,906
Carrier Access Corp. .............................. 20,100 1,352,981
Carter Wallace Inc. ............................... 45,400 814,362
Cascade Natural Gas Corp. ......................... 23,400 377,325
Casella Waste Systems Inc. Class A ............... 19,900 375,613
Casey's General Stores Inc. ....................... 113,300 1,182,569
Cash America International Inc. ................... 55,900 545,025
Castle & Cooke Inc. ............................... 29,800 378,088
Catalytica Inc. ................................... 111,100 1,506,794
Catapult Communications Corp. ..................... 11,200 111,300
Cathay Bancorp Inc. ............................... 18,800 770,800
Cato Corp. Class A ............................... 33,600 424,200
CB Richard Ellis Services Inc. .................... 43,000 532,125
CBL & Associates Properties Inc. .................. 46,500 959,062
CBRL Group Inc. ................................... 122,300 1,186,692
CCC Information Services Group Inc. ............... 47,600 815,150
CD-Now Inc. ....................................... 31,822 314,242
CDI Corp. ......................................... 24,500 591,063
CEC Entertainment Inc. ............................ 58,000 1,645,750
Celgene Corp. ..................................... 36,000 2,520,000
Cell Pathways Inc. ................................ 39,400 364,450
Cellnet Data Systems .............................. 86,200 96,975
Cellstar Corp. .................................... 75,000 740,625
Centennial Bancorp ................................ 38,157 410,188
Center Trust Inc. ................................. 50,500 489,219
Centerpoint Properties Corp. ...................... 43,900 1,574,912
Centex Construction Products Inc. ................. 17,100 666,900
Central Garden & Pet Co. .......................... 50,600 524,975
Central Parking Corp. ............................. 25,550 488,644
Century South Bank Inc. ........................... 20,300 454,213
Centurybusiness Services Inc. ..................... 138,200 1,166,062
Cephalon Inc. ..................................... 62,900 2,173,981
Cerner Corp. ...................................... 55,100 1,084,781
CFS Bancorp Inc. .................................. 42,000 391,125
CFW Communications Co. ............................ 24,800 861,800
CH Energy Group Inc. .............................. 35,300 1,164,900
CH Robinson Worldwide ............................. 85,700 3,406,575
Champion Enterprises Inc. ......................... 86,944 744,458
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-131
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Championship Auto Racing Team ..................... 19,400 $ 446,200
Charles E. Smith Residential ...................... 41,100 1,453,912
Charles River Assocs Inc. ......................... 15,300 512,550
Charming Shoppes Inc. ............................. 207,600 1,375,350
Chart Industries Inc. ............................. 40,000 160,000
Charter Municipal Mortgage Acceptance Co. ......... 42,200 495,850
Chateau Communities Inc. .......................... 44,900 1,164,594
Chattem Inc. ...................................... 21,700 412,300
Cheap Tickets Inc. ................................ 9,900 135,506
Checkpoint Systems Inc. ........................... 60,000 611,250
Cheesecake Factory ................................ 38,249 1,338,715
Chelsea GCA Realty Inc. ........................... 32,300 960,925
Chemed Corp. ...................................... 20,000 572,500
Chemfirst Inc. .................................... 40,100 877,187
Chemical Financial Corp. .......................... 29,333 934,989
Chesapeake Corp. .................................. 45,500 1,387,750
Chesapeake Energy Corp. ........................... 165,858 393,913
Chicago Title Corp. ............................... 30,300 1,401,375
Chicos Fas Inc. ................................... 13,700 515,463
Childrens Place Retail Stores Inc. ................ 34,300 563,806
Chiquita Brands International Inc. ................ 93,500 444,125
Chirex Inc. ....................................... 28,300 413,888
Chittenden Corp. .................................. 59,863 1,773,441
Choice Hotels Inc. ................................ 117,800 2,017,325
Choicepoint Inc. .................................. 62,400 2,581,800
CHS Electronics Inc. .............................. 99,499 111,936
Church & Dwight Co., Inc. ......................... 82,100 2,191,044
Churchill Downs Inc. .............................. 13,700 309,106
Ciber Inc. ........................................ 96,000 2,640,000
Circle International Group Inc. ................... 25,650 570,713
Cirrus Logic Inc. ................................. 127,500 1,697,344
Citadel Communications Corp. ...................... 48,000 3,114,000
Citizens Banking Corp. ............................ 87,475 1,957,253
City Holding Co. .................................. 35,754 500,556
CK Witco Corp. .................................... 243,415 3,255,676
CKE Restaurants Inc. .............................. 113,200 665,050
Clarcor Inc. ...................................... 51,850 933,300
Clarify Inc. ...................................... 44,200 5,569,200
Cleco Corp. ....................................... 48,900 1,567,856
Cleveland-Cliffs Inc. ............................. 24,500 762,562
Closure Med Corp. ................................. 11,600 149,350
CMI Corp. Class A ................................. 37,200 262,725
CMP Group Inc. .................................... 69,900 1,926,619
CNA Surety Corp. .................................. 30,900 401,700
Coachmen Industries Inc. .......................... 36,900 558,113
Coca Cola Bottling Co. ............................ 3,400 161,075
Cognex Corp. ...................................... 72,533 2,828,787
Cognizant Technology Solutions Class A ............ 6,500 710,531
Coherent Inc. ..................................... 51,000 1,364,250
Cohu Inc. ......................................... 42,000 1,302,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-132
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Coinstar Inc. ..................................... 41,900 $ 586,600
Coldwater Creek Inc. .............................. 5,300 108,650
Coleman Co., Inc. ................................. 18,000 167,625
Collins & Aikman Corp. ............................ 127,600 733,700
Colonial Properties Trust ......................... 53,700 1,245,169
Columbia Laboratories Inc. ........................ 45,300 339,750
Columbia Sportswear Co ............................ 19,400 417,100
Columbus McKinnon Corp. ........................... 25,500 258,188
Com21 Inc. ........................................ 34,400 771,850
Comfort Systems USA Inc. .......................... 62,900 463,888
Commerce Bancorp Inc. ............................. 58,600 2,369,637
Commerce Group Inc. ............................... 54,700 1,429,037
Commercial Intertech Corp. ........................ 24,500 312,375
Commercial Metals Co. ............................. 27,133 920,826
Commercial Net Lease Realty Inc. .................. 63,400 630,038
Commnet Cellular Inc. ............................. 48,400 1,554,850
Commonwealth Bancorp Inc. ......................... 31,755 527,927
Commonwealth Telephone Enterprises ................ 21,700 1,147,387
Commscope Inc. .................................... 100,300 4,043,344
Community First Bankshares Inc. ................... 101,100 1,592,325
Community Trust Bancorp Inc. ...................... 23,201 464,020
Complete Business Solutions Inc. .................. 50,100 1,258,762
Compucom Systems Inc. ............................. 109,000 449,625
Compucredit Corp. ................................. 16,500 635,250
CompUSA Inc. ...................................... 198,600 1,017,825
Computer Horizons Corp. ........................... 65,950 1,067,566
Computer Network Technology Corp. ................. 49,000 1,123,937
Computer Task Group Inc. .......................... 36,400 539,175
Compx International Inc. .......................... 4,400 80,850
Concentric Network Corp. .......................... 86,200 2,656,037
Concord Communications Inc. ....................... 27,800 1,233,625
Concur Technologies Inc. .......................... 28,700 832,300
Concurrent Computer Corp. ......................... 103,700 1,937,894
Conmed Corp. ...................................... 32,100 830,587
Connecticut Energy Corp. .......................... 20,900 812,487
Conning Corp. ..................................... 26,700 220,275
Consol Energy Inc. ................................ 47,300 478,913
Consolidated Freightways Corp. .................... 43,500 345,281
Consolidated Graphics Inc. ........................ 28,500 425,719
Consolidated Products Inc. ........................ 49,338 499,550
Contifinancial Corp. .............................. 18,600 4,359
Cooper Cos Inc. ................................... 28,200 849,525
Copart Inc. ....................................... 39,800 1,731,300
Corinthian Colleges Inc. .......................... 8,800 210,100
Corixa Corp. ...................................... 29,800 506,600
Corn Products International Inc. .................. 74,400 2,436,600
Cornell Corrections Inc. .......................... 20,300 170,013
Cornerstone Realty Inc. ome Trust Inc. ............ 80,700 786,825
Corporate Executive Board Co. ..................... 17,000 949,875
Corporate Therapeutics Inc. ....................... 47,300 1,271,187
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-133
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Cort Business Services Corp. ...................... 27,800 $ 484,763
Corus Bankshares Inc. ............................. 21,100 506,400
Cost Plus Inc. .................................... 42,448 1,512,210
Costar Group Inc. ................................. 13,700 491,488
Cotelligent Group Inc. ............................ 28,900 155,338
Coulter Pharmaceutical Inc. ....................... 33,800 766,837
Cousins Properties Inc. ........................... 51,400 1,744,387
Covance Inc. ...................................... 123,600 1,336,425
Covenant Transport Inc. Class A ................... 14,800 257,150
Coventry Helath Care Inc. ......................... 128,600 868,050
CPB Inc. .......................................... 18,500 527,250
CPI Corp. ......................................... 17,800 401,613
Crawford & Co. Class B ............................ 77,400 1,054,575
Creative Computers Inc. ........................... 800 5,850
Credence Systems Corp. ............................ 45,350 3,922,775
Credit Acceptance Corp. ........................... 50,400 185,850
Creditrust Corp. .................................. 9,800 75,338
Cree Research Inc. ................................ 50,000 4,268,750
Crestline Capital Corp. ........................... 39,200 808,500
Cross Timbers Oil Co. ............................. 102,075 925,055
Crossmann Cmntys Inc. ............................. 17,800 275,900
Crown America Realty Trust ........................ 48,700 267,850
CSK Auto Corp. .................................... 38,800 679,000
CSS Industries Inc. ............................... 13,300 284,288
CT Communications Inc. ............................ 19,500 1,092,000
CTC Communications Group Inc. ..................... 18,100 706,183
CTG Resources Inc. ................................ 18,300 635,925
CTS Corp. ......................................... 56,392 4,250,547
Cubic Corp. ....................................... 10,200 223,125
Cumulus Media Inc. Class A ........................ 34,400 1,745,800
Cuno Inc. ......................................... 32,900 681,133
Curtiss Wright Corp. .............................. 10,100 372,438
CVB Financial Corp. ............................... 25,530 590,381
Cybercash Inc. .................................... 31,600 292,300
Cyberian Outpost Inc. ............................. 30,100 299,119
Cyberonics Inc. ................................... 36,400 580,125
Cybex Corp. ....................................... 21,200 858,600
Cygnus Inc. ....................................... 41,300 753,725
Cymer Inc. ........................................ 56,400 2,594,400
Cypress Semiconductor Corp. ....................... 219,800 7,116,025
Cytec Industries Inc. ............................. 89,700 2,074,312
Cytyc Corp. ....................................... 37,100 2,265,419
D.R. Horton Inc. .................................. 109,255 1,509,085
Dain Rauscher Corp. ............................... 26,700 1,241,550
Daisytek International Corp. ...................... 36,100 841,581
Dal-Tile International Inc. ....................... 112,100 1,135,012
Dallas Semiconductor Corp. ........................ 59,500 3,834,031
Dan River Inc. (Georgia) Class A ................. 33,600 172,200
Data Broadcasting Corp. ........................... 63,100 520,575
Data Transmission Network Corp. ................... 22,000 379,500
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-134
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Datascope Corp. ................................... 26,600 $ 1,064,000
Datastream Systems Inc. ........................... 31,800 781,087
Dave & Busters Inc. ............................... 25,800 211,238
Davids Bridal Inc. ................................ 18,400 205,850
DBT Online Inc. ................................... 19,700 480,188
Deb Shops Inc. .................................... 9,000 166,500
Delaware Monte Foods Co. .......................... 108,400 1,334,675
Delco Remy International Inc. Class A ............ 45,000 371,250
Delias Inc. ....................................... 16,200 117,450
Delphi Financial Group Inc. ....................... 31,505 945,150
Delta & Pine Land Co. ............................. 81,000 1,407,375
Deltic Timber Corp. ............................... 25,900 566,563
Dendrite International Inc. ....................... 62,850 2,129,044
Department 56 Inc. ................................ 37,100 839,387
Detroit Diesel Corp. .............................. 19,000 364,563
Developers Diversified Realty Corp. ............... 126,600 1,629,975
Dexter Corp. ...................................... 49,900 1,983,525
Diagnostic Products Corp. ......................... 23,100 565,950
Diamond Technology Partners Inc. Class A .......... 25,150 2,161,328
Digital Microwave Corp. ........................... 132,400 3,103,125
Digital River Inc. ................................ 32,500 1,082,656
Dime Community Bancorp Inc. ....................... 26,900 497,650
Dimon Inc. ........................................ 106,600 346,450
Dionex Corp. ...................................... 48,100 1,981,119
Direct Focus Inc. ................................. 19,100 530,025
Discount Auto Parts Inc. .......................... 20,400 368,475
DLL Inc. .......................................... 61,600 4,371,675
Documentum Inc. ................................... 28,800 1,724,400
Dollar-Thrifty Automotive Group ................... 52,900 1,266,294
Donaldson Co., Inc. ............................... 85,800 2,064,562
Donna Karan International Inc. .................... 24,700 162,094
Doral Financial Corp. ............................. 65,600 807,700
Dover Downs Entertainment Inc. .................... 28,400 532,500
Downey Financial Corp. ............................ 44,309 894,488
Dress Barn Inc. ................................... 35,900 596,838
Dreyers Grand Ice Cream Inc. ...................... 30,600 520,200
Dril Quip Inc. .................................... 19,100 580,163
DSP Group Inc. .................................... 23,600 2,194,800
Duane Reade Inc. .................................. 37,000 1,019,812
Duff & Phelps Credit Rating Co. ................... 9,300 827,119
Dupont Photomasks Inc. ............................ 10,900 525,925
Dura Automotive Systems Inc. ...................... 31,300 545,794
Dura Pharmaceuticals Inc. ......................... 93,500 1,303,156
Duramed Pharmaceuticals Inc. ...................... 41,600 296,400
DVI Inc. .......................................... 22,400 340,200
Dycom Industries Inc. ............................. 53,900 2,374,969
E Spire Communications Inc. ....................... 100,500 584,156
E'Town Corp. ...................................... 18,500 1,151,625
E-Fax Inc. ........................................ 16,100 116,222
E-Globe Inc. ...................................... 718 3,186
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-135
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
E.W. Blanch Holdings Inc. ......................... 27,500 $ 1,684,375
E4L Inc. .......................................... 31,000 77,500
Eagle USA Airfreight Inc. ......................... 29,100 1,254,937
Earthgrains Co. ................................... 89,500 1,443,187
Earthshell Corp. .................................. 59,000 243,375
Earthweb Inc. ..................................... 11,700 588,656
East West Bancorp Inc. ............................ 48,700 557,006
Eastern Enterprises ............................... 56,231 3,229,768
Eastern Utilities Associates ...................... 43,500 1,318,594
Eastgroup Properties Inc. ......................... 35,000 647,500
Eaton Vance Corp. ................................. 64,600 2,454,800
Echelon Corp. ..................................... 39,400 770,762
Eclipse Surgical Technologies ..................... 37,000 272,875
Eclipsys Corp. .................................... 73,100 1,873,187
Education Management Corp. ........................ 38,900 544,600
EEX Corp. ......................................... 101,300 297,569
Egghead Inc. ...................................... 46,097 746,195
El Paso Electric Co. .............................. 124,200 1,218,712
Elcor Chemical Corp. .............................. 41,250 1,242,656
Electric Lightware Inc. Class A ................... 19,400 363,750
Electro Rent Corp. ................................ 28,100 326,663
Electro Scientific Industries Inc. ................ 27,800 2,029,400
Electroglas Inc. .................................. 40,700 1,032,762
Electronics Boutique Holdings Corp. ............... 9,500 171,000
Emcore Corp. ...................................... 21,500 731,000
Emcore Group Inc. ................................. 17,900 326,675
Emmis Broadcasting Corp. Class A .................. 33,400 4,162,997
Empire District Electric Co. ...................... 37,600 850,700
Emulux Corp. ...................................... 68,900 7,751,250
Energen Corp. ..................................... 57,400 1,036,787
Enesco Group Inc. ................................. 31,600 349,575
Engineering Animation Inc. ........................ 24,500 214,375
Enhance Financial Services Group Inc. ............. 57,700 937,625
Entercom Communications Corp. ..................... 50,200 3,313,200
Entertainment Properties Trust .................... 32,900 433,869
Entremed Inc. ..................................... 25,400 650,875
Entrust Technologies Inc. ......................... 30,600 1,834,087
Enzo Biochem Inc. ................................. 46,508 2,095,767
Enzon Inc. ........................................ 76,000 3,296,500
Epicor Software Corp. ............................. 82,639 418,360
Equitable Resources Inc. .......................... 69,800 2,329,575
Equity Inns Inc. .................................. 75,300 508,275
Eshare Technologies Inc. (Georgia) ............... 8,300 141,619
ESS Technology Inc. ............................... 54,400 1,207,000
Essex Property Trust .............................. 38,300 1,302,200
Esterline Technologies Corp. ...................... 39,400 455,563
Etec Systems Inc. ................................. 46,100 2,068,737
Ethan Allen Interiors Inc. ........................ 86,100 2,760,581
Ethyl Corp. ....................................... 128,400 505,575
Evergreen Resources ............................... 25,700 507,575
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-136
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ ---------- -----------------
<S> <C> <C>
Exar Corp. ........................................... 20,200 $ 1,189,275
Excalibur Technologies Corp. ......................... 24,700 509,438
Exchange Applications Software ....................... 23,800 1,329,825
Executone Information Systems Inc. ................... 130,800 711,225
Exide Corp. .......................................... 40,000 332,500
Extended Stay America Inc. ........................... 136,800 1,043,100
F + M Bancorp Maryland ............................... 19,299 390,805
F New Brunswick Corp. ................................ 42,029 935,145
F&M National Corp. ................................... 48,679 1,341,715
Factory 2 U Inc. ..................................... 26,400 749,100
Factset Research Systems Inc. ........................ 20,250 1,612,406
Fairchild Corp. Class A ............................. 26,473 239,912
Fairfield Communities Inc. ........................... 96,500 1,037,375
Family Golf Ctrs Inc. ................................ 55,700 78,328
Farm Family Holdings Inc. ............................ 11,600 490,100
Farmer Brothers Co. .................................. 1,930 306,870
Farmers Capital Bank Corp. ........................... 13,500 406,688
Fatbrain.Com Inc. .................................... 6,500 162,906
FBL Financial Group Inc. Class A .................... 28,600 572,000
FCNB Corp. ........................................... 19,000 289,750
Fedders USA Inc. ..................................... 69,300 381,150
Federal Agricultural Mortgage Corp. Class C ......... 12,000 242,250
Federal Realty Investment Trust ...................... 85,200 1,602,825
Federal Signal Corp. ................................. 97,700 1,569,306
Ferro Corp. .......................................... 74,950 1,648,900
Fidelity Holdings Inc. ............................... 7,200 136,350
Fidelity National Financial Inc. ..................... 45,877 659,482
Filenet Corp. ........................................ 68,300 1,741,650
Financial Federal Corp. .............................. 22,550 514,422
Finet Common Inc. .................................... 103,400 135,713
Finish Line Inc. Class A ............................ 37,700 204,994
First American Financial Corp. ....................... 119,610 1,487,649
First Bancorp Puerto Rico ............................ 48,700 1,010,525
First Buse Corp. Class A ............................. 23,000 520,375
First Charter Corp. .................................. 32,900 489,388
First Citizens Bancshares Inc. ....................... 11,600 809,100
First Commerce Bancshares Inc. Class B .............. 12,200 240,188
First Commonwealth Financial Corp. ................... 131,080 1,572,960
First Consulting Group ............................... 38,800 601,400
First Federal Capital Corp. .......................... 29,500 431,438
First Financial Bancorp .............................. 75,226 1,607,956
First Financial Bankshares Inc. ...................... 20,299 624,194
First Financial Corp. -- Indiana .................... 11,993 497,710
First Financial Holdings Inc. ........................ 27,000 432,000
First Health Group Corp. ............................. 101,500 2,727,812
First Industrial Realty Trust Inc. ................... 79,100 2,170,306
First Industries Corp. ............................... 18,767 408,182
First Merchants Corp. ................................ 21,500 564,375
First Midwest Bancorp Inc. ........................... 78,943 2,091,976
First Republic Bank (San Francisco) .................. 19,800 465,300
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-137
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
First Sentinel Bancorp Inc. ....................... 85,994 $ 671,828
First Sierra Financial Inc. ....................... 37,900 649,038
First Source Corp. ................................ 24,339 608,475
First United Bancshares Inc. ...................... 54,900 734,287
First Washington Bancorp Inc. ..................... 28,300 417,425
First Washington Reality Trust Inc. ............... 16,600 310,213
Firstfed Financial Corp. -- Wisconsin ............ 44,250 622,266
Fisher Scientific International Inc. .............. 63,000 2,275,875
Flagstar Bancorp Inc. ............................. 15,700 270,825
Flashnet Communications Inc. ...................... 19,100 118,181
Fleetwood Enterprises Inc. ........................ 70,000 1,443,750
Fleming Cos., Inc. ................................ 84,400 865,100
Florida East Coast Industries Inc. ................ 65,800 2,747,150
Florida Rock Industries Inc. ...................... 39,800 1,370,612
Flowserve Corp. ................................... 77,226 1,312,842
Flycast Communications Corp. ...................... 6,900 896,569
Footstar Inc. ..................................... 42,000 1,281,000
Foremost Corp. .................................... 39,500 1,120,812
Forest City Enterprises Inc. ...................... 31,700 887,600
Forest Oil Corp. .................................. 70,800 933,675
Forrester Research Inc. ........................... 5,400 371,925
Forward Air Corp. ................................. 19,400 841,475
Fossil Inc. ....................................... 27,825 643,453
Foster Wheeler Corp. .............................. 85,200 756,150
FPIC Insurance Group Inc. ......................... 19,600 327,075
Franklin Covey Co. ................................ 46,100 345,750
Franklin Electric Co., Inc. ....................... 9,900 694,856
Freedom Securities Corp. .......................... 29,900 336,375
Friede Goldman International Inc. ................. 62,326 432,387
Friedman Billings Ramsey Group .................... 47,800 376,425
Fritz Cos., Inc. .................................. 42,100 442,050
Frontier Airls Inc. ............................... 33,000 375,375
Frontier Financial Corp. .......................... 29,600 592,000
Frontier Insurance Group Inc. ..................... 68,066 233,977
FSI International Inc. ............................ 51,700 594,550
Furniture Brands International Inc. ............... 99,200 2,182,400
FYI Inc. .......................................... 24,000 816,000
G&K Services Inc. Class A ........................ 37,600 1,217,300
Gables Residential Trust .......................... 54,900 1,317,600
Gardner Denver Machinery Inc. ..................... 20,800 347,100
Gaylord Container Corp. ........................... 116,500 793,656
Gaylord Entertainment Co. Class A ................ 37,900 1,134,631
GBC Bancorp ....................................... 25,600 494,400
GC Cos., Inc. ..................................... 12,300 318,263
Geltex Pharmaceuticals Inc. ....................... 30,600 392,063
Gencorp Inc. ...................................... 73,400 724,825
General Binding Corp. ............................. 12,300 144,525
General Cable Corp. ............................... 73,200 553,575
General Cigar Holdings Inc. Class A .............. 19,100 158,769
General Communication Inc. ........................ 83,300 364,438
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-138
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
General Semiconductor Inc. ........................ 64,700 $ 917,931
Genesco Inc. ...................................... 50,000 650,000
Genesys Telecommunications Laboratories ........... 19,800 1,069,200
Genlyte Group Inc. ................................ 25,000 534,375
Genrad Inc. ....................................... 55,300 891,712
Gentek Inc. ....................................... 32,900 343,394
Geon Co. .......................................... 45,300 1,472,250
Georgia Gulf Corp. ................................ 66,600 2,027,137
Gerber Scientific Inc. ............................ 42,800 938,925
Getty Images Inc. ................................. 52,200 2,551,275
Getty Realty Corp. ................................ 15,400 172,288
Gibraltor Steel Corp. ............................. 16,000 374,000
Gilead Sciences Inc. .............................. 88,398 4,784,542
Glacier Bancorp Inc. .............................. 18,500 298,313
Glenayre Technologies Inc. ........................ 117,100 1,324,694
Glenborough Realty Trust Inc. ..................... 65,200 872,050
Gliatech .......................................... 19,900 330,838
Glimcher Realty Trust ............................. 52,000 669,500
Global Imaging Systems Inc. ....................... 15,500 189,875
Global Industries Ltd. ............................ 126,200 1,088,475
Global Sports Inc. ................................ 10,300 129,394
Globix Corp. ...................................... 17,800 1,068,000
Go2Net ............................................ 44,400 3,862,800
Golf Trust America Inc. ........................... 16,400 277,775
Goodys Family Clothing Inc. ....................... 42,300 227,363
Graco Inc. ........................................ 31,000 1,112,125
Grand Premier Financial Inc. ...................... 31,270 463,187
Grand Union Company ............................... 62,200 629,775
Granite Construction Inc. ......................... 41,225 760,086
Gray Communications Systems Inc. .................. 28,700 507,631
Great Atlantic & Pacific Tea Co., Inc. ............ 36,300 1,011,862
Great Lakes REIT Inc. ............................. 38,500 553,438
Great Plains Software Inc. ........................ 21,100 1,577,225
Great Southern Bancorp Inc. ....................... 14,000 308,000
Greatel Bay Bancorp ............................... 23,600 1,011,850
Greif Brothers Corp. Class A ...................... 29,300 871,675
Grey Advertising Inc. ............................. 1,330 532,000
Grey Wolf Inc. .................................... 355,100 1,020,912
Griffon Corp. ..................................... 68,000 531,250
Group 1 Automotive Inc. ........................... 34,100 475,269
Group Maintenance America Corp. ................... 64,400 688,275
GT Interactive Software Corp. ..................... 68,500 113,453
Gtech Holdings Corp. .............................. 80,900 1,779,800
Guess Inc. ........................................ 10,400 226,200
Guilford Mills Inc. ............................... 36,425 264,081
Guilford Pharmaceuticals Inc. ..................... 41,600 707,200
Guitar Center Inc. ................................ 42,200 424,638
Gymboree Corp. .................................... 45,000 253,125
H S Resources Inc. ................................ 35,600 614,100
H.B. Fuller Co. ................................... 28,800 1,611,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-139
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Ha Lo Industries Inc. ............................. 87,100 $ 653,250
Hadco Corp. ....................................... 28,900 1,473,900
Haemonetics Corp. ................................. 50,600 1,204,912
Hain Food Group Inc. .............................. 31,400 702,575
Hamilton Bancorp Inc. (Florida) .................. 20,800 369,200
Hancock Holding Co. ............................... 19,215 744,581
Handleman Co. ..................................... 61,300 819,887
Hanger Orthopedic Group ........................... 39,500 395,000
Hanna (M.A.) Co. .................................. 105,400 1,152,812
Hanover Compressor Co. ............................ 59,700 2,253,675
Hanover Direct Inc. ............................... 248,600 901,175
Harbinger Corp. ................................... 80,575 2,563,292
Harbor Florida Bancshares Inc. .................... 27,766 359,223
Harken Energy Corp. ............................... 262,800 197,100
Harleysville Group Inc. ........................... 28,500 406,125
Harleysville National Corp. ....................... 16,564 538,330
Harman International Industries Inc. .............. 32,415 1,819,292
Harmon Industries Inc. ............................ 23,300 282,513
Harmonic Lightwaves Inc. .......................... 53,400 5,069,662
Harris Financial Inc. ............................. 13,600 102,000
Harsco Corp. ...................................... 85,000 2,698,750
Haverty Furniture Cos., Inc. ...................... 39,100 493,638
Hawaii / FN Inc. .................................. 13,600 527,000
Hawaiian Electric Industries Inc. ................. 68,600 1,980,825
Hayes Lemmerz International Inc. .................. 36,700 639,956
HCC Insurance Holdings Inc. ....................... 84,500 1,114,344
Health Care Property Investors Inc. ............... 106,412 2,540,586
Health Care REIT Inc. ............................. 60,300 912,037
Healthcare Realty Trust ........................... 82,590 1,290,469
Heartland Express Inc. ............................ 41,135 647,876
Heico Corp. ....................................... 10,500 229,031
Heidrick & Struggles International Inc. ........... 28,100 1,187,225
Heilig Meyers Co. ................................. 141,800 389,950
Helix Technology Corp. ............................ 47,300 2,119,631
Helmerich & Payne Inc. ............................ 99,900 2,179,069
Hemispherx Biopharma Inc. ......................... 51,500 511,781
Henry Schein Inc. ................................. 50,300 669,619
Herbalife International Inc. Class A ............. 28,299 406,798
Hexcel Corp. ...................................... 27,400 152,413
Hilb Rogal & Hamilton Co. ......................... 28,600 807,950
Hines Horticulture Inc. ........................... 46,700 394,031
HNC Software Inc. ................................. 50,300 5,319,225
Hollywood Entertainment Corp. ..................... 65,500 949,750
Hollywood Park Inc. ............................... 49,000 1,099,437
Home Propreties New York Inc. ..................... 39,700 1,089,269
Homebase Inc. ..................................... 80,600 246,838
Hooper Holmes Inc. ................................ 61,100 1,573,325
Horace Mann Educators Corp. ....................... 87,300 1,713,262
Hospitality Properties Trust ...................... 107,200 2,043,500
Houston Exploration Company ....................... 15,700 311,056
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-140
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------------- ---------- -----------------
<S> <C> <C>
HSB Group Inc. ............................................... 59,150 $ 2,000,009
Hub Group Inc. Class A ...................................... 14,000 280,000
Hudson River Bancorp Inc. .................................... 37,900 383,738
Hudson United Bancorp ........................................ 103,926 2,656,608
Hughes Supply Inc. ........................................... 48,950 1,055,484
Human Genome Sciences Inc. ................................... 47,800 7,295,475
Hussmann International Inc. .................................. 107,800 1,623,737
Hutchinson Technology Inc. ................................... 52,300 1,111,375
Hypercom Corp. ............................................... 31,000 310,000
Hyperion Solutions Corp. ..................................... 64,310 2,797,485
ICG Communications Inc. ...................................... 102,000 1,912,500
Idacorp Inc. ................................................. 79,700 2,136,956
IDEC Pharmaceuticals Corp. ................................... 84,900 8,341,425
Identix Inc. ................................................. 43,000 389,688
Idex Corp. ................................................... 62,925 1,911,347
IDEXX Laboratories Inc. ...................................... 83,800 1,351,275
IDG Books Worldwide Inc. ..................................... 6,900 79,781
IDT Corp. .................................................... 41,700 787,087
IDX Systems Corp. ............................................ 27,500 859,375
Igen Inc. .................................................... 20,200 600,950
IHOP Corp. ................................................... 41,100 685,856
Imation Corp. ................................................ 75,800 2,544,037
Imclone Systems Inc. ......................................... 54,500 2,159,562
Imco Recycling Inc. .......................................... 28,100 354,763
Impath Inc. .................................................. 17,500 445,156
Imperial Bancorp ............................................. 72,799 1,756,276
Imperial Credit Commercial Mortgage Investment Corp. ......... 59,500 676,813
Imperial Credit Industries Inc. .............................. 47,172 294,825
Imperial Sugar Company ....................................... 71,000 235,188
Imrglobal Corp. .............................................. 44,050 553,378
In-Focus Systems Inc. ........................................ 48,300 1,119,956
Inacom Corp. ................................................. 86,580 633,116
Inc. yte Pharmacuticals Inc. ................................. 52,100 3,126,000
Independence Community Bank Corp. ............................ 156,900 1,961,250
Independent Bank Corp. (Mass) ............................... 22,400 280,000
Indiana Energy Inc. .......................................... 63,666 1,130,071
Indy Mac Mortgage Holdings Inc. .............................. 151,300 1,929,075
Inet Technologies Inc. ....................................... 12,300 859,462
Infocure Corp. ............................................... 57,500 1,793,281
Informatica Corp. ............................................ 17,800 1,893,475
Information Holdings Inc. .................................... 8,000 232,500
Information Resources Inc. ................................... 62,600 579,050
Informix Corp. ............................................... 401,200 4,588,725
Infousa Inc. ................................................. 48,300 673,181
Ingles Markets Inc. .......................................... 22,900 254,763
Inhale Therapeutic Systems ................................... 28,300 1,204,519
Innkeepers USA Trust ......................................... 72,600 594,413
Innovex Inc. ................................................. 31,400 294,375
Input/Output Inc. ............................................ 92,900 470,306
Insight Enterprises Inc. ..................................... 43,098 1,750,856
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-141
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Insignia Financial Group Inc. ..................... 38,999 $ 338,804
Insituform Technologies Inc. Class A ............. 43,100 1,217,575
Inspire Insurance Solutions Inc. .................. 24,300 111,628
Integrated Device Technology ...................... 173,900 5,043,100
Integrated Health Services Inc. ................... 109,200 9,828
Integrated Systems Inc. Class A .................. 38,200 1,282,087
Inter-Tel Inc. .................................... 44,600 1,115,000
International Fibercom Inc. ....................... 49,900 392,963
International Home Foods Inc. ..................... 51,400 893,075
International Multifoods Corp. .................... 38,600 511,450
International Rectifier Corp. ..................... 109,600 2,849,600
International Specialty Products .................. 31,600 290,325
Interpool Inc. .................................... 23,750 176,641
Intertan Inc. ..................................... 40,800 1,065,900
Intervoice Inc. ................................... 64,600 1,501,950
Intervu Inc. ...................................... 17,600 1,848,000
Interwest Bancorp Inc. ............................ 32,700 629,475
Intraware Inc. .................................... 29,800 2,382,137
Invacare Corp. .................................... 51,200 1,027,200
Investors Financial Services Corp. ................ 28,000 1,288,000
Invitrogen Corp. .................................. 10,000 600,000
Iomega Corp. ...................................... 573,400 1,935,225
Ionics Inc. ....................................... 35,000 984,375
IPC Information Inc. .............................. 18,600 1,320,600
IRI International Corp. ........................... 27,300 109,200
Iron Inc. ......................................... 53,500 2,103,219
IRT Property Co. .................................. 74,300 580,469
Irwin Financial Corp. ............................. 21,000 374,063
Isaac Fair & Co., Inc. ............................ 21,900 1,160,700
Isis Pharmaceuticals Inc. ......................... 61,800 386,250
ISS Group Inc. .................................... 50,900 3,620,262
IT Group Inc. ..................................... 50,700 465,806
ITC Deltacom ...................................... 101,700 2,809,462
ITI Technologies Inc. ............................. 14,400 432,000
ITT Educational Services Inc. ..................... 31,000 478,563
Iturf Inc. ........................................ 10,200 126,863
Ivex Packaging Corp. .............................. 43,100 431,000
Ivillage Inc. ..................................... 27,300 552,825
J&J Snack Foods Corp. ............................. 14,400 295,200
J. B. Hunt Transport Services Inc. ................ 46,900 649,272
J.M. Smucker Co. Class A ......................... 55,500 1,082,250
Jack Henry & Associates Inc. ...................... 28,750 1,543,516
Jack In The Box Inc. .............................. 86,700 1,793,606
Jacobs Engineering Group Inc. ..................... 46,000 1,495,000
Jakks Pacific Inc. ................................ 29,800 556,888
JDA Software Group Inc. ........................... 46,450 760,619
JDN Realty Corp. .................................. 69,400 1,119,075
Jeffries Group Inc. ............................... 43,500 957,000
JLG Industries Inc. ............................... 92,900 1,480,594
JLK Direct Distribution Inc. Class A .............. 8,500 87,656
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-142
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Jo Ann Stores Inc. Class A ........................ 34,300 $ 385,875
John Harland Co. .................................. 64,100 1,173,831
John Nuveen & Co., Inc. Class A ................... 14,500 522,906
Johnson Watkins Co. ............................... 11,800 472,000
Jones Lang Lasalle Inc. ........................... 60,900 723,187
Jones Pharma Inc. ................................. 77,000 3,344,687
Jostens Inc. ...................................... 70,700 1,718,894
Journal Register Co. .............................. 98,600 1,522,137
JP Realty Inc. .................................... 31,000 484,375
JSB Financial Inc. ................................ 18,000 933,750
Juno Online Services Inc. ......................... 13,800 495,938
Just For Feet Inc. ................................ 46,950 58,688
Justin Industries Inc. ............................ 33,250 494,594
K V Pharmaceutical Co. ............................ 24,300 520,931
K-Swiss Inc. Class A ............................. 13,300 247,089
Kaiser Aluminum Corp. ............................. 54,500 418,969
Kaman Corp. Class A .............................. 49,900 642,463
Kansas City Life Insurance Co. .................... 15,500 523,125
Kaufman & Broad Home Corp. ........................ 100,300 2,426,006
Kaydon Corp. ...................................... 65,200 1,748,175
Kellstrom Inds Inc. ............................... 26,300 239,988
Kellwood Co. ...................................... 52,700 1,024,356
Kelly Services Inc. Class A ....................... 38,200 959,775
KEMET Corp. ....................................... 81,100 3,654,569
Kennametal Inc. ................................... 59,700 2,007,412
Kenneth Cole Productions Inc. Class A ............. 2,900 132,675
Kent Electronics Corp. ............................ 59,500 1,353,625
Key Energy Group Inc. ............................. 173,500 900,031
Keystone Automotive Industries Inc. ............... 36,200 212,675
Kilroy Realty Corp. ............................... 59,100 1,300,200
Kimball International Inc. Class B ................ 69,400 1,145,100
King Pharmaceuticals Inc. ......................... 40,899 2,292,900
Kirby Corp. ....................................... 52,900 1,084,450
Knight Transportation Inc. ........................ 16,500 282,563
Koger Equity Inc. ................................. 56,600 955,125
Komag Inc. ........................................ 135,800 424,375
Konover Property Trust Inc. ....................... 65,400 412,838
Kopin Corp. ....................................... 53,200 2,234,400
Korn / Ferry International ........................ 45,100 1,640,512
Kroll O Gara Company .............................. 22,300 367,950
Kronos Inc. ....................................... 24,875 1,492,500
Kulicke & Soffa Industries Inc. ................... 50,500 2,149,406
L.S. Starrett Co. ................................. 15,600 350,025
Labor Ready Inc. .................................. 71,923 872,066
Laboratory Corp. America Holdings ................ 136,600 503,713
Laclede Gas Co. ................................... 41,000 886,625
Lam Research Corp. ................................ 81,400 9,081,187
Lance Inc. ........................................ 49,200 492,000
Land's End Inc. ................................... 28,900 1,004,275
Landamerica Financial Group Inc. .................. 33,600 617,400
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-143
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Landauer Inc. ..................................... 18,000 $ 393,750
Landry's Seafood Restaurants Inc. ................. 61,000 529,938
Landstar Systems Inc. ............................. 21,600 924,750
Lasalle Hotel Propertys ........................... 30,000 350,625
Laser Vision Ctrs Inc. ............................ 50,500 533,406
Lasersight Inc. ................................... 36,700 367,000
Lason Holdings Inc. ............................... 39,200 431,200
Latitude Communications Inc. ...................... 6,200 161,975
Lattice Semiconductor Corp. ....................... 92,500 4,359,062
Launch Media Inc. ................................. 19,900 376,856
Lawson Products Inc. .............................. 11,100 256,688
Lazy Boy Chair Co. ................................ 111,000 1,866,187
LCA Vision Inc. ................................... 50,000 234,375
Leap Wireless International Inc. .................. 37,900 2,975,150
Learn2 Common Inc. ................................ 60,100 197,203
Learning Tree International Inc. .................. 22,400 627,200
Lee Enterprises Inc. .............................. 94,100 3,005,319
Lennar Corp. ...................................... 99,800 1,621,750
Leucadia National Corp. ........................... 83,900 1,940,187
Lexington Corporate Property Trust ................ 36,700 337,181
Libbey Inc. ....................................... 33,500 963,125
Liberty Corp. ..................................... 34,900 1,472,344
Liberty Financial Cos., Inc. ...................... 27,300 626,194
Lifepoint Hosps Inc. .............................. 63,900 754,819
Ligand Pharmaceuticals Inc. Class B ............... 84,635 1,089,676
Lilly Industries Inc. Class A .................... 50,088 673,058
LInc. oln Electric Holdings Inc. .................. 78,600 1,621,125
Lindsay Manufacturing Co. ......................... 23,312 425,444
Liposome Co., Inc. ................................ 84,000 1,025,062
Liqui-Box Corp. ................................... 6,700 331,650
Lithia Mtrs Inc. Class A ......................... 13,800 246,675
Littelfuse Inc. ................................... 40,100 973,052
LNR Property Corp. ................................ 50,800 1,009,650
Local Financial Corp. ............................. 46,100 478,288
Lodgian Inc. ...................................... 56,700 283,500
Loews Cineplex Entertainment Corp. ................ 29,200 171,550
Lone Star Steakhouse + Saloon Inc. ................ 74,900 668,248
Lone Star Technologies Inc. ....................... 47,900 1,335,212
Longview Fibre Co. ................................ 111,600 1,590,300
Louis Dreyfus Natural Gas Holdings Corp. .......... 39,408 714,270
LSI Industries Inc. ............................... 22,300 482,238
LTC Properties .................................... 61,500 518,906
LTV Corp. ......................................... 206,200 850,575
LTX Corp. ......................................... 75,800 1,696,025
Luby's Cafeterias Inc. ............................ 46,900 533,488
Lydall Inc. ....................................... 38,400 254,400
M.D.C. Holdings, Inc. ............................. 48,900 767,119
M.S. Carriers Inc. ................................ 19,800 472,725
MacDermid Inc. .................................... 33,000 1,355,062
Macerich Co. REIT ................................ 61,800 1,286,212
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-144
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Macrochem Corp .................................... 54,400 $ 227,800
Macrovision Corp .................................. 25,800 1,909,200
Madison Gas & Electric Co. ........................ 33,150 667,144
MAF Bancorp Inc. .................................. 50,631 1,060,087
Magellan Health Services, Inc. .................... 70,400 444,400
MagneTek Inc. ..................................... 50,400 387,450
Mail Well Holdings Inc. ........................... 82,600 1,115,100
Maker Communications Inc. ......................... 8,400 359,100
Manhattan Assocs Inc. ............................. 5,500 40,563
Manitowoc Co., Inc. ............................... 55,887 1,900,158
Mannatech Inc. .................................... 11,600 60,175
Manufactured Home Communities Inc. ................ 47,100 1,145,119
Manugistics Group Inc. ............................ 41,600 1,344,200
Mapics Inc. ....................................... 43,500 549,188
Mapquest Common Inc. .............................. 9,900 223,369
Marcus Corp. ...................................... 50,162 674,052
Marine Drilling Cos., Inc. ........................ 121,000 2,714,937
Mark IV Industries Inc. ........................... 105,000 1,857,187
Markel Corp. ...................................... 9,440 1,463,200
Marketing Services Group Inc. ..................... 29,400 492,450
Marketwatch Common Inc. ........................... 6,100 222,650
Marval Enterprises Inc. ........................... 18,500 101,750
MascoTech Inc. .................................... 78,200 992,162
Mastec Inc. ....................................... 43,049 1,915,680
Mastech Corp. ..................................... 68,800 1,702,800
Mathews International Corp. Class A .............. 30,600 841,500
Matria Healthcare Inc. ............................ 78,600 324,225
Maverick Tube Corp. ............................... 33,600 829,500
Maximus Inc. ...................................... 25,000 848,437
Maxtor Corp. ...................................... 126,700 918,575
Maxwell Technologies Inc. ......................... 20,200 202,000
MAXXAM Inc. ....................................... 9,600 411,600
McGrath RentCorp .................................. 20,600 360,500
Mcmoran Exploration Company ....................... 28,100 593,613
MDU Resources Group Inc. .......................... 111,050 2,221,000
Mechanical Technology Inc. ........................ 15,000 348,750
Medallion Financial Corp .......................... 27,200 487,900
Medco Research Inc. ............................... 22,800 685,425
Media Metrix Inc. ................................. 6,600 235,950
Medical Assurance Inc. ............................ 49,700 1,053,019
Medicis Pharmaceutical Corp. Class A ............. 59,800 2,545,237
Mediconsult Common Inc. ........................... 25,400 158,750
Medquist Inc. ..................................... 72,600 1,873,987
Memberworks Inc. .................................. 25,500 846,281
MEMC Electronic Materials Inc. .................... 69,000 845,250
Men's Wearhouse Inc. .............................. 52,123 1,531,113
Mentor Corp. ...................................... 44,400 1,146,075
Mentor Graphics Corp. ............................. 140,300 1,850,206
Merchants New York Bancorp Inc. ................... 41,700 714,112
Mercury Computer Systems Inc. ..................... 42,000 1,470,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-145
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ ---------- -----------------
<S> <C> <C>
Mercury Interactive Corp. ............................ 78,900 $ 8,516,269
Meridian Resource Corp. .............................. 63,948 195,841
Merisel Inc. ......................................... 192,500 252,656
Meristar Hospitality Corp. ........................... 99,793 1,596,688
Mesa Air Group Inc. .................................. 56,200 266,950
Mesaba Holdings Inc. ................................. 28,000 320,250
Messagemedia Inc. .................................... 53,800 756,562
Mestek Inc. .......................................... 7,800 157,950
Metals USA Inc. ...................................... 62,200 528,700
Metamor Worldwide Inc. ............................... 73,100 2,129,037
Methode Electronics Inc. Class A .................... 75,200 2,415,800
Metricom Inc. ........................................ 22,600 1,776,925
Metris Cos Inc. ...................................... 77,502 2,765,853
Metro Information Services Inc. ...................... 13,400 321,600
Metromedia Inter. Group Inc. ......................... 106,884 507,699
Mettler Toledo International Inc. .................... 81,100 3,097,006
MGC Communications Inc. .............................. 36,300 1,842,225
MGI Properties ....................................... 28,000 147,000
Miami Computer Supply Corp. .......................... 20,500 761,062
Michael Foods Inc. ................................... 31,100 765,837
Michael's Stores Inc. ................................ 55,900 1,593,150
Michigan Finance Corp. ............................... 5,900 162,619
Micrel Inc. .......................................... 57,100 3,251,131
Micro Warehouse Inc. ................................. 73,500 1,359,750
Micromuse Inc. ....................................... 21,400 3,638,000
Micron Electronics Inc. .............................. 75,900 844,387
Micros Systems Inc. .................................. 34,200 2,530,800
Microstrategy Inc. Class A .......................... 80,200 16,842,000
Mid Atlantic Medical Services Inc. ................... 98,000 814,625
Mid State Bancshares ................................. 23,800 758,625
Mid-America Apartment Communities Inc. ............... 43,100 975,137
Mid-America Bancorp .................................. 18,707 533,150
Midas Inc. ........................................... 34,700 759,062
Midland Co. .......................................... 8,400 174,300
Midway Games Inc. .................................... 61,869 1,480,989
Midwest Banc Holdings Inc. ........................... 17,800 244,750
Midwest Express Holdings Inc. ........................ 30,000 956,250
Mikasa Inc. .......................................... 16,600 167,038
Milacron Inc. ........................................ 79,900 1,228,462
Millennium Pharmaceuticals ........................... 75,300 9,186,600
Miller Industries Inc. ............................... 74,950 215,481
Mills Co. ............................................ 31,600 564,850
Mine Safety Appliances Co. ........................... 7,100 454,400
Minerals Technologies Inc. ........................... 41,200 1,650,575
Mips Technologies Inc. Class A ...................... 22,400 1,164,800
Mississippi Chemical Corp. ........................... 54,052 334,447
Mississippi Valley Bankshares Inc. ................... 14,500 391,500
Mitchell Energy & Development Corp. Class A ......... 44,500 981,781
Mks Instrs Inc. ...................................... 14,200 512,975
MMC Networks Inc. .................................... 64,700 2,224,062
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-146
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ ---------- -----------------
<S> <C> <C>
MMI Cos., Inc. ....................................... 37,700 $ 325,163
Modem Media Poppe Tyson Inc. Class A ................ 6,500 457,438
Modine Manufacturing Co. ............................. 48,100 1,202,500
Molecular Devices Corp ............................... 19,500 1,014,000
Monaco Coach Corp .................................... 36,475 932,392
Mony Group Inc. ...................................... 100,200 2,924,587
Moog Inc. Class A .................................... 9,800 264,600
Morgan Keegan Inc. ................................... 60,026 1,009,187
Morrison Knudsen Corp. ............................... 71,300 557,031
Morrison Management Specialists Inc. ................. 25,000 539,063
Movado Group Inc. .................................... 19,000 414,438
Mpath Interactive Inc. ............................... 20,600 548,475
MRV Communications Inc. .............................. 48,900 3,074,587
MSC Industrial Direct Inc. Class A .................. 59,400 787,050
MTI Technology Corp .................................. 61,600 2,271,500
MTS Systems Corp. .................................... 47,900 371,225
Mueller Industries Inc. .............................. 73,300 2,657,125
Multex Systems Inc. .................................. 22,400 842,800
Musicland Stores Corp. ............................... 67,900 572,906
Myers Industries Inc. ................................ 34,286 540,005
NACCO Industries Inc. Class A ....................... 13,400 744,537
National Bancorp of Alaska Inc. ...................... 32,100 900,806
National City Bancshares Inc. ........................ 37,657 946,132
National Computer Systems Inc. ....................... 67,400 2,535,925
National Discount Brokers Group ...................... 22,600 596,075
National Equipment Services Inc. ..................... 49,900 311,875
National Golf Properties Inc. ........................ 24,100 475,975
National Health Investors Inc. ....................... 51,600 767,550
National Instruments Corp. ........................... 50,075 1,915,369
National Oilwell Inc. ................................ 102,200 1,603,262
National Penn Bancshares Inc. ........................ 37,384 939,273
National Presto Industries Inc. ...................... 16,300 578,650
National Processing Inc. ............................. 11,200 99,400
National R V Holdings Inc. ........................... 17,099 329,156
National Steel Corp. Class B ........................ 38,800 288,575
National Western Life Insurance Co. Class A ......... 3,900 267,638
Nationsrent Inc. ..................................... 85,400 480,375
Nationwide Health Properties Inc. .................... 97,900 1,346,125
Nature's Sunshine Products Inc. ...................... 29,279 234,232
Nautica Enterprises Inc. ............................. 68,300 772,644
Navarre Corp. ........................................ 27,600 158,700
Navigant Consulting Company .......................... 79,599 865,639
NBC Internet Inc. Class A ........................... 16,700 1,290,075
NBT Bancorp Inc. ..................................... 28,201 437,116
NBTY Inc. ............................................ 117,600 1,359,750
NCH Corp. ............................................ 6,000 267,375
NCI Building Systems Inc. ............................ 38,900 719,650
NCO Group Inc. ....................................... 22,350 673,294
NCS Healthcare Inc. Class A ......................... 31,300 75,316
Neff Corp. Class A .................................. 24,700 157,463
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-147
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Neomagic Corp. .................................... 52,100 $ 569,844
Neon Systems Inc. ................................. 13,000 510,250
Net Perceptions Inc. .............................. 21,900 919,800
Netbank Inc. ...................................... 49,200 910,200
Netobjects Inc. ................................... 12,000 198,000
Netopia Inc. ...................................... 15,000 814,687
Network Equipment Technologies Inc. ............... 47,900 565,819
Network Event Theater Inc. ........................ 23,000 684,250
Network Peripherals Inc. .......................... 24,200 1,143,450
Neurogen Corp. .................................... 25,100 414,150
New Century Financial Corp. ....................... 21,100 332,325
New England Business Service Inc. ................. 28,200 689,138
New Jersey Resources Corp. ........................ 37,800 1,476,562
Newfield Exploration Co. .......................... 77,200 2,065,100
Newpark Resources Inc. ............................ 145,960 894,005
Newport News Shipbuilding Inc. .................... 70,200 1,930,500
Nextcard Inc. ..................................... 10,800 311,850
Nextera Enterprises Inc. Class A ................. 24,400 314,150
NFO Worldwide Inc. ................................ 37,750 844,656
Niagara Bancorp Inc. .............................. 27,100 277,775
NL Industries Inc. ................................ 47,100 709,444
Nordson Corp. ..................................... 30,100 1,452,325
Nortek Inc. ....................................... 21,700 607,600
North Pittsburgh Systems Inc. ..................... 36,000 531,000
Northeast Optic Network Inc. ...................... 10,500 656,906
Northwest Bancorp Inc. (Pa) ...................... 24,400 169,275
Northwest Natural Gas Co. ......................... 53,150 1,165,978
Northwestern Corp ................................. 49,200 1,082,400
Novoste Corp ...................................... 28,700 473,550
NPC International Inc. ............................ 24,300 191,363
Nuevo Energy Co. .................................. 37,800 708,750
NUI Corp. ......................................... 26,300 693,663
Nvidia Corp. ...................................... 35,100 1,647,506
NVR Inc. .......................................... 21,900 1,045,725
O Charleys Inc. ................................... 31,400 412,125
O'Reilly Automotive Inc. .......................... 67,900 1,459,850
Oak Industries Inc. ............................... 34,560 3,667,680
Oakley Inc. ....................................... 59,400 330,413
Oakwood Homes Corp. ............................... 106,200 338,513
Oceaneering International Inc. .................... 44,400 663,225
Oceanfirst Financial Corp. ........................ 30,100 521,106
Octel Corp ........................................ 31,400 325,775
Ocular Sciences Inc. .............................. 32,100 605,888
Ocwen Financial Corp. ............................. 68,300 426,875
OEA Inc. .......................................... 43,100 210,113
Office Max Inc. ................................... 237,200 1,304,600
Offshore Logistics Inc. ........................... 42,100 394,688
Ogden Corp. ....................................... 104,500 1,247,469
Ohio Casualty Corp. ............................... 132,300 2,125,069
Olin Corp. ........................................ 86,100 1,705,856
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-148
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- --------- -----------------
<S> <C> <C>
Olsten Corp. ...................................... 148,300 $ 1,677,644
OM Group Inc. ..................................... 51,450 1,771,809
Omega Financial Corp. ............................. 18,600 539,400
Omega Healthcare Investors Inc. ................... 40,809 517,764
Omnipoint Corp. ................................... 64,300 7,756,187
Omnova Solutions Inc. ............................. 71,000 550,250
On Assignment Inc. ................................ 23,100 690,113
On Command Corp ................................... 22,700 419,950
One Valley Bancorp Inc. ........................... 70,375 2,155,234
Oneida Ltd. ....................................... 30,575 665,006
Onemain Common Inc. ............................... 40,500 607,500
Oneok Inc. ........................................ 62,100 1,560,262
Onhealth Network Company .......................... 26,200 234,163
Onyx Software Corp. ............................... 13,900 514,300
Open Market Inc. .................................. 55,600 2,508,950
Optical Cable Corp. ............................... 3,800 76,000
Optical Coating Laboratory Inc. ................... 25,100 7,429,600
Orbital Sciences Corp. ............................ 78,900 1,464,581
Oregon Steel Mills Inc. ........................... 58,500 464,344
Organogenesis Inc. ................................ 66,502 577,736
Oriental Financial Group Inc. ..................... 22,233 490,516
Orthodontic Centres of America Inc. ............... 76,500 913,219
Oshkosh B Gosh Inc. ............................... 21,000 442,313
Oshkosh Truck Corp. ............................... 23,300 682,981
Osteotech Inc. .................................... 31,700 423,988
Otter Tail Power Co. .............................. 25,800 967,500
Overseas Shipholding Group Inc. ................... 58,400 865,050
Owens & Minor Inc. ................................ 72,300 646,181
Oxford Industries Inc. ............................ 13,900 275,394
P Common Inc. ..................................... 134,100 1,185,947
P F Changes China Bistro Inc. ..................... 12,900 320,888
P.H. Glatfelter Co. ............................... 53,500 779,094
Pacific Capital Bancorp New ....................... 51,000 1,568,250
Pacific Gateway Exchange Inc. ..................... 33,200 566,475
Pacific Gulf Properties Inc. ...................... 32,000 648,000
Pacific Sunwear California ........................ 57,972 1,847,857
Paging Network Inc. ............................... 199,800 162,338
Pairgain Technologies Inc. ........................ 133,700 1,896,869
Palm Harbor Homes Inc. ............................ 38,121 686,178
Pan Pacific Retail Properties Inc. ................ 17,100 278,944
Papa John's International Inc. .................... 47,275 1,232,105
Parexel International Corp. ....................... 52,500 620,156
Park Electrochemical Corp. ........................ 19,200 510,000
Park National Corp. ............................... 18,060 1,733,760
Parker Drilling Co. ............................... 147,400 469,838
Parkervision Inc. ................................. 14,300 439,725
Parkway Properties Inc. ........................... 20,800 599,300
PathoGenesis Corp. ................................ 37,900 812,481
Patterson Dental Co. .............................. 48,875 2,083,297
Patterson Energy Inc. ............................. 67,800 881,400
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-149
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
PAXAR Corp. ....................................... 91,493 $ 771,972
Paxson Communications Corp. ....................... 59,900 715,056
Pc Connection Inc. ................................ 7,300 251,850
Pcorder Common Inc. Class A ...................... 4,900 249,900
Pe Corp. .......................................... 52,600 7,837,400
Pediatrix Medical Group ........................... 32,600 228,200
Pegasus Communications Corp. Class A ............. 22,800 2,228,700
Pegasus Systems Inc. .............................. 26,000 1,568,125
Pegasystems Inc. .................................. 60,700 682,875
Penn Treaty American Corp. ........................ 12,800 201,600
Pennsylvania REIT ................................. 26,800 390,275
Pennzoil Quaker Str Co. ........................... 169,000 1,721,687
Penton Media Inc. ................................. 44,600 1,070,400
Peoples Holding Co. ............................... 13,300 384,038
PeopleSoft Inc. ................................... 48,263 1,028,595
Pep Boys -- Manny, Moe & Jack ..................... 98,900 902,462
Per Se Technologies Inc. .......................... 58,666 493,161
Peregrine Systems Inc. ............................ 51,000 4,293,562
Performance Food Group Inc. ....................... 24,650 600,844
Perkinelmer Inc. .................................. 92,900 3,872,769
Perrigo Co. ....................................... 129,600 1,036,800
Personal Group of America Inc. .................... 55,600 562,950
Pervasive Software Inc. ........................... 32,400 548,775
Petco Animal Supplies Inc. ........................ 45,000 669,375
PETSMART Inc. ..................................... 253,500 1,457,625
PFF Bancorp Inc. .................................. 22,800 441,750
Pharmaceutical Product Development Inc. ........... 40,004 475,048
Pharmaceutical Resources Inc. ..................... 39,000 192,563
Pharmacyclics Inc. ................................ 25,300 1,043,625
Philadelphia Consolidated Holding Corp. ........... 17,900 259,550
Philadelphia Suburban Corp. ....................... 76,865 1,590,145
Phillips-Van Heusen Corp. ......................... 46,900 389,856
Phoenix Investment Partners Ltd. .................. 93,000 755,625
Phoenix Technology Ltd. ........................... 53,100 839,644
Photronics Inc. ................................... 46,100 1,319,612
PhyCor Inc. ....................................... 157,200 294,750
Pico Holdings Inc. ................................ 22,200 273,338
PictureTel Corp. .................................. 86,000 370,875
Piedmont Natural Gas Co., Inc. .................... 65,800 1,990,450
Pier 1 Imports Inc. ............................... 208,000 1,326,000
Pierce Leahy Corp ................................. 15,800 683,350
Pilgrim's Pride Corp. ............................. 32,900 273,481
Pillowtex Corp. ................................... 24,600 152,213
Pinnacle Holdings Inc. ............................ 57,300 2,428,087
Pinnacle Systems Inc. ............................. 37,800 1,537,987
Pioneer Natural Resources Co. ..................... 217,800 1,946,587
Pioneer-Standard Electronics Inc. ................. 56,875 821,133
Pitt Desmoines Inc. ............................... 6,000 147,750
Pittston Brink's Group ............................ 82,200 1,808,400
Pittston Bulington Group .......................... 44,000 467,500
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-150
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Pittway Corp. Class A ............................ 65,000 $ 2,912,812
Plains Resources Inc. ............................. 36,100 451,250
Plantronics Inc. .................................. 34,700 2,483,219
Playboy Enterprises Inc. Class B ................. 42,800 1,040,575
Players International Inc. ........................ 60,900 500,522
Playtex Family Products Corp. ..................... 62,800 965,550
Plexus Corp. ...................................... 37,300 1,641,200
Plx Technology Inc. ............................... 25,700 486,694
Pma Capital Corp. Class A ........................ 37,100 737,362
Pogo Producing Co. ................................ 84,600 1,734,300
Polaris Industries Inc. ........................... 53,000 1,921,250
Polaroid Corp. .................................... 96,500 1,815,406
Policy Management Systems Corp. ................... 77,100 1,970,869
Polycom Inc. ...................................... 42,600 2,713,087
Polymer Group Inc. ................................ 42,000 766,500
Potlatch Corp. .................................... 51,600 2,302,650
Power Integrations ................................ 43,800 2,099,662
Power One Inc. .................................... 24,100 1,104,081
Powertel Inc. ..................................... 48,200 4,838,075
Powerwave Technologies Inc. ....................... 29,900 1,745,412
Pre-Paid Legal Services Inc. ...................... 42,400 1,017,600
Precision Castparts Corp. ......................... 52,700 1,383,375
Premier Bancshares Inc. ........................... 55,400 754,825
Premier National Bancorp Inc. ..................... 32,600 601,063
Premiere Technologies Inc. ........................ 92,400 646,800
Prentiss Properties Trust ......................... 80,300 1,686,300
Presidential Life Corp. ........................... 50,500 927,937
Presstek Inc. ..................................... 59,200 821,400
Preview Travel Inc. ............................... 24,000 1,251,000
PRI Automation Inc. ............................... 40,800 2,738,700
Price Communications Corp. ........................ 91,950 2,557,359
Pride International Inc. .......................... 119,500 1,747,687
Primark Corp. ..................................... 43,000 1,195,937
Prime Group Reality Trust ......................... 18,900 287,044
Prime Hospitality Corp. ........................... 112,100 987,881
Prime Retail Inc. ................................. 89,093 501,148
Primex Technologies Inc. .......................... 19,700 408,775
Primus Telecomm Group Inc. ........................ 46,500 1,778,625
Priority Healthcare Corp. Class B ................ 7,689 222,500
Prism Financial Corp. ............................. 5,200 29,250
Private Business Inc. ............................. 8,900 42,831
Probusiness Services Inc. ......................... 26,299 946,764
Prociurenet Inc. .................................. 64,900 9,735
Professional Detailing Inc. ....................... 9,400 281,413
Professionals Group Inc. .......................... 19,360 453,750
Profit Recovery Group International Inc. .......... 64,750 1,719,922
Progress Software Corp. ........................... 32,900 1,867,075
Project Software & Development Inc. ............... 27,800 1,542,900
Protection One Inc. ............................... 40,000 77,500
Protein Design Inc. ............................... 39,000 2,730,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-151
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Provant Inc. ...................................... 16,300 $ 411,575
Provident American Corp. .......................... 18,400 647,450
Provident Bankshares Corp. ........................ 54,067 936,035
ProvInc. e Healthcare Company ..................... 25,300 480,700
Proxicom Inc. ..................................... 20,700 2,573,269
Proxim Inc. ....................................... 23,900 2,629,000
Proxymed Pharmacy Inc. ............................ 36,900 359,775
PS Business Pks Inc. .............................. 50,500 1,148,875
PSS World Med Inc. ................................ 148,350 1,400,053
Public Service Co. of New Mexico .................. 77,000 1,251,250
Public Service Co. of North Carolina Inc. ......... 43,700 1,412,056
Publicard Inc. .................................... 42,000 275,625
Pulitzer Inc. ..................................... 14,900 600,656
Pulte Corp. ....................................... 68,600 1,543,500
QRS Corp. ......................................... 22,250 2,336,250
Quadramed Corp. ................................... 47,000 409,781
Quanex Corp. ...................................... 28,700 731,850
Quanta Services Inc. .............................. 60,300 1,703,475
Queens County Bancorp., Inc. ...................... 35,795 970,939
Quest Diagnostics Inc. ............................ 59,700 1,824,581
Quiksilver Inc. ................................... 41,750 647,125
Quorum Health Group Inc. .......................... 157,500 1,466,719
R & G Financial Corp. Class B .................... 21,600 248,400
Racing Champions Corp. ............................ 23,900 106,056
Radian Group Inc. ................................. 72,871 3,479,590
Radiant Systems Inc. .............................. 21,400 860,012
Radio One Inc. Class A ............................ 12,800 1,177,600
Radisys Corp. ..................................... 20,850 1,063,350
Ralcorp Holdings Inc. ............................. 54,900 1,094,569
Rare Hospitality International Inc. ............... 22,000 476,094
Rare Medium Group Inc. ............................ 65,800 2,245,425
Raymond James Financial Inc. ...................... 86,100 1,608,994
Rayonier Inc. ..................................... 57,800 2,792,462
Rayovac Corp ...................................... 58,300 1,100,412
Razorfish Inc. Class A ............................ 14,899 1,417,267
Read-Rite Corp. ................................... 99,100 470,725
Realty Inc. ome Corp. ............................. 55,300 1,140,562
Reckson Associates Realty Corp. ................... 88,100 1,806,050
Redwood Trust Inc. ................................ 20,700 258,750
Reebok International Ltd. ......................... 92,500 757,344
Regal Beloit Corp. ................................ 45,400 936,375
Regency Realty Corp. .............................. 75,200 1,504,000
Regeneron Pharmaceuticals Inc. .................... 24,200 308,550
Regis Corp. ....................................... 59,850 1,129,669
Reliance Bancorp Inc. ............................. 17,900 617,550
Reliance Group Holdings Inc. ...................... 137,700 920,869
Reliance Steel & Aluminum Co. ..................... 38,775 908,789
Remec Inc. ........................................ 46,200 1,178,100
Remedy Corp. ...................................... 46,800 2,217,150
Renaissance Worldwide Inc. ........................ 75,578 557,388
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-152
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Renal Care Group Inc. ............................. 87,975 $ 2,056,416
Rental A Center Inc. New ......................... 35,000 693,438
Rental Way Inc. ................................... 35,160 657,053
Republic Bancorp Inc. ............................. 97,353 1,181,924
Republic Bancorp Inc. Kentucky Class A ........... 16,400 140,425
Republic Bancshares Inc. .......................... 11,800 147,500
Republic Gypsum Co. ............................... 19,900 300,988
Republic Security Financial Corp .................. 104,061 744,687
Resmed Inc. ....................................... 32,100 1,340,175
Resource America Inc. ............................. 46,500 366,188
Resource Bancshares Mortgage Group Inc. ........... 48,249 218,628
Resources Care Inc. ............................... 41,799 532,937
Respironics Inc. .................................. 63,528 506,239
Restoration Hardware Inc. Delaware ............... 27,700 188,706
Rexall Sundown Inc. ............................... 68,700 708,469
RFS Hotel Investors Inc. .......................... 57,300 598,069
RGS Energy Group Inc. ............................. 78,400 1,612,100
RH Donnelley Corp ................................. 64,800 1,223,100
Richmond County Financial Corp .................... 71,000 1,282,437
Riggs National Corp. .............................. 42,750 563,766
Risk Capital Holding Inc. ......................... 18,700 236,088
Riviana Foods Inc. ................................ 13,900 246,725
RLI Corp. ......................................... 18,073 614,482
Roadway Express Inc. .............................. 21,400 462,775
Robbins & Myers Inc. .............................. 15,700 355,213
Robert Mondavi Corp. Class A ..................... 17,400 604,650
Rock-Tenn Co. Class A ............................ 24,890 367,128
Rogers Corp. ...................................... 16,000 612,000
Rollins Inc. ...................................... 35,600 534,000
Rollins Truck Leasing Corp. ....................... 99,262 1,184,940
Romac International Inc. .......................... 86,234 1,158,769
Roper Industries Inc. ............................. 64,500 2,438,906
Rouge Inds Inc. Class A .......................... 14,600 114,975
RPC Energy Services Inc. .......................... 25,600 147,200
Rsa Security Inc. ................................. 75,100 5,820,250
RTI International Metals Inc. ..................... 30,800 231,000
Ruby Tuesday Inc. ................................. 68,800 1,251,300
Ruddick Corp. ..................................... 64,800 1,004,400
Russ Berrie & Co., Inc. ........................... 21,200 556,500
Russell Corp. ..................................... 61,000 1,021,750
RWD Technologies Inc. ............................. 6,800 70,550
Ryan's Family Steak Houses Inc. ................... 71,900 611,150
Ryerson Tull Inc. New ............................ 30,228 587,557
Ryland Group Inc. ................................. 32,100 740,306
S&T Bancorp Inc. .................................. 57,500 1,333,281
S1 Corp. .......................................... 69,612 5,438,437
S3 Inc. ........................................... 109,100 1,261,469
Safescience Inc. .................................. 17,100 198,788
Safeskin Corp. .................................... 98,800 1,197,950
Saga Communications Class A ....................... 16,875 341,719
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-153
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Saga Systems Inc. ................................. 63,900 $ 1,274,006
Sagent Technology Inc. ............................ 27,600 826,275
Salesloggix Corp. ................................. 6,800 279,225
Salton/Maxim Housewares Inc. ...................... 17,899 598,498
Sanchez Computer Associates Inc. .................. 26,600 1,095,587
Sanderson Farms Inc. .............................. 14,400 123,300
Sandisk Corp. ..................................... 41,800 4,023,250
Sandy Spring Bancorp Inc. ......................... 19,500 526,500
Sangstat Medical Corp. ............................ 30,800 916,300
Santa Cruz Operation Inc. ......................... 36,700 1,114,762
Sauer Inc. ........................................ 24,400 221,125
Saul Centers Inc. ................................. 22,200 312,188
Sawtek Inc. ....................................... 51,400 3,421,312
SC/PIE Holdings Inc. .............................. 26,700 857,737
Schawk Inc. Class A .............................. 22,300 189,550
Schein Pharmaceutical Inc. ........................ 7,400 89,725
Scholastic Corp. .................................. 29,300 1,822,094
School Specialty Inc. ............................. 35,200 532,400
Schweitzer-Mauduit International Inc. ............. 32,000 430,000
Scientific Games Holdings Corp. ................... 18,600 308,063
SCM Microsystems Inc. ............................. 26,200 1,675,162
Scott Technologies Inc. ........................... 32,900 620,988
Scotts Co. Class A ................................ 39,100 1,573,775
SCP Pool Corp ..................................... 21,100 547,281
Seaboard Corp. .................................... 700 135,975
Seacoast Financial Services Corp. ................. 56,000 570,500
Seacor Holdings Inc. .............................. 26,500 1,371,375
Second Bancorp Inc. ............................... 22,600 505,675
Security Capital Group Inc. Class A .............. 76,400 955,000
Seitel Inc. ....................................... 51,600 348,300
Select Comfort Corp. .............................. 41,100 166,969
Selective Insurance Group Inc. .................... 58,600 1,007,187
Semco Energy Inc. ................................. 36,418 430,188
Semtech Corp. ..................................... 63,800 3,325,575
Sensormatic Electronics Corp. ..................... 144,300 2,516,231
Sequa Corp. Class A .............................. 22,400 1,208,200
Serena Software Inc. .............................. 19,400 600,188
Serologicals Corp. ................................ 46,125 276,750
Service Experts Inc. .............................. 31,500 183,094
Shire Pharmaceuticals Group Place ................. 3,754 109,324
Shoe Carnival Inc. ................................ 17,800 179,113
Shop At Home Inc. ................................. 52,900 525,694
ShopKo Stores Inc. ................................ 63,600 1,462,800
Shoreline Financial Corp. ......................... 19,975 369,538
Shorewood Packaging Corp. ......................... 46,150 873,966
Shurgard Storage Centers Inc. Class A ............ 63,100 1,463,131
Sicor Inc. ........................................ 184,200 1,427,550
Siebert Financial Corp. ........................... 3,800 56,050
Sierra Health Services Inc. ....................... 61,300 409,944
Sierra Pacific Resources New ...................... 166,180 2,876,991
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-154
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
SIG Corp. , Inc. .................................. 50,350 $ 1,145,462
Silgan Holdings Inc. .............................. 21,300 284,888
Silicon Valley Bancshares ......................... 39,500 1,955,250
Silicon Valley Group Inc. ......................... 72,100 1,279,775
Siliconix Inc. .................................... 4,300 565,450
Silknet Software Inc. ............................. 7,000 1,160,250
Simmons First National Corp. Class A ............. 13,000 325,000
Simpson Industries Inc. ........................... 41,100 462,375
Simpson Manufacturing Inc. ........................ 16,000 700,000
Sinclair Broadcast Group Inc. Class A ............ 51,400 627,241
Sipex Corp. ....................................... 36,700 901,444
Sirius Satellite Radio Inc. ....................... 28,400 1,263,800
Sitel Corp. ....................................... 91,200 638,400
SJW Corp. ......................................... 4,500 541,125
Sky Financial Group Inc. .......................... 165,497 3,330,627
Skyline Corp. ..................................... 20,300 477,050
Skywest Inc. ...................................... 44,500 1,246,000
Sl Green Realty Corp. ............................. 45,600 991,800
SLI Inc. .......................................... 31,774 430,935
Smart & Final Inc. ................................ 18,000 130,500
Smithfield Foods Inc. ............................. 97,700 2,344,800
Softnet Systems Inc. .............................. 33,000 829,125
Sola International Inc. ........................... 51,300 711,787
Sonic Corp. ....................................... 39,575 1,127,887
Source Information Management Co. ................. 20,500 343,375
Source Media Inc. ................................. 27,300 505,050
South Jersey Industries Inc. ...................... 17,720 503,913
Southern Peru Copper Corp. ........................ 52,500 810,469
Southern Union Co. ................................ 77,537 1,482,895
Southwest BanCorp. Texas ......................... 57,900 1,147,144
Southwest Gas Corp. ............................... 65,100 1,497,300
Southwest Securities Group Inc. ................... 24,861 680,570
Southwestern Energy Co. ........................... 46,600 305,813
Sovran Self Storage Inc. .......................... 23,900 452,606
Spartech Corp. .................................... 32,400 1,044,900
Specialty Equipment Cos., Inc. .................... 28,000 670,250
Speedfam Ipec Inc. ................................ 55,003 711,601
Spiegel Inc. Class A ............................. 39,200 275,625
Sportsline USA Inc. ............................... 32,800 1,644,100
Springs Industries Inc. ........................... 22,800 910,575
SPS Technologies Inc. ............................. 27,500 878,281
SPSS Inc. ......................................... 16,700 421,675
Spyglass Inc. ..................................... 36,900 1,399,317
SS&C Technologies Inc. ............................ 25,200 163,800
St Mary Land + Exploration Co. .................... 24,200 598,950
St. Francis Capital Corp. ......................... 18,000 335,250
Staff Leasing Inc. ................................ 34,400 326,800
Staffmark Inc. .................................... 61,400 464,338
Stancorp Financial Group Inc. ..................... 30,600 770,737
Standard Motor Products Inc. Class A ............. 19,000 306,375
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-155
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Standard Pacific Corp. ............................ 56,000 $ 616,000
Standard Register Co. ............................ 26,200 507,625
Standex International Corp. ....................... 25,100 525,531
Star Telecommunications Inc. ...................... 72,200 570,831
Startek Inc. ...................................... 15,400 558,250
State Auto Financial Corp. ........................ 29,000 264,625
Staten Islands Bancorp Inc. ....................... 79,600 1,432,800
Station Casinos Inc. .............................. 50,000 1,121,875
Steel Dynamics Inc. ............................... 84,900 1,353,094
Stein Mart Inc. ................................... 61,000 346,938
Steinway Musical Instrs Inc. ...................... 21,100 427,275
Stepan Co. ....................................... 13,698 320,191
Stericycle Inc. ................................... 28,600 538,038
Steris Corp. ...................................... 144,700 1,492,219
Sterling Bancshares Inc. .......................... 53,550 599,091
Sterling Financial Corp ........................... 17,325 537,075
Stewart & Stevenson Services Inc. ................. 57,200 677,463
Stewart Information Services Corp. ................ 25,800 343,463
Stillwater Mining Co. ............................. 78,549 2,503,749
Stone & Webster Inc. .............................. 20,500 344,656
Stone Energy Corp. ................................ 34,400 1,225,500
Stoneridge Inc. ................................... 24,900 384,394
Storage USA Inc. .................................. 54,900 1,660,725
Strayer Education Inc. ............................ 17,300 341,675
Stride Rite Corp. ................................. 102,900 668,850
Structural Dynamics Research Corp. ................ 77,800 991,950
Student Loan Corp. ................................ 7,700 384,038
Sturm Ruger & Co., Inc. ........................... 38,600 342,575
Suiza Foods Corp. ................................. 70,200 2,781,675
Summit Properties Inc. ............................ 47,900 856,212
Summit Technology Inc. ............................ 97,900 1,144,206
Sun Communities Inc. .............................. 35,500 1,142,656
Sunbeam Inc. ...................................... 177,500 743,281
Sunglass Hut International Inc. ................... 86,600 974,250
Sunquest Information Systems Inc. ................. 7,300 98,550
Sunrise Assisted Living Inc. ...................... 37,100 510,125
Sunrise Medical Inc. .............................. 52,200 322,988
Sunrise Technologies International ................ 85,900 1,014,694
Sunterra Corp ..................................... 72,650 835,475
Supergen Inc. ..................................... 34,400 1,010,500
Superior Consultant Inc. .......................... 17,200 245,100
Superior Industries International Inc. ............ 41,900 1,123,444
Superior National Insurance Group Inc. ............ 36,900 279,056
Superior Telecom Inc. ............................. 20,449 315,681
Susquehanna Bancshares Inc. ....................... 76,912 1,220,978
Svi Holdings Inc. ................................. 51,800 621,600
Swift Energy Co. .................................. 41,359 475,629
Swift Transportation Co., Inc. .................... 77,875 1,372,547
Sybase Inc. ....................................... 164,100 2,789,700
Sykes Enterprises Inc. ............................ 47,000 2,062,125
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-156
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Syncor International Corp. ........................ 20,400 $ 594,150
Syntel Inc. ....................................... 8,000 129,500
Syntroleum Corp ................................... 56,500 459,063
Systemax Inc. ..................................... 74,300 631,550
Systems & Computer Technology Corp. ............... 68,800 1,118,000
Talbot's Inc. ..................................... 23,900 1,066,537
Talk Common Inc. .................................. 81,400 1,444,850
Talk Common Inc. .................................. 2,605 0
Tanger Factory Outlet Centers Inc. ................ 11,100 230,325
Tarrant Apparel Group ............................. 8,900 85,663
Taubman Centers Inc. .............................. 73,100 785,825
Techne Corp. ...................................... 40,400 2,224,525
Technitrol Inc. ................................... 25,000 1,112,500
Technology Solutions Co. .......................... 84,437 2,765,312
Tejon Ranch Co. ................................... 15,200 361,000
Tekelec Inc. ...................................... 58,100 1,307,250
Tektronix Inc. .................................... 88,500 3,440,437
Telebanc Financial Corp. .......................... 71,700 1,864,200
Telescan Inc. ..................................... 24,500 604,844
Teletech Holdings Inc. ............................ 44,700 1,506,530
Tenfold Corp. ..................................... 10,200 407,363
Tennant Co. ....................................... 19,500 638,625
Terayon Communication Systems ..................... 30,400 1,909,500
Terex Corp. ....................................... 51,700 1,434,675
Terra Industries Inc. ............................. 76,700 124,638
Tesoro Petroleum Corp. ............................ 70,800 818,625
Tetra Technologies Inc. ........................... 70,295 1,080,786
Texas Industries Inc. ............................. 44,456 1,892,158
Texas Regional Bancshares Inc. .................... 29,649 859,821
The Globe Common Inc. ............................. 19,300 161,638
Theragenics Corp. ................................. 53,800 487,563
Thermedics Inc. ................................... 48,500 263,719
Thermo Cardiosystems Inc. ......................... 36,300 238,219
Thermo Ecotek Corp. ............................... 10,100 53,656
Thermo Fibertek Inc. .............................. 12,700 90,488
Thermo Optek Corp. ................................ 5,500 62,563
Thermoquest Corp. ................................. 11,300 116,531
Thestreet Common Inc. ............................. 12,500 239,844
Thomas Industries Inc. ............................ 31,900 651,956
Thor Industries Inc. .............................. 13,299 404,788
Thornburg Mortgage Asset Corp. .................... 47,300 390,225
Timberland Co. Class A ........................... 19,200 1,015,200
Timken Co. ........................................ 105,600 2,158,200
Titan Corp. ....................................... 77,800 3,666,325
Titan International Inc. .......................... 33,700 219,050
Titanium Metals Corp. ............................. 36,400 163,800
TJ International Inc. ............................. 23,900 1,003,800
TNP Enterprises Inc. .............................. 26,700 1,101,375
Toll Brothers Inc. ................................ 45,200 841,850
Tom Brown Inc. .................................... 59,100 790,462
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-157
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ ---------- -----------------
<S> <C> <C>
Topps Co., Inc. ...................................... 88,900 $ 922,337
Toro Co. ............................................. 24,900 929,081
Total Renal Care Holdings Inc. ....................... 154,700 1,034,556
Tower Automotive Inc. ................................ 83,500 1,289,031
Town & Country Trust ................................. 31,500 565,031
Towne Services Inc. .................................. 27,000 108,000
Track Data Corp. ..................................... 26,000 264,875
Tractor Supply Co. ................................... 14,500 232,000
Trammell Crow Company ................................ 55,300 642,863
Trans World Airlines Inc. ............................ 118,500 333,281
Transaction Systems Architects Inc. Class A ......... 64,800 1,814,400
Transkaryotic Therapies Inc. ......................... 35,900 1,382,150
Transmontaigne Oil Co. ............................... 52,000 364,000
Transport World Entertainment Corp. .................. 64,849 680,915
Transwitch Corp. ..................................... 54,500 3,954,656
Tredegar Industries Inc. ............................. 42,250 874,047
Trendwest Resorts Inc. ............................... 6,100 137,250
Trenwick Group Inc. .................................. 23,050 390,409
Trex Inc. ............................................ 9,100 243,425
Trex Med Corp. ....................................... 16,600 46,688
Triad Guaranty Inc. .................................. 30,300 689,325
Triad Hosps Inc. ..................................... 73,400 1,110,175
Triangle Bancorp Inc. ................................ 54,500 1,055,937
Triangle Pharmaceuticals Inc. ........................ 69,000 884,062
Triarc Cos., Inc. Class A ........................... 40,120 737,205
Trigen Energy Corp. .................................. 12,400 215,450
Trimble Navigation Ltd. .............................. 46,800 1,012,050
Trinity Industries Inc. .............................. 84,300 2,397,281
Triquint Semiconductor Inc. .......................... 31,300 3,482,125
Triumph Group Inc. ................................... 23,000 556,313
Tropical Sportswear International Corp. .............. 9,900 159,638
True North Communications Inc. ....................... 87,400 3,905,687
Trust Co. of New Jersey .............................. 35,400 809,775
Trustco Bank Corp. ................................... 114,338 1,514,978
TSI International Software Ltd. ...................... 32,700 1,851,637
Tuboscope Vetco International Corp. .................. 62,800 996,950
Tuesday Morning Corp. ................................ 15,900 293,156
Tupperware Corp. ..................................... 120,900 2,047,744
Turkiye Hq Inc. ...................................... 35,649 826,611
Tut Systems Inc. ..................................... 25,200 1,351,350
Tweeter Home Entertainment Group Inc. ................ 22,600 802,300
Twinlab Corp. ........................................ 49,400 392,113
Tyler Technologies Inc. .............................. 76,000 418,000
Ubid Inc. ............................................ 3,383 89,650
UCAR International Inc. .............................. 94,400 1,681,500
UGI Corp. ............................................ 68,400 1,397,925
UICI ................................................. 81,600 861,900
Ultratech Stepper Inc. ............................... 42,800 690,150
UMB Financial Corp. .................................. 36,738 1,386,848
Unicapital Corp ...................................... 107,300 395,669
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-158
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------- --------- -----------------
<S> <C> <C>
Unifi Inc. ............................................ 117,800 $ 1,450,412
Unifirst Corp. ........................................ 23,400 295,425
Unigraphics Solutions Inc. Class A ................... 10,600 286,200
Unisource Energy Corp ................................. 69,020 772,161
Unistar Financial Service Corp. ....................... 34,200 68,400
United Asset Management Corp. ......................... 106,653 1,979,746
United Auto Group Inc. ................................ 45,300 404,869
United Bankshares Inc. ................................ 91,500 2,184,562
United Community Financial ............................ 68,300 678,731
United Dominion Realty Trust Inc. ..................... 220,100 2,173,487
United Fire & Casualty Co. ............................ 12,675 286,772
United Illuminating Co. ............................... 30,400 1,561,800
United National Bancorp New Jersey .................... 35,021 777,028
United Natural Foods Inc. ............................. 18,400 220,800
United Payors + United Providers ...................... 32,700 541,594
United Retail Group Inc. .............................. 27,800 229,350
United States Franchise Systems Inc. Class A ......... 27,700 124,650
United States Plastic Lumber Corp. .................... 59,600 458,175
United States Restaurant Pptys Inc. ................... 31,200 446,550
United Stationers Inc. ................................ 69,600 1,987,950
United Television Inc. ................................ 8,300 1,124,650
United Water Resources Inc. ........................... 58,900 2,013,644
Universal Corp. ....................................... 61,800 1,409,812
Universal First Products Inc. ......................... 31,200 460,200
Universal Foods Corp. ................................. 99,500 2,027,312
Unova Inc. ............................................ 81,000 1,053,000
Urban Outfitters Inc. ................................. 19,800 576,675
Urban Shopping Centers Inc. ........................... 19,500 528,938
URS Corp .............................................. 27,500 596,406
US Bancorp Inc. ....................................... 25,400 298,450
US Can Co. ............................................ 20,900 415,388
US Freightways Corp. .................................. 55,800 2,671,425
US Home Corp. ......................................... 26,200 669,738
US LEC Corp. Class A ................................. 21,500 693,375
Us Liquids Inc. ....................................... 27,700 231,988
US Office Prods Company ............................... 77,900 243,438
Us Oncology Inc. ...................................... 97,706 482,423
US Xpress Enterprises Inc. Class A ................... 16,800 123,900
USB Holding Inc. ...................................... 20,539 327,340
Usec Inc. ............................................. 217,600 1,523,200
Usinternetworking Inc. ................................ 30,150 2,106,731
UST Corp. ............................................. 86,964 2,761,107
UTI Energy Corp. ...................................... 31,800 733,387
Vail Resorts Inc. ..................................... 50,000 896,875
Valence Technology Inc. ............................... 50,500 959,500
Valero Energy Corp. ................................... 106,200 2,110,725
Valley Media Inc. ..................................... 7,400 51,800
Valmont Industries Inc. ............................... 39,400 632,863
Value America Inc. .................................... 20,800 105,300
Value City Department Stores Inc. ..................... 29,900 452,238
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-159
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Value Line Inc. ................................... 3,500 $ 126,000
Valuevision International Inc. Class A ........... 78,400 4,493,300
Varco International Inc. .......................... 129,700 1,321,319
Varian Inc. ....................................... 59,200 1,332,000
Varian Med Systems Inc. ........................... 64,800 1,931,850
Varian Semiconductor Equipment Inc. ............... 63,700 2,165,800
Veeco Instruments Inc. ............................ 18,800 880,075
Ventana Med Systems Inc. .......................... 26,900 669,138
Ventas Inc. ....................................... 113,900 476,956
Veritas DGC Inc. .................................. 49,600 694,400
Verity Inc. ....................................... 61,800 2,630,362
Vertex Pharmaceuticals Inc. ....................... 54,900 1,921,500
Verticalnet Inc. .................................. 70,500 11,562,000
Veterinary Centers America Inc. ................... 45,700 588,388
Viatel Inc. ....................................... 30,342 1,627,090
Vical Inc. ........................................ 34,600 1,035,837
Vicor Corp. ....................................... 40,200 1,628,100
Vintage Petroleum Inc. ............................ 93,900 1,132,669
Virco Manufacturing Company ....................... 14,060 182,780
Visio Corp. ....................................... 56,800 2,698,000
Visual Networks Inc. .............................. 41,200 3,265,100
Vital Signs Inc. .................................. 11,700 267,638
Vlasic Foods International Inc. ................... 58,200 331,013
Volt Information Sciences Inc. .................... 16,900 403,488
W Holding Company Inc. ............................ 87,000 902,625
W.H. Brady Co. .................................... 44,200 1,500,037
W.R. Berkley Corp. ................................ 38,900 812,037
W.R. Grace & Company .............................. 130,300 1,807,912
Wabash National Corp. ............................. 47,100 706,500
Wackenhut Corp. ................................... 26,800 400,325
Wackenhut Corrections Corp. ....................... 25,000 292,188
Walden Residential Properties Inc. ................ 51,900 1,122,337
Wallace Computer Services Inc. .................... 83,400 1,386,525
Walter Industries Inc. ............................ 89,200 964,475
Washington Federal Inc. ........................... 115,800 2,287,050
Washington Gas Light Co. .......................... 94,400 2,596,000
Washington REIT ................................... 76,950 1,154,250
Waste Connections Inc. ............................ 25,700 371,044
Waste Inds Inc. ................................... 7,000 79,188
Watsco Inc. ....................................... 39,650 458,453
Watts Industries Inc. Class A .................... 35,600 525,100
Wausau Mosinee Paper Corp ......................... 110,484 1,291,282
Wave Systems Corp. ................................ 90,800 1,083,925
Wavo Corp. ........................................ 43,600 168,950
WD40 Co. .......................................... 30,600 677,025
Webb Corp. ........................................ 32,200 802,987
Weblink Wireless Inc. ............................. 76,700 1,188,850
Webster Financial Corp. ........................... 82,100 1,934,481
Webtrends Corp. ................................... 14,000 1,134,000
Weingarten Realty Investors ....................... 57,000 2,219,437
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-160
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ---------- -----------------
<S> <C> <C>
Wellman Inc. ...................................... 67,400 $ 1,255,325
Wellsford Real Properties Inc. .................... 39,500 335,750
Werner Enterprises Inc. ........................... 66,712 938,137
Wesbanco Inc. ..................................... 41,950 1,090,700
Wesco International Inc. .......................... 63,500 563,563
Wesley Jessen Visioncare Inc. ..................... 36,100 1,367,287
West Coast Bancorp (Oregon) ....................... 29,326 395,901
West Marine Inc. .................................. 14,800 122,100
West Pharmaceutical Services Inc. ................. 27,349 846,110
West Teleservices Corp. ........................... 19,600 478,975
Westcorp .......................................... 19,700 285,650
Westell Technologies Class A ...................... 37,400 402,050
Western Digital Corp. ............................. 186,000 778,875
Western Gas Resources Inc. ........................ 33,000 435,188
Western Pptys Trust ............................... 37,200 355,725
Westfield America Inc. ............................ 59,400 731,362
Westinghouse Air Brake Co. ........................ 88,269 1,566,775
Westwood One Inc. ................................. 72,450 5,506,200
Wet Seal Inc. ..................................... 21,500 263,375
WFS Financial Inc. ................................ 10,800 228,150
Whitehall Jewellers Inc. .......................... 19,300 711,688
Whitney Holding Corp. ............................. 49,500 1,834,594
Whole Foods Market Inc. ........................... 55,400 2,569,175
Wicor Inc. ........................................ 79,300 2,314,569
Wild Oats Markets Inc. ............................ 30,499 676,697
Wind River Systems Inc. ........................... 70,449 2,580,195
Windmere Corp. .................................... 46,700 793,900
Winnebago Industries Inc. ......................... 31,500 631,969
Wisconsin Central Transportation Corp. ............ 110,100 1,479,469
WMS Industries Inc. ............................... 48,600 637,875
Wolverine Tube Inc. ............................... 28,500 402,563
Wolverine World Wide Inc. ......................... 90,900 994,219
Woodward Governor Co. ............................. 16,500 453,750
World Access Inc. ................................. 95,200 1,832,600
Worldgate Communications Inc. ..................... 20,400 970,275
Worthington Industries ............................ 158,200 2,620,187
WPS Resources Corp. ............................... 57,800 1,452,225
Wyndham International Inc. Class A ............... 291,806 857,180
Wynn's International Inc. ......................... 29,575 417,747
Xceed Inc. ........................................ 23,600 979,400
Xircom Inc. ....................................... 45,800 3,435,000
Xtra Corp. ........................................ 28,300 1,206,287
Yankee Energy Systems Inc. ........................ 22,750 999,578
Yellow Corp. ...................................... 53,500 899,469
Young Broadcasting Inc. Class A .................. 19,800 1,009,800
Zapata Corp. ...................................... 34,600 160,025
Zebra Technologies Corp. Class A ................. 51,700 3,024,450
Zenith National Insurance Corp. ................... 18,200 375,375
Ziff Davis Inc. ................................... 55,600 879,175
Ziff Davis Inc. ................................... 28,700 602,700
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-161
<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, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------- ----------------- ----------------
<S> <C> <C>
Zixit Corp. ........................................... 31,000 $ 1,228,375
Zomax Optical Media Inc. .............................. 22,100 1,000,025
--------------
TOTAL COMMON STOCK
(Cost $1,821,391,685)................................. 1,976,201,438
--------------
PRINCIPAL
----------
SHORT TERM INSTRUMENTS--2.4%
Short Term Investment Fund 5.46 ....................... $49,958,980 49,958,980
--------------
U.S. GOVERNMENT OBLIGATIONS--2.4%
United States Treasury Bills (Cost $7,379,805)......... 7,460,000 7,379,805
- -------------------------------------------------------- ----------- --------------
TOTAL INVESTMENTS--100%
(Cost $1,878,705,440)................................. $2,079,435,723
======================================================== ==============
</TABLE>
At December 31, 1999, U.S. Treasury Bills with principal of $7,460,000
were pledged to cover margin requirements for open futures contracts. The
following futureslong contracts were open at December 31, 1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS VALUE DATE GAIN (LOSS)
- ------------------------- ----------- -------------- ------------ --------------
<S> <C> <C> <C> <C>
Russell 2000 ............ 180 $45,582,545 March 2000 $ 3,312,955
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-162
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Russell 2000
Fund and State Street Bank and Trust Company Russell 2000 Non-Lending Fund
(collectively, the "Fund") were formed by State Street Bank under a Declaration
of Trust. The investment objective of the Fund is to replicate, as closely as
possible, the return of the Russell 2000 Index. State Street Bank is Trustee
and custodian of the Fund. 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 sales are reported for that day, the last published
sale price, or at fair value as determined in good faith by the Trustee.
Short-term investments, if any, are stated at amortized cost, which
approximates market value. Investments in regulated investment companies or
other State Street Bank collective investment funds are valued at the net asset
value per share/unit on the valuation date. Futures contracts are valued at the
last settlement price at the end of each day on the board of trade or exchange
upon which they are traded.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. 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, if any, is
recorded on the ex-dividend date. Interest income earned on securities, if any,
is recorded on the accrual basis. Interest income includes accretion of
discounts and amortization of premiums.
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"). 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 which 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.
SAI-163
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
E. EXPENSES
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year. The Trustee is paid a custody fee at an
annual rate of $50,000, plus 0.125% of the Fund's average net asset value, and
a charge for each security and futures transaction executed.
F. DISTRIBUTIONS TO PARTICIPANTS
Net investment income (excluding securities lending fee income, if any)
and net realized gains are retained by the Fund. Income generated by securities
lending, if any, is distributed monthly to participants of the Lending Fund.
G. FUTURES CONTRACTS
The Fund may use futures contracts to manage exposure to the equity
market. Buying futures tends to increase a fund's exposure to the underlying
instrument. Selling futures tends to decrease a fund's exposure to the
underlying instrument, or hedge other 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 not be
an exact correlation between a futures contract and the underlying index.
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.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the Russell 2000 Fund (the "Lending Fund") have
authorized the Lending Fund to participate in the Global 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 the Lending Fund and the Non-Lending Fund. The
SAI-164
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
Lending Fund and the Non-Lending Fund each maintain a divided pro-rata interest
in the combined assets and liabilities (including each investment security
position but excluding assets and liabilities related to securities lending
activities) 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 Global 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 market
value of the loaned securities. At December 31, 1999, the market value of
securities loaned by the Lending Fund was $309,005,524 against which was held
cash collateral of $319,956,876 and securities of $1,015,425. Cash collateral
provided by the Borrowers is 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 Lending Fund and 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 Lending Fund participants monthly.
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.
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, 1999 were $1,219,715,114 and $877,064,892, respectively, resulting
in a net realized gain (loss) of $123,740,656. This gain (loss) is prior to the
recognition of the market effect and transaction costs associated with
contributions and redemptions. Purchases and sales of short-term investments
(including maturities) during the year ended December 31, 1999 were
$583,034,396 and $595,940,858, respectively, resulting in a net realized gain
(loss) of $0.
SAI-165
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
RUSSELL 2000 FUND
RUSSELL 2000 NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
1999 1998
------------------------------------ ------------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
RUSSELL 2000 FUND
Units issued ...................... 36,136,293 $ 858,841,077 31,449,020 $ 743,570,395
Units redeemed .................... (22,041,343) (523,847,446) (26,400,317) (595,420,022)
----------- -------------- ----------- --------------
Total .......................... 14,094,950 $ 334,993,631 5,048,703 $ 148,150,373
----------- -------------- ----------- --------------
RUSSELL 2000 NON-LENDING FUND
Units issued ...................... 2,826,840 $ 66,804,771 2,649,074 $ 61,171,763
Units redeemed .................... (4,140,796) (98,911,014) (2,102,765) (48,257,008)
----------- -------------- ----------- --------------
Total .......................... (1,313,956) $ (32,106,243) 546,309 $ 12,914,755
----------- -------------- ----------- --------------
Total increase (decrease) ......... 12,780,994 $ 302,887,388 5,595,012 $ 161,065,128
=========== ============== =========== ==============
</TABLE>
RUSSELL 2000 FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 3 of the Lending Fund's 47 unitholders aggregated 59% of the
Lending Fund's total units outstanding.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Lending Fund units were $38,030.
RUSSELL 2000 NON-LENDING FUND
Units in excess of 10% of the Non-Lending Fund units outstanding at
December 31, 1999 held by 4 of the Non-Lending Fund's 5 unitholders aggregated
95% of the Non-Lending Fund's total units outstanding.
During the year ended December 31, 1999, the net market effect and
transaction costs (absorbed by) credited to participants in issuance and
redemption of Non-Lending Fund units were $(63,675).
SAI-166
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
State Street Bank and Trust Company
Daily EAFE Securities Lending Fund
and State Street Bank and Trust Company
Daily EAFE 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 State
Street Bank and Trust Company Daily EAFE Securities Lending Fund and State
Street Bank and Trust Company Daily EAFE Non-Lending Fund at December 31, 1999,
and the results of their operations, the changes in their net assets and their
selected per unit data for the periods indicated, in conformity with accounting
principles generally accepted in the United States. 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 auditing standards
generally accepted in the United States which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by the Trustee, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1999 by correspondence with the custodian, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
February 29, 2000
SAI-167
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $1,827,040,483) ........... $2,273,388,418
Foreign currency, at value (cost $40,521) ........................... 40,645
Dividends receivable ................................................ 128
Interest receivable ................................................. 1,252
- --------------------------------------------------------------------- --------------
Total assets ................................................... 2,273,430,443
- --------------------------------------------------------------------- --------------
LIABILITIES
Accrued expenses .................................................... 3,036
- --------------------------------------------------------------------- --------------
NET ASSETS .......................................................... $2,273,427,407
===================================================================== ==============
Daily EAFE Securities Lending Fund
(133,250,028 units outstanding, at $13.19 per unit net asset value). $1,757,857,613
Daily EAFE Non-Lending Fund
(39,081,487 units outstanding, at $13.19 per unit net asset value).. 515,569,794
- --------------------------------------------------------------------- --------------
$2,273,427,407
===================================================================== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-168
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $16,891)....................................... $ 67,542
Interest .......................................................................... 11,109
Dividends from securities lending fee income ...................................... 832,216
- ------------------------------------------------------------------------------------- ------------
Total investment income ........................................................ 910,867
- ------------------------------------------------------------------------------------- ------------
EXPENSES
Administration .................................................................... 12,000
Audit ............................................................................. 7,000
Custody ........................................................................... 19,840
- ------------------------------------------------------------------------------------- ------------
Total expenses ................................................................. 38,840
- ------------------------------------------------------------------------------------- ------------
Net investment income .......................................................... 872,027
- ------------------------------------------------------------------------------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY
Net realized gain (loss) .......................................................... 64,970,669
Net change in unrealized appreciation (depreciation) .............................. 409,943,407
- ------------------------------------------------------------------------------------- ------------
Net realized and unrealized gain (loss) on investments and foreign currency .... 474,914,076
- ------------------------------------------------------------------------------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................... $475,786,103
===================================================================================== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-169
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
----------------- ------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ................................................................... $ 872,027 $ 20,594,827
Net realized gain (loss) on investments, foreign currency and related forward
currency contracts ..................................................................... 64,970,669 139,238,910
Net change in unrealized appreciation (depreciation) on investments, foreign currency
and related forward currency contracts ................................................. 409,943,407 11,893,014
- ----------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations ........................ 475,786,103 171,726,751
- ----------------------------------------------------------------------------------------- -------------- --------------
Distributions of dividends from securities lending fee income allocated to the Daily
EAFE Securities Lending Fund participants .............................................. (832,216) (410,061)
- ----------------------------------------------------------------------------------------- -------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ........... 622,560,767 394,502,282
- ----------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets ................................................... 1,097,514,654 565,818,972
NET ASSETS
Beginning of year ...................................................................... 1,175,912,753 610,093,781
- ----------------------------------------------------------------------------------------- -------------- --------------
End of year ............................................................................ $2,273,427,407 $1,175,912,753
========================================================================================= ============== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-170
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------
1999 1998
--------------- -------------
<S> <C> <C>
Net investment income (a) ......................................... $ 0.01 $ 0.22
Distributions of dividends from securities lending fee income ..... (0.01) (0.01)
Net realized and unrealized gain (loss) ........................... 2.87 1.57
- ------------------------------------------------------------------- ----------- ---------
Net increase (decrease) ........................................... 2.87 1.78
NET ASSET VALUE
Beginning of year ................................................. 10.32 8.54
- ------------------------------------------------------------------- ----------- ---------
End of year ....................................................... $ 13.19 $ 10.32
=================================================================== =========== =========
Total return (%) (b) .............................................. 27.92 20.88
=================================================================== =========== =========
Ratio of expenses to average net assets (%) (c) ................... 0.00 0.11
- ------------------------------------------------------------------- ----------- ---------
Ratio of net investment income to average net assets (%) (c) ...... 0.00 2.17
- ------------------------------------------------------------------- ----------- ---------
Portfolio turnover (%) ............................................ 47 109
- ------------------------------------------------------------------- ----------- ---------
Net assets, end of year (000s) .................................... $ 1,757,858 $ 685,618
=================================================================== =========== =========
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------
1997 1996 1995
------------- ---------- ----------
<S> <C> <C> <C>
Net investment income (a) ......................................... $ 0.20 $ 0.20 $ 0.17
Distributions of dividends from securities lending fee income ..... (0.01) (0.01) (0.01)
Net realized and unrealized gain (loss) ........................... (0.07) 0.29 0.66
- -------------------------------------------------------------------- --------- ------- -------
Net increase (decrease) ........................................... 0.12 0.48 0.82
NET ASSET VALUE
Beginning of year ................................................. 8.42 7.94 7.12
- -------------------------------------------------------------------- --------- ------- -------
End of year ....................................................... $ 8.54 $ 8.42 $ 7.94
==================================================================== ========= ======= =======
Total return (%) (b) .............................................. 1.51 6.15 11.64
==================================================================== ========= ======= =======
Ratio of expenses to average net assets (%) (c) ................... 0.11 0.19 0.20
- -------------------------------------------------------------------- --------- ------- -------
Ratio of net investment income to average net assets (%) (c) ...... 2.23 2.38 2.22
- -------------------------------------------------------------------- --------- ------- -------
Portfolio turnover (%) ............................................ 9 5 9
- -------------------------------------------------------------------- --------- ------- -------
Net assets, end of year (000s) .................................... $ 333,013 $99,048 $75,760
==================================================================== ========= ======= =======
</TABLE>
(a) Net investment income per unit has been calculated based upon a
monthly average of units outstanding.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the
beginning and end of the year and assumes reinvestment of
distributions. The calculation includes only those expenses charged
directly to the Lending Fund. The result may be reduced by any
administrative or other fees which are incurred in the management or
maintenance of individual participant accounts.
(c) Zero amount represents that which is less than 0.005%.
The accompanying notes are an integral part of these financial statements.
SAI-171
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
-------- -----------------
<S> <C> <C>
COMMON STOCK--0.0% (unless otherwise noted)
Aluminium Co. of Malaysia Berhad MYR1 ................. 300 $ 131
Amalgamated Steel Mills Berhad MYR0.50 ................ 800 143
AMMB Holdings Berhad MYR1 ............................. 400 958
Antah Holdings Berhad MYR0.50 ......................... 220 69
Aokam Perdana Berhad (a) MYR1 ......................... 533 1,431
APM Automotive MYR1 ................................... 75 43
Berjaya Group Berhad MYR1 ............................. 650 142
Berjaya Leisure Berhad MYR1 ........................... 900 433
Commerce Asset Holdings Berhad MYR1 ................... 680 1,745
DCB Holdings Berhad MYR1 .............................. 700 726
Edaran Otomobil Nasional Berhad MYR1 .................. 100 426
Ekran Berhad MYR1 ..................................... 200 78
Golden Hope Plantations Berhad MYR1 ................... 200 180
Golden Plus Holdings Berhad MYR1 ...................... 300 99
Guinness Anchor Berhad MYR0.50 ........................ 700 774
Highlands & Lowlands Berhad MYR0.50 ................... 300 180
Hong Leong Industries Berhad MYR0.50 .................. 880 2,061
Hong Leong Properties Berhad MYR0.50 .................. 500 179
Hume Industries Berhad MYR1 ........................... 500 508
Idris Hydraulic (Malaysia) Berhad (b) MYR0.50 ......... 72,200 0
Industrials Oxygen Inc. Berhad MYR0.50 ................ 400 242
Johan Holdings Berhad MYR0.50 ......................... 700 160
Kelanamas Industries Berhad MYR1 ...................... 7,800 1,478
Kemayan Corp. Berhad MYR0.50 .......................... 500 37
Kian Joo Can Factory Berhad MYR0.50 ................... 300 486
Kuala Lumpur Kepong Berhad MYR1 ....................... 500 691
Land & General Berhad MYR1 ............................ 900 398
Landmarks Berhad MYR1 ................................. 900 291
Magnum Corp. Berhad MYR0.50 ........................... 700 523
Malayan Banking Berhad MYR1 ........................... 800 2,842
Malayan Cement Berhad MYR0.50 ......................... 125 37
Malayan United Industries Berhad MYR1 ................. 320 71
Malayawata Steel Berhad MYR1 .......................... 450 163
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-172
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARE VALUE
- ------------------------------------------------------------------------- --------- -----------------
<S> <C> <C>
Malaysia Mining Corp. Berhad MYR1 ....................................... 800 $ 396
Malaysian Airline System Berhad MYR1 .................................... 500 432
Malaysian International Shipping Corp. Berhad MYR1 Alien Market ......... 833 1,370
Malaysian Mosaics Berhad MYR1 ........................................... 600 369
Malaysian Oxygen Berhad MYR0.50 ......................................... 800 1,979
Malaysian Pacific Industries Berhad. MYR0.50 ............................ 966 6,228
Malaysian Resources Corp. Berhad MYR1 ................................... 66 43
Metroplex Berhad MYR0.50 ................................................ 600 157
Mulpha International Berhad MYR0.50 ..................................... 250 56
Multi Purpose Holdings MYR1 ............................................. 700 298
Mycom Berhad MYR1 ....................................................... 666 80
Nestle Malaysia Berhad MYR1 ............................................. 500 2,158
New Straits Times Press Berhad MYR1...................................... 400 963
Oriental Holdings Berhad MYR1 ........................................... 272 594
Palmco Holdings Berhad MYR1 ............................................. 400 179
Pan-Malaysia Cement Works Berhad MYR0.50 ................................ 400 139
Perusahaan Otomobil Nasional Berhad MYR1 ................................ 300 584
Petaling Garden Berhad MYR0.50 .......................................... 400 226
Pilecon Engineering Berhad MYR0.50 ...................................... 500 188
Promet Berhad (c) MYR1 .................................................. 75,200 0
Public Bank Berhad MYR0.50 Alien Market ................................. 212 220
Rashid Hussain Berhad MYR1 .............................................. 600 499
Resorts World Berhad MYR0.50 ............................................ 800 2,295
RJ Reynolds Berhad MYR1 ................................................. 600 745
Rothmans of Pall Mall Berhad MYR0.50 .................................... 200 1,526
Selangor Properties Berhad MYR1 ......................................... 800 421
Shell Refining Co. MYR1 ................................................. 200 227
Silverstone Berhad (c) MYR1 ............................................. 4,543 0
Sime Darby Berhad MYR0.50 ............................................... 700 888
Sungei Way Holdings Berhad MYR1 ......................................... 400 255
Tan Chong Motor Holdings Berhad MYR0.50 ................................. 500 211
Tech Resources Industries Berhad MYR1 ................................... 200 124
Telekom Malaysia Berhad MYR1 ............................................ 795 3,075
Tenaga Nasional Berhad MYR1 ............................................. 900 2,321
UMW Holdings Berhad MYR1 ................................................ 300 561
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-173
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARE VALUE
- ------------------------------------------------------------------------- ------------- ----------------
<S> <C> <C>
Warisan Tc Holdings Berhad MYR1 ......................................... 25 17
YTL Corp., Berhad MYR0.50 ............................................... 840 1,337
-----
TOTAL COMMON STOCK
(Cost $33,508) ......................................................... 48,886
------
UNITS
-------
STATE STREET BANK AND TRUST COMPANY COLLECTIVE INVESTMENT FUNDS--100%
Daily MSCI Japan Index Securities Lending Fund .......................... 29,396,197 480,774,805
Daily MSCI Japan Index Fund ............................................. 8,665,919 141,726,205
Daily MSCI Europe Index Securities Lending Fund ......................... 96,153,212 1,169,703,820
Daily MSCI Europe Index Fund ............................................ 28,316,594 344,471,356
Daily MSCI Pacific Basin Ex Japan Index Securities Lending Fund ......... 7,578,914 105,399,951
Daily MSCI Pacific Basin Ex Japan Index Fund ............................ 2,229,912 31,011,389
Short Term Investment Fund .............................................. 252,006 252,006
-------------
TOTAL STATE STREET BANK AND TRUST COMPANY COLLECTIVE INVESTMENT FUNDS
(Cost $1,827,006,975) .................................................. 2,273,339,532
- -------------------------------------------------------------------------- -------------
TOTAL INVESTMENTS--100%
(Cost $1,827,040,483) .................................................. $2,273,388,418
========================================================================== ==============
</TABLE>
(a) Issuer restricted.
(b) Issuer suspended due to noncompliance with exchange regulations.
(c) Issuer delisted due to bankruptcy.
The accompanying notes are an integral part of these financial statements.
SAI-174
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Daily EAFE Funds
(collectively, the "Trust") were formed by State Street Bank under a
Declaration of Trust. The Trust is organized into separate regional funds and
country funds and umbrella funds that hold Malaysian securities and units of
the separate regional and country funds. State Street Bank is Trustee and
custodian of each Fund. State Street Global Advisors, a division of State
Street Bank, is each Fund's investment manager.
The investment objective of Daily EAFE Securities Lending Fund and Daily
EAFE Non-Lending Fund (collectively, the "Fund") is to closely match the
performance of the MSCI EAFE Index, while providing daily liquidity. Effective
December 18, 1998, the Fund achieves its objective primarily by investing in
other collective investment funds managed by the Trustee. Prior to this date,
the Fund achieved its objective by investing directly in the securities
comprising the MSCI EAFE Index. On December 18, 1998, the Fund was reorganized
and separate regional and country funds (the "underling funds") were
established. The Fund transferred all of its assets and liabilities, excluding
Malaysian assets and liabilities, in exchange for units in the underlying
funds. In conjunction with this reorganization, the Fund reissued units to the
participants at $10.00 net asset value per unit. (Net asset value per unit
prior to the reorganization was $14.95).
Refer to the financial statements of the underlying funds for disclosure
of their accounting policies.
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 price 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, if any, are
stated at amortized cost, which approximates market value. Investments in
regulated investment companies or other State Street Bank collective investment
funds are valued at the net asset value per share/unit on the valuation date.
Foreign currencies and foreign securities quoted in foreign currencies are
translated into U.S. dollars as of the last exchange trade date. For the period
September 30, 1998 to February 25, 1999 and for the period February 26, 1999 to
August 29, 1999, Malaysian Ringgits and Malaysian securities were translated
into U.S. dollars at a discount exchange rate of 5.43 and 4.47, respectively,
as set by the MSCI Index due to existing market conditions in Malaysia.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. 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 are determined using the average cost method. Dividend income,
if any, is recorded net of applicable withholding taxes on the ex-dividend date
or as soon as the Fund is informed of the dividend. Interest income earned on
securities, if any, is recorded net of applicable withholding taxes on the
accrual basis; interest
SAI-175
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
earned on foreign currency transaction accounts is recorded when the Trustee is
first notified of the amount credited by the depository bank. State Street Bank
collective investment funds, in which the Fund invests, may retain income and
net realized gains. Accordingly, realized and unrealized gains and losses
reported by the Fund may include a component attributable to investment income.
C. FOREIGN CURRENCY 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 a
period end. Purchases and sales of securities, income and expenses are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions. For the period September 30, 1998 to February 25,
1999 and for the period February 26, 1999 to August 29, 1999, Malaysian
Ringgits and Malaysian securities were translated into U.S. dollars at a
discount exchange rate of 5.43 and 4.47, respectively, as set by the MSCI Index
due to existing market conditions in Malaysia.
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.
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
contracts' terms and from movements in currency values.
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 each business day
("valuation date"). Issuances and redemptions of Fund units are made on such
days, based upon the closing market value of the securities bought or sold as
of the valuation date. A transaction fee of .5% is charged on any contribution
or withdrawal greater than 5% of the net asset value of the Fund. However, such
fees are waived if the Fund's net participant activity on any day is less than
5% of the net asset value of the Fund. Such transaction fees are presented as a
separate component of capital.
SAI-176
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
F. EXPENSES
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year, including custody and audit fees. Prior to
the reorganization on December 18, 1998, the Fund paid an annual fee of $50,000
for daily pricing services to the Trustee in its capacity as custodian.
Effective December 18, 1998, the Trustee is paid an annual administration fee
of $12,000.
G. DISTRIBUTIONS TO PARTICIPANTS
Net investment income (excluding dividends from securities lending fee
income, if any) and net realized gains are retained by the Fund. Dividends from
securities lending fee income, if any, are distributed monthly.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the Daily EAFE Securities Lending Fund (the "Lending
Fund") have authorized the Lending Fund to invest in certain collective
investment funds that participate in the Global 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 Daily
EAFE 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 the Lending Fund and the Non-Lending Fund. The Lending Fund and the
Non-Lending Fund each maintain a divided pro-rata interest in the combined
assets and liabilities (including each investment security position, but
excluding assets and liabilities related to securities lending activities)
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.
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, 1999 were $1,401,105,425 and $778,536,017, respectively, resulting
in a net realized gain (loss) of $64,917,920. Net realized gain (loss) from
foreign currency transactions amounted to $52,749 for the year ended December
31, 1999.
The Fund may be subject to a levy on the repatriation of certain profits.
Realized gains generated from cash brought into Malaysia after February 14,
1999 may be subject to a 10% levy upon repatriation. The levy is imposed when,
on the repatriation date, the Fund's Malaysian Ringgit balance exceeds the net
cash balance brought into the country. For the year ended December 31, 1999, no
repatriation levies were paid.
SAI-177
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY EAFE SECURITIES LENDING FUND
DAILY EAFE NON-LENDING FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
5. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
1999 1998
------------------------------------ ------------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
DAILY EAFE SECURITIES LENDING FUND
Units issued (1/1/99 - 12/31/99) ............. 136,724,715 $1,493,975,482 -- $ --
Units issued (1/1/98 - 12/18/98) ............. -- -- 31,411,826 445,179,583
Unit adjustment due to reorganization (see
Note 1) ..................................... -- -- 21,818,970 --
Units issued (12/19/98 - 12/31/98) ........... -- -- 2,043,253 20,847,087
Units redeemed (1/1/99 - 12/31/99) ........... (69,900,419) (785,276,317) -- --
Units redeemed (1/1/98 - 12/18/98) ........... -- -- (13,403,233) (193,021,523)
Units redeemed (12/19/98 - 12/31/98) ......... -- -- (1,524,125) (15,534,518)
----------- -------------- ----------- --------------
Total ....................................... 66,824,296 $ 708,699,105 40,346,691 $ 257,470,629
=========== ============== =========== ==============
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
1999 1998
------------------------------------ ------------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
DAILY EAFE NON-LENDING FUND
Units issued (1/1/99 - 12/31/99) .............. 42,967,617 $ 468,323,833 -- $ --
Units issued (1/1/98 - 12/18/98) .............. -- -- 36,983,239 515,657,645
Unit adjustment due to reorganization (see
Note 1) ...................................... -- -- 14,285,760 --
Units issued (12/19/98 - 12/31/98) ............ -- -- 5,482,183 55,176,247
Units redeemed (1/1/99 - 12/31/99) ............ (51,388,082) (554,462,171) -- --
Units redeemed (1/1/98 - 12/18/98) ............ -- -- (29,815,822) (422,392,493)
Units redeemed (12/19/98 - 12/31/98) .......... -- -- (1,132,216) (11,607,115)
Paid in capital from transaction fees ......... -- -- -- 197,369
----------- -------------- ----------- --------------
Total ........................................ (8,420,465) $ (86,138,338) 25,803,144 $ 137,031,653
----------- -------------- ----------- --------------
Net increase .................................. 58,403,831 $ 622,560,767 66,149,835 $ 394,502,282
=========== ============== =========== ==============
</TABLE>
DAILY EAFE SECURITIES LENDING FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 2 of the Lending Fund's 25 unitholders aggregated 65% of the
Lending Fund's total units outstanding.
DAILY EAFE NON-LENDING FUND
Units in excess of 10% of the Non-Lending Fund units outstanding at
December 31, 1999 held by 1 of the Non-Lending Fund's 30 unitholders aggregated
36% of the Non-Lending Fund's total units outstanding.
SAI-178
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
State Street Bank and Trust Company
Daily MSCI Europe Index Securities Lending Fund
and State Street Bank and Trust Company
Daily MSCI Europe Index 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 State Street Bank and Trust Company Daily MSCI Europe Index Securities
Lending Fund and State Street Bank and Trust Company Daily MSCI Europe Index
Fund at December 31, 1999, and the results of their operations, the changes in
their net assets and their selected per unit data for the periods indicated, in
conformity with accounting principles generally accepted in the United States.
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 auditing standards generally accepted in the United States which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by the Trustee, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PrincewaterhouseCoopers LLP
February 24, 2000
SAI-179
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $2,428,892,414)................................. $2,839,555,787
Foreign currency, at value (cost $40,633,810)............................................. 40,591,542
Foreign currency, segregated, at value (cost $21,188,959)................................. 21,073,733
Investments in State Street Bank and Trust Company Quality A Short-Term Investment Fund,
at value ............................................................................... 70,516,865
Receivable for investments sold .......................................................... 5,644,593
Receivable for open forward currency contracts ........................................... 1,817,576
Unrealized gain on open futures contracts ................................................ 21,784,199
Dividends receivable ..................................................................... 1,545,805
Interest receivable ...................................................................... 1,291,827
Tax reclaims receivable .................................................................. 2,666,074
- ------------------------------------------------------------------------------------------ --------------
Total assets ......................................................................... 3,006,488,001
- ------------------------------------------------------------------------------------------ --------------
LIABILITIES
Payable for collateral on securities loaned .............................................. 70,516,865
Payable for open forward currency contracts .............................................. 55,612
Accrued expenses ......................................................................... 573,452
- ------------------------------------------------------------------------------------------ --------------
Total liabilities .................................................................... 71,145,929
- ------------------------------------------------------------------------------------------ --------------
NET ASSETS ............................................................................... $2,935,342,072
========================================================================================== ==============
Daily MSCI Europe Index Securities Lending Fund
(99,577,884 units outstanding, at $12.16 per unit net asset value)....................... $1,211,329,026
Daily MSCI Europe Index Fund
(141,723,320 units outstanding, at $12.16 per unit net asset value)...................... 1,724,013,046
- ------------------------------------------------------------------------------------------ --------------
$2,935,342,072
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-180
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $2,372,574).......................................... $ 33,029,876
Interest ................................................................................ 11,916,055
Securities lending fee income (net of related expenses), allocated to the Daily MSCI
Europe Index Securities Lending Fund .................................................... 552,991
- ------------------------------------------------------------------------------------------- -------------
Total investment income .............................................................. 45,498,922
- ------------------------------------------------------------------------------------------- -------------
EXPENSES
Audit ................................................................................... 15,000
Custody ................................................................................. 1,816,114
Other ................................................................................... 112,890
- ------------------------------------------------------------------------------------------- -------------
Total expenses ....................................................................... 1,944,004
- ------------------------------------------------------------------------------------------- -------------
Net investment income ................................................................ 43,554,918
- ------------------------------------------------------------------------------------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY, FORWARD
CONTRACTS AND FUTURES CONTRACTS
Net realized gain (loss):
Investments ........................................................................... (406,130)
Foreign currency and related forward currency contracts ............................... (25,763,094)
Futures contracts ..................................................................... 50,831,552
- ------------------------------------------------------------------------------------------- -------------
24,662,328
-------------
Net change in unrealized appreciation (depreciation):
Investments ........................................................................... 355,079,004
Foreign currency and related forward currency contracts ............................... 1,753,568
Futures contracts ..................................................................... 19,602,290
- ------------------------------------------------------------------------------------------- -------------
376,434,862
-------------
Net realized and unrealized gain (loss) on investments, foreign currency, forward
contracts and futures contracts ........................................................ 401,097,190
- ------------------------------------------------------------------------------------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......................... $ 444,652,108
=========================================================================================== =============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-181
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998(a)
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ............................................................... $ 43,554,918 $ 279,685
Net realized gain (loss) on investments, foreign currency, forward contracts and
futures contracts .................................................................. 24,662,328 (4,554)
Net change in unrealized appreciation (depreciation) on investments and foreign
currency, forward contracts and futures contracts .................................. 376,434,862 56,986,580
- -------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations .................... 444,652,108 57,261,711
- -------------------------------------------------------------------------------------- -------------- --------------
Distributions of securities lending fee income allocated to the Daily MSCI Europe
Index Securities Lending Fund participants ......................................... (552,991) --
- -------------------------------------------------------------------------------------- -------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ....... 1,013,798,681 1,420,182,563
- -------------------------------------------------------------------------------------- -------------- --------------
Net increase (decrease) in net assets ............................................... 1,457,897,798 1,477,444,274
NET ASSETS
Beginning of period ................................................................ 1,477,444,274 --
- -------------------------------------------------------------------------------------- -------------- --------------
End of period ...................................................................... $2,935,342,072 $1,477,444,274
====================================================================================== ============== ==============
</TABLE>
(a) The Fund commenced operations on December 18, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-182
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998(a)
-------------- -----------
<S> <C> <C>
Net investment income (b)(d) .................................. $ 0.23 $ 0.00
Distributions of securities lending fee income ................ (0.01) 0.00
Net realized and unrealized gain (loss) ....................... 1.52 0.42
- --------------------------------------------------------------- ---------- --------
Net increase (decrease) ....................................... 1.74 0.42
NET ASSET VALUE
Beginning of period ........................................... 10.42 10.00
- --------------------------------------------------------------- ---------- --------
End of period ................................................. $ 12.16 $ 10.42
=============================================================== ========== ========
Total return (%)(e) ........................................... 16.87 4.20
- --------------------------------------------------------------- ---------- --------
Ratio of expenses to average net asset (%)(c)(f) .............. 0.10 0.00
- --------------------------------------------------------------- ---------- --------
Ratio of net investment income to average net assets (%)(f) ... 2.20 0.02
- --------------------------------------------------------------- ---------- --------
Portfolio turnover (%)(c) ..................................... 13.93 0.00
- --------------------------------------------------------------- ---------- --------
Net assets, end of period (000s) .............................. $1,211,329 $498,600
=============================================================== ========== ========
</TABLE>
(a) The Daily MSCI Europe Index Securities Lending Fund commenced operations on
December 18, 1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than 0.005%.
(d) Net investment income per unit has been calculated based upon an average of
units outstanding.
(e) Total return calculation (not annualized for the period ended December 31,
1998) 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 and assumes
reinvestment of distributions, if any. The calculation includes only those
expenses charged directly to the Lending Fund. The result may be reduced by
any administrative or other fees which are incurred in the management or
maintenance of individual participant accounts.
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-183
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998(a)
-------------- -----------
<S> <C> <C>
Net investment income (b)(d) ........................................ $ 0.22 $ 0.00
Net realized and unrealized gain (loss) ............................. 1.52 0.42
- ---------------------------------------------------------------------- ---------- --------
Net increase (decrease) ............................................. 1.74 0.42
NET ASSET VALUE
Beginning of period ................................................. 10.42 10.00
- ---------------------------------------------------------------------- ---------- --------
End of period ....................................................... $ 12.16 $ 10.42
====================================================================== ========== ========
Total return (%)(e) ................................................. 16.75 4.20
- ---------------------------------------------------------------------- ---------- --------
Ratio of expenses to average net assets (%)(c)(f) ................... 0.10 0.00
- ---------------------------------------------------------------------- ---------- --------
Ratio of net investment income to average net assets (%)(f) ......... 2.14 0.02
- ---------------------------------------------------------------------- ---------- --------
Portfolio turnover (%)(c) ........................................... 13.93 0.00
- ---------------------------------------------------------------------- ---------- --------
Net assets, end of period (000s) .................................... $1,724,013 $978,844
====================================================================== ========== ========
</TABLE>
(a) The Daily MSCI Europe Index Fund commenced operations on December 18, 1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than .005%.
(d) Net investment income per unit has been calculated based upon an average of
units outstanding.
(e) Total return calculation (not annualized for the period ended December 31,
1998) 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 Non-Lending Fund. The
result may be reduced by any administrative or other fees which are incurred
in the management or maintenance of individual participant accounts.
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-184
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
---------- ----------------
<S> <C> <C>
COMMON STOCK -- 91.3% (unless otherwise noted)
AUSTRIA -- 0.3%
Austria Mikros Systeme International AG ATS100 ............... 1,222 $ 38,899
Austria Tabak ATS100 ......................................... 10,245 495,374
Austrian Airlines ATS100 ..................................... 18,549 351,284
Bank Austria AG ATS100 ....................................... 53,491 3,017,512
Bau Holdings AG ATS100 Rfd 01Apr93 ........................... 1,333 50,355
Bohler Uddeholm ATS100 ....................................... 3,881 179,056
BWT AG ATS100 ................................................ 512 68,854
EA Generali AG ATS100 ........................................ 2,956 495,643
Flughafen Wien AG ATS100 ..................................... 7,854 273,034
Lenzing AG ATS100 ............................................ 1,227 66,745
Mayr Melnhof Karto ATS100 .................................... 3,888 180,163
Oesterreichische Brau Beteiligungs AG ATS100 ................. 4,266 171,894
Oesterreichische Elektrizitaetswirtschafts AG ATS100 ......... 11,726 1,647,799
OMV AG ATS100 ................................................ 10,634 1,033,723
Radex Heraklith Industrie beteiligungs AG ATS100 ............. 6,227 179,338
Virg Technologie AG ATS100 Bearer ............................ 5,410 356,960
Wienerberger Baust Npv ....................................... 45,709 994,110
-------------
(Cost $10,364,607)........................................... 9,600,743
-------------
BELGIUM -- 1.4%
Barco NVNPV .................................................. 5,424 759,477
Bekaert SA New NPV ........................................... 9,810 544,504
CMB NPV ...................................................... 3,940 188,128
Colruyt SA NPV ............................................... 17,280 992,199
D Leteren Trading NPV ........................................ 2,416 990,0522
Delhaize Le Lion SA NPV ...................................... 2,709 1,711,117
Dolmen Computer Ap NPV ....................................... 1,728 52,221
Electrabel SA NPV ............................................ 23,787 7,787,593
Electrabel SA NPV Vvpr Strip ................................. 585 77
Fortis AG Cert Value GTD 7/20/01 ............................. 5,180 17,898
Fortis B NPV ................................................. 312,803 11,286,953
Fortis B NPV Vvpr Strip ...................................... 46,620 470
Glaverbel SA NPV ............................................. 3,113 268,745
Groupe Bruxelles Lambert NPV ................................. 10,686 2,152,908
Heidelberger Zement NPV ...................................... 6,716 500,637
Heidelberger Zement Vvpr Strips .............................. 6,716 609
Kbc Bankverzekerin NPV Vvpr Strip ............................ 2,830 851
Kredietbank NV NPV ........................................... 29,790 6,994,799
Solvay SA NPV ................................................ 36,776 3,037,796
Suez Lyonn ais de Eaux Vvpr Strip ............................ 37,112 374
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-185
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ---------------------------------------------------------- ---------- -----------------
<S> <C> <C>
Total Eur10 Vvpr ......................................... 33,930 $ 342
UCB NPV .................................................. 63,741 2,764,218
Union Miniere SA NPV ..................................... 11,190 435,108
--------------
(Cost $45,461,149)....................................... 40,486,310
--------------
DENMARK -- 1.2%
Bang & Olufsen Holdings DKK10 Ser B ...................... 5,485 200,566
Carlsberg Brewery A/S A DKK20 ............................ 15,333 564,824
Carlsberg Brewery A/S B DKK20 ............................ 12,462 472,567
D/S AF 1912 B DKK1000 .................................... 470 5,537,762
D/S Svendborg B DKK1000 .................................. 324 5,397,184
Danisco A/S DKK20 ........................................ 25,370 989,533
Den Danske Bank A/S DKK100 ............................... 23,051 2,528,669
Falck DKK20 .............................................. 5,700 598,265
FLS Industries Ser B DKK20 ............................... 20,280 510,855
ISS International Service System A/S Ser B DKK20 ......... 16,142 1,086,503
Navision Software DKK1 ................................... 11,500 833,237
NKT Holding A/S DKK100 ................................... 3,241 181,278
Novo Nordisk A/S DKK10 Ser B ............................. 32,795 4,352,621
Ostasiatiske Kompagni DKK100 ............................. 9,282 96,794
Radiometer A/S B Shares DKK20 ............................ 4,456 167,164
SAS Danmark A/S DKK10 .................................... 20,489 213,663
Tele Danmark A/S DKK5 .................................... 96,940 7,207,630
Topdanmark A/S DKK10(Regd) ............................... 17,400 344,048
Unidanmark A/S A DKK100 Regd ............................. 31,303 2,204,481
Vesta Wind Systems DKK10 ................................. 4,700 833,847
William Demant ALS DKK5 .................................. 6,600 625,690
--------------
(Cost $30,499,959)....................................... 34,947,181
--------------
FINLAND -- 4.8%
Ameri Group A FIM20 ...................................... 9,825 199,429
Asko FIM10 ............................................... 16,700 296,080
Finnlines Eur2 ........................................... 8,700 271,682
Instrumentarium Corp. Ser B FIM10 ........................ 9,300 303,535
Kemira Oy Ord FIM10 ...................................... 55,700 339,462
Kesko Oy FIM10 ........................................... 41,100 521,666
Kone B Shares Eur 3 ...................................... 9,000 443,335
Merita Oyj NPv 1/1.02 .................................... 374,720 2,204,448
Metra Oy A FIM20 ......................................... 5,500 100,836
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-186
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------- ---------- -----------------
<S> <C> <C>
Metra Oy B FIM20 ...................................... 17,100 $ 318,675
Metso Oyj Fim50 ....................................... 58,725 763,120
Nokia AB Oy Eur0.24 ................................... 538,705 97,679,570
Outokumpu Oy A FIM10 .................................. 53,800 761,445
Oyj Hartwall Abp A FIM1 ............................... 25,300 366,998
Pohjola Ser B FIM5 .................................... 17,300 1,045,629
Raisio Yhtyma Oyj FIM1 Convertible .................... 75,700 299,688
Rautaruukki OY Ord .................................... 57,600 403,262
Sampo Ser A FIM5 ...................................... 26,900 940,290
Sanitec Oyj Abp NPV ................................... 2,102 27,527
Sonera Group PLC FIM 2.50 ............................. 320,400 21,963,465
Stockmann Oyj Abp A FIM10 ............................. 8,200 132,164
Stockmann Oyj Abp B Shs FIM10 ......................... 8,725 125,685
Tieto Corp. FIM5 ...................................... 33,400 2,086,020
UPM Kymmene Oy FIM10 .................................. 118,977 4,794,057
--------------
(Cost $60,574,513) 136,388,068
--------------
FRANCE -- 13.2%
Air Liquide FRF70 ..................................... 22,866 3,828,260
Accor Eur3 ............................................ 64,905 3,136,376
Air Liquide FRF70 Prime Fidel Regd .................... 2,427 406,332
Air Liquide L FRF70 Prime Fidel 2000 Reg .............. 5,154 862,890
Alcatel Alsthom CGE FRF40 ............................. 69,889 16,051,806
AXA FRF60 ............................................. 130,412 18,181,674
Banque Nationale de Paris FRF25 ....................... 163,877 15,121,459
Banque Nationale de Paris Cvg Wts 15 Jul 2002 ......... 33,904 156,422
BIC FRF25 ............................................. 21,118 961,124
Bouygues SA FRF50 ..................................... 9,690 6,159,328
Canal Plus Eur 0.75 ................................... 46,889 6,825,258
Cap Gemini Sogeti SA FRF40 ............................ 25,100 6,371,688
Carrefour Supermarche Eur 2.50 ........................ 124,944 23,045,386
Chargeurs International FRF100 ........................ 2,748 154,742
Club Mediterranee SA FRF25 ............................ 5,097 589,436
Coflexip FRF10 ........................................ 5,367 390,075
Compagnie de St. Gobain FRF100 ........................ 33,857 6,367,560
Compagnie Generale de Geophysique FRF10 ............... 801 39,537
Compagnie Par Reesco FRF50 ............................ 4,000 159,081
Dassault Systemes FRF5 ................................ 40,577 2,644,627
Dollfus-Mieg & Cie FRF75 .............................. 850 4,966
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-187
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------- ---------- -----------------
<S> <C> <C>
Eridania Beghin-Say FRF65 .............................. 9,364 $ 1,007,425
Essilor International Compagnie Generale FRF20 ......... 3,735 1,158,835
Etab Eco Casino Guich Perr & Co. FRF10 ................. 26,694 3,057,415
France Telecom FRF ..................................... 373,469 49,396,879
Group Le Finance de Consolidated FRF100 ................ 8,789 991,603
Groupe Danone FRF10 .................................... 29,386 6,926,862
GTM Entrepose FRF50 .................................... 5,399 524,833
Imetal SA FRF50 ........................................ 5,392 803,881
L'Oreal SA FRF10 ....................................... 24,174 19,396,105
Lafarge FRF25 Prime Fidel 2000 Reg ..................... 8,982 1,045,950
Lafarge Coppee FRF25 Br ................................ 33,217 3,868,107
Lagardere Groupe FRF40 Regd ............................ 45,727 2,487,406
Louis Vuitton Moet Hennessy FRF10 ...................... 37,135 16,635,306
Lyonnaise des Eaux-Dumer FRF60 ......................... 35,453 5,682,028
Michelin FRF12 Regd Class B ............................ 50,223 1,973,093
Nord Est FRF50 ......................................... 4,587 125,268
Pechiney SA A FRF100 Ord ............................... 30,449 2,176,234
Pernod Ricard SA FRF20 ................................. 20,230 1,157,509
Peugeot SA FRF35 ....................................... 19,071 4,330,197
Pinault Printemps Redo FRF20 ........................... 43,450 11,467,567
Publicis SA FRF25 ...................................... 752 284,073
Rhone Poulenc SA FRF25 Ord A Shares .................... 289,867 16,848,251
Sagem SA FRF20 ......................................... 3,836 2,666,293
Sanofi Synthelabo Eur2 ................................. 266,447 11,095,875
SEB SA FRF20 ........................................... 5,463 385,221
Sidel FRF15 ............................................ 12,648 1,305,948
Simco FRF100 Regd ...................................... 6,791 549,667
Societe Eurafrance FRF200 .............................. 1,418 854,196
Societe Generale Bank FRF30 ............................ 37,751 8,784,573
Sodexho SA FRF100 ...................................... 11,859 2,098,940
Spie Batignolles FRF50 ................................. 57,043 4,479,182
St Microelectronics Eur3.12 ............................ 105,226 16,196,704
Technip FRF20 .......................................... 5,567 570,886
Thomson CS FFRF20 ...................................... 59,183 1,954,873
TOTAL SA FRF50 B Shares ................................ 270,673 36,127,761
Unibail SA FRF100 Regd ................................. 4,490 566,732
Usinor Sacilor FRF20 ................................... 87,120 1,636,730
Valeo FRF20 ............................................ 30,767 2,374,073
Vivendi Wts 02 May01 FRF900 ............................ 6,876 23,342
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-188
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ -----------------
<S> <C> <C>
Vivendi Eur5.5 .................................... 231,443 $ 20,901,361
Zodiac FRF10 ...................................... 1,692 357,761
--------------
(Cost $280,311,936)............................... 375,732,972
--------------
GERMANY -- 13.3%
Adidas AG DEM5 .................................... 17,250 1,294,570
AGIV AG DEM5 ...................................... 14,200 256,763
Allianz AG DEM5 Regd .............................. 90,775 30,495,961
BASF AG DEM5 ...................................... 232,295 11,934,116
Bayer AG DEM5 ..................................... 270,650 12,814,041
Bayer Vereinsbank DEM5 ............................ 152,997 10,449,436
Beiersdorf AG Ser A B C DEM5 Var .................. 31,850 2,138,725
Bilfinger & Berger DEM5 ........................... 8,950 194,741
Brau & Brunnen AG DEM50 ........................... 1,071 50,707
Buderus AG NPV .................................... 21,300 360,470
Continental AG DEM5 ............................... 42,162 843,067
Daimlerchrysler AG Ord NPV Regd ................... 372,008 28,930,092
Deutsche Bank AG Ord NPV Regd ..................... 227,200 19,190,736
Deutsche Telekom DEM5 ............................. 1,134,348 80,787,832
Douglas Holding AG DEM5 ........................... 13,505 581,582
Dresdner Bank AG NPV Regd ......................... 196,000 10,661,788
Dyckerhoff AG Common Stock Split Shs .............. 4,710 142,101
Em TV Merchandisin Ord NPV ........................ 45,000 2,901,167
Escada AG DEM50 ................................... 200 26,191
FAG Kugelfischer DEM5 ............................. 15,750 141,205
Fresenius Medical DEM5 ............................ 29,400 2,514,405
Gehe AG DEM5 Var .................................. 27,100 1,051,018
Heidelberg Zement DEM5 ............................ 21,186 1,664,653
Hochtief AG DEM5 .................................. 26,900 1,002,615
Holsten Brau AG NPV ............................... 2,120 36,305
IWKA AG NPV ....................................... 5,200 109,479
Kamps AG Ord NPV .................................. 8,400 579,629
Karstadt AG NPV ................................... 31,830 1,276,145
Klockner Humboldt Deutz DEM5 ...................... 14,650 85,594
Linde AG NPV ...................................... 31,680 1,732,867
Lufthansa AG DEM5 Regd Vink ....................... 144,502 3,362,529
Mannesmann AG Ord NPV ............................. 42,030 1,579,250
Mannesmann AG Reg Shs ............................. 184,750 44,572,828
Merck KGAA DEM5 ................................... 62,675 1,944,578
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-189
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------- --------- -----------------
<S> <C> <C>
Metro AG DEM5 .......................................... 102,602 $ 5,519,215
Munich Reinsurance Wts 3 Jun 2002 To Purch Ord ......... 490 26,062
Munich Reinsurance DEM10 Vink DEM5 Pd Regd ............. 65,470 16,606,507
Preussag AG NPV ........................................ 62,359 3,473,798
Rheinmetall AG DEM5 .................................... 6,550 99,302
RWE AG DEM5 ............................................ 109,630 4,295,950
Salamander AG NPV ...................................... 4,000 48,353
SAP AG DEM5 ............................................ 23,450 11,551,328
Schering AG DEM5 ....................................... 25,400 3,070,402
SGL Carbon DEM5 ........................................ 7,000 465,396
Siemens AG NPV Regd .................................... 222,000 28,244,673
Thyssen Krupp AG NPV ................................... 187,050 5,699,849
VEBA AG DEM5 ........................................... 190,650 9,266,471
Viag AG NPV ............................................ 256,430 4,701,327
Volkswagen AG Ord NPV .................................. 115,910 6,532,828
WCM Beteil & Grundbe NPV Post Reconstruction ........... 59,200 2,295,951
--------------
(Cost $297,168,947).................................... 377,604,598
--------------
IRELAND -- 0.7%
Allied Irish Banks PLC Ord IEP0.25 ..................... 375,364 4,280,350
Crean (James) PLC Units ................................ 11,796 4,159
CRH PLC Ord IEP0.25 .................................... 167,341 3,607,417
DCC Ord IEP0.2. ........................................ 37,394 278,749
Eircom OrdEur 0.25 ..................................... 962,044 4,118,737
Fyffes PLC Ord IEP0.05 ................................. 127,594 257,064
Greencore Group Ord IEP0.50 ............................ 82,761 254,276
Independent Newspapers PLC Ord IEP0.25 ................. 113,589 744,899
Irish Continental Group PLC Ord IEP0.50 ................ 8,283 84,899
Irish Life and Permanent Ord IEP0.25 ................... 125,409 1,187,509
Jefferson Smurfit Group PLC Ord IEP0.25 ................ 460,585 1,391,911
Jurys Hotel Group Ord IEP0.25 .......................... 25,529 189,017
Kerry Group PLC Ord IEP0.10 ............................ 73,840 885,154
Oakhill Group Eur 0.10 ................................. 11,502 3,881
Ryanair Holdings Ord IEP0.04 ........................... 71,194 778,132
Tullow Oil Ord IEP0.10 ................................. 82,628 9,038
Waterford Wedgewood PLC Ord IEP0.05 .................... 313,668 319,133
--------------
(Cost $20,331,393)..................................... 18,494,325
--------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-190
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------------- ------------ -----------------
<S> <C> <C>
ITALY -- 5.7%
Alitalia Linee ITL1000 ...................................... 583,000 $ 1,388,929
Arnoldo Mondadori Editore SpA ITL1000 Ord ................... 49,000 1,554,844
Assicurazioni Generali ITL200 ............................... 471,157 15,567,531
Autogrill SpA ITL1000 ....................................... 98,000 1,234,003
Banca Populare di Milano ITL1000 ............................ 99,200 772,452
Banco Ambrosiano Veneto SpA Ord ITL1000 ..................... 1,629,708 6,615,994
Banco Ambrosiano Veneto SpA ITL1000Non Conv ................. 286,833 583,661
Banco Di Roma ITLl500 ....................................... 2,007,000 2,579,754
Benetton Group SpA ITL250 ................................... 687,240 1,578,423
Beni Stabili Spa ITL200 ..................................... 530,755 187,130
Bulgari SpA ITL125 .......................................... 109,000 979,426
Burgo Cartiere SpA ITL5000 .................................. 47,300 311,616
Cementir SpA ITL1000 ........................................ 115,720 147,928
Cogefar Impresit SpA ITL1000 ................................ 279,300 172,188
Credito Italiano SA ITL500 .................................. 1,836,724 9,029,089
Danieli & Cofficine Meccaniebe SpA ITL2000 Non Conv ......... 8,100 19,909
Danieli & Cofficine Meccaniebe SpA ITL 2000 ................. 14,100 79,540
Enel ITL1000 ................................................ 2,721,000 11,402,553
ENI SpA ITL1000 Regd ........................................ 3,023,625 16,630,327
Fiat SpA Eur 5 .............................................. 139,762 3,991,374
Fiat SpA Di RispEur 5 ....................................... 29,986 441,013
Italcementi SpA ITL2000 ..................................... 53,910 651,675
Italcementi SpA ITL2000 Non Conv ............................ 70,300 306,636
Italgas ITL1000 ............................................. 264,660 1,002,435
La Rinascente SpA ITL1000 ................................... 94,372 605,568
La Rinascente SpA ITL1000 Non Conv .......................... 17,600 61,698
Magneti Marelli SPA Eur 1 ................................... 115,700 441,726
Marzotto & Figli SpA ITL1000 ................................ 21,900 156,633
Mediaset ITL1000 ............................................ 446,400 6,943,073
Mediobanca SpA ITL1000 ...................................... 215,039 2,194,355
Montedison SpA Eur 1 ........................................ 982,337 1,608,030
Montedison SpA Di Risp Eur 1 Non Cnv ........................ 141,940 135,834
Olivetti & C SpA ITL1000 Non Conv ........................... 1,000 2,428
Olivetti SpA ITL1000 ........................................ 1,642,243 4,756,149
Parmalat Finanziaria SpA ITL1000 ............................ 564,500 722,184
Pirelli SpA ITL1000 ......................................... 565,083 1,551,168
Pirelli SpA ITL1000 Non Conv ................................ 222,200 402,900
RAS SpA ITL1000 ............................................. 232,089 2,328,596
Reno de Medici ITL1000 Ser A ................................ 20,730 47,403
Reno De Medici SpA ITL1000 .................................. 52,100 141,704
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-191
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ --------------
<S> <C> <C>
S.A.I. ITL1000 Non Conv ........................... 27,100 $ 134,858
S.A.I. ITL1000 .................................... 46,500 520,412
Sao Paolo Imi SpA ITL6000 ......................... 530,755 7,21,507
Sirti SpA ITL1000 ................................. 82,732 295,857
Snia BPD SpA ITL1000 Non Conv ..................... 176,200 139,334
Snia BPD SpA ITL1000 .............................. 177,500 190,963
Telecom Italia Mobilia ITL50 Di Risp .............. 861,589 4,105,268
Telecom Italia Mobilia ITL50 ...................... 2,343,865 26,184,505
Telecom Italia SpA Di RispITL1000 ................. 702,029 4,278,491
Telecom Italia SpA ITL1000 ........................ 1,187,535 16,747,681
Unione Immobiliare ITL125 ......................... 1,756,500 813,928
------------
(Cost $144,183,846) 159,951,683
------------
NETHERLANDS -- 8.2%
ABN Amro Holdings NV NLG1.25 ...................... 638,582 15,953,228
Aegon NV NLG0.50 .................................. 291,811 28,190,352
Ahold (Kon.) NV NLG0.50 ........................... 280,582 8,306,912
Akzo Nobel NV NLG ................................. 127,135 56,377,856
ASM Lithography Holdings NLG0.13 .................. 60,937 6,770,751
Baan Co. NV NLG0.06 ............................... 93,345 1,319,256
Buhrmann NV NLG2.50 ............................... 34,903 525,635
Elsevier NV NLG0. ................................. 301,264 103,599,251
Getronics NV NLG 0. ............................... 50,831 254,055,403
Hagemeyer NL G2.50 ................................ 45,452 1,052,621
Heineken NV NLG5 .................................. 137,430 6,703,268
Hollandsche Beton NLG2 ............................ 13,784 131,910
IHC Caland NV NLG2 ................................ 12,478 455,652
ING Groep NVCVA NLG1 .............................. 416,258 25,133,881
KLM Eur2 .......................................... 25,039 643,187
KPN NV NLG10 ...................................... 208,844 20,385,718
Nedlloyd Groep NV NLG10 ........................... 11,296 316,337
OCE NV NLG1 ....................................... 37,867 640,078
Philips Electric Kon Eur1 ......................... 148,603 20,208,849
Royal Dutch Petroleum NLG1.25 ..................... 939,751 57,604,128
Stork NV NLG10 .................................... 13,969 204,039
TNT Post Group NV NLG1 ............................ 209,019 5,990,296
Unilever NV Cva Nlg1.12 ........................... 250,497 13,838,219
Vedior NLG1 W.I.05Jun97 ........................... 43,422 446,160
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-192
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ----------------------------------------------------------------- ---------- -----------------
<S> <C> <C>
Vopak Kon Eur 1 ................................................. 24,411 $ 580,334
Wolters Kluwer Cva Eur 0.12 ..................................... 121,721 4,119,884
--------------
(Cost 209,662,552) ............................................. 233,553,205
--------------
NORWAY -- 0.6%
Ask ASA NOK2 .................................................... 17,800 124,483
Bergesen DY A/S NOK2.5 A ........................................ 22,800 415,710
Bergesen DY ASANOK2.5 B (Non Vtg) ............................... 9,800 167,668
Christiania Bank NOK7 ........................................... 239,700 1,182,410
DNB Holdings ASA New Shs ........................................ 275,500 1,131,933
Dyno Industrier ASA NOK20 ....................................... 10,700 267,250
Elkem ASA NOK20 A ............................................... 20,700 478,239
Hafslund ASA NOK1 Ser A ......................................... 29,347 177,383
Hafslund ASA NOK1 Ser B ......................................... 20,267 78,208
Kvaerner A/S NOK12.50 ........................................... 20,280 428,014
Kvaerner ASA NOK12.5 B .......................................... 5,700 100,368
Leif Hoegh & Co., ASA NOK2 ...................................... 13,100 155,417
Merkantildata ASA NOK1 .......................................... 45,400 549,959
Norsk Hydro ASA NOK20 ........................................... 123,566 5,184,911
Norske Skogsindustrier ASA NOK20 A .............................. 12,400 647,293
Norske Skogsindustrier ASA NOK20 B .............................. 4,000 168,342
Orkla ASA A NOK6.25 ............................................. 96,999 1,671,666
Petroleum Geo Svs NOK5 Post Re Org .............................. 38,600 689,329
SAS Norge ASA NOK10 Ser B ....................................... 19,650 213,494
Schibsted A/S NOK1 .............................................. 29,800 554,505
Smedvig Ser B NOK3 .............................................. 6,000 63,690
Smedvig A/S NOK3 ................................................ 11,800 147,362
Tomra Systems ASA NOK2 .......................................... 35,400 601,236
Unified Storebrand ASA A NOK20 .................................. 119,200 908,049
Unitor Ships Service NOK12.5 .................................... 8,400 62,941
Vard A/S NOK2 A ................................................. 102,527 443,014
--------------
(Cost $13,183,522).............................................. 16,612,874
--------------
PORTUGAL -- 0.7%
Banco Espirito Santo e Comercial de Lisboa PTE1000 Regd ......... 49,147 1,381,279
Bco Com Portugues Eur1 Regd ..................................... 422,480 2,344,974
Bpi Sgps Eur1 Regd .............................................. 241,435 1,028,776
Cia Celulose Caima PTE1200 ...................................... 400 5,214
Cimpor Ciment Port PTE1000 ...................................... 72,440 1,204,045
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-193
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------------------ ------------ -----------------
<S> <C> <C>
Cin Corp. Indiana Norte PTE1000 .................................. 800 $ 19,631
Colep (Cia Port Emb) PTE1000 ..................................... 2,500 20,223
Cort Amorim SA PTE1000 ........................................... 8,100 79,637
EFACEC Empresea Fabrilde Maquinas Electricas SA PTE 1000 ......... 2,969 17,167
Elec De Portugal PTE1000 ......................................... 257,650 4,497,89
Engil Sgps PTE1000 ............................................... 13,573 33,905
Inapa Investor Participating Ges Ordinary PTE 1000 ............... 11,966 97,999
Jeronimo Martins PTE1000 ......................................... 5,766 1,171,000
Portucel Industria PTE1000 ....................................... 34,900 240,119
Portugal Telecom Eur1 Regd ....................................... 447,550 4,909,640
Seguros Tranquilid PTE1000 Regd .................................. 5,700 174,553
Soares da Costa PTE1000 .......................................... 4,840 14,822
Societe Empre Somague PTE1000 .................................... 4,072 15,259
Sonae Investimento Ord PTE1000 ................................... 13,000 686,207
Unicer (Uniao Cervejeira SA) PTE1000 Regd ........................ 9,000 178,422
--------------
(Cost $18,435,838)............................................... 18,120,763
--------------
SPAIN -- 3.3%
Acerinox SA ESP160 Regd .......................................... 20,999 839,576
ACS Actividades Co. ESP250 ....................................... 19,373 459,587
Aguas De Barcelona Eur1 .......................................... 48,863 715,690
Aguas De Barcelona Eur1 Rfd 1/1/2000 ............................. 488 6,798
Aguila SA ESP500 ................................................. 8,547 69,740
Altadis Da Ser A Esp100 Regd ..................................... 59,774 850,212
Argentaria Corp Bancania di Bispaz ESP125 Regd ................... 168,434 3,958,446
Asturiana de Zinc ESP525 ......................................... 10,379 133,828
Autopistas Concesionaria Espanola SA ESP500 ...................... 94,848 922,010
Azucarera Ebro AG RESP100 ........................................ 23,266 339,368
Bco Bilbao Vizcaya ESP90 ......................................... 714,307 10,174,534
Bco Sant Cent Hisp Eur.50 Regd ................................... 1,259,835 14,264,620
Corp Mapfre SA ESP250 ............................................ 17,389 287,976
Corporacion Financiera Alba Eur1 ................................. 28,202 964,779
Cortefiel SA ESP50 ............................................... 13,755 360,258
Empresa Nacional de Celulosas ESP1000 ............................ 5,097 101,919
Endesa SA ESP200 ................................................. 363,666 7,220,538
Ercros SA ESP500 ................................................. 53,530 25,344
Faes Esp Prod Quim ESP50 Regd .................................... 7,798 75,804
Fom Const Y Contra Eur1 .......................................... 43,280 880,681
Gas Natural SDG Eur1 ............................................. 153,805 3,543,373
Grupo Dragados SA Eur1 ........................................... 61,066 539,485
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-194
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ -----------------
<S> <C> <C>
Iberdrola SA ESP500 ............................... 309,669 $ 4,292,363
Inmobiliaria Urbis Eur1.4 Ser 1 2 3 ............... 21,272 96,428
Metrovacesa ESP250 ................................ 14,719 255,027
Portland Valderrivas ESP160 ....................... 5,551 144,828
Prosegur Seguridad ESP100 Regd .................... 15,365 137,599
Puleva SA Eur0.18 ................................. 72,790 109,254
Repsol SA Eur1 Regd ............................... 408,061 9,462,603
Sol Melia SA Eur0.2 ............................... 60,190 682,721
Tabacalera SA ESP100 Ser A Regd ................... 65,414 935,706
Telefonica CA Eur 1 ............................... 1,120,734 27,998,480
Telepizza ESP5 .................................... 78,023 330,105
Union Electrica Fenosa SA ESP500 .................. 107,627 1,879,968
Uralita SA ESP500 ................................. 13,513 96,375
Vallehermoso SA ESP165 ............................ 45,282 319,304
Viscofan Envoltura Eur0.30 ........................ 12,548 99,858
Zardoya Otis ESP70 ................................ 48,210 474,473
--------------
(Cost $84,311,093)................................ 94,049,658
--------------
SWEDEN -- 3.8%
Assidoman SEK20 ................................... 46,700 760,935
Alas Copco AB ASEK5 ............................... 52,685 1,558,856
Atlas Copco AB BSEK5 .............................. 24,800 706,071
Boliden Limited Sdr Rep 1 Com NPV ................. 11,763 36,119
Diligentia SEK10 .................................. 22,300 183,647
Drott AB Ser B SEK2 ............................... 40,500 462,176
Electrolux AB Servb SEK ........................... 138,600 53,489,459
Ericsson LM Telephone B SEK2.5 .................... 769,820 49,540,181
Esselte AB ASEK12.5 ............................... 7,700 57,977
Esselte AB BSEK12.5 ............................... 6,000 45,529
Gambro Ser A Sek2 ................................. 98,900 890,100
Gambro Ser B SEK2 ................................. 37,100 336,082
Granges AB SEK25 .................................. 12,000 250,588
Hennes & Mauritz SEK0.25 Ser B .................... 333,400 11,178,706
Mandamus Fastighet SEK20 .......................... 2,480 15,464
Netcom Systems AB SEK5 Ser B ...................... 39,200 2,757,835
OM Gruppen AB SEK2 ................................ 30,700 668,176
Sandvik AB ASEK5 .................................. 72,600 2,276,223
Sandvik AB BSEK5 .................................. 27,000 860,824
Securitas Ser B SEK1 .............................. 129,200 2,340,800
Skandia Forsakring SEK1 ........................... 202,000 6,107,529
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-195
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------- ---------- -----------------
<S> <C> <C>
Skandin Enskelda Banken Pv SEK 10 Iss 99 A Shs ......... 47,100 $ 471,000
Skandinaviska Enskilda Banke ASEK10 .................... 235,500 2,382,706
Skanska AB BSEK10 ...................................... 43,600 1,626,024
SKF International AB BSEK12.5 .......................... 22,100 538,200
SKF International AB ASEK12.5 .......................... 17,100 394,306
Sparbanken Sverige AB SEK20 Ser A ...................... 224,750 3,305,147
Ssab Svenskt Stal Ser B SEK25 .......................... 11,000 161,765
Ssab Svenskt Stal SEK25 Ser A .......................... 30,200 468,988
Stora Enso Oyj Ser R FIM10 ............................. 66,038 1,134,300
Svenska Cellulosa B SEK10 .............................. 90,381 2,679,531
Svenska Handelsbanken Series A Pv SEK4 ................. 263,700 3,319,518
Svenska HandelsbknSer B Sek 4 Ser B SEK 4 .............. 19,600 231,741
Swedish Match Co. SEK2 ................................. 181,400 633,833
Trelleborg AB BSEK25 ................................... 41,900 377,100
Volvo AB ASEK5 ......................................... 52,200 1,320,353
Volvo AB BSEK5 ......................................... 115,500 2,989,412
WM-Data AB Ser B SEK5 .................................. 28,100 1,738,894
--------------
(Cost $63,034,744)..................................... 108,296,095
--------------
SWITZERLAND -- 8.9%
ABB AG CHF10 ........................................... 136,926 16,748,109
Adecco SA CHF10 Regd ................................... 7,580 5,903,279
Alusuisse Lonza Holdings AG CHF125 Regd ................ 2,697 1,988,618
CS Holding AG CHF20 Regd ............................... 124,180 24,684,694
Forbo Holding CHF50 Regd ............................... 647 304,767
Georg Fischer AG CHF100 Regd ........................... 1,320 455,973
Grands Magasins Jelmoli CHF50 Br ....................... 200 238,663
Grands Magasins Jelmoli CHF10 Regd ..................... 380 88,306
Holderbank Financiere Glaris Ltd. CHF10 Regd ........... 4,535 1,609,267
Holderbank Financiere Glaris Ltd. CHF50 Br ............. 2,349 3,216,192
Kuoni Reisen Holding CHF50 Regd Ser B .................. 125 518,936
Merkur Holding AG CHF25 Regd ........................... 1,310 350,496
Movenpick Holdings CHF50 Br ............................ 360 178,621
Nestle SA CHF10 Regd ................................... 17,407 31,890,604
Novartis AG CHF20 Regd ................................. 30,381 44,611,718
Roche Holding Ltd. CHF100 Br ........................... 730 11,920,613
Roche Holding Ltd.NPV .................................. 3,117 36,999,937
Sairgroup CHF69 Regd ................................... 4,695 945,074
Schindler Holding AG CHF100 Regd ....................... 105 168,164
Schindler Holding AG PTg Certs CHF100 .................. 510 816,794
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-196
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ----------------------------------------------------------------------------- ------------ -----------------
<S> <C> <C>
SGS Holding CHF100 Br ....................................................... 453 $ 577,559
SGS Holding CHF20 Regd ...................................................... 670 206,614
Sika Finanz AG CHF60 Br ..................................................... 765 249,843
SMH Swiss Corp. for Microelectronics & Watchmaking Industries Ltd CHF10 Regd 6,640 1,547,192
SMH Swiss Corp. for Microelectronics & Watchmaking Industries Ltd. CHF50 Br . 1,568 1,806,125
Sulzer Brothers Ltd. CHF100 Regd ............................................ 1,621 1,053,721
Swiss Reinsurance Co. CHF20 Regd ............................................ 6,528 13,411,059
Swisscom AG CHF25Regd ....................................................... 32,805 13,268,697
UBS AG CHF20 Regd ........................................................... 91,999 24,845,855
Zurich Allied AG CHF10 Regd ................................................. 22,185 12,651,664
--------------
(Cost $260,270,034)......................................................... 253,257,154
--------------
UNITED KINGDOM -- 25.2%
3I Group Ord GBP0.50 ........................................................ 218,905 3,905,799
Abbey National PLC Ord GBP0.10 .............................................. 516,943 8,284,477
Airtours PLC Ord GBP0.10 .................................................... 174,514 1,062,340
Allied Zurich Ord GBP0.25 ................................................... 591,656 6,974,034
AMEC PLC Ord GBP0.50 ........................................................ 50,958 201,591
Anglian Water Ord GBP0.4714288 .............................................. 100,572 99,661
Arjo Wiggins Appleton PLC Ord GBP0.25 ....................................... 292,595 987,427
ARM Holdings Ord GBP0.0025 .................................................. 69,705 4,710,330
BAA PLC Ord GBP.1 ........................................................... 400,742 2,795,378
Barclays PLC Ord GBP.1 ...................................................... 560,161 16,090,914
Barratt Developments PLC Ord GBP0.10 ........................................ 62,178 289,149
Bass PLC Ord .28P ........................................................... 299,560 3,768,020
BBA Group PLC Ord GBP0.25 ................................................... 139,373 1,154,484
Berkeley Group PLC Ord GBP0.25 .............................................. 33,235 383,702
BG Group Ord GBP0.10 ........................................................ 1,291,107 8,333,791
BICC PLC Ord GBP0.50 ........................................................ 100,165 147,180
Blue Circle Industries PLC Ord GBP0.50 ...................................... 255,017 1,490,629
BOC Group PLC Ord GBP0.25 ................................................... 184,026 3,966,910
Boots Co., PLC Ord GBP0.25 .................................................. 344,418 3,370,159
BP Amoco Ordinary USD0.25 ................................................... 7,168,146 72,330,784
British Aerospace Ord GBP0.025 .............................................. 1,089,499 7,160,002
British Airways PLC Ord GBP0.25 ............................................. 354,859 2,314,883
British American Tobacco PLC Ord GBP0.25 .................................... 818,513 4,625,786
British Land Co., PLC Ord GBP0.25 ........................................... 170,581 1,134,801
British Sky Broadcast Ord.GBP0.50 ........................................... 647,367 10,453,036
British Telecommunications PLC Ord GBP0.25 .................................. 2,378,341 57,604,616
Bunzl PLC Ord GBP0.25 ....................................................... 162,665 893,028
Burmah Castrol Ord GBP0.42 .................................................. 63,404 1,120,020
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-197
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------------------------- ------------ -----------------
<S> <C> <C>
Cadbury Schweppes PLC Ord GBP0.125 ....................................... 770,737 $ 4,642,019
Canary Wharf Group Ord GBP0.01 ........................................... 251,488 1,563,399
Capita Group PLC Ord GBP0.02 ............................................. 75,544 1,372,285
Caradon Ord GBP0.27777 ................................................... 129,360 323,760
Carillion Ordinary Ord 50P ............................................... 51,309 93,412
Carlton Communications PLC Ord GBP0.05 ................................... 199,938 1,946,725
Celltech Group PLC Ord GBP0.50 ........................................... 53,487 456,873
Centrica GBP0.055555 ..................................................... 1,503,293 4,363,193
Coats Viyella PLC Ord GBP0.20 ............................................ 168,157 111,324
Commercial Union PLC Ord GBP0.25 ......................................... 499,804 8,062,266
Compass Group Ord GBP0.025 ............................................... 224,621 3,082,912
Corus Group Ord GBP0.50 .................................................. 1,132,706 2,944,659
De La Rue Co., PLC Ord GBP0.25 ........................................... 60,069 336,567
Diageo Ord GBX 28.935.85 ................................................. 1,290,064 10,290,349
Dixons Group PLC Ord GBP0.10 ............................................. 159,651 3,841,049
Eidos PLC Ord GBP0.10 .................................................... 7,353 645,292
Electrocomponents PLC Ord GBP0.10 ........................................ 136,513 1,509,929
EMI Group PLC Ord GBP0.14 ................................................ 264,624 2,606,459
FKI PLC Ord GBP0.10 ...................................................... 256,316 1,003,643
GKN Ord GBP0.50 .......................................................... 247,099 4,045,767
Glaxo Holdings PLC Ord GBP0.25 ........................................... 1,328,887 37,636,528
Granada Group PLC Ord GBP0.125 ........................................... 673,202 6,793,871
Great Portland Estates PLC Ord GBP0.50 ................................... 135,434 419,876
Great Universal Stores PLC Ord Stock GBP0.25 ............................. 378,502 2,200,202
Halifax Group PLC Ord GBP0.20 ............................................ 825,691 9,012,726
Hammerson Property & Investment Development Corp., PLC Ord GBP0.25 ....... 106,379 736,035
Hanson PLC Ord GBP02 ..................................................... 211,883 1,775,642
Hays PLC Ord GBP0.01 ..................................................... 316,735 5,052,949
Hepworth PLC Ord GBP0.25 ................................................. 60,400 184,328
HSBC Holdings PLC Ord USD0.50 ............................................ 3,097,592 42,914,436
IMI PLC Ord GBP0.25 ...................................................... 128,597 550,261
Imperial Chemical Industries PLC Ord GBP1.0 .............................. 273,794 2,891,303
Invesco PLC Ord GBP0.25 .................................................. 246,328 2,863,770
Jarvis Ord 0.05 .......................................................... 33,417 123,025
J. Sainsbury PLC Ord GBP0.25 ............................................. 721,884 4,076,778
Johnson Matthey PLC Ord GBP01.00 ......................................... 77,831 765,353
Kingfisher Ord GBP0.125 .................................................. 526,510 5,840,570
Ladbroke Group PLC Ord GBP0.10 ........................................... 487,513 1,582,247
Land Securities PLC Ord GBP0.1 ........................................... 184,240 2,063,853
Lasmo PLC Ord GBP0.25 .................................................... 505,024 978,555
Legal & General Group PLC Ordinary GBP0.025 .............................. 1,926,153 5,256,170
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-198
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ------------------------------------------------------ ------------ -----------------
<S> <C> <C>
Lex Service PLC Ord GBP0.25 .......................... 56,023 $ 336,513
Logica PLC Ord GBP0.10 ............................... 149,475 3,861,717
London Bdge Software Ord GBP0.05 ..................... 11,544 813,640
Marconi Ordinary GBP0.05 ............................. 986,930 17,402,069
Marks & Spencer PLC Ord GBP0.25 ...................... 1,080,305 5,163,331
MEPC PLC Ord GBP30.263157 ............................ 154,797 1,162,271
Meyer International PLC Ord GBP0.25 .................. 39,305 243,709
Misys Ord GBP0.01 .................................... 184,763 2,867,0175
National Grid Co. Ord 11 13/17P ...................... 56,231 4,230,269
National Power PLC Ord GBP0.50 ....................... 466,351 2,688,271
North West Water PLC Ord GBP0.1 ...................... 220,083 2,267,248
Nycomed Amersham Ord GBP0.05 ......................... 232,128 1,461,787
Ocean Group Ord 28 1/2 .............................. 47,231 880,848
P&O Holdings PLC Ord GBP0.1.00 ....................... 241,895 4,011,338
Pearson PLC Ord GBP0.25 .............................. 245,495 7,987,477
Pilkington PLC Ord GBP0.50 ........................... 338,690 461,022
Provident Financial Ord GBX10.363636 ................. 86,577 961,796
Prudential Corp., PLC Ord GBP0.05 .................... 733,759 14,312,394
Psion Ord GBP0.05 .................................... 27,647 1,160,682
Racal Electronics PLC Ord GBP0.25 .................... 98,347 885,315
Railtrack Group Ord GBP0.25 .......................... 191,000 3,207,441
Rank Group Ord GBP0.10 ............................... 282,422 912,054
Reed International Ord GBP0.125 ...................... 429,168 3,222,346
Rentokil Initial PLC Ord GBP0.01 ..................... 1,078,193 3,917,157
Reuters Group PLC Ord GBP0.25 ........................ 557,677 7,744,138
Rexam Ord ............................................ 255,590 1,040,007
Rio Tinto Ord GBP0.10 Regd ........................... 386,124 9,264,831
RMC Group PLC Ord GBP0.25 ............................ 92,584 1,270,711
Royal Bank of Scotland Group PLC Ord GBP0.25 ......... 325,220 5,755,456
Rugby Group PLC Ord GBP0.25 .......................... 122,609 269,248
Sage Group Ord GBP0.01 ............................... 455,530 5,575,427
Schroders PLC Ord GBP0.1 ............................. 94,585 1,902,971
Scottish Power Ord GBP0.50 ........................... 451,100 3,423,439
Sema Group PLC Ord GBP0.10 ........................... 169,389 3,035,988
Seton Healthcare Ord GBP0.10 ......................... 68,013 861,268
Siebe PLC Ord GBP0.25 ................................ 1,427,801 7,546,036
Slough Estates PLC Ord GBP0.25 ....................... 132,949 756,722
Smith & Nephew PLC Ord GBP0.10 ....................... 409,651 1,375,844
Smithkline Beecham Ord GBP0.0625 ..................... 2,054,200 26,037,800
Smiths Industries PLC Ord GBP0.25 .................... 101,402 1,514,538
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-199
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ -----------------
<S> <C> <C>
Stagecoach Holdings Ord GBP0.005 .................. 474,138 $ 1,217,289
Tarmac Group Ord GBP0.90 .......................... 52,781 468,740
Tate & Lyle PLC Ord.GBP0.25 ....................... 153,790 984,608
Taylor Woodrow PLC Ord GBP0.25 .................... 232,655 507,152
TBS Group Ord GBP0.25 ............................. 1,999,859 24,832,339
Tesco PLC Ord GBP0.05 ............................. 2,444,710 7,421,251
Thames Water Ord GBP0.23 .......................... 146,114 1,806,047
TI Group PLC Ord GBP0.25 .......................... 173,089 1,254,896
Unigate PLC Ord GBP0.25 ........................... 83,986 409,549
Unilever Ord GBP0.014 ............................. 1,139,278 8,370,146
UTD Biscuits Holdings Ord GBP0.29 ................. 169,691 726,100
Vickers Group Ord 0.25 ............................ 100,717 406,569
Vodafone Airtouch Ord GBP0.05 ..................... 11,145,271 55,534,695
Williams Ord GBP0.28 .............................. 264,585 1,204,776
Wimpey (George) PLC Ord GBP0.25 ................... 379,415 680,032
Wolseley PLC Ord.GBP0.25 .......................... 185,549 1,423,129
WPP Group PLC Ord GBP0.10 ......................... 281,788 4,413,531
Zeneca Group Ord GBP0.25 .......................... 655,196 27,210,348
--------------
(Cost $644,687,239) .............................. 714,076,624
--------------
TOTAL COMMON STOCK
(Cost $2,182,481,372)............................. 2,591,172,253
--------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.6% (unless otherwise noted)
<S> <C> <C>
AUSTRIA -- 0.0%
Bau Holdings AG Pfd ATS100
(Cost $28,161) .................................... 912 32,981
--------------
FRANCE -- 0.0%
Etab Eco Casino Guich Perr & Co. FRF10 Pfd ......... 6,234
(Cost $382,424).................................... 480,720
--------------
GERMANY -- 0.6%
Dyckerhoff AG Non Vtg Prf NPV ...................... 5,700 174,553
Escada AG Pfd DEM50 ................................ 387 43,429
Mannesmann AG Non Vtg Prf NPV ...................... 14,725 326,331
Metro AG Non Vtg Pfd DEM5 .......................... 6,460 195,224
Rheinmetall AG Non Vtg Pref DEM5 ................... 5,636 59,613
RWE AG Non Vtg Pfd DEM5 ............................ 136,900 4,219,929
SAP AG Pfd DEM5 .................................... 16,200 9,758,800
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-200
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) (UNLESS OTHER WISE NOTED) SHARES VALUE
- ----------------------------------------------------------------------- -------------- -----------------
<S> <C> <C>
Volkswagen AG Non Vtg Prf NPV ......................................... 36,746 $ 1,177,111
--------------
(Cost $13,704,861).................................................... 15,954,990
--------------
ITALY -- 0.0%
Fiat SpA Priv Eur 5 ................................................... 38,142 551,360
--------------
La Rinascente SpAPriv ITL1000 ......................................... 14,100 61,076
(Cost $710,210)....................................................... 612,436
PORTUGAL -- 0.0%
Brisa Auto Estrada Eur1 Priv .......................................... 117,500
(Cost $1,249,437)..................................................... 901,930
--------------
TOTAL PREFERRED STOCK
(Cost $16,075,093).................................................... 17,983,057
--------------
DEBT INSTRUMENTS -- 0.0% (unless otherwise noted) PRINCIPAL
-----------
UNITED KINGDOM -- 0.0%
BG Transco Holdings 7.05% 14-Jun-00 ................................... GBP 185,000 300,691
BG Transco Holdings 7.00% 16-Dec-24 ................................... GBP 185,000 290,565
BG Transco Holdings 4.18% 14-Jun-00 ................................... GBP 185,000 299,765
British Aerospace 7.45% 29-Nov-03 ..................................... GBP 133,658 213,659
--------------
TOTAL DEBT INSTRUMENTS
(Cost $1,040,152) .................................................... 1,104,680
--------------
STATE STREET BANK AND TRUST COMPANY COLLECTIVE INVESTMENT FUNDS -- 8.1%
UNITS
-----------
SHORT TERM INVESTMENT FUND (a)
(Cost $229,295,797)................................................... 229,295,797 229,295,797
- ------------------------------------------------------------------------ ----------- --------------
TOTAL INVESTMENTS -- 100%
(COST $2,428,892,414) ................................................ $2,839,555,787
======================================================================== ==============
</TABLE>
(a) Collective investment fund advised by State Street Global Advisors.
The accompanying notes are an integral part of these financial statements.
SAI-201
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
At December 31, 1999, cash and foreign currency balances totalling $21,073,733
were pledged to cover margin requirements for open futures contracts. The
following long futures contracts were open at December 31, 1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS COST DATE GAIN/(LOSS)
- ----------------- ----------- --------------- -------------- --------------
<S> <C> <C> <C> <C>
FTSE 100 INDEX 1,191 $129,252,944 March 2000 $ 4,673,032
MIB 30 INDEX 117 23,086,828 March 2000 2,352,220
CAC 40 INDEX 1,137 63,693,225 March 2000 4,977,988
OMX STOCK INDEX 725 8,548,017 January 2000 1,520,594
DAX INDEX 436 69,060,820 March 2000 7,741,994
IBEX INDEX 210 24,194,499 January 2000 518,371
-----------
$21,784,199
===========
</TABLE>
The following forward foreign currency contracts were open at December 31,
1999:
<TABLE>
<CAPTION>
SETTLEMENT CONTRACTS IN EXCHANGE UNREALIZED
DATE TO DELIVER FOR GAIN (LOSS)
- ------------ --------------------- --------------------- --------------
<S> <C> <C> <C> <C> <C>
03/07/00 USD 151,884,600 EUR 150,500,000 $ 495,619
03/07/00 USD 4,033,600 EUR 4,000,000 16,373
03/07/00 USD 3,060,990 EUR 3,000,000 (23,511)
03/07/00 USD 9,144,270 EUR 9,000,000 (31,831)
03/07/00 EUR 30,000,000 USD 30,416,700 41,905
03/07/00 EUR 5,000,000 USD 5,085,000 22,534
03/07/00 USD 111,460,755 GBP 69,700,000 1,088,757
03/07/00 USD 2,725,185 GBP 1,700,000 19,925
03/07/00 USD 3,228,000 USD 2,000,000 1,541
03/07/00 GBP 9,000,000 USD 14,611,590 78,654
03/07/00 GBP 1,000,000 USD 1,614,500 (270)
03/07/00 USD 5,325,686 SEK 45,500,000 52,268
----------
$1,761,964
==========
</TABLE>
CURRENCY LEGEND
EUR: Euro
GBP: British Pound Sterling
SEK: Swedish Krona
The accompanying notes are an integral part of these financial statements.
SAI-202
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the Daily MSCI Europe Index Securities Lending Fund
(the "Lending Fund") have authorized the Lending Fund to participate in the
Global 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 Daily MSCI Europe Index 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 the Lending Fund and the
Non-Lending Fund. The Lending Fund and the Non-Lending Fund each maintain a
divided pro-rata interest in the combined assets and liabilities (including
each investment security position but excluding assets and liabilities related
to securities lending activities) 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 Global 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 market
value of the loaned securities. At December 31, 1999, the market value of
securities loaned by the Lending Fund was $71,318,501 against which was held
cash collateral of $70,516,865, securities of $3,483,923, and letters of credit
of $1,273,337. Cash collateral provided by the Borrowers is 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 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. Income earned from lending activities is distributed to Lending Fund
participants monthly.
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.
2. 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, 1999 were $1,136,342,797 and $280,150,512, respectively, resulting
in a net realized gain (loss) of $(406,130). Net realized gain (loss) from
foreign currency transactions amounted to $(25,763,094) for the year ended
December 31, 1999.
SAI-203
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
3. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
-----------------------------------------------------------------
1999 1998
---------------------------------- ------------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ----------------- -------------- ---------------
<S> <C> <C> <C> <C>
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
Units issued ................................................ 80,511,025 $ 836,692,247 47,881,653 $478,916,496
Units redeemed .............................................. (28,803,645) (305,618,941) (11,149) (116,048)
----------- -------------- ---------- ------------
Total ...................................................... 51,707,380 $ 531,073,306 47,870,504 $478,800,448
=========== ============== ========== ============
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
----------------------------------
1999
----------------------------------
UNITS AMOUNT
---------------- -----------------
<S> <C> <C>
DAILY MSCI EUROPE INDEX FUND
Units issued ............................................... 75,865,314 $ 775,785,568
Units redeemed ............................................. (28,120,593) (293,060,193)
----------- --------------
Total ..................................................... 47,744,721 $ 482,725,375
----------- --------------
Net increase (decrease) .................................... 99,452,101 $1,013,798,681
=========== ==============
<CAPTION>
PERIOD ENDED DECEMBER 31,
----------------------------------
1998
----------------------------------
UNITS AMOUNT
--------------- ------------------
<S> <C> <C>
DAILY MSCI EUROPE INDEX FUND
Units issued ............................................... 94,037,351 $ 941,991,490
Units redeemed ............................................. (58,752) (609,375)
---------- --------------
Total ..................................................... 93,978,599 $ 941,382,115
---------- --------------
Net increase (decrease) .................................... 141,849,103 $1,420,182,563
=========== ==============
</TABLE>
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 1 of the Lending Fund's 2 unitholders aggregated 97% of the
Lending Fund's total units outstanding.
DAILY MSCI EUROPE INDEX FUND
Units in excess of 10% of the Non-Lending Fund units outstanding at
December 31, 1999 held by 2 of the Non-Lending Fund's 3 unitholders aggregated
99% of the Non-Lending Fund's total units outstanding.
4. FUTURES CONTRACTS
The Fund may use futures contracts to manage exposure to the relevant
equity markets. Buying futures tends to increase a fund's exposure to the
underlying instrument. Selling futures tends to decrease a fund's exposure to
the underlying instrument, or hedge other 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
SAI-204
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI EUROPE INDEX SECURITIES LENDING FUND
DAILY MSCI EUROPE INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
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.
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.
SAI-205
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
State Street Bank and Trust Company
Daily MSCI Japan Index Securities Lending Fund
and State Street Bank and Trust Company
Daily MSCI Japan Index 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 State
Street Bank and Trust Company Daily MSCI Japan Index Securities Lending Fund
and State Street Bank and Trust Company Daily MSCI Japan Index Fund at December
31, 1999, and the results of their operations, the changes in their net assets
and their selected per unit data for the periods indicated, in conformity with
accounting principles generally accepted in the United States. 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 auditing
standards generally accepted in the United States which require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by the Trustee, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
February 24, 2000
SAI-206
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $1,291,235,012)................................. $1,810,404,242
Foreign currency, at value (cost $16,770,665) ............................................ 16,805,314
Foreign currency, segregated, at value (cost $15,552,301) ................................ 15,632,570
Investments in State Street Bank and Trust Company Quality A Short-Term Investment Fund,
at value ............................................................................... 41,607,198
Receivable for open forward currency contracts ........................................... 101,167
Unrealized gain on open futures contracts ................................................ 8,499,814
Dividends receivable ..................................................................... 182,904
Interest receivable ...................................................................... 981,922
- ------------------------------------------------------------------------------------------ --------------
Total assets ......................................................................... 1,894,215,131
- ------------------------------------------------------------------------------------------ --------------
LIABILITIES
Payable for collateral on securities loaned .............................................. 41,607,198
Payable for open forward currency contracts .............................................. 55,578
Accrued expenses ......................................................................... 115,457
- ------------------------------------------------------------------------------------------ --------------
Total liabilities .................................................................... 41,778,233
- ------------------------------------------------------------------------------------------ --------------
NET ASSETS ............................................................................... $1,852,436,898
========================================================================================== ==============
Daily MSCI Japan Index Securities Lending Fund
(30,030,147 units outstanding, at $16.35 per unit net asset value) ...................... $ 491,133,200
Daily MSCI Japan Index Fund
(83,236,381 units outstanding, at $16.35 per unit net asset value) ...................... 1,361,303,698
- ------------------------------------------------------------------------------------------ --------------
$1,852,436,898
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-207
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $1,150,978) ......................................... $ 6,522,208
Interest ................................................................................ 6,887,777
Securities lending fee income (net of related expenses) allocated to the Daily MSCI
Japan Index Securities Lending Fund ..................................................... 271,986
- ------------------------------------------------------------------------------------------- ------------
Total investment income .............................................................. 13,681,971
- ------------------------------------------------------------------------------------------- ------------
EXPENSES
Audit ................................................................................... 11,000
Custody ................................................................................. 354,355
Other ................................................................................... 12,530
- ------------------------------------------------------------------------------------------- ------------
Total expenses ........................................................................... 377,885
- ------------------------------------------------------------------------------------------- ------------
Net investment income ................................................................. 13,304,086
- ------------------------------------------------------------------------------------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY, FORWARD
CONTRACTS AND FUTURES CONTRACTS
Net realized gain (loss):
Investments ........................................................................... 8,539,784
Foreign currency and related forward currency contracts ............................... 21,671,948
Futures contracts ..................................................................... 44,587,548
- ------------------------------------------------------------------------------------------- ------------
74,799,280
------------
Net change in unrealized appreciation (depreciation):
Investments ........................................................................... 511,893,956
Foreign currency and related forward currency contracts ............................... (1,428,281)
Futures contracts ..................................................................... 9,624,298
- ------------------------------------------------------------------------------------------- ------------
520,089,973
------------
Net realized and unrealized gain (loss) on investments, foreign currency, forward
contracts and futures contracts ....................................................... 594,889,253
- ------------------------------------------------------------------------------------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......................... $608,193,339
=========================================================================================== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-208
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998 (a)
----------------- --------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................................................. $ 13,304,086 $ 151,969
Net realized gain (loss) on investments, foreign currency, forward contracts and futures
contracts ............................................................................. 74,799,280 --
Net change in unrealized appreciation (depreciation) on investments, foreign currency,
forward contracts and futures contracts ............................................... 520,089,973 7,638,218
- ---------------------------------------------------------------------------------------- -------------- ------------
Net increase (decrease) in net assets resulting from operations ........................ 608,193,339 7,790,187
- ---------------------------------------------------------------------------------------- -------------- ------------
Distributions of securities lending fee income allocated to the Daily MSCI Japan Index
Securities Lending Fund participants .................................................. (271,986) --
- ---------------------------------------------------------------------------------------- -------------- ------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions .......... 472,049,518 764,675,840
- ---------------------------------------------------------------------------------------- -------------- ------------
Net increase (decrease) in net assets .................................................. 1,079,970,871 772,466,027
NET ASSETS
Beginning of period ................................................................... 772,466,027 --
- ---------------------------------------------------------------------------------------- -------------- ------------
End of period ......................................................................... $1,852,436,898 $772,466,027
======================================================================================== ============== ============
</TABLE>
(a) The Fund commenced operations on December 18, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-209
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998 (A)
----------- -----------
<S> <C> <C>
Net investment income (b) (d) ........................................ $ 0.15 $ 0.00
Distributions of securities lending fee income ....................... (0.01) 0.00
Net realized and unrealized gain (loss) .............................. 6.11 0.10
- ----------------------------------------------------------------------- -------- --------
Net increase (decrease) .............................................. 6.25 0.10
NET ASSET VALUE
Beginning of period ................................................. 10.10 10.00
- ----------------------------------------------------------------------- -------- --------
End of period ....................................................... $ 16.35 $ 10.10
======================================================================= ======== ========
Total return (%) (e) ................................................. 62.09 0.99
- ----------------------------------------------------------------------- -------- --------
Ratio of expenses to average net assets (%) (c) (f) .................. 0.03 0.00
- ----------------------------------------------------------------------- -------- --------
Ratio of net investment income to average net assets (%) (f) ......... 1.15 0.02
- ----------------------------------------------------------------------- -------- --------
Portfolio turnover (%) (c) ........................................... 6.69 0.00
- ----------------------------------------------------------------------- -------- --------
Net assets, end of period (000s) ..................................... $491,133 $145,984
======================================================================= ======== ========
</TABLE>
(a) The Daily MSCI Japan Index Securities Lending Fund commenced
operations on December 18, 1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than 0.005%.
(d) Net investment income per unit has been calculated based upon an
average of units outstanding.
(e) Total return calculation (not annualized for the period ended
December 31, 1998) 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 and assumes reinvestment of
distributions. The calculation includes only those expenses charged
directly to the Lending Fund. The result may be reduced by any
administrative or other fees which are incurred in the management or
maintenance of individual participant accounts.
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-210
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998 (a)
-------------- -----------
<S> <C> <C>
Net investment income (b) (d) ........................................ $ 0.14 $ 0.00
Net realized and unrealized gain (loss) .............................. 6.11 0.10
- ----------------------------------------------------------------------- ---------- --------
Net increase (decrease) .............................................. 6.25 0.10
NET ASSET VALUE
Beginning of period .................................................. 10.10 10.00
- ----------------------------------------------------------------------- ---------- --------
End of period ........................................................ $ 16.35 $ 10.10
======================================================================= ========== ========
Total return (%) (e) ................................................. 61.88 0.99
- ----------------------------------------------------------------------- ---------- --------
Ratio of expenses to average net assets (%) (c) (f) .................. 0.03 0.00
- ----------------------------------------------------------------------- ---------- --------
Ratio of net investment income to average net assets (%) (f) ......... 1.07 0.02
- ----------------------------------------------------------------------- ---------- --------
Portfolio turnover (%) (c) ........................................... 6.69 0.00
- ----------------------------------------------------------------------- ---------- --------
Net assets, end of period (000s) ..................................... $1,361,304 $626,482
======================================================================= ========== ========
</TABLE>
(a) The Daily MSCI Japan Index Fund commenced operations on December 18,
1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than 0.005%.
(d) Net investment income per unit has been calculated based upon an
average of units outstanding.
(e) Total return calculation (not annualized for the period ended
December 31, 1998) 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 Non-Lending Fund. The result may be
reduced by any administrative or other fees which are incurred in
the management or maintenance of individual participant accounts.
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-211
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
------------ -----------------
<S> <C> <C>
COMMON STOCK -- 89.1% (unless otherwise noted)
Acom Co. JPY50 ................................ 85,100 $ 8,332,691
Advantest JPY50 ............................... 59,810 15,796,440
Ajinomoto Co., Inc. JPY50 ..................... 383,000 3,989,974
Alps Electric Co. JPY50 ....................... 102,000 1,555,493
Amada Co., Ltd. JPY50 ......................... 167,000 913,166
Amano Corp. JPY50 ............................. 56,000 334,149
Aoyama Trading Co. JPY50 ...................... 41,800 895,451
Arabian Oil Co. JPY500 ........................ 29,400 506,153
Asahi Bank JPY50 .............................. 1,641,000 10,112,785
Asahi Breweries JPY50 ......................... 306,000 3,346,454
Asahi Chemical Industry JPY50 ................. 854,000 4,385,699
Asahi Glass Co., Ltd. JPY50 ................... 699,000 5,408,481
Asatsu JPY50 .................................. 23,400 1,579,380
Ashikaga Bank JPY50 ........................... 350,000 698,425
Autobacs Seven JPY50 .......................... 21,500 704,539
Bank of Fukuoka Ltd. JPY50 .................... 335,000 2,323,340
Bank of Tokyo JPY50 ........................... 2,711,400 37,768,109
Bank of Yokohama Ltd. JPY50 ................... 697,000 3,211,259
Benesse Corp. JPY50 ........................... 28,000 6,737,748
Bridgestone Corp. JPY50 ....................... 510,000 11,224,690
Brother Industries Ltd. JPY50 ................. 165,000 379,292
Canon Inc. JPY50 .............................. 528,100 20,973,159
Casio Computer Co. JPY50 ...................... 159,000 1,322,019
Central Japan Railway JPY50000 ................ 1,299 8,144,958
Chiyoda Corp. JPY50 ........................... 146,000 212,795
Chugai Pharmaceutical Co. JPY50 ............... 149,000 1,610,535
Citizen Watch Co. JPY50 ....................... 201,000 1,278,001
Cosmo Oil Co. JPY50 ........................... 357,000 534,295
Credit Saison Co. JPY50 ....................... 97,125 1,691,113
CSK Corp. JPY50 ............................... 39,400 6,397,731
Dai Ichi Pharmaceutical Co. JPY50 ............. 169,300 2,200,917
Dai Nippon Printing JPY50 ..................... 450,000 7,174,998
Daicel Chemical Industries Ltd. JPY50 ......... 210,000 585,445
Daiei Inc. JPY50 .............................. 426,000 1,687,665
Daifuku Co. JPY50 ............................. 64,000 369,363
Daikin Industries JPY50 ....................... 153,000 2,080,309
Daikyo Inc. JPY50 ............................. 104,000 230,930
Daimaru Inc. JPY50 ............................ 154,000 521,217
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-212
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- -------------------------------------------------------------- ------------ -----------------
<S> <C> <C>
Dainippon Ink & Chemicals Inc. JPY50 ......................... 494,000 $ 1,464,169
Dainippon Screen JPY50 ....................................... 94,000 560,892
Daito Trust Construction JPY50 ............................... 82,700 922,215
Daiwa Bank Ltd. JPY50 ........................................ 936,000 2,746,748
Daiwa House Industry JPY50 ................................... 310,000 2,304,607
Daiwa Kosho Lease Co., Ltd. JPY50 ............................ 92,000 296,077
Daiwa Securities JPY50 ....................................... 781,000 12,215,779
Denki Kagaku Kogyo JPY50 ..................................... 274,000 817,470
Denso Corp. JPY50 ............................................ 539,000 12,864,717
East Japan Railway Co. JPY50000 .............................. 2,380 12,827,742
Ebara Corp. JPY50 ............................................ 166,000 1,851,120
Eisai Co., Ltd. JPY50 ........................................ 178,450 3,430,052
Fanuc Ltd. JPY50 ............................................. 143,000 18,198,475
Fuji Bank JPY50 .............................................. 1,984,000 19,271,369
Fuji Machine Manufacturing Co. JPY50 ......................... 26,000 2,095,667
Fuji Photo Film Co., Ltd. JPY50 .............................. 304,200 11,099,149
Fuji Soft ABC Inc. JPY50 ..................................... 17,000 1,330,334
Fujikura JPY50 ............................................... 208,000 826,059
Fujita Corp. JPY50 ........................................... 554,000 298,053
Fujitsu Ltd. JPY50 ........................................... 1,089,000 49,640,421
Furukawa Electric JPY50 ...................................... 374,000 5,670,547
Gunma Bank JPY50 ............................................. 315,000 2,049,056
Gunze Ltd. JPY50 ............................................. 144,000 383,136
Hankyu Department Stores JPY50 ............................... 154,000 813,460
Haseko Corp. JPY50 ........................................... 464,000 222,400
Hirose Electric JPY50 ........................................ 23,900 5,356,050
Hitachi Ltd. JPY50 ........................................... 1,828,300 29,330,061
Hitachi Zosen Corp. JPY50 .................................... 561,000 422,547
Hokuriku Bank Ltd. JPY50 ..................................... 390,000 923,212
Honda Motor Co. JPY50 ........................................ 526,000 19,551,991
House Food Corp. JPY50 ....................................... 66,000 1,000,685
Hoya Corp. JPY50 ............................................. 68,000 5,354,593
Inax Corp. JPY50 ............................................. 134,000 749,760
Industrial Bank of Japan Ltd. JPY50 .......................... 1,599,440 15,410,823
Isetan Co. JPY50 ............................................. 128,000 939,059
Ishihara Sangyo Kaisha JPY50 ................................. 187,000 246,943
Ishikawajima Harima Heavy Industries Co., Ltd. JPY50 ......... 691,000 797,594
Ito Yokado Co. JPY50 ......................................... 225,000 24,430,207
Itochu Corp. JPY50 ........................................... 813,000 4,047,902
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-213
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ -----------------
<S> <C> <C>
Iwatani International Corp. JPY50 ................. 148,000 $ 266,380
Jaccs Co., Ltd. JPY50 ............................. 87,000 340,409
Japan Airlines Co., Ltd. JPY50 .................... 1,035,000 3,067,642
Japan Energy Corp. JPY50 .......................... 640,000 582,217
Japan Steel Works JPY50 ........................... 212,000 232,261
Japan Tobacco Inc. JPY50000 ....................... 1,064 8,138,981
JGC Corp. JPY50 ................................... 98,000 237,738
Joyo Bank JPY50 ................................... 534,000 2,455,052
Jusco Co. JPY50 ................................... 188,000 3,275,242
Kadokawa Shoten P JPY50 ........................... 5,800 1,951,678
Kajima Corp. JPY50 ................................ 552,000 1,646,875
Kaken Pharmaceutical JPY50 ........................ 51,000 283,361
Kamigumi Co. JPY50 ................................ 161,000 677,199
Kanebo JPY50 ...................................... 294,000 474,518
Kaneka Corp. JPY50 ................................ 197,000 2,518,625
Kansai Electric Power JPY500 ...................... 594,900 10,364,051
Kao Corp. JPY50 ................................... 377,000 10,749,829
Katokichi Co. JPY50 ............................... 32,000 693,339
Kawasaki Heavy Industries Ltd. JPY50 .............. 869,000 1,156,060
Kawasaki Kisen JPY50 .............................. 339,000 504,040
Kawasaki Steel JPY50 .............................. 1,970,000 3,526,460
Keihin Electric Express Railway JPY50 ............. 293,480 1,004,774
Kikkoman Corp. JPY50 .............................. 113,000 750,533
Kinden Corp. JPY50 ................................ 154,200 1,184,065
Kinki Nippon Railway JPY50 ........................ 959,370 3,847,615
Kirin Brewery Co. JPY50 ........................... 609,000 6,403,942
Kokuyo Co. JPY50 .................................. 75,000 997,750
Komatsu JPY50 ..................................... 575,000 2,643,549
Komori Corp. JPY50 ................................ 46,000 876,983
Konami Co., Ltd. JPY50 ............................ 28,900 5,159,200
Konica Corp. JPY50 ................................ 204,000 758,290
Koyo Seiko Co. JPY50 .............................. 112,000 965,196
Kubota Corp. JPY50 ................................ 826,000 3,159,210
Kumagai Gumi Co. JPY50 ............................ 401,000 274,577
Kuraray Co. JPY50 ................................. 214,000 2,166,585
Kureha Chemical Industry Co., Ltd. JPY50 .......... 130,000 319,182
Kurita Water Industries Ltd. JPY50 ................ 75,600 1,200,963
Kyocera Corp. JPY50 ............................... 112,000 29,032,575
Kyowa Exeo Corp. JPY50 ............................ 57,000 496,234
Kyowa Hakko Kogyo JPY50 ........................... 257,000 1,541,045
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-214
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------------------- ------------ -----------------
<S> <C> <C>
Maeda Road Construction Co., Ltd. JPY50 ....................... 60,000 $ 290,521
Makino Milling JPY50 .......................................... 54,000 351,795
Makita Corp. JPY50 ............................................ 95,000 854,935
Marubeni Corp. JPY50 .......................................... 890,000 3,734,814
Marui Co. JPY50 ............................................... 218,000 3,254,113
Matsushita Electric Industrial Co., Ltd. JPY50 ................ 1,195,300 33,089,104
Meiji Milk Product JPY50 ...................................... 198,000 602,348
Meiji Seika Kaisha JPY50 ...................................... 223,000 1,267,368
Meitec JPY50 .................................................. 21,000 667,612
Minebea Co. JPY50 ............................................. 228,000 3,909,655
Mitsubishi Corp. JPY50 ........................................ 934,000 7,208,511
Mitsubishi Electric Corp. JPY50 ............................... 1,248,000 8,057,126
Mitsubishi Estate Co., Ltd. JPY50 ............................. 779,000 7,597,212
Mitsubishi Gas & Chemical Co., Inc. JPY50 ..................... 288,000 560,618
Mitsubishi Heavy Industries Ltd. JPY50 ........................ 2,020,000 6,737,944
Mitsubishi Kasei Corp. JPY50 .................................. 1,250,000 4,401,839
Mitsubishi Material Corp. JPY50 ............................... 651,000 1,591,999
Mitsubishi Paper Mills Ltd. JPY50 ............................. 193,000 258,642
Mitsubishi Rayon Co., Ltd. JPY50 .............................. 377,000 914,565
Mitsubishi Trust & Banking Corp. JPY50 ........................ 768,000 6,761,225
Mitsubishi Warehouse & Transportation Co., Ltd. JPY50 ......... 97,000 618,644
Mitsui & Co., Ltd. JPY50 ...................................... 932,000 6,518,439
Mitsui Engineering & Shipbuilding Co., Ltd. JPY50 ............. 458,000 313,607
Mitsui Fudosan Co. JPY50 ...................................... 486,000 3,289,759
Mitsui Marine & Fire Insurance Co., Ltd. JPY50 ................ 465,000 2,756,432
Mitsui Mining & Smelting Co., Ltd. JPY50 ...................... 301,000 1,422,117
Mitsui Soko Co. JPY50 ......................................... 80,000 165,118
Mitsui Trust & Banking Co., Ltd. JPY50 ........................ 673,799 1,522,523
Mitsukoshi JPY50 .............................................. 270,000 950,797
Mori Seiki Co. JPY50 .......................................... 54,000 723,662
Murata Manufacturing Co. JPY50 ................................ 139,000 32,632,301
Namco JPY50 ................................................... 30,200 1,955,630
NEC Corp. JPY50 ............................................... 944,000 22,484,986
New Oji Paper Co., Ltd. JPY50 ................................. 618,166 3,718,792
NGK Insulators Ltd. JPY50 ..................................... 211,000 1,566,556
NGK Spark Plug Co., Ltd. JPY50 ................................ 128,000 1,170,694
Nichiei Co. JPY50 ............................................. 35,900 779,595
Nichirei Corp. JPY50 .......................................... 173,000 448,450
Nidec Corp. JPY50 ............................................. 14,500 4,184,193
Nikon Corp. JPY50 ............................................. 220,000 6,456,031
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-215
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ----------------------------------------------------- ------------ -----------------
<S> <C> <C>
Nintendo Co., Ltd. JPY50 ............................ 82,100 $ 13,636,487
Nippon Comsys Corp. JPY50 ........................... 75,000 1,555,317
Nippon Express Co. JPY50 ............................ 645,000 3,564,756
Nippon Light Metal Co. JPY50 ........................ 302,000 280,642
Nippon Meat Packers JPY50 ........................... 140,000 1,814,536
Nippon Oil Co., Ltd. JPY50 .......................... 963,000 4,238,971
Nippon Paper Industries JPY50 ....................... 559,000 3,078,519
Nippon Sharyo JPY50 ................................. 84,000 180,769
Nippon Sheet Glass JPY50 ............................ 253,000 1,311,650
Nippon Shinpan Co., Ltd. JPY50 ...................... 186,000 433,024
Nippon Shokubai Co. JPY50 ........................... 111,000 513,577
Nippon Steel Corp. JPY50 ............................ 4,077,000 9,531,478
Nippon Suisan JPY50 ................................. 162,000 248,792
Nippon Telegraph & Telephone Corp. JPY50000 ......... 7,373 126,212,956
Nippon Yusen JPY50 .................................. 709,000 2,898,973
Nishimatsu Construction Co., Ltd. JPY50 ............. 165,000 661,743
Nissan Motor Co., Ltd. JPY50 ........................ 2,308,000 9,075,771
Nisshin Flour Milling JPY50 ......................... 134,000 924,093
Nisshinbo Industries Inc. JPY50 ..................... 135,000 610,095
Nissin Food Products JPY50 .......................... 76,000 1,787,929
Nitto Boseki Co., Ltd. JPY50 ........................ 132,000 171,730
Nitto Denko Corp. JPY50 ............................. 91,000 4,548,665
NOF Corp. JPY50 ..................................... 126,000 298,269
Nomura Securities JPY50 ............................. 1,170,000 21,115,622
Noritake Co. JPY50 .................................. 94,000 331,938
NSK Ltd. JPY50 ...................................... 319,000 2,181,170
NTN Toyo Bearing Co., Ltd. JPY50 .................... 265,000 782,843
Nycal Corp. JPY50 ................................... 183,000 796,586
Obayashi Corp. JPY50 ................................ 430,000 2,031,596
Okuma Corp. JPY50 ................................... 76,000 237,895
Okumura Corp. JPY50 ................................. 137,000 462,340
Olympus Optical Co., Ltd. JPY50 ..................... 160,000 2,261,567
Omron Corp. JPY50 ................................... 151,000 3,478,480
Onoda Cement Co., Ltd. JPY50 ........................ 614,000 1,171,183
Onward Kashiyama JPY50 .............................. 98,000 1,342,072
Orient Corp. JPY50 .................................. 197,000 570,400
Oriental Land Co., Ltd. JPY50 ....................... 53,000 4,551,893
Orix Corp. JPY50 .................................... 40,300 9,074,695
Osaka Gas Co. JPY50 ................................. 1,522,000 3,662,448
Oyo Corp. JPY50 ..................................... 17,900 239,005
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-216
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------ -----------------
<S> <C> <C>
Penta Ocean Construction Co., Ltd. JPY50 .......... 203,000 $ 289,915
Pioneer Electronic JPY50 .......................... 105,000 2,773,159
Promise Co. JPY50 ................................. 63,600 3,235,058
Renown Inc. JPY50 ................................. 154,000 376,602
Rohm Co. JPY50 .................................... 71,400 29,333,856
Sakura Bank JPY50 ................................. 2,462,000 14,257,107
Sanden Corp. JPY50 ................................ 78,000 465,421
Sankyo Co. JPY50 .................................. 272,000 5,587,401
Sanrio Co. JPY50 .................................. 45,000 1,663,895
Sanwa Shutter Corp. JPY50 ......................... 132,000 490,658
Sanyo Electric Co. JPY50 .......................... 1,118,000 4,538,492
Sapporo Breweries JPY50 ........................... 194,000 626,235
Secom Co. JPY50 ................................... 136,000 14,966,253
Sega Enterprises JPY50 ............................ 57,600 1,831,165
Seino Transportation JPY50 ........................ 88,000 466,556
Seiyu JPY50 ....................................... 129,000 441,651
Sekisui Chemical JPY50 ............................ 322,000 1,426,842
Sekisui House JPY50 ............................... 437,000 3,868,581
Seventy Seven Bank JPY50 .......................... 218,000 2,283,850
Sharp Corp. JPY50 ................................. 667,000 17,061,578
Shimachu Co. JPY50 ................................ 29,000 399,980
Shimamura Co., Ltd. JPY50 ......................... 19,000 3,010,858
Shimano Inc. JPY50 ................................ 80,000 1,408,589
Shimizu Corp. JPY50 ............................... 478,000 1,580,397
Shin Etsu Chemical Co. JPY50 ...................... 244,800 10,536,242
Shionogi & Co. JPY50 .............................. 224,300 2,722,844
Shiseido Co., Ltd. JPY50 .......................... 254,000 3,702,045
Shizuoka Bank JPY50 ............................... 467,000 4,787,401
Sho-Bond Construction JPY50 ....................... 15,500 275,188
Showa Denko KK JPY50 .............................. 583,000 667,231
Showa Shell Sekiyu KK JPY50 ....................... 200,000 882,324
Skylark Co. JPY50 ................................. 59,000 1,387,998
SMC Corp. JPY50 ................................... 38,900 8,603,434
Snow Brand Milk JPY50 ............................. 188,000 757,664
Softbank Corp. JPY50 .............................. 61,300 58,643,649
Sony Corp. JPY50 .................................. 238,300 70,629,857
Sumitomo Bank JPY50 ............................... 1,821,000 24,920,073
Sumitomo Chemical JPY50 ........................... 951,000 4,465,226
Sumitomo Corp. JPY50 .............................. 631,000 6,116,805
Sumitomo Electric Industries JPY50 ................ 428,000 4,944,420
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-217
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- ---------------------------------------------------------- ------------ -----------------
<S> <C> <C>
Sumitomo Forestry JPY50 .................................. 103,000 $ 795,950
Sumitomo Heavy Industries Ltd. JPY50 ..................... 332,000 909,322
Sumitomo Marine & Fire Insurance Co., Ltd. JPY50 ......... 392,000 2,415,729
Sumitomo Metal Industries JPY50 .......................... 2,135,000 1,608,090
Sumitomo Metal Mining JPY50 .............................. 351,000 782,823
Sumitomo Osaka Cement JPY50 .............................. 258,000 340,702
Taisei Corp. JPY50 ....................................... 558,000 1,058,906
Taisho Pharmaceutical Co., Ltd. JPY50 .................... 206,000 6,045,192
Taiyo Yuden Co. JPY50 .................................... 67,000 3,971,633
Takara Shuzo Co. JPY50 ................................... 119,000 1,875,272
Takara Standard Co. JPY50 ................................ 87,000 431,468
Takashimaya Co. JPY50 .................................... 177,000 1,218,899
Takeda Chemical Industries Ltd. JPY50 .................... 486,000 24,007,631
Takefuji Corp JPY50 ...................................... 85,400 10,684,398
Takuma Co. JPY50 ......................................... 52,000 371,320
Teijin JPY50 ............................................. 557,000 2,054,084
Teikoku Oil Co. JPY50 .................................... 148,000 448,792
Terumo Corp. JPY50 ....................................... 112,000 2,990,903
Toa Corp. JPY50 .......................................... 115,000 156,363
Tobu Railway Co. JPY50 ................................... 528,000 1,549,447
Toda Construction JPY50 .................................. 116,000 445,936
Toei JPY50 ............................................... 87,000 481,679
Toho Co. JPY500 .......................................... 10,210 1,492,100
Tohoku Electric Power JPY500 ............................. 296,600 4,409,978
Tokai Bank Ltd. JPY50 .................................... 1,342,000 8,453,957
Tokio Marine & Fire Insurance Co., Ltd. JPY50 ............ 924,000 10,800,939
Tokyo Broadcasting JPY50 ................................. 102,000 3,452,216
Tokyo Dome Corp. JPY50 ................................... 90,000 431,380
Tokyo Electric Power JPY500 .............................. 731,700 19,611,250
Tokyo Electron JPY50 ..................................... 103,800 14,215,006
Tokyo Gas Co. JPY50 ...................................... 1,687,000 4,108,999
Tokyo Style Co. JPY50 .................................... 58,000 476,572
Tokyo Tatemono Co., Ltd. JPY50 ........................... 127,000 226,098
Tokyotokeiba Co. JPY20 ................................... 166,000 227,331
Tokyu Corp. JPY50 ........................................ 678,000 1,651,394
Toppan Printing Co. JPY50 ................................ 423,000 4,220,483
Toray Industries Inc. JPY50 .............................. 829,000 3,211,230
Toshiba Corp. JPY50 ...................................... 1,866,000 14,237,309
Tosoh Corp. JPY50 ........................................ 341,000 1,300,890
Tostem Corp. JPY50 ....................................... 124,000 2,225,766
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-218
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (UNLESS OTHERWISE NOTED) SHARES VALUE
- --------------------------------------------------- ------------- -----------------
<S> <C> <C>
Toto JPY50 ........................................ 218,800 $ 1,322,688
Toyo Information JPY50 ............................ 22,000 1,549,447
Toyo Seikan Kaisha Ltd. JPY50 ..................... 137,100 1,984,819
Toyobo Co. JPY50 .................................. 386,000 502,181
Toyota Motor Corp. JPY50 .......................... 2,144,000 103,812,975
Trans Cosmos Inc. JPY50 ........................... 11,000 4,691,382
Tsubakimoto Chain JPY50 ........................... 106,000 388,829
UBE Industries Ltd. JPY50 ......................... 484,000 1,008,432
Uni-Charm JPY50 ................................... 43,000 2,477,453
Unitika JPY50 ..................................... 273,000 189,602
UNY Co., Ltd. JPY50 ............................... 110,000 1,074,929
Wacoal Corp. JPY50 ................................ 91,000 800,245
World Co., Ltd. JPY50 ............................. 18,000 2,236,134
Yakult Honsha JPY50 ............................... 94,000 818,351
Yamaha Corp. JPY50 ................................ 120,000 779,419
Yamaichi Securities Co. (a) JPY50 ................. 117,000 0
Yamanouchi Pharmaceutical Co., Ltd. JPY50 ......... 203,000 7,089,015
Yamato Transport Co., Ltd. JPY50 .................. 258,000 9,993,936
Yamazaki Baking Co. JPY50 ......................... 127,000 1,377,707
Yokogawa Electric JPY50 ........................... 142,000 1,001,487
--------------
TOTAL COMMON STOCK
(Cost $1,093,319,019) ............................ 1,612,488,249
--------------
STATE STREET BANK AND TRUST COMPANY COLLECTIVE
INVESTMENT FUNDS -- 10.9% UNITS
SHORT TERM INVESTMENT FUND (b)
(Cost $197,915,993) .............................. 197,915,993 197,915,993
- ---------------------------------------------------- ----------- --------------
TOTAL INVESTMENTS -- 100%
(Cost $1,291,235,012) ............................ $1,810,404,242
==================================================== =========== ==============
</TABLE>
a) Issuer filed for bankruptcy.
b) Collective investment fund advised by State Street Global Advisors.
The accompanying notes are an integral part of these financial statements.
SAI-219
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
At December 31, 1999, foreign currency balances totaling $15,632,570 were
pledged to cover margin requirements for open futures contracts. The following
long futures contracts were open at December 31, 1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS COST DATE GAIN/(LOSS)
- ------------------ ----------- --------------- ------------ ------------
<S> <C> <C> <C> <C>
Nikkei 300 Index 7,737 $235,424,136 March 2000 $8,499,814
==========
</TABLE>
The following forward foreign currency contracts were open at December 31,
1999:
<TABLE>
<CAPTION>
SETTLEMENT CONTRACTS IN EXCHANGE UNREALIZED
DATE TO DELIVER FOR GAIN/(LOSS)
- ------------ ----------------- -------------------- ------------
<S> <C> <C> <C>
3/7/00 USD 203,481,965 JPY 20,588,000,000 $ 101,167
3/7/00 JPY 640,000,000 USD 6,297,973 (30,627)
3/7/00 USD 6,946,857 JPY 700,000,000 (24,951)
---------
$ 45,589
=========
</TABLE>
JPY: Japanese Yen
The accompanying notes are an integral part of these financial statements.
SAI-220
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the Daily MSCI Japan Index Securities Lending Fund
(the "Lending Fund") have authorized the Lending Fund to participate in the
Global 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 Daily MSCI Japan Index 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 the Lending Fund and the
Non-Lending Fund. The Lending Fund and the Non-Lending Fund each maintain a
divided pro-rata interest in the combined assets and liabilities (including
each investment security position but excluding assets and liabilities related
to securities lending activities) 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 Global 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 market
value of the loaned securities. At December 31, 1999, the market value of
securities loaned by the Lending Fund was $40,037,328 against which was held
cash collateral of $41,607,198 and securities of $431,400. Cash collateral
provided by the Borrowers is 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 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. Income earned from
lending activities is distributed to Lending Fund participants monthly.
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.
2. 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, 1999 were $454,237,949 and $81,774,837, respectively, resulting in
a net realized gain (loss) of $8,539,784. Net realized gain (loss) from foreign
currency transactions amounted to $21,671,948 for the year ended December 31,
1999.
SAI-221
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
3. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
---------------------------------------------------------------
1999 1998
---------------------------------- ----------------------------
UNITS AMOUNT UNITS AMOUNT
---------------- ----------------- ------------ ---------------
<S> <C> <C> <C> <C>
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
Units issued ................................................ 25,729,413 $ 316,609,920 14,455,334 $144,539,658
Units redeemed .............................................. (10,154,600) (133,037,258) -- --
----------- -------------- ---------- ------------
Total ...................................................... 15,574,813 $ 183,572,662 14,455,334 $144,539,658
=========== ============== ========== ============
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
--------------------------------------------------------------
1999 1998
------------------------------- ------------------------------
UNITS AMOUNT UNITS AMOUNT
--------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
DAILY MSCI JAPAN INDEX FUND
Units issued ................................................ 29,573,203 $ 386,255,988 62,418,699 $623,991,486
Units redeemed .............................................. (8,371,289) (97,779,132) (384,232) (3,855,304)
---------- ------------- ---------- ------------
Total ...................................................... 21,201,914 $ 288,476,856 62,034,467 $620,136,182
---------- ------------- ---------- ------------
Net increase (decrease) ..................................... 36,776,727 $ 472,049,518 76,489,801 $764,675,840
========== ============= ========== ============
</TABLE>
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 1 of the Lending Fund's 2 unitholders aggregated 98% of the
Lending Fund's total units outstanding.
DAILY MSCI JAPAN INDEX FUND
The Non-Lending Fund's 2 unitholders each held units in excess of 10% of
the Non-Lending Fund units outstanding at December 31, 1999.
4. FUTURES CONTRACTS
The Fund may use futures contracts to manage exposure to the relevant
equity markets. Buying futures tends to increase a fund's exposure to the
underlying instrument. Selling futures tends to decrease a fund's exposure to
the underlying instrument, or hedge other 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
SAI-222
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
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.
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.
SAI-223
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of State Street Bank and Trust Company
Daily MSCI Pacific Basin ex-Japan Index Securities Lending Fund
and State Street Bank and Trust Company
Daily MSCI Pacific Basin ex-Japan Index 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 State
Street Bank and Trust Company Daily MSCI Pacific Basin ex-Japan Index
Securities Lending Fund and State Street Bank and Trust Company Daily MSCI
Pacific Basin ex-Japan Index Fund at December 31, 1999, and the results of
their operations, the changes in their net assets and their selected per unit
data for the periods indicated, in conformity with accounting principles
generally accepted in the United States. 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 auditing standards generally
accepted in the United States which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
Trustee, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
February 24, 2000
SAI-224
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $318,966,538)................... $400,904,027
Foreign currency, at value (cost $4,322,442).............................. 4,348,145
Foreign currency, segregated, at value (cost $3,890,452).................. 3,951,097
Investments in State Street Bank and Trust Company
Quality A Short-Term Investment Fund, at value .......................... 11,828,160
Receivable for investments sold .......................................... 532,485
Receivable for open forward currency contracts ........................... 460,841
Unrealized gain on open futures contracts ................................ 382,995
Dividends receivable ..................................................... 441,165
Interest receivable ...................................................... 56,969
- --------------------------------------------------------------------------- ------------
Total assets ......................................................... 422,905,884
- --------------------------------------------------------------------------- ------------
LIABILITIES
Payable for collateral on securities loaned .............................. 11,828,160
Payable for investments purchased ........................................ 532,485
Payable for open forward currency contracts .............................. 78,002
Accrued expenses ......................................................... 57,843
- --------------------------------------------------------------------------- ------------
Total liabilities .................................................... 12,496,490
- --------------------------------------------------------------------------- ------------
NET ASSETS ............................................................... $410,409,394
=========================================================================== ============
Daily MSCI Pacific Basin ex-Japan Index Securities Lending Fund
(7,953,296 units outstanding, at $13.91 per unit net asset value)........ $110,605,573
Daily MSCI Pacific Basin ex-Japan Index Fund
(21,557,942 units outstanding, at $13.91 per unit net asset value)....... 299,803,821
- --------------------------------------------------------------------------- ------------
$410,409,394
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-225
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of taxes withheld of $336,248)............................................ $ 9,306,493
Interest ................................................................................ 1,104,045
Securities lending fee income (net of related expenses), allocated to the Daily MSCI
Pacific Basin ex-Japan Index Securities Lending Fund .................................... 67,479
- ------------------------------------------------------------------------------------------- ------------
Total investment income .............................................................. 10,478,017
- ------------------------------------------------------------------------------------------- ------------
EXPENSES
Audit ................................................................................... 14,000
Custody ................................................................................. 199,608
Other ................................................................................... 4,984
- ------------------------------------------------------------------------------------------- ------------
Total expenses ....................................................................... 218,592
- ------------------------------------------------------------------------------------------- ------------
Net investment income ................................................................. 10,259,425
- ------------------------------------------------------------------------------------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY, FORWARD
CONTRACTS AND FUTURES CONTRACTS
Net realized gain (loss):
Investments ........................................................................... 2,326,279
Foreign currency and related forward currency contracts ............................... 157,456
Futures contracts ..................................................................... 5,216,566
- ------------------------------------------------------------------------------------------- ------------
7,700,301
------------
Net change in unrealized appreciation (depreciation):
Investments ........................................................................... 82,653,146
Foreign currency and related forward currency contracts ............................... 494,059
Futures contracts ..................................................................... 264,786
- ------------------------------------------------------------------------------------------- ------------
83,411,991
------------
Net realized and unrealized gain (loss) on investments, foreign currency, forward
contracts and futures contracts ....................................................... 91,112,292
- ------------------------------------------------------------------------------------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......................... $101,371,717
=========================================================================================== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-226
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Statement of Changes in Net Assets
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998 (a)
---------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................................................... $ 10,259,425 $ 4,569
Net realized gain (loss) on investments, forward currency, forward contracts and futures
contracts ............................................................................... 7,700,301 50,275
Net change in unrealized appreciation (depreciation) on investments, foreign currency,
forward contracts and futures contracts ................................................. 83,411,991 (648,722)
- ------------------------------------------------------------------------------------------- ------------ ------------
Net increase (decrease) in net assets resulting from operations .......................... 101,371,717 (593,878)
- ------------------------------------------------------------------------------------------- ------------ ------------
Distributions of securities lending fee income allocated to the Daily MSCI Pacific Basin
ex-Japan Index Securities Lending Fund participants ..................................... (67,479) --
- ------------------------------------------------------------------------------------------- ------------ ------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ............ 104,915,535 204,783,499
- ------------------------------------------------------------------------------------------- ------------ ------------
Net increase (decrease) in net assets .................................................... 206,219,773 204,189,621
NET ASSETS
Beginning of period ..................................................................... 204,189,621 --
- ------------------------------------------------------------------------------------------- ------------ ------------
End of period ........................................................................... $410,409,394 $204,189,621
=========================================================================================== ============ ============
</TABLE>
(a) The Fund commenced operations on December 18, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-227
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998(a)
------------ ----------
<S> <C> <C>
Net investment income (b) (d) ............................................ $ 0.41 $ 0.00
Distributions of securities lending fee income ........................... (0.01) 0.00
Net realized and unrealized gain (loss) .................................. 3.54 (0.03)
- --------------------------------------------------------------------------- -------- -------
Net increase (decrease) .................................................. 3.94 (0.03)
Net asset value
Beginning of Period ...................................................... 9.97 10.00
- --------------------------------------------------------------------------- -------- -------
End of period ............................................................ $ 13.91 $ 9.97
=========================================================================== ======== =======
Total return (%) (e) ..................................................... 39.61 (0.30)
=========================================================================== ======== =======
Ratio of expenses to average net assets (%) (c) (f) ...................... 0.07 0.00
- --------------------------------------------------------------------------- -------- -------
Ratio of net investment income to average net assets (%) (c) (f) ......... 3.49 0.00
- --------------------------------------------------------------------------- -------- -------
Portfolio turnover (%) (c) ............................................... 15.69 0.00
- --------------------------------------------------------------------------- -------- -------
Net assets, end of period (000s) ......................................... $110,606 $37,972
=========================================================================== ======== =======
</TABLE>
(a) The Daily MSCI Pacific Basin ex-Japan Index Securities Lending Fund
commenced operations on December 18, 1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than 0.005%
(d) Net investment income per unit has been calculated based upon an
average of units outstanding.
(e) Total return calculation (not annualized for the period ended December
31, 1998) 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 and assumes reinvestment of distributions. The calculation
includes only those expenses charged directly to the Lending Fund. The
result may be reduced by any administrative or other fees which are
incurred in the management or maintenance of individual participant
accounts.
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-228
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Period)
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
1999 1998 (a)
------------ ------------
<S> <C> <C>
Net investment income (b) (d) ............................................ $ 0.40 $ 0.00
Net realized and unrealized gain (loss) .................................. 3.54 (0.03)
- --------------------------------------------------------------------------- -------- --------
Net increase (decrease) .................................................. 3.94 (0.03)
Net asset value
Beginning of period ...................................................... 9.97 10.00
- --------------------------------------------------------------------------- -------- --------
End of period ............................................................ $ 13.91 $ 9.97
=========================================================================== ======== ========
Total return (%) (e) ..................................................... 39.52 (0.30)
=========================================================================== ======== ========
Ratio of expenses to average net assets (%) (c) (f) ...................... 0.07 0.00
- --------------------------------------------------------------------------- -------- --------
Ratio of net investment income to average net assets (%) (c) (f) ......... 3.40 0.00
- --------------------------------------------------------------------------- -------- --------
Portfolio turnover (%) (c) ............................................... 15.69 0.00
- --------------------------------------------------------------------------- -------- --------
Net assets, end of period (000s) ......................................... $299,804 $166,217
=========================================================================== ======== ========
</TABLE>
(a) The Fund commenced operations on December 18, 1998.
(b) Zero amount represents that which is less than $0.005 per unit.
(c) Zero amount represents that which is less than 0.005%
(d) Net investment income per unit has been calculated based upon an
average of units outstanding.
(e) Total return calculation (not annualized for the period ended
Decmeber 31, 1998) 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 Non-Lending Fund. The result may be
reduced by any administrative or other fees which are incurred in the
management or maintenance of individual participant accounts
(f) Not annualized for the period ended December 31, 1998.
The accompanying notes are an integral part of these financial statements.
SAI-229
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 94.3% (unless otherwise noted) SHARES VALUE
- ---------------------------------------------------- ------------ ---------------
<S> <C> <C>
AUSTRALIA -- 35.2%
Amcor Ltd. Ord AUD1 ................................ 395,186 $ 1,844,357
AMP Group Finance Reinsurance Note ................. 349,334 0
AMP Limited AUD3 ................................... 678,554 7,471,003
Australian Gas Light Co. Ord AUD1 .................. 209,715 1,226,528
Boral Ltd. Ord AUD0.50 ............................. 641,791 990,869
Brambles Industries Ltd. AUD0.50 ................... 141,707 3,905,000
Broken Hill Proprietary Co., Ltd. Ord AUD1 ......... 1,100,924 14,405,205
Burns, Philip & Co., Ltd. AUD0.50 .................. 44,550 13,115
Coca Cola Amatil AUD0.5 ............................ 622,203 1,693,308
Coles Myer Ltd. AUD0.50 ............................ 718,020 3,695,824
Colonial Limited NPV ............................... 571,004 2,543,880
CRA Ltd. AUD2.00 ................................... 178,021 3,810,730
CSL Ltd. AUD1 ...................................... 78,833 1,129,439
CSR Ltd. AUD1.00 ................................... 621,366 1,504,041
David Jones Ltd. AUD0.30 ........................... 216,065 195,063
Delta Gold Nl AUD0.25 .............................. 92,368 140,493
Email Ltd. AUD0.50 ................................. 165,157 261,471
Faulding FH & Co., Ltd. AUD0.50 .................... 99,407 650,320
Fosters Brewing Group AUD1 ......................... 1,060,352 3,031,391
Futuris Corp., Ltd. AUD0.20 ........................ 305,152 427,209
General Property Trust AUD1 ........................ 896,696 1,454,814
Goldfield Ltd. AUD0.25 ............................. 9,774 6,970
Goodman Fielder Wattie Ltd. AUD0.50 ................ 711,839 633,332
Howard Smith Ltd. AUD1 ............................. 117,809 801,535
ICI Australia Ltd. AUD1 ............................ 149,335 802,075
James Hardie Industries Ltd. AUD1.00 ............... 225,174 587,762
Leighton Holdings Ltd.Ord AUD0.50 .................. 145,365 561,077
Lend Lease Corp., Ltd. AUD0.50 ..................... 321,608 4,489,848
Mayne Nickless Ltd. AUD0.50 ........................ 189,013 485,953
Metal Manufacturers Ltd. AUD0.50 ................... 84,599 124,525
Metway Bank Ltd. AUD0.50 ........................... 130,710 702,041
MIM Holdings Ltd. AUD0.50 .......................... 1,064,213 1,093,046
National Australia Bank Ltd. AUD1.00 ............... 913,527 13,924,760
Newcrest Mining Ltd. AUD0.50 ....................... 130,311 443,297
News Corp., Ltd. AUD0.50 Pfd ....................... 1,163,647 11,259,000
Nine Network Australia Ltd. AUD1 ................... 96,627 735,171
Normandy Mining Ltd. AUD0.20 ....................... 982,776 694,366
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-230
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (unless otherwise noted) SHARES VALUE
- -------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
North Ltd. AUD0.50 ........................................... 437,347 $ 1,027,143
Pacific Dunlop Ltd. AUD0.50 .................................. 668,689 943,156
Pioneer International Ltd. AUD0.50 ........................... 513,914 1,543,169
QBE Insurance Group AUD1 ..................................... 221,570 1,029,152
Rothmans Holdings Ltd. AUD0.50 ............................... 68,357 610,416
Samantha Gold NL Resolute Ltd. AUD0.20 ....................... 100,851 25,731
Santos Ltd. AUD0.25 .......................................... 341,337 926,706
Schroders Property Fund AUD1.00 .............................. 238,075 366,009
Sons of Gwalia Ltd. AUD0.25 .................................. 67,478 225,135
Southcorp Holdings Ltd. Ord AUD0.50 .......................... 383,853 1,348,496
Stockland Trust Group NPV .................................... 5,863 11,507
Stockland Trust Group AUD1.10 ................................ 217,030 454,339
Tab Corp. Holdings Ltd. AUD1.00 .............................. 228,621 1,542,601
Telstra Corp AUD0.50 ......................................... 4,752,163 25,741,395
Wesfarmers Ltd. AUD0.50 ...................................... 161,476 1,327,864
Western Mining Corp. AUD0.50 ................................. 700,428 3,849,047
Westfield Trust AUD1 ......................................... 941,076 1,840,799
Westfield Trust New Shs 31Aug99 .............................. 26,832 51,607
Westpac Banking Corp. AUD1 ................................... 1,138,684 7,826,946
Westralian Sands AUD0.50 ..................................... 138,985 367,333
Woolworths Ltd. AUD0.25 ...................................... 705,953 2,420,012
Zimbabwe Platinum NPV ........................................ 18,400 8,426
------------
(Cost $127,791,136).......................................... 141,225,807
------------
HONG KONG -- 38.2%
Bank of East Asia Ltd. HKD2.50 ............................... 893,786 2,489,286
Cathay Pacific Airways Ltd. HKD0.20 .......................... 2,222,000 3,958,925
Cheung Kong (Holdings) Ltd. HKD0.50 .......................... 1,487,000 18,842,156
Chinese Estates Holdings Ord HKD0.10 ......................... 910,294 187,364
CLP Holdings HKD5 ............................................ 1,346,707 6,202,111
Dickson Concept Inc. HKD0.30 ................................. 125,600 158,343
Electric & Eltek International Holdings Ltd. HKD0.10 ......... 608,000 114,975
First Pacific Co., Ltd. USD0.01 .............................. 1,434 1,116
Giordano International HKD0.1 ................................ 335,000 344,761
Hang Lung Development Co., Ltd.HKD1 .......................... 816,000 923,754
Hang Seng Bank Ltd. HKD5 ..................................... 1,237,012 14,122,958
Hong Kong & China Gas Co., Ltd. HKD0.25 ...................... 3,047,080 4,174,619
Hong Kong & Shanghai Hotels Ltd. HKD0.50 ..................... 759,500 503,174
Hong Kong Aircraft Engineering Co. HKD1 ...................... 119,400 198,143
Hong Kong Telecommunications Ltd. HKD0.50 .................... 7,881,535 $ 22,762,007
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-231
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (unless otherwise noted) SHARES VALUE
- -------------------------------------------------------- ------------ ------------
<S> <C> <C>
Hopewell Holdings HKD2.50 .............................. 543,200 323,188
Hutchison Whampoa Ltd. HKD0.25 ......................... 2,508,000 36,457,709
Hysan Development Co., Ltd. HKD5 ....................... 632,584 801,563
Johnson Eelectric Holdings HKD0.05 ..................... 603,160 3,871,832
Kumagai Gumi Ltd. HKD1 ................................. 276,000 100,302
Miramar Hotel & Investment HKD0.70 ..................... 379,350 407,484
New World Development Co., Ltd. HKD1 ................... 1,369,486 3,083,039
Oriental Press Group HKD0.25 ........................... 801,000 103,043
Peregrine Investment Holdings (a) HKD0.60 .............. 45,000 0
Regal Hotel International HKD0.10 ...................... 1,870,400 139,555
Shangri-La Asia Ltd. HKD1 .............................. 1,394,000 1,578,079
Shun Tak Holdings Ltd. HKD0.25 ......................... 754,000 143,554
Sino Land Co., Ltd. HKD1 ............................... 2,222,418 1,286,535
South China Morning Post HKD0.10 ....................... 1,137,000 979,983
Sun Hung Kai Properties Ltd. HKD0.50 ................... 1,553,320 16,185,620
Swire Pacific Ltd. HKD0.60 ............................. 1,019,000 6,016,865
Tai Cheung Holdings Ltd. HKD0.10 ....................... 287,600 69,555
Tan Chong International HKD.50 ......................... 313,500 66,947
Television Broadcasting Ltd. HKD0.05 ................... 288,000 1,963,594
Varitronix International Ltd. HKD0.25 .................. 188,000 430,488
Wharf Holdings Ltd. HKD1 ............................... 1,516,153 3,520,494
Wing Lung Bank Ltd. HKD5 ............................... 152,510 618,006
-----------
(Cost $107,207,015).................................... 153,131,127
-----------
NEW ZEALAND -- 2.8%
Brierley Investment Ltd. NZD0.50 ....................... 2,002,381 417,777
Carter Holt Harvey Ltd. NZD0.50 ........................ 1,172,778 1,529,302
Ceramco Corp., Ltd. Ord NZD0.50 ........................ 1,900 1,685
Contact Energy Ltd. NPV ................................ 388,783 679,344
Fisher & Paykel Industries NZD0.50 ..................... 76,058 289,604
Fletcher Challenge Forestry Ltd. NZD0 .................. 574,770 230,846
Fletcher Challenge Ltd.Paper Shares NZD0.40 ............ 465,664 325,473
Fletcher Challenge Ltd.Energy Shs NZD0.4 ............... 269,715 703,417
Fletcher Challenge Ltd.Building Shares NZD0.40 ......... 243,600 358,314
Lion Nathan Ltd. NZD0.25 ............................... 413,537 959,869
Telecom Corp. of New Zealand NZD1 ...................... 1,240,898 5,825,271
-----------
(Cost $10,573,103)..................................... 11,320,902
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-232
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) (unless otherwise noted) SHARES VALUE
- --------------------------------------------------- ------------ ---------------
<S> <C> <C>
SINGAPORE--18.1%
City Developments Ltd. SGD0.50 .................... 572,680 $ 3,351,519
Comfort Group SGD0.25 ............................. 271,000 148,839
Creative TechnologyOrd SGD0.25 .................... 64,550 1,170,114
Cycle & Carriage Ltd. SGD1 ........................ 170,000 525,510
DBS Group Holdings Ltd. SGD1 ...................... 927,365 15,196,317
DBS Land Ltd. SGD1 ................................ 847,250 1,668,055
First Capital Corp. SGD1 .......................... 196,000 261,177
Fraser & Neave Ltd. SGD1 .......................... 203,800 752,323
Haw Par Brothers International Ltd. SGD1 .......... 100,200 182,838
Hotel Properties SGD1 ............................. 315,000 283,613
Inchcape Behad SGD0.50 ............................ 83,000 86,189
Keppel Corp., Ltd. SGD1 ........................... 541,500 1,417,131
Natsteel Ltd. SGD0.50 ............................. 196,000 390,588
Neptune Orient Lines Ltd. SGD1 .................... 802,354 1,073,979
Overseas Chinese Bank SGD1 ........................ 853,819 7,841,195
Overseas Union Enterprise Ltd. SGD1 ............... 109,000 366,387
Parkway Holdings Ltd. SGD0.50 ..................... 249,000 564,958
Robinson & Co., Ltd. SGD1 ......................... 39,000 133,433
Sembcorp Industrie SGD0.25 ........................ 1,193,345 1,625,986
Singapore Airlines SGD1 ........................... 856,000 9,710,924
Singapore Press Holdings SGD1 ..................... 236,560 5,125,940
Singapore Technical Engineering SGD0.10 ........... 2,055,000 3,182,413
Singapore Telecommunications SGD0.15 .............. 4,024,000 8,308,860
Straits Trading Co., Ltd. SGD1 .................... 196,000 241,176
United Industrial Corp., Ltd.SGD1 ................. 974,000 549,556
United Overseas Bank Ltd. SGD1 .................... 695,198 6,134,100
United Overseas Land Ltd. SGD1 .................... 414,000 387,659
Venture Manufacturing SGD0.25 ..................... 151,000 1,731,152
------------
(Cost $53,399,313)................................ 72,411,931
------------
TOTAL COMMON STOCK
(Cost $298,970,567)............................... 378,089,767
------------
PREFERRED STOCK -- 3.1%
AUSTRALIA -- 3.1%
News Corp., Ltd.
(Cost $9,405,705) Pfd AUD0.50..................... 1,424,616 12,162,385
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-233
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Combined Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
--------------- ---------------
<S> <C> <C>
DEBT INSTRUMENTS -- 0.1% (unless otherwise noted)
AUSTRALIA--0.1%
AMP Group Finance 7.05% 10-Feb-00 (Cost $523,898)......... AUD 960,668 $ 585,507
------------
STATE STREET BANK AND TRUST COMPANY COLLECTIVE INVESTMENT
FUNDS--2.5% UNITS
SHORT TERM INVESTMENT FUND (b)
(Cost $10,066,368)....................................... 10,066,368 10,066,368
- ---------------------------------------------------------- ------------- ------------
TOTAL INVESTMENTS--100%
(Cost $318,966,538)...................................... $400,904,027
========================================================== ============
</TABLE>
- ----------
(a) Issuer filed for bankruptcy.
(b) Collective investment fund advised by State Street Global Advisors.
At December 31, 1999, foreign currency balances totaling $3,951,097 were
pledged to cover margin requirements for open futures contracts. The following
long futures contracts were open at December 31, 1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS COST DATE GAIN/(LOSS)
- -------------------------- ----------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
ASX All Ordinaries Index 269 $32,145,044 March 2000 $ 45,475
Hang Seng Stock Index 63 6,538,271 January 2000 337,520
---------
$ 382,995
=========
</TABLE>
The following forward foreign currency contracts were open at December 31,
1999:
<TABLE>
<CAPTION>
SETTLEMENT CONTRACTS UNREALIZED
DATE TO DELIVER IN EXCHANGE FOR GAIN/(LOSS)
- ------------ ------------------ ------------------- ------------
<S> <C> <C> <C> <C> <C>
3/7/00 USD 4,721,290 HKD 36,700,000 $ (1,066)
3/7/00 USD 1,544,044 HKD 12,000,000 (647)
3/7/00 HKD 30,000,000 USD 3,859,092 599
3/7/00 USD 13,103,534 AUD 20,685,000 440,391
3/7/00 USD 634,920 AUD 1,000,000 19,851
3/7/00 AUD 1,400,000 USD 890,792 (25,887)
3/7/00 AUD 2,000,000 USD 1,287,300 (22,241)
3/7/00 AUD 2,000,000 USD 1,285,000 (24,541)
3/7/00 AUD 1,000,000 USD 651,150 (3,620)
---------
$ 382,839
=========
</TABLE>
AUD: Australian Dollar
HKD: Hong Kong Dollar
USD: U.S. Dollar
The accompanying notes are an integral part of these financial statements.
SAI-234
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. GLOBAL SECURITIES LENDING PROGRAM: PRINCIPLES OF COMBINATION
The participants in the Daily MSCI Pacific Basin ex-Japan Index Securities
Lending Fund (the "Lending Fund") have authorized the Lending Fund to
participate in the Global 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 Daily MSCI Pacific Basin ex-Japan
Index 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
the Lending Fund and the Non-Lending Fund. The Lending Fund and the Non-Lending
Fund each maintain a divided pro-rata interest in the combined assets and
liabilities (including each investment security position but excluding assets
and liabilities related to securities lending activities) 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 Global 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 market
value of the loaned securities. At December 31, 1999, the market value of
securities loaned by the Lending Fund was $12,240,773 against which was held
cash collateral of $11,828,160 and securities of $978,584. Cash collateral
provided by the Borrowers is 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 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. Income earned from
lending activities is distributed to Lending Fund participants monthly.
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.
2. 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, 1999 were $159,087,091 and $47,034,992, respectively, resulting in
a net realized gain (loss) of $2,326,279. Net realized gain (loss) from foreign
currency transactions amounted to $157,456 for the year ended December 31,
1999.
SAI-235
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
3. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
-----------------------------------------------------------
1999 1998
-------------------------------- --------------------------
UNITS AMOUNT UNITS AMOUNT
--------------- ---------------- ----------- --------------
<S> <C> <C> <C> <C>
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
Units issued ................................................ 6,423,647 $ 72,667,076 3,808,938 $38,087,969
Units redeemed .............................................. (2,279,289) (27,530,753) -- --
---------- ------------- --------- -----------
Total ...................................................... 4,144,358 $ 45,136,323 3,808,938 $38,087,969
========== ============= ========= ===========
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED DECEMBER 31,
---------------------------------------------------------------
1999 1998
-------------------------------- ------------------------------
UNITS AMOUNT UNITS AMOUNT
--------------- ---------------- -------------- ---------------
<S> <C> <C> <C> <C>
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
Units issued ................................................ 8,292,264 $ 99,591,488 16,677,844 $166,744,415
Units redeemed .............................................. (3,407,241) (39,812,276) (4,925) (48,885)
---------- ------------- ---------- ------------
Total ...................................................... 4,885,023 $ 59,779,212 16,672,919 $166,695,530
---------- ------------- ---------- ------------
Net increase (decrease) ..................................... 9,029,381 $ 104,915,535 20,481,857 $204,783,499
========== ============= ========== ============
</TABLE>
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
Units in excess of 10% of the Lending Fund units outstanding at December
31, 1999 held by 1 of the Lending Fund's 2 unitholders aggregated 95% of the
Lending Fund's total units outstanding.
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
The Non-Lending Fund's 2 unitholders each held units in excess of 10% of
the Non-Lending Fund's units outstanding at December 31, 1999.
4. FUTURES CONTRACTS
The Fund may use futures contracts to manage exposure to the relevant
equity markets. Buying futures tends to increase a fund's exposure to the
underlying instrument. Selling futures tends to decrease a fund's exposure to
the underlying instrument, or hedge other 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
SAI-236
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX SECURITIES LENDING FUND
DAILY MSCI PACIFIC BASIN EX-JAPAN INDEX FUND
NOTES TO COMBINED FINANCIAL STATEMENTS
DECEMBER 31, 1999
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.
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.
SAI-237
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
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 State Street Bank and Trust
Company Daily Government/Corporate Bond Fund at December 31, 1999, and the
results of its operations, the changes in its net assets and the selected per
unit data for the periods indicated, in conformity with accounting principles
generally accepted in the United States. 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 auditing standards generally
accepted in the United States which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by the
Trustee, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
March 3, 2000
SAI-238
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at value (cost $5,276,365,480)........................ $ 5,149,082,143
Receivable for investments sold ................................................. 209,162,860
Variation margin receivable ..................................................... 55,975
Interest receivable ............................................................. 78,437,060
- --------------------------------------------------------------------------------- ---------------
Total assets ................................................................ 5,436,738,038
- --------------------------------------------------------------------------------- ---------------
LIABILITIES
Payable for investments purchased ............................................... 625,616,331
Accrued expenses ................................................................ 39,480
Payable for open swap contracts ................................................. 3,438,178
- --------------------------------------------------------------------------------- ----------------
Total liabilities ........................................................... 629,093,989
- --------------------------------------------------------------------------------- ----------------
NET ASSETS (equivalent to $13.92 per unit based on 345,303,370 units outstanding) $ 4,807,644,049
================================================================================= ================
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-239
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest ................................................................................ $ 289,648,858
- ------------------------------------------------------------------------------------------- --------------
EXPENSES
Audit ................................................................................... 22,500
Custody ................................................................................. 476,142
- ------------------------------------------------------------------------------------------- --------------
Total expenses ........................................................................... 498,642
- ------------------------------------------------------------------------------------------- --------------
Net investment income ................................................................. 289,150,216
- ------------------------------------------------------------------------------------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP CONTRACTS
AND OPTIONS CONTRACTS
Net realized gain (loss):
Investments ........................................................................... (154,457,279)
Futures contracts ..................................................................... 3,685,311
Swap contracts ........................................................................ (21,417,361)
Options contracts ..................................................................... (4,587,282)
- ------------------------------------------------------------------------------------------- --------------
(176,776,611)
--------------
Net change in unrealized appreciation (depreciation):
Investments ............................................................................. (202,183,716)
Futures contracts ....................................................................... 239,250
- ------------------------------------------------------------------------------------------- --------------
(201,944,466)
--------------
Net realized and unrealized gain (loss) on investments, futures contracts, swap
contracts and options contracts ....................................................... (378,721,077)
- ------------------------------------------------------------------------------------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .......................... $ (89,570,861)
=========================================================================================== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-240
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS
Net investment income .................................................................... $ 289,150,216 $ 259,575,705
Net realized gain (loss) on investments, futures contracts, swap contracts and options
contracts ............................................................................... (176,776,611 140,968,139
Net change in unrealized appreciation (depreciation) on investments and futures contracts (201,944,466) (20,760,645)
- ------------------------------------------------------------------------------------------ -------------- --------------
Net increase (decrease) in net assets resulting from operations .......................... (89,570,861) 379,783,199
- ------------------------------------------------------------------------------------------ -------------- --------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions ............ 253,354,095 (9,412,044)
- ------------------------------------------------------------------------------------------ -------------- --------------
Net increase (decrease) in net assets .................................................... 163,783,234 370,371,155
NET ASSETS
Beginning of year ....................................................................... 4,643,860,815 4,273,489,660
- ------------------------------------------------------------------------------------------ -------------- --------------
End of year ............................................................................. $4,807,644,049 $4,643,860,815
========================================================================================== ============== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-241
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout the Year)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1999 1998 1997 1996 1995
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Net investment income (a) .......................... $ 0.86 $ 0.80 $ 0.83 $ 0.78 $ 0.70
Net realized and unrealized gain (loss) ............ (1.12) 0.38 0.32 (0.42) 1.17
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) ............................ (0.26) 1.18 1.15 0.36 1.87
NET ASSET VALUE
Beginning of year ................................. 14.18 13.00 11.85 11.49 9.62
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
End of year ....................................... $ 13.92 $ 14.18 $ 13.00 $ 11.85 $ 11.49
==================================================== ========== ========== ========== ========== ==========
Total return (%)(b) ................................ (1.83) 9.09 9.70 3.13 19.44
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
Ratio of expenses to average net asset (%) ......... 0.01 0.01 0.01 0.01 0.01
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
Ratio of net investment income (loss) to
average net assets (%) ............................ 6.17 5.89 6.73 6.82 6.53
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
Portfolio Turnover ................................. 824 478 294 299 611
- ---------------------------------------------------- ---------- ---------- ---------- ---------- ----------
Net assets, end of year (000s) ..................... $4,807,644 $4,643,861 $4,273,490 $3,060,002 $1,991,393
==================================================== ========== ========== ========== ========== ==========
</TABLE>
(a) Net investment income per unit has been calculated based upon a monthly
average of units outstanding.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year. The calculation includes only those expenses
charged directly to the Fund. The 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 these financial statements.
SAI-242
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- ---------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS--85.0%
$ 5,000,000 360 Communications Company ........................... 6.65% 15-Jan-2008 $ 4,728,225
11,250,000 Amerada Hess Corporation ............................. 7.88% 01-Oct-2029 10,952,437
10,000,000 American Airlines .................................... 7.02% 15-Oct-2009 9,622,560
10,000,000 Anheuser Busch Cos. Incorporated ..................... 7.00% 01-Dec-2025 8,942,560
10,000,000 AON Corp. ............................................ 6.90% 01-Jul-2004 9,856,380
2,000,000 Apache Corp. ......................................... 7.63% 01-Nov-2096 1,846,212
10,000,000 Apache Corporation ................................... 7.00% 01-Feb-2018 9,122,580
15,000,000 Apache Finance Corporation ........................... 7.75% 15-Dec-2029 14,558,505
3,000,000 Archer Daniels Midland Co. ........................... 8.88% 15-Apr-2011 3,258,774
11,170,000 Associates Corporation NA ............................ 6.50% 15-Jul-2002 11,049,040
20,000,000 Associates Corporation NA ............................ 5.85% 15-Jan-2001 19,807,660
2,000,000 AT&T Canada Inc. ..................................... 12.00% 15-Aug-2007 2,320,000
10,000,000 AT&T Canada Inc. (a) ................................. 0.00% 01-Nov-2007 8,457,330
10,000,000 AT&T Canada Inc. (a) ................................. 0.00% 15-Jun-2003 7,965,000
10,000,000 AT&T Corp. ........................................... 6.50% 15-Mar-2029 8,621,860
7,630,000 AT&T Corp. ........................................... 6.00% 15-Mar-2009 6,942,018
9,000,000 Avon Energy Partners Holdings (b) .................... 6.73% 11-Dec-2002 8,847,144
5,300,000 Banco Santiago SA .................................... 7.00% 18-Jul-2007 4,777,759
8,050,000 Bank of America Corp. ................................ 5.88% 15-Feb-2009 7,184,319
20,000,000 Bank of America Corp. ................................ 5.75% 01-Mar-2004 18,983,340
11,700,000 Bear Stearns Commercial Mortgage Security ............ 7.08% 15-Jul-2031 11,413,900
11,484,768 Bear Stearns Commercial Mortgage Security ............ 6.80% 15-Sep-2008 11,292,754
19,860,000 Branch Banking & Trust Co. ........................... 5.70% 01-Feb-2001 19,599,576
11,300,000 Burlington Northern Santa Fe Corp. ................... 7.29% 01-Jun-2036 11,081,300
6,000,000 Burlington Resources Incorporated .................... 7.38% 01-Mar-2029 5,654,886
19,100,000 Cable & Wireless Optus Finance Property (b) .......... 8.13% 15-Jun-2009 19,075,132
7,868,000 Canadian National Railway ............................ 6.90% 15-Jul-2028 7,053,827
1,900,000 Case Corporation ..................................... 7.25% 01-Aug-2005 1,863,283
23,300,000 Caterpillar Financial Services ....................... 5.47% 12-Sep-2001 22,746,578
12,899,485 Chase Manhattan Bank-First Union ..................... 7.13% 15-Jul-2007 12,824,913
8,000,000 Chase Manhattan Corporation .......................... 5.75% 15-Apr-2004 7,583,056
8,750,000 Chesapeake & Potomac Telephone Co. ................... 7.88% 15-Jan-2022 8,948,275
7,650,000 Chrysler Financial Llc ............................... 5.88% 07-Feb-2001 7,591,485
20,000,000 CIT Group Incorporated ............................... 6.39% 06-Jan-2000 * 20,065,960
9,750,000 CIT Group Incorporated ............................... 5.91% 10-Nov-2003 9,322,287
5,000,000 CIT Group Incorporated ............................... 5.80% 26-Mar-2002 4,885,085
6,255,000 CIT Group Incorporated ............................... 5.50% 15-Oct-2001 6,107,113
19,900,000 CitiBank Credit Card Master Trust I .................. 5.85% 10-Apr-2003 19,663,687
9,800,000 Citigroup Incorporated ............................... 9.50% 01-Mar-2002 10,298,781
10,000,000 Citigroup Incorporated ............................... 6.20% 15-Mar-2009 9,192,700
10,000,000 CMS Panhandle Holding Company ........................ 6.50% 15-Jul-2009 9,146,200
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-243
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 17,000,000 CMS Panhandle Holding Company ............................. 6.13% 15-Mar-2004 $ 16,138,457
5,000,000 Coastal Corporation ....................................... 6.50% 01-Jun-2008 4,628,760
8,180,000 Colorado Interstate Gas Company ........................... 10.00% 15-Jun-2005 8,880,077
2,216,000 Columbia Gas Systems Inc. ................................. 7.62% 28-Nov-2025 1,968,869
5,000,000 Comcast Cable Communications I ............................ 6.20% 15-Nov-2008 4,543,390
20,000,000 Comdisco Incorporated ..................................... 5.95% 30-Apr-2002 19,460,660
5,000,000 Computer Sciences Corporation ............................. 6.25% 15-Mar-2009 4,507,865
38,000,000 Conoco Incorporated ....................................... 6.95% 15-Apr-2029 34,373,432
7,100,000 Conoco Incorporated ....................................... 6.35% 15-Apr-2009 6,584,753
8,000,000 Conoco Incorporated ....................................... 5.90% 15-Apr-2004 7,637,984
13,500,000 Continental Airlines ...................................... 7.26% 15-Mar-2020 12,468,816
5,430,000 Continental Bank NA ....................................... 7.88% 01-Feb-2003 5,527,729
4,000,000 Continental Cablevision ................................... 8.30% 15-May-2006 4,072,320
4,000,000 Corning Incorporated ...................................... 6.85% 01-Mar-2029 3,547,924
5,000,000 Corning Incorporated ...................................... 6.30% 01-Mar-2009 4,602,360
14,300,000 Daimler Chrysler NA Holdings .............................. 6.63% 21-Sep-2001 14,238,367
20,000,000 Daimler Chrysler NA Holdings .............................. 6.59% 18-Jun-2002 19,825,000
15,000,000 Delta Airlines Inc. (b) ................................... 7.90% 15-Dec-2009 14,732,670
5,000,000 Delta Airlines Inc. ....................................... 6.65% 15-Mar-2004 4,825,755
28,500,000 Discover Card Master Trust I .............................. 5.90% 15-Oct-2004 27,894,375
5,000,000 Donaldson Lufkin Jenrette ................................. 5.88% 01-Apr-2002 4,882,000
4,150,000 Dow Chemical .............................................. 7.38% 01-Nov-2029 3,983,253
10,000,000 DR Investments (b) ........................................ 7.10% 15-May-2002 9,970,920
20,000,000 Edison International Inc. ................................. 6.88% 15-Sep-2004 19,601,540
10,000,000 El Paso Energy Corp. ...................................... 6.75% 15-May-2009 9,363,890
4,600,000 Enron Corporation ......................................... 9.65% 15-May-2001 4,742,775
5,000,000 Enron Corporation ......................................... 9.13% 01-Apr-2003 5,247,060
5,000,000 Enron Corporation ......................................... 6.95% 15-Jul-2028 4,393,365
10,450,000 Enron Corporation ......................................... 6.75% 01-Aug-2009 9,775,421
7,000,000 Enron Corporation. ........................................ 6.50% 01-Aug-2002 6,882,407
1,500,000 EOP Operating LP .......................................... 6.50% 15-Jan-2004 1,431,978
8,850,000 EOP Operating LP .......................................... 6.38% 15-Feb-2003 8,521,913
5,840,000 Equitable Life Assurance Society (b) ...................... 7.70% 01-Dec-2015 5,755,367
7,900,000 Equitable Life Assurance Society (b) ...................... 6.95% 01-Dec-2005 7,629,148
8,500,000 Farmer Corporation (b) .................................... 7.57% 15-Jun-2029 8,246,641
29,000,000 Federal Home Loan Mortgage Corp. 30 Year TBA (c) .......... 7.50% 01-Dec-2029 28,701,010
5,300,000 Federal Home Loan Mortgage Corp. 30 Year TBA (c) .......... 7.00% 01-Dec-2029 5,129,393
8,389,236 Federal Home Loan Mortgage Corp. .......................... 5.93% 25-May-2006 8,256,661
442,611 Federal Home Loan Pc ...................................... 6.50% 01-Jun-2029 417,298
119,452 Federal National Mortgage Association ..................... 8.00% 01-Jan-2028 120,422
362,485 Federal National Mortgage Association ..................... 8.00% 01-Dec-2028 365,428
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-244
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 1,030,519 Federal National Mortgage Association .......................... 7.91% 01-Feb-2001 $ 1,030,519
187,455 Federal National Mortgage Association .......................... 7.50% 01-Aug-2022 186,283
218,748 Federal National Mortgage Association .......................... 7.50% 01-Sep-2022 217,381
186,621 Federal National Mortgage Association .......................... 7.50% 01-Nov-2022 185,454
401,687 Federal National Mortgage Association .......................... 7.50% 01-Mar-2023 399,176
638,420 Federal National Mortgage Association .......................... 7.50% 01-May-2024 633,632
140,430 Federal National Mortgage Association .......................... 7.50% 01-May-2024 139,377
52,778 Federal National Mortgage Association .......................... 7.50% 01-Jun-2024 52,382
452,493 Federal National Mortgage Association .......................... 7.50% 01-Aug-2024 449,100
165,139 Federal National Mortgage Association .......................... 7.50% 01-Aug-2024 163,900
129,882 Federal National Mortgage Association .......................... 7.50% 01-Aug-2024 129,030
81,805 Federal National Mortgage Association .......................... 7.50% 01-Sep-2024 81,309
37,353 Federal National Mortgage Association .......................... 7.50% 01-Oct-2024 37,073
249,076 Federal National Mortgage Association .......................... 7.50% 01-Jul-2029 246,274
254,200,000 Federal National Mortgage Association 30 Year TBA (c) .......... 7.50% 01-Dec-2029 251,737,438
60,000,000 Federal National Mortgage Association 30 Year TBA (c) .......... 7.50% 31-Dec-2029 59,362,500
164,620,000 Federal National Mortgage Association 30 Year TBA (c) .......... 6.50% 01-Dec-2029 155,411,569
5,157,288 Federal National Mortgage Association .......................... 6.84% 01-Jan-2005 5,006,695
195,035,000 Federal National Mortgage Association .......................... 6.63% 15-Sep-2009 189,598,009
41,500,000 Federal National Mortgage Association .......................... 6.50% 15-Aug-2004 40,992,912
15,000,000 Federal National Mortgage Association .......................... 6.25% 15-May-2029 13,400,370
4,766,823 Federal National Mortgage Association .......................... 6.00% 01-Dec-2013 4,525,478
3,123,511 Federal National Mortgage Association .......................... 6.00% 01-Dec-2013 2,965,367
125,212 Federal National Mortgage Association .......................... 6.00% 01-Dec-2013 118,872
906,198 Federal National Mortgage Association .......................... 6.00% 01-Jan-2014 860,317
109,603 Federal National Mortgage Association .......................... 6.00% 01-Jun-2014 103,986
3,956,420 Federal National Mortgage Association .......................... 6.00% 01-Nov-2028 3,618,858
6,565,000 Federated Department Stores Incorporated ....................... 10.00% 15-Feb-2001 6,778,744
7,450,000 Federated Department Stores Incorporated ....................... 6.79% 15-Jul-2027 7,240,990
6,000,000 Federated Department Stores Incorporated ....................... 6.30% 01-Apr-2009 5,463,840
5,450,000 Financing Corp. ................................................ 10.35% 03-Aug-2018 7,019,485
3,800,000 Financing Corp. ................................................ 9.40% 08-Feb-2018 4,525,234
7,000,000 Finova Capital Corporation ..................................... 7.25% 08-Nov-2004 6,920,571
5,000,000 Finova Capital Corporation ..................................... 6.38% 15-May-2005 4,716,570
10,000,000 Finova Capital Corporation ..................................... 6.25% 01-Nov-2002 9,741,520
15,000,000 Finova Capital Corporation ..................................... 6.11% 18-Feb-2003 14,462,340
4,000,000 First Bank NA .................................................. 6.38% 15-Mar-2001 3,979,164
4,495,374 First Union Lehman Brothers Bank ............................... 6.28% 18-Jun-2007 4,344,532
15,000,000 Firstar Corporation ............................................ 6.35% 13-Jul-2001 14,887,575
10,000,000 Fleet Boston Corp. ............................................. 9.00% 01-Dec-2001 10,366,210
15,000,000 Fleet Boston Corp. ............................................. 6.38% 25-Mar-2008 13,884,825
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-245
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 2,850,000 Fleet Boston Corp. ................................................ 5.75% 15-Jan-2009 $ 2,510,662
15,400,000 Fleet Financial Group Inc. ........................................ 6.88% 15-Jan-2028 13,628,738
1,902,372 Fleetwood Credit Grantor Trust .................................... 6.64% 17-Sep-2012 1,884,538
7,705,000 Ford Credit Auto Loan Master Trust ................................ 6.50% 15-Aug-2002 7,701,386
11,875,000 Ford Credit Auto Loan Master Trust ................................ 5.50% 15-Feb-2003 11,708,014
45,800,000 Ford Motor Company ................................................ 7.45% 16-Jul-2031 44,395,085
11,569,000 Ford Motor Credit Company ......................................... 8.20% 15-Feb-2002 11,843,544
29,800,000 Ford Motor Credit Company ......................................... 7.38% 28-Oct-2009 29,490,885
15,215,000 Ford Motor Credit Company ......................................... 6.50% 28-Feb-2002 15,071,279
15,855,000 Ford Motor Credit Company ......................................... 5.75% 23-Feb-2004 15,047,441
15,000,000 GATX Capital Corp. ................................................ 6.50% 01-Nov-2000 14,947,980
15,000,000 General Motors Acceptance Corp. ................................... 7.13% 01-May-2001 15,055,200
23,500,000 General Motors Acceptance Corp. ................................... 6.75% 05-Jun-2001 23,460,308
17,750,000 General Motors Acceptance Corp. ................................... 6.45% 27-Aug-2001 17,632,850
25,000,000 General Motors Acceptance Corp. ................................... 6.38% 28-Sep-2001 24,796,325
28,000,000 General Motors Acceptance Corp. ................................... 6.35% 28-Sep-2001 27,760,572
5,500,000 General Motors Acceptance Corp. ................................... 5.63% 15-Feb-2001 5,429,595
15,000,000 General Motors Acceptance Corp. ................................... 5.50% 14-Jan-2002 14,601,105
30,000,000 General Motors Acceptance Corp. ................................... 5.35% 04-May-2001 29,440,320
11,300,000 Georgia Pacific Group ............................................. 7.75% 15-Nov-2029 10,831,208
6,850,000 Georgia Pacific Group ............................................. 7.25% 01-Jun-2028 6,177,947
6,150,000 Goldman Sachs Group Incorporated .................................. 7.35% 01-Oct-2009 6,017,996
2,166,723 Government National Mortgage Association .......................... 9.50% 15-Nov-2009 2,263,835
85,982 Government National Mortgage Association .......................... 7.00% 15-Jan-2029 83,026
90,292 Government National Mortgage Association .......................... 7.00% 15-Jun-2029 87,192
2,475,000 Government National Mortgage Association 30 Year TBA (c) .......... 7.00% 15-Dec-2029 2,392,242
9,075,000 GTE Corp. ......................................................... 9.38% 01-Dec-2000 9,272,599
2,885,000 GTE Incorporated .................................................. 6.86% 01-Feb-2028 2,598,626
18,300,000 Harrahs Operating Incorporated .................................... 7.50% 15-Jan-2009 17,309,952
20,000,000 Hilfiger (Tommy) USA Inc. ......................................... 6.50% 01-Jun-2003 19,185,400
19,600,000 Honda Auto Lease Trust ............................................ 6.65% 15-Jul-2005 19,498,942
3,850,000 Household Netherlands BV .......................................... 6.13% 01-Mar-2003 3,727,863
11,000,000 Hyder PLC (b) ..................................................... 6.75% 15-Dec-2004 10,606,145
22,500,000 IBM ............................................................... 6.50% 15-Jan-2028 19,951,087
7,150,000 International Paper Company ....................................... 6.88% 15-Apr-2029 6,273,310
1,825,000 Ireland (Republic) ................................................ 7.13% 15-Jul-2002 1,841,872
4,000,000 Jones Intercable Incorporated ..................................... 9.63% 15-Mar-2002 4,230,000
6,305,000 Kemper Corp. ...................................................... 6.88% 15-Sep-2003 6,232,429
9,730,000 Korea (Republic) .................................................. 8.88% 15-Apr-2008 10,270,424
8,000,000 Korea (Republic) .................................................. 8.75% 15-Apr-2003 8,332,280
34,500,000 Korea Development Bank (b) ........................................ 7.63% 01-Oct-2002 34,522,494
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-246
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 7,265,000 Korea Development Bank ............................... 7.13% 22-Apr-2004 $ 7,097,593
5,000,000 Kroger Company ....................................... 6.34% 01-Jun-2001 4,945,230
11,860,000 Lehman Brothers Holdings Incorporated ................ 7.13% 15-Jul-2002 11,811,860
10,000,000 Lehman Brothers Holdings Incorporated ................ 6.90% 29-Jan-2001 10,017,670
19,400,000 Lehman Brothers Holdings Incorporated ................ 6.38% 15-Mar-2001 19,254,927
5,300,000 Lehman Brothers Holdings Incorporated ................ 6.00% 26-Feb-2001 5,240,481
20,589,000 Lockheed Martin Corp. ................................ 6.85% 15-May-2001 20,514,921
10,000,000 Mack-Cali Reality LP ................................. 7.00% 15-Mar-2004 9,660,860
8,500,000 Manitoba Province .................................... 9.00% 15-Dec-2000 8,675,924
12,500,000 Manitoba Province .................................... 8.75% 15-May-2001 12,825,525
5,175,000 Masco Corporation .................................... 7.75% 01-Aug-2029 5,121,164
1,500,000 Masco Corporation .................................... 7.13% 15-Aug-2013 1,428,548
5,290,000 Masco Corporation .................................... 6.63% 15-Apr-2018 4,703,006
10,250,000 Massachusetts Mutual Life Insurance Co. (b) .......... 7.63% 15-Nov-2023 9,958,582
5,925,000 Massachusetts Mutual Life Insurance Co. .............. 7.50% 01-Mar-2024 5,676,304
10,000,000 MBNA Credit Card Master Trust ........................ 6.60% 16-Apr-2007 9,825,000
5,000,000 Mead Corp. ........................................... 6.60% 01-Mar-2002 4,963,640
3,410,000 Mellon Capital II .................................... 8.00% 15-Jan-2027 3,294,841
5,000,000 Mellon Financial Company ............................. 9.75% 15-Jun-2001 5,195,870
4,800,000 Mellon Financial Company ............................. 5.75% 15-Nov-2003 4,566,384
28,850,000 Merrill Lynch & Company Inc. ......................... 6.00% 17-Feb-2009 25,945,901
7,500,000 Midamerican Funding LLC (b) .......................... 6.93% 01-Mar-2029 6,549,780
10,000,000 Midamerican Funding LLC (b) .......................... 6.34% 01-Mar-2009 9,076,300
6,500,000 Mirage Resorts Incorporated .......................... 6.75% 01-Aug-2007 5,818,163
10,000,000 Morgan Stanley Dean Witter ........................... 5.88% 28-Feb-2001 9,889,030
3,000,000 Morgan Stanley Dean Witter ........................... 5.63% 20-Jan-2004 2,838,303
20,000,000 Morgan Stanley Group Incorporated .................... 7.13% 15-Jan-2003 19,979,740
8,250,000 National City Bank ................................... 6.35% 15-Mar-2001 8,199,980
4,335,000 National Westminster Bank PLC ........................ 9.45% 01-May-2001 4,471,605
5,000,000 NationsBank Corp. .................................... 7.25% 15-Oct-2025 4,674,660
15,000,000 NationsBank Corp. .................................... 6.80% 15-Mar-2028 13,204,650
13,500,000 NationsBank Corp. .................................... 6.13% 15-Jul-2004 12,955,990
6,250,000 NationsBank Corp. .................................... 5.85% 05-Feb-2002 6,121,069
5,900,000 NationsBank Corp. .................................... 5.75% 25-Jan-2001 5,835,708
6,700,000 Nationslink Funding Corporation ...................... 6.32% 20-Nov-2008 6,221,057
12,150,000 New York Life Insurance Co. (b) ...................... 6.40% 15-Dec-2003 11,787,614
13,310,000 Niagara Mohawk Power ................................. 7.75% 01-Oct-2008 13,337,645
24,500,000 Norfolk Southern Corporation ......................... 6.88% 01-May-2001 24,467,341
5,000,000 Norsk Hydro A/S ...................................... 7.15% 15-Jan-2029 4,507,500
7,650,000 Northrop Grumman Corporation ......................... 9.38% 15-Oct-2024 8,241,284
5,000,000 Northrop Grumman Corporation ......................... 7.88% 01-Mar-2026 4,732,955
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-247
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 5,000,000 Norwest Corp. ............................ 5.63% 05-Feb-2001 $ 4,937,585
5,000,000 Norwest Financial Inc. ................... 6.20% 15-Feb-2001 4,966,510
3,745,000 Nova Scotia Province (Canada) ............ 9.38% 15-Jul-2002 3,961,678
5,152,000 Occidental Petroleum Corp. ............... 8.50% 09-Nov-2001 5,254,824
2,500,000 Occidental Petroleum Corp. ............... 7.65% 15-Feb-2006 2,501,595
10,000,000 Occidental Petroleum Corp. ............... 7.38% 15-Nov-2008 9,758,770
9,650,000 Ontario Province ......................... 7.63% 22-Jun-2004 9,881,735
10,500,000 Ontario Province ......................... 7.38% 27-Jan-2003 10,612,109
8,270,000 Orange Plc ............................... 9.00% 01-Jun-2009 8,689,496
5,000,000 Pacific Bell ............................. 6.25% 01-Mar-2005 4,762,320
6,200,000 Pacific Mutual (b) ....................... 7.90% 30-Dec-2023 6,173,588
7,550,000 Paine Webber Group Inc. .................. 6.38% 15-May-2004 7,189,004
6,600,000 Pennzoil Quaker State Co. ................ 7.38% 01-Apr-2029 5,891,978
10,000,000 Pepsi Bottling Group Inc. ................ 7.00% 01-Mar-2029 9,093,550
5,000,000 Petroleum Geo Services A/S ............... 7.50% 31-Mar-2007 4,886,530
5,000,000 Petroleum Geo Services A/S ............... 7.13% 30-Mar-2028 4,372,125
4,000,000 Petroleum Geo Services A/S ............... 8.15% 15-Jul-2029 3,942,676
8,395,000 PNC Funding Corporation .................. 9.88% 01-Mar-2001 8,676,367
7,000,000 Poland (Republic) (a) .................... 6.00% 27-Oct-2014 6,098,967
28,150,000 Premier Auto Trust ....................... 5.49% 10-Feb-2003 27,683,780
5,000,000 Progressive Corporation Ohio ............. 6.63% 01-Mar-2029 4,271,560
12,905,000 Provident Bank Cincinnati Ohio ........... 6.13% 15-Dec-2000 12,858,000
36,500,000 Quebec Province .......................... 7.50% 15-Sep-2029 35,646,155
15,000,000 Quebec Province .......................... 5.75% 15-Feb-2009 13,364,880
10,000,000 Raytheon Company ......................... 6.75% 15-Aug-2007 9,218,550
2,100,000 Raytheon Company ......................... 6.75% 15-Mar-2018 1,828,535
7,900,000 Reliaster Financial Corporation .......... 6.63% 15-Sep-2003 7,745,902
3,950,000 Reliaster Financial Corporation .......... 6.50% 15-Nov-2008 3,633,625
20,012,000 Resolution Funding Corp. ................. 8.88% 15-Jul-2020 24,141,456
12,618,000 Resolution Funding Corp. ................. 8.63% 15-Jan-2021 14,904,647
22,150,000 Resolution Funding Corp. ................. 8.13% 15-Oct-2019 24,870,729
16,150,000 Rohm & Haas Company ...................... 7.85% 15-Jul-2029 16,297,918
5,325,000 Royal Caribbean Cruises Ltd .............. 7.50% 15-Oct-2027 4,806,201
5,000,000 Royal Caribbean Cruises Ltd. ............. 6.75% 15-Mar-2008 4,610,340
10,000,000 Saks Incorporated ........................ 8.25% 15-Nov-2008 9,775,740
7,000,000 Saks Incorporated ........................ 7.00% 15-Jul-2004 6,653,661
9,500,000 Salomon Inc. ............................. 7.20% 01-Feb-2004 9,512,417
11,150,000 Seagram Joseph E & Sons Inc. ............. 6.80% 15-Dec-2008 10,444,417
19,090,000 Seagram Joseph E & Sons Inc. ............. 5.79% 15-Apr-2001 18,802,848
20,000,000 Sears Roebuck Acceptance Corp. ........... 5.63% 07-Feb-2001 19,729,440
5,000,000 Simon Property Group LP .................. 7.13% 09-Feb-2009 4,574,310
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-248
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 10,150,000 Sola International Inc. .............................. 6.88% 15-Mar-2008 $ 8,961,506
12,000,000 Spieker Propertys Inc. ............................... 6.88% 01-Feb-2005 11,453,556
41,750,000 Sprint Capital Corporation ........................... 6.88% 15-Nov-2028 37,293,772
5,000,000 Sprint Capital Corporation ........................... 6.38% 01-May-2009 4,606,440
10,000,000 Sprint Spectrum LP ................................... 1.00% 15-Aug-2006 9,269,800
18,500,000 Sun Life Canada US Trust I (b) ....................... 8.53% 29-May-2049 17,613,184
8,310,000 Svenska Handelsbanken ................................ 8.35% 15-Jul-2004 8,664,297
9,400,000 TCI Communciations Inc. .............................. 8.65% 15-Sep-2004 9,938,047
11,100,000 Time Warner Inc. ..................................... 8.18% 15-Aug-2007 11,450,272
14,865,000 Time Warner Inc. ..................................... 7.25% 15-Oct-2017 13,988,039
1,000,000 Tosco Corp. .......................................... 7.80% 01-Jan-2027 950,571
5,000,000 Toyota Motor Credit Corp. ............................ 5.63% 13-Nov-2003 4,768,485
25,100,000 TPSA Finance BV (b) .................................. 7.75% 10-Dec-2008 23,616,264
23,850,000 TPSA Finance BV (b) .................................. 7.13% 10-Dec-2003 23,209,126
16,870,000 Tyco International Group SA .......................... 6.13% 15-Jun-2001 16,572,767
12,400,000 Union Pacific Corporation ............................ 7.38% 15-Sep-2009 12,130,870
3,525,000 Union Pacific Corporation ............................ 6.79% 09-Nov-2007 3,325,408
27,195,000 Union Pacific Corporation ............................ 6.63% 01-Feb-2029 23,075,909
12,200,000 Union Texas Petroleum Holdings Incorporated .......... 8.38% 15-Mar-2005 12,741,363
5,000,000 United Air Lines Incorporated ........................ 10.67% 01-May-2004 5,454,980
75,000,000 United States Treasury Bonds ......................... 11.25% 15-Feb-2015 105,937,500
9,050,000 United States Treasury Bonds ......................... 10.38% 15-Nov-2012 10,997,026
30,000,000 United States Treasury Bonds ......................... 8.88% 15-Aug-2017 36,225,000
32,890,000 United States Treasury Bonds ......................... 8.75% 15-Aug-2020 39,840,940
13,890,000 United States Treasury Bonds ......................... 8.50% 15-Feb-2020 16,413,341
36,000,000 United States Treasury Bonds ......................... 8.13% 15-Aug-2019 41,023,440
30,000,000 United States Treasury Bonds ......................... 8.13% 15-Aug-2021 34,415,400
54,770,000 United States Treasury Bonds ......................... 6.75% 15-Aug-2026 55,025,612
33,650,000 United States Treasury Bonds ......................... 6.13% 15-Aug-2029 32,093,620
3,845,000 United States Treasury Bonds ......................... 5.25% 15-Feb-2029 3,180,945
5,510,000 United States Treasury Notes ......................... 7.50% 15-Feb-2005 5,743,789
2,000,000 United States Treasury Notes ......................... 6.50% 31-May-2002 2,009,704
3,800,000 United States Treasury Notes ......................... 6.50% 15-Aug-2005 3,797,454
225,000,000 United States Treasury Notes ......................... 6.13% 31-Dec-2001 224,433,900
100,000,000 United States Treasury Notes ......................... 6.00% 15-Aug-2004 98,685,800
155,830,000 United States Treasury Notes ......................... 6.00% 15-Aug-2009 150,904,993
52,800,000 United States Treasury Notes ......................... 5.88% 15-Nov-2004 51,736,555
42,006,800 United States Treasury Notes ......................... 3.63% 15-Jul-2002 41,580,179
13,090,000 US Leasing International Inc. ........................ 6.63% 15-May-2003 12,912,644
5,000,000 USX Marathon Group ................................... 6.85% 01-Mar-2008 4,712,270
7,250,000 Vastar Resources Incorporated ........................ 6.50% 01-Apr-2009 6,755,927
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-249
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE
- --------------- -----------------
<S> <C> <C> <C> <C>
DEBT INSTRUMENTS (CONTINUED)
$ 13,850,000 Victorian Public Authority Financing ........................ 8.25% 15-Jan-2002 $ 14,226,872
39,400,000 Wal-Mart Stores Inc. ........................................ 6.88% 10-Aug-2009 38,481,547
5,000,000 Washington Post Company ..................................... 5.50% 15-Feb-2009 4,418,645
15,900,000 Waste Management Incorporated (Delaware) (b) ................ 6.00% 15-May-2001 15,232,216
15,330,000 Westpac Banking Ltd. ........................................ 9.13% 15-Aug-2001 15,826,125
1,000,000 Westvaco Corp. .............................................. 7.10% 15-Nov-2009 959,974
4,000,000 Willamette Industries Inc. .................................. 7.85% 01-Jul-2026 3,960,420
13,500,000 Williams Cos Inc. ........................................... 7.63% 15-Jul-2019 12,951,805
30,000,000 Williams Cos Inc. ........................................... 6.13% 01-Feb-2001 29,752,950
5,835,000 WMX Technologies Inc. ....................................... 6.25% 15-Oct-2000 5,717,833
20,128,000 Worldcom Inc. ............................................... 6.95% 15-Aug-2028 18,390,551
4,070,000 Worldcom Inc. ............................................... 6.40% 15-Aug-2005 3,932,092
23,200,000 Worldcom Inc. ............................................... 6.13% 15-Aug-2001 22,918,933
8,000,000 Zions Institutional Capital Trust A ......................... 8.54% 15-Dec-2026 8,063,600
------------ -------------------------------------------------------------- ---- ----------- --------------
TOTAL DEBT INSTRUMENTS (Cost $4,501,518,209) ................ 4,374,234,872
-------------------------------------------------------------- --------------
U.S. GOVERNMENT OBLIGATIONS--0.0%
2,000,000 United States Treasury Bills (d) (Cost $1,994,522) .......... 20-Jan-2000 1,994,522
------------ -------------------------------------------------------------- ----------- --------------
UNITS
STATE STREET BANK AND TRUST COMPANY COLLECTIVE
INVESTMENT FUNDS--15.0%
772,852,749 Short Term Investment Fund (e) (Cost $772,852,749) .......... 772,852,749
------------ -------------------------------------------------------------- --------------
TOTAL INVESTMENTS--100% (Cost $5,276,365,480) ............... $5,149,082,143
============================================================== ==============
</TABLE>
(a) Step Coupon Bond. Rate disclosed is that which was in effect at December
31, 1999.
(b) Secutiry exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(c) All or a portion of these securities have been purchased on a delayed
delivery basis.
(d) At December 31, 1999, U.S. Treasury Bills with principal of $425,000
were pledged to cover margin requirements for open futures contracts.
The following long (short) futures contracts were open at December 31,
1999:
<TABLE>
<CAPTION>
FUTURES NUMBER OF NOTIONAL MATURITY UNREALIZED
CONTRACTS CONTRACTS COST DATE GAIN/(LOSS)
- ---------------------------- ----------- ---------------- ------------- ------------
<S> <C> <C> <C> <C>
U.S. Treasury Bond ......... (107) $ (9,953,702) 22-Mar-2000 $ 223,389
U.S. Treasury Note ......... (333) (32,540,705) 22-Mar-2000 619,532
U.S. Treasury Note ......... 500 99,862,260 29-Mar-2000 (557,570)
----------
$ 285,351
==========
</TABLE>
(e) Collective investment fund advised by State Street Global Advisors.
* Variable rate security. Rate disclosed is that which was in effect at
December 31, 1999. Date disclosed is the next reset date.
The accompanying notes are an integral part of these financial statements.
SAI-250
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
- --------------------------------------------------------------------------------
The following swap contracts were open at December 31, 1999:
<TABLE>
<CAPTION>
CURRENT UNREALIZED
NOTIONAL APPRECIATION
AMOUNT DESCRIPTION (DEPRECIATION)
- ---------------- -------------------------------------------------------------------------------------------- ---------------
<S> <C> <C>
$ 50,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective October 2, 1999 and $0
terminating on October 1, 2000 to make monthly payments equal to 1 month LIBOR minus
40 basis points multiplied by the current notional amount of $50,000,000; and to receive or
make payments equal to the current notional amount multiplied by the month to date total
return of the Lehman Brothers Commercial MBS Index.
50,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective July 1, 1999 and terminating 0
on March 1, 2000 to make monthly payments equal to 1 month LIBOR minus 20 basis
points multiplied by the current notional amount of $50,000,000; and to receive or make
payments equal to the current notional amount multiplied by the month to date total return
of the Lehman Brothers Corporate Index.
50,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective August 1, 1999 and 0
terminating on June 1, 2000 to make monthly payments equal to 1 month LIBOR minus 30
basis points multiplied by the current notional amount of $50,000,000; and to receive or
make payments equal to the current notional amount multiplied by the month to date total
return of the Lehman Brothers Corporate Index.
45,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective May 1, 1999 and terminating 0
on February 1, 2000 to make monthly payments equal to 1 month LIBOR multiplied by the
current notional amount of $45,000,000; and to receive or make payments equal to the
current notional amount multiplied by the month to date total return of the Lehman Brothers
Commercial MBS Index.
50,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective May 15, 1999 and terminating 0
on February 1, 2000 to make monthly payments equal to 1 month LIBOR minus 20 basis
points multiplied by the current notional amount of $50,000,000; and to receive or make
payments equal to the current notional amount multiplied by the month to date total return
of the Lehman Brothers Corporate Index.
50,000,000 Agreement with Goldman Sachs Capital Markets, NY, effective July 1, 1999 and terminating 0
on May 1, 2000 to make monthly payments equal to 1 month LIBOR minus 20 basis points
multiplied by the current notional amount of $50,000,000; and to receive or make payments
equal to the current notional amount multiplied by the month to date total return of the
Lehman Brothers Long Corporate Index. --
$0
==
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-251
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Daily
Government/Corporate Bond Fund (the "Fund") was formed by State Street Bank
under a Declaration of Trust. The investment objective of the Fund is to match
or exceed the return of the Lehman Brothers Government/ Corporate Bond Index.
State Street Bank is Trustee and custodian of the Fund. 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 valued 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, or at fair value as determined in good faith by the
Trustee. Short-term investments, if any, are stated at amortized cost, which
approximates market value. Investments in regulated investment companies or
other State Street Bank collective investment funds are valued at the net asset
value per share/unit on the valuation date. Futures contracts are valued at the
last settlement price at the end of each day on the board of trade or exchange
upon which they are traded. Index swap contracts are marked-to-market as the
net amount due to or from the Fund in accordance with the terms of the contract
based on the closing level of the relevant index and interest accrual through
valuation date. Exchange-traded options are valued using the last sale price
or, in the absence of a sale, the last offering price. Options traded
over-the-counter are valued using dealer-supplied valuations.
B. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. 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, if any, is
recorded on the ex-dividend date. Interest income earned on securities, if any,
is recorded on the accrual basis. Interest income includes accretion of
discounts and amortization of premiums.
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"). 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.
SAI-252
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
E. EXPENSES
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year. The Trustee is paid a custody fee at an
annual rate of 0.0125% of the Fund's average net asset value, excluding the
value of investments in other pooled funds managed by the Trustee.
F. DISTRIBUTIONS TO PARTICIPANTS
Net investment income and net realized gains are retained by the Fund.
G. FUTURES CONTRACTST
The Fund may use futures contracts to manage interest rate exposure.
Buying futures tends to increase a fund's exposure to the underlying
instrument. Selling futures tends to decrease a fund's exposure to the
underlying instrument, or hedge other 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 not be
an exact correlation between a futures contract and the underlying index.
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.
H. SWAP CONTRACTS
Bond index swap contracts entered into by the Fund typically represent the
exchange by the Fund with a counterparty of a commitment to pay interest at a
variable rate for a cash flow based on the change in market price and/or total
return (change in market price plus interest income) of the relevant bond
index. Such contracts may have a term of one to ten years, but typically
require periodic interim settlement in cash, at which time both the value of
the index and the specified interest rate are reset for the next settlement
period. During the period that the swap contract is open, changes in the value
of the swap are reported as unrealized gains or losses, while periodic cash
settlements are reported as realized gains or losses in the Statement of
Operations. Unrealized gains or losses are reported as an asset or a liability
in the Statement of Assets and Liabilities.
Entering into bond index swap contracts involves, to varying degrees,
elements of credit, market and interest rate risk in excess of the amounts
reported in the Statement of Assets and Liabilities. The Fund uses swap
contracts to gain exposure to different underlying investments and to gain
exposure to markets that might be difficult to invest in through conventional
securities. Notional principal amounts are used to express the extent of
involvement in those
SAI-253
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
transactions, but are not delivered under the contracts. Accordingly, credit
risk is limited to any amounts receivable from the counterparty. To reduce
credit risk from potential counterparty default, the Fund enters into swap
contracts with counterparties whose creditworthiness has been approved by the
Trustee. The Fund bears the market risk arising from any change in index values
or interest rates.
I. PURCHASED AND WRITTEN OPTIONS
The Fund may purchase or write (sell) options contracts to manage exposure
to the bond market and to fluctuations in interest rates. Writing puts and
buying calls tend to increase the Fund's exposure to the underlying instrument.
In general, buying puts and writing calls tend to decrease the Fund's exposure
to the underlying instrument, or hedge other Fund investments. Options involve,
to varying degrees, credit and market risks. Loss in value may arise from
changes in the value of the underlying instruments. In writing a put option,
the Fund assumes the risk of incurring a loss if the market price decreases and
the option is exercised. Writing a call option will increase the risk of loss
to the Fund, if the market price increases and the option is exercised. In
addition, there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid secondary market for the contracts
or if the counterparties do not perform in accordance with the contracts'
terms.
J. 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.
K. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. 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, 1999 were $39,266,385,027 and $38,582,055,947, respectively,
resulting in a net realized gain (loss) of $(154,608,044). Purchases and sales
of short-term investments (including maturities) were $8,502,364,057 and
$8,601,565,526, respectively, resulting in a net realized gain (loss) of
$150,765.
SAI-254
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
DAILY GOVERNMENT/CORPORATE BOND FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
4. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------------
1999 1998
------------------------------------ ---------------------------------------
<S> <C> <C> <C> <C>
Units Amount Units Amount
------ --------- ------ --------
Units issued .................... 89,646,191 $1,252,837,933 115,428,444 $ 1,570,818,324
Units redeemed .................. (71,736,826) (999,483,838) (116,709,556) (1,580,230,368)
----------- -------------- ------------ ----------------
Net increase (decrease) ......... 17,909,365 $ 253,354,095 (1,281,112) $ (9,412,044)
=========== ============== ============ ================
</TABLE>
Units in excess of 10% of the Fund units outstanding at December 31, 1999
held by 1 of the Fund's 20 unitholders aggregated 87% of the Fund's total units
outstanding.
SAI-255
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Participants and Trustee of
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 at December 31, 1999, and the results of its
operations, the changes in its net assets and the selected per unit data for
the periods indicated, in conformity with accounting principles generally
accepted in the United States. 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 auditing standards generally accepted in the
United States which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by the Trustee,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1999 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
February 3, 2000
SAI-256
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments in securities, at amortized cost ....................................... $ 22,889,223,786
Cash ............................................................................... 993
Interest and other receivables ..................................................... 187,063,394
- ------------------------------------------------------------------------------------- ----------------
Total assets ................................................................... 23,076,288,173
- ------------------------------------------------------------------------------------- ----------------
LIABILITIES
Distributions payable .............................................................. 117,714,893
Accrued expenses ................................................................... 12,503
- ------------------------------------------------------------------------------------- ----------------
Total liabilities .............................................................. 117,727,396
- ------------------------------------------------------------------------------------- ----------------
NET ASSETS (equivalent to $1.00 per unit based on 22,958,386,503 units outstanding) $ 22,958,560,777
===================================================================================== ================
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-257
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Operations
Year ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest ............................................................. $1,290,552,005
- ----------------------------------------------------------------------- --------------
EXPENSES
Audit ................................................................ 32,030
Other ................................................................ 7,107
- ----------------------------------------------------------------------- --------------
Total expenses ..................................................... 39,137
- ----------------------------------------------------------------------- --------------
Net investment income .............................................. 1,290,512,868
- ----------------------------------------------------------------------- --------------
Net realized gain (loss) on investments ............................... 176,396
- ----------------------------------------------------------------------- --------------
Net increase (decrease) in net assets resulting from operations ....... $1,290,689,264
======================================================================= ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-258
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
------------------- -------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income ........................................................ $ 1,290,512,868 $ 1,239,845,994
Net realized gain (loss) on investments ...................................... 176,396 499
- ------------------------------------------------------------------------------- ---------------- ----------------
Net increase (decrease) in net assets resulting from operations .............. 1,290,689,264 1,239,846,493
- ------------------------------------------------------------------------------- ---------------- ----------------
Distributions ................................................................ (1,290,512,868) (1,239,845,994)
- ------------------------------------------------------------------------------- ---------------- ----------------
FROM PARTICIPANT TRANSACTIONS
Net increase (decrease) in net assets resulting from participant transactions 2,449,660,157 1,945,666,619
- ------------------------------------------------------------------------------- ---------------- ----------------
Net increase (decrease) in net assets ........................................ 2,449,836,553 1,945,667,118
NET ASSETS
Beginning of year ........................................................... 20,508,724,224 18,563,057,106
- ------------------------------------------------------------------------------- ---------------- ----------------
End of year ................................................................. $ 22,958,560,777 $ 20,508,724,224
=============================================================================== ================ ================
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-259
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Selected Per Unit Data
(For a Unit of Participation Outstanding Throughout Each Year)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1999 1998 1997 1996 1995
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Net investment income .................. $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
Net realized gain (loss) (a) ........... 0.0000 0.0000 0.0000 0.0000 0.0000
Net change in net assets resulting from
operations ............................ $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
======================================== =========== =========== =========== =========== ===========
Distributions from net investment
income ................................ $ 0.0522 $ 0.0551 $ 0.0563 $ 0.0548 $ 0.0604
======================================== =========== =========== =========== =========== ===========
Total return (%) (b) ................... 5.35 5.65 5.77 5.62 6.21
- ---------------------------------------- ----------- ----------- ----------- ----------- -----------
Ratio of expenses to average net
assets (%) (c) ........................ 0.00 0.00 0.00 0.00 0.00
Ratio of net investment income to
average net assets (%) ................ 5.22 5.51 5.63 5.48 6.04
Net assets, end of year (000s) ......... $22,958,561 $20,508,724 $18,563,057 $13,762,940 $12,393,148
======================================== =========== =========== =========== =========== ===========
</TABLE>
- ----------
(a) Zero amounts represent those which are less than $.00005 per unit.
(b) Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year and assumes reinvestment of distributions. The
calculation includes only those expenses charged directly to the Fund.
The result may be reduced by any administrative or other fees which are
incurred in the management or maintenance of individual participant
accounts.
(c) Rounds to less than .005%.
The accompanying notes are an integral part of these financial statements.
SAI-260
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- ------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS--93.5%
$ 100,000,000 Abbey National Treasury Services PLC .......... 5.08% 13-Jan-00 $ 99,999,208
16,475,000 American Express Credit Corporation ........... 6.13% 15-Jun-00 16,484,536
145,000,000 Amro Bank NV (Chicago) ........................ 5.65% 15-Feb-00* 144,965,533
80,000,000 Assets Securitization Cooperative ............. 6.51% 18-Jan-00* 79,992,551
55,000,000 Assets Securitization Cooperative ............. 6.04% 11-Feb-00 54,621,661
100,000,000 Associates Corporation NA ..................... 6.34% 19-Jan-00* 99,983,453
100,000,000 Associates Corporation NA ..................... 5.98% 02-Feb-00 99,468,444
100,000,000 Associates Corporation NA ..................... 5.98% 15-Feb-00 99,252,500
75,000,000 Associates Corporation NA ..................... 5.85% 24-Feb-00 74,341,875
100,000,000 Associates Corporation NA ..................... 5.80% 24-Feb-00 99,130,000
100,000,000 Associates Corporation NA ..................... 5.80% 28-Feb-00 99,065,556
30,000,000 Associates Corporation NA ..................... 5.75% 29-Feb-00 29,717,292
50,000,000 Associates Corporation NA ..................... 5.75% 01-Mar-00 49,520,833
50,000,000 Associates Corporation NA ..................... 5.73% 02-Mar-00 49,514,965
73,000,000 Associates Corporation NA ..................... 5.73% 03-Mar-00 72,280,240
100,000,000 Associates Corporation NA ..................... 5.70% 29-Feb-00 99,065,833
200,000,000 AT&T Capital Corp. ............................ 6.14% 13-Jan-00 199,957,479
95,387,000 AT&T Capital Corp. ............................ 5.78% 25-Feb-00 94,544,680
100,000,000 AT&T Capital Corp. ............................ 5.75% 26-Jan-00 99,600,694
75,000,000 AT&T Capital Corp. ............................ 5.75% 27-Jan-00 74,688,542
150,000,000 AT&T Capital Corp. 144A ....................... 6.16% 07-Feb-00* 150,000,000
80,000,000 Bank of America ............................... 5.86% 08-Mar-00 79,127,511
300,000,000 Bank of America (Charlotte) ................... 5.75% 31-Jan-00* 299,991,909
107,400,000 Bank of America NA ............................ 5.12% 22-Feb-00 107,397,052
200,000,000 Bank of Montreal .............................. 5.50% 03-Jan-00 200,000,000
50,000,000 Bank of Montreal (Chicago) .................... 5.19% 28-Mar-00 49,994,266
50,000,000 Bank of New York Inc. ......................... 5.35% 24-May-00 49,989,572
60,000,000 Bank of Nova Scotia ........................... 5.88% 07-Aug-00 59,975,915
155,000,000 Bank of Nova Scotia ........................... 5.80% 09-Feb-00 155,000,000
100,000,000 Bank of Nova Scotia ........................... 5.80% 10-Feb-00 100,000,000
75,000,000 Bank of Nova Scotia ........................... 5.00% 06-Jan-00 74,999,653
100,000,000 Bank of Scotland .............................. 6.09% 28-Feb-00 100,001,578
40,000,000 Bank of Scotland .............................. 5.83% 29-Feb-00 39,617,811
70,000,000 Bank of Scotland (New York) ................... 5.94% 28-Feb-00 69,330,100
202,000,000 Bank One Corporation .......................... 6.18% 13-Mar-00* 201,928,039
75,000,000 Bank One Corporation .......................... 6.08% 01-Mar-00* 75,000,000
70,000,000 Bank One NA (Chicago) ......................... 5.98% 27-Mar-00 70,000,000
150,000,000 Bank One NA (Chicago) ......................... 5.98% 31-Mar-00 150,000,000
75,000,000 Bank One NA (Chicago) ......................... 5.93% 15-Feb-00 75,000,000
200,000,000 Bank One NA (Illinois) ........................ 5.96% 30-Mar-00 200,000,000
15,000,000 BankAmerica Corp. ............................. 5.85% 10-Mar-00 14,831,813
200,000,000 Barclays Bank PLC ............................. 5.75% 15-Jan-00* 199,993,946
100,000,000 Barclays Bank PLC ............................. 5.73% 07-Feb-00 100,000,000
185,000,000 Barclays Bank PLC ............................. 5.64% 14-Feb-00* 184,961,175
60,000,000 Barclays Bank PLC ............................. 5.23% 01-Mar-00 59,993,358
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-261
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
Short Term Investments (Continued)
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- ----------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS (CONTINUED)
$ 100,000,000 Barclays Bank PLC ................................ 5.21% 15-May-00 $ 99,980,426
152,000,000 Barclays Bank PLC ................................ 5.04% 12-Jan-00 152,000,000
150,000,000 Branch Banking & Trust Company (NC) .............. 5.64% 24-Feb-00* 149,965,110
50,000,000 Canadian Imperial Bank of Commerce ............... 6.09% 03-Mar-00* 49,993,736
200,000,000 Canadian Imperial Bank of Commerce ............... 5.50% 03-Jan-00 200,000,000
300,000,000 Canadian Imperial Bank of Commerce ............... 5.25% 03-Jan-00 300,000,000
80,000,000 Canadian Imperial Bank of Commerce ............... 5.18% 28-Mar-00 79,988,991
100,000,000 Canadian Imperial Bank of Commerce ............... 5.12% 23-Feb-00 99,994,404
105,000,000 Canadian Imperial Bank of Commerce ............... 5.11% 22-Feb-00 104,995,675
100,000,000 Canadian Imperial Bank of Commerce (NY) .......... 5.10% 12-Apr-00 99,986,538
100,000,000 CBA Finance Inc. (Delaware) ...................... 5.94% 13-Mar-00 98,812,000
30,000,000 CBA Finance Inc. (Delaware) ...................... 5.84% 23-Feb-00 29,742,067
190,000,000 Chase Manhattan Corp. ............................ 5.76% 28-Apr-00 186,412,800
100,000,000 Chase Manhattan Corp. ............................ 5.73% 28-Feb-00 99,076,833
636,751,000 Chase Manhattan Corp. ............................ 5.00% 03-Jan-00 636,751,000
200,000,000 Ciesco L P ....................................... 6.19% 18-Feb-00 198,349,333
30,000,000 Ciesco L P ....................................... 5.84% 14-Feb-00 29,785,867
50,000,000 CIT Group Incorporated ........................... 5.63% 15-Feb-00* 49,987,751
100,000,000 Coca Cola Co. .................................... 5.86% 10-Feb-00 99,348,889
50,000,000 Coca Cola Co. .................................... 5.84% 08-Feb-00 49,691,778
100,000,000 Coca Cola Co. .................................... 5.77% 03-Feb-00 99,471,083
138,000,000 Comerica Bank (Detroit) .......................... 6.45% 24-Jan-00* 137,951,384
75,000,000 Comerica Bank (Detroit) .......................... 6.45% 20-Jan-00* 74,974,839
100,000,000 Comerica Bank (Detroit) .......................... 6.42% 10-Jan-00* 99,999,488
50,000,000 Comerica Bank (Detroit) .......................... 6.40% 07-Jan-00* 49,995,571
94,000,000 Comerica Bank (Detroit) .......................... 6.38% 12-Jan-00* 93,975,075
135,000,000 Comerica Bank (Detroit) .......................... 6.36% 11-Jan-00* 134,971,313
100,000,000 Credit Comm De France NA ......................... 5.91% 10-Feb-00 100,002,189
50,000,000 Cregem Incorporated NA ........................... 5.90% 08-Mar-00 49,450,972
35,000,000 Cregem Incorporated NA ........................... 5.82% 10-Feb-00 34,773,667
75,000,000 Cregem Incorporated NA ........................... 5.82% 11-Feb-00 74,502,875
50,000,000 Daimler-Benz NA .................................. 5.94% 03-Mar-00 49,488,931
75,000,000 Daimler-Benz NA .................................. 5.73% 02-Mar-00 74,271,813
80,000,000 Daimlerchrysler NA Holding Corporation ........... 6.00% 17-Feb-00 79,373,333
85,000,000 Daimlerchrysler NA Holding Corporation ........... 6.00% 18-Feb-00 84,320,000
28,000,000 Delaware Funding Corp. ........................... 6.12% 21-Jan-00 27,904,800
59,972,000 Delaware Funding Corp. ........................... 5.93% 21-Jan-00 59,774,426
34,010,000 Delaware Funding Corp. ........................... 5.88% 07-Feb-00 33,804,466
50,000,000 Den Danske Corporation ........................... 5.85% 28-Feb-00 49,528,750
50,000,000 Den Danske Corporation ........................... 5.40% 24-Jan-00 49,827,500
115,000,000 Den Denske Corporation (Delaware) ................ 6.06% 24-Jan-00 114,554,758
205,000,000 Deutsche Bank AG ................................. 6.39% 13-Jan-00* 204,825,078
283,000,000 Diageo Capital PLC ............................... 6.02% 10-Feb-00* 282,855,227
100,000,000 Dresdner Bank Frankfurt Branch ................... 6.11% 14-Mar-00 100,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-262
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
Short Term Investments (Continued)
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- ---------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS (CONTINUED)
$ 25,000,000 Du Pont el de Nemours & Co. ..................... 5.84% 07-Feb-00 $ 24,849,944
100,000,000 Du Pont el de Nemours & Co. ..................... 5.78% 14-Apr-00 98,330,222
50,000,000 Du Pont el de Nemours & Co. ..................... 5.77% 27-Jan-00 49,791,639
45,000,000 Du Pont el de Nemours & Co. ..................... 5.24% 03-Mar-00 44,995,955
48,000,000 Edison Asset Securitization ..................... 6.01% 18-Feb-00 47,615,360
45,000,000 Edison Asset Securitization ..................... 5.92% 11-Feb-00 44,696,600
50,558,000 Edison Asset Securitization ..................... 5.85% 22-Mar-00 49,892,530
75,000,000 Emerson Electric Company ........................ 5.13% 17-Mar-00 74,986,169
135,658,000 Falcon Asset Securitization ..................... 6.13% 20-Jan-00 135,219,109
64,000,000 Falcon Asset Securitization ..................... 6.13% 21-Jan-00 63,782,044
65,000,000 Falcon Asset Securitization ..................... 6.11% 20-Jan-00 64,790,393
79,114,000 Falcon Asset Securitization ..................... 6.03% 11-Feb-00 78,570,685
47,675,000 Falcon Asset Securitization ..................... 6.02% 25-Feb-00 47,236,522
47,595,000 Falcon Asset Securitization ..................... 5.90% 18-Feb-00 47,220,586
50,000,000 Falcon Asset Securitization ..................... 5.88% 22-Feb-00 49,575,333
20,000,000 Federal Home Loan Bank .......................... 5.92% 04-Jan-00* 19,989,591
75,000,000 Federal Home Loan Bank .......................... 5.57% 19-Jan-00* 74,998,912
60,000,000 Federal Home Loan Bank .......................... 5.49% 11-Feb-00 59,625,192
62,206,000 Federal Home Loan Bank .......................... 5.48% 09-Feb-00 61,836,704
100,000,000 Federal Home Loan Bank .......................... 5.16% 08-Mar-00 99,984,623
25,000,000 Federal Home Loan Bank .......................... 4.97% 20-Apr-00 24,995,642
100,000,000 Federal Home Loan Mortgage Corporation .......... 5.75% 17-Feb-00 99,249,306
195,000,000 Federal Home Loan Mortgage Corporation .......... 5.50% 25-Feb-00 193,361,458
200,000,000 Federal National Mortgage Association ........... 6.20% 27-Dec-00 199,766,778
20,000,000 Federal National Mortgage Association ........... 5.83% 16-Mar-00 19,757,083
23,510,000 Federal National Mortgage Association ........... 5.81% 16-Mar-00 23,225,431
100,000,000 Federal National Mortgage Association ........... 5.77% 09-Mar-00 98,910,111
100,000,000 Federal National Mortgage Association ........... 5.77% 16-Mar-00 98,797,917
55,000,000 Federal National Mortgage Association ........... 5.55% 02-Feb-00 54,728,667
34,736,000 Federal National Mortgage Association ........... 5.54% 27-Jan-00 34,597,017
200,000,000 Federal National Mortgage Association ........... 5.54% 07-Feb-00 198,861,222
200,000,000 Federal National Mortgage Association ........... 5.54% 08-Feb-00 198,831,500
80,000,000 Federal National Mortgage Association ........... 5.54% 09-Feb-00 79,520,300
50,000,000 Federal National Mortgage Association ........... 5.49% 10-Feb-00 49,695,000
20,000,000 First Chicago Corp. ............................. 6.14% 06-Mar-00* 19,996,752
100,000,000 First National Bank (Chicago) ................... 6.00% 11-Aug-00 99,970,822
100,000,000 First National Bank (Chicago) ................... 5.18% 15-Mar-00 99,985,365
100,000,000 First National Bank (Chicago) ................... 5.09% 19-Apr-00 99,982,737
75,000,000 First Tennessee Bank NA ......................... 5.75% 28-Feb-00 75,000,000
100,000,000 First Tennessee Bank NA ......................... 5.55% 20-Jan-00 100,000,000
80,000,000 First Union National ............................ 6.43% 19-Jan-00* 80,000,000
100,000,000 First Union National ............................ 6.20% 28-Jan-00* 100,000,000
148,000,000 First Union National ............................ 6.14% 17-Feb-00* 148,000,000
115,000,000 First Union National ............................ 5.30% 01-Mar-00 115,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-263
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
Short Term Investments (Continued)
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- --------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS (CONTINUED)
$ 110,000,000 Fleet Financial Group Inc. ..................... 5.95% 29-Feb-00 $ 108,927,347
158,000,000 Fleet Financial Group Incorporated ............. 6.24% 13-Jan-00* 157,942,500
200,000,000 Fleet National Bank (R.I.) ..................... 5.78% 15-Feb-00* 199,890,079
132,500,000 Ford Motor Credit Company ...................... 6.05% 22-Feb-00* 132,442,277
209,500,000 Ford Motor Credit Company ...................... 5.74% 18-Feb-00* 209,368,353
200,000,000 Ford Motor Credit Company ...................... 5.70% 07-Feb-00* 200,000,000
75,000,000 Ford Motor Credit Company ...................... 5.70% 29-Feb-00 74,299,375
100,000,000 GE Capital International Funding ............... 5.84% 15-Mar-00 98,799,556
60,000,000 GE Capital International Funding ............... 5.72% 23-Feb-00 59,494,733
45,357,000 GE Capital International Funding ............... 5.71% 14-Feb-00 45,040,459
50,000,000 GE Capital International Funding ............... 5.67% 07-Feb-00 49,708,625
60,000,000 GE Capital International Funding ............... 5.59% 10-Feb-00 59,627,333
100,000,000 GE Capital International Funding ............... 5.43% 24-Jan-00 99,653,083
30,000,000 General Electric Capital Corp. ................. 6.13% 12-Jan-00* 30,000,000
40,000,000 General Electric Capital Corp. ................. 6.11% 03-Feb-00* 40,000,000
70,000,000 General Electric Capital Corp. ................. 6.01% 14-Feb-00* 70,000,000
100,000,000 General Electric Capital Corp. ................. 5.78% 18-Feb-00 99,229,333
100,000,000 General Electric Capital Corp. ................. 5.74% 24-Feb-00 99,139,000
77,000,000 General Electric Capital Corp. ................. 5.72% 09-Mar-00 76,168,058
60,000,000 General Electric Capital Corp. ................. 5.41% 24-Jan-00 59,792,617
100,000,000 General Electric Capital Corp. ................. 5.41% 09-Feb-00 99,413,917
310,000,000 GTE Corporation ................................ 6.03% 02-Mar-00* 309,858,384
5,415,000 Halifax PLC .................................... 5.75% 30-Mar-00 5,338,024
100,000,000 Harris Trust & Savings Bank .................... 5.50% 01-Mar-00* 100,000,000
138,500,000 Harris Trust & Savings Bank (Chicago) .......... 5.66% 03-Jan-00 138,468,831
150,000,000 Household Finance Corporation .................. 6.03% 17-Mar-00* 149,973,034
135,000,000 Household Finance Corporation .................. 5.68% 07-Jul-00 134,965,986
75,750,000 IBM Credit Corporation ......................... 5.99% 16-Aug-00 75,710,362
58,010,000 International Business Machines ................ 6.38% 15-Jun-00 58,107,860
50,000,000 International Business Machines ................ 5.95% 17-Aug-00 49,980,805
88,000,000 Key Bank NA .................................... 6.42% 25-Jan-00* 87,974,836
25,000,000 Key Bank NA .................................... 6.23% 31-Jan-00* 24,991,996
150,000,000 Key Bank NA .................................... 6.22% 31-Jan-00* 150,000,000
258,000,000 Key Bank NA .................................... 6.15% 07-Mar-00* 257,913,753
55,000,000 Key Bank NA .................................... 6.08% 18-Feb-00* 55,001,806
209,000,000 Key Bank NA .................................... 5.70% 14-Jan-00* 208,928,824
100,000,000 Key Bank NA .................................... 5.67% 17-Jul-00 99,974,015
100,000,000 Lloyds Bank (NY) ............................... 5.90% 10-Feb-00 100,002,189
96,000,000 Marshall & Ilsley Bank ......................... 6.07% 28-Sep-00 96,000,000
200,000,000 Marshall & Ilsley Bank (Grand Cayman) .......... 5.25% 03-Jan-00 200,000,000
250,000,000 Merck & Co., Inc. .............................. 5.80% 10-Feb-00 248,388,889
66,075,000 Merck & Co., Inc. .............................. 5.74% 31-Jan-00 65,758,941
43,500,000 Merck & Co., Inc. .............................. 5.74% 01-Feb-00 43,284,989
51,000,000 Merck & Co., Inc. .............................. 5.74% 03-Feb-00 50,731,655
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-264
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
Short Term Investments (Continued)
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- ------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
SHORT TERM INSTRUMENTS (CONTINUED)
$ 140,000,000 Merrill Lynch & Company Inc. ................. 5.95% 23-Feb-00 $ 138,773,639
54,450,000 Merrill Lynch & Company Inc. ................. 5.95% 24-Feb-00 53,964,034
40,000,000 Merrill Lynch & Company Inc. ................. 5.83% 24-Feb-00 39,650,200
100,000,000 Morgan Guaranty Trust Co. .................... 6.06% 22-Feb-00 100,000,000
55,000,000 National City Bank (Cleveland) ............... 5.20% 15-May-00 54,990,211
75,000,000 National Westminster Bank PLC ................ 4.98% 07-Jan-00 74,999,524
125,000,000 NationsBank NA (Carolinas) ................... 5.00% 05-Jan-00 124,999,736
200,000,000 Norwest Bank (Grand Cayman) .................. 5.50% 03-Jan-00 200,000,000
50,000,000 Old Kent Bank (Grand Rapids) ................. 5.64% 28-Jan-00* 49,990,496
200,000,000 Pittsburgh National Bank (Nassau) ............ 5.50% 03-Jan-00 200,000,000
75,000,000 PNC Bank NA (Pittsburgh) ..................... 6.37% 03-Jan-00* 74,992,714
55,000,000 Preferred Receivables Funding Corp. .......... 6.20% 28-Feb-00 54,450,611
82,965,000 Preferred Receivables Funding Corp. .......... 6.02% 28-Feb-00 82,160,332
72,480,000 Preferred Receivables Funding Corp. .......... 5.88% 03-Feb-00 72,089,333
30,000,000 Svenska Handelsbanken AB ..................... 5.47% 01-Jun-00 29,996,401
25,000,000 Svenska Handelsbanken AB ..................... 5.29% 01-Mar-00 24,997,826
25,000,000 Svenska Handelsbanken AB ..................... 5.21% 01-Mar-00 24,998,418
25,000,000 Svenska Handelsbanken AB ..................... 5.16% 28-Apr-00 24,995,720
45,000,000 Svenska Handelsbanken AB ..................... 5.07% 08-Feb-00 44,998,419
50,000,000 Toronto Dominion Bank ........................ 5.10% 25-Apr-00 49,984,834
30,000,000 Toronto Dominion Holdings USA ................ 5.15% 28-Feb-00 29,998,164
25,000,000 Toronto Dominion Holdings USA ................ 5.15% 20-Apr-00 24,996,372
100,000,000 Toronto Dominion Yankee ...................... 5.10% 10-Apr-00 99,986,804
100,000,000 UBS AG Stamford Branch ....................... 6.22% 11-Dec-00 99,927,960
35,000,000 UBS AG Stamford Branch ....................... 5.80% 02-Aug-00 34,990,181
75,000,000 UBS AG Stamford Branch ....................... 5.55% 05-Jun-00 74,984,628
500,000,000 Union Bank of Switzerland .................... 5.50% 03-Jan-00 500,000,000
200,000,000 Wells Fargo & Company ........................ 5.96% 18-Feb-00* 199,947,989
30,000,000 Wells Fargo & Company ........................ 5.88% 16-Feb-00 29,781,117
85,000,000 Wells Fargo & Company ........................ 5.77% 31-Mar-00 83,773,875
75,000,000 Westpac Banking Corporation .................. 6.26% 23-Oct-00 74,956,561
75,000,000 Westpac Banking Corporation .................. 6.08% 18-Jan-00 74,986,880
100,000,000 Westpac Banking Corporation .................. 5.92% 10-Mar-00 98,865,333
30,000,000 Westpac Banking Corporation .................. 5.83% 02-Aug-00 29,991,586
25,000,000 Westpac Banking Corporation .................. 5.10% 19-Apr-00 24,996,404
100,000,000 Westpac Banking Corporation .................. 5.07% 17-Feb-00 99,996,276
100,000,000 Woolwich Building Society .................... 5.80% 10-Feb-00 99,355,556
100,000,000 Woolwich Building Society .................... 5.23% 06-Mar-00 99,055,694
155,000,000 Xerox Capital Europe PLC ..................... 6.02% 18-Feb-00* 154,937,949
40,000,000 Xerox Corporation ............................ 5.64% 14-Jul-00 39,982,655
----------------- ---------------------------------------------- ---- ---------- ---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost $21,405,847,786)........................ 21,405,847,786
----------------------------------------------- ---------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
SAI-265
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
Schedule of Investments
(showing percentage of total value of investments)
December 31, 1999
Short Term Investments (Continued)
<TABLE>
<CAPTION>
PRINCIPAL (UNLESS OTHER NOTED) VALUE
- -------------------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS--6.5%
$ 175,000,000 Banc One Capital
(Collateralized by $179,950,000 Federal Home Loan Bank
Discount Notes due 2/18/00 valued at $175,141,174) ......... 4.00% 03-Jan-00 $ 175,000,000
- -------------------------------------------------------------------------------- ---- --------- ---------------
165,000,000 Societe Generale Corporation (Collateralized by
$150,000,000 Federal Home Loan Bank Discount Notes
due 2/15/00 valued at $146,910,207 and $21,800,000
Federal National Mortgage Association Discount Note due
2/24/00 valued at $21,507,877) ............................. 3.05% 03-Jan-00 165,000,000
- -------------------------------------------------------------------------------- ---- --------- ---------------
935,000,000 Lehman Brothers Global Trading & Finance (Collateralized
by $350,000,000 Federal Home Loan Bank Bonds 5.41%
due 3/1/04 valued at $340,691,941; $270,000,000 Federal
National Mortgage Association Medium Term Notes 5.12%
due 5/26/00 valued at $269,038,441; $200,000,000 Federal
Home Loan Bank Bonds 5.45% due 1/28/04 valued at
$189,657,175; $127,500,000 Federal Home Loan Bank
Bonds 5.52% due 1/28/04 valued at $124,012,493;
$18,070,000 Federal Home Loan Bank Bonds 5.30% due
1/6/04 valued at $17,739,938) .............................. 3.00% 03-Jan-00 935,000,000
- -------------------------------------------------------------------------------- ---- --------- ---------------
208,376,000 J.P. Morgan & Company Inc. (Collateralized by
$69,800,000 Federal Home Loan Mortgage Corporation
Discount note due 8/1/00 valued at $67,464,132;
$100,000,000 Federal Home Loan Mortgage Corporation
Discount note due 9/12/00 valued at $96,018,275;
$38,660,000 Federal Home Loan Mortgage Corporation
Discount note due 1/21/00 valued at $38,524,593;
$10,635,000 Federal Home Loan Mortgage Corporation
Discount note due 2/2/00 valued at $10,585,995) ............ 2.90% 03-Jan-00 208,376,000
- -------------------------------------------------------------------------------- ---- --------- ---------------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,483,376,000)....................................... 1,483,376,000
- --------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS--100%
(COST $22,889,223,786)...................................... $22,889,223,786
================================================================================= ===============
</TABLE>
- ----------
* Variable rate security. Rate disclosed is that which was in effect at
December 31, 1999. Date disclosed is the next interest rate reset date.
The accompanying notes are an integral part of these financial statements.
SAI-266
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
1. FUND ORGANIZATION AND INVESTMENT OBJECTIVE
State Street Bank and Trust Company ("State Street Bank") Short Term
Investment Fund (the "Fund") was formed by State Street Bank under a
Declaration of Trust. The investment objective of the Fund 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 Trustee and custodian of the
Fund. 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 trade date. The cost of
securities contributed to, and proceeds related to securities delivered by, the
Fundin 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. Interest income earned on
securities, if any, is recorded on the accrual basis. Interest income includes
accretion of discounts and amortization of premiums.
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
Issuances and redemptions of participant units are made on each business
day ("valuation date"). Participant units are typically purchased and redeemed
at a constant net asset value of $1.00 per unit. In the event that a
significant disparity develops 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 $1.00 net asset value would create
inequitable results for the Fund's unitholders. In these circumstances, the
Trustee, in 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
Under the Declaration of Trust, the Fund may pay certain expenses for
services received during the year.
SAI-267
<PAGE>
- --------------------------------------------------------------------------------
STATE STREET BANK AND TRUST COMPANY
SHORT TERM INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
F. DISTRIBUTIONS TO PARTICIPANTS
Distributions from net investment income are recorded on each valuation
date and paid monthly. Net realized gains are retained by the Fund.
G. REPURCHASE AGREEMENTS
A repurchase agreement customarily obligates the seller at the time it
sells securities to the Fund to repurchase the securities at a mutually agreed
upon price and time which, in the case of the Fund's transactions, is within
seven days. The total amount received by the Fund on repurchase is calculated
to exceed the price paid by the Fund, reflecting an agreed upon market rate of
interest for the period of time to the settlement date, and is not necessarily
related to the interest rate on the underlying securities. The underlying
securities consist of securities in which the Fund is permitted to invest.
Repurchase agreements are fully collateralized at all times. The use of
repurchase agreements involves certain risks. For example, if the seller of
securities under a repurchase agreement defaults on its obligation to
repurchase the underlying securities, as a result of its bankruptcy or
otherwise, the Fund will seek to dispose of such securities, which action could
involve costs or delays. The Fund may enter into repurchase agreements maturing
within seven days with domestic dealers, banks and other financial institutions
deemed to be creditworthy by the investment manager.
H. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from those
estimates.
3. INVESTMENT TRANSACTIONS
Purchases and sales of short-term investments (including maturities)
during the year ended December 31, 1999 were $1,101,714,031,606 and
$1,099,689,423,619, respectively, resulting in a net realized gain (loss) of
$176,396.
4. UNITS OF PARTICIPATION
Participant transactions for the Fund were as follows:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------------------
1999 1998
----------------------------------------- -----------------------------------------
UNITS AMOUNT UNITS AMOUNT
-------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
Units issued .............. 65,086,115,993 $ 65,086,115,993 83,589,471,035 $ 83,589,471,035
Units redeemed ............ (62,636,455,836) (62,636,455,836) (81,643,804,416) (81,643,804,416)
--------------- ----------------- --------------- -----------------
Net increase (decrease) ... 2,449,660,157 $ 2,449,660,157 1,945,666,619 $ 1,945,666,619
=============== ================= =============== =================
</TABLE>
SAI-268
<PAGE>
Supplement dated May 1, 2000 to Prospectus dated May 1, 2000
------------------------------------------------------------------------
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, 2000 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 $5,000, you must receive
a Qualified Joint and Survivor Annuity unless your Spouse consents to a
different election.
Life Annuity - 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
$5,000. 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 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
2
<PAGE>
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 4-3/4% 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%.
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 divided by 1.05 = 345.71). If the
3
<PAGE>
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%.
First Business Day of Annuity Unit Value
--------------------- ------------------
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
October 1997 $11.0300
October 1998 $7.5963
October 1999 $9.8568
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.
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, 2000 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, 2000
prospectus and Statement of Additional Information.
4
<PAGE>
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 AXA Financial, Inc., and their subsidiaries managed assets of
approximately $462.7 billion as of December 31, 1999, including third party
assets of $340.6 billion.
Investment Management
In providing investment management to the Fund, 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, 2000 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 1999, 1998 and 1997, the Fund paid $5,877,438, $4,288,187 and $3,698,148,
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, 2000 Statement of Additional Information.
5
<PAGE>
FINANCIAL STATEMENTS
The financial statements of the Fund reflect applicable fees,
charges and other expenses under the Members Retirement 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 - PricewaterhouseCoopers LLP 7
Statement of Assets and Liabilities,
December 31, 1999 8
Statement of Operations and Changes in Net Assets
for the Years Ended December 31, 1999 and 1998 9
Portfolio of Investments
December 31, 1999 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 Contractowners of Separate Account No. 4
of The Equitable Life Assurance Society of the United States
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 (Pooled) (The Growth Equity Fund) of The
Equitable Life Assurance Society of the United States ("Equitable Life") at
December 31, 1999, the results of its operations for the year then ended and
changes in its net assets for each of the two years then ended, in conformity
with accounting principles generally accepted in the United States of America.
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 auditing standards generally accepted in the
United States of America, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 1, 2000
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, 1999
<TABLE>
<S> <C>
- ------------------------------------------------------------------------------------------------------------
ASSETS:
Investments (Notes 2 and 3):
Common stocks -- at market value (cost: $1,333,345,581) ................................. $1,777,794,011
Long-term debt securities -- at market value (amortized cost: $7,810,985) ............... 11,874,375
Participation in Separate Account No. 2A -- at amortized cost, which approximates market
value, equivalent to
120,801 units at $300.60 ............................................................... 36,312,393
Receivable for investment securities sold ................................................ 6,662,243
Dividends and interest receivable ........................................................ 1,361,064
- ------------------------------------------------------------------------------------------------------------
Total assets ........................................................................... 1,834,004,086
- ------------------------------------------------------------------------------------------------------------
LIABILITIES:
Due to Equitable Life's General Account .................................................. 39,371,465
Payable for investment securities purchased .............................................. 1,639,781
Custodian fee payable .................................................................... 367,334
Investment management fees payable ....................................................... 3,770
Accrued expense .......................................................................... 482,251
- ------------------------------------------------------------------------------------------------------------
Total liabilities ...................................................................... 41,864,601
- ------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................................... $1,792,139,485
============================================================================================================
Amount retained by Equitable Life in Separate Account No. 4 .............................. $ 2,714,541
Net assets attributable to contract owners ............................................... 1,735,846,337
Net assets attributable to annuity benefits .............................................. 53,578,607
- ------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................................... $1,792,139,485
============================================================================================================
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITD STATES
Statement of Operations
YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
- ----------------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 2):
Dividends ............................................................. $ 9,728,926
Interest .............................................................. 421,216
- ----------------------------------------------------------------------------------------
Total investment income ............................................... 10,150,142
- ----------------------------------------------------------------------------------------
EXPENSES (NOTE 4):
Asset and investment management fees .................................. (7,361,227)
Administrative fees ................................................... (6,442,906)
Operating expenses .................................................... (569,529)
- ----------------------------------------------------------------------------------------
Total expenses ........................................................ (14,373,662)
- ----------------------------------------------------------------------------------------
Net investment loss ................................................... (4,223,520)
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Realized gain from security and foreign currency transactions ......... 294,811,943
Change in unrealized appreciation/depreciation of investments ......... 264,368,034
- ----------------------------------------------------------------------------------------
Net Realized and Unrealized Gain on Investments ....................... 559,179,977
- ----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS ATTRIBUTABLE TO OPERATIONS ................. $ 554,956,457
========================================================================================
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1999 1998
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment loss .......................................................... $ (4,223,520) $ (5,333,397)
Net realized gain on investments and foreign currency transactions ........... 294,811,943 424,897,105
Change in unrealized appreciation/depreciation of investments ................ 264,368,034 (505,981,445)
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets attributable to operations ............. 554,956,457 (86,417,737)
- -----------------------------------------------------------------------------------------------------------------------
FROM CONTRIBUTIONS AND WITHDRAWALS:
Contributions ................................................................ 369,385,670 451,738,195
Withdrawals .................................................................. (1,245,308,651) (897,373,357)
- -----------------------------------------------------------------------------------------------------------------------
Net decrease in net assets attributable to contributions and withdrawals ..... (875,922,981) (445,635,162)
- -----------------------------------------------------------------------------------------------------------------------
Net increase in net assets attributable to Equitable Life's transactions ..... 58,823 23,520
- -----------------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS ....................................................... (320,907,701) (532,029,379)
NET ASSETS -- BEGINNING OF YEAR .............................................. 2,113,047,186 2,645,076,565
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS -- END OF YEAR .................................................... $ 1,792,139,485 $2,113,047,186
=======================================================================================================================
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
NUMBER OF MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS-SPECIALTY (0.4%)
Lyondell Chemical Company ...................... 600,000 $ 7,650,000
------------
TOTAL BASIC MATERIALS (0.4%) ................... 7,650,000
------------
CONSUMER CYCLICALS
AIRLINES (11.5%)
Alaska Air Group, Inc.* ........................ 540,000 18,967,500
America West Holdings Corp. (Class B)* ......... 90,000 1,867,500
Continental Airlines, Inc. (Class B)* .......... 2,935,000 130,240,624
Northwest Airlines Corp. (Class A)* ............ 2,475,000 55,068,750
------------
206,144,374
------------
APPAREL, TEXTILE (1.9%)
Mohawk Industries, Inc.* ....................... 577,600 15,234,200
Unifi, Inc.* ................................... 1,575,000 19,392,188
------------
34,626,388
------------
AUTO RELATED (1.7%)
Budget Group, Inc.* ............................ 1,225,000 11,101,563
Dollar Thrifty Automotive Group, Inc.* ......... 780,000 18,671,250
Monaco Coach Corp.* ............................ 10,200 260,738
------------
30,033,551
------------
FOOD SERVICES, LODGING (1.1%)
Extended Stay America, Inc.* ................... 2,665,000 20,320,625
------------
HOUSEHOLD FURNITURE, APPLIANCES (0.8%)
Industrie Natuzzi Spa (ADR) .................... 1,053,900 13,964,175
------------
LEISURE RELATED (10.1%)
Carnival Corp. ................................. 1,124,200 53,750,813
Cendant Corporation* ........................... 660,000 17,531,250
Metro-Goldwyn-Mayer, Inc.* ..................... 200,000 4,712,500
Park Place Entertainment Corp.* ................ 600,000 7,500,000
Royal Caribbean Cruises Ltd.* .................. 1,950,000 96,159,374
------------
179,653,937
------------
</TABLE>
11
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1999 (Continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
RETAIL -- GENERAL (1.2%)
Bed Bath & Beyond, Inc.* .............................. 240,000 $ 8,340,000
TJX Cos., Inc. ........................................ 320,000 6,540,000
Venator Group, Inc.* .................................. 975,000 6,825,000
------------
21,705,000
------------
TOTAL CONSUMER CYCLICALS (28.3%) ...................... 506,448,050
------------
CONSUMER NONCYCLICALS
BEVERAGES (0.2%)
Pepsi Bottling Group, Inc. ............................ 200,000 3,312,500
------------
HOSPITAL SUPPLIES & SERVICES (5.0%)
Health Management Associates, Inc. (Class A)* ......... 3,119,200 41,719,300
HEALTHSOUTH Corp.* .................................... 3,250,000 17,468,750
McKesson HBOC, Inc. ................................... 300,000 6,768,750
Quintiles Transnational Corp.* ........................ 585,000 10,932,188
Tenet Healthcare Corp.* ............................... 535,000 12,572,500
------------
89,461,488
------------
MEDIA & CABLE (1.1%)
Rogers Communications, Inc. (Class B)* ................ 620,000 15,345,000
UnitedGlobalcom, Inc. (Class A)* ...................... 50,000 3,531,250
------------
18,876,250
------------
RETAIL -- FOOD (0.1%)
Kroger Co.* ........................................... 150,000 2,831,250
------------
TOTAL CONSUMER NONCYCLICALS (6.4%) .................... 114,481,488
------------
CREDIT-SENSITIVE
BANKS (0.3%)
Bank of Tokyo-Mitsubishi Ltd. ......................... 345,000 4,808,438
------------
FINANCIAL SERVICES (8.9%)
Associates First Capital Corp. (Class A) .............. 650,000 17,834,375
CIT Group, Inc. (Class A) ............................. 399,170 8,432,466
Edwards (A.G.), Inc. .................................. 805,000 25,810,313
Legg Mason, Inc. ...................................... 2,965,000 107,481,250
------------
159,558,404
------------
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1999 (Continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
NUMBER OF MARKET
SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INSURANCE (9.1%)
Ace Ltd. .............................................. 2,000,000 $ 33,375,000
CNA Financial Corp.* .................................. 3,323,500 129,408,780
------------
162,783,780
------------
REAL ESTATE (0.3%)
Prime Retail, Inc. .................................... 1,000,000 5,625,000
------------
UTILITY -- TELEPHONE (8.4%)
Centurytel, Inc. ...................................... 110,100 5,215,988
Tele Celular Sul Participacoes (ADR) .................. 50,000 1,587,500
Tele Centro Oeste Celular Participacoes (ADR) ......... 100,000 650,000
Tele Nordeste Celular Participacoes (ADR) ............. 30,000 1,515,000
Tele Sudeste Celular Participacoes (ADR) .............. 349,300 13,557,206
Telemig Celular Participacoes (ADR) ................... 100,000 4,618,750
Telephone & Data Systems, Inc. ........................ 790,000 99,540,000
Telesp Celular Participacoes (ADR) .................... 200,000 8,475,000
Viatel, Inc.* ......................................... 297,200 15,937,350
------------
151,096,794
------------
TOTAL CREDIT-SENSITIVE (27.0%) ........................ 483,872,416
------------
ENERGY
OIL -- DOMESTIC (2.5%)
Kerr-McGee Corp. ...................................... 585,000 36,270,000
Murphy Oil Corp. ...................................... 145,000 8,319,375
------------
44,589,375
------------
OIL -- INTERNATIONAL (0.1%)
IRI International Corporation* ........................ 305,000 1,220,000
------------
OIL -- SUPPLIES & CONSTRUCTION (0.7%)
Stolt Comex Seaway S.A.* .............................. 165,000 1,825,313
Stolt Comex Seaway S.A. (ADR) (Class A)* .............. 1,058,000 11,638,000
------------
13,463,313
------------
TOTAL ENERGY (3.3%) ................................... 59,272,688
------------
</TABLE>
13
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1999 (Continued)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------
NUMBER OF MARKET
SHARES VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY
ELECTRONICS (0.8%)
ARDENT Software, Inc.* ............................................ 150,000 $ 5,850,000
DBT Online, Inc.* ................................................. 359,900 8,772,563
--------------
14,622,563
--------------
OFFICE EQUIPMENT SERVICES (0.6%)
Informix Corporation* ............................................. 887,600 10,096,450
--------------
TELECOMMUNICATIONS (30.4%)
Adelphia Business Solutions* ...................................... 90,000 4,320,000
Amdocs Ltd.* ...................................................... 515,000 17,767,500
American Satellite Network -- Warrants (Expire 06/30/00)* ......... 70,000 0
Global TeleSystems Group, Inc.* ................................... 3,980,000 137,807,499
Mannesmann AG ..................................................... 40,000 9,641,482
Millicom International Cellular S.A.* ............................. 2,165,500 135,073,062
NTL Incorporated* ................................................. 820,000 102,295,000
PSINet, Inc.* ..................................................... 237,500 14,665,625
RCN Corporation* .................................................. 710,100 34,439,850
United States Cellular Corp.* ..................................... 885,000 89,329,688
--------------
545,339,706
--------------
TOTAL TECHNOLOGY (31.8%) .......................................... 570,058,719
--------------
DIVERSIFIED
MISCELLANEOUS (2.0%)
U.S. Industries, Inc. ............................................. 919,600 12,874,400
Viad Corp. ........................................................ 830,000 23,136,250
--------------
TOTAL DIVERSIFIED (2.0%) .......................................... 36,010,650
--------------
TOTAL COMMON STOCKS (99.2%)
(Cost $1,333,345,581)............................................. 1,777,794,011
--------------
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT NO. 4 (POOLED)
(THE GROWTH EQUITY FUND)
OF THE EQUITABLE LIFE ASSURANCE SOCIETY OF THE UNITED STATES
Portfolio of Investments -- December 31, 1999 (Concluded)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
LONG-TERM DEBT SECURITIES:
TECHNOLOGY
TELECOMMUNICATIONS (0.7%)
NTL Incorporated
7.0% Conv., 2008 ................................................... $4,500,000 $ 11,874,375
--------------
TOTAL TECHNOLOGY (0.7%) ............................................. 11,874,375
--------------
TOTAL LONG-TERM DEBT SECURITIES (0.7%)
(Amortized Cost $7,810,985)......................................... 11,874,375
--------------
PARTICIPATION IN SEPARATE ACCOUNT NO. 2A,
at amortized cost, which approximates
market value, equivalent to 120,801
units at $300.60 each (2.0%)........................................ 36,312,393
--------------
TOTAL INVESTMENTS (101.9%)
(Cost/Amortized Cost $1,377,468,959)................................ 1,825,980,779
OTHER ASSETS LESS LIABILITIES (-1.9%) ............................... (33,841,294)
--------------
NET ASSETS (100.0%) ................................................. $1,792,139,485
==============
Amount retained by Equitable Life in Separate Account No. 4 ......... $ 2,714,541
Net assets attributable to contract owners .......................... 1,735,846,337
Net assets attributable to annuity benefits ......................... 53,578,607
--------------
NET ASSETS .......................................................... $1,792,139,485
==============
</TABLE>
* Non-income producing.
See Notes to Financial Statements.
15
<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 AXA Financial, Inc., 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 $2,714,541 as shown in the Statement of Assets
and Liabilities in Separate Account No. 4 may be transferred to Equitable
Life's General Account. These financial statements reflect the total net
assets and results of operations for Separate Account No. 4. The Members
Retirement Programs constitute, among many others, contract owners
participating in this Fund.
Interests of retirement and investment plans for Equitable Life employees,
managers, and agents in Separate Account No. 4 aggregated $365,557,809
(20.4%), at December 31, 1999 and $323,953,589 (15.3%), at December 31,
1998, 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
accounting principles generally accepted in the United States of America
(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 Statement of
Operations.
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
16
<PAGE>
- --------------------------------------------------------------------------------
maturing in sixty days or less from the date of acquisition. At December
31, 1999, the amortized cost of investments held in Separate Account No. 2A
consist of the following:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
AMORTIZED COST %
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
Bankers' Acceptances, 5.70% due 01/21/00 through 02/24/00 ................ $ 5,140,555 2.3%
Certificates of Deposit, 5.50% - 5.99% due 01/28/00 through 01/31/00 ..... 9,998,680 4.5
Commercial Paper, 4.45% - 6.45% due 01/03/00 through 02/15/00 ............ 176,636,726 79.2
U.S. Government Agency, 1.5% due 01/03/00 ................................ 30,997,417 13.9
- ------------------------------------------------------------------------------------------------------
Total Investments ........................................................ 222,773,378 99.9
Other Assets Less Liabilities ............................................ 212,513 0.1
- ------------------------------------------------------------------------------------------------------
Net Assets of Separate Account No. 2A .................................... $ 222,985,891 100.0%
======================================================================================================
Units Outstanding ........................................................ 741,808
Unit Value ............................................................... $ 300.60
- ------------------------------------------------------------------------------------------------------
</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 1999 and 1998, investment security transactions, excluding short-term
debt securities, were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
COST OF NET PROCEEDS
PURCHASES OF SALES
- -----------------------------------------------------------------------------------
Stocks and long-term corporate debt securities:
<S> <C> <C>
1999 ........................................ $1,340,597,736 $2,209,410,520
1998 ........................................ 1,692,067,102 2,151,023,546
U.S. Government obligations:
1999 ........................................ -- --
1998 ........................................ -- --
- -----------------------------------------------------------------------------------
</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.
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.
17
<PAGE>
- --------------------------------------------------------------------------------
Convertible bonds and unlisted convertible preferred stock 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 Members
Retirement Programs, these expenses consist of investment management and
accounting fees, program expense charge, direct expenses and record
maintenance and report fees. These charges and fees are paid to Equitable
Life by the Fund and are recorded as expenses in the accompanying
Statement of Operations.
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, 1999, 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.
18
<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, 1999
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1999 and 1998
-Notes to Financial Statements
2. Separate Account No. 197:
-Report of Independant Accountants
-Statement of Assets and Liabilities, December 31, 1999
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1999 and 1998
-Notes to Financial Statements
3. Separate Account No. 198:
-Report of Independant Accountants
-Statement of Assets and Liabilities, December 31, 1999
-Statements of Operations and Changes in Net Assets for the
Years Ended December 31, 1999 and 1998
-Notes to Financial Statements
4. The Equitable Life Assurance Society of the United States:
-Report of Independent Accountants - Pricewaterhouse LLP
-Consolidated Balance Sheets, December 31, 1999 and 1998
-Consolidated Statements of Earnings for the Years Ended
December 31, 1999, 1998 and 1997
-Consolidated Statements of Equity for Years Ended December 31,
1999, 1998 and 1997
-Consolidated Statements of Cash Flows for the Years Ended
December 31, 1999, 1998 and 1997
-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,
1999 -Statements of Operations for the Year Ended December 31,
1999 -Statements of Changes in Net Assets for the Years Ended
December 31, 1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
C-1
<PAGE>
6. Lifecycle Group Trust - Moderate:
-Report of Independent Accountants - Lifecycle Group Trust -
Moderate -Statements of Assets and Liabilities, December 31, 1999
-Statements of Operations for the Year Ended December 31, 1999
-Statements of Changes in Net Assets for the Years Ended December
31, 1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
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,
1999
-Combined Statements of Operations for the Years Ended December
31, 1999 and 1998
-Combined Statements of Changes in Net Assets for the Years Ended
December 31, 1999 and 1998 Schedule of Investments, December 31,
1999
8. Russell 2000 Fund:
-Report of Independent Accountants - Russell 2000 Fund
-Statements of Assets and Liabilities, December 31, 1999
-Statements of Operations for the Year Ended December 31, 1999
-Statements of Changes in Net Assets for the Years Ended December
31, 1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
9. Daily EAFE Fund:
-Report of Independent Accountants - Daily EAFE Fund -Statements
of Assets and Liabilities, December 31, 1999 -Statements of
Operations for the Year Ended December 31, 1999 -Statements of
Changes in Net Assets for the Years Ended December 31,
1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
10. Daily Government/Corporate Bond Fund:
-Report of Independent Accountants - Daily Government/Corporate
Bond Fund
-Statements of Assets and Liabilities, December 31, 1999
-Statements of Operations for the Year Ended December 31, 1999
-Statements of Changes in Net Assets for the Years Ended
December 31, 1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
C-2
<PAGE>
11. Short Term Investment Fund:
-Report of Independent Accountants - Short Term Investment Fund
-Statements of Assets and Liabilities, December 31, 1999
-Statements of Operations for the Year Ended December 31, 1999
-Statements of Changes in Net Assets for the Years Ended December
31, 1999 and 1998
-Selected Per Unit Data
-Notes to Financial Statements
-Schedule of Investments, December 31, 1999
(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, incorporated by
reference to Post-Effective Amendment No. 4 to Registration
Statement No. 33-75616 on Form N-4, filed on April 30, 1997.
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, as amended January
1, 1997, incorporated by reference to Post-Effective
Amendment No. 4 to Registration Statement No. 33-75616,
filed on April 29, 1997.
(b) By-Laws of The Equitable Life Assurance Society of the
United States, as amended November 21, 1996, incorporated by
reference to Post-Effective Amendment No. 4 to Registration
Statement No. 33-75616, filed on April 29, 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. (a) Opinion and Consent of Peter A. Weinberg, Vice President
and Counsel and The Equitable Life Assurance Society,
incorporated by reference to Pre-Effective Amendment No. 1
to Registration No. 33-75616 of Registrant, filed on
April 29, 1994.
(b) Opinion and Consent of Mary P. Breen, Vice President
and Associate General Counsel of The Equitable Life
Assurance Society of the United States, incorporated herein
by reference to Registration Statement File No. 333-51031
filed April 24, 1998.
(c) Opinion and Consent of Mary Joan Hoene, Vice President and
Counsel of the Equitable Life Assurance Society of the
United States, incorporated herein by reference to Exhibit
No. 9(c) to Registration Statement No. 333-77113, filed on
April 26, 1999.
(d) Opinion and Consent of Robin Wagner, Vice President and
Counsel of the Equitable Life Assurance Society of the
United States.
10. (a) Consent of Peter A. Weinberg (included within Exhibit 9(a)
above).
(b) Consent of Mary P. Breen (included within Exhibit 9(b)
above).
(b)(i)Consent of Mary Joan Hoene (included within
Exhibit 9(c)).
(b)(ii)Consent of Robin Wagner (included within Exhibit 9(d)
above).
(c) Consent of PricewaterHouseCoopers LLP.
(d) Powers of Attorney (Equitable).
(e) 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.
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 Americas,
New York, New York 10104. The business address of the persons whose
names are preceded by an asterisk is that of Equitable.
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- ---------------- ---------
DIRECTORS
Francoise Colloc'h Director
AXA
23, Avenue Matignon
75008 Paris, France
Henri de Castries Director
AXA
23, Avenue Matignon
75008 Paris, France
Joseph L. Dionne Director
198 North Wieton Rd.
New Canaan, CT 06840
Denis Duverne Director
AXA
23, Avenue Matignon
75008 Paris, France
Jean-Rene Fourtou Director
Aventis
25 Quai Paul Doumer
92408 Courbevoie Cedex,
France
Norman C. Francis Director
Xavier University of Louisiana
7325 Palmetto Street
New Orleans, LA 70125
C-10
<PAGE>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- ---------------- ---------
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
SBC Warburg Dillion Read LLC
299 Park Ave. 40th Floor
New York, NY 10171
Mary R. (Nina) Henderson Director
Best Foods
International Plaza
700 Sylvan Avenue
Englewood Cliffs, NJ 07632-9976
W. Edwin Jarmain Director
Jarmain Group Inc.
121 King Street West
Suite 2525
Toronto, Ontario M5H 3T9,
Canada
George T. Lowy Director
Cravath, Swaine & Moore
825 Eighth Avenue
New York, NY 10019
C-11
<PAGE>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- ---------------- ---------
Didier Pineau-Valencienne Director
Credit Suisse First Boston
64, rue de Miromesil
75008 Paris, France
George J. Sella, Jr. Director
P.O. Box 397
Newton, NJ 07860
Peter J. Tobin Director
St. John's University
8,000 Utopia Parkway
Jamaica, NY 11439
Dave H. Williams Director
Alliance Capital Management Corporation
1345 Avenue of the Americas
New York, NY 10105
OFFICER-DIRECTORS
- -----------------
*Michael Hegarty President, Chief Operating
Officer and Director
*Edward D. Miller Chairman of the Board,
Chief Executive Officer
and Director
* Stanley B. Tulin Vice Chairman of the Board,
Chief Financial Officer and Director
OTHER OFFICERS
- --------------
*Leon Billis Executive Vice President
and Chief Information Officer
*Derry Bishop Executive Vice President and
Chief Agency Officer
*Harvey Blitz Senior Vice President
*Kevin R. Byrne Senior Vice President and Treasurer
*John A. Caroselli Executive Vice President
*Selig Erlich Senior Vice President and Chief
Actuary
*Alvin H. Fenichel Senior Vice President and
Controller
C-12
<PAGE>
POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH
BUSINESS ADDRESS EQUITABLE
- ---------------- ---------
*Paul J. Flora Senior Vice President and Auditor
*Robert E. Garber Executive Vice President and
Chief Legal Officer
James D. Goodwin Vice President
*Edward J. Hayes Senior Vice President
*Craig Junkins Senior Vice President
*Donald R. Kaplan Senior Vice President and Chief
Compliance Officer and Associate
General Counsel
*Michael S. Martin Executive Vice President and Chief
Marketing Officer
*Richard J. Matteis Executive Vice President
*Peter D. Noris Executive Vice President and Chief
Investment Officer
*Brian S. O'Neil Executive Vice President
*Anthony C. Pasquale Senior Vice President
*Pauline Sherman Senior Vice President, Secretary and
Associate General Counsel
*Samuel B. Shlesinger Senior Vice President
*Richard V. Silver Senior Vice President and
General Counsel
*Jose Suquet Senior Executive Vice President and
Chief Distribution Officer
*Naomi J. Weinstein Vice President
*Gregory Wilcox Executive Vice President
*Maureen K. Wolfson Vice President
*R. Lee Wilson Executive Vice President
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 AXA Financial, Inc. (the "Holding Company") (formerly
the Equitable Companies, Incorporated), a publicly traded company.
The largest stockholder of the Holding Company is AXA. As of
December 31, 1999, AXA beneficially owned 58.0% of the outstanding common
stock of the Holding Company. 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
services companies.
C-14
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
AXA Financial, Inc. (formerly the Equitable Companies, Incorporated) (1991)
(Delaware)
Donaldson Lufkin & Jenrette, Inc. (1933) (Delaware) (38.31%)
(See Addendum B(1) for subsidiaries)
AXA Client Solutions, LLC (1999) (Delaware)
AXA Distribution Holding Corporation (1999) (Delaware)
AXA Advisors, LLC (formerly EQ Financial Consultants, Inc. (1971)
Delaware)(a)(b)
The Equitable Life Assurance Society of the United States (1989)
(New York)(a)(b)
The Equitable of Colorado, Inc. (l983) (Colorado)
EVLICO East Ridge, Inc. (1995) (California)
GP/EQ Southwest, Inc. (1995) (Texas)
Franconom, Inc. (1985) (Pennsylvania) (50.00%)
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)
Real Estate Partnership Equities (various)
EREIM LP Associates (99%)
EML Associates, L.P. (19.8%)
Alliance Capital Management L.P. (2.7% limited partnership
interest)
ACMC, Inc. (1991) (Delaware)(s) (Note 5)
Alliance Capital Management L.P. (1988) (Delaware)
(38.6% limited partnership interest)
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
i
<PAGE>
AXA Financial, Inc. (cont.)
Donaldson Lufkin & Jenrette, Inc. (cont.)
AXA Client Solutions, LLC (cont.)
AXA Distribution Holding Corp. (cont.)
Equitable Life Assurance Society of the United States (cont.)
Fox Run, Inc. (1994) (Massachusetts)
STCS, Inc. (1992) (Delaware)
CCMI Corporation (1994) (Maryland)
HVM Corporation (199 ) (Maryland)
EVSA Incorporated ( ) (Delaware)
FTM Corporation (1994) (Maryland)
Equitable BJVS, Inc. (1992) (California)
Equitable Rowes Wharf, Inc. (1995) (Massachusetts)
ELAS Realty, Inc. (1996) (Delaware)
ELAS Realty, Inc. (Georgia)
Equitable Structured Settlement Corporation (1996) (Delaware)
Prime Property Funding II, Inc. (1997) (Delaware)
Sarasota Prime Hotels, Inc. (1997) (Florida)
ECLL, Inc. (1997) (Michigan)
Equitable Holdings LLC (1997) (New York) (into which Equitable
Holding Corporation was merged in 1997)
ELAS Securities Acquisition Corp. (l980) (Delaware)
100 Federal Street Realty Corporation ( ) (Massachusetts)
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 (L.P.) (1%)
EML Associates (L.P.) (.02%)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
ii
<PAGE>
AXA Financial, Inc. (cont.)
Donaldson Lufkin & Jenrette, Inc. (cont.)
AXA Client Solutions, LLC (cont.)
AXA Distribution Holding Corp. (cont.)
The Equitable Life Assurance Society of the United States (cont.)
Equitable Holdings, LLC (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) (31.47%) (See Addendum B(1) for
subsidiaries)
JMR Realty Services, Inc. (1994) (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)
Equitable Capital Private Income and Equity
Partnership II, L.P. (Delaware)
EQ Services, Inc. (1992) (Delaware)
EREIM Managers Corp. (1986) (Delaware)
ML/EQ Real Estate Portfolio, L.P. (Delaware)
EML Associates, L.P. (New York)
(a) Registered Broker/Dealer (b) Registered Investment
Advisor
iii
<PAGE>
ORGANIZATION CHART OF EQUITABLE'S AFFILIATES
ADDENDUM A - SUBSIDIARY
OF EQUITABLE HOLDINGS, LLC
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 of Puerto Rico, Inc. (1997) (Puerto Rico)
EquiSource Insurance Agency of Utah, Inc. (1986) (Utah)
EquiSource of Washington, Inc. (1987) (Washington)
EquiSource of Wyoming, Inc. (1986) (Wyoming)
iv
<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)
Alliance Capital Management Corporation (as general partner) (b) has the
following subsidiaries:
Alliance Capital Management L.P. (1988) (Delaware) (b)
Albion Alliance LLC (Delaware) (37.6%)
Cursitor Alliance LLC (Delaware) (93%)
Cursitor Alliance Holdings Ltd. (U.K.)
Draycott Partners, Ltd (MA)
Cursitor Alliance Services Ltd. (U.K.)
Cursitor Management Co. S.A. (Lux.)
Alliance Asset Allocation Ltd. (U.K.)
Cursitor Eaton Asset Allocation Management Co. (NY) (50%)
Alliance Cecogest S.A. (France) (75%)
Cursitor Courtage SARL (France)
Cursitor Gestion S.A. (France)
Alliance Capital Management Corporation of Delaware (Delaware) (100%)
Alliance Fund Services, Inc. (Delaware) (a)
Alliance Fund Distributors, Inc. (Delaware) (a)
Alliance Capital Oceanic Corp. (Delaware)
Alliance Capital Management (Brazil) Ltd. (Brazil) (99%)
Alliance Capital Management Australia Limited (Australia)
Meiji - Alliance Capital Corp. (Delaware) (50%)
Alliance Capital (Luxembourg) S.A. (Lux.) (99%)
Alliance Barra Research Institute, Inc. (Delaware)
Alliance Capital Management Canada, Inc. (Delaware)
Alliance Capital Global Derivatives Corp. (Delaware)
ACM Fund Services, S.A. (Lux.) (99%)
ACM Fund Services (Espana) S.L. (Spain)
Alliance Capital Management (Singapore) Ltd. (Singapore)
ACM CIIC Investment Management Ltd. (Cayman Islands) (54%)
ACM Software Services Ltd. (Delaware)
East Fund Managementberatung GmbH. (Australia) (51%)
Albion Alliance EFM (Czech) (49%)
East Fund Management (Cyprus) Ltd. (Cyprus) (99%)
EFM Consultanta Financiara Bucuresti SRL (Romania)
Alliance Capital (Mauritius) Private Ltd. (Mauritius)
Alliance Capital Asset Management (India) Private Ltd.
(India) (75%)
ACSYS Software India Private Ltd. (India) (51%)
ACAM Trust Company Private Ltd. (India)
Alliance Eastern Europe, Inc. (Delaware)
Alliance Capital Management (Asia) Ltd. (Delware)
Alliance Capital Management (Turkey) Ltd. (Turkey)
Alliance Capital Mangement (Japan) Inc. 1261 (Delaware)
Alliance Capital Invest Tr. Mgmt. K.K. (Japan)
Alliance Capital Limited (U.K)
Alliance Capital Services Ltd. (U.K.)
Dimentional Trust Management Ltd. (U.K)
Alliance Corporate Finance Group Inc. (Delaware)
BCN Alliance Capital Management SA (Brazil) (50%)
Przymierze Trust Fund Co. (Poland) (49%)
Alliance SBS-AGRO Captial Management Co. (Russia) (49%)
Pekao/Alliance PTE S.A. (Poland) (49%)
Whittingdale Holdings Ltd. (U.K.)
Alliance Capital Whittingdale Ltd. (U.K)
ACM Investments Ltd. (U.K.)
Whittingdale Nominees Ltd. (U.K.)
Hanwha Investment Trust Mgmt. Co., Ltd. (South Korea) (20%)
New Alliance Asset Mangement (Asia) Ltd. (H.K.) (50%)
ACM New-Alliance (Luxemborg) S.A. (Lux.)
Alliance Odyssey Capital Mgmt. (Porprietary) Ltd. (South Africa) (80%)
Alliance-MBCA Capital (Private) Ltd. (Zimbabwe) (50%)
Alliance Odyssey Capital Mgmt. (Nambia) (Proprietary) Ltd. (Nambia)
(a) Registered Broker/Dealer (b) Registered Investment Advisor
v
<PAGE>
AXA GROUP CHART
The information listed below is dated as of January 1, 2000; percentages
shown represent voting power. The name of the owner is noted when AXA
indirectly controls the company.
AXA INSURANCE AND REINSURANCE
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
AXA Assurances IARD France 100% by AXA France Assurance
AXA Assurances Vie France 6.48% by AXA Assurances IARD,
82.40% by AXA France Assurance
and 11.13% by AXA Collectives
AXA Courtage IARD France 99.77% by AXA France Assurance
AXA Conseil Vie France 100% by AXA France Assurance
AXA Conseil IARD France 100% by AXA France Assurance
Direct Assurances Vie France 100% by AXA Direct
Juridica France 7.81% by AXA Assurance IARD,
89.27% by AXA France Assurance
1.44% by AXA Courtage IARD
AXA Assistance France 100% by AXA
AXA Collectives France 94.47% by AXA France Assurance,
3.69% by AXA Assurances IARD
and 1.25% by AXA Courtage IARD
NSM Vie France 40.64% by AXA France Assurance
AXA Global Risks France 98.49% by AXA France
Assurance
Argovie France 94.03% by AXA Collectives
S.P.S. Re France 69.03% by AXA Reassurance
vi
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
Direct Assurance France 100% by AXA Direct
Natio Assurances France 50% by AXA Assurances IARD
AXA Assistance France 100% by AXA
AXA Reassurance France 86.33% by AXA, 8.25% by AXA
Assurances IARD, 5.07% by
AXA Global Risks, 0.13% by
AXA France Assurances and
0.02% by AXA Collectives
AXA Re Finance France 79% owned by AXA Reassurance
AXA Cessions France 100% by AXA
UAB Belgium 100% by AXA Holdings Belgium
Ardenne Prevoyante Belgium 99.99% by AXA Holdings Belgium
and 0.01% by AXA Royale Belge
Assurance Courtraisienne Belgium 100% by AXA Holdings Belgium
AXA Royale Belge Belgium 99.57% by AXA Holdings Belgium
and 0.43% by UAB
Assurances de la Poste Belgium 50% by AXA Holdings Belgium
Assurances de la Poste Vie Belgium 50% by AXA Holdings Belgium
C.G.R.M. Monte Carlo France 99.99% by AXA Reassurance
AXA Assurance Vie Luxembourg Luxembourg 100% by AXA Luxembourg S.A.
Paneurore Luxembourg 5% by AXA Portugal Companhia de
Seguros, 20% by AXA Colonia
Versicherungs, 5% by AXA
Assicurazioni, 10% by Aurora
Iberica SA de Seguros y Reas,
20% by AXA Insurance IK,
20% by Royale Belge
Investissement and
20% by Saint George Re
Crealux Luxembourg 100% by AXA Holdings Belgium
Futur Re Luxembourg 100% by AXA Global Risks
AXA Assurances Luxembourg Luxembourg 100% by AXA Luxembourg SA
Hilo Direct Seguros y Reaseguros Spain 71.43% by AXA Aurora
Ayuda Legal SA de Seguros y Spain 88% by AXA Aurora Iberica SA de
Reaseguros Seguros y Reaseguros and 12% by
AXA Seguros de Seguros
Reaseguros
Aurora Iberica SA de Spain 99.82% by AXA Aurora
Seguros y Reaseguros
AXA Seguros de Seguros y Spain 1.45% by AXA and 97.06% by
Reasegiros Aurora Iberica SA de Seguros y
Reas
Eurovita Italy 30% owned by AXA Assicurazioni
UAP Vita Italy 62.21% by AXA, 18.70% by AXA
Conseil Vie, and 19.08% by AXA
Collectives
AXA Interlife Italy 100% by AXA
AXA Assicurazioni Italy 84.10% by AXA, 11.70% by
Grupo UAP Italiana, 2.11% by
AXA Conseil Vie and 2.07%%
by AXA Collectives
AXA Equity & Law Plc U.K. 100% by AXA Sun Life
Assurance Society
AXA Global Risks (U.K) Ltd U.K. 100% by AXA Global Risks
(France)
English & Scottish U.K. 100% by AXA UK
AXA UK U.K. 100% by AXA
AXA Sun Life U.K. 100% by Sun Life and Provincial
Holdings Plc
AXA UK Holding Ltd. U.K. 100% by AXA Reassurance
Guardian Insurance Ltd. U.K. 100% by Guardian Royal Exchange
Plc
GREA Assurance U.K. 100% by Guardian Royal
Exchange Plc
PPP Group Plc. U.K. 100% by Guardian Royal
Exchange Plc
PPP Healthcare Ltd. U.K. 100% by Guardian Royal
Exchange Plc
PPP Lifetimecare U.K. 100% by Guardian Royal
Exchange Plc
AXA Insurance UK U.K. 100% by Guardian Royal
Exxchange Plc
AXA Reinsurance UK Plc. U.K. 100% by AXA UK Holding Ltd.
AXA Sun Life Holdings Plc. U.K. 100% by SLPH
AXA Nederland BV The Nether- 51.31% AXA Royal Belge, 38.94%
lands by Gelderland and 4.11% by
AXA Holdings Belgium
AXA Schade The Nether- 100% by AXA Verzekeringen
lands
AXA Zorg NV The Nether- 100% by UAP Verzekeringen
lands
Vinci BV The Nether- 100% by AXA
lands
AXA Leven NV The Nether- 100% by AXA Verzekeringen
lands
UAP Niew Rotterdam Beheer The Nether- 100% by AXA Nederland BV
lands
AXA Zorg NV The Nether- 100% by AXA Verzekeringen
lands
AXA Portugal Companhia de Portugal 9.63% by AXA Global Risk, 2.28%
Serguros by AXA Portugal Seguros
Vida, 5.71% by AXA Conseil Vie
and 81.93% by AXA
Participations
AXA Portugal Seguros Vida Portugal 87.63% by AXA Conseil Vie and
7.46% by AXA Participations
AXA Compagnie d' Assurances Switzerland 99.95% AXA Participations
AXA Compagnie d' Assurances Switzerland 94.99% by AXA Participations
sur la Vie and 5.01% by AXA Compagnie
d'Assurance.
AXA Al Amane Assurances Morocco 99.99% by AXA Ona
Epargne Croissance Morocco 99.59% by AXA Al Amane
Assurances
Compagnie Africaine Morocco 100% by AXA Al Almane
d'Assurance Assurances
AXA Canada Canada 100% by AXA
AXA Canada ADP Canada 100% by AXA Canada
AXA Colonia Krankenversicherung Germany 51% by AXA Colonia Konzern AG
and 48.36% by AXA Colonia Leben
Colonia Nordstern Versicherungs Germany 100% by AXA Colonia Konzern AG
Sicher Direct Germany 50% by AXA Colonia Konzern AG
and 50% by AXA Direct
Albingia Versicherung Germany 98.98% by GRE Continental
Europe Holding Gmbh
Albingia Lebenversicherung Germany 100% by Albingia Versicherung
AXA Colonia Leben Germany 50% by AXA Colonia Konzern AG
and 50% by AXA Colonia
Versicherung
AXA Colonia Versicherung Germany 100% by AXA Colonia Konzern AG
AXA Norstern Art Germany 100% by AXA Colonia Konzern AG
Tellit Vie Germany 100% by AXA-Colonia Konzern
AG
National Mutual Financial Australia 100% by National Mutual
Services Holdings
AXA Oyak Hayat Sigorta Turkey 100% by AXA Oyak Holding AS
AXA Oyak Sigorta Turkey 0.70% by AXA Oyak Hayat
Sigorta and 70.32% by AXA
Oyak Holding AS
AXA Minmerals Assurance Co. Ltd. China 51% by AXA China
vii
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
AXA Non Life Insurance Co. Ltd. Japan 100% by AXA Direct
AXA Life Insurance Japan 100% by AXA
Dongbu AXA Life South Korea 100% by AXA
AXA Insurance Investment Singapore 100% by AXA
Holdings
AXA Insurance Singapore Singapore 100% by AXA Insurance
Investment Holding
AXA Life Singapore Singapore 100% by National Mutual
International
GRE Singapore Branch Singapore 100% by AXA
AXA Life Hong Kong Singapore 100% by AXA
AXA Insurance Hong Kong Hong Kong 82.5% by AXA Insurance
Investment Holdings Pte Ltd
and 17.5% by AXA
National Mutual Asia Ltd. Hong Kong 53.8% by National Mutual
Holdings, Ltd and 20% by Detura
AXA China Region Ltd. Hong Kong 73.55% by National Mutual
Holdings
Guardian Insurance Ltd. Hong Kong 100% by AXA
Hong Kong
The Equitable Life Assurance U.S.A. 100% by AXA Financial Inc.
Society of the United States
(ELAS)
AXA Reinsurance U.S.A. 100% by AXA America
AXA America U.S.A. 100% by AXA Reassurance
AXA Global Risks US U.S.A. 96.39% by AXA Global Risks and
3.61% by Colonia Nordstern
Versicherungs AG
AXA Re Life Insurance Company U.S.A. 100% by AXA America
National Mutual Holdings Australia 42.1% by AXA and 8.9% by
AXA Equity & Law Life
Assurance Society
National Mutual International Australia 100% by National Mutual
Holdings Ltd
Australian Casualty Insurance Australia 100% by National Mutual
Property Ltd Holdings
National Mutual Health Australia 100% by National Mutual
Insurance Pty Ltd Holdings Ltd
Guardian Dublin Docks Ireland 100% by Guardian PMPA Group
Ltd.
Guardian PMPA Group Ltd. Ireland 100 by Guardian Royal
Exchange Plc
Detura Hong Kong 75% by National Mutual Holdings
AXA Insurance Singapore Singapore 100% by AXA Insurance
Investment Holdings
AXA Reinsurance Asia Singapore 100% by AXA Reassurance
viii
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
AXA Reinsurance U.K. Plc. U.K. 100% owned by AXA U.K.
Holding Ltd.
Nordstern Colonia Versicherung Austria 89.95% by AXA Colonia
Versicherungs
and 10.05% by Colonia Leben
ix
<PAGE>
FINANCIAL SERVICES AND REAL ESTATE
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
Compagnie Financiere de Paris France 96.89% by AXa 0.27% by AXA
(C.F.P.) Assurance IARD and 0.01% by
Societe Beaujon
AXA Banque France 98.7% by Compagnie
Financiere de Paris
AXA Credit France 65% by Compagnie
Financiere de Paris
Sofapi France 100% by Compagnie
Financiere de Paris
Holding Soffim France 100% by Compagnie
Financiere de Paris
Sofinad France 100% by Compagnie
Financiere de Paris
Banque des Tuileries France 100% by Compagnie
Financiere de Paris
Banque de Marches et d'Arbitrage France 19.51% by AXA and 8.2% by AXA
Courtage IARD
AXA Investment Managers France 5.28% by AXA Royale Belge,
56.48 BY AXA, 1.02% by AXA
Reassurance, 19.46% by AXA
Assurance IARD, 5.12% by AXA
Colonia Konzern and 0.25% By
Direct Assurances, 2.63% by
AXA Leven NV, 5.10% by National
Fund Management, 2.03% by AXA
Courtege IARD
Banque Worms France 1.91% by AXA France Assurance,
5.32% by AXA Collectives, 6.30%
by AXA Courtage IARD, 3.06% by
AXA Conseil Vie, 10.72% by AXA
Assurances IARD, 21.63% by AXA
Assurance Vie, 49.56% by
Compagnie Financiere de Paris
Investment Managers Paris France 100% by AXA Investment Managers
Transaxim France 100% by Compagnie Financiere
de Participations
AXA Millesimes 10.10% by AXA Reassurance,
11.95% by AXA Reassurance,
7.26% by Societe Beaujon,
6.87% by Jour Finance
AXA Colonia Asset Management Germany 51% by AXA Investment
Managers and 49% by AXA
Colonia Konzern AG
AXA Colonia KAG Germany 51% by AXA Investment
Managers and 26.50% by AXA
Colonia Konzern AG
AXA Colonia Bausparkasse AG Germany 66.67% by AXA Colonia
Konzern AG and 32.99% by
AXA Colonia Leben
Banque IPPA Belgium 100% by AXA Holdings Belgium
Royal Belge Investissement Belgium 100% by AXA Royale Belge
AXA IM Bruxelles Belgium 100% by AXA Investment
Managers
AXA Banque Belgium Belgium 100% by AXA Holdings Belgium
Royale Belge Investissement Belgium 100% by AXA Royale Belge
Sun Life Asset Management U.K. 66.67% by Sun Life and
Provincial Holdings Plc and
33.33% by AXA Asset Management
Ltd.
x
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
Alliance Capital Management Corp. U.S.A. 100% held by The Equitable
Life Assurance Society
Donaldson Lufkin & Jenrette U.S.A. 0.13% by AXA, 31.44% by
the ELAS, 38.27% by AXA
Financial Inc. and 1.31%
by AXA Participations Belgium
AXA IM Holdings Inc. U.S.A. 100% by AXA Investment
Managers
AXA IM Rose U.S.A. 90% by AXA Investment
Managers and 10% by AXA IM
Holdings Inc.
AXA Rosenberg LLC U.S.A. 50% by AXA IM Rose
National Mutual Funds Australia 100% owned by National
Management Mutual Holdings
AXA Investment Managers Japan 100% by AXA Investment
Tokyo Managers
AXA Investment Managers The Nether- 100% by AXA Investment
Den Haag lands Managers
AXA IM HK SAR Hong Kong 100% by AXA Investment
Managers
AXA Investment Managers Hong Kong 100% by AXA Investment
Hong Kong Managers
xi
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
S.G.C.I. France 100% by AXA
Compagnie Parisienne de France 100% by Sofinad
Participations (C.P.P.)
Monte Scopeto France 99.99% by Compagnie
Parisienne de Participations
Colisee Jeuneurs France 99.82% by Colisee Suresnes and
0.17% by Compagnie Parislenne
de Participation
Colisee Delcasse France 99.98% by Colisee Suresnes
Colisee Victoire France 99.74% by S.G.C.I.
Colisee Suresnes France 21.19% by AXA Assurance IARD,
0.92% by Societe Beaujon,
51.07% by Compagnie Financiere
de Paris, 20.63% by Jour
Finance and 2.53% by AXA
Courtage IARD
Colisee 21 Matignon France 99.44% by S.G.C.I. and 0.55% by
AXA
xii
<PAGE>
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
Colisee Saint Georges SA France 100% by SGCI
xiii
<PAGE>
HOLDINGS AND MISCELLANEOUS BUSINESS
COMPANY COUNTRY VOTING POWER
- ------- ------- ------------
AXA Direct France 100% by AXA
Societe Beaujon France 100% by AXA
Lor Finance France 99.87% by AXA
Jour Finance France 60.47% by AXA Conseil Vie,
39.53% by AXA Assurance IARD
Financiere 45 France 100% by AXA
Mofipar France 99.92% by AXA
AXA Participations France 53.15% by AXA, 21.90% by AXA
Global Risks and 24.95% by AXA
Courtage IARD
Colisee Excellence France 100% by Financiere Mermoz
Financiere Mermoz France 100% by AXA
AXA France Assurance France 100% by AXA
AXA China France 49% by AXA Region Limited
and 51% by AXA
AXA Participations Belgium Belgium 17.65% by AXA Global Risks,
75% by AXA, 1.82% by AXA
Conseil IARD and 5.53% by AXA
Courtage IARD
Finaxa Belgium Belgium 99.99% by AXA
AXA Holdings Belgium Belgium 43.75% by AXA, 3.02% by AXA
Global Risks, 49.10% by AXA
Participations Belgium and
4.11% by Vinci BV
GRE Continental Europe Germany 100% by AXA Cononia Konzern AG
Holding Gmbh
AXA-Colonia Konzern AG Germany 39.73% by Vinci BV, 25.63% by
Kolnische Verwaltungs and
21.62% by AXA
Kolnische Verwaltungs Germany 67.72% by Vinci BV, 22.99% by
AXA Colonia Konzern AG and
8.83% by AXA
AXA Luxembourg SA Luxembourg 100% by AXA Holdings Belgium
AXA Ona Morocco 51% by AXA Participations
Gelderland The Nether- 100% by AXA Holdings Belgium
lands
AXA Oyak Holdings AS Turkey 50% by AXA
AXA Financial Inc. U.S.A. 4.12% by AXA Equity & Law
Life Assurance Society, 43.01
by AXA, 2.97% by AXA
Reassurance, 0.03% by AXA
America, 0.44% by Societe
Beaujon, 3.21% by Fianciere 45
and 6.46% by LOR Finance
AXA Aurora Spain 30% owned by AXA and 40% by
AXA Participations
AXA Equity & Law Plc U.K. 99.94 by AXA Life
Sun Life and Provincial U.K. 34.52% by AXA and 21.81% by
Holdings (SLPH) AXA Equity & Law Plc
xiv
<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) AXA Financial, Inc.'s 38.6% interest in Donaldson, Lufkin &
Jenrette, Inc., and Equitable Holdings, LLC's 31.7% 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.; and (d) as noted for certain
subsidiaries of Alliance Capital Management Corp. of Delaware, Inc.
4. 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 entity, it
is under the direction of at least a majority of "outside" trustees:
EQ Advisors Trust
Separate Accounts
5. This chart was last revised on January 1, 2000.
xv
C-15
<PAGE>
Item 27. Number of Contractowners.
As of March 31, 2000 the number of participants in the
American Dental Association Members Program offered by the Registrant was
26,936.
Item 28. Indemnification
(a) Indemnification of Directors and Officers
The By-Laws of The Equitable Life Assurance Society of the United
States ("Equitable Life") provide, in Article VII, as follows:
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 ss. 721-726;
Insurance Law ss. 1216)
The directors and officers of Equitable Life are insured under
policies issued by Lloyd's of London, X.L. Insurance Company and ACE Insurance
Company. The annual limit on such policies is $100 million, and the policies
insure that officers and directors against certain liabilities arising out of
their conduct in such capacities.
(b) Indemnification of Principal Underwriter
To the extent permitted by law of the State of New York and subject to
all applicable requirements thereof, AXA Advisors LLC has undertaken 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 the director or officer, or his or her testator or intestate, is or
was a director or officer of AXA Advisors LLC.
(c) Undertaking
Insofar as indemnification for liability arising under the Securities
Act of 1933 ("Act") 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
by governed by the final adjudication of such issue.
Item 29. Principal Underwriters
(a) AXA Advisors, LLC, an affiliate of Equitable is the
principal underwriter for Equitable's Separate Account
No. 301, Separate Account No. 45, Separate Account A,
Separate Account I, Separate Account FP and EQ Advisors
Trust. AXA Advisors, LLC's principal business address is
1290 Avenue of the Americas, New York, NY 10104.
Set forth below is certain information regarding the directors and principal
officers of AXA Advisors, LLC. The business address of the persons whose names
are preceded by an asterisk is that of AXA Advisors, LLC.
<TABLE>
<CAPTION>
(b) NAME AND PRINCIPAL POSITIONS AND OFFICES WITH UNDERWRITER
BUSINESS ADDRESS (AXA ADVISORS, LLC)
---------------- ---------------------------------------
<S> <C>
*Michael S. Martin Chairman of the Board and Chief
Executive Officer, and Director
*Martin J. Telles Executive Vice President and Chief
Marketing Officer
*Derry E. Bishop Executive Vice President and Director
*Harvey E. Blitz Executive Vice President and Director
*S. Patrick McGunagle Executive Vice President and Director
*Richard V. Silver Director
*Mark R. Wutt Director
Edward J. Hayes Executive Vice President
200 Plaza Drive
Secaucus, NJ 07096
*Craig A. Junkins Executive Vice President
*Peter D. Noris Executive Vice President
*Mark A. Silberman Senior Vice President and Chief
Financial Officer
*James Bodowitz Senior Vice President and General Counsel
Stephen T. Burnthall Senior Vice President
6435 Shiloh Road
Suite A
Alpharetta, GA 30005
*Catherine P. Earl Senior Vice President
Richard Magaldi Senior Vice President
6435 Shiloh Road
Suite A
Alpharetta, GA 30005
*Robert Schmedt Senior Vice President
*Cindy Schreiner Senior Vice President
*Donna M. Dazzo First Vice President
*Amy Francesscheni First Vice President
*Anne Nussbaum First Vice President
*Philomena Scamardella First Vice President
*Michael Brzozowski Vice President and Compliance Director
*Mark D. Godolsky Vice President and Controller
*Linda J. Galasso Secretary
*Francesca Divone Assistant Secretary
</TABLE>
(c) Not Applicable
C-16
<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; 1290 Avenue of the Americas,
New York, New York 10104; and 200 Plaza Drive, Secaucus, New Jersey 07094.
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.
C-17
<PAGE>
SIGNATURES
As required by the Securities Act of 1933, the Registrant has caused
this Registration Statement to be signed on its behalf, in the City and State
of New York, on the 25th day of April, 2000.
THE EQUITABLE LIFE ASSURANCE
SOCIETY OF THE UNITED STATES
(Registrant)
By: The Equitable Life Assurance
Society of the United States
By: /s/Maureen K. Wolfson
-----------------------
Maureen K. Wolfson
Vice President
C-18
<PAGE>
SIGNATURES
As required by the Securities Act of 1933, the Depositor has caused this
Registration Statement to be signed on its behalf in the City and State
of New York, on this 25th day of April, 2000.
THE EQUITABLE LIFE ASSURANCE
SOCIETY OF THE UNITED STATES
(Depositor)
By: /s/Maureen K. Wolfson
---------------------
Maureen K. Wolfson
Vice President
As required by the Securities Act of 1933, this Registration Statement
has been signed by the following persons in the capacities and on the date
indicated:
PRINCIPAL EXECUTIVE OFFICERS:
*Edward D. Miller Chairman of the Board, Chief
Executive Officer and Director
*Michael Hegarty President, Chief Operating and
Director
PRINCIPAL FINANCIAL OFFICER:
*Stanley B. Tulin Vice Chairman of the Board and
Chief Financial Officer
PRINCIPAL ACCOUNTING OFFICER:
*Alvin H. Fenichel Senior Vice President and
Controller
*DIRECTORS:
Francoise Colloc'h Donald J. Greene George T. Lowy
Henri de Castries John T. Hartley Edward D. Miller
Joseph L. Dionne John H.F. Haskell, Jr. Didier Pineau-Valencienne
Denis Duverne Michael Hegarty George J. Sella, Jr.
Jean-Rene Fourtou Mary R. (Nina) Henderson Peter J. Tobin
Norman C. Francis W. Edwin Jarmain Stanley B. Tulin
Dave H. Williams
/s/Maureen K. Wolfson
------------------
Maureen K. Wolfson
Attorney-in-Fact
April 25, 2000
C-19
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, State Street
Bank and Trust Company, in its capacity as Trustee of the undersigned
collective investment trusts, has duly caused this Registration Statement
to be signed by the undersigned, thereto duly authorized, in the City of
Boston and Commonwealth of Massachusetts, on this 25th day of April, 2000.
LIFECYCLE FUND GROUP TRUST - CONSERVATIVE
LIFECYCLE FUND GROUP TRUST - MODERATE
S&P 500 FLAGSHIP FUND
RUSSELL 2000 FUND
DAILY EAFE FUND
DAILY GOVERNMENT/CORPORATE BOND FUND
SHORT TERM INVESTMENT FUND
STATE STREET BANK AND TRUST COMPANY
By: /s/ Nicholas A. Lopardo
------------------------
Nicholas A. Lopardo
Vice Chairman
By: /s/ Timothy B. Harbert
------------------------
Timothy B. Harbert
Executive Vice President
C-20
<PAGE>
Pursuant to the requirements of the Securities Act of 1933, this Registration
Statement has been signed on behalf of the following persons in the
capacities on this 25th day of April, 2000.
PRINCIPAL EXECUTIVE OFFICER:
Marshall N. Carter
PRINCIPAL FINANCIAL OFFICER:
Ronald L. O'Kelley
PRINCIPAL ACCOUNTING OFFICER:
Rex S. Schuette
DIRECTORS:
Marshall N. Carter
David A. Spina
Tenley E. Albright
Joseph A. Baute, Jr.
I. MacAllister Booth
James I. Cash, Jr.
Nader f. Darehshori
John M. Kucharski
Charles R. LaMantia
David B. Perini
Dennis J. Picard
By: /s/ Nicholas A. Lopardo
-------------------------
Nicholas A. Lopardo
Attorney-in-Fact
By: /s/ Timothy B. Harbert
-------------------------
Timothy B. Harbert
Attorney-in-Fact
By: /s/ Ronald L. O'Kelley
-------------------------
Ronald L. O'Kelley
Executive Vice President, Chief Financial Officer
and Treasurer
By: /s/ Frederick J. Baughman
-------------------------
Frederick J. Baughman
Senior Vice President Comptroller and Chief Accounting Officer
C-21
<PAGE>
EXHIBIT INDEX
EXHIBIT NO. PAGE NO.
- ---------- --------
9(c) Opinion and Consent of Counsel.
10(c) Consent of PricewaterhouseCooper LLP.
10(d) Powers of Attorney (Equitable).
C-22
<PAGE>
ROBIN WAGNER
Vice President and Counsel
(212) 314-3962
Fax: (212) 707-7927
E-Mail: [email protected]
LAW DEPARTMENT
[EQUITABLE LOGO]
April 24, 2000
The Equitable Life Assurance
Society of the United States
1290 Avenue of the Americas
New York, NY 10104
Dear Sirs:
This opinion is furnished in connection with the Form N-4 Registration
Statement of The Equitable Life Assurance Society of the United States
("Equitable") under the Securities Act of 1933, as amended (the "Act"), relating
to separate account units of interest ("Units") under a group annuity contract,
as amended, issued by Equitable to the Trustees of the American Dental
Association Members Retirement Trust and of the American Dental Association
Members Pooled Trust for Retirement Plans (the "ADA Contract") (the separate
accounts included in the ADA Contract being referred to herein collectively as
the "Separate Accounts"). The ADA Contract is designed to provide benefits under
retirement plans and trusts adopted by members of the American Dental
Association for themselves and their employees. Such plans and trusts will be
qualified under Section 401 of the Internal Revenue Code of 1986, as amended.
The securities being registered are to be offered in the manner described in the
Registration Statement covering up to $60 million of the plan contributions to
be received under the ADA Contract.
I have examined all such corporate records of Equitable and such other
documents and such laws as I consider appropriate as a basis for the opinion
hereinafter expressed. On the basis of such examination, it is my opinion that
1. Equitable is a corporation duly organized and validly existing under the
laws of the State of New York.
2. The Separate Accounts were duly created pursuant to the provisions of the
New York Insurance Law.
<PAGE>
The Equitable Life Assurance
Society of the United States
April 24, 2000
Page 2
3. Assets allocated to the Separate Accounts are owned by Equitable; Equitable
is not a trustee with respect thereto. Under New York State law, the
income, gains and losses, whether or not realized, from assets allocated to
a Separate Account must be credited to or charged against such Account,
without regard to the other income, gains or losses of Equitable.
4. The ADA Contract provides that the portion of the assets of the Separate
Accounts equal to the reserves and other contract liabilities with respect
to the Separate Accounts shall not be chargeable with liabilities arising
out of any other business Equitable may conduct.
5. The ADA Contract and the Units issued thereunder have been duly authorized;
and the ADA Contract constitutes, and the Units when issued thereunder will
constitute, validly issued and binding obligations of Equitable in
accordance with their terms.
I hereby consent to the use of this opinion as an exhibit to the
Registration Statement.
Very truly yours,
/s/ Robin Wagner
-----------------------------------
Robin Wagner
Vice President and Counsel
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the use in the Statement of Additional Information
constituting part of this Registration Statement on Form N-4 (the "Registration
Statement") of (1) our report dated February 1, 2000 relating to the financial
statements of Separate Account Nos. 195, 197 and 198 of The Equitable Life
Assurance Society of the United States for the year ended December 31, 1999; (2)
our report dated February 1, 2000 relating to the consolidated financial
statements of The Equitable Life Assurance Society of the United States for the
year ended December 31, 1999; and (3) our reports relating to the financial
statements of the following funds established under the Declaration of Trust of
the State Street Bank and Trust Company Investment Funds for Tax Exempt
Retirement Plans: Lifecycle Fund Group Trust - Conservative and Lifecycle Fund
Group Trust - Moderate (reports dated March 15, 2000), S&P Flagship Fund and S&P
500 Index Fund with Futures (Combined Financial Statements) (report dated
February 26, 2000), Russell 2000 Fund and Russell 2000 Non-Lending Fund
(Combined Financial Statements) (report dated February 29, 2000), Daily EAFE
Securities Lending Fund and Daily EAFE Non-Lending Fund (Combined Financial
Statements) (report dated February 29, 2000), Daily MSCI Europe Index Securities
Lending Fund and Daily MSCI Europe Index Fund (Combined Financial Statements)
(report dated February 24, 2000), Daily MSCI Japan Index Securities Lending Fund
and Daily MSCI Japan Index Fund (Combined Financial Statements) (report dated
February 24, 2000), Daily MSCI Pacific Basin ex-Japan Index Securities Lending
Fund and Daily MSCI Pacific Basin ex-Japan Index Fund (Combined Financial
Statements) (report dated February 24, 2000), Daily Government/Corporate Bond
Fund (report dated March 3, 2000) and Short Term Investment Fund (report dated
February 3, 2000), 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 use in the Prospectus Supplement constituting part of this
Registration Statement of our report dated February 1, 2000 relating to the
financial statements of Separate Account No. 4 of The Equitable Life Assurance
Society of the United States for the year ended December 31, 1999, which report
appears in such Prospectus Supplement. We also consent to the references to us
under the headings "Condensed financial information" and "About our independent
accountants" in the Prospectus.
PricewaterhouseCoopers LLP
New York, New York
April 24, 2000
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Francoise Colloc'h
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Norman C. Francis
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Michael Hegarty
-------------------------------------
Michael Hegarty
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Edward Miller
-------------------------------------
Edward Miller
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Denis Duverne
-------------------------------------
Denis Duverne
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Donald J. Greene
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ George T. Lowy
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Peter J. Tobin
-------------------------------------
Peter J. Tobin
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Joseph L. Dionne
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ John T. Hartley
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ John H. F. Haskell, Jr.
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
5th day of April, 2000.
/s/ Dave H. Williams
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Mary B. (Nina) Henderson
-------------------------------------
Mary B. (Nina) Henderson
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
4th day of April, 2000.
/s/ George J. Sella, Jr.
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ W. Edwin Jarmain
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
13th day of April, 2000.
/s/ Alvin H. Fenichel
-------------------------------------
Alvin H. Fenichel
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
13th day of April, 2000.
/s/ Jean-Rene Fourtou
-------------------------------------
Jean-Rene Fourtou
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
23rd day of March, 2000.
/s/ Stanley B. Tulin
-------------------------------------
Stanley B. Tulin
<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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
4th day of April, 2000.
/s/ Henri de Castries
-------------------------------------
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 R. Lee Wilson, Anne M. Katcher, Stuart L. Faust, Nik Malvania, Pauline
Sherman, Naomi J. Weinstein, Mary A. Hyland, Maureen K. Wolfson, Mildred
Oliver, Robin Wagner 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, 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
10th day of April, 2000.
/s/ Didier Pineau Valencienne
-------------------------------------
Didier Pineau Valencienne
