<PAGE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
----------------
FORM 10-K
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D)
OF THE SECURITIES EXCHANGE ACT OF 1934
FOR THE FISCAL YEAR ENDED DECEMBER 31, 1996
COMMISSION FILE NOS. 33-68730 AND 33-92120
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
<TABLE>
<S> <C>
MASSACHUSETTS 04-6691601
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
225 FRANKLIN STREET, BOSTON, MASSACHUSETTS 02110
(Address of principal executive offices) (Zip Code)
</TABLE>
Registrant's telephone number, including area code: (617) 985-3000
Securities registered pursuant to Section 12(b) of the Act: NONE
Securities registered pursuant to Section 12(g) of the Act: NONE
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. Yes X No
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to
the best of registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K. [X]
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Special Note Regarding Forward Looking Statements......................... 3
PART I
ITEM 1.Business ......................................................... 4
ITEM 2.Properties ....................................................... 46
ITEM 3.Legal Proceedings ................................................ 46
ITEM 4.Submission of Matters to a Vote of Security Holders .............. 46
PART II
ITEM 5.Market for Registrant's Common Stock and Related Stockholder
Matters ........................................................ 46
ITEM 6.Selected Financial Data .......................................... 47
ITEM 7.Management's Discussion and Analysis of Financial Condition and
Results of Operations........................................... 54
ITEM 8.Financial Statements and Supplementary Data ...................... 58
ITEM 9.Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure ........................................... 150
PART III
ITEM 10.Directors and Executive Officers of the Registrant ............... 150
ITEM 11.Executive Compensation ........................................... 150
ITEM 12.Security Ownership of Certain Beneficial Owners and Management ... 150
ITEM 13.Certain Relationships and Related Transactions ................... 150
PART IV
ITEM 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
................................................................ 151
Glossary of Certain Terms Used in This Report ............................ 154
Signatures ............................................................... 158
</TABLE>
<PAGE>
SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS
Certain statements in this Report, including, without limitation, those
relating to the objectives and strategies of the Investment Options described
herein, constitute "Forward-Looking Statements" within the meaning of the
Private Securities Litigation Reform Act of 1995 (the "Reform Act"). The
Collective Trust desires to take advantage of certain "safe harbor" provisions
of the Reform Act and is including this special note to enable it to do so.
Forward-looking statements included in this Report, or hereafter included in
other publicly available documents filed with the Securities and Exchange
Commission, and other publicly available statements issued or released by the
Collective Trust involve known and unknown risks, uncertainties, and other
factors which could cause the actual results, performance or achievements of
the Investment Options described herein to differ materially from the future
results, performance or achievements expressed or implied by such forward-
looking statements. For a description of certain of these factors, see the
descriptions of each of the Investment Options described in "Item 1. Business."
3
<PAGE>
See "Glossary of Certain Terms Used in this Report" on page 154 for
definitions of certain terms used in this Report.
PART I
ITEM 1. BUSINESS.
OVERVIEW
American Bar Association Members/State Street Collective Trust (the
"Collective Trust") was organized on August 8, 1991. The Collective Trust is
maintained exclusively for the collective investment of monies administered on
behalf of the American Bar Association Members Retirement Program (the
"Program"). Eight separate collective investment funds (the "Funds") and three
portfolios in a Structured Portfolio Service (the "Portfolios") are
established under the Collective Trust. The Funds are as follows: Stable Asset
Return Fund, Intermediate Bond Fund, Balanced Fund, Value Equity Fund, Growth
Equity Fund, Index Equity Fund, Aggressive Equity Fund and International
Equity Fund. Assets contributed under the Program may also be invested in
portfolios of the Structured Portfolio Service, which offers conservative,
moderate or aggressive allocations of assets among the Funds listed above. The
Funds and Portfolios are investment options under the Program, which is
sponsored by the American Bar Retirement Association ("ABRA").
The Collective Trust may offer and sell an unlimited number of units
representing interests in separate fund portfolios of the Collective Trust,
each unit to be offered and sold at the per unit net asset value of the
corresponding fund portfolio.
State Street Bank and Trust Company ("State Street" or the "Trustee") serves
as trustee of the Collective Trust. On January 1, 1992, State Street assumed
responsibility for administering and providing investment options for the
Program. State Street is a trust company established under the laws of The
Commonwealth of Massachusetts and is a wholly-owned subsidiary of State Street
Boston Corporation, a Massachusetts corporation and a holding company
registered under the Federal Bank Holding Company Act of 1956, as amended.
State Street is responsible for certain recordkeeping and administrative
services required by the Program. State Street's administrative and
recordkeeping responsibilities include maintenance of individual account
records or accrued benefit information for participants whose employers choose
to have State Street maintain such account records. In addition, State Street
also provides account and investment information to employers and
participants, receives all plan contributions, effects investment and transfer
transactions and distributes all benefits provided by the plans to the
participants or, in the case of some individually designed plans, to the
trustees of such plans.
THE PROGRAM
Attorneys who are sole practitioners and partnerships and professional
corporations engaged in the practice of law may adopt the Program for their
law practices if they or one of their partners or shareholders is a member or
associate of the American Bar Association (the "ABA") or of a state or local
bar association that is represented in the ABA's House of Delegates. Such a
bar association or an organization closely associated with the legal
profession that has as an owner or member of its governing board a member or
associate of the ABA may also be eligible to adopt the Program. The law
practices, bar associations and other organizations that are eligible to adopt
the Program are referred to herein as "Eligible Employers."
4
<PAGE>
Eligible Employers who elect to participate in the Program may do so by
adopting an individual plan (an "Individual Master Plan") under one or both of
two employee benefit plans sponsored by ABRA (the "ABA Members Plans"). The ABA
Members Plans consist of the American Bar Association Members Retirement Plan,
a defined contribution master plan (the "ABA Retirement Plan"), and the
American Bar Association Members Defined Benefit Plan, a defined benefit master
plan (the "ABA Defined Benefit Plan"). Eligible Employers that maintain their
own individually designed employee benefit plans (the "Individually Designed
Plans") (together with Eligible Employers that participate in the ABA Members
Plans, referred to as "Employers") may also participate in certain aspects of
the Program through such plans. The ABA Members Plans and the Individually
Designed Plans are collectively referred to as the "Plans." Participants are
employees (together with their beneficiaries where the context so requires) of
Employers and self-employed individuals who have adopted the Program for their
practices.
Assets contributed under the Program are held by State Street as trustee of
the American Bar Association Members Retirement Trust (the "Master Trust") in
the case of assets contributed under Individual Master Plans and the American
Bar Association Members Pooled Trust for Retirement Plans (the "Pooled Trust")
in the case of assets contributed under Individually Designed Plans (the Master
Trust and the Pooled Trust are collectively referred to as the "ABA Members
Trusts"). Such assets are allocated among the Investment Options available
under the Program in accordance with the instructions of the person or entity
vested with responsibility for determining the investment allocation of the
assets of a Plan held in the Master Trust or Pooled Trust (the "Investor").
Under the Program, certain Participants, Employers or Plan trustees may also
direct State Street to purchase and sell a wide variety of publicly traded debt
and equity securities and shares of numerous mutual funds for the
Participant's, Employer's or Plan trustee's self-managed account (the "Self-
Managed Account"). The Self-Managed Account is available only to Participants
in the ABA Retirement Plan and to Employers with respect to the ABA Defined
Benefit Plan, provided that in either case the Employer has designated the
Self-Managed Account as an investment option for its Plan. The Self-Managed
Account is also available for Participants, Employers and Plan trustees of
certain Individually Designed Plans. The terms of each Plan determine who is
the Investor with respect to the assets of the Plan. In the case of the ABA
Retirement Plan, each Participant is an Investor. Generally, in the case of the
ABA Defined Benefit Plan, the Employer is the Investor, except that with
respect to certain prior plan accounts under the ABA Defined Benefit Plan, the
Participant is the Investor. In the case of Individually Designed Plans, the
Investor may be the Participant, the Employer or the Plan trustee.
5
<PAGE>
DESCRIPTION OF INVESTMENT OPTIONS
The following are Investment Options under the Program. The Stable Asset
Return Fund invests primarily in money market instruments and investment
contracts. The Intermediate Bond Fund (the "Bond Fund") invests primarily in
debt securities of varying maturities, with approximately 2/3 of such
portfolio to be actively managed and 1/3 of such portfolio to be invested to
replicate the Lehman Brothers Government/Corporate Bond Index (the "LB Bond
Index"). The Index Equity Fund invests primarily in common stocks included in
the Russell 3000 Index. The Balanced Fund, Value Equity Fund, Growth Equity
Fund, Aggressive Equity Fund and International Equity Fund invest primarily in
equity securities or, in the case of the Balanced Fund, a combination of
equity and debt securities. Assets contributed under the Program may also be
invested in the portfolios of the Structured Portfolio Service, which offer
three approaches to diversifying investments in the Program by giving
Investors the opportunity to select conservative, moderate or aggressive
allocations of assets among the Program's Funds. In addition, assets
contributed under the Program may be invested (i) in any publicly traded debt
and equity securities and shares of numerous mutual funds through a Self-
Managed Account and (ii) when offered, in Insurance Investment Contracts of
varying maturities (commonly known as "guaranteed investment contracts" or
"GICs") that are issued by insurance companies that meet certain credit
quality standards.
Interests in the respective Funds and the portfolios of the Structured
Portfolio Service are represented by units of beneficial interest ("Units"),
each of which represents an undivided pro rata share of the net assets of
underlying Funds. Although the Funds and the portfolios of the Structured
Portfolio Service are similar in certain respects to registered open-end
management investment companies (commonly referred to as "mutual funds"), the
Funds and the portfolios of the Structured Portfolio Service are not
registered as investment companies under the Investment Company Act of 1940
(the "Investment Company Act") and, therefore, are not subject to the
requirements of such act. The Units representing interests in the Funds and
the portfolios of the Structured Portfolio Service are held by State Street,
as trustee of the ABA Members Trusts, for the benefit of Investors of the
Plans held in the Master Trust or the Pooled Trust. Neither the Units nor the
assets of the Funds or a portfolio of the Structured Portfolio Service, as
applicable, are subject to the claims of State Street's creditors. The Units
are not insured by the Federal Deposit Insurance Corporation or any
governmental agency. State Street's activities as trustee of the Collective
Trust are subject to the requirements of ERISA. There are no voting rights
connected with the ownership of Units.
Units in the Funds and the portfolios of the Structured Portfolio Service
are not "redeemable securities" within the meaning of the Investment Company
Act. However, each Unit entitles an Investor to exercise rights that are
substantially similar to the rights of holders of "redeemable securities"
issued by a mutual fund. Units in each Fund and in each portfolio of the
Structured Portfolio Service may be withdrawn on each Business Day (subject to
applicable restrictions under the terms of the Program) for cash equal to the
per Unit net asset value of the Fund or the portfolio in the Structured
Portfolio Service, respectively. In addition, transfers may be made among the
Funds and the portfolios in the Structured Portfolio Service based on the
relevant per Unit net asset values.
For purposes of the descriptions of the Funds herein, investments by a Fund
in collective investment funds maintained by State Street are deemed to be
investments in the underlying securities held by such collective investment
funds.
STABLE ASSET RETURN FUND
INVESTMENT OBJECTIVE. The investment objective of the Stable Asset Return
Fund is to provide current income consistent with the preservation of
principal and liquidity. The Stable Asset Return Fund will invest in
investment contracts and high quality money market instruments through
collective investment funds maintained by State Street. THERE CAN BE NO
ASSURANCE THAT THE STABLE ASSET RETURN FUND WILL ACHIEVE ITS INVESTMENT
OBJECTIVE.
6
<PAGE>
STRATEGY. The Stable Asset Return Fund invests in obligations of the United
States government and the agencies and instrumentalities thereof ("U.S.
Government Obligations"), notes, bonds and similar debt instruments of
corporations, commercial paper, certificates of deposit and time deposits,
bankers' acceptances, variable and indexed interest notes and repurchase
agreements (collectively, "Short-Term Investment Products"). The Fund also
invests in investment contracts, including "Synthetic GICs" (as defined below)
issued by insurance companies, banks or other financial institutions.
Synthetic GICs are arrangements comprised of an investment in one or more
underlying securities and a contract issued by an insurance company, bank or
other financial institution that provides for the return of principal and an
agreed upon rate of interest for purposes of permitting the Fund to be benefit
responsive (i.e., responsive to withdrawal, transfer and benefit payment
requests). The underlying securities of the Synthetic GICs generally consist
of fixed income debt instruments. As of December 31, 1996, approximately 52%
of the Fund's assets were invested in Short-Term Investment Products and 48%
of the Fund's assets were invested in investment contracts. As of December 31,
1996, the average weighted maturity of the Stable Asset Return Fund was 1.2
years. The Fund's portfolio will be structured to provide cash flow to assist
liquidity management and to limit the volatility of movement in interest rates
received by the Fund while maintaining a rate of return that is sensitive to
current interest rates.
INVESTMENT GUIDELINES AND RESTRICTIONS AND CERTAIN RISK FACTORS. The 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, such as the Farmers Home Administration, the Export Import
Bank of the United States, the Small Business Administration, the Government
National Mortgage Association, the General Services Administration and the
Maritime Administration. Not all U.S. Government Obligations are backed by the
full faith and credit of the United States. For example, securities issued by
the Federal Farm Credit Bank or by the Federal National Mortgage Association
are supported by the agency's right to borrow money from the U.S. Treasury
under certain circumstances, and securities issued by the Federal Home Loan
Bank are supported only by the credit of the issuing agency. There is no
guarantee that the U.S. Government will support these types of securities,
and, therefore, they involve more risk than U.S. Government Obligations that
are supported by the full faith and credit of the United States.
The Stable Asset Return Fund may enter into repurchase agreements with a
variety of banks and broker-dealers. In a repurchase agreement transaction,
the 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 market rate of interest
unrelated to the coupon rate on the purchased security. The difference between
the sale and the repurchase price is, in effect, interest for the period of
the agreement. In such transactions, the securities purchased by the Stable
Asset Return Fund will have a total value at least equal to the amount of the
repurchase price and will be held by State Street 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.
The Stable Asset Return Fund may invest in U.S. dollar-denominated
instruments issued by foreign banks and foreign branches of U.S. banks, which
may involve special risks. Foreign 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. Furthermore,
investments in foreign banks may involve additional risks similar to those
associated with investments in foreign securities described in "--
International Equity Fund--Certain Risk Factors." Foreign branches of U.S.
banks are generally subject to the U.S. banking laws, but obligations issued
by such branches, which are sometimes payable only by the branch, may be
subject to country risks relating to actions by foreign governments that may
restrict or even shut down the operations of some or all banks.
7
<PAGE>
The Stable Asset Return 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 the 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 Stable Asset Return Fund will not receive interest on
the security, and will be subject to the risk of a loss if the value of the
when-issued security is less than the purchase price at the time of delivery.
Except with respect to U.S. Government Obligations, the Stable Asset Return
Fund may invest in a Short-Term Investment Product only if at the time of
purchase, the instrument is (i) rated in one of the two highest rating
categories applicable to corporate bonds by at least two nationally recognized
statistical rating organizations ("NRSROs"), at least one of which must be
Standard & Poor's Corporation ("S&P") or Moody's Investors Service, Inc.
("Moody's"), (ii) rated in the highest rating category applicable to
commercial paper by at least two NRSROs, at least one of which must be S&P or
Moody's, or (iii) if unrated, issued or guaranteed by an issuer that has other
comparable outstanding instruments that are so rated or is itself rated in one
of the two highest rating categories by at least two NRSROs, at least one of
which must be S&P or Moody's. For purposes of this restriction, an investment
in a repurchase agreement will be considered to be an investment in the
securities that are the subject of the repurchase agreement. Except with
respect to certain U.S. Government Obligations, each instrument purchased will
be subject to the risks of default by the issuer and the non-payment of
interest or principal that are usually associated with unsecured borrowings.
The Stable Asset Return Fund may not invest in any investment contract,
unless, at the time of purchase, the investment contract or the issuer thereof
is rated in one of the two highest rating categories by at least two NRSROs,
at least one of which must be S&P or Moody's. Although these rating standards
must be satisfied at the time an investment contract is issued, the financial
condition of an issuer may change prior to maturity. The Stable Asset Return
Fund will generally be unable to dispose of an investment contract prior to
its maturity in the event of the deterioration of the financial condition of
the issuer.
Except for investment contracts, the Fund generally does not invest more
than 5% of its assets in securities of a single issuer, determined at the time
of purchase, other than U.S. Government Obligations. For purposes of this 5%
limitation, investments in collective investment funds maintained by State
Street are considered to be investments in the underlying securities held by
such collective investment funds, and investments in repurchase agreements are
considered to be investments in the securities that are the subject of such
repurchase agreements. Other than investment contracts, the Fund may not
invest more than 10% of its net assets in illiquid securities, including
repurchase agreements with maturities of greater than seven days or portfolio
securities that are not readily marketable or redeemable, determined at the
time of purchase. The proportion of the assets of the Fund invested in
investment contracts of any one insurance company, bank or financial
institution may generally not be greater than 15% of the aggregate value of
investment contracts included in the Fund's portfolio, and in no event greater
than 20%, in each case determined at the time of purchase. To the extent that
the assets of the Stable Asset Return Fund are committed to investment
contracts of a single issuer, the Fund will be subject to a greater risk that
a default by such issuer will have a material adverse effect on the Fund. The
Stable Asset Return Fund will not acquire warrants or make any other
investment that is inconsistent with the restrictions applicable to the other
Funds described under "--Certain Information with Respect to the Funds--
Investment Prohibitions." Except as explicitly set forth above and in "--
Derivative Instruments," there are no other investment restrictions applicable
to the Stable Asset Return Fund.
VALUATION OF UNITS. When an Investor allocates assets to the Stable Asset
Return Fund, the account of the Investor is credited with that number of Units
with an aggregate price equal to the value of such assets allocated to the
Fund. Each Business Day the net income accrued by the Stable Asset Return Fund
8
<PAGE>
is calculated and additional Units of the Fund with an aggregate value equal
to the accrued net income of the Fund are issued in proportion to the
Investors' interests.
THE STABLE ASSET RETURN FUND SEEKS TO MAINTAIN A STABLE NET ASSET VALUE OF
$1.00 PER UNIT, ALTHOUGH THERE CAN BE NO ASSURANCE THAT IT WILL BE ABLE TO DO
SO. Consistent with this objective, the Short-Term Investment Products of the
Stable Asset Return Fund are valued on the basis of a valuation method known
as "Amortized Cost Pricing." Amortized Cost Pricing involves valuing an
instrument initially at its cost and thereafter assuming a constant
amortization to maturity of any discount or premium, regardless of the impact
of fluctuating interest rates on the market value of the instrument. While
this method provides certainty in valuation, it may result in the
overvaluation or undervaluation of a particular instrument relative to the
market value of the instrument. The longer the maturity of an instrument, the
greater the exposure to such risk of overvaluation or undervaluation.
Investment contracts are valued at contract value (cost plus accrued
interest).
If an Investor were to receive a distribution from, or transfer out of, the
Stable Asset Return Fund at a time when the Stable Asset Return Fund was
overvalued, the Investor would be overpaid (based on market price) and the
value of the investments of remaining Investors would be diluted. Conversely,
if an Investor were to receive a distribution from, or transfer out of, the
Stable Asset Return Fund at a time when the Stable Asset Return Fund was
undervalued, the Investor would be underpaid (based on market price) and the
value of the investments of remaining Investors would be increased. If State
Street determines that the per Unit net asset value of the Stable Asset Return
Fund to the extent such value is determined based on Amortized Cost Pricing
method deviates from the net asset value determined by using available market
quotations or market equivalents (market value) to a large enough extent that
it may result in a material dilution or other unfair result to Investors,
State Street may adjust the per Unit net asset value of the Fund or take other
action that it deems appropriate to eliminate or reduce to the extent
reasonably practicable such dilution or other unfair result. For this purpose,
only the Short-Term Investment Products are tested on a mark to market basis.
Such valuations for the Investment Contracts are not required by generally
accepted accounting principles because of the benefit responsive structure of
the Investment Contracts held in the Fund.
Performance Information. The Stable Asset Return Fund may, from time to
time, report its performance in terms of its "yield" and "effective yield."
The Fund's yield is determined based upon historical earnings and is not
intended to indicate future performance. The "yield" of the Fund refers to the
annualized income generated by a daily investment in the Fund. The "effective
yield" is calculated similarly but, when annualized, the income earned by an
investment in the Fund is assumed to be reinvested. The "effective yield" will
be slightly higher than the "yield" because of the compounding effect of this
assumed reinvestment. A recorded message providing performance information for
the Stable Asset Return Fund is available at (800) 826-8905.
INVESTMENT ADVISOR. State Street is sole manager of the Stable Asset Return
Fund. State Street may in the future employ investment advisors, at its
discretion, to manage portions of the Fund, subject to consultation with ABRA.
INTERMEDIATE BOND FUND
INVESTMENT OBJECTIVE. The investment objective of the Bond Fund is to
achieve a total return from current income and capital appreciation by
investing primarily in a diversified portfolio of fixed-income securities. A
portion of the Bond Fund (approximately 2/3) will be actively managed,
investing in fixed-income securities with a portfolio duration generally from
3 to 6 years. The other portion of the Bond Fund--the index portion--will be
invested to replicate the LB Bond Index, which is composed of approximately
5,000 issues of fixed-income securities, including U.S. Government Obligations
and investment grade corporate bonds, each with an outstanding market value of
at least $25 million and
9
<PAGE>
remaining maturity of greater than one year. As of December 31, 1996, U.S.
Government Obligations and corporate debt securities represented 74% and 26%,
respectively, of the LB Bond Index. The actively managed portion seeks to
achieve, over an extended period of time, total returns comparable or superior
to broad measures of the domestic bond market. LEHMAN BROTHERS, INC. DOES NOT
SPONSOR THE BOND FUND, NOR IS IT AFFILIATED IN ANY WAY WITH THE BOND FUND OR
STATE STREET. THERE CAN BE NO ASSURANCE THAT THE BOND FUND WILL ACHIEVE ITS
INVESTMENT OBJECTIVE.
STRATEGY. The actively managed portion of the Bond Fund is expected to invest
its assets in fixed-income securities of varying maturities with a portfolio
duration generally from 3 to 6 years. The level of investments in fixed income
securities of this portion of the Bond Fund will vary, depending upon many
factors, including economic conditions, interest rates and other relevant
considerations. In selecting securities, economic forecasting, interest rate
anticipation, credit and call risk analysis, foreign currency exchange rate
forecasting and other security selection techniques will be taken into account.
Duration is a measure of the expected life of a fixed income security that
was developed as a more precise alternative to the concept of "term to
maturity." Duration incorporates a bond's yield, coupon interest payments,
final maturity and call features into one measure. Traditionally, a debt
security's "term to maturity" has been used as a proxy for the sensitivity of
the security's price to changes in interest rates (which is the "interest rate
risk" or "volatility" of the security). However, "term to maturity" measures
only the time until a debt security provides its final payment, taking no
account of the pattern of the security's payment prior to maturity. Duration is
a measure of the expected life of a fixed income security on a present value
basis. Duration takes the length of the time intervals between the present time
and the time that the interest and principal payments are scheduled or, in the
case of a callable bond, expected to be received, and weighs them by the
present values of the cash to be received at each future point in time. For any
fixed income security with interest payments occurring prior to the payment of
principal, duration is always less than maturity. In general, all other things
being equal, the lower the stated or coupon rate of interest of a fixed income
security, the longer the duration of the security; conversely, the higher the
stated or coupon rate of interest of a fixed income security, the shorter the
duration of the security.
The portion of the Fund's assets committed to investment in debt securities
with particular characteristics (such as maturity, type and coupon rate) will
vary based on the outlook for the U.S. and foreign economies, the financial
markets and other factors. The portfolio holdings will be concentrated in areas
of the bond market (based on quality, sector, coupon or maturity) that are
believed to be relatively undervalued.
The index portion of the Bond Fund will attempt to hold a representative
sample of the securities in the LB Bond Index so that, in the aggregate, the
investment characteristics of this portion of the Bond Fund's portfolio will
resemble those of the LB Bond Index. However, the index portion of the Bond
Fund is not expected to track the LB Bond Index with the same degree of
accuracy that complete replication of such index would provide. Over time, the
portfolio composition of the index portion of the Bond Fund will be altered (or
"rebalanced") to reflect changes in the characteristics of the LB Bond Index.
INVESTMENT GUIDELINES AND RESTRICTIONS. The actively managed portion of the
Bond Fund will invest primarily in the following types of securities, which may
be issued by domestic or foreign entities and denominated in U.S. dollars or
foreign currencies (subject to a 20% limit on foreign securities, as described
below): U.S. Government Obligations; corporate debt securities; corporate
commercial paper; mortgage and other asset-backed securities; variable and
floating rate debt securities; bank certificates of deposit, fixed time
deposits and bankers' acceptances; repurchase agreements; obligations of
foreign governments or their subdivisions, agencies and instrumentalities,
international
10
<PAGE>
agencies or supranational entities; and foreign currency denominated
securities. The Bond Fund may hold different percentages of the assets in
these various types of securities.
For the purpose of achieving income, the actively managed portion of the
Bond Fund may enter into repurchase agreements, but may not invest more than
15% of its total assets in repurchase agreements maturing in more than seven
days. See "--Stable Asset Return Fund--Investment Guidelines and Restrictions
and Certain Risk Factors."
The index portion of the Bond Fund will invest its assets so as to replicate
the LB Bond Index. Under normal market conditions, at least 90% of the value
of the total assets of the index portion will be invested in securities
comprising the LB Bond Index. For temporary defensive purposes, the index
portion of the Bond Fund may invest without limitation in U.S. Government
Obligations, commercial paper, and other money market instruments of the type
purchased by the Stable Asset Return Fund, as described in "--Stable Asset
Return Fund." The index portion of the Bond Fund would invoke this right only
in extraordinary circumstances, such as war, the closing of equity markets, an
extreme financial calamity, or the threat of any such event.
For information with respect to the use of derivative instruments, see "--
Derivative Instruments." In addition, the Bond Fund is subject to the same
investment restrictions that are applicable to the other Funds. See "--Certain
Information with Respect to the Funds--Investment Prohibitions."
CERTAIN RISK FACTORS WITH RESPECT TO THE BOND FUND. As to certain risk
factors with respect to investing in U.S. Government Obligations, see "--
Stable Asset Return Fund--Investment Guidelines and Restrictions and Certain
Risk Factors," and, as to risk factors with respect to the use of derivative
instruments, see "--Derivative Instruments."
The Bond Fund may purchase or sell securities on a when-issued or delayed
delivery basis. As to certain risks involved, see "--Stable Asset Return
Fund--Investment Guidelines and Restrictions and Certain Risk Factors."
The actively managed portion of the Bond Fund will limit its foreign
investments to securities of issuers based in developed countries (including
newly industrialized countries, such as Taiwan, South Korea and Mexico).
Investing in the securities of issuers in any foreign country involves special
risks and considerations not typically associated with investing in U.S.
companies. See "--International Equity Fund--Certain Risk Factors."
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the Fund increase, which may adversely affect
the Fund's performance. Because the types and proportions of the Bond Fund's
assets may change frequently in accordance with market conditions, an annual
portfolio turnover rate cannot be predicted.
Index funds, such as the index portion of the Bond Fund, seek to create a
portfolio which substantially replicates the total sum of the securities
comprising the applicable index. Index funds are not managed through
traditional methods of fund management, which typically involve frequent
changes in a portfolio of securities on the basis of economic, financial and
market analyses. Therefore, brokerage costs, transfer taxes and certain other
transaction costs for index funds may be lower than those incurred by non-
index, traditionally managed funds.
Portfolio turnover for 1996 was 22.37% and for the period from September 5,
1995 to December 31, 1995 was 1.60%. Such turnover reflects purchases and
sales of shares of the registered investment companies in which the Fund
invests rather than the turnover of the underlying portfolios of such
registered investment companies (described below).
11
<PAGE>
PERFORMANCE INFORMATION. The Fund's total return is based on the overall
dollar or percentage change in value of a hypothetical investment in the Fund
and assumes that all Fund's dividends and capital gain distributions are
reinvested. The "total return" sought by the Bond Fund will consist of
interest and dividends from underlying securities, capital appreciation
reflected in unrealized increases in value of portfolio securities or realized
from the purchase and sale of securities and futures and options. A recorded
message providing current unit values and yield for the Bond Fund is available
at (800) 348-2272. While the Bond Fund is invested in registered investment
companies (as described below) the yield for the Bond Fund will be calculated
by taking the weighted average annualized yield of such registered investment
companies and adjusting for the Fund's expenses. It is expected that when the
Fund is no longer invested in registered investment companies, the Fund's
"yield" will be calculated by dividing its net investment income per Unit
earned during the specified period by its net asset value per Unit on the last
day of such period and annualizing the result.
INVESTMENT ADVISORS AND INITIAL INVESTMENTS IN REGISTERED INVESTMENT
COMPANIES. State Street expects to select Pacific Investment Management
Company ("PIMCO") to serve as Investment Advisor to provide investment advice
and arrange for the execution of purchases and sales of securities for the
actively managed portion of the Bond Fund, subject to the supervision and
approval of State Street.
State Street, however, based upon the advice of PIMCO, has determined that
until a minimum level of assets (the "Minimum Level") (in this case
approximately $75 million) have been allocated to the actively managed portion
of the Bond Fund, in order to provide for efficient investment of the Bond
Fund's assets, PIMCO's advice will be obtained by investing approximately 2/3
of the funds directed by Investors into the Bond Fund in the PIMCO Total
Return Fund, an open-end management investment company registered under the
Investment Company Act and managed by PIMCO (the "Total Return Fund"). As of
December 31, 1996, $33.4 million in assets were allocated to the actively
managed portion of the Bond Fund and such assets are currently invested in the
Total Return Fund. The Total Return Fund invests at least 65% of its assets in
a diversified portfolio of fixed-income securities of varying maturities with
a portfolio duration generally from 3 to 6 years. The Total Return Fund has
substantially similar investment objectives to the actively managed portion of
the Bond Fund. After the Minimum Level is attained by the actively managed
portion of the Bond Fund, State Street expects that such portion will be
managed as a separate collective trust portfolio by State Street, with the
advice of PIMCO.
With respect to the index portion of the Bond Fund, State Street expects to
select Barclay's Global Investors ("BGI") to serve as Investment Advisor to
provide investment advice and arrange for the execution of purchases and sales
of securities for the index portion of the Bond Fund, subject to the
supervision and approval of State Street.
State Street, however, upon the advice of BGI has determined that in order
for the index portion of the Bond Fund to meet its investment objective, until
the Minimum Level (in this case approximately $200 million) is attained, in
order to provide for efficient investment of the index portion of the Bond
Fund's assets, BGI's advice will be obtained by investing approximately 1/3 of
the funds directed by Investors into the Bond Fund in the MasterWorks Bond
Index Fund, an open-end management investment company registered under the
Investment Company Act (the "Bond Index Fund"), which invests in the
securities represented in the LB Bond Index. As of December 31, 1996, $16.1
million in assets were allocated to the index portion of the Bond Fund and
such assets are currently invested in the Bond Index Fund. The Bond Index Fund
is managed by BGI and has substantially similar investment objectives to the
index portion of the Bond Fund. The Bond Index Fund attempts to achieve, in
both rising and falling markets, a correlation of at least 95% between the
total return of its net assets before expenses and the total return of the LB
Bond Index. After the Minimum Level is attained by the index portion of the
Bond Fund, State Street expects that such portion will be managed as a
separate collective trust portfolio by State Street with the advice of BGI.
12
<PAGE>
State Street will monitor the performance of the Total Return Fund and the
Bond Index Fund, in light of the Bond Fund's investment objectives, to
determine whether the continued investment by the Bond Fund in such registered
investment companies is appropriate. If State Street concludes that the
investment objectives or performance of the Total Return Fund and the Bond
Index Fund are no longer consistent with those of the actively managed portion
and index portion of the Bond Fund, respectively, State Street may transfer a
portion or all of the assets of the Bond Fund that are invested in such
registered investment companies to other registered investment companies or
collective investment funds managed by State Street, which, in light of the
investment objectives of the Bond Fund, State Street deems to be more
appropriate. After the Minimum Level is reached for each portion of the Bond
Fund, State Street and the Investment Advisors will determine appropriate
redemption procedures from the Total Return Fund and the Bond Index Fund.
State Street has determined the percentage of the assets in the Bond Fund to
be allocated to each portion of the Bond Fund. Unless altered by State Street,
contributions to and withdrawals from the Bond Fund will be allocated 2/3 to
PIMCO and 1/3 to BGI. Income and realized gains attributable to the assets
allocated to each Investment Advisor will remain allocated to such Investment
Advisor thereby changing the percentage of total assets of the Bond Fund
allocated to each Investment Advisor. An Investment Advisor with superior
performance may thus provide investment advice with respect to a larger
percentage of the assets of the Bond Fund than originally allocated to such
advisor. For additional information with respect to the Investment Advisors,
see "--Investment Advisors."
BALANCED FUND
INVESTMENT OBJECTIVE. The investment objective of the Balanced Fund is to
achieve both current income and capital appreciation. The Balanced Fund seeks
to achieve, over an extended period of time, total returns comparable to or
superior to an appropriate combination of broad measures of the domestic stock
and bond markets. THERE CAN BE NO ASSURANCE THAT THE BALANCED FUND WILL ACHIEVE
ITS INVESTMENT OBJECTIVE.
STRATEGY. The Balanced Fund invests in publicly traded common stocks, other
equity-type securities, long-term debt securities with varying maturities and
money market instruments. The Balanced Fund normally maintains at least 40%,
but not more than 70%, of its total assets in common stocks and other equity-
type instruments, including convertible securities, and at least 30%, but not
more than 60%, of its total assets in nonconvertible debt securities and money
market instruments. The Balanced Fund invests only in long-term debt securities
of varying maturities that are rated investment grade by an NRSRO or, if
unrated, determined by State Street to be of comparable quality. The Balanced
Fund varies the portion of its assets invested in equity securities, debt
securities and money market instruments to achieve the Fund's investment
objective based upon economic conditions, the general level of common stock
prices, interest rates and other relevant considerations, including the risks
associated with each investment medium.
INVESTMENT GUIDELINES AND RESTRICTIONS. The Balanced Fund invests in equity
securities of the same types as those in which the Growth Equity Fund invests.
See "--Growth Equity Fund." The Balanced Fund also invests in Short-Term
Investment Products. See "--Stable Asset Return Fund--Strategy." Such
investments, however, may include certificates of deposit and time deposits of
London branches of U.S. banks (these investments are usually referred to as
"Eurodollars") and certificates of deposit and commercial paper issued by
Canadian chartered bank subsidiaries of U.S. banks.
To the extent that the assets of the Balanced Fund are invested in securities
of a single issuer, there is a greater risk that a deterioration in performance
or default by such issuer will have a material adverse effect on the Fund.
13
<PAGE>
For temporary defensive purposes, the Balanced Fund may invest without
limitation in U.S. Government Obligations, commercial paper and other money
market instruments of the types purchased by the Stable Asset Return Fund, as
described in "--Stable Asset Return Fund." The Fund would invoke this right
only in extraordinary circumstances, such as war, the closing of bond or
equity markets, an extreme financial calamity or the threat of any such event.
Additional investment restrictions applicable to the Balanced Fund are
described in "--Certain Information with Respect to the Funds--Investment
Prohibitions."
CERTAIN RISK FACTORS. For information and risk factors associated with
investing in equity and debt securities, see "--Index Equity Fund--Certain
Risk Factors," and "--Stable Asset Return Fund." For information with respect
to the use of derivative instruments, see "--Derivative Instruments." In
addition, investments in foreign securities involve special risks. For certain
risk factors associated with investing in foreign securities, see "--
International Equity Fund--Certain Risk Factors."
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the Fund, such as brokerage commissions,
increase, which may adversely affect the Fund's performance. Because the types
and proportions of the Balanced Fund's assets may change frequently in
accordance with market conditions, an annual portfolio turnover rate cannot be
predicted. The turnover was 180.67%, 154.73% and 112.51% for 1996, 1995 and
1994, respectively.
INVESTMENT ADVISORS. State Street has retained Lincoln Capital Management
Company ("Lincoln Capital") and Miller, Anderson & Sherrerd to serve as
Investment Advisors to provide investment advice and arrange for the execution
of purchases and sales of securities for the Balanced Fund. State Street will
determine the percentage of the assets in the Balanced Fund to be allocated to
each Investment Advisor. Unless altered by State Street, contributions to and
withdrawals from the Balanced Fund will be allocated 50% to Lincoln Capital
and 50% to Miller, Anderson & Sherrerd. Income and realized gains attributable
to the assets allocated to each Investment Advisor remain allocated to such
Investment Advisor, thereby changing the percentage of total assets of the
Balanced Fund allocated to each Investment Advisor. An Investment Advisor with
superior performance may thus provide investment advice with respect to a
larger percentage of the assets of the Balanced Fund than originally allocated
to such advisor. For additional information regarding the Investment Advisors,
see "--Investment Advisors."
VALUE EQUITY FUND
INVESTMENT OBJECTIVE. The Value Equity Fund's investment objective is to
invest in common stocks of larger companies believed to be attractively priced
relative to their future earnings power with the goal of achieving long-term
growth of capital and dividend income. The Value Equity Fund seeks to
outperform, over extended periods of time, broad measures of the domestic
stock market. The Value Equity Fund is broadly diversified and emphasizes
sectors and securities State Street and its Investment Advisor consider
undervalued. THERE CAN BE NO ASSURANCE THAT THE VALUE EQUITY FUND WILL ACHIEVE
ITS INVESTMENT OBJECTIVE.
STRATEGY. The Fund invests primarily in common stocks of companies that in
the opinion of State Street and its Investment Advisor are undervalued in the
market place. The Value Equity Fund seeks to achieve growth of capital through
investing primarily in common stocks of larger companies believed to be
attractively priced relative to their future earnings power. The Fund's
Investment Advisor seeks to limit the Fund's divergence from the market's
performance over full market cycles to moderate levels.
INVESTMENT GUIDELINES AND RESTRICTIONS. Although the assets of the Value
Equity Fund are generally invested in common stocks and other equity-type
securities, including convertible securities, the Value Equity Fund may invest
in non-equity securities, including investment grade bonds and debentures and
high quality money market instruments of the same types as those in which the
Stable Asset Return Fund may invest, when State Street and the Investment
Advisor determine that such
14
<PAGE>
investments may contribute to the attainment of the Fund's investment
objective. The Value Equity Fund will not invest more than 35% of its assets
in non-equity securities, except for temporary defensive purposes. The Fund
may invest in non-equity securities when, in light of economic conditions and
the general level of stock prices, dividend rates, prices of fixed income
securities and the level of interest rates, it appears that the Value Equity
Fund's investment objective will not be met by buying equity securities. To
the extent that the Value Equity Fund's assets are invested in non-equity
securities, the Fund's net asset value may be adversely affected by a rise in
interest rates.
The Value Equity Fund may invest in securities of U.S. companies or foreign
companies whose stocks are traded on the U.S. stock exchanges or on the over-
the-counter markets. For many foreign securities, there are dollar-denominated
American Depository Receipts ("ADRs"), which are issued by domestic banks and
are traded on the U.S. stock exchanges or on over-the-counter markets and
represent interest in securities issued by foreign corporations. The Value
Equity Fund may invest in foreign securities directly and through ADRs. The
Fund may not make an investment if that investment would cause more than 15%
of the Fund's assets to be invested in foreign securities, including ADRs,
determined at the time of purchase.
For temporary defensive purposes, the Value Equity Fund may invest without
limitation in U.S. Government Obligations, short-term commercial paper and
other money market instruments of the types purchased by the Stable Asset
Return Fund. See "--Stable Asset Return Fund." The Fund would invoke this
right only in extraordinary circumstances, such as war, the closing of equity
markets, an extreme financial calamity, or the threat of any such event.
Additional investment restrictions applicable to the Value Equity Fund are
described in "--Certain Information with Respect to the Funds--Investment
Prohibitions."
CERTAIN RISK FACTORS. For risk factors associated with investment in equity
securities, see "--Index Equity Fund--Certain Risk Factors." For information
with respect to the use of derivative instruments, see "--Derivative
Instruments." In addition, investments in foreign securities involve special
risks. For certain risk factors associated with investing in foreign
securities, see "--International Equity Fund--Certain Risk Factors."
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the Fund, such as brokerage commissions,
increase, which may adversely affect the Fund's performance. The Value Equity
Fund generally holds its investments for an extended period, and the average
annual rate of portfolio turnover is expected to be under 50%. However, it is
difficult to predict the rate of portfolio turnover in view of the potential
for unexpected market conditions. Therefore, in any single year, the portfolio
turnover rate may be either substantially less or substantially more than 50%.
Such turnover was 16.73% for 1996 and 3.8% for the period September 5, 1995 to
December 31, 1995. The 1995 turnover rate reflects the buildup of the Fund's
portfolio during its first three months of operations.
INVESTMENT ADVISOR. State Street has retained Sanford C. Bernstein & Co.,
Inc. ("Sanford Bernstein") to serve as Investment Advisor to provide
investment advice and arrange for the execution of purchases and sales of
securities for the Value Equity Fund. For additional information regarding the
Investment Advisor, see "--Investment Advisors."
GROWTH EQUITY FUND
INVESTMENT OBJECTIVE. The Growth Equity Fund has a primary investment
objective of achieving long-term growth of capital and a secondary investment
objective of realizing income. The Growth Equity Fund seeks to achieve growth
of capital through increases in the value of the securities it holds and to
realize income principally from dividends on such securities. The Growth
Equity Fund seeks to achieve, over an extended period of time, total returns
comparable to or superior to those attained by
15
<PAGE>
broad measures of the domestic stock market. THERE CAN BE NO ASSURANCE THAT
THE GROWTH EQUITY FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE.
STRATEGY. The Growth Equity Fund invests primarily in common stocks and
other equity-type securities issued by large, well-established companies. The
Growth Equity Fund may invest a portion of its assets in convertible
securities. Convertible securities, such as preferred stocks and convertible
debt instruments, contain both debt and equity features. Convertible
securities may provide some protection when stock prices generally decline,
but may experience less appreciation in value when stock prices generally
increase.
INVESTMENT GUIDELINES AND RESTRICTIONS. Although the assets of the Growth
Equity Fund will generally be invested in equity securities, the Growth Equity
Fund may invest in non-equity securities, including investment grade bonds and
debentures and high quality money market instruments of the same types as
those in which the Stable Asset Return Fund may invest, when State Street
determines that such investments may contribute to the attainment of the
Fund's investment objective. The Growth Equity Fund will not invest more than
35% of its assets in non-equity securities, except for temporary defensive
purposes. The Fund may invest in non-equity securities when, in light of
economic conditions and the general level of stock prices, dividend rates,
prices of fixed income securities and the level of interest rates, it appears
that the Growth Equity Fund's investment objective will not be met by buying
equity securities. To the extent that the Growth Equity Fund's assets are
invested in non-equity securities, the Fund's net asset value may be adversely
affected by a rise in interest rates.
For temporary defensive purposes, the Growth Equity Fund may invest without
limitation in U.S. Government Obligations, short-term commercial paper and
other money market instruments of the types purchased by the Stable Asset
Return Fund. See "--Stable Asset Return Fund." The Fund would invoke this
right only in extraordinary circumstances, such as war, the closing of equity
markets, an extreme financial calamity, or the threat of any such event.
Although the Growth Equity Fund invests primarily in securities of U.S.
companies or foreign companies doing substantial business in the United
States, the Growth Equity Fund may invest a portion of its assets in the
securities of established foreign companies that do not do a substantial
amount of business in the United States. The Fund may invest in foreign
securities directly and through ADRs and may hold some foreign securities
outside of the United States. State Street has directed the Investment
Advisors to the Growth Equity Fund not to make an investment if that
investment would cause more than 15% of the Fund's assets allocated to the
Investment Advisor to be invested in foreign securities, including ADRs,
determined at the time of purchase.
Additional investment restrictions applicable to the Growth Equity Fund are
described in "--Certain Information with Respect to the Funds--Investment
Prohibitions" and "--Derivative Instruments."
CERTAIN RISK FACTORS. See "--Index Equity Fund--Certain Risk Factors" for
risk factors associated with investing in equity securities. In addition,
investments in foreign securities involve special risks. For certain risk
factors associated with investing in foreign securities, see "--International
Equity Fund--Certain Risk Factors."
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the Fund, such as brokerage commissions,
increase, which may adversely affect the Fund's performance. The Growth Equity
Fund generally holds its investments for an extended period, and the average
annual rate of portfolio turnover is expected to be under 80%. However, it is
difficult to predict the rate of portfolio turnover in view of the potential
for unexpected market conditions. Therefore, in any single year, the portfolio
turnover rate may be either substantially less or substantially more than 80%.
Such turnover was 63.70%, 60.38% and 58.78% in 1996, 1995 and 1994,
respectively.
16
<PAGE>
INVESTMENT ADVISORS. State Street has retained Capital Guardian Trust
Company ("Capital Guardian"), Columbus Circle Investors ("Columbus Circle")
and RCM Capital Management ("RCM Capital") to serve as Investment Advisors to
provide investment advice and arrange for the execution of purchases and sales
of securities for the Growth Equity Fund. State Street will determine the
percentage of the assets in the Growth Equity Fund to be allocated to each
Investment Advisor. Unless altered by State Street, contributions to and
withdrawals from the Growth Equity Fund will be allocated 40% to Capital
Guardian, 30% to Columbus Circle and 30% to RCM Capital. Income and realized
gains attributable to the assets allocated to each Investment Advisor remain
allocated to such Investment Advisor, thereby changing the percentage of total
assets of the Growth Equity Fund allocated to each Investment Advisor. An
Investment Advisor with superior performance may thus provide investment
advice with respect to a larger percentage of the assets of the Growth Equity
Fund than originally allocated to such advisor. For additional information
regarding the Investment Advisors, see "--Investment Advisors."
INDEX EQUITY FUND
INVESTMENT OBJECTIVE. The investment objective of the Index Equity Fund is
to replicate the total return of the Russell 3000 Index by investing in stocks
included in the Russell 3000 Index, with the overall objective of achieving
long-term growth of capital. The Index Equity Fund invests indirectly in these
stocks through collective investment funds maintained by State Street. The
Russell 3000 Index represents approximately 98% of the U.S. equity market
based on the market capitalization of the companies in the Russell 3000 Index.
As of December 31, 1996 the largest company had a market capitalization of
approximately $2.3 billion and the smallest company had a market
capitalization of approximately $39.2 million. The Russell 3000 Index is
reconstituted annually on June 30 based on index methodology and market
capitalization rankings as of the preceding May 31. THERE CAN BE NO ASSURANCE
THAT THE INDEX FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE OF REPLICATING THE
TOTAL RETURN OF THE RUSSELL 3000 INDEX.
STRATEGY. To control costs, the Index Equity Fund does not attempt to own
all 3,000 securities included in the Russell 3000 Index. Instead, the Fund
attempts to replicate the returns of the Russell 3000 Index by dividing it
into two categories: the S&P 500 Index, which is comprised of 500 stocks, and
the extended market portion of the U.S. equity market represented by the
Russell Special Small Company Index, which is comprised of approximately 2,500
stocks. The securities in these two indices represent the universe of
securities contained in the Russell 3000 Index. The Index Equity Fund invests
in common stocks included in the Russell 3000 Index by fully replicating the
S&P 500 Index and the Russell Special Small Company Index with the possible
exclusion of the smallest companies in the Russell Special Small Company
Index. Deviation of the Fund's performance from the performance of the Russell
3000 Index ("tracking error") may result because the S&P 500 Index is
calculated using capitalization weights that are different from those used to
calculate the Russell 3000 Index and includes some securities not included in
the Russell 3000 Index. Tracking error may also result from Investor purchases
and redemptions of Units of the Index Equity Fund, as well as from the
expenses borne by the Index Equity Fund. Such purchases and redemptions may
necessitate the purchase and sale of securities by the Index Equity Fund and
the resulting transaction costs may be substantial because of the number and
the characteristics of the securities held. Tracking error may also occur due
to factors such as the size of the portfolio and changes made in the Russell
indices or the manner in which the Russell indices are calculated.
INVESTMENT GUIDELINES AND RESTRICTIONS. The Index Equity Fund invests
predominantly in common stocks of U.S. companies. However, the Index Equity
Fund may invest temporarily and without limitation for defensive purposes in
certain short term fixed-income securities. Such securities may be used to
invest uncommitted cash balances or to maintain liquidity to provide for
Investor redemptions. State Street will not cause the Index Equity Fund to
make an investment if that investment would cause the Fund to purchase
warrants or make any other investment that is inconsistent with the
restrictions
17
<PAGE>
applicable to the other Funds described under "--Certain Information with
Respect to the Funds --Investment Prohibitions." The Fund concentrates in
particular industries to the extent the Russell 3000 Index concentrates in
those industries. The Index Equity Fund will not borrow money except as a
temporary measure for extraordinary or emergency purposes or to facilitate
redemption (not for leveraging or investment).
CERTAIN RISK FACTORS. By investing primarily in the U.S. equity market, the
Index Equity Fund is subject to a variety of market and financial risks that
may affect its return. The Unit price of the Index Equity Fund could be
volatile, and Investors should be able to tolerate sudden, sometimes
substantial fluctuations in the value of their investment. No assurance can be
given that Investors will be protected from the risks inherent in equity
investing. The Fund is intended to be a long-term investment vehicle and is
not designed to provide Investors with the means to speculate on short-term
U.S. stock market movements.
In addition, it should be noted that the stocks of small companies included
in the Russell indices have limited product lines, markets, or financial
resources, or may be dependent upon a small management group. Therefore, their
securities may be subject to more abrupt or erratic market movements than
larger, more established companies, both because their securities are
typically traded in lower volume and because the issuers are typically subject
to a greater degree of changes in their earnings and prospects.
For information with respect to the use of derivative instruments, see "--
Derivative Instruments."
PORTFOLIO TURNOVER. Ordinarily, Index Equity Fund will sell securities only
to reflect certain changes in the Russell 3000 Index (including mergers or
changes in the composition of the Russell 3000 Index) or to accommodate cash
flows into and out of the Index Equity Fund. Accordingly, the turnover rate
for the Index Equity Fund is not expected to exceed 50% per annum. However, it
is difficult to predict the rate of portfolio turnover in view of the
potential for unexpected market conditions. Therefore, in any single year, the
portfolio turnover rate may be either substantially less or substantially more
than 50%. The turnover of the Fund was 17.48% and 131.73% in 1996 and 1995,
respectively, and reflects purchases and sales of units of the collective
investment funds in which the Fund invests rather than the turnover of the
underlying portfolios of such collective investment funds. See "Investment
Advisor" below. Higher than expected turnover in 1995 is partly attributable
to adjustments made to the Fund's composition when its investment objective
was changed from replicating the returns of the S&P 500 Index to replicating
the returns of the Russell 3000 Index. See "--Intermediate Bond Fund--
Portfolio Turnover" for information applicable to portfolio turnover of index
funds.
INVESTMENT ADVISOR. State Street is sole manager and trustee of the Index
Equity Fund. However, in the future State Street may employ investment
advisors, at its discretion and subject to consultation with ABRA. The assets
of the Fund are currently invested in the State Street Global Advisors (SSgA)
Flagship S&P 500 Fund and the State Street Global Advisors (SSgA) Russell
Special Small Company Common Trust Fund.
INFORMATION ABOUT THE RUSSELL INDICES. The criteria used by Frank Russell &
Company ("Russell") in developing the Russell indices to determine the initial
list of securities eligible for inclusion in the Russell indices is total
market capitalization adjusted for large private holdings and cross-ownership.
Companies are not selected for inclusion in the Russell indices because they
are expected to have superior stock price performance relative to the U.S.
stock market in general or other stocks in particular. Russell makes no
representation or warranty, implied or express, to any member of the public
regarding the advisability of investing in the Russell 3000 Index or the
ability of the Russell 3000 Index to track general market performance of large
and small capitalization stocks.
"STANDARD & POOR'S (R)," "S&P (R)," "S&P 500 (R)," "STANDARD & POOR'S 500"
AND "500" ARE TRADEMARKS OF MCGRAW-HILL, INC. AND HAVE BEEN LICENSED FOR USE
BY STATE
18
<PAGE>
STREET. THE INDEX FUND IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY
STANDARD & POOR'S AND STANDARD & POOR'S MAKES NO REPRESENTATION REGARDING THE
ADVISABILITY OF INVESTING IN THE INDEX FUND.
"RUSSELL 3000 INDEX" AND "RUSSELL SPECIAL SMALL COMPANY INDEX" ARE
TRADEMARKS OF RUSSELL. THE RUSSELL 3000 INDEX IS NOT SPONSORED, ENDORSED, SOLD
OR PROMOTED BY RUSSELL, NOR DOES RUSSELL GUARANTEE THE ACCURACY AND/OR
COMPLETENESS OF THE RUSSELL 3000 INDEX OR ANY DATA INCLUDED THEREIN. RUSSELL
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY THE
FUND, OWNERS OF THE FUND, ANY PERSON OR ANY ENTITY FROM THE USE OF THE RUSSELL
3000 INDEX OR ANY DATA INCLUDED THEREIN. RUSSELL MAKES NO EXPRESS OR IMPLIED
WARRANTIES AND EXPRESSLY DISCLAIMS ALL SUCH WARRANTIES OF MERCHANTABILITY OR
FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO THE RUSSELL 3000
INDEX OR ANY DATA INCLUDED THEREIN.
AGGRESSIVE EQUITY FUND
INVESTMENT OBJECTIVE. The investment objective of the Aggressive Equity Fund
is to maximize long-term growth of capital. The Aggressive Equity Fund seeks
to achieve, over an extended period of time, total returns comparable to or
superior to those attained by broad measures of the domestic stock market.
THERE CAN BE NO ASSURANCE THAT THE AGGRESSIVE EQUITY FUND WILL ACHIEVE ITS
INVESTMENT OBJECTIVE.
STRATEGY. The Aggressive Equity Fund's investments may include securities of
relatively small to medium sized companies, new companies and companies that
may benefit from new technologies, new product or service developments or
management changes. The Fund may also invest in newly issued securities and
securities of seasoned, established companies that appear to have unusual
value or appreciation potential. Industry diversification is not an objective
of the Aggressive Equity Fund and the Aggressive Equity Fund, may, at times,
be less diversified than the other Funds.
INVESTMENT GUIDELINES AND RESTRICTIONS. The Aggressive Equity Fund invests
primarily in common stocks and other equity-type securities, including
convertible securities, that are believed to have strong potential for
appreciation.
Although the assets of the Aggressive Equity Fund will generally be invested
in equity securities, the Aggressive Equity Fund may also invest in non-equity
securities, including investment grade bonds and debentures and high quality
money market instruments of the same types as those in which the Stable Asset
Return Fund may invest, when State Street determines that in light of economic
conditions and the general level of stock prices, dividend rates, prices of
fixed income securities and the level of interest rates, such investments may
contribute to the attainment of the Fund's investment objective. See "--Stable
Asset Return Fund." The Aggressive Equity Fund will not invest more than 35%
of its assets in non-equity securities, except for temporary defensive
purposes. To the extent that the Aggressive Equity Fund's assets are invested
in non-equity securities, the Fund's net asset value may be adversely affected
by a rise in interest rates.
For temporary defensive purposes, the Aggressive Equity Fund may invest
without limitation in U.S. Government Obligations, short-term commercial paper
and other money market instruments of the types purchased by the Stable Asset
Return Fund. See "--Stable Asset Return Fund." The Fund would invoke this
right only in extraordinary circumstances, such as war, the closing of equity
markets, an extreme financial calamity, or the threat of any such event.
Although the Aggressive Equity Fund invests primarily in securities of U.S.
companies or foreign companies doing substantial business in the United
States, the Aggressive Equity Fund may invest a
19
<PAGE>
portion of its assets in the securities of established foreign companies that
do not do a substantial amount of business in the United States. The Fund may
invest in foreign securities directly and through ADRs and may hold some
foreign securities outside of the United States. State Street has directed the
Investment Advisors to the Aggressive Equity Fund not to make an investment if
that investment would cause more than 15% of the portion of the Fund's assets
allocated to such Investment Advisor to be invested in foreign securities,
including ADRs, determined at the time of purchase. Additional investment
restrictions applicable to the Aggressive Equity Fund are described in "--
Certain Information With Respect to the Funds--Investment Prohibitions" and
"--Derivative Instruments."
CERTAIN RISK FACTORS. Generally, the Aggressive Equity Fund poses a greater
risk to principal than the other Funds. Investors should consider their
investments in the Aggressive Equity Fund as relatively long-term and
involving high risk to principal commensurate with potential for substantial
gains. There is no certainty regarding which companies and industries will in
fact experience capital growth, and such companies and industries may lose
their potential for capital growth at any time. To the extent that the assets
of the Aggressive Equity Fund are invested in the securities of a single
issuer or a single industry, there is a greater risk that a deterioration in
the performance of such issuer or industry will have a material adverse effect
on the Fund. See "--Index Equity Fund--Certain Risk Factors" for a description
of risk factors associated with investing in equity securities generally. See
"--International Equity Fund--Certain Risk Factors" for a description of the
risks associated with investments in foreign securities.
A significant portion of the Aggressive Equity Fund's investments may be in
securities of small to medium sized companies, which typically have greater
market and financial risk than larger, more diversified companies. These
companies are often dependent on one or two products in rapidly changing
industries and may be more vulnerable to competition from larger companies
with greater resources and to economic conditions that affect their market
sector. Therefore, consistent earnings for such companies may not be as likely
as for more established companies. The smaller companies may not have adequate
resources to react optimally to change or to exploit opportunities. Small and
medium sized companies may also be more dependent on access to equity markets
to raise capital than are larger companies that have a greater ability to
support relatively larger debt burdens. The securities of such companies may
be held primarily by insiders or institutional investors, which may have an
impact on their marketability. These securities may be more volatile than the
overall market. Relatively new companies and companies which have recently
made an initial public offering may be perceived by the market as unproven.
The Aggressive Equity Fund's focus on appreciation potential will result in an
emphasis on securities of companies that may pay little or no dividends and
reinvest all or a significant portion of their earnings. The low expected
dividend level may also contribute to greater than average volatility.
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the Fund, such as brokerage commissions,
increase, which may adversely affect the Fund's performance. Portfolio
turnover of the Aggressive Equity Fund may be high. Although it is not
expected to exceed 150% per year on average, it is difficult to predict the
rate of portfolio turnover in view of the potential for unexpected market
conditions. Therefore, in any single year, the portfolio turnover rate may be
either substantially less or substantially more than 150%. The possibility of
high turnover reflects, in part, the volatility of the securities in which the
Fund invests and the probability that the circumstances prompting investment
in certain companies may change more rapidly than in the case of larger, more
diversified companies. Portfolio turnover was 48%, 63% and 48% in 1996, 1995
and 1994, respectively.
INVESTMENT ADVISORS. State Street has retained Capital Guardian and Sit
Investment Associates, Inc. ("Sit Associates") to serve as Investment Advisors
to provide investment advice and arrange for the execution of purchases and
sales of securities for the Aggressive Equity Fund. State Street will
determine the percentage of the assets in the Aggressive Equity Fund to be
allocated to each Investment Advisor. Unless altered by State Street,
contributions to and withdrawals from the Aggressive Equity Fund will be
allocated 50% to Capital Guardian and 50% to Sit Associates. Income and
realized gains attributable to
20
<PAGE>
the assets allocated to each Investment Advisor remain allocated to such
Investment Advisor, thereby changing the percentage of total assets of the
Aggressive Equity Fund allocated to each Investment Advisor. An Investment
Advisor with superior performance may thus provide investment advice with
respect to a larger percentage of the assets of the Aggressive Equity Fund
than originally allocated to such advisor. For additional information
regarding the Investment Advisors, see "--Investment Advisors."
INTERNATIONAL EQUITY FUND
INVESTMENT OBJECTIVE. The International Equity Fund's investment objective
is to seek long-term growth of capital through investment primarily in common
stocks of established non-U.S. companies. Common stocks of foreign companies
offer a way to seek long-term growth of capital. Total return will consist of
capital appreciation or depreciation, dividend income and currency gains or
losses. The International Equity Fund seeks to achieve, over an extended
period of time, total returns comparable to or superior to broad measures of
the international (non-U.S.) stock market. THERE CAN BE NO ASSURANCE THAT THE
INTERNATIONAL EQUITY FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE.
Over the last 30 years many foreign countries' economies have grown faster
than the United States' economy, and the average return from equity
investments in such countries has often exceeded the return on similar
investments in the U.S. Moreover, over the same period there has frequently
been a wide and largely unrelated variation in performance among international
equity markets. Within the framework of diversification, the International
Equity Fund seeks to identify and invest in companies participating in the
faster growing foreign economies and markets. State Street believes that
because more than half of the world's stock market value is traded abroad,
investment in foreign securities offers significant potential for long-term
capital appreciation and an opportunity to achieve investment diversification.
STRATEGY. The International Equity Fund intends to diversify investments
broadly among developed, newly industrialized and emerging countries and
generally to have at least three different countries represented in the
portfolio. It may invest in countries of the Far East and Europe, as well as
in South Africa, Australia, Canada, Latin America and other areas. Under
unusual circumstances, however, it may invest substantially all its assets in
only one or two countries. Under exceptional economic or market conditions
abroad, the International Equity Fund may temporarily invest all or a major
portion of its assets in U.S. Government Obligations or debt obligations of
U.S. companies of the type described under "--Stable Asset Return Fund." The
Fund would invoke this right only in extraordinary circumstances, such as war,
the closing of equity markets, an extreme financial calamity, or the threat of
any such event.
INVESTMENT GUIDELINES AND RESTRICTIONS. In seeking to accomplish its
objective, the International Equity Fund will invest primarily in common
stocks of established foreign companies that are believed to have the
potential for growth of capital and in a variety of other equity-related
securities, such as preferred stocks, warrants and convertible securities of
such foreign companies, as well as foreign corporate and governmental debt
securities (when considered consistent with its investment objective). The
International Equity Fund may invest in non-equity securities when, in light
of economic conditions and the general level of stock prices, dividend rates,
prices of fixed-income securities and the level of interest rates, it appears
that the International Equity Fund's investment objective will not be met by
buying equity securities. Under normal conditions the International Equity
Fund's investments in securities other than common stocks and other equity-
related securities are limited to no more than 35% of total assets. Within
this limitation, the Fund will also maintain a small cash reserve which will
be invested in Short-Term Investment Products. See "--Stable Asset Return
Fund."
21
<PAGE>
The International Equity Fund will normally conduct its foreign currency
exchange transactions either on a spot (i.e., cash) basis at the spot rate
prevailing in the foreign currency exchange market or by entering into forward
contracts to purchase or sell foreign currencies. See "--Derivative
Instruments."
The International Equity Fund is subject to the same investment prohibitions
and restrictions as the other Funds. See "--Certain Information With Respect
to the Funds--Investment Prohibitions."
CERTAIN RISK FACTORS. Foreign stock prices are subject to many of the same
influences as U.S. stocks, such as general economic conditions, company and
industry earnings prospects, and investor psychology. See "--Index Equity
Fund--Certain Risk Factors." International investing also involves additional
risks that can increase the potential for the losses in the Fund. These risks
can be significantly magnified for investments in emerging markets.
Currency Fluctuations. Transactions in foreign securities are conducted in
local currencies, so dollars usually must be exchanged for another currency
each time a stock is bought or sold or a dividend is paid. Likewise, share
price quotations and total return information will reflect conversion into
dollars. Accordingly, fluctuations in foreign exchange rates can significantly
increase or decrease the dollar value of a foreign investment, boosting or
offsetting its local market return. For example, if a French stock rose 10% in
price during a year but the U.S. dollar gained 5% against the French franc
during that time, the U.S. investor's return would be reduced to approximately
5%. This is the result because the franc would "buy" fewer dollars at the end
of the year than at the beginning, or, conversely, a dollar would buy more
francs. Exchange rate movements can be large and endure for extended periods
of time.
Costs. It is more expensive for U.S. investors to trade in foreign markets
than in the U.S. Investment pools offer a very efficient way for individuals
to invest abroad, but the overall expense ratios of international funds are
usually somewhat higher than those of typical domestic stock funds.
Political and Economic Factors. The economies, markets and political
structures of a number of the countries in which the Fund can invest do not
compare favorably with U.S. and other mature economies in terms of wealth and
stability. Therefore, investments in these countries may be riskier, and will
be subject to erratic and abrupt price movements. This is especially true for
emerging markets, such as those found in Latin America, Asia, Eastern Europe
and Africa. Even investments in countries with highly developed economies are
subject to risk. For example, the Japanese stock market historically has
experienced wide swings in value. Moreover, while certain countries have made
progress in economic growth, liberalization, fiscal discipline and political
and social stability, there is no assurance these trends will continue.
Some economies of the countries in which investments may be made are less
developed, less diverse (for example, various countries in Latin America,
Eastern Europe, Africa and Asia), overly reliant on particular industries and
more vulnerable to the ebb and flow of international trade, trade barriers and
other protectionist or retaliatory measures (for example, Japan, Southeast
Asia, Latin America, Eastern Europe and Africa). Some countries, particularly
in Latin America and other emerging markets have legacies of hyperinflation
and currency devaluations versus the dollar (which adversely affect returns to
U.S. investors.) Investments in countries that have recently begun moving away
from central planning and state-owned industries toward free markets, such as
the countries in Eastern Europe, China and Africa, should be regarded as
speculative.
Certain countries in which investments may be made will have histories of
instability and upheaval (for example, various countries in Latin America and
Africa) with respect to their internal politics that could cause their
governments to act in a detrimental or hostile manner toward private
enterprise or foreign investment. Actions such as nationalizing an industry or
company, expropriating assets, or imposing punative taxes could have a severe
adverse effect on security prices and impair the
22
<PAGE>
International Equity Fund's ability to repatriate capital or income.
Significant external risks, including war, currently affect some countries.
Governments in many emerging market countries participate to some degree in
their economies and securities markets.
Legal, Regulatory and Operational. Certain countries lack uniform
accounting, auditing and financial reporting standards, have less governmental
supervision of financial markets than in the U.S., do not honor legal rights
enjoyed in the U.S. and have settlement practices, such as delays, which may
subject the International Equity Fund to risks of loss not customary in U.S.
markets. In addition, securities markets in these countries have substantially
lower trading volumes than U.S. markets, resulting in less liquidity and more
volatility than experienced in the U.S.
Pricing. Portfolio securities may be listed on foreign exchanges that are
open on days (such as Saturdays or U.S. legal holidays) when the International
Equity Fund does not compute its prices. As a result, the Fund's net asset
value may be significantly affected by trading on days when Investors cannot
make transactions.
Investing in International Stocks. Like U.S. stock investments, common stock
of foreign companies offer investors a way to build capital over time.
Nevertheless, the long-term rise of foreign stock prices as a group has been
punctuated by periodic declines. Share prices of all companies, even the best
managed and most profitable, whether U.S. or foreign, are subject to market
risk, which means they can fluctuate widely. In less well developed stock
markets, such as those in some Asian and most Latin American, Eastern European
and African countries, volatility may be heightened by actions of a few major
investors. For example, substantial increases or decreases in cash flows of
mutual funds investing in these markets could significantly affect stock
prices and, therefore, fund share prices. For this reason investors in foreign
stocks should have a long-term investment horizon and be willing to wait out
declining markets. The International Equity Fund should not be relied upon as
a complete investment program or used to play short-term swings in the stock
or foreign exchange markets.
The values of foreign fixed-income securities fluctuate in response to
changes in U.S. and foreign interest rates. Income received by the
International Equity Fund from sources within foreign countries may also be
reduced by withholding and other taxes imposed by such countries although tax
conventions between certain countries and the U.S. may reduce or eliminate
such taxes. Any such taxes paid by the International Equity Fund will reduce
the net income earned by it. State Street will consider available yields, net
of any required taxes, in selecting foreign dividend paying securities.
In addition, short-term movements in currency exchange rates could adversely
impact the availability of funds to pay for Investors' redemptions of
investments in the International Equity Fund. For example, if the exchange
rate for a currency declines after a security has been sold to provide funds
for a redemption from the Fund but before such funds are translated into U.S.
dollars, it could be necessary to liquidate additional portfolio securities in
order to finance the redemption.
PORTFOLIO TURNOVER. As the level of portfolio turnover increases,
transaction expenses incurred by the International Equity Fund (such as
brokerage commissions) will increase, which may adversely affect the Fund's
overall performance. The International Equity Fund generally will hold its
investments for an extended period of time, and the average annual rate of
portfolio turnover is expected to be under 50%. It is difficult, however, to
predict the rate of portfolio turnover in view of the potential for unexpected
market conditions, and securities may be purchased and sold without regard to
the length of time held when circumstances warrant. Therefore, in any given
year, the portfolio turnover rate may be substantially less or substantially
more, than 50%. Portfolio turnover was 73.42% for 1996 and 3.51% for the
period from September 5, 1995 to December 31, 1995. Such turnover reflects
purchases and sales of shares of the registered investment company in which
the Fund invests rather than the turnover of the underlying portfolio of such
registered investment company. See "Investment Advisor and Initial Investment
in Registered Investment Companies" below.
23
<PAGE>
INVESTMENT ADVISOR AND INITIAL INVESTMENTS IN REGISTERED INVESTMENT
COMPANIES. State Street expects to select Rowe Price-Fleming International,
Inc. ("Price-Fleming") to be the Investment Advisor for the International
Equity Fund to provide investment advice and arrange for the execution of
purchases and sales of securities for the International Equity Fund, subject
to the supervision and approval of State Street to accept or reject any
recommended investment.
State Street, however, upon the advice of Price-Fleming has determined that
in order for the International Equity Fund to meet its investment objective,
until a sufficient level of assets in the Fund is attained to provide for
efficient investment of the Fund's assets, Price-Fleming's advice will be
obtained by investing the funds directed by Investors into the International
Equity Fund in the T. Rowe Price International Stock Fund (the "T. Rowe
International Fund"), a registered investment company that is managed by
Price-Fleming and that has substantially the same investment objectives as the
International Equity Fund. As of December 31, 1996, $33.27 million in assets
were invested in the Fund and such assets are invested in the T. Rowe
International Fund. After a sufficient asset level is attained, which State
Street currently expects to be approximately $75 to $100 million (an increase
from an original estimate of $25 million) the International Equity Fund will
be managed as a separate collective trust portfolio by State Street with the
advice of Price-Fleming.
State Street, however, will monitor the performance of the T. Rowe
International Fund, in the light of the International Equity Fund's investment
objectives, to determine whether the continued investment by the International
Equity Fund in such registered investment company is appropriate. If State
Street concludes that the investment objectives or performance of the T. Rowe
International Fund are no longer consistent with those of the International
Equity Fund, State Street may transfer a portion of or all the assets of the
International Equity Fund to other registered investment companies or
collective investment funds maintained by State Street that, in light of the
investment objectives of the International Equity Fund, State Street deems to
be more appropriate.
It is anticipated that after a sufficient level of assets is reached, at
State Street's discretion, funds may be withdrawn from the T. Rowe
International Fund in such a manner as to not require the liquidation of
portfolio securities by the T. Rowe International Fund, although there can be
no assurance that this goal will be met. With the consent of Price-Fleming,
all or part of the International Equity Fund's withdrawals may consist of
portfolio securities valued at their current market value on the date of
distribution, which would then become portfolio securities in the
International Equity Fund. If a liquidation of the portfolio securities
occurs, Price-Fleming will recommend securities that it believes reflect a
representative sample of the T. Rowe International Fund's portfolio. State
Street will have the authority to approve or disapprove of Price-Fleming's
recommendations. For additional information with respect to the Investment
Advisor, see "--Investment Advisors."
INVESTMENT PROHIBITIONS RELATING TO THE FUNDS
None of the Funds will:
. trade in foreign currency, except transactions incidental to the
settlement of purchases or sales of securities for the Funds;
. make an investment in order to exercise control or management over a
company;
. make short sales, unless the Funds have, by reason of ownership of other
securities, the right to obtain securities of a kind and amount
equivalent to the securities sold, which right will continue so long as a
Fund is in a short position;
. trade in commodities or commodity contracts, except options or futures
contracts (including options on futures contracts) with respect to
securities or securities indices for hedging purposes;
. write uncovered options;
24
<PAGE>
. purchase real estate or mortgages, provided that the Funds may buy shares
of real estate investment trusts listed on U.S. stock exchanges or
reported on Nasdaq National Market if such purchases are consistent with
the investment objective and restrictions set forth in the fund
declaration for the Fund;
. except for the initial investments by the Bond Fund and the International
Equity Fund (see "--Intermediate Bond Fund--Investment Advisors and
Initial Investments in Registered Investment Companies" and "--
International Equity Fund--Investment Advisor and Initial Investments in
Registered Investment Companies"), invest in the securities of registered
investment companies;
. invest in oil, gas or mineral leases;
. purchase any security on margin or borrow money, except for short-term
credit necessary for clearance of securities transactions or, in the case
of the Index Fund, for redemption purposes; or
. make loans, except by (i) the purchase of marketable bonds, debentures,
commercial paper and similar marketable evidences of indebtedness and
(ii) engaging in repurchase agreement transactions.
State Street has directed the Investment Advisors not to recommend an
investment, and State Street will not cause the Funds to make an investment, if
that investment would cause (1) more than 5% of the portion of such Fund's net
assets to be invested in warrants generally, or more than 2% of such net assets
to be invested in warrants not listed on a nationally recognized U.S.
securities exchange, or (2) other than Investment Contracts, more than 10% of
the portion of such Fund's net assets to be invested in illiquid securities,
including repurchase agreements with maturities in excess of seven days or
portfolio securities that are not readily marketable, in each case determined
at the time of purchase. State Street has also directed the Investment Advisors
not to recommend an investment, and State Street will not cause the Funds to
make an investment, in an industry if that investment would cause more than 25%
of the portion of such Fund's assets allocated to such Investment Advisor to be
invested in that industry, determined at the time of purchase. In addition,
State Street has directed the Investment Advisors not to recommend an
investment, and State Street will not cause the Funds to make an investment, in
the securities of an issuer if that investment would cause more than 5% of the
portion of the assets of such Fund allocated to the Investment Advisor to be
invested in the securities of that issuer, determined at the time of purchase.
Except as described under "--Derivative Instruments," State Street has no
present intention of causing the Funds to invest in options and financial
futures contracts and other derivatives, and will not do so without prior
notification to Investors.
Although none of the foregoing restrictions apply to the Initial Investment
Vehicles (as defined below), each such Initial Investment Vehicle has
restrictions that are set forth in its respective prospectus.
VALUATION OF UNITS
An Investor's interest in a Fund is represented by the value of the Units
credited to such Investor's account for that Fund. The number of Units
purchased with a contribution or transfer or allocation of assets to a Fund
(except for the Stable Asset Return Fund, which is generally maintained at
$1.00) is the quotient of (i) the amount allocated to the Fund divided by (ii)
the Unit Value of such Fund calculated as of the end of the regular trading
session of the New York Stock Exchange on the Business Day the contribution is
credited by State Street. Once a number of Units has been credited to an
Investor's account, this number will not vary because of any subsequent
fluctuation in the Unit Value. The value of each Unit, however, will fluctuate
with the investment experience of the particular Fund, which reflects the
investment income and realized and unrealized capital gains and losses of that
Fund.
Unit Values for the Funds are determined as of the close of the regular
trading session of the New York Stock Exchange on each Business Day. The Unit
Value for each Fund is the value of all assets of
25
<PAGE>
the Fund, less all liabilities of such Fund, divided by the number of
outstanding Units of such Fund. The value of each Fund is determined by State
Street based on the market value of each Fund's portfolio of securities. The
value of securities and other assets that do not have readily available market
prices is determined in good faith by State Street. See "Stable Asset Return
Fund--Valuation of Units" for information as to the valuation of Units in such
Fund.
PERFORMANCE INFORMATION
Except as described above with respect to a particular Fund, each Fund may,
from time to time, report its performance in terms of the Fund's total return.
A Fund's total return is determined based on historical results and is not
intended to indicate future performance. A Fund's total return is computed by
determining the average annual compounded rate of return for a specified
period which, when applied to a hypothetical $1,000 investment in the Fund at
the beginning of the period, would produce the redeemable value of that
investment at the end of the period. Each Fund may also report a total return
computed in the same manner but without annualizing the result. A recorded
message providing current Unit Values for the Funds is available at (800) 348-
2272.
USE OF DERIVATIVE INSTRUMENTS BY THE FUNDS
FUNDS MANAGED DIRECTLY BY STATE STREET. The Funds will not engage, when
managed as separate portfolios by State Street (with or without the assistance
of Investment Advisors), in investments in derivative securities except as
described in this paragraph. The Index Fund may engage in limited transactions
in stock index futures and options as a substitute for comparable market
positions in the securities held by such Fund (with respect to the portion of
its portfolio that is held in cash items pending investment or to pay for
redemption requests). In addition, the International Equity Fund and, to a
lesser extent, the Balanced Fund, the Value Equity Fund, the Growth Equity
Fund and the Aggressive Equity Fund may enter into foreign currency hedging
transactions in connection with their purchase or sale of foreign securities
as described in the next paragraph. In addition, the Balanced Fund may
continue to hold current investments in the collateralized mortgage
obligations ("CMOs") that are included in its portfolio and that may be
considered to be derivative securities. However, no such additional
investments may be made.
All such Funds that may invest in securities denominated in foreign
currencies may, when they enter into, and incidental to the settlement of, a
contract for the purchase or sale of a security denominated in a foreign
currency, enter into forward foreign currency exchange contracts to "lock in"
the U.S. dollar price of the security. A forward foreign currency exchange
contract involves an obligation to purchase or sell a specific currency at a
future date, which may be any fixed number of days from the date of the
contract agreed upon by the parties, at a price set at the time of the
contract. A Fund can use such contracts to reduce its exposure to changes in
the value of the currency it will deliver and increase its exposure to changes
in the value of the currency into which it will be exchanged. The effect on
the value of a Fund is similar to selling securities denominated in one
currency and purchasing securities denominated in another. Dollar-denominated
ADRs, which are issued by domestic banks and are traded in the United States
on exchanges or over-the-counter, are available with respect to many foreign
securities. ADRs do not lessen the foreign exchange risk inherent in
investment in the securities of foreign issuers; however, by investing in ADRs
rather than directly in the foreign issuers' stock, a Fund can avoid currency
risks during the settlement period for purchases or sales without having to
engage in separate foreign currency hedging transactions.
FUNDS INVESTING IN REGISTERED INVESTMENT COMPANIES. While the assets of the
Bond Fund are invested in the Total Return Fund or the Bond Index Fund (or in
such other registered investment companies as State Street may select) (the
"Initial Bond Fund Investment Vehicles"), investments by
26
<PAGE>
such registered investment companies will be subject to the derivatives
policies adopted by such companies. Such policies are described in the
prospectuses of such registered investment companies and are set forth herein
as interpreted by State Street. Such registered investment companies may enter
into interest rate, index and currency exchange rate swap agreements for
purposes of attempting to obtain a particular desired investment objective at
a lower cost than if the investment company had invested directly in an
instrument that yielded that desired return and may utilize any of the
strategies referred to below, and may use foreign currency exchange contracts
to lock in the exchange rate for a purchased security in the manner described
in the preceding paragraph. Separately, while the assets of the International
Equity Fund are invested in the T. Rowe International Fund (or in such other
registered investment companies as State Street may select) (together with the
Initial Bond Fund Investment Vehicles, the "Initial Investment Vehicles"), the
Initial Investment Vehicles may enter into contracts designed to increase or
decrease their exposure to a particular currency, in an amount approximating
the value of some or all of the portfolio securities denominated in such
currency, if their managers believe that such currency may suffer or enjoy a
substantial movement against another currency. The Initial Investment Vehicles
may also invest in CMOs and other mortgage-related securities that may be
considered to be derivative securities. The Initial Bond Investment Vehicles
may effect short sales as part of their overall portfolio management
strategies or to offset potential declines in value of long positions in
similar securities as those sold short. To the extent that the Initial Bond
Investment Vehicles engage in uncovered short sales, they will maintain asset
coverage in the form of liquid assets in a segregated account. The T. Rowe
International Fund may invest up to 10% of its total assets in "Hybrid
Instruments." These instruments (a type of potentially high-risk derivative)
can combine the characteristics of securities, futures, and options. For
example, the principal amount, redemption, or conversion terms of a security
could be related to the market price of some commodity, currency, or
securities index. Such securities may bear interest or pay dividends at below
market (or even relatively nominal) rates. Under certain conditions, the
redemption value of such an investment could be zero.
The Initial Investment Vehicles may purchase and write call and put options
on securities, securities indices and on foreign currencies, and enter into
futures contracts and use options on futures contracts, and may sell
previously purchased options and futures contracts. The Initial Investment
Vehicles also may enter into swap agreements with respect to foreign
currencies, interest rates and securities indices. The Initial Investment
Vehicles may use these techniques to hedge against changes in interest rates,
foreign currency exchange rates or securities prices or as part of their
overall investment strategies, and may also purchase and sell options relating
to foreign currencies for purposes of increasing exposure to a foreign
currency or to shift exposure to foreign currency fluctuations from one
country's currency to another's.
The purchase and writing of options involves certain risks. During the
option period, a writer of a covered call option gives up, in return for the
premium on the option, the opportunity to profit from a price increase in the
underlying security above the exercise price but retains, as long as its
obligations as a writer continues, the risk of loss should the price of the
underlying security decline. The writer of an option traded on an option
exchange in the United States has no control over the time when it may be
required to fulfill the writer's obligation. Once an option writer has
received an exercise notice, it cannot effect a closing purchase transaction
in order to terminate its obligation under the option and must deliver the
underlying securities at the exercise price. If a put or call option is not
sold when it has remaining value, and if the market price of the underlying
security, in the case of a put, remains equal to or greater than the exercise
price or, in the case of a call, remains less than or equal to the exercise
price, the investor will lose its entire investment in the option. Also, when
a put or call option on a particular security is purchased to hedge against
price movements in a related security, the price of the put or call option may
move more or less than the price of the related security. Furthermore, there
can be no assurance that a liquid market will exist when an investor seeks to
close out an option position. If trading restrictions or suspensions are
imposed on the options markets, an investor may be unable to close out a
position.
27
<PAGE>
Because swap agreements are two-party contracts and may have terms of
greater than seven days, such agreements may be considered to be illiquid.
Moreover, an investor bears the risk of loss of the amount expected to be
received under a swap agreement in the event of the default or bankruptcy of a
swap agreement counterparty. The swaps market is a relatively new market and
is largely unregulated, and it is possible that developments in the swaps
market, including potential government regulation, could adversely affect an
investor's ability to terminate existing swap agreements or to realize amounts
to be received under such agreements.
There are several risks associated with the use of futures and futures
options for hedging purposes. There can be no guarantee that there will be a
correlation between price movements in the hedging vehicle and in the
portfolio securities being hedged. An incorrect correlation could result in a
loss on both the hedged securities and the hedging vehicle so that the
portfolio return might have been greater had hedging not been attempted. There
can be no assurance that a liquid market will exist at a time when an investor
seeks to close out a futures contract or a futures option position. Most
futures exchanges and boards of trade limit the amount of fluctuation
permitted in futures contract prices during a single day; once the daily limit
has been reached on a particular contract, no trades may be made that day at a
price beyond that limit. In addition, certain of these instruments are
relatively new and without significant trading history. As a result, there is
no assurance that an active secondary market will develop or continue to
exist. Lack of a liquid market for any reason may prevent an investor from
liquidating an unfavorable position even though the investor would remain
obligated to meet margin requirements until the position is closed.
The Initial Investment Vehicles may, if their managers believe that the
currency of a particular foreign country may suffer or enjoy a substantial
movement against another currency, enter into a forward contract to sell or
buy the former foreign currency (or another currency that acts as a proxy for
that currency). There can be no assurance, however, that this strategy will be
successful as currency movement can be difficult to predict. There are certain
markets where it is not possible to engage in effective foreign currency
hedging. This may be true, for example, for the currencies of various Latin
American countries and other emerging markets where the foreign exchange
markets are not sufficiently developed to permit hedging activity to take
place.
Mortgage-related securities include securities that directly or indirectly
represent a participation in, or are secured by and payable from, mortgage
loans on real property, such as CMO residuals or stripped mortgage-backed
securities, and may be structured in classes with rights to receive varying
proportions of principal and interest. The yield to maturity on an interest
only class is extremely sensitive to the rate of principal payments (including
prepayments) on the related underlying mortgage assets, and a rapid rate of
principal payments may have a material adverse effect on an investor's yield
to maturity from these securities. Early repayment of principal on some
mortgage-related securities (arising from prepayments of principal due to the
sale of the underlying property, refinancing or foreclosure, net of fees and
costs which may be incurred) may expose the Fund to a lower rate of return
upon reinvestment of principal.
INVESTMENT ADVISORS
State Street has retained the services of various Investment Advisors to
advise it with respect to its investment responsibility with respect to
several Funds. Each Investment Advisor recommends to State Street investments
and reinvestments of the assets allocated to it in accordance with the
investment policies of the respective Funds. State Street exercises discretion
with respect to the selection and retention of the Investment Advisors and may
remove upon consultation with ABRA an Investment Advisor at any time. State
Street may also change at any time the allocation of assets among Investment
Advisors to a single Fund, subject to consultation with ABRA.
28
<PAGE>
The Investment Advisors are:
BARCLAY'S GLOBAL INVESTORS. Anticipated future advisor to the index portion
of the Bond Fund, BGI is located at 45 Fremont Street, San Francisco,
California 94105. As of January 2, 1996, Wells Fargo Nikko Investment Advisors
became a part of BGI, an indirect subsidiary of Barclays PLC, one of the United
Kingdom's largest companies and one of the world's foremost providers of
financial services. BGI is responsible for managing or providing investment
advice for assets aggregating in excess of $386 billion.
CAPITAL GUARDIAN TRUST COMPANY. Advisor to the Growth Equity Fund and the
Aggressive Equity Fund, Capital Guardian, a wholly-owned subsidiary of The
Capital Group Companies, Inc., is a California state chartered trust company
incorporated in 1968. Its principal place of business is 333 South Hope Street,
Los Angeles, California 90071. Capital Guardian provides investment management,
trust and other fiduciary services to corporate and public employee benefit
accounts, nonprofit organizations, a number of personal clients and trustee
services to certain retirement plans invested in the American Funds family of
mutual funds. As of December 31, 1996, it had approximately $57 billion in
assets under its management.
COLUMBUS CIRCLE INVESTORS. Advisor to the Growth Equity Fund, Columbus Circle
is a division of PIMCO Advisors, L.P., a Delaware limited partnership ("PIMCO
Advisors"). See "Pacific Investment Management Company" below. Columbus
Circle's principal place of business is Metro Center, One Station Place,
Stamford, Connecticut 06902. As of December 31, 1996, Columbus Circle had
approximately $14 billion of assets under management.
LINCOLN CAPITAL MANAGEMENT COMPANY. Advisor to the Balanced Fund, Lincoln
Capital is an Illinois sub-chapter S corporation. Its principal place of
business is 200 South Wacker Drive, Chicago, Illinois 60606. As of December 31,
1996, Lincoln Capital had approximately $42 billion of assets under management.
MILLER, ANDERSON & SHERRERD. Advisor to the Balanced Fund, Miller, Anderson &
Sherrerd was established in 1969 and was acquired by Morgan Stanley Group on
January 3, 1996. Its principal place of business is One Tower Bridge, West
Conshohocken, Pennsylvania 19428. As of December 31, 1996, Miller, Anderson &
Sherrerd had approximately $41 billion of assets under management, primarily
for tax-exempt pension funds and profit-sharing plans, Taft-Hartley plans,
foundations and endowments.
PACIFIC INVESTMENT MANAGEMENT COMPANY. Anticipated future advisor to the
actively managed portion of the Bond Fund, PIMCO is an investment counseling
firm founded in 1971, and currently has over $88 billion of assets under
management. PIMCO is a subsidiary partnership of PIMCO Advisors. A majority
interest in PIMCO Advisors is held by PIMCO Partners, G.P., a general
partnership between Pacific Financial Asset Management Corporation, an indirect
wholly owned subsidiary of Pacific Mutual Life Insurance Company, and PIMCO
Partners, L.P., a limited partnership controlled by the PIMCO Managing
Directors. PIMCO's address is 840 Newport Center Drive, Suite 360, Newport
Beach, California 92660.
RCM CAPITAL MANAGEMENT. Advisor to the Growth Equity Fund, RCM Capital is a
Delaware limited liability company solely involved in asset management
services. The firm is a wholly owned subsidiary of Dresdner Bank A.G.
("Dresdner"). Dresdner is an international banking organization. As the
successor to the business and operations of RCM Capital Management, a
California limited partnership, and its predecessors, RCM Capital was founded
in 1970 and has been continuously registered with the Commission since 1972.
RCM Limited L.P., a California limited partnership, is the managing agent of
RCM Capital and has responsibility for making business and investment decisions
for RCM Capital, subject to oversight by its Board of Managers. RCM General
Corporation is the general partner of RCM
29
<PAGE>
Limited L.P. and is owned solely by the 26 RCM Capital principals, all located
in the firm's principal place of business at Suite 2900, Four Embarcadero
Center, San Francisco, California 94111. RCM Capital is actively engaged in
providing investment supervisory services to institutional and individual
clients, and is registered under the Investment Advisers Act of 1940. As of
December 31, 1996, RCM Capital had approximately $27 billion of assets under
management.
ROWE PRICE-FLEMING INTERNATIONAL, INC. Anticipated future advisor to the
International Equity Fund, Price-Fleming was incorporated in Maryland in 1979
as a joint venture between T. Rowe Price Associates, Inc. ("T. Rowe Price")
and Robert Fleming Holdings Ltd. ("Flemings"). T. Rowe Price was incorporated
in Maryland in 1947 as a successor to the investment counselling business
founded by the late Thomas Rowe Price, Jr., in 1937. Flemings is a diversified
investment organization that participates in a global network of regional
investment offices in New York, London, Zurich, Geneva, Tokyo, Hong Kong,
Manila, Kuala Lumpur, Seoul, Taipei, Bombay, Jakarta, Singapore, Bangkok and
Johannesberg. Flemings was incorporated in 1974 in the United Kingdom as
successor to the business founded by Robert Fleming in 1873. As of December
31, 1996, Price-Flemming managed more than $29 billion of assets. The common
stock of Price-Fleming is 50% owned by a wholly-owned subsidiary of T. Rowe
Price, 25% by a subsidiary of Flemings and 25% by a subsidiary of Jardine
Fleming Group Limited ("Jardine Fleming"). Half of Jardine Fleming is owned
indirectly by Flemings and half is indirectly owned by Jardine Matheson
Holdings Limited. Price-Fleming's U.S. office is located at 100 E. Pratt
Street, Baltimore, Maryland 21202.
SANFORD C. BERNSTEIN & CO., INC. Advisor to the Value Equity Fund, Sanford
Bernstein was founded in 1967. As of December 31, 1996, the firm had
approximately $51 billion in domestic, global and international equity,
balanced and fixed-income accounts for pension funds, endowments, trusts,
foundations, insurance companies, individuals and families. Independent and
staff owned, with 141 employees currently sharing in the profits, the firm has
a staff of 985, including 361 investment professionals.
SIT INVESTMENT ASSOCIATES, INC. Advisor to the Aggressive Equity Fund, Sit
Associates is a Minnesota corporation formed in 1981. Its principal place of
business is 4600 Norwest Center, 90 South Seventh Street, Minneapolis,
Minnesota 55402. Sit Associates provides investment advice, management and
related services to mutual funds, tax exempt investors, taxable investors and
individual investors. As of December 31, 1995, Sit Associates had over $5.3
billion of assets under management. Eugene C. Sit is the controlling
shareholder of Sit Associates.
Recommendations to buy and sell securities for the Funds are made by each
Investment Advisor in accordance with investment policies and restrictions of
the Funds and subject to the supervision of State Street. Investment
recommendations for the Funds are made independently from those of other
investment accounts managed by the Investment Advisors. Occasions may arise,
however, when the same investment recommendation is made for more than one
client's account. It is the practice of each Investment Advisor to allocate
such purchases or sales to be executed in connection with such recommendations
insofar as feasible among its several clients in a manner it deems equitable.
The principal factors which the Investment Advisors consider in making such
allocations are the relative investment objectives of the clients, the
relative size of the portfolio holdings of the same or comparable securities
and the then availability in the particular account of funds for investment.
Portfolio securities held by one client of an Investment Advisor may also be
held by one or more of its other clients. When two or more of its clients are
engaged in the simultaneous sale or purchase of securities, transactions are
allocated as to amount in accordance with formulae deemed to be equitable as
to each client. There may be circumstances when purchases or sales of
portfolio securities for one or more clients will have an adverse effect on
other clients.
30
<PAGE>
Transactions on stock exchanges on behalf of the Funds involve the payment of
negotiated brokerage commissions. There is generally no stated commission in
the case of securities traded in the over-the-counter markets, but the price of
those securities includes an undisclosed commission or mark-up. The cost of
securities purchased from underwriters includes an underwriting commission or
concession, and the prices at which securities are purchased from and sold to
dealers include a dealer's mark-up or mark-down.
In executing portfolio transactions, the Investment Advisors seek the most
favorable execution available. The agreements between State Street and the
Investment Advisors provide that, in assessing the best overall terms available
for any transaction, the Investment Advisor may consider factors it deems
relevant, including the brokerage and research services, as those terms are
defined in section 28(e) of the Securities Exchange Act of 1934, provided to
the Funds, viewed in terms of either that particular transaction or the broker
or dealer's overall responsibilities to the Fund.
State Street will periodically review the brokerage commissions paid by the
Funds to determine if the commissions paid over representative periods of time
were reasonable in relation to the benefits inuring to each 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 the Investment Advisor exercises discretion, or a
Fund other than that for which the transaction was executed. Conversely, any
given Fund may be the primary beneficiary of the service received as a result
of portfolio transactions effected for such other accounts or Funds. The fees
of the Investment Advisors are not reduced by reason of receipt of such
brokerage and research services.
STRUCTURED PORTFOLIO SERVICE
INVESTMENT OBJECTIVE. The Structured Portfolio Service provides investment
diversification by utilizing the Funds available to the Program. The
Conservative, Moderate and Aggressive portfolios offer Investors three distinct
approaches to diversifying investments in the Program. Each portfolio has a
different investment strategy and represents different risk and reward
characteristics that reflect an Investor's tolerance for investment risk. THERE
CAN BE NO ASSURANCE THAT THE STRUCTURED PORTFOLIO SERVICE WILL ACHIEVE ITS
INVESTMENT OBJECTIVE. The portfolios utilize seven of the Program's Funds: the
Stable Asset Return Fund, the Bond Fund, the Value Equity Fund, the Growth
Equity Fund, the Index Fund, the Aggressive Equity Fund and the International
Equity Fund. For information regarding the investment objectives, guidelines
and restrictions of each of the above Funds, refer to the description of such
Funds herein.
STRATEGY. While there can be no guarantee, the overall volatility of the
three portfolios may be reduced by spreading investments over several types of
assets. However, the volatility of the Aggressive Portfolio may be greater than
that of the other two portfolios. As prices of stocks and bonds may respond
differently to changes in economic conditions and interest rate levels, a rise
in bond prices, for example, could help offset a fall in stock prices. Money
market securities, which are held in varying percentages by all the Funds, have
a stabilizing influence in comparison to stocks since their price fluctuations
are expected to be small. In addition, the income provided by bonds and money
market securities is expected to contribute positively to a portfolio's total
return, cushioning the impact of price declines or enhancing the effect of
price increases.
31
<PAGE>
The Conservative Portfolio emphasizes shorter-term and fixed-income
securities and is intended for Investors with lower risk tolerance who seek
returns based primarily on higher current investment income. Funds in the
Conservative Portfolio are allocated as follows:
<TABLE>
<S> <C>
Stable Asset Return Fund............................................... 30%
Intermediate Bond Fund................................................. 35%
Value Equity Fund...................................................... 7%
Growth Equity Fund..................................................... 7%
Index Equity Fund...................................................... 14%
International Equity Fund.............................................. 7%
</TABLE>
The Moderate Portfolio takes a more balanced approach (in comparison to the
Conservative Portfolio) and is intended for Investors who seek returns based
upon relatively stable investment income but who also desire an increased
potential for growth. Its investments are allocated as follows:
<TABLE>
<S> <C>
Stable Asset Return Fund............................................... 10%
Intermediate Bond Fund................................................. 30%
Value Equity Fund...................................................... 11%
Growth Equity Fund..................................................... 11%
Index Equity Fund...................................................... 23%
International Equity Fund.............................................. 15%
</TABLE>
The Aggressive Portfolio emphasizes stocks and is intended for Investors who
have a higher degree of risk tolerance and seek capital appreciation. Its
investments are allocated as follows:
<TABLE>
<S> <C>
Intermediate Bond Fund................................................. 15%
Value Equity Fund...................................................... 15%
Growth Equity Fund..................................................... 15%
Index Equity Fund...................................................... 30%
Aggressive Equity Fund................................................. 5%
International Equity Fund.............................................. 20%
</TABLE>
Allocations of Investor funds to the portfolios of the Structured Portfolio
Service are readjusted by State Street on the first Business Day of each month
to maintain the percentage allocations indicated above.
CERTAIN RISK FACTORS. For information and risk factors associated with each
of the Funds utilized in the Structured Portfolio Service, refer to the
description of each particular Fund.
VALUATION OF INVESTOR'S INTEREST. Investor's Units in the portfolios of the
Structured Portfolio Service are valued based upon the collective values of the
Units of the included Funds credited to such Investor's account in the
Structured Portfolio Service.
LIQUIDITY AND TRANSFERS. Transfers to or from any of the three portfolios may
be made on any Business Day.
PERFORMANCE INFORMATION. The Structured Portfolio Service may, from time to
time, report the value of a Unit in each of the portfolios. Such value will be
determined based on historical results and will not be intended to indicate
future performance. A recorded message providing current values for an
Investor's Units in each portfolio in the Structured Portfolio Service is
available at (800) 348-2272.
32
<PAGE>
SELF-MANAGED ACCOUNTS
As an additional Investment Option under the Program, State Street makes
available to Employers, Plan trustees and to Participants whose Employers
elect to make such option available to them, a Self-Managed Account. Self-
Managed Accounts are not included in the Collective Trust and are not
registered under the Securities Act and are described in herein for
information purposes only.
PLANS ELIGIBLE TO ESTABLISH A SELF-MANAGED ACCOUNT. The Self-Managed Account
is available as an Investment Option for Participants in Individual Master
Plans established under the ABA Retirement Plan and for Employers of
Individual Master Plans established under the ABA Defined Benefit Plan,
provided that the Employer has designated the Self-Managed Account as an
Investment Option for its Plan by executing a Self-Managed Account Employer
Enrollment Form. Additionally, the Self-Managed Account is available as an
Investment Option for Participants, Employers and Plan trustees of
Individually Designed Plans for which State Street provides individual
recordkeeping services, provided that the Employer/Plan trustee has designated
the Self-Managed Account as an Investment Option for its Plan. Employers/Plan
trustees may elect to make the Self-Managed Account available as an Investment
Option for their respective Plans by executing a Self-Managed Account Employer
Enrollment Form. The Self-Managed Account is not available as an Investment
Option for Individually Designed Plans for which State Street provides
aggregate recordkeeping services.
PARTICIPANTS, EMPLOYERS AND PLAN TRUSTEES ELIGIBLE TO ESTABLISH A SELF-
MANAGED ACCOUNT. The Self-Managed Account offers investment flexibility by
permitting an Eligible Investor who is a Participant (in the case of a Plan
where an Employer has elected to make such an option available to
Participants), an Employer (in the case of a defined benefit plan for which
State Street does not provide individual recordkeeping services) or a Plan
trustee (in the case of certain Individually Designed Plans) to build an
investment portfolio that is a product of the Eligible Investor's own
investment decisions. Under this Investment Option, an Eligible Investor may
transfer a portion of the amount of such Eligible Investor's respective
account or Plan balance to a Self-Managed Account for the purchase, at the
Eligible Investor's discretion, of a wide variety of publicly traded debt and
equity securities and shares of numerous mutual funds.
CONTRIBUTIONS, WITHDRAWALS, TRANSFERS AND DISTRIBUTIONS. Contributions may
not be made directly to a Self-Managed Account; all contributions first must
be allocated to one or more of the other Investment Options in the Collective
Trust and then transferred to the Self-Managed Account. In-service
withdrawals, loans and benefit distributions from an Eligible Investor's
contribution accounts are not permitted directly from a Self-Managed Account;
assets first must be transferred from the Self-Managed Account to one or more
of the other Investment Options prior to arranging for such a withdrawal or
loan. Transfers to or from a Self-Managed Account may be effected by calling
(800) 348-2272 or by providing to State Street a Request to Transfer Between
Investment Options form. Similarly, withdrawals from an Individual Master Plan
established under the ABA Defined Benefit Plan are not permitted from the
Self-Managed Account for purposes of benefit distributions, and assets must
first be transferred from the Self-Managed Account to one or more of the other
Investment Options prior to arranging for benefit distributions.
Notwithstanding the foregoing, an Eligible Investor who is a participant of
the ABA Retirement Plan may arrange for an in-kind distribution of securities
held in the Participant's Self-Managed Account upon the Participant's
retirement, disability, death or termination of employment, as authorized by
the Employer and subject to rules and procedures established from time to time
by State Street. In-kind distributions from an Employer's Self-Managed Account
relating to a Plan established under the ABA Defined Benefit Plan are not
available other than upon withdrawal of such Employer's Plan from the Program.
In-kind distributions from an Eligible Investor's Self-Managed Account
relating to an Individually Designed Plan are governed by the terms of the
individual plan document.
All transfers from a Self-Managed Account to any other Investment Option
must be made pro-rata based on the allocation in each of the Participant's
contribution accounts in the Self-Managed Account.
33
<PAGE>
PERMISSIBLE INVESTMENTS. An Eligible Investor may invest through the Self-
Managed Account in a wide variety of publicly traded debt and equity
securities, including U.S. Government Obligations, corporate bonds, and equity
securities listed on the New York Stock Exchange, American Stock Exchange or
many regional exchanges, or included for quotation on the Nasdaq National
Market. In addition, an Eligible Investor may invest through a Self-Managed
Account in shares of many mutual funds. A State Street Brokerage representative
will tell you whether investment in a particular mutual fund is available under
the Self-Managed Account.
The following investments cannot be made by the Self-Managed Account:
. tax-exempt mutual funds and unit investment trusts
. tax-exempt bonds
. options, futures and commodity contracts
. private limited partnerships
. foreign securities, except exchange-listed ADRs
. commercial paper
. bank investments (including certificates of deposit, treasury deposits,
bankers acceptances and bank investment contracts)
. insurance investments or insurance investment funds
. physical assets (such as coins, art, jewelry, and similar property)
INVESTMENT THROUGH THE SELF-MANAGED ACCOUNT. To execute a purchase or a sale
of securities in a Self-Managed Account, an Eligible Investor or his/her
authorized Investment Manager should call State Street Brokerage and speak with
a State Street Brokerage representative at (800) 892-4514. Orders for the
purchase of securities of a specific dollar amount or share amount are
permissible provided the value of the order is less than or equal to the
available funds in the Self-Managed Account. All instructions will be provided
to the State Street Brokerage representative by telephone and all conversations
will be recorded. Market orders, buy-limit day orders and sell-limit day orders
are permitted. However, the following transactions are prohibited:
. purchases on margin
. short sales
The Eligible Investor establishing and directing the investment of the Self-
Managed Account has responsibility for all investment decisions relating to the
purchase or sale of securities through a Self-Managed Account. Neither State
Street nor State Street Brokerage, nor any representative of State Street or
State Street Brokerage may offer investment advice to the Eligible Investor.
Cash held in the Self-Managed Account of an Eligible Investor that is derived
from any sales for the account, or from dividends or interest received with
respect to securities (except for mutual fund shares) held in the account will
be deposited at the end of each Business Day in a money market fund (the "Sweep
Account"). The Sweep Account will be the SSgA Money Market Fund. Other short-
term investment funds may be made available as a Sweep Account as disclosed
from time to time to the Employer by State Street. Dividends and interest
earned from mutual fund shares will be reinvested in the respective mutual fund
generating such income unless prohibited by the fund. In the case of transfers
from other Investment Options to the Self-Managed Account, cash will be
transferred to the Sweep Account. Cash deposited in the Sweep Account will
remain invested therein unless and until otherwise directed by the Eligible
Investor. The Eligible Investor establishing and directing the
34
<PAGE>
investment of the Self-Managed Account must provide specific directions
pursuant to normal procedures to transfer some or all of the amount held in
the Sweep Account to other investments in the Self-Managed Account or to any
other Investment Option. Assets held in the Sweep Account may be expected to
yield a money market rate of return.
INSURANCE INVESTMENT CONTRACTS
Whenever made available by State Street, Investors may allocate assets to
Insurance Investment Contracts issued by insurance companies pursuant to which
the insurance company agrees to pay to the purchaser, upon the maturity of the
Insurance Investment Contract, the principal amount of the Insurance
Investment Contract plus interest accrued during the term of the Insurance
Investment Contract. The Insurance Investment Contracts are not registered
under the Securities Act and are described herein for information purposes
only.
If available, State Street will select one or more insurance companies to
issue Insurance Investment Contracts to the ABA Members Trusts on behalf of
Investors that elect to invest in such Insurance Investment Contracts during a
designated investment period (the "Investment Period"). Each Investor that
elects to invest in an Insurance Investment Contract during the Investment
Period will be credited with a pro rata share of each Insurance Investment
Contract (of equal maturity) issued under the Program at the end of such
Investment Period.
Interest on each Insurance Investment Contract accrues for the full term of
the Insurance Investment Contract at the fixed rate in effect on the Business
Day the assets are credited to the Insurance Investment Contract. The interest
rates for Insurance Investment Contracts are expressed as effective annual
rates, reflecting daily compounding, but before deduction of fees and
expenses, which vary in relation to aggregate Program assets. See "--
Deductions and Fees." The insurance company issuing each Insurance Investment
Contract will be obligated to repay the amount of all contributions by
Investors and the interest credited thereon. At the time an Insurance
Investment Contract is purchased, the issuing insurance company will be rated
in either of the two highest rating categories by at least two NRSROs, at
least one of which must be Moody's or S&P. No federal agency or insurance fund
guarantees repayment of principal and interest on Insurance Investment
Contracts upon the default of the issuing insurance company.
New Insurance Investment Contract rates are established prior to each
Investment Period and are available for the entire Investment Period. Interest
accrues from the day after a contribution is credited, or an amount is
transferred from another Investment Option, through the maturity date of the
Insurance Investment Contract. At maturity, the amount accumulated will
automatically be transferred to the Stable Asset Return Fund or such other
Fund as is designated by the Employer in the participation agreement or by
notice, unless the Investor provides other instructions. The identity of the
Insurance Investment Contract issuers for the current Investment Period and
current Insurance Investment Contract rates may be obtained by calling (800)
348-2272.
An Insurance Investment Contract is a general obligation of an insurance
company. Therefore, the financial risk associated with the interests in
Insurance Investment Contracts held by an Investor depends on the ongoing
financial condition of the insurance company or companies that issued
Insurance Investment Contracts. Although the Insurance Investment Contracts
available under the Program are issued by highly rated insurance companies,
the financial condition of the issuers may vary during the life of the
Insurance Investment Contracts and assets generally may not be withdrawn prior
to maturity.
TRANSFERS. Transfers may not be made from one Insurance Investment Contract
prior to maturity to another or from an Insurance Investment Contract to
another Investment Option.
35
<PAGE>
Assets invested in an Insurance Investment Contract generally may not be
withdrawn from the Insurance Investment Contract at the time the Plan under
which the Insurance Investment Contract investment was made ceases to
participate in the Program. In such a case, an Investor's interest in an
Insurance Investment Contract will continue to be held by State Street as
custodian on behalf of the Plan until the Insurance Investment Contract matures
or the assets invested in the Insurance Investment Contract are withdrawn
pursuant to a permitted withdrawal. See "Withdrawal" below. State Street will
receive a fee from the Plan for administrative services it provides in
connection with the custody of any such Insurance Investment Contract.
WITHDRAWALS. Withdrawals from an Insurance Investment Contract generally are
not permitted prior to maturity. However, assets may be withdrawn from an
Insurance Investment Contract prior to its maturity if benefit payments are to
be made from the Plan because of one of the following events:
. the Participant terminates employment with the Employer, including
retirement;
. the Participant becomes disabled (as defined in the Plan);
. the Participant attains age 70 1/2; or
. the Participant dies.
MATURING INSURANCE INVESTMENT CONTRACTS. An Investor may allocate the assets
of maturing Insurance Investment Contracts among Investment Options by
providing State Street with a Change of Investment Allocation form. An Investor
may also provide allocation instructions to a customer service representative
by calling (800) 348-2272. The Change of Investor Allocation form must be
received by State Street from the Employer. The maturity date of each Insurance
Investment Contract of an Investor is reported on the quarterly maturity
schedule. An Investor may allocate the assets of maturing Insurance Investment
Contracts in whole percentages or whole dollar amounts among any number of
Investment Options and may allocate the assets of Insurance Investment
Contracts attributable to employer contributions in different percentages than
the assets of Insurance Investment Contracts attributable to employee
contributions. Allocation instructions remain in effect for all Insurance
Investment Contracts that mature before State Street receives new allocation
instructions related to maturing Insurance Investment Contracts. State Street
must receive allocation instructions with respect to a maturing Insurance
Investment Contract before the maturity date of the Insurance Investment
Contract in order for it to be effective for that particular Insurance
Investment Contract. If an Investor allocates a maturing Insurance Investment
Contract to a new Insurance Investment Contract, if available, the new
Insurance Investment Contract rate will be the rate available on the date the
original Insurance Investment Contract matures. If an Investor does not provide
allocation instructions with respect to a maturing Insurance Investment
Contract, amounts released upon the maturity of the Insurance Investment
Contract will be allocated to the Stable Asset Return Fund or such other Fund
as may be designated by the Employer in the participation agreement or by
notice. An Investor may then transfer these amounts to any Investment Option.
EQUITABLE REAL ESTATE ACCOUNT
Interests in the Equitable Real Estate Account are not registered under the
Securities Act and are described herein for information purposes only.
Certain assets contributed to the Program prior to January 1, 1992 are held
by Equitable Life in the Equitable Real Estate Account. Such assets will remain
invested in this account until they are transferred to another Investment
Option available under the Program. Restrictions apply to withdrawals and
transfers from the Equitable Real Estate Account that may delay a withdrawal or
transfer for a significant period of time following a withdrawal or transfer
request. No transfers or contributions to the Equitable Real Estate Account are
permitted.
36
<PAGE>
State Street has no control over the management of assets held by Equitable
Life and is not responsible for the investment of such assets or Equitable
Life's performance of its obligations under the Program with respect to such
assets. State Street, however, maintains the recordkeeping on the sale of such
account and provides notice to Investors, when appropriate. Information
relating to assets held in the Equitable Real Estate Account may be obtained by
writing or calling State Street.
CONTRIBUTIONS TO THE INVESTMENT OPTIONS
Contributions may be allocated to the Funds or to any of the portfolios of
the Structured Portfolio Service on a daily basis and are credited on the day
of receipt if accompanied or preceded by proper allocation instructions. Such
contributions are used to purchase Units of the Funds and the portfolios of the
Structured Portfolio Service based on the relevant per Unit net asset value of
each Fund or the portfolios of the Structured Portfolio Service, as applicable.
Contributions may not be allocated directly to the Self-Managed Account, but
must first be allocated to one or more of the other available Investment
Options and then transferred to the Self-Managed Account.
TRANSFERS AMONG INVESTMENT OPTIONS
Transfers may be made among the Funds, the Structured Portfolio Service and
Self-Managed Accounts generally on a daily basis based on the relevant per Unit
net asset value of each Fund or each portfolio of the Structured Portfolio
Service, as applicable. Amounts invested in an Insurance Investment Contract
may not be transferred from an Insurance Investment Contract to any of the
other Investment Options prior to the maturity date of the Insurance Investment
Contract. No transfers may be made to the Equitable Real Estate Account. There
is no charge for transfers.
BENEFITS AND DISTRIBUTIONS
A Participant's eligibility for benefits depends on the terms of the
applicable Plan. For information regarding the terms of an Individually
Designed Plan, a Participant should contact his or her Employer.
Under the ABA Members Plans, Participants are generally eligible for vested
benefits upon retirement, disability, death or termination of employment. If an
eligible Participant's vested benefit is $3,500 or less, the Participant will
receive a lump sum distribution. Otherwise, the Participant may either choose
to leave the assets invested under the Program or request a distribution of
benefits. A Participant eligible to receive a distribution will generally
receive a distribution in the form of a Qualified Joint and Survivor Annuity if
the Participant is married and a Life Annuity if the Participant is single.
With the written consent of the Participant's spouse, the Participant may
request a lump sum payment or periodic installment payments from the Program,
or may choose among other types of annuities that are available through the
Program. A Participant with assets allocated to a Self-Managed Account may be
eligible to elect an in-kind distribution of assets held in such Self-Managed
Account, in accordance with the rules established by State Street. All annuity
forms of payment are subject to certain additional administrative charges.
Notwithstanding the foregoing, an Employer that adopts the ABA Retirement Plan
may elect in the participation agreement not to have annuity forms of payment
under the Plan, in which case Participants eligible to receive a distribution
in excess of $3,500 from such a profit sharing plan may request only a lump sum
payment or periodic installment payments. Payments for any distribution from a
Participant's account are made by check to a Participant, as directed. The
taxable portion of lump sum payments and certain installment payments from the
ABA Members Plans may be directly rolled over to an individual retirement
account established on the Participant's behalf, or to another employer's
qualified retirement plan, the terms of which accept direct rollover
contributions.
Depending on the terms of the Plan, the type of contribution under a Plan and
the age of the Participant, withdrawals from a Participant's account balance in
an ABA Retirement Plan may be permitted prior to retirement, disability, death
or termination of employment. Under certain
37
<PAGE>
circumstances, a Participant may be permitted to borrow a portion of the
Participant's account balance in an ABA Retirement Plan.
ADDITIONAL INFORMATION
Persons who are already Employers or Investors may obtain administrative and
investment allocation and transfer forms or additional information by calling
State Street at (800) 348-2272 between 9:00 a.m. and 8:00 p.m. Eastern time or
by writing to State Street Bank and Trust Company, P.O. Box 9109, Boston,
Massachusetts 02209-9109. Participants may also obtain such forms from their
Employers.
For information regarding enrollment in the Program, Eligible Employers may
call State Street at (800) 826-8901 between 9:00 a.m. and 5:00 p.m. Eastern
time or write to State Street Bank and Trust Company, P.O. Box 2236, Boston,
Massachusetts 02209-9109.
A recorded message providing current account information can be obtained by
calling State Street at (800) 348-2272.
ADOPTION OF PROGRAM
Eligible Employers who elect to participate in the Program may do so either
through their own Individually Designed Plans or by adopting one or both of
two ABA Members Plans sponsored by ABRA. The ABA Members Plans are master
plans designed to allow Eligible Employers to establish and maintain
Individual Master Plans that are qualified under section 401(a) of the
Internal Revenue Code.
Under the ABA Retirement Plan, an Eligible Employer may adopt a profit
sharing plan, a money purchase pension plan or a target benefit plan. The
available forms of the ABA Members Plans have been determined by the IRS to be
qualified under section 401(a) of the Internal Revenue Code for use by
employers for the benefit of their employees.
To adopt either the ABA Defined Benefit Plan or the ABA Retirement Plan, an
Eligible Employer must complete and execute a participation agreement. The
participation agreement contains the basic features that must be considered in
designing an appropriate Individual Master Plan under the Program and effects
the Eligible Employer's adoption of the Master Trust to hold assets of the
Individual Master Plan. State Street's retirement program specialists will
assist Eligible Employers in the preparation of a participation agreement.
However, State Street is not authorized to give tax or legal advice and
Eligible Employers should consult with their tax advisor prior to executing a
participation agreement. Depending on the form of participation agreement
adopted by an Eligible Employer and the other retirement plans, if any,
maintained by the Eligible Employer, it may be necessary to apply to the IRS
for a determination of the qualified status of the Individual Master Plan as
adopted by the Eligible Employer.
An Eligible Employer that maintains an Individually Designed Plan that is
qualified under section 401(a) of the Internal Revenue Code may also
participate in the Program and make use of the Investment Options available
under the Program by causing a participation agreement for the Pooled Trust to
be executed by the trustee of the Individually Designed Plan. Such trustee
must demonstrate to State Street that the participating trust is exempt from
tax under section 501(a) of the Internal Revenue Code and that the related
Individually Designed Plan is qualified under section 401(a) of the Internal
Revenue Code. State Street's retirement program specialists will assist in
preparation of a participation agreement. However, State Street is not
authorized to give tax or legal advice and Eligible Employers and the trustees
of an Individually Designed Plan should consult with their tax advisor prior
to executing a participation agreement.
38
<PAGE>
For copies of the appropriate participation agreements and further
information concerning the steps to be taken to adopt the Program, call State
Street at (800) 826-8901 between 9:00 a.m. and 5:00 p.m. Eastern time or write
to State Street Bank and Trust Company, P.O. Box 2236, Boston, Massachusetts
02209-2236.
STATE STREET
State Street provides certain administrative and recordkeeping services
required by the Program. As trustee of the Collective Trust, State Street is
responsible for the operation and management of Funds under the Collective
Trust. State Street also acts as the sole trustee of each of the ABA Members
Trusts, and at certain times arranges to make available Insurance Investment
Contracts as Investment Options under the Program.
State Street's principal offices are located at 225 Franklin Street, Boston,
Massachusetts 02110. State Street is a wholly-owned subsidiary of State Street
Boston Corporation, a Massachusetts corporation and a holding company
registered under the Federal Bank Holding Company Act of 1956. State Street is
a highly capitalized Massachusetts trust company, and as of the year ending
December 31, 1996, State Street and its affiliates had a total risk-based
capital ratio of 13.6%, which is far in excess of applicable regulatory
requirements. As of December 31, 1996, State Street together with its
affiliates had over $2.9 trillion of assets in trust or under custody and had
over $292 billion of assets under management. State Street together with its
affiliates is the largest mutual fund custodian in the world, the largest
master trust custodian bank and the largest custodian of international/global
assets for U.S. pension funds.
AMERICAN BAR RETIREMENT ASSOCIATION
ABRA is an Illinois not-for-profit corporation organized by the ABA to
sponsor retirement programs for self-employed individuals and employers who
are members or associates of the ABA or certain affiliated organizations. The
Program is a comprehensive retirement program that provides employers who
adopt the Program with tax-qualified employee retirement plans, a variety of
Investment Options and related recordkeeping and administrative services. As
sponsor of the Program, ABRA is responsible for the design of the Program, the
maintenance of the ABA Members Plans and the ABA Members Trusts, and the
designation of investment options to be made available under the Program.
Pursuant to an agreement between ABRA and State Street, as of January 1, 1992,
ABRA has engaged State Street to provide administrative and investment
services and to make the Investment Options available under the Program for a
seven-year term. ABRA may terminate its agreement with State Street prior to
the end of its term in certain circumstances, including failure by State
Street to satisfy certain service standards or standards regarding its
financial condition. ABRA has also appointed State Street as trustee of each
of the ABA Members Trusts.
DEDUCTIONS AND FEES
Under the Program, certain fees are determined based upon a fixed percentage
of all assets in the Program or all assets in specified Investment Options.
Except as described below with respect to the Structured Portfolio Service
fee, these fees are charged to the appropriate Investment Option and paid as
an operating expense thereof. Other fees are charged at a fixed dollar amount
on a per-Participant, per-Plan, or per-transaction basis and are paid by the
Employer or the Participant, as the case may be, through the withdrawal of
assets from the Program. Such withdrawals for the purpose of paying fixed
dollar fees are made in accordance with the following sequence (the
"Withdrawal Sequence"): first, from the Stable Asset Return Fund, next from
the Bond Fund, next from the Index Fund, next from
39
<PAGE>
the Value Equity Fund, next from the Growth Equity Fund, next from the
Balanced Fund, next from the Aggressive Equity Fund, next from the
International Equity Fund, next from the Structured Portfolio Service, next
from Insurance Investment Contracts (with amounts being deducted first from
the most recently purchased Insurance Investment Contract), and finally from
the Self-Managed Account.
State Street Brokerage is authorized to cause securities or other assets in
the Self-Managed Account to be sold or redeemed to satisfy any charges,
deductions or fees due from an Eligible Investor's Self-Managed Account which
may be necessary or for which the assets in the Eligible Investor's Base Plan
are insufficient. Such sales or redemptions are made first from the Eligible
Investor's balance in the Sweep Account, if any, and then by sales or
redemption of securities most recently purchased by the Eligible Investor's
Self-Managed Account. The fees described below may be changed at any time upon
the mutual consent of State Street and ABRA.
PROGRAM EXPENSE FEE
A fee is paid to State Street and ABRA based upon the combined value of
Program assets in the Investment Options (including the Self-Managed Account)
and the Equitable Real Estate Account. In all instances, the fee is accrued
daily and paid monthly. For all Investment Options other than the Self-Managed
Account, the fee is paid directly from the assets of the Funds or as a
deduction from amounts accruing on the Insurance Investment Contracts and the
Equitable Real Estate Account. With respect to the Self-Managed Account, the
program expense fee is paid from the Investment Options in accordance with the
Withdrawal Sequence.
Benefit payments under the Program generally are made by check. Within five
Business Days before the check is payable, funds for the payment of benefits
are transferred to a non-interest bearing account with State Street. There is
no separate fee charged for benefit payments; rather, State Street retains any
earnings attributable to outstanding benefit checks and this has been taken
into account in setting State Street's fees under the Program.
All fees are determined at the following annual rates:
<TABLE>
<CAPTION>
VALUE OF RATE FOR
PROGRAM ASSETS STATE STREET
-------------- ------------
<S> <C>
First $500 million............................................ .564%
Next $850 million............................................. .40
Next $1.15 billion............................................ .25
Next $1.5 billion............................................. .175
Over $4.0 billion............................................. .15
<CAPTION>
VALUE OF RATE
PROGRAM ASSETS FOR ABRA
-------------- ------------
<S> <C>
First $500 million............................................ .075%
Next $850 million............................................. .065
Next $1.15 billion............................................ .035
Next $1.5 billion............................................. .025
Over $4.0 billion............................................. .015
</TABLE>
40
<PAGE>
TRUSTEE, MANAGEMENT AND ADMINISTRATION FEES
A fee is paid to State Street for its management, administration and custody
of the assets in the Investment Options (other than Self-Managed Accounts).
This fee is accrued on a daily basis and paid monthly from the assets of the
Funds or as a deduction from amounts accruing on Insurance Investment
Contracts. Such trustee, management and administrative fees attributable to the
Funds held by the Structured Portfolio Service are also accrued and paid from
the Funds. Fees are payable at the following annual rates:
<TABLE>
<CAPTION>
VALUE OF ASSETS IN BALANCED FUND,
VALUE EQUITY FUND, GROWTH EQUITY FUND,
AGGRESSIVE EQUITY FUND AND
INTERNATIONAL EQUITY FUND RATE
-------------------------------------- ----
<S> <C>
First $500 million................................................. .10 %
Next $500 million.................................................. .075
Over $1.0 billion.................................................. .05
<CAPTION>
VALUE OF ASSETS
IN STABLE ASSET
RETURN FUND* RATE
--------------- ----
<S> <C>
First $750 million................................................. .20 %
Next $250 million.................................................. .10
Over $1.0 billion.................................................. .075
<CAPTION>
VALUE OF ASSETS
IN BOND FUND RATE
--------------- ----
<S> <C>
First $500 million................................................. .10 %
Next $500 million.................................................. .075
Over $1.0 billion.................................................. .05
<CAPTION>
VALUE OF ASSETS
IN INDEX FUND RATE
--------------- ----
<S> <C>
First $50 million.................................................. .20 %
Over $50 million................................................... .13
<CAPTION>
VALUE OF ASSETS
IN INSURANCE
INVESTMENT CONTRACTS* RATE
--------------------- ----
<S> <C>
First $500 million................................................. .20 %
Next $1.0 billion.................................................. .10
Over $1.5 billion.................................................. .075
</TABLE>
- --------
* For the purpose of determining the management fees charged to assets invested
in the Stable Asset Return Fund and administrative fees charged to assets
invested in Insurance Investment Contracts, the amount of the assets held in
these two Investment Options is aggregated.
STRUCTURED PORTFOLIO SERVICE FEES
Assets allocated to portfolios of the Structured Portfolio Service will be
subject to an annual service fee of .10% for the first $100 million and .05%
over $100 million of the aggregate assets allocated to any of the portfolios in
the Structured Portfolio Service. There are no other fees directly attributable
to the Structured Portfolio Service. However, the Funds in which the portfolios
of the Structured Portfolio Service will be invested will bear the Program Fees
and the Trustee, Management and Administrative Fees described above, as well as
the Investment Advisor Fees, as applicable, described below.
The annual service fee is charged directly to the Structured Portfolio
Service as an expense thereof. The fee is accrued daily and paid monthly from
the assets of the portfolios in the Structured Portfolio Service.
41
<PAGE>
SELF-MANAGED ACCOUNT FEES
Transaction fees for the purchase or sale of securities for the account of an
Eligible Investor are charged in accordance with the schedule of rates
communicated from time to time to Eligible Investors with Self-Managed
Accounts. Additionally, assets invested through a Self-Managed Account are
subject to the Program expense fee, which is currently .423%. The Program
Expense Fee allocable to the Self-Managed Account will not be deducted or
charged against the Self-Managed Account. Instead, the program expense fee for
the Self-Managed Account will be paid from the Investment Options in accordance
with the Withdrawal Sequence or paid by the Employer if so elected.
INVESTMENT ADVISOR FEE
A fee is paid to each Investment Advisor based on the value of the assets
allocated to that Investment Advisor, as set forth below. These fees are
accrued on a daily basis and paid monthly from the assets of the Funds.
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
BOND FUND ALLOCATED TO PIMCO* RATE
----------------------------- -----
<S> <C>
First $25 million................................................. .50 %
Next $25 million.................................................. .375
Over $50 million.................................................. .25
<CAPTION>
VALUE OF ASSETS IN BOND FUND
ALLOCATED TO BGI* RATE
---------------------------- -----
<S> <C>
First $.5 million................................................. .60 %
Next $1.5 million................................................. .40
Next $48 million.................................................. .10
Next $25 million.................................................. .06
Over $75 million.................................................. .04
</TABLE>
- --------
* During the time that the assets of the Bond Fund and the International Equity
Fund are invested in shares of registered investment companies, no separate
investment advisory fees will be paid by the applicable Funds. Such Funds,
however, will indirectly bear their proportionate share of the investment
advisory fees and annual operating expenses payable by such registered
investment companies. In the most recent periods for which information is
available, the Total Return Fund paid total asset management and
administration fees of .43%, the Bond Index Fund paid total asset management
and administration fees of .23% and the T. Rowe International Fund paid total
asset management and administration fees of .88%. Such fees vary with the
amount of assets held in such registered investment companies and as a result
of changes in the underlying fee structure of such investment companies.
However, Program Fees and Trustee, Management and Administrative Fees are paid
during the time that the Funds are invested in such registered investment
companies.
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
BALANCED FUND ALLOCATED
TO LINCOLN CAPITAL RATE
----------------------- -----
<S> <C>
First $20 million.................................................. .4675%
Next $130 million.................................................. .35
Next $350 million.................................................. .25
Next $500 million.................................................. .20
Over $1000 million................................................. .15
</TABLE>
42
<PAGE>
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
BALANCED FUND ALLOCATED TO
MILLER, ANDERSON & SHERRERD RATE
--------------------------- -----
<S> <C>
First $25 million................................................... .60 %
Next $25 million.................................................... .40
Next $50 million.................................................... .375
Next $100 million................................................... .25
Over $200 million................................................... .20
<CAPTION>
VALUE OF ASSETS IN VALUE
EQUITY FUND
ALLOCATED TO
SANFORD BERNSTEIN RATE
------------------------ -----
<S> <C>
First $10 million................................................... .50 %
Next $10 million.................................................... .40
Next $30 million.................................................... .35
Next $50 million.................................................... .30
Next $50 million.................................................... .25
Next $50 million.................................................... .225
Next $50 million.................................................... .20
Next $50 million.................................................... .175
Over $300 million................................................... .15
<CAPTION>
VALUE OF ASSETS IN
GROWTH EQUITY FUND
ALLOCATED TO COLUMBUS CIRCLE RATE
---------------------------- -----
<S> <C>
First $50 million................................................... .50 %
Next $50 million.................................................... .40
Over $100 million................................................... .30
<CAPTION>
VALUE OF ASSETS IN
GROWTH EQUITY FUND
ALLOCATED TO RCM CAPITAL RATE
------------------------ -----
<S> <C>
First $10 million................................................... .70 %
Next $10 million.................................................... .60
Next $20 million.................................................... .50
Next $20 million.................................................... .35
Next $40 million.................................................... .30
Over $100 million................................................... .25
<CAPTION>
VALUE OF ASSETS IN
GROWTH EQUITY FUND AND
AGGRESSIVE EQUITY FUND
ALLOCATED TO CAPITAL GUARDIAN RATE
----------------------------- -----
<S> <C>
First $20 million................................................... .50 %
Next $30 million.................................................... .35
Over $50 million.................................................... .225
</TABLE>
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
AGGRESSIVE EQUITY FUND
ALLOCATED TO SIT ASSOCIATES RATE
--------------------------- ------
<S> <C>
First $10 million................................................ 1.00 %
Next $10 million................................................. .70
Over $20 million................................................. .60
</TABLE>
43
<PAGE>
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
INTERNATIONAL EQUITY FUND
ALLOCATED TO PRICE-FLEMING* RATE
--------------------------- ----
<S> <C>
First $20 million.................................................. .75 %
Next $30 million................................................... .60
Over $50 million................................................... .50
</TABLE>
--------
<TABLE>
<S> <C>
* See footnote on page 42
</TABLE>
ORGANIZATIONAL EXPENSES
Expenses initially incurred in connection with the organization of certain of
the Funds, including state and federal securities law registration fees, legal
and accounting fees and expenses and printing costs, totalled approximately
$1,135,000. These expenses were borne equally by the initial Funds and were
capitalized by each Fund and amortized over the period beginning January 1992
and ending May 1996.
Expenses incurred in connection with the organization of the Stable Asset
Return Fund, the Bond Fund, the Value Equity Fund, the Index Fund, the
International Equity Fund and the Structured Portfolio Service, including state
and federal securities law registration fees, legal and accounting fees and
expenses and printing costs, totaled approximately $1,765,970. These expenses
were allocated to the Funds based on net asset value, were capitalized by each
Fund and will be amortized over the period beginning September 1995 and ending
September 1998. If a Fund should terminate prior to the full amortization of
its organizational expenses, the amount per Unit that will be realized by
Investors upon the liquidation of the Fund will be less than the per Unit Value
at the time of liquidation.
ABA RETIREMENT PLAN AND INDIVIDUALLY DESIGNED PLAN FEES
ENROLLMENT FEE. A one time enrollment fee will be charged upon the enrollment
of a Plan in the Program, a Plan's addition of a 401(k) feature or the addition
of a Participant to a Plan at the following rates:
<TABLE>
<CAPTION>
ABA RETIREMENT PLAN AND INDIVIDUALLY DESIGNED
INDIVIDUALLY DESIGNED PLANS PLANS FOR WHICH STATE
ENROLLMENT AND FOR WHICH STATE STREET STREET DOES NOT
401(K) FEES MAINTAINS PARTICIPANT RECORDS MAINTAIN PARTICIPANT RECORDS
-------------- ----------------------------- ----------------------------
<S> <C> <C>
Enrollment fee for Plan
with 401(k) feature.... $50 per Participant $25 per Plan
Enrollment fee for Plan
without 401(k) feature. $25 per Participant $25 per Plan
Fee for adding 401(k)
feature to existing
Plan under the Program. No charge No charge
</TABLE>
If these fees are not paid by the Employer, they will be deducted from
Participant account balances in accordance with the Withdrawal Sequence.
ANNUAL RECORD MAINTENANCE AND REPORT FEE. A record maintenance and report fee
of $8 per year will be charged for each Participant in a Plan for which State
Street maintains Participant records that does not have a 401(k) feature. This
fee will be $16 per year for each Participant in a Plan with a 401(k) feature.
This fee will be deducted quarterly from each Participant's account balance in
accordance with the Withdrawal Sequence.
RECHARACTERIZATION FEE. If contributions to an Individually Designed Plan
with a 401(k) feature must be recharacterized as another type of contribution,
a fee of $10 per Participant will be charged for the recharacterization and
deducted from the Participant's account balance in accordance with the
Withdrawal Sequence.
44
<PAGE>
TARGET BENEFIT FEE. Each Employer establishing a target benefit plan through
adoption of the ABA Retirement Plan will be charged a set-up fee at the time
the plan is adopted. This fee covers the initial set-up cost and the first
year's payment of the administration and actuarial fee. Beginning with the
second plan year, an annual administration and actuarial fee will be charged in
addition to the fees and charges applicable to Plans adopted under the ABA
Retirement Plan. If this fee is not paid directly by the Employer, a pro rata
portion of such fee will be deducted from each Participant's account balance in
accordance with the Withdrawal Sequence. Fees charged for establishing and
maintaining a target benefit plan are identical to the ABA Defined Benefit Plan
fees described below. Additionally, an annual record maintenance and report fee
of $8 per year will be charged for each Participant in a target benefit plan,
for which State Street maintains Participant records. This fee will be deducted
quarterly from each Participant's account balance in accordance with the
Withdrawal Sequence.
ABA DEFINED BENEFIT PLAN FEES
INITIAL SETUP AND FIRST YEAR ADMINISTRATION AND ACTUARIAL FEE. Each Employer
adopting the ABA Defined Benefit Plan for 10 or fewer Participants must pay a
fee of $1,500 at the time the Plan is adopted. If the plan has from 11 to 24
Plan members, the fee is $2,500. For Plans with 25 or more Participants, State
Street will establish the amount of the fee to be charged. If this fee is not
paid directly by the Employer, such fee will be deducted from the Plan's assets
in accordance with the Withdrawal Sequence. This fee covers the initial setup
cost and the first year's payment of the administration and actuarial fee.
ANNUAL ADMINISTRATION AND ACTUARIAL FEE. Beginning with the second Plan year,
an annual administration and actuarial fee of $750 will be deducted from the
assets of each Plan with 10 or fewer Participants under the ABA Defined Benefit
Plan. If the Plan has from 11 to 24 Participants the annual fee is $1,250. For
Plans with 25 or more Participants, State Street will establish the amount of
the fee to be charged. If this fee is not paid directly by the Employer, such
fee will be deducted from the Plan's assets in accordance with the Withdrawal
Sequence.
MISCELLANEOUS FEES
ANNUITY ADMINISTRATIVE FEES. If a Participant elects an annuity option, an
administrative fee of $50 will be charged by State Street to obtain an annuity
quote. An additional administrative fee may be charged by the insurance company
providing the annuity. Such fees will be deducted from the Participant's
account balance or benefit in accordance with the Withdrawal Sequence.
PREMIUM TAXES. In certain jurisdictions, amounts used to purchase an annuity
are subject to a premium tax. Such taxes depend, among other things, on a
Participant's place of residence at the time distributions under the Program
begin and are subject to change.
CONVERSION FEE. An employer may be charged a one-time fee in connection with
the transfer of its Plan records from its previous recordkeeper to State
Street's computer system.
SPECIAL FEES. An Employer may incur certain one-time fees in connection with
the review and analysis of a prior plan conducted by or on behalf of State
Street. Such fees must be paid separately at the time of the service.
FEE RECIPIENTS
The following information with respect to fees is based on the approximate
assets of the Program on December 31, 1996, which total $2,390,000,000. The
total includes $635,000,000 for the Stable Asset Return Fund, $49,000,000 for
the Bond Fund, $295,000,000 for the Balanced Fund, $47,000,000 for the Value
Equity Fund, $752,000,000 for the Growth Equity Fund, $83,000,000 for the Index
Fund, $276,000,000 for the Aggressive Equity Fund, $34,000,000 for the
International Equity Fund,
45
<PAGE>
$199,000,000 for the Self-Managed Account, $16,000,000 for Insurance Investment
Contracts, and $4,000,000 for the Equitable Real Estate Account. Of the above
amounts indicated for each Fund, an aggregate of approximately $69,000,000 is
invested through the portfolios of the Structured Portfolio Service. These fees
vary based on the size of the Funds or, as applicable, the portfolios of the
Structured Portfolio Service. State Street in its capacity as administrator of
the Program and manager of the Funds would receive fees of $11,456,200 on an
annual basis (exclusive of certain non-recurring fees and the Structured
Portfolio Service fee). ABRA would receive fees of $1,291,500 on an annual
basis in its capacity as sponsor of the Program. Assuming the allocation of the
assets of the Funds among the Investment Advisors is as set forth above, the
following advisory fees would have been payable: Capital Guardian --
$1,231,000; Columbus Circle -- $717,000; Lincoln Capital -- $545,000, Miller,
Anderson & Sherrerd -- $552,500; RCM Capital -- $640,000; Sit Associates --
$920,000; and Sanford Bernstein -- $184,500. In addition, based on the
published fee schedules of the Initial Investment Vehicles, the following
anticipated Investment Advisors would have received the following fees from
registered investment companies into which certain funds were invested: PIMCO
- -- $141,900; Price-Fleming -- $299,200; and BGI -- $36,800.
ITEM 2. PROPERTIES.
Not Applicable. The Collective Trust does not have any physical properties as
contemplated by this Item.
ITEM 3. LEGAL PROCEEDINGS.
Not Applicable.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not Applicable.
PART II
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS.
(a) Market Information.
Units of beneficial interest in the Funds are not transferable and,
therefore, are not traded on any market. Participants in certain employer plans
receive distributions of benefits upon retirement or disability, or upon
termination of employment with a vested benefit. A participant may withdraw the
contributions and earnings thereon at any age from the plans, subject to the
withdrawal restrictions applicable therein. Participants in the Individually
Designed Plans (defined below) receive distributions based upon the terms and
provisions of the respective employer plan. Prior to distribution, assets in
the various plans may be transferred among the Funds and the Portfolios,
subject to the restrictions that apply to each Fund or Portfolio, by the person
or entity vested with the responsibility for determining the investment
allocation of the assets of the plan.
(b) Holders.
Eligible employers who elect to participate in the Program may do so by
adopting an Individual Master Plan under one or both of the ABA Members Plans.
The ABA Members Plans consist of the ABA Retirement Plan, a defined
contribution master plan, and the ABA Defined Benefit Plan, a defined benefit
master plan. Employers that maintain Individually Designed Plans may also
participate in certain aspects of the Program through such plans. Assets
contributed under the Program are held by State Street as trustee of the Master
Trust and the Pooled Trust. Such assets are allocated among the
46
<PAGE>
investment options available under the Program in accordance with the
instructions of the person or entity vested with responsibility for determining
the investment allocation of the assets of a Plan held in the Master Trust or
Pooled Trust. Under the Program, certain participants, employers or plan
trustees may also direct State Street to purchase and sell a wide variety of
publicly traded debt and equity securities and shares of numerous mutual funds
for the participant's, employer's or plan trustee's Self-Managed Account. The
Self-Managed Account is available only to participants in the ABA Retirement
Plan and to employers with respect to the ABA Defined Benefit Plan, provided
that in either case the employer has designated the Self-Managed Account as an
investment option for its Plan. The Self-Managed Account is also available for
participants, employers and plan trustees of certain Individually Designed
Plans. Assets contributed to the Plans are allocated among the Funds and the
Portfolios in accordance with the instructions of the person or entity vested
with the responsibility for determining the investment allocation of the assets
of the Plans held in the Master Trust and the Pooled Trust.
(c) Dividends.
Income or gains on contributions are automatically reinvested in the
respective Funds.
ITEM 6. SELECTED FINANCIAL DATA.
The selected financial data below provides information with respect to
income, expenses and capital changes for each Fund attributable to each unit
outstanding for the periods indicated. The selected financial data for all
periods has been audited by Price Waterhouse, independent accountants of the
Collective Trust. The selected financial data should be read in conjunction
with the financial statements of the Funds, including the related Notes
thereto, which appear at Item 8 of this Annual Report on Form 10-K. Per Unit
calculations have been prepared using monthly average number of units
outstanding during the period.
STABLE ASSET RETURN FUND:*
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA FOR
EACH UNIT OUTSTANDING FOR
THE PERIODS INDICATED:
Investment income........... $ .058 $ .061 $ .043 $ .035 $ .042
Expenses.................... (.007) (.007) (.007) (.008) (.008)
-------- -------- -------- -------- --------
Net investment income....... .051 .054 .036 .027 .034
Reinvestment of net
investment income.......... (.051) (.054) (.036) (.027) (.034)
-------- -------- -------- -------- --------
Net asset value at beginning
and end of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Ratio of expenses to average
net assets................. .68% .73% .73% .75% .79%
Ratio of net investment
income to average net
assets..................... 5.15% 5.32% 3.55% 2.77% 3.45%
Net assets at end of period
(in thousands)............. $634,763 $630,208 $491,979 $509,905 $589,882
</TABLE>
- --------
* As of September 5, 1995, the Blended Rate Fund ("Blended Rate") was merged
into the Enhanced Short Term Investment Fund ("ESTIF") and ESTIF's name was
changed to the Stable Asset Return Fund. The Financial Statements of the Fund
reflect a combination of the assets and liabilities of ESTIF and Blended Rate
as of the effective date of the merger. As of such date, Units previously
outstanding of Blended Rate were deemed exchanged for Units of ESTIF and all
Units of ESTIF outstanding were deemed Units of Stable Asset Return Fund.
47
<PAGE>
INTERMEDIATE BOND FUND:
<TABLE>
<CAPTION>
SEPTEMBER 5, 1995
YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, OPERATIONS) TO
1996 DECEMBER 31, 1995
------------ -----------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income............................... $ .67 $ .34
Expenses........................................ (.06) (.02)
------- -------
Net investment income........................... .61 .32
Net realized and unrealized gain (loss) on in-
vestments...................................... (.30) .26
------- -------
Net increase in unit value...................... .31 .58
Net asset value at beginning of period.......... 10.58 10.00
------- -------
Net asset value at end of period................ $ 10.89 $ 10.58
------- -------
Ratio of expenses to average net assets......... .58% .69%*
Ratio of net investment income to average net
assets......................................... 5.82% 9.17%*
Portfolio turnover**............................ 22.37% 1.60%
Total return.................................... 2.93% 5.80%
Net assets at end of period (in thousands)...... $49,612 $36,457
</TABLE>
- --------
* Ratios annualized.
** Reflects purchases and sales of shares of the registered investment
companies in which the Fund invests rather than the turnover of the
underlying portfolios of such registered investment companies.
48
<PAGE>
BALANCED FUND:
<TABLE>
<CAPTION>
YEAR ENDED JANUARY 2, 1992
DECEMBER 31, (COMMENCEMENT OF
-------------------------------------- OPERATIONS) TO
1996 1995 1994 1993 DECEMBER 31, 1992
-------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ 1.30 $ 1.19 $ 1.08 $ 1.00 $ .89
Expenses................ (.33) (.29) (.26) (.26) (.25)
-------- -------- -------- -------- --------
Net investment income... .97 .90 .82 .74 .64
Net realized and
unrealized gain (loss)
investments............ 3.78 6.07 (.82) .82 (1.56)
-------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 4.75 6.97 -- 1.56 (.92)
Net asset value at be-
ginning of period...... 32.01 25.04 25.04 23.48 24.40
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 36.76 $32.01 $ 25.04 $ 25.04 $ 23.48
======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .96% 1.00% 1.03% 1.07% 1.10%
Ratio of net investment
income to average net
assets................. 2.85% 3.08% 3.32% 3.05% 2.82%
Portfolio turnover...... 180.67% 154.73% 112.51% 153.14% 119.18%
Total return............ 14.84% 27.84% 0.0% 6.64% (3.77)%
Net assets at end of
period................. $295,401 $264,526 $198,945 $193,362 $167,242
</TABLE>
VALUE EQUITY FUND:
<TABLE>
<CAPTION>
SEPTEMBER 5 , 1995
YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, OPERATIONS) TO
1996 DECEMBER 31, 1995
------------ ------------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income.............................. $ .40 $ .13
Expenses....................................... (.14) (.04)
------- -------
Net investment income.......................... .26 .09
Net realized and unrealized gain on invest-
ments......................................... 2.54 .84
------- -------
Net increase in unit value..................... 2.80 .93
Net asset value at beginning of period......... 12.93 12.00
------- -------
Net asset value at end of period............... $ 15.73 $12.93
======= =======
Ratio of expenses to average net assets........ .99% 1.00%*
Ratio of net investment income to average net
assets........................................ 1.85% 2.12%*
Portfolio turnover............................. 16.73% 3.8%
Total return................................... 21.66% 7.75%
Net assets at end of period (in thousands)..... $48,131 $20,617
</TABLE>
- --------
* Ratios annualized
49
<PAGE>
GROWTH EQUITY FUND:
<TABLE>
<CAPTION>
YEAR ENDED JANUARY 2, 1992
DECEMBER 31, (COMMENCEMENT OF
-------------------------------------- OPERATIONS) TO
1996 1995 1994 1993 DECEMBER 31,1992
-------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ 5.07 $ 3.88 $ 3.48 $ 3.16 $ 3.20
Expenses................ (2.22) (1.88) (1.60) (1.52) (1.45)
-------- -------- -------- -------- --------
Net investment income... 2.85 2.00 1.88 1.64 1.75
Net realized and
unrealized gain
investments............ 46.14 57.72 .61 12.99 3.00
-------- -------- -------- -------- --------
Net increase in unit
value.................. 48.99 59.72 2.49 14.63 4.75
Net asset value at
beginning of period.... 229.27 169.55 167.06 $ 152.43 $ 147.68
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 278.26 $229.27 $ 169.55 $ 167.06 $ 152.43
======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .88% .92% .95% .96% 1.01%
Ratio of net investment
income to average net
assets................. 1.13% .98% 1.12% 1.03% 1.22%
Portfolio turnover...... 63.70% 60.38% 58.78% 81.50% 46.26%
Total return............ 21.37% 35.23% 1.49% 9.60% 3.22%
Net assets at end of
period (in thousands).. $752,798 $637,834 $479,435 $471,398 $427,933
</TABLE>
INDEX EQUITY FUND:*
<TABLE>
<CAPTION>
YEAR ENDED APRIL 30, 1994
DECEMBER 31, (COMMENCEMENT OF
---------------- OPERATIONS) TO
1996 1995 DECEMBER 31, 1994
------- ------- -----------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income......................... $ .28 $ .02 $ --
Expenses.................................. (.11) (.08) (.04)
------- ------- -------
Net investment income (loss).............. .17 (.06) (.04)
Net realized and unrealized gain invest-
ments.................................... 2.72 3.68 .39
------- ------- -------
Net increase in unit value................ 2.89 3.62 .35
Net asset value at beginning of period.... 13.97 10.35 10.00
------- ------- -------
Net asset value at end of period.......... $ 16.86 $ 13.97 $ 10.35
======= ======= =======
Ratio of expenses to average net assets... .69% .68 % .94%**
Ratio of net investment income to average
net assets............................... 1.15% (.52)% .94%**
Portfolio turnover***..................... 17.48% 131.73 % 53.55%
Total return.............................. 20.68% 34.98 % 3.50%
Net assets at end of period (in thou-
sands)................................... $82,881 $48,020 $11,662
</TABLE>
- --------
* Commencing September 5, 1995, this Fund was invested to replicate the
Russell 3000 Index. Prior to that date, the Fund was invested to replicate
the S&P 500 Index.
** Ratios annualized.
*** Reflects purchases and sales of units of the collective investment funds in
which the Fund invests rather than the turnover of the underlying
portfolios of such collective investment funds.
50
<PAGE>
AGGRESSIVE EQUITY FUND:
<TABLE>
<CAPTION>
YEAR ENDED JANUARY 2, 1992
DECEMBER 31, (COMMENCEMENT OF
--------------------------------------- OPERATIONS) TO
1996 1995 1994 1993 DECEMBER 31, 1992
-------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ .36 $ .32 $ .28 $ .25 $ .30
Expenses................ (.39) (.32) (.28) (.28) (.26)
-------- -------- -------- -------- --------
Net investment income
(loss)................. (.03) -- -- (.03) .04
Net realized and
unrealized gain (loss)
investments............ 7.47 7.81 (1.00) 3.60 1.43
-------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 7.44 7.81 (1.00) 3.57 1.47
Net asset value at be-
ginning of period...... 33.57 25.76 26.76 $ 23.19 $ 21.72
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 41.01 $ 33.57 $ 25.76 $ 26.76 $ 23.19
======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.04% 1.10% 1.10% 1.15% 1.25%
Ratio of net investment
income to average net
assets................. (.06)% .01% .02% (.12)% .17%
Portfolio turnover...... 48% 63% 48% 42% 43%
Total return............ 22.16% 30.32% (3.74)% 15.39% 6.77%
Net assets at end of
period (in thousands).. $275,915 $214,539 $163,678 $153,465 $116,426
</TABLE>
INTERNATIONAL EQUITY FUND:
<TABLE>
<CAPTION>
SEPTEMBER 5, 1995
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
1996 DECEMBER 31, 1995
------------ -----------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income.............................. $ .70 $ .49
Expenses....................................... (.10) (.03)
------- -------
Net investment income.......................... .60 .46
Net realized and unrealized gain (loss) on in-
vestments..................................... 1.83 (.09)
------- -------
Net increase................................... 2.43 .37
Net asset value at beginning of period......... 15.37 15.00
------- -------
Net asset value at end of period............... $ 17.80 $ 15.37
======= =======
Ratio of expenses to average net assets........ .59% .57%*
Ratio of net investment income to average net
assets........................................ 3.58% 9.2%*
Portfolio turnover**........................... 73.42% 3.51%
Total return................................... 15.81% 2.47%
Net assets at end of period (in thousands)..... $33,268 $10,849
</TABLE>
- --------
* Ratios annualized.
** Reflects purchases and sales of shares of the registered investment company
in which the Fund invests rather than turnover of the underlying portfolio
of the registered investment company.
51
<PAGE>
STRUCTURED PORTFOLIO SERVICE--CONSERVATIVE PORTFOLIO
<TABLE>
<CAPTION>
SEPTEMBER 5, 1995
YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, OPERATIONS)
1996 TO DECEMBER 31, 1995
------------ --------------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED
Investment income........................... $ -- $ .001
Expenses.................................... (.01) (.003)
------- ------
Net investment loss......................... (.01) (.002)
Net realized and unrealized gain on invest-
ments...................................... 1.00 .472
------- ------
Net increase................................ .99 .47
Net asset value at beginning of period...... 10.47 10.00
------- ------
Net asset value at end of period............ $ 11.46 $10.47
======= ======
Ratio of expenses to average net assets..... .10% .09%*
Ratio of net investment loss to average net
assets..................................... (.10)% (.06)%*
Portfolio turnover**........................ 34.18% 2.53%
Total return................................ 9.46% 4.7%
Net assets at end of period (in thousands).. $11,201 $5,372
</TABLE>
STRUCTURED PORTFOLIO SERVICE--MODERATE PORTFOLIO
<TABLE>
<CAPTION>
SEPTEMBER 5, 1995
YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, OPERATIONS)
1996 TO DECEMBER 31, 1995
------------ --------------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED
Investment income........................... $ -- $ .001
Expenses.................................... (.01) (.003)
------- -------
Net investment (loss)....................... (.01) (.002)
Net realized and unrealized gain on invest-
ments...................................... 1.40 .542
------- -------
Net increase................................ 1.39 .54
Net asset value at beginning of period...... 10.54 10.00
------- -------
Net asset value at end of period............ $ 11.93 $ 10.54
======= =======
Ratio of expenses to average net assets..... .10% .09%*
Ratio of net investment loss to average net
assets..................................... (.10)% (.06)%*
Portfolio turnover**........................ 26.97% 3.57%
Total return................................ 13.19% 5.4%
Net assets at end of period (in thousands).. $32,617 $12,379
</TABLE>
- --------
* Ratios annualized.
** Reflects purchases and sales of units of the Funds in which the Portfolios
invest rather than the turnover of such underlying Funds.
52
<PAGE>
STRUCTURED PORTFOLIO SERVICE--AGGRESSIVE PORTFOLIO
<TABLE>
<CAPTION>
SEPTEMBER 5, 1995
YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, OPERATIONS)
1996 TO DECEMBER 31, 1995
------------ --------------------
<S> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED
Investment income........................... $ -- $ .001
Expenses.................................... (.01) (.003)
------- ------
Net investment loss......................... (.01) (.002)
Net realized and unrealized gain on invest-
ments...................................... 1.85 .572
------- ------
Net increase................................ 1.84 .57
Net asset value at beginning of period...... 10.57 10.00
------- ------
Net asset value at end of period............ $ 12.41 $10.57
======= ======
Ratio of expenses to average net assets..... .10% .09%*
Ratio of net investment loss to average net
assets..................................... (.10)% (.06)%*
Portfolio turnover**........................ 27.95% 2.71%
Total return................................ 17.41% 5.7%
Net assets at end of period (in thousands).. $25,558 $9,999
</TABLE>
- --------
* Ratios annualized.
** Reflects purchases and sales of units of the Funds in which the Portfolios
invest rather than turnover of such underlying Funds.
53
<PAGE>
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
Aggressive Equity Fund
The Aggressive Equity Fund invests primarily in common stocks and equity-type
securities. It may also invest in preferred stocks and convertible debt
instruments and non-equity securities, including investment grade bonds,
debentures and high quality money market instruments of the same types as those
in which the Stable Asset Return Fund may invest, when deemed appropriate by
State Street in light of economic and market conditions. The Aggressive Equity
Fund seeks to achieve, over an extended period of time, total returns that are
comparable to or superior to those attained by the broad measures of the
domestic stock market. For the year ended December 31, 1996 the Aggressive
Equity Fund experienced a total return net of expenses (including a trust
management fee, a program expense fee, investment advisory fees, organizational
fees and maintenance fees, collectively "Expenses") of 22.16%. By comparison,
the Russell 2000 Index produced a return of 16.49 % for the same period. The
Russell 2000 Index does not include any allowance for the fees that an investor
would pay for investing in the stocks that comprise the index.
U.S. equity performance remained very strong during 1996. Continued moderate
growth and low inflation created a positive environment for financial assets in
general.
Some of the sectors in the Aggressive Equity Fund which produced strong
positive returns were in technology, health care, banks, energy stocks and
consumer non-durables. Weaker areas in terms of return in the portfolio
included leisure and tourism, basic materials, and business services.
Balanced Fund
The Balanced Fund invests in publicly traded common stocks, other equity-type
securities, long-term debt securities (including bonds, notes, debentures and
equipment trust certificates) and money market instruments. The Balanced Fund
seeks to achieve, over an extended period of time, total returns comparable to
or superior to an appropriate combination of broad measures of the domestic
stock and bond markets. For the year ended December 31, 1996, the Balanced Fund
experienced a total return, net of Expenses, of 14.84%. For the same period, a
combination of the Russell 1000 Index and the Lehman Brothers Aggregate Bond
Index (the "LB Bond Index"), weighted 60%/40%, respectively, produced a return
of 14.91%. The Russell 1000 Index and the LB Bond Index do not include any
allowance for the fees that an investor would pay for investing in the
securities that comprise those indicies.
1996 was another strong year for the stock market, following an even stronger
1995. Large capitalization issues strongly outperformed mid and small-cap
stocks, but all returns were well above long-term historical averages. The
fixed income markets provided positive returns, but these returns were
generally lower than the return on equities.
Some of the most heavily weighted industry sectors in the equity portion of
the Balanced Fund were consumer goods, health care, technology, and financial
services. The fixed income segment was heavily invested in mortgage-related
issues, U.S. Treasuries and long-term corporate bonds.
Growth Equity Fund
The Growth Equity Fund invests primarily in common stocks and other equity-
type securities issued by large, well-established companies. The Growth Equity
Fund seeks to achieve long-term growth of capital through increases in the
value of the securities it holds and to realize income principally from
dividends on such securities. The Growth Equity Fund seeks to achieve, over an
extended period of time, total returns that are comparable to or superior to
those attained by broad measures of the domestic stock market. For the year
ended December 31, 1996, the Growth Equity Fund experienced a total return, net
of Expenses, of 21.37%. By comparison, the Russell 1000 Index produced a return
of 22.45% for the same period.
54
<PAGE>
1996 was another strong year for U.S. equities, with the stock market running
at a record fifteen-year annualized return. Growth and value stocks experienced
comparable returns in 1996 in most capitalization ranges.
Some of the most positively impacted sectors in the Growth Equity Fund were
banks, financial services, and energy holdings. Weaker areas in terms of return
were media stocks, business services, and health care.
Index Equity Fund
The Index Equity Fund invests in common stocks of U.S. companies that are
included in the Russell 3000 Index, with the overall objective of achieving
long-term growth of capital. The Russell 3000 Index represents approximately
98% of the U.S. equity market based on the market capitalization of the
companies in the Russell 3000 Index. The Index Equity Fund invests in common
stocks included in the Russell 3000 Index by fully replicating the S&P 500
Index and the Russell Special Small Company Index, which is comprised of
approximately 2,500 stocks. The securities in these two indices represent the
universe of securities contained in the Russell 3000 Index.
The Index Equity Fund produced a total return, net of Expenses, for the year
ended December 31, 1996 of 20.68%. By comparison, the Russell 3000 Index
produced a return of 21.82% for the same period. The Russell 3000 Index does
not include any allowance for the fees that an investor would pay for investing
in the stocks that comprise the index.
Intermediate Bond Fund
The Intermediate Bond Fund's investment objective is to achieve a total
return from current income and capital appreciation by investing primarily in a
diversified portfolio of fixed-income securities. A portion of the Intermediate
Bond Fund (approximately two-thirds) is to be actively managed, investing in
fixed income securities with a portfolio duration generally from 3 to 6 years.
The other portion of the Intermediate Bond Fund--the index portion--is to be
invested to replicate the LB Bond Index, which is composed of approximately
5,000 issues of fixed-income securities, including U.S. Government Obligations
and investment grade corporate bonds, each with an outstanding market value of
at least $25 million and remaining maturity of greater than one year.
Until the Intermediate Bond Fund reaches its minimum level of contributions
to be invested in both the actively managed and index portion of the fund ($75
million and $200 million, respectively), two-thirds of all contributions will
be invested in the PIMCO Total Return Fund and the remaining one-third will be
invested in the Masterworks Funds Bond Index Fund, formerly known as the
Stagecoach Inc. Bond Index Fund.
For the year ended December 31, 1996, the Intermediate Bond Fund experienced
a total return, net of Expenses, of 2.93%. As a comparison, a combination of
the Lehman Brothers Government/ Corporate Bond Index and the LB Bond Index,
weighted 50%/50%, respectively, produced a return for the year of 1996 of
3.26%. In the U.S. fixed income market, fears in the first half of the year
that a stronger than expected economy would lead the Federal Reserve Board to
raise short-term interest rates resulted in a sell-off. While those fears
subsided in the second half, returns for the entire year were modest.
International Equity Fund
The International Equity Fund's investment objective is to seek long-term
growth of capital through investing primarily in common stocks of established
non-U.S. companies. The Fund intends to diversify investments broadly among
developed, newly industrialized and emerging countries of the Far East and
55
<PAGE>
Europe, as well as in South Africa, Australia, Canada, Latin America and other
areas. The International Equity Fund will seek to achieve, over an extended
period of time, total returns comparable to or superior to broad measures of
the international (non-U.S.) stock market.
Until the International Equity Fund reaches a sufficient asset level to meet
its investment objective, which State Street currently expects to be
approximately $75 to $100 million (an increase from an original estimate of $25
million), all contributions to the fund will be invested in the T. Rowe Price
International Stock Fund.
For the year ended December 31, 1996, the International Fund experienced a
total return, net of Expenses, of 15.81%. For the same period, the total return
of Morgan Stanley EAFE (Europe, Australia, Far East) Index (the "EAFE Index")
was 6.05%. The EAFE Index does not include any allowance for the fees that an
investor would pay for investing in the securities that comprise the index. In
the aggregate, the EAFE markets underperformed the U.S. market as investors
worried that slower economic growth might derail the recovery in corporate
earnings. A stronger dollar reduced both international equity and international
fixed income returns for U.S. investors.
Stable Asset Return Fund
The Stable Asset Return Fund invests primarily in investment contracts issued
by insurance companies, funding agreements issued by insurance companies, banks
or other financial institutions or investment contracts or longer-term
certificates of deposit issued by domestic and foreign banks or trust
companies. The Stable Asset Return Fund also invests in high quality money
market instruments, including obligations of the United States government,
notes, bonds and similar debt instruments of corporations, commercial paper,
certificates of deposit and time deposits, bankers' acceptances, variable and
indexed interest notes and repurchase agreements.
For the year ended December 31, 1996, the Stable Asset Fund produced a yield,
net of Expenses, of 5.28%. By comparison, the Donoghue Money Market Average
"Tier One" (the "Donoghue Average") for the year of 1996 yielded 4.89%. The
Fund's strong performance relative to the Donoghue Average is partly
attributable to the longer average maturity of the Fund's investment portfolio.
Value Equity Fund
The Value Equity Fund seeks to outperform, over extended periods of time,
broad measures of the domestic stock market. The Value Equity Fund invests
primarily in common stocks of companies that State Street and its investment
advisor consider undervalued.
For the year ended December 31, 1996, the Value Equity Fund experienced a
total return, net of Expenses, of 21.66%. The S&P 500 Index produced a return
of 23.07% for 1996. The U.S. equity market continued to make strong gains in
1996, buoyed by the continuation of moderate economic growth, low inflation,
and increases in corporate profits.
Some of the more heavily weighted sectors in the Value Equity Fund are
finance, consumer basics and utilities. Weaker areas in terms of return in the
portfolio included utilities and media companies.
Structured Portfolio Service
The portfolios of the Structured Portfolio Service invest in the Funds
described above according to conservative, moderate and aggressive portfolio
allocations. Funds in the Conservative Portfolio are allocated as follows:
Stable Asset Return Fund, 30%; Intermediate Bond Fund 35%; Value Equity Fund,
7%; Growth Equity Fund, 7%; Index Equity Fund, 14%; and International Equity
Fund, 7%. Funds in the Moderate Portfolio are allocated as follows: Stable
Asset Return Fund, 10%; Intermediate Bond
56
<PAGE>
Fund, 30%; Value Equity Fund, 11%; Growth Equity Fund, 11%; Index Equity Fund,
23%; and International Equity Fund, 15%. Funds in the Aggressive Portfolio are
allocated as follows: Intermediate Bond Fund, 15%; Value Equity Fund, 15%;
Growth Equity Fund, 15%; Index Equity Fund, 30%; Aggressive Equity Fund, 5%;
and International Equity Fund, 20%.
For the year ended December 31, 1996, the structured portfolio service
experienced a total return, net of Expenses, of 9.46% for the Conservative
Portfolio, 13.19% for the Moderate Portfolio, and 17.41% for the Aggressive
Portfolio.
57
<PAGE>
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
INDEX TO FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
PAGE(S)
-------
<S> <C>
Report of Independent Accountants....................................... 60
Financial Statements:
AGGRESSIVE EQUITY FUND
Statement of Assets and Liabilities................................... 61
Statement of Operations............................................... 62
Statement of Changes in Net Assets.................................... 63
Selected Per-Unit Data and Ratios..................................... 64
Schedule of Investments............................................... 65
BALANCED FUND
Statement of Assets and Liabilities................................... 74
Statement of Operations............................................... 75
Statement of Changes in Net Assets.................................... 76
Selected Per-Unit Data and Ratios..................................... 77
Schedule of Investments............................................... 78
GROWTH EQUITY FUND
Statement of Assets and Liabilities................................... 93
Statement of Operations............................................... 94
Statement of Changes in Net Assets.................................... 95
Selected Per-Unit Data and Ratios..................................... 96
Schedule of Investments............................................... 97
STABLE ASSET RETURN FUND
Statement of Assets and Liabilities................................... 106
Statement of Operations............................................... 107
Statement of Changes in Net Assets.................................... 108
Selected Per-Unit Data and Ratios..................................... 109
Schedule of Investments............................................... 110
INDEX EQUITY FUND
Statement of Assets and Liabilities................................... 112
Statement of Operations............................................... 113
Statement of Changes in Net Assets.................................... 114
Selected Per-Unit Data and Ratios..................................... 115
INTERMEDIATE BOND FUND
Statement of Assets and Liabilities................................... 116
Statement of Operations............................................... 117
Statement of Changes in Net Assets.................................... 118
Selected Per-Unit Data and Ratios..................................... 119
INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities................................... 120
Statement of Operations............................................... 121
Statement of Changes in Net Assets.................................... 122
Selected Per-Unit Data and Ratios..................................... 123
VALUE EQUITY FUND
Statement of Assets and Liabilities................................... 124
Statement of Operations............................................... 125
Statement of Changes in Net Assets.................................... 126
</TABLE>
58
<PAGE>
INDEX TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
PAGE(S)
-------
<S> <C>
Selected Per-Unit Data and Ratios..................................... 127
Schedule of Investments............................................... 128
STRUCTURED PORTFOLIO SERVICE
(CONSERVATIVE, MODERATE, AGGRESSIVE)
Statement of Assets and Liabilities................................... 137
Statement of Operations............................................... 138
Statement of Changes in Net Assets.................................... 139
Selected Per-Unit Data and Ratios..................................... 141
Notes to Financial Statements......................................... 143
</TABLE>
59
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustee and Unitholders of theAmerican Bar Association Members/State
Street Collective Trust
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the selected per-unit data and
ratios present fairly, in all material respects, the financial position of the
Aggressive Equity Fund, Balanced Fund, Growth Equity Fund, Stable Asset Return
Fund, Index Equity Fund, Intermediate Bond Fund, International Equity Fund,
Value Equity Fund, Conservative Structured Portfolio Service, Moderate
Structured Portfolio Service and Aggressive Structured Portfolio Service
constituting the American Bar Association Members/State Street Collective Trust
(hereafter referred to as the "Trust") at December 31, 1996, and the results of
each of their operations, the changes in each of their net assets and the
selected per-unit data and ratios for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
selected per-unit data and ratios (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1996 by correspondence with the custodian and
brokers and the application of alternative procedures where confirmations from
brokers were not received, provide a reasonable basis for the opinion expressed
above.
Price Waterhouse LLP
Boston, Massachusetts
March 13, 1997
60
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $210,446,953)......................... $276,817,407
Cash.............................................................. 506
Receivable for investments sold................................... 708,938
Dividends and interest receivable................................. 207,092
Unamortized organizational costs.................................. 130,150
------------
Total Assets.................................................... 277,864,093
------------
LIABILITIES
Payable for investments purchased................................. 1,483,352
Payable for fund units redeemed................................... 61,261
Investment advisory fee payable................................... 283,259
State Street Bank and Trust Co.--program fee payable.............. 86,368
Trustee, management and administration fees payable............... 17,897
American Bar Retirement Association--program fee payable.......... 13,220
Other accruals.................................................... 3,268
------------
Total Liabilities............................................... 1,948,625
------------
NET ASSETS (equivalent to $41.01 per unit based on 6,727,703 units
outstanding)..................................................... $275,915,468
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
61
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $787)................... $ 1,506,725
Interest......................................................... 900,043
-----------
Total investment income........................................ 2,406,768
-----------
Expenses
Investment advisory fee.......................................... 1,123,524
State Street Bank and Trust Co.--program fee..................... 935,218
Trustee, management and administration fees...................... 195,990
American Bar Retirement Association--program fee................. 137,248
Amortization of organization costs............................... 92,875
Reports to unitholders........................................... 22,678
Legal and audit fees............................................. 59,699
-----------
Total expenses................................................. 2,567,232
-----------
Net investment loss................................................ (160,464)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 24,233,418
Change in net unrealized appreciation............................ 24,880,200
-----------
Net realized and unrealized gain on investments................ 49,113,618
-----------
Net increase in net assets resulting from operations............... $48,953,154
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
62
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
--------------------------
1996 1995
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income (loss)..................... $ (160,464) $ 21,542
Net realized gain on investments................. 24,233,418 24,251,662
Net change in unrealized appreciation on invest-
ments........................................... 24,880,200 25,668,269
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 48,953,154 49,941,473
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued....................... 35,023,922 22,582,789
Cost of units redeemed........................... (22,600,318) (21,663,086)
------------ ------------
Net increase in net assets resulting from
unitholder transactions......................... 12,423,604 919,703
------------ ------------
Net increase in net assets..................... 61,376,758 50,861,176
NET ASSETS
Beginning of year................................ 214,538,710 163,677,534
------------ ------------
End of year...................................... $275,915,468 $214,538,710
============ ============
NUMBER OF UNITS
Outstanding--beginning of year................... 6,390,559 6,352,921
Sold........................................... 937,668 762,699
Redeemed....................................... (600,524) (725,061)
------------ ------------
Outstanding--end of year......................... 6,727,703 6,390,559
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
63
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS)
----------------------------------------- TO DECEMBER 31,
1996 1995 1994 1993 1992
-------- -------- -------- -------- ---------------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .36 $ .32 $ .28 $ .25 $ .30
Expenses................ (.39) (.32) (.28) (.28) (.26)
-------- -------- -------- -------- --------
Net investment income
(loss)................. (.03) -- -- (.03) .04
Net realized and
unrealized gain (loss)
on investments......... 7.47 7.81 (1.00) 3.60 1.43
-------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 7.44 7.81 (1.00) 3.57 1.47
Net asset value at
beginning of period.... 33.57 25.76 26.76 23.19 21.72
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 41.01 $ 33.57 $ 25.76 $ 26.76 $ 23.19
======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.04 % 1.10 % 1.10 % 1.15 % 1.25 %
Ratio of net investment
income (loss) to aver-
age net assets......... (.06)% .01 % .02 % (.12)% .17 %
Portfolio turnover...... 48 % 63 % 48 % 42 % 43 %
Total return............ 22.16 % 30.32 % (3.74)% 15.39 % 6.77 %
Net assets at end of
period (in thousands).. $275,915 $214,539 $163,678 $153,465 $116,426
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
The accompanying notes are an integral part of these financial statements.
64
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (95.6%)
BASIC INDUSTRIES (3.0%)
CHEMICALS
IMC Global Inc. ....................................... 33,500 $ 1,310,688
OM Group Inc. ......................................... 42,000 1,134,000
R.P.M. Inc. Ohio....................................... 74,875 1,272,875
Scotts Co.*............................................ 40,000 795,000
Valspar Corp. ......................................... 18,000 1,019,250
------------
5,531,813
------------
MINING
Oil Dri Corp. Amer. ................................... 32,000 480,000
Pittston Co. .......................................... 50,000 1,000,000
------------
1,480,000
------------
PAPER
Pentair Inc. .......................................... 41,500 1,338,375
------------
TOTAL BASIC INDUSTRIES................................. 8,350,188
------------
CAPITAL GOODS (4.6%)
AGRICULTURAL MACHINERY
Lindsay Mfg Co. ....................................... 28,650 1,339,388
------------
ELECTRICAL EQUIPMENT
ASM Lithography Hldg*.................................. 30,000 1,494,375
Novellus Sys Inc.*..................................... 37,000 2,004,938
------------
3,499,313
------------
INDUSTRIAL MACHINERY
Crane Co. ............................................. 69,900 2,027,100
Integrated Process Equip Corp.*........................ 45,000 810,000
NN Ball & Roller Inc. ................................. 51,700 788,425
Silicon Vy Group Inc.*................................. 75,000 1,509,375
------------
5,134,900
------------
POLLUTION CONTROL
Air & Water Tech Corp., Class A*....................... 86,200 495,650
USA Waste Svcs Inc.*................................... 30,400 969,000
Waste Mgmt Int'l. PLC ADR***........................... 150,900 1,188,338
------------
2,652,988
------------
TOTAL CAPITAL GOODS.................................... 12,626,589
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
65
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
CONSUMER BASICS (9.7%)
DRUGS AND HEALTH CARE
Apria Healthcare Group Inc.*........................... 30,000 $ 562,500
Biogen Inc.*........................................... 83,000 3,216,250
Cardiac Pathways Corp.*................................ 8,000 95,000
Cephalon Inc.*......................................... 86,000 1,763,000
Elan PLC ADR***........................................ 102,000 3,391,500
FHP International Corp.*............................... 7,200 267,300
Gilead Sciences Inc.*.................................. 56,500 1,412,500
Healthsouth Corp.*..................................... 113,000 4,364,625
Immune Response Corp. Del.*............................ 137,700 1,136,025
Millenium Pharmaceuticals Inc.*........................ 26,600 462,175
Oxford Health Plans Inc.*.............................. 91,000 5,329,188
Physio Control Int'l. Corp.*........................... 54,700 1,230,750
Ultratech Stepper Inc.*................................ 59,800 1,420,250
------------
24,651,063
------------
FOOD AND BEVERAGES
Ben & Jerry's Homemade Inc.*........................... 50,000 543,750
Thorn Apple Vy Inc.*................................... 60,000 795,000
------------
1,338,750
------------
MISCELLANEOUS
Urocor Inc.*........................................... 79,000 755,438
------------
TOTAL CONSUMER BASICS.................................. 26,745,251
------------
CONSUMER DURABLE GOODS (3.6%)
AUTO PARTS
Standard Prods Co. .................................... 34,400 877,200
Walbro Corp. .......................................... 42,000 766,500
------------
1,643,700
------------
AUTOMOBILES
Harley Davidson Inc. .................................. 60,500 2,843,500
United Auto Group Inc.*................................ 28,700 739,025
------------
3,582,525
------------
HOUSEHOLD APPLIANCES AND FURNISHINGS
Harman Int'l. Inds Inc. New............................ 20,000 1,112,500
Libbey Inc. ........................................... 56,000 1,561,000
Williams Sonoma Inc.*.................................. 25,000 909,375
------------
3,582,875
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
66
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TIRES AND RUBBER
Bandag Inc. ........................................... 23,000 $ 1,089,625
------------
TOTAL CONSUMER DURABLE GOODS........................... 9,898,725
------------
CONSUMER NON-DURABLE GOODS (6.0%)
APPAREL AND TEXTILES
Donna Karan Int'l. Inc.*............................... 49,700 702,013
Jones Apparel Group Inc.*.............................. 28,000 1,046,500
------------
1,748,513
------------
COSMETICS AND TOILETRIES
Lauder Estee Cos. Inc., Class A........................ 40,000 2,035,000
Paragon Trade Brands Inc.*............................. 39,900 1,197,000
------------
3,232,000
------------
RETAIL TRADE
Cole Nat'l Corp., Class A*............................. 28,000 735,000
Kohls Corp.*........................................... 73,000 2,865,250
Micro Whse Inc.*....................................... 36,000 423,000
Nine West Group Inc.*.................................. 14,100 653,888
Peoplesoft Inc.*....................................... 96,000 4,602,000
Petsmart Inc.*......................................... 54,000 1,181,250
Spiegel Inc., Class A.................................. 100,000 706,250
------------
11,166,638
------------
TOYS, AMUSEMENTS, SPORTING GOODS
Coleman Co. Inc.*...................................... 33,600 462,000
------------
TOTAL CONSUMER NON-DURABLES............................ 16,609,151
------------
CONSUMER SERVICES (2.7%)
AIR TRAVEL
Continental Airls Inc., Class B*....................... 55,000 1,553,750
------------
HOTELS AND RESTAURANTS
Buffets Inc.*.......................................... 93,000 848,625
Foodmaker Inc.*........................................ 83,000 736,625
Promus Hotel Corp.*.................................... 46,100 1,365,713
Rio Hotel & Casino Inc.*............................... 87,000 1,272,375
Ruby Tuesday Inc.*..................................... 28,200 521,700
Sizzler Int'l. Inc.*................................... 69,500 199,813
------------
4,944,851
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
67
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
LEISURE TIME
Cannondale Corp.*...................................... 34,000 $ 765,000
Casino America Inc.*................................... 54,400 173,400
------------
938,400
------------
TOTAL CONSUMER SERVICES................................ 7,437,001
------------
ENERGY (7.2%)
DOMESTIC OIL
Noble Affiliates Inc. ................................. 58,000 2,776,750
------------
GAS EXPLORATION
Energen Corp. ......................................... 37,500 1,134,375
Triton Energy Ltd., Class A*........................... 30,500 1,479,250
Vintage Petroleum Inc. ................................ 37,800 1,304,100
------------
3,917,725
------------
PETROLEUM SERVICES
Camco Int'l. Inc. ..................................... 85,700 3,952,913
Coflexip ADR**......................................... 34,236 898,695
Global Marine Inc. New*................................ 85,300 1,759,313
Parker & Parsley Petroleum Co. ........................ 126,500 4,648,875
Petroleum Geo Svcs As ADR***........................... 47,500 1,852,500
------------
13,112,296
------------
TOTAL ENERGY........................................... 19,806,771
------------
FINANCE (13.7%)
BANKS
Central Fid Bks Inc. .................................. 52,500 1,351,875
Charter One Finl Inc................................... 42,250 1,774,500
Coast Svgs Finl Inc.*.................................. 30,000 1,098,750
Commerce Bancshares Inc................................ 17,850 825,563
First Amern Corp. Tenn*................................ 7,500 432,188
First Rep BanCorp. Inc.*............................... 50,923 852,960
Hibernia Corp., Class A................................ 50,000 662,500
TCF Financial Corp..................................... 114,500 4,980,750
------------
11,979,086
------------
FINANCIAL SERVICES
APS Hldg Corp., Class A*............................... 27,600 427,800
Green Tree Finl Corp................................... 42,700 1,649,288
Jefferies Group Inc. .................................. 25,000 1,009,375
Keystone Finl Inc...................................... 34,500 862,500
------------
3,948,963
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
68
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
INSURANCE
ACE Ltd. .............................................. 39,500 $ 2,374,938
Blanch E W Hldgs Inc. ................................. 13,100 263,638
First American Finl Corp. ............................. 30,000 1,233,750
Harleysville Group Inc. ............................... 30,000 915,000
Mgic Invt Corp. Wis.................................... 55,000 4,180,000
Mercury Gen Corp. New.................................. 89,500 4,698,750
Nac Re Corp.*.......................................... 6,000 203,250
Nymagic Inc. .......................................... 25,000 450,000
------------
14,319,326
------------
INVESTMENT ADVISORS
CMAC Investment Corp. ................................. 44,800 1,646,400
Price T Rowe & Assoc Inc. ............................. 120,500 5,241,750
------------
6,888,150
------------
SAVINGS AND LOAN
First Finl Corp. Inc................................... 31,750 777,875
------------
TOTAL FINANCE.......................................... 37,913,400
------------
GENERAL BUSINESS (12.5%)
BROADCASTING
Comcast Corp., Class A................................. 40,539 722,101
Cox Radio Inc., Class A*............................... 45,000 787,500
Gaylord Entmt Co., Class A............................. 45,352 1,037,427
Global Star Telecom*................................... 36,200 2,280,600
Infinity Broadcasting Corp.*........................... 71,062 2,389,460
Macromedia Inc.*....................................... 49,000 882,000
Spelling Entmt Group Inc.*............................. 55,000 405,625
Westwood One Inc.*..................................... 62,000 1,030,750
------------
9,535,463
------------
BUSINESS SERVICES
Acclaim Entertainment Inc.*............................ 118,100 383,825
Accustaff Inc.*........................................ 26,775 565,622
Corestaff Inc.*........................................ 55,000 1,302,813
Fiserv Inc. ........................................... 83,100 3,053,925
Interim Svcs Inc.*..................................... 21,000 745,500
Jacobs Energy Group Inc.*.............................. 30,000 708,750
Legato Systems Inc.*................................... 21,000 685,125
Loewen Group Inc. ..................................... 58,000 2,269,250
National Data Corp. ................................... 28,500 1,239,750
Paychex Inc. .......................................... 48,000 2,469,000
Stewart Enterprises Inc., Class A...................... 91,000 3,094,000
Team Rent Group Inc.*.................................. 32,000 516,000
------------
17,033,560
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
69
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PUBLISHING
Hollinger International Inc., Class A.................. 65,500 $ 753,250
Pulitzer Pubg Co....................................... 17,000 788,375
Quebecor Prtg Inc. .................................... 74,200 1,298,500
Topps Inc.*............................................ 162,200 648,800
------------
3,488,925
------------
TELECOMMUNICATIONS SERVICES
Comstat Corp. ......................................... 64,000 1,576,000
Netcom Online Communications*.......................... 20,000 260,000
Paging Network Inc.*................................... 87,800 1,338,950
Premisys Communications Inc.*.......................... 18,000 607,500
Vanguard Cellular Sys Inc., Class A*................... 37,900 596,925
------------
4,379,375
------------
TOTAL GENERAL BUSINESS................................. 34,437,323
------------
MISCELLANEOUS (7.0%)
CONGLOMERATES
Chris Craft Inds. Inc.*................................ 23,000 963,125
U S Inds Inc., New*.................................... 45,300 1,557,188
------------
2,520,313
------------
MISCELLANEOUS
Alyn Corp.*............................................ 45,000 489,375
Cymer Inc.*............................................ 40,000 1,925,000
Dendrite Int'l. Inc.*.................................. 97,600 805,200
Depuy Inc.*............................................ 40,000 810,000
Everest Reinsurance Hldgs.............................. 29,000 833,750
Mark Bros. Jewelers Inc.*.............................. 50,000 581,250
Martin Marietta Matls Inc. ............................ 56,000 1,302,000
Moneygram Pmt Sys Inc.*................................ 28,300 374,975
Mondavi Robert Corp., Class A*......................... 16,500 602,250
PFF BanCorp. Inc.*..................................... 70,000 1,041,250
Polymer Group Inc.*.................................... 48,000 666,000
Scripps Howard Inc., Class A........................... 20,000 700,000
Superior Tele Com Inc.*................................ 38,000 774,250
TMP Worldwide Inc.*.................................... 65,000 828,750
TAG Heuer Int'l. Sa ADR* **............................ 31,000 499,875
Transocean Offshore Inc................................ 37,800 2,367,225
------------
14,601,150
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
70
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
REAL ESTATE
Brooks Fiber Pptys Inc.*............................... 19,300 $ 492,150
Irvine Apt Cmntys Inc. ................................ 37,800 945,000
------------
1,437,150
------------
ROYALTY TRUST
San Juan Basin Rty Tr. ................................ 80,000 660,000
------------
TOTAL MISCELLANEOUS.................................... 19,218,613
------------
SHELTER (0.4%)
CONSTRUCTION MATERIALS
Granite Const. Inc..................................... 60,000 1,140,000
------------
TOTAL SHELTER.......................................... 1,140,000
------------
TECHNOLOGY (21.5%)
AEROSPACE
Computer Sciences Corp.*............................... 17,000 1,396,125
------------
COMPUTERS AND BUSINESS EQUIPMENT
Ceridian Corp.*........................................ 93,800 3,798,900
Indus Group Inc.*...................................... 35,200 906,400
Komag Inc.*............................................ 40,000 1,085,000
Medic Computer Sys Inc.*............................... 62,000 2,499,375
Metromail Corp. New*................................... 16,400 299,300
Stormedia Inc., Class A*............................... 57,000 919,125
Sundstrand Corp. ...................................... 38,500 1,636,250
3Com Corp.*............................................ 58,500 4,292,438
Western Digital Corp.*................................. 10,000 568,750
------------
16,005,538
------------
ELECTRONICS
ADC Telecommunications Inc.*........................... 59,000 1,836,375
Analog Devices Inc.*................................... 123,500 4,183,563
Aspen Technology Inc.*................................. 8,500 682,125
Avid Technology Inc.*.................................. 41,100 426,413
Credence Systems Corp.*................................ 51,000 981,750
Electronics For Imaging Inc.*.......................... 30,000 2,467,500
Etec Sys Inc.*......................................... 37,200 1,422,900
Kulicke & Soffa Inds Inc............................... 85,000 1,615,000
LoJack Corp.*.......................................... 110,000 1,100,000
Octel Communications Corp.*............................ 71,000 1,242,500
Picturetel Corp. New*.................................. 103,500 2,691,000
Teleflex Inc........................................... 22,400 1,167,600
Xilinx Inc.*........................................... 77,000 2,834,563
------------
22,651,289
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
71
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
SOFTWARE
Baan Co. NVF*.......................................... 48,000 $ 1,668,000
Business Objects SA ADR* **............................ 95,000 1,282,500
Cerner Corp.*.......................................... 56,500 875,750
HBO & Co. ............................................. 80,500 4,779,688
HCIA Inc.*............................................. 36,100 1,245,450
Informix Corp.*........................................ 55,500 1,130,813
Intuit Inc.*........................................... 29,000 913,500
Microchip Technology Inc.*............................. 43,000 2,187,625
Parametric Technology Corp.*........................... 101,000 5,188,874
------------
19,272,200
------------
TOTAL TECHNOLOGY....................................... 59,325,152
------------
TRANSPORTATION (2.0%)
RAILROADS AND EQUIPMENT
ABC Rail Prods Corp.*.................................. 51,000 1,013,625
Railtex Inc.*.......................................... 28,000 707,000
------------
1,720,625
------------
TRUCKING AND FREIGHT FORWARDING
Landstar Sys Inc.*..................................... 54,800 1,274,100
Polaris Inds Inc. ..................................... 38,000 902,500
Teekay Shipping Corp. ................................. 29,500 966,125
US Freightways Corp. .................................. 27,000 740,801
------------
3,883,526
------------
TOTAL TRANSPORTATION................................... 5,604,151
------------
UTILITIES (1.7%)
ELECTRONIC UTILITIES
Calenergy Inc.*........................................ 50,000 1,681,250
------------
GAS AND PIPELINE UTILITIES
Enron Global Pwr Pipelines Llc......................... 30,000 810,000
------------
TELEPHONE
Lci International Inc.*................................ 108,500 2,332,750
------------
TOTAL UTILITIES........................................ 4,824,000
------------
TOTAL COMMON STOCKS (Cost $197,580,986)................ 263,936,315
------------
<CAPTION>
PRINCIPAL
----------
<S> <C> <C>
CONVERTIBLE BONDS (COST $275,000) (0.1%)
Trenwick Group Inc. ................................... $ 275,000 290,125
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
72
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
UNITS VALUE
---------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $12,590,967) (4.6%)
State Street Bank Yield Enhanced Short Term Investment
Fund................................................. 12,590,967 $ 12,590,967
------------
TOTAL INVESTMENTS (100.3%) (COST $210,446,953)........ 276,817,407
Other Assets less Liabilities (-0.3%)................. (901,939)
------------
NET ASSETS (100%)..................................... $275,915,468
============
</TABLE>
- --------
* Non-income producing security.
** An American Depository Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
The accompanying notes are an integral part of these financial statements.
73
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $272,594,728)......................... $315,074,250
Cash.............................................................. 32,414
Receivable for investments sold................................... 3,408,893
Receivable for fund units sold.................................... 443,928
Dividends and interest receivable................................. 1,733,590
Unamortized organizational costs.................................. 139,059
Other assets...................................................... 30,377
------------
Total Assets.................................................... 320,862,511
------------
LIABILITIES
Payable for investments purchased................................. 25,098,449
Investment advisory fee payable................................... 229,995
State Street Bank and Trust Co.--program fee payable.............. 93,413
Trustee, management and administration fees payable............... 19,538
American Bar Retirement Association--program fee payable.......... 13,906
Other accruals.................................................... 1,078
Other liabilities................................................. 4,800
------------
Total Liabilities............................................... 25,461,179
------------
NET ASSETS (equivalent to $36.76 per unit based
on 8,036,685 units outstanding).................................. $295,401,332
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
74
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $23,113)................ $ 3,175,652
Interest......................................................... 7,485,491
Other income..................................................... 12,160
-----------
Total investment income........................................ 10,673,303
-----------
Expenses
Investment advisory fee.......................................... 1,054,148
State Street Bank and Trust Company--program fee................. 1,061,817
Trustee, management and administration fees...................... 222,594
American Bar Retirement Association--program fee................. 155,832
Amortization of organization costs............................... 107,401
Reports to unitholders........................................... 23,150
Legal and audit fees............................................. 60,940
-----------
Total expenses................................................. 2,685,882
-----------
Net investment income.............................................. 7,987,421
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 26,015,161
Change in net unrealized appreciation............................ 5,122,866
-----------
Net realized and unrealized gain on investments................ 31,138,027
-----------
Net increase in net assets resulting from operations............... $39,125,448
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
75
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
--------------------------
1996 1995
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income............................ $ 7,987,421 $ 7,226,056
Net realized gain on investments................. 26,015,161 12,645,440
Net change in unrealized appreciation on invest-
ments........................................... 5,122,866 36,248,116
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 39,125,448 56,119,612
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued....................... 19,822,374 32,559,549
Cost of units redeemed........................... (28,072,708) (23,097,710)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... (8,250,334) 9,461,839
------------ ------------
Net increase in net assets..................... 30,875,114 65,581,451
NET ASSETS
Beginning of year................................ 264,526,218 198,944,767
------------ ------------
End of year...................................... $295,401,332 $264,526,218
============ ============
NUMBER OF UNITS
Outstanding--beginning of year................... 8,264,600 7,946,412
Sold........................................... 584,936 1,122,266
Redeemed....................................... (812,851) (804,078)
------------ ------------
Outstanding--end of year......................... 8,036,685 8,264,600
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
76
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout period)*
<TABLE>
<CAPTION>
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS)
-------------------------------------- TO DECEMBER 31,
1996 1995 1994 1993 1992
-------- -------- -------- -------- ---------------
<S> <C> <C> <C> <C> <C>
Investment income....... $ 1.30 $ 1.19 $ 1.08 $ 1.00 $ .89
Expenses................ (.33) (.29) (.26) (.26) (.25)
-------- -------- -------- -------- --------
Net investment income... .97 .90 .82 .74 .64
Net realized and
unrealized gain (loss)
on investments......... 3.78 6.07 (.82) .82 (1.56)
-------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 4.75 6.97 -- 1.56 (.92)
Net asset value at be-
ginning of period...... 32.01 25.04 25.04 23.48 24.40
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 36.76 $ 32.01 $ 25.04 $ 25.04 $ 23.48
======== ======== ======== ======== ========
Ratio of expenses to av-
erage net assets....... .96% 1.00% 1.03% 1.07% 1.10%
Ratio of net investment
income to average net
assets................. 2.85% 3.08% 3.32% 3.05% 2.82%
Portfolio turnover...... 180.67% 154.73% 112.51% 153.14% 119.18%
Total return............ 14.84% 27.84% 0.0% 6.64% (3.77%)
Net assets at end of pe-
riod (in thousands).... $295,401 $264,526 $198,945 $193,362 $167,242
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
The accompanying notes are an integral part of these financial statements.
77
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (57.0%)
BASIC INDUSTRIES (3.8%)
CHEMICALS
Cabot Corp. ........................................... 1,800 $ 45,225
Dow Chem Co. .......................................... 600 47,025
Du Pont EI De Nemours & Co. ........................... 21,200 2,000,750
FMC Corp. New *........................................ 8,800 617,100
Grace W R & Co. ....................................... 36,300 1,878,525
Great Lakes Chemical Corp. ............................ 2,800 130,900
Monsanto Co. .......................................... 80,500 3,129,438
Rhone Poulnec S A ADR**................................ 3,170 107,384
Rohm & Haas Co. ....................................... 1,500 122,438
------------
8,078,785
------------
MINING
Cyprus Amax Minerals Co. .............................. 4,000 93,500
Phelps Dodge Corp. .................................... 6,200 418,500
Potash Corp. Sask Inc. ................................ 400 34,000
------------
546,000
------------
PAPER
Bowater Inc. .......................................... 10,200 383,775
Champion Int'l. Corp. ................................. 9,900 428,175
Kimberly Clark Corp. .................................. 9,836 936,879
------------
1,748,829
------------
PLASTICS
Illinois Tool Wks Inc. ................................ 8,400 670,950
Premark Int'l. Inc. ................................... 3,700 82,325
------------
753,275
------------
TOTAL BASIC INDUSTRIES................................. 11,126,889
------------
CAPITAL GOODS (1.1%)
AGRICULTURAL MACHINERY
Deere & Co. ........................................... 5,700 231,563
------------
CONSTRUCTION AND MINING EQUIPMENT
Caterpillar Inc. ...................................... 1,100 82,775
Harnischfeger Inds Inc. ............................... 2,600 125,125
------------
207,900
------------
ELECTRICAL EQUIPMENT
General Elec Co. ...................................... 5,200 514,150
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
78
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
INDUSTRIAL MACHINERY
Cummins Engine Inc. ................................... 21,200 $ 975,200
Ingersoll Rand Co. .................................... 9,600 427,200
Kennametal Inc. ....................................... 1,300 50,538
Parker Hannifin Corp. ................................. 2,200 85,250
Tecumseh Prods Co., Class A............................ 2,500 143,438
Trinova Corp. ......................................... 17,900 651,113
------------
2,332,739
------------
TOTAL CAPITAL GOODS.................................... 3,286,352
------------
CONSUMER BASICS (17.5%)
DRUGS AND HEALTH CARE
Abbott Labs............................................ 3,200 162,400
American Home Products Corp. .......................... 59,000 3,458,875
Baxter Int'l. Inc. .................................... 10,800 442,800
Becton Dickinson & Co. ................................ 14,200 615,925
Bergen Brunswig Corp., Class A......................... 4,300 122,550
Bristol Myers Squibb Co. .............................. 40,200 4,371,750
Cardinal Health Inc. .................................. 20,999 1,223,163
Columbia / HCA Healthcare Corp. ....................... 15,486 631,055
Foundation Health Corp.*............................... 6,000 190,500
Fresenius Med Care Aktiengesel ADR***.................. 27,900 784,688
Guidant Corp. ......................................... 4,700 267,900
Healthcare Compare Corp.*.............................. 12,500 529,688
Health Mgmt Assoc., Class A*........................... 20,200 454,500
Johnson & Johnson...................................... 43,400 2,159,150
Mallinckrodt Inc. New.................................. 15,900 701,588
Maxicare Health Plans Inc.*............................ 3,100 68,975
Merck & Co. Inc. ...................................... 7,900 626,075
Owen Healthcare Inc.*.................................. 3,500 92,750
Pharmacia & Upjohn Inc. ............................... 22,000 871,750
Pfizer Inc. ........................................... 26,700 2,212,763
Schering Plough Corp. ................................. 6,200 401,450
Smithkline Beecham PLC ADR**........................... 45,900 3,121,200
Tenet Healthcare Corp.*................................ 4,800 105,000
------------
23,616,495
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
79
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FOOD AND BEVERAGE
Archer Daniels Midland Co. ............................ 7,623 $ 167,706
Campbell Soup Co. ..................................... 29,000 2,327,250
Coca Cola Co. ......................................... 79,700 4,194,213
Coca Cola Enterprises Inc. ............................ 5,900 286,150
Conagra Inc. .......................................... 7,400 368,150
IBP Inc. .............................................. 4,000 97,000
Pepsico. Inc. ......................................... 77,000 2,252,250
Unilever N V........................................... 17,200 3,014,300
------------
12,707,019
------------
HOUSEHOLD PRODUCTS
Gillette Co. .......................................... 28,000 2,177,000
Procter & Gamble Co. .................................. 31,700 3,407,750
Tupperware Corp. ...................................... 3,700 198,413
------------
5,783,163
------------
TOBACCO
Philip Morris Cos. Inc. ............................... 70,800 7,973,850
RJR Nabisco Hldgs Corp. New............................ 47,220 1,605,480
------------
9,579,330
------------
TOTAL CONSUMER BASICS.................................. 51,686,007
------------
CONSUMER DURABLE GOODS (1.7%)
AUTO PARTS
Eaton Corp. ........................................... 11,800 823,050
------------
AUTOMOBILES
Chrysler Corp. ........................................ 29,600 976,800
Ford Mtr Co. Del. ..................................... 3,700 117,938
General Mtrs Corp. .................................... 39,100 2,179,825
------------
3,274,563
------------
TIRES AND RUBBER
Goodyear Tire and Rubber............................... 16,300 837,413
------------
TOTAL CONSUMER DURABLE GOODS........................... 4,935,026
------------
CONSUMER NON-DURABLES (3.7%)
APPAREL AND TEXTILES
Gucci Group N V........................................ 7,700 491,838
Springs Inds Inc. ..................................... 4,400 189,200
V F Corp. ............................................. 4,000 270,000
Warnaco Group Inc. .................................... 14,200 420,675
------------
1,371,713
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
80
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PHOTOGRAPHY
Eastman Kodak Co. ..................................... 33,500 $ 2,688,375
------------
RETAIL TRADE
CVS Corp. ............................................. 10,500 434,438
Dillard Dept Stores Inc., Class A...................... 2,200 67,925
Home Depot Inc. ....................................... 14,033 703,404
Lowes Cos Inc. ........................................ 27,600 979,800
May Dept Stores Co. ................................... 26,500 1,238,875
Payless Shoesource Inc.*............................... 9,800 367,500
Pep Boys Manny Moe & Jack.............................. 12,600 387,450
Sears Roebuck & Co. ................................... 32,200 1,485,225
------------
5,664,617
------------
TOYS, AMUSEMENTS, SPORTING GOODS
Mattel Inc. ........................................... 46,700 1,295,925
------------
TOTAL CONSUMER NON-DURABLES............................ 11,020,630
------------
CONSUMER SERVICES (2.5%)
AIR TRAVEL
AMR Corp. Del.*........................................ 12,500 1,101,563
Delta Airlines Inc. Del. .............................. 5,700 403,988
UAL Corp.*............................................. 1,100 68,750
------------
1,574,301
------------
HOTELS AND RESTAURANTS
Boston Chicken Inc.*................................... 6,300 226,013
Brinker Int'l. Inc.*................................... 20,400 326,400
HFS Inc.*.............................................. 27,500 1,643,125
Mirage Resorts Inc.*................................... 13,200 285,450
------------
2,480,988
------------
LEISURE TIME
Carnival Corp., Class A................................ 37,000 1,221,000
Circus Circus Enterprises Inc.*........................ 5,700 195,938
Disney Walt Co. ....................................... 18,300 1,274,138
International Game Technology.......................... 29,200 532,900
------------
3,223,976
------------
TOTAL CONSUMER SERVICES................................ 7,279,265
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
81
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
ENERGY (2.0%)
DOMESTIC OIL
Atlantic Richfield Co. ................................ 800 $ 106,000
Panenergy Corp. ....................................... 1,200 54,000
Phillips Petroleum Co. ................................ 20,600 911,550
Tenneco Inc. New....................................... 7,000 315,875
------------
1,387,425
------------
GAS EXPLORATION
Enron Oil & Gas Co. ................................... 9,500 239,875
Union Pacific Res Group Inc. .......................... 8,711 254,797
------------
494,672
------------
INTERNATIONAL OIL
Amoco Corp. ........................................... 2,400 193,200
British Petroleum PLC ADR**............................ 11,400 1,611,675
Mobil Corp. ........................................... 3,600 440,100
Royal Dutch Petroleum Co. ............................. 3,000 512,250
Texaco Inc. ........................................... 4,800 471,000
YPF Sociedad Anonima ADR**............................. 4,800 121,200
------------
3,349,425
------------
PETROLEUM SERVICES
Mapco. Inc. ........................................... 7,800 265,200
Repsol S A ADR**....................................... 13,600 518,500
------------
783,700
------------
TOTAL ENERGY........................................... 6,015,222
------------
FINANCE (8.2%)
BANKS
Bank New York Inc. .................................... 2,600 87,750
Citicorp............................................... 4,800 494,400
Crestar Finl Corp. .................................... 1,900 141,313
First Chicago Nbd Corp. ............................... 16,590 891,713
First UN Corp. ........................................ 14,265 1,055,610
Mellon Bk Corp. ....................................... 7,100 504,100
Nationsbank Corp. ..................................... 7,300 713,575
Norwest Corp. ......................................... 22,600 983,100
Republic NY Corp. ..................................... 1,100 89,788
Signet Banking Corp. .................................. 7,400 227,550
Wells Fargo & Co. ..................................... 2,700 728,325
------------
5,917,224
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
82
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FINANCIAL SERVICES
Allstate Corp. ........................................ 19,659 $ 1,137,765
American Express Co. .................................. 3,500 197,750
Capital One Finl Corp. ................................ 9,400 338,400
Case Corp. ............................................ 13,600 741,200
Chase Manhattan Corp. New.............................. 33,800 3,016,650
Dean Witter Discover & Co. ............................ 1,400 92,750
Federal Nat'l Mtg Assn ................................ 6,400 238,400
Federal Home Ln Mtg Corp. ............................. 1,700 187,213
Household Int'l. Inc. ................................. 15,700 1,448,325
Reliastar Finl Corp. .................................. 1,300 75,075
Salomon Inc. .......................................... 1,000 47,125
------------
7,520,653
------------
INSURANCE
Ace Ltd. .............................................. 11,400 685,425
Aetna Inc. ............................................ 15,500 1,240,000
American Gen Corp. .................................... 5,700 232,988
American Int'l. Group Inc. ............................ 20,400 2,208,300
Cigna Corp. ........................................... 8,200 1,120,325
Chubb Corp. ........................................... 1,100 59,125
Exel Ltd. ............................................. 16,600 628,725
ITT Hartford Group Inc. ............................... 21,400 1,444,500
Loews Corp. ........................................... 10,600 999,050
Old Rep Int'l Corp. ................................... 2,850 76,238
Providian Corp. ....................................... 5,700 292,838
St Paul Cos Inc. ...................................... 4,000 234,500
Transamerica Corp. .................................... 10,187 804,773
Transatlantic Hldgs Inc. .............................. 900 72,450
------------
10,099,237
------------
INVESTMENT ADVISORS
Bear Stearns Cos Inc. ................................. 9,900 275,963
Lehman Brothers Hldgs Inc. ............................ 9,100 285,513
------------
561,476
------------
SAVINGS AND LOAN
Great Westn Finl Corp. ................................ 3,700 107,300
------------
TOTAL FINANCE.......................................... 24,205,890
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
83
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
GENERAL BUSINESS (3.0%)
BROADCASTING
Clear Channel Communications*.......................... 15,800 $ 570,775
Tele Communications Inc. New*.......................... 32,300 421,919
------------
992,694
------------
BUSINESS SERVICES
Automatic Data Processing Inc. ........................ 64,300 2,756,863
First Data Corp. ...................................... 8,400 306,600
Gtech Hldgs Corp.*..................................... 13,300 425,600
Olsten Corp. .......................................... 2,400 36,300
Sabre Group Hldgs Inc., Class A*....................... 8,000 223,000
Service Corp. Int'l. .................................. 47,400 1,327,200
------------
5,075,563
------------
NEWSPAPERS
Gannett Inc. .......................................... 4,900 366,888
Reuters Hldgs PLC ADR**................................ 7,900 604,350
------------
971,238
------------
OFFICE FURNISHINGS AND SUPPLY
Standard Register...................................... 7,600 247,000
------------
TELECOMMUNICATIONS
Lucent Technologies Inc. .............................. 9,074 419,673
MFS Communications Inc. ............................... 12,900 703,050
Tele Communications Liberty Media Group Inc.*.......... 12,750 364,172
------------
1,486,895
------------
TOTAL GENERAL BUSINESS................................. 8,773,390
------------
MISCELLANEOUS (0.5%)
CONGLOMERATES
Harcourt Gen Inc. ..................................... 7,300 336,713
Textron Inc. .......................................... 8,500 801,125
------------
1,137,838
------------
MISCELLANEOUS
Ultramar Diamond Shamrock.............................. 6,300 199,238
------------
TOTAL MISCELLANEOUS.................................... 1,337,076
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
84
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
TECHNOLOGY (9.3%)
AEROSPACE
Allied Signal Inc. ..................................... 6,200 $ 415,400
Boeing Co. ............................................. 26,200 2,787,025
McDonnell Douglas Corp. ................................ 6,200 396,800
TRW Inc. ............................................... 2,000 99,000
United Technologies Corp. .............................. 13,200 871,200
U.S. Robotics Corp.*.................................... 11,600 835,200
-----------
5,404,625
-----------
COMPUTERS AND BUSINESS EQUIPMENT
Cisco Sys Inc.*......................................... 59,300 3,772,963
Compaq Computer Corp.*.................................. 7,400 549,450
Hewlett Packard Co. .................................... 51,900 2,607,975
International Business Machines......................... 1,800 271,800
Seagate Technology*..................................... 14,600 576,700
Stratus Computer Inc.*.................................. 2,500 68,125
-----------
7,847,013
-----------
ELECTRONICS
Altera Corp.*........................................... 12,900 937,669
Beckman Instrs Inc. New................................. 6,900 264,788
DSC Communications Corp.*............................... 13,800 246,675
Electronic Data Sys Corp. New........................... 18,800 813,100
Honeywell Inc. ......................................... 9,400 618,050
Intel Corp. ............................................ 41,100 5,381,531
Molex Inc., Class A..................................... 10,300 366,938
Raytheon Co. ........................................... 2,600 125,125
Tektronix Inc. ......................................... 2,300 117,875
Xilinx Inc.*............................................ 22,700 835,644
-----------
9,707,395
-----------
SOFTWARE
BMC Software Inc.*...................................... 13,500 558,563
Informix Corp.*......................................... 26,900 548,088
Microsoft Corp.*........................................ 19,400 1,602,925
Oracle Sys Corp.*....................................... 44,750 1,868,313
-----------
4,577,889
-----------
TOTAL TECHNOLOGY........................................ 27,536,922
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
85
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TRANSPORTATION (0.4%)
RAIL TRANSPORTATION
Burlington Northn Santa Fe............................. 2,700 $ 233,213
CSX Corp. ............................................. 4,600 194,350
Union Pacific Corp. ................................... 14,300 859,788
------------
1,287,351
------------
TOTAL TRANSPORTATION................................... 1,287,351
------------
UTILITIES (2.5%)
ELECTRIC UTILITIES
Central Me Pwr Co. .................................... 10,600 123,225
DQE, Inc. ............................................. 5,900 171,100
Entergy Corp. ......................................... 4,500 124,875
GPU Inc. .............................................. 16,300 548,088
Peco Energy Co. ....................................... 21,300 537,825
Unicom Corp. .......................................... 18,300 496,388
------------
2,001,501
------------
GAS AND PIPELINE UTILITIES
Coastal Corp. ......................................... 14,300 698,913
------------
TELEPHONE
AT&T Corp. ............................................ 43,000 1,870,500
GTE Corp. ............................................. 17,200 782,600
MCI Communications Corp. .............................. 2,800 91,525
SBC Communications Inc. ............................... 15,200 786,600
Sprint Corp. .......................................... 32,400 1,291,950
------------
4,823,175
------------
TOTAL UTILITIES........................................ 7,523,589
------------
COMMON STOCKS FOREIGN (0.8%)
CANADA
ENERGY
Renaissance Energy Ltd.*............................... 31,900 1,086,785
Talisman Energy Inc.*.................................. 36,800 1,225,502
------------
TOTAL COMMON STOCKS FOREIGN............................ 2,312,287
------------
TOTAL COMMON STOCKS (Cost $126,026,633)................ 168,325,896
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
86
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
---------- ------------
<S> <C> <C>
FIXED INCOME (40.6%)
CORPORATE BONDS (4.6%)
ASSET BACKED
Nal Auto Tr 7.30% 12/15/00****.......................... $ 189,883 $ 190,416
Neiman Marcus Credit Master Tr 7.60% 06/15/03........... 1,310,000 1,357,894
Prime Cr Card Master Tr1 6.75% 11/15/05................. 1,240,000 1,243,484
Railcar Tr No 7.75% 06/01/04............................ 634,100 662,000
World Finl Network Cr Card Tr 6.70% 02/15/04............ 600,000 604,128
World Omni Automobile Lease 6.55% 06/25/02.............. 1,000,000 1,007,180
------------
5,065,102
------------
ELECTRIC UTILITIES
Edison Mission Energy Fdg Corp. 7.33% 09/15/08****...... 100,000 100,344
Israel Elec Corp. Ltd. 7.25% 12/15/06****............... 225,000 223,700
------------
324,044
------------
FINANCE AND BANKING
BT Instl Cap Tr A 8.09% 12/01/26****.................... 150,000 148,595
Bankamerica Instl Cap A 8.07% 12/31/26****.............. 175,000 176,519
Beverly Finance 8.36% 07/15/04.......................... 250,000 262,278
Corestates Cap 8.00% 12/15/26****....................... 125,000 124,849
Creekwood Cap Corp. 8.47% 03/16/15****.................. 244,511 261,994
Equitable Life Assur Soc USA 6.95% 12/01/05****......... 250,000 245,245
Excel Paralubes Fdg Corp. 7.43% 11/01/15****............ 250,000 247,128
Farmers Ins Exch 8.625% 05/01/24****.................... 250,000 255,583
FBS Cap 8.09% 11/15/26****.............................. 100,000 97,751
First Chicago Nbd Instl Cap 7.95% 12/01/26****.......... 225,000 223,117
First Un Instl Tr I 8.04% 12/01/26****.................. 200,000 199,450
Hancock John Mut Life Ins Co. 7.375% 02/14/24........... 250,000 240,968
JPM Cap Tr I 7.54% 01/15/27............................. 305,000 298,073
Massachusetts Mut Life Ins Co. 7.625% 11/15/23****...... 250,000 250,190
Metropolitan Life Ins Co. 7.45% 11/01/23****............ 250,000 232,715
Nationwide Mutual Life 7.50% 02/15/24****............... 250,000 233,005
New York Life Ins Cor 7.50% 12/15/23****................ 250,000 242,230
PNC Instl Cap Tr A 7.95% 12/15/26****................... 350,000 347,599
Principal Mut Life Ins Co. 7.875% 03/01/24****.......... 400,000 392,124
Rhone Poulenc A3 8.62% 01/05/21......................... 250,000 268,688
Scotia Pacific Hldg Corp. 7.95% 07/20/15................ 218,266 222,715
Town & Ctry Fdg Corp. 5.85% 08/15/98.................... 450,000 444,704
Wells Fargo & Co.Mtn Bk Entry 5.562% 01/28/97........... 350,000 348,513
Wells Fargo Cap A 8.125% 12/01/26****................... 275,000 277,492
------------
6,041,525
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
87
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
---------- ------------
<S> <C> <C>
INDUSTRIALS
Jet Equip Tr 10.0% 06/15/12****......................... $ 350,000 $ 401,965
Philip Morris Co. 6.375% 02/01/06....................... 250,000 237,660
RJR Nabisco Inc. 8.75% 04/15/04......................... 160,000 161,482
------------
801,107
------------
MISCELLANEOUS
Alcoa Aluminio S A 7.50% 12/16/08....................... 300,000 296,598
------------
OTHER
Fifty Seventh Str Assocs LLC 7.125% 06/01/17****........ 249,118 242,332
Oxymar 7.50% 02/15/16****............................... 175,000 168,499
Tele Communications Inc. 9.25% 01/15/23................. 175,000 170,091
------------
580,922
------------
OTHER UTILITIES
Mobile Energy Svcs Co. LLC 8.665% 01/01/17.............. 215,571 223,981
Ras Laffan Liquefied Nat Gas 8.294% 09/15/14****........ 350,000 355,814
------------
579,795
------------
TOTAL CORPORATE BONDS................................... 13,689,093
------------
MORTGAGE RELATED (18.7%)
FEDERAL RELATED
Fed Hm Ln PC G00035 10.50% 02/01/21..................... 172,274 190,041
Fed Hm Ln PC G00356 7.00% 06/01/25...................... 439,460 432,732
Fed Hm Ln PC G00454 6.50% 02/01/26...................... 5,280,986 5,076,348
Fed Hm Ln PC G00576 7.00% 12/01/24...................... 683,813 670,644
Fed Hm Ln PC 554922 10.50% 12/01/20..................... 384,237 424,697
Fed Hm Ln PC 555283 10.00% 09/01/17..................... 480,221 526,062
Fed Hm Ln PC 555293 10.00% 11/01/20..................... 433,863 474,942
Fed Hm Ln PC C00291 7.00% 01/01/24...................... 216,795 213,602
Fed Hm Ln PC TBA 7.50% 01/01/99***...................... 2,200,000 2,202,063
Fed Hm Ln PC 549859 11.00% 09/01/20..................... 161,242 180,540
Fed Hm Ln PC D06744 10.50% 08/01/19..................... 146,216 160,880
Fed Hm Ln PC D06959 10.50% 04/01/16..................... 121,639 134,184
------------
10,686,735
------------
GOVERNMENT SPONSORED
FNMA Pool 291293 6.50% 09/01/24......................... 42,075 40,300
FNMA Pool 303157 10.00% 05/01/22........................ 246,817 271,921
FNMA Pool 303554 11.50% 09/01/25........................ 178,089 202,781
FNMA Pool 311424 6.50% 03/01/26......................... 91,333 87,108
FNMA Pool 318558 6.50% 02/01/26......................... 336,850 321,271
</TABLE>
The accompanying notes are an integral part of these financial statements.
88
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
---------- ------------
<S> <C> <C>
FNMA Pool 318974 6.50% 08/01/25......................... $ 33,799 $ 32,278
FNMA Pool 331874 6.50% 12/01/25......................... 90,880 86,791
FNMA Pool 335339 6.50% 02/01/26......................... 262,885 250,726
FNMA Pool 337423 6.50% 02/01/26......................... 814,143 777,507
FNMA Pool 337430 6.50% 03/01/26......................... 224,460 214,079
FNMA Pool 337434 6.50% 02/01/26......................... 817,668 780,873
FNMA Pool 337850 6.50% 03/01/26......................... 522,668 498,494
FNMA Pool 338197 6.50% 03/01/26......................... 327,178 312,046
FNMA Pool 338235 6.50% 03/01/26......................... 500,495 477,502
FNMA Pool 338305 6.50% 03/01/26......................... 823,084 785,271
FNMA Pool 338767 6.50% 03/01/26......................... 288,813 275,545
FNMA Pool 339230 6.50% 03/01/26......................... 807,217 770,100
FNMA Pool 339442 6.50% 03/01/26......................... 818,384 780,787
FNMA Pool 339837 6.50% 03/01/26......................... 1,351,719 1,289,621
FNMA Pool 343361 6.50% 09/01/24......................... 790,563 757,209
FNMA TBA 7.0% 01/01/99***............................... 6,775,000 6,622,563
FNMA TBA 7.0% 01/01/99***............................... 550,000 537,625
FNMA TBA 15 7.0% 01/01/99***............................ 3,575,000 3,494,563
FNMA TBA 30 7.0% 01/01/99***............................ 2,900,000 2,834,750
------------
22,501,711
------------
OTHER COLLATERALIZED MORTGAGE OBLIGATIONS
AFC Mtg Ln Tr 8.07% 9/25/27............................. 299,999 307,592
Alps 94 1Pass Thru Tr 7.80% 9/15/04..................... 225,000 230,625
Alps 94 1Pass Thru Tr 9.35% 9/15/04..................... 248,732 257,748
Citicorp Mtg Secs Inc. 6.25% 04/25/24................... 550,000 461,137
Dlj Mtg Accep Corp. 7.40% 06/01/03...................... 425,855 434,232
Dlj Mtg Accep Corp. 7.20% 07/14/03...................... 274,303 277,674
Dlj Mtg Accep Corp. 7.58% 03/13/28...................... 250,000 258,693
First Omni Cr Card Master Tst 6.65% 09/15/03............ 1,290,000 1,300,875
GE Capital Mtg Svcs Inc. 6.50% 12/25/23................. 300,000 252,000
GE Capital Mtg Services Inc. 7.00% 07/25/24............. 194,106 177,122
Merrill Lynch Mtg Invs Inc. 7.523% 06/15/21............. 400,476 406,735
Mid St Tr II 9.625% 04/01/03............................ 500,000 546,290
National Car Rental Finl Corp. 7.35% 10/20/03****....... 250,000 251,980
PNC Mtg Secs Corp. 7.50% 7/25/24........................ 425,000 407,601
Rural Hsg Tr 1987 1 3.33% 04/01/26...................... 421,962 395,625
Sears Cr Account Master Tr II 6.20% 03/15/02............ 1,040,000 1,031,545
Sears Cr Account Master Tr II 6.50% 10/15/03............ 600,000 605,058
Standard Cr Card Master Tr I 8.25% 01/07/07............. 1,140,000 1,237,960
Team Fleet Fing Corp. 6.65% 12/15/02****................ 250,000 246,770
World Finl Pptys Tower B 6.91% 09/01/13................. 649,510 642,203
------------
9,729,465
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
89
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
---------- ------------
<S> <C> <C>
OTHER MARKETABLE MORTGAGE-RELATED SECURITIES
Airplanes Passthrough Tr 6.596% 03/15/19............... $ 135,976 $ 136,656
FHA GMAC 195 7.43% 11/01/25............................ 265,914 257,764
Federal Home Ln Mtg PC Gtd 9.50% 04/15/20.............. 110,488 122,744
Federal Home Ln Mtg PC Gtd 10.00% 05/15/20............. 325,000 350,490
Federal Home Ln Mtg PC Gtd 10.00% 06/15/20............. 205,000 223,384
Federal Nat'l Mtg Assn Remic 8.50% 09/25/20............ 342,806 352,446
Federal Nat'l Mtg Assn Remic 11.73% 03/25/22........... 100,000 104,312
Prime Ppty Fd 6.633% 07/23/03 ****..................... 250,000 247,760
------------
1,795,556
------------
U.S. GUARANTEED
GNMA Pool 008927 6.50% 07/20/26........................ 1,777,268 1,805,314
GNMA Pool 033635 11.00% 12/15/09....................... 2,924 3,277
GNMA Pool 034701 11.00% 01/15/10....................... 24,078 26,991
GNMA Pool 038109 11.00% 02/15/10....................... 1,328 1,488
GNMA Pool 040492 11.00% 07/15/10....................... 21,353 23,936
GNMA Pool 041749 11.00% 07/15/10....................... 35,364 39,769
GNMA Pool 041987 11.00% 08/15/10....................... 6,539 7,353
GNMA Pool 042354 11.00% 08/15/10....................... 19,929 22,411
GNMA Pool 048698 11.00% 09/15/10....................... 1,330 1,496
GNMA Pool 058816 11.00% 01/15/13....................... 1,767 1,991
GNMA Pool 134123 11.00% 09/15/15....................... 18,745 21,245
GNMA Pool 141387 11.00% 10/15/15....................... 11,027 12,498
GNMA Pool 232061 10.50% 09/15/17....................... 168,323 188,310
GNMA Pool 274800 10.50% 5/15/19........................ 3,306 3,706
GNMA Pool 285191 10.50% 03/15/20....................... 51,565 57,745
GNMA Pool 287170 10.50% 08/15/20....................... 217,680 244,208
GNMA Pool 780488 10.00% 10/15/21....................... 175,000 192,550
GNMA Pool 080011 6.00% 11/20/26........................ 1,010,000 1,011,899
GNMA Pool 080022 6.00% 12/20/26........................ 353,500 354,165
GNMA TBA 7.50% 01/15/99***............................. 1,950,000 1,950,609
GNMA TBA 7.50% 12/20/99***............................. 2,700,000 2,700,844
GNMA TBA 7.50% 01/15/99***............................. 1,700,000 1,700,531
------------
10,372,336
------------
TOTAL MORTGAGE RELATED................................. 55,085,803
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
90
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
U.S. TREASURY (17.3%)
DIRECT
United States Treasury Bonds 8.125% 08/15/19......... $ 4,215,000 $ 4,875,575
United States Treasury Bonds 8.75% 08/15/20.......... 2,080,000 2,562,622
United States Treasury Notes 7.00% 04/15/99.......... 2,750,000 2,811,435
United States Treasury Notes 7.125% 09/30/99......... 2,100,000 2,158,086
United States Treasury Notes 7.875% 11/15/04......... 5,520,000 6,023,700
United States Treasury Notes 7.50% 02/15/05.......... 6,245,000 6,679,215
United States Treasury Notes 7.125% 2/29/00.......... 3,670,000 3,778,375
United States Treasury Notes 6.75% 04/30/00.......... 3,770,000 3,841,291
United States Treasury Notes 6.125% 07/31/00......... 3,480,000 3,480,000
United States Treasury Notes 5.875% 04/30/98......... 10,980,000 10,997,129
------------
47,207,428
------------
GUARANTEED
Guaranteed Expt Trusts Pdvsa 6.550% 06/15/04......... 917,643 925,135
Resolution Fdg Corp. 8.875% 07/15/20................. 2,560,000 3,116,006
------------
4,041,141
------------
TOTAL U.S. TREASURY.................................. 51,248,569
------------
TOTAL FIXED INCOME (Cost $119,843,206)............... 120,023,465
------------
SHORT TERM INVESTMENTS (9.1%)
COMMERCIAL PAPER
Commercial Credit Co. 01/14/97....................... 1,800,000 1,796,516
Ford Mtr Cr Co. 01/10/97............................. 1,800,000 1,797,575
General Elec Cap Corp. Disc 01/14/97................. 1,800,000 1,796,490
Household Fin Corp. 01/14/97......................... 1,800,000 1,796,484
Raytheon Co. 01/14/97................................ 1,800,000 1,796,516
Siemens Cap Corp. 01/14/97........................... 1,800,000 1,796,516
Toyota Mtr Cr Co. 01/14/97........................... 1,800,000 1,796,516
------------
12,576,613
------------
<CAPTION>
UNITS
-----------
<S> <C> <C>
OTHER
State Street Bank Yield Enhanced Short Term Invest-
ment Fund........................................... 14,148,276 14,148,276
------------
TOTAL SHORT TERM INVESTMENTS (Cost $26,724,889)...... 26,724,889
------------
TOTAL INVESTMENTS (COST $272,594,728) (106.7%)....... 315,074,250
Other Assets less Liabilities (-6.7%)................ (19,672,918)
------------
NET ASSETS (100%).................................... $295,401,332
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
91
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1996
- --------
* Non-income producing security
** An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States and Canada.
*** To be announced (TBA) securities are purchased (sold) on a forward
commitment basis with an appropriate principal amount and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement. Unsettled TBA purchase commitments are valued
at the current market value of the underlying security. The maturity date
disclosed represents the maturity date of the underlying security and the
principal amount disclosed represents the contractual amount. The Fund
may rollover the TBA commitment into a new TBA commitment prior to
settlement if the fund manager deems it appropriate to do so.
**** Security is restricted in accordance with Rule 144A under the Securities
Act of 1933, which allows for the resale of such securities only to
certain qualified buyers. The total cost and market value of Rule 144A
securities owned at December 31, 1996 were $6,334,052 and $6,385,166
(2.16% of net assets), respectively.
The accompanying notes are an integral part of these financial statements.
92
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $564,888,296)......................... $752,791,114
Cash.............................................................. 424,895
Receivable for investments sold................................... 806,506
Receivable for fund units sold.................................... 647,332
Dividends and interest receivable................................. 845,555
Unamortized organizational costs.................................. 354,713
Other receivables................................................. 47,140
------------
Total Assets.................................................... 755,917,255
------------
LIABILITIES
Payable for investments purchased................................. 2,278,350
Investment advisory fee payable................................... 496,249
State Street Bank and Trust Co.--program fee payable.............. 238,431
Trustee, management and administration fees payable............... 49,437
American Bar Retirement Association--program fee payable.......... 36,774
Other accruals.................................................... 16,093
Other liabilities................................................. 3,872
------------
Total Liabilities............................................... 3,119,206
------------
NET ASSETS (equivalent to $278.26 per unit based on 2,705,373
units outstanding)............................................... $752,798,049
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
93
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $90,113)............... $ 12,437,990
Interest........................................................ 1,590,969
------------
Total investment income....................................... 14,028,959
------------
Expenses
Investment advisory fee......................................... 2,131,138
State Street Bank and Trust Company--program fee................ 2,628,715
Trustee, management and administration fees..................... 550,986
American Bar Retirement Association--program fee................ 385,778
Amortization of organization costs.............................. 245,775
Reports to unitholders.......................................... 55,425
Legal and audit fees............................................ 145,901
------------
Total expenses................................................ 6,143,718
------------
Net investment income............................................. 7,885,241
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain............................................... 77,526,269
Change in net unrealized appreciation........................... 50,117,149
------------
Net realized and unrealized gain on investments............... 127,643,418
------------
Net increase in net assets resulting from operations............ $135,528,659
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
94
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
--------------------------
1996 1995
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income............................ $ 7,885,241 $ 5,626,845
Net realized gain on investments................. 77,526,269 56,424,537
Net change in unrealized appreciation on invest-
ments........................................... 50,117,149 106,003,676
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 135,528,659 168,055,058
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued....................... 36,326,804 36,551,989
Cost of units redeemed........................... (56,891,452) (46,208,502)
------------ ------------
Net decrease in net assets resulting from
unitholder transactions......................... (20,564,648) (9,656,513)
------------ ------------
Net increase in net assets..................... 114,964,011 158,398,545
NET ASSETS
Beginning of year................................ 637,834,038 479,435,493
------------ ------------
End of year...................................... $752,798,049 $637,834,038
============ ============
NUMBER OF UNITS
Outstanding--beginning of year................... 2,781,980 2,827,713
Sold........................................... 146,346 188,320
Redeemed....................................... (222,953) (234,053)
------------ ------------
Outstanding--end of year......................... 2,705,373 2,781,980
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
95
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS)
-------------------------------------- TO DECEMBER 31,
1996 1995 1994 1993 1992
-------- -------- -------- -------- ---------------
<S> <C> <C> <C> <C> <C>
Investment income....... $ 5.07 $ 3.88 $ 3.48 $ 3.16 $ 3.20
Expenses................ (2.22) (1.88) (1.60) (1.52) (1.45)
-------- -------- -------- -------- --------
Net investment income... 2.85 2.00 1.88 1.64 1.75
Net realized and
unrealized gain
on investments......... 46.14 57.72 .61 12.99 3.00
-------- -------- -------- -------- --------
Net increase............ 48.99 59.72 2.49 14.63 4.75
Net asset value at be-
ginning of period...... 229.27 169.55 167.06 152.43 147.68
-------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 278.26 $ 229.27 $ 169.55 $ 167.06 $ 152.43
======== ======== ======== ======== ========
Ratio of expenses to av-
erage net assets....... .88% .92% .95% .96% 1.01%
Ratio of net investment
income to average net
assets................. 1.13% .98% 1.12% 1.03% 1.22%
Portfolio turnover...... 63.70% 60.38% 58.78% 81.50% 46.26%
Total return............ 21.37% 35.23% 1.49% 9.60% 3.22%
Net assets at end of pe-
riod (in thousands).... $752,798 $637,834 $479,435 $471,398 $427,933
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
The accompanying notes are an integral part of these financial statements.
96
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (98.4%)
BASIC INDUSTRIES (4.4%)
ALUMINUM
Aluminum Co. Amer...................................... 68,000 $ 4,335,000
------------
CHEMICALS
Air Prods & Chems Inc. ................................ 56,000 3,871,000
Georgia Gulf Corp. .................................... 79,800 2,144,625
IMC Global Inc. ....................................... 76,000 2,973,500
Zeneca Group PLC ADR**................................. 55,800 4,687,200
------------
13,676,325
------------
PAPER
James Riv Corp. Va..................................... 121,200 4,014,750
Kimberly Clark Corp. .................................. 62,400 5,943,600
------------
9,958,350
------------
PLASTICS
Illinois Tool Wks Inc. ................................ 62,000 4,952,250
------------
TOTAL BASIC INDUSTRIES................................. 32,921,925
------------
CAPITAL GOODS (5.4%)
CONSTRUCTION AND MINING
Dover Corp. ........................................... 78,400 3,939,600
------------
ELECTRICAL EQUIPMENT
Boston Scientific Corp.*............................... 16,000 960,000
General Elec Co. ...................................... 155,000 15,325,625
General Instrument Corp. .............................. 54,000 1,167,750
Philips Electrs N V.................................... 116,000 4,640,000
------------
22,093,375
------------
INDUSTRIAL MACHINERY
Applied Materials Inc. ................................ 150,000 5,390,625
York Int'l. Corp. ..................................... 78,100 4,363,838
------------
9,754,463
------------
POLLUTION CONTROL
Browning Ferris Inds Inc. ............................. 126,000 3,307,500
WMX Technologies Inc. ................................. 51,500 1,680,188
------------
4,987,688
------------
TOTAL CAPITAL GOODS.................................... 40,775,126
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
97
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
CONSUMER BASICS (23.0%)
DRUGS AND HEALTH CARE
Abbott Labs............................................ 131,000 $ 6,648,250
American Home Products Corp. .......................... 31,600 1,852,550
Amgen Inc.*............................................ 46,000 2,501,250
Astra AB ADR**......................................... 180,000 8,820,000
Cardinal Health Inc. .................................. 64,350 3,748,388
Centocor Inc.*......................................... 37,000 1,322,750
Columbia / HCA Healthcare Corp. ....................... 104,050 4,240,038
FHP International Corp.*............................... 74,700 2,773,238
Forest Labs Inc.*...................................... 23,000 753,250
Guidant Corp. ......................................... 210,000 11,970,000
Johnson & Johnson...................................... 69,600 3,462,600
Lilly Eli & Co. ....................................... 142,800 10,424,400
Medtronic Inc. ........................................ 38,100 2,590,800
Merck & Co. Inc. ...................................... 135,000 10,698,750
Pacificare Health Sys Inc. Class B*.................... 51,500 4,390,375
Pharmacia & Upjohn Inc. ............................... 154,000 6,102,250
Pfizer Inc. ........................................... 226,000 18,729,750
Sangstat Med Corp.*.................................... 39,800 1,054,700
Smithkline Beecham PLC ADR**........................... 81,000 5,508,000
United Healthcare Corp. ............................... 96,800 4,356,000
Vivra Inc.*............................................ 27,000 745,875
Warner Lambert Co. .................................... 61,600 4,620,000
------------
117,313,214
------------
FOOD AND BEVERAGE
Archer Daniels Midland Co. ............................ 135,000 2,970,000
CPC Int'l. Inc. ....................................... 46,000 3,565,000
Coca Cola Co. ......................................... 75,000 3,946,875
Coca Cola Co. Enterprises Inc. ........................ 45,000 2,182,500
Conagra Inc. .......................................... 90,000 4,477,500
Kellogg Co. ........................................... 56,000 3,675,000
McCormick & Co. Inc. .................................. 97,300 2,292,631
Panamerican Beverages Inc. Class A..................... 20,000 937,500
Pepsico Inc. .......................................... 89,000 2,603,250
Pioneer Hi Bred Int'l. Inc. ........................... 14,000 980,000
------------
27,630,256
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
98
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
HOUSEHOLD PRODUCTS
Colgate Palmolive Co. ................................. 34,000 $ 3,136,500
Gillette Co. .......................................... 66,300 5,154,825
Procter & Gamble Co. .................................. 28,000 3,010,000
------------
11,301,325
------------
RETAIL GROCERY
Safeway Inc. New*...................................... 93,100 3,980,025
------------
TOBACCO
Philip Morris Cos. Inc. ............................... 117,000 13,177,125
------------
TOTAL CONSUMER BASICS.................................. 173,401,945
------------
CONSUMER DURABLE GOODS (1.0%)
AUTOMOBILES
Honda Motor Ltd. ADR**................................. 70,000 3,963,750
Volvo Aktiebolaget ADR**............................... 158,500 3,447,375
------------
TOTAL CONSUMER DURABLE GOODS........................... 7,411,125
------------
CONSUMER NON-DURABLES (5.6%)
APPAREL AND TEXTILES
Liz Claiborne Inc. .................................... 23,000 888,375
Nike Inc. Class B...................................... 43,100 2,575,225
V F Corp. ............................................. 40,400 2,727,000
------------
6,190,600
------------
COSMETICS AND TOILETRIES
Avon Products Inc. .................................... 33,700 1,925,113
Revlon Inc. Class A*................................... 53,000 1,583,375
------------
3,508,488
------------
RETAIL TRADE
Autozone Inc.*......................................... 76,600 2,106,500
CVS Corp. ............................................. 20,000 827,500
Federated Dept Stores Inc. Del.*....................... 59,000 2,013,375
Home Depot Inc. ....................................... 68,500 3,433,563
Limited Inc. .......................................... 100,000 1,837,500
Nine West Group Inc.*.................................. 21,000 973,875
Price Costco. Inc.*.................................... 125,700 3,158,213
TJX Co. S Inc. New..................................... 74,000 3,505,750
Toys R Us Inc.*........................................ 116,200 3,486,000
Wal Mart Stores Inc. .................................. 75,000 1,715,625
Woolworth Corp.*....................................... 205,000 4,484,375
------------
27,542,276
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
99
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TOYS, AMUSEMENTS, SPORTING GOODS
Hasbro Inc............................................. 118,000 $ 4,587,250
------------
TOTAL CONSUMER NON-DURABLES............................ 41,828,614
------------
CONSUMER SERVICES (3.0%)
AIR TRAVEL
Delta Airlines Inc. Del................................ 73,138 5,183,656
------------
HOTELS AND RESTAURANTS
Hilton Hotels Corp..................................... 160,200 4,185,225
Host Marriott Corp.*................................... 307,000 4,912,000
Marriot Int'l. Inc..................................... 17,000 939,250
------------
10,036,475
------------
LEISURE TIME
Disney Walt Co......................................... 63,179 4,398,838
Doubletree Corp.*...................................... 22,000 990,000
Harrah's Entertainment Inc.*........................... 88,500 1,758,938
------------
7,147,776
------------
TOTAL CONSUMER SERVICES................................ 22,367,907
------------
ENERGY (7.1%)
DOMESTIC OIL
Atlantic Richfield Co. ................................ 53,600 7,102,000
USX Marathon Group New................................. 116,100 2,771,888
------------
9,873,888
------------
GAS EXPLORATION
BJ Svcs Co.*........................................... 19,000 969,000
Burlington Res Inc. ................................... 50,200 2,528,825
Enron Corp. ........................................... 91,000 3,924,375
Union Pacific Res Group Inc. .......................... 121,951 3,567,067
------------
10,989,267
------------
INTERNATIONAL OIL
British Petroleum PLC ADR**............................ 7,000 989,625
Chevron Corp. ......................................... 51,000 3,315,000
Mobil Corp. ........................................... 25,000 3,056,250
Royal Dutch Petroleum Co. ............................. 23,000 3,927,250
Shell Trans & Trading PLC.............................. 40,000 4,095,000
------------
15,383,125
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
100
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PETROLEUM SERVICES
Helmerich and Payne Inc. .............................. 74,100 $ 3,862,463
Schlumberger Ltd. ..................................... 108,300 10,816,463
Western Atlas Inc.*.................................... 35,000 2,480,625
------------
17,159,551
------------
TOTAL ENERGY........................................... 53,405,831
------------
FINANCE (13.8%)
BANKS
Bankamerica Corp. ..................................... 66,000 6,583,500
Chase Manhattan Corp. New.............................. 59,200 5,283,600
Citicorp............................................... 26,000 2,678,000
First Chicago Nbd Corp. ............................... 73,690 3,960,838
First Sec Corp. Del. .................................. 28,000 945,000
Morgan J P & Co. Inc. ................................. 39,066 3,813,818
Nationsbank Corp. ..................................... 48,200 4,711,550
PNC Bank Corp. ........................................ 149,000 5,606,125
Suntrust Bks Inc. ..................................... 80,000 3,940,000
Wells Fargo & Co. ..................................... 13,500 3,641,625
------------
41,164,056
------------
FINANCIAL SERVICES
Allstate Corp. ........................................ 100,500 5,816,438
Associates First Cap Corp. Class A..................... 66,100 2,916,663
Federal Nat'l Mtg Assn................................. 75,000 2,793,750
Green Tree Finl Corp. ................................. 100,800 3,893,400
Household Int'l. Inc. ................................. 10,000 922,500
Merrill Lynch & Co. Inc. .............................. 30,600 2,493,900
Student Ln Marketing Assn. New......................... 45,500 4,237,188
------------
23,073,839
------------
INSURANCE
American Int'l. Group Inc. ............................ 73,187 7,922,493
Cincinnati Finl Corp. ................................. 64,229 4,166,856
Exel Ltd. ............................................. 222,000 8,408,250
General Re Corp. ...................................... 43,500 6,862,125
PMI Group Inc. ........................................ 17,000 941,375
------------
28,301,099
------------
INVESTMENT ADVISORS
Edwards AG Inc. ....................................... 95,500 3,211,188
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
101
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
SAVINGS AND LOAN
Ahmanson H F and Co. .................................. 95,000 $ 3,087,500
Golden West Finl Corp. Del............................. 75,000 4,734,375
------------
7,821,875
------------
TOTAL FINANCE.......................................... 103,572,057
------------
GENERAL BUSINESS (9.7%)
BROADCASTING
TCI Satellite Entertainment Inc. Class A*.............. 13,000 128,375
Tele Communications Inc. New*.......................... 130,000 1,698,125
U S West Inc.*......................................... 205,000 3,792,500
Viacom Inc. Class A*................................... 70,000 2,415,000
Viacom Inc. Class B*................................... 20,500 714,938
------------
8,748,938
------------
BUSINESS SERVICES
America Online Inc. Del.*.............................. 90,000 2,992,500
Bisys Group Inc.*...................................... 23,000 852,438
CUC Int'l. Inc.*....................................... 112,800 2,679,000
Cognizant Corp.*....................................... 56,000 1,848,000
Danka Bus Sys ADR**.................................... 23,000 813,625
First Data Corp. ...................................... 97,108 3,544,442
Information Res Inc.*.................................. 72,000 1,008,000
Interpublic Group Cos Inc. ............................ 90,000 4,275,000
Nokia Corp. ADR**...................................... 47,000 2,708,375
Olsten Corp.*.......................................... 40,000 605,000
Service Corp. Int'l. .................................. 63,200 1,769,600
------------
23,095,980
------------
NEWSPAPERS
Gannett Inc. .......................................... 39,000 2,920,125
Newscorp Ltd., New ADR**............................... 90,000 1,878,750
Newscorp Ltd. ADR**.................................... 45,000 793,125
------------
5,592,000
------------
OFFICE FURNISHINGS AND SUPPLIES
Avery Dennison Corp. .................................. 28,000 990,500
Staples Inc.*.......................................... 172,800 3,121,200
------------
4,111,700
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
102
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PUBLISHING
Dun & Bradstreet Corp. ................................ 56,000 $ 1,330,000
Jostens Inc. .......................................... 169,958 3,590,363
Time Warner Inc. ...................................... 168,500 6,318,750
------------
11,239,113
------------
TELECOMMUNICATIONS SERVICES
Ascend Communications Inc.*............................ 56,900 3,534,913
Cascade Communications Corp.*.......................... 6,000 330,750
Lucent Technologies Inc. .............................. 93,200 4,310,500
MFS Communications Inc.*............................... 140,800 7,673,600
Paging Network Inc.*................................... 52,000 793,000
Qualcomm Inc.*......................................... 52,800 2,105,400
Tele Communications Inc. New*.......................... 64,500 1,842,281
------------
20,590,444
------------
TOTAL GENERAL BUSINESS................................. 73,378,175
------------
MISCELLANEOUS (1.5%)
CONGLOMERATES
Textron Inc. .......................................... 57,000 5,372,250
U S Inds Inc. New*..................................... 53,700 1,845,938
------------
7,218,188
------------
MISCELLANEOUS
Acnielson Corp.*....................................... 59,999 907,485
Planet Hollywood Int'l. Inc.*.......................... 39,000 770,250
Saks Hldgs Inc.*....................................... 37,000 999,000
Transocean Offshore Inc. .............................. 23,600 1,477,950
------------
4,154,685
------------
TOTAL MISCELLANEOUS.................................... 11,372,873
------------
TECHNOLOGY (20.2%)
AEROSPACE
Allied Signal Inc. .................................... 14,000 938,000
Boeing Co. ............................................ 190,575 20,272,416
Lockheed Martin Corp. ................................. 69,500 6,359,250
U S Robotics Corp.*.................................... 56,100 4,039,200
------------
31,608,866
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
103
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMPUTERS AND BUSINESS EQUIPMENT
Cabletron Systems Inc.*................................ 97,100 $ 3,228,575
Cisco. Sys Inc.*....................................... 144,000 9,162,000
Compaq Computer Corp.*................................. 19,000 1,410,750
EMC Corp.*............................................. 32,000 1,060,000
International Business Machines........................ 50,200 7,580,200
Netscape Communications Corp.*......................... 62,900 3,577,438
Seagate Technology*.................................... 109,000 4,305,500
Sun Microsystems Inc.*................................. 32,000 822,000
Sundstrand Corp. ...................................... 51,000 2,167,500
3COM Corp.*............................................ 25,000 1,834,375
Xerox Corp. ........................................... 94,500 4,973,063
------------
40,121,401
------------
ELECTRONICS
Adaptec Inc.*.......................................... 74,400 2,976,000
Apple Computer*........................................ 92,900 1,939,288
Ericsson L M Tel Co. Class B ADR**..................... 211,000 6,369,563
Honeywell Inc. ........................................ 72,400 4,760,300
Intel Corp. ........................................... 172,600 22,599,813
KLA Instrs Corp.*...................................... 145,000 5,147,500
LSI Logic Corp.*....................................... 65,000 1,738,750
Newbridge Networks Corp.*.............................. 33,000 932,250
SGS Thomson Microelectronics*.......................... 16,000 1,120,000
Teradyne Inc.*......................................... 170,000 4,143,750
------------
51,727,214
------------
SOFTWARE
Computer Assoc Int'l. Inc. ............................ 78,925 3,926,519
HBO & Co. ............................................. 76,500 4,542,188
Informix Corp.*........................................ 58,000 1,181,750
Microsoft Corp.*....................................... 122,800 10,146,350
Oracle Sys Corp.*...................................... 124,000 5,177,000
Sterling Comm. Inc.*................................... 32,000 1,128,000
Sterling Software Inc.*................................ 12,000 379,500
Sybase Inc.*........................................... 143,000 2,386,313
------------
28,867,620
------------
TOTAL TECHNOLOGY....................................... 152,325,101
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
104
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TRANSPORTATION (0.5)%
RAILROADS AND EQUIPMENT
Union Pacific Corp. ................................... 65,000 $ 3,908,125
------------
TOTAL TRANSPORTATION................................... 3,908,125
------------
UTILITIES (3.2%)
GAS AND PIPELINE UTILITIES
MCN Corp. ............................................. 22,000 635,250
Sonat Inc. ............................................ 59,400 3,059,100
------------
3,694,350
------------
TELEPHONE
Airtouch Communications Inc.*.......................... 83,300 2,103,325
AT & T Corp. .......................................... 73,975 3,217,913
GTE Corp. ............................................. 78,000 3,549,000
MCI Communications Corp. .............................. 102,000 3,334,125
Telephone & Data Sys Inc. ............................. 64,200 2,327,250
Worldco Inc.*.......................................... 237,700 6,195,040
------------
20,726,653
------------
TOTAL UTILITIES........................................ 24,421,003
------------
TOTAL COMMON STOCKS (Cost $553,186,989)................ 741,089,807
------------
<CAPTION>
UNITS
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $11,701,307) (1.6%)
State Street Bank Yield Enhanced Short Term Investment
Fund)................................................. 11,701,307 11,701,307
------------
TOTAL INVESTMENTS (Cost $564,888,296) (100%)........... 752,791,114
Other Assets less Liabilities (0.0%)................... 6,935
------------
NET ASSETS (100%)...................................... $752,798,049
============
</TABLE>
- --------
* Non-income producing security.
** An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada
The accompanying notes are an integral part of these financial statements.
105
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments:
ABA Members/Pooled Stable Asset Fund Trust, at value (cost
$633,897,240)................................................... $633,897,240
State Street Bank Yield Enhanced Short Term Investment Fund, at
value (cost $1,358,947).......................................... 1,358,947
Unamortized organizational costs.................................. 299,520
------------
Total Assets.................................................... 635,555,707
------------
LIABILITIES
Payable for fund units redeemed................................... 443,785
State Street Bank and Trust Co.--program fee payable.............. 196,940
Trustee, management and administration fees payable............... 106,748
American Bar Retirement Association--program fee payable.......... 30,187
Other accruals.................................................... 15,278
------------
Total Liabilities............................................... 792,938
------------
Net assets (equivalent to $1.00 per unit based on 634,762,769
units outstanding)............................................... $634,762,769
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
106
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
Interest income.................................................... $36,000,595
-----------
Expenses
State Street Bank and Trust Company--program fee................. 2,337,676
Trustee, management and administration fees...................... 1,235,231
American Bar Retirement Association--program fee................. 343,088
Amortization of organization costs............................... 205,836
Reports to unitholders........................................... 23,275
Legal and audit fees............................................. 61,272
-----------
Total expenses................................................. 4,206,378
-----------
Net investment income and net increase in net assets resulting from
operations........................................................ $31,794,217
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
107
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31,
----------------------------
1996 1995
------------- -------------
<S> <C> <C>
FROM OPERATIONS
Net investment income and net increase in net
assets resulting from operations.............. $ 31,794,217 $ 28,957,399
------------- -------------
Reinvestment of net investment income.......... (31,794,217) (28,957,399)
------------- -------------
FROM UNITHOLDER TRANSACTIONS (at $1.00 per unit):
Proceeds from units issued..................... 102,727,142 98,534,266
Units issued in connection with reinvestment of
net investment income......................... 31,794,217 28,957,399
Units issued in connection with acquisition of
Blended Rate Fund............................. -- 222,343,776
Cost of units redeemed......................... (129,966,222) (211,607,186)
------------- -------------
Net increase in net assets resulting from
unitholder transactions....................... 4,555,137 138,228,255
------------- -------------
Net increase in net assets................... 4,555,137 138,228,255
NET ASSETS
Beginning of year.............................. 630,207,632 491,979,377
------------- -------------
End of year.................................... $ 634,762,769 $ 630,207,632
============= =============
</TABLE>
The accompanying notes are an integral part of these financial statements.
108
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
DECEMBER 31,
------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income............ $ .058 $ .061 $ .043 $ .035 $ .042
Expenses..................... (.007) (.007) (.007) (.008) (.008)
-------- -------- -------- -------- --------
Net investment income........ .051 .054 .036 .027 .034
Reinvestment of net invest-
ment income................. (.051) (.054) (.036) (.027) (.034)
-------- -------- -------- -------- --------
Net asset value at beginning
and end of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Ratio of expenses to average
net assets.................. .68% .73% .73% .75% .79%
Ratio of net investment in-
come to average net assets.. 5.15% 5.32% 3.55% 2.77% 3.45%
Net assets at end of year (in
thousands).................. $634,763 $630,208 $491,979 $509,905 $589,882
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
The accompanying notes are an integral part of these financial statements.
109
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
UNITS OF COLLECTIVE INVESTMENT FUNDS
<TABLE>
<S> <C>
State Street Bank ABA Members/Pooled Stable Asset Fund Trust
("SAFT") (Units 633,897,240) (a)................................ $633,897,240
State Street Bank Yield Enhanced Short Term Investment Fund
(Units 1,358,947)............................................... 1,358,947
------------
TOTAL INVESTMENTS (Cost $635,256,187) (100.1%)................... 635,256,187
OTHER ASSETS LESS LIABILITIES (-0.1%)............................ (493,418)
------------
NET ASSETS (100.0%).............................................. $634,762,769
============
</TABLE>
- --------
(a) The Stable Asset Return Fund participates in the following SAFT
investments:
<TABLE>
<CAPTION>
EFFECTIVE ANNUAL INVESTMENTS AT
PERCENTAGE RATE CONTRACT VALUE
1996 (NOTE 2)
---------------- --------------
<S> <C> <C>
INVESTMENT CONTRACTS
Allstate Life Insurance Company
9 Investment Contracts
(Maturities ranging from April 1, 1997 to
July 31, 1999)............................ 6.52-7.53% $22,412,049
Continental Assurance Company
6 Investment Contracts
(Maturities ranging from July 31, 1997 to
December 31, 2002)........................ 6.00-7.32 38,158,411
Hartford Life Insurance Company
1 Investment Contract
(Maturities ranging from September 30,
1997 to December 31, 1998)................ 4.70-6.44 3,670,654
John Hancock Mutual Life Insurance Company
6 Investment Contracts
(Maturities ranging from March 31, 1997 to
November 30, 2002)........................ 5.06-7.75 21,001,014
Life of Virginia
3 Investment Contracts, Indexed
(Maturities ranging from June 30, 1999 to
August 31, 2001 and upon funds request)... 4.71-7.10 16,071,657
Metropolitan Life Insurance Company
3 Investment Contracts
(Maturities ranging from August 31, 1997
to February 28, 2001)..................... 6.08-6.37 25,253,870
New York Life Asset Management
6 Investment Contracts
(Maturities ranging from March 31, 1997 to
October 31, 1999)......................... 5.51-6.93 25,025,322
Pacific Mutual Life Insurance Company
3 Investment Contracts, Indexed
(Maturities ranging from May 31, 1997 to
January 31, 2002)......................... 5.17-6.91 25,609,410
Principal Mutual Life Insurance Company
6 Investment Contracts
(Maturities ranging from September 30,
1997 to February 28, 2002)................ 5.70-7.20 21,025,685
Provident Life and Accident Assurance
Company
2 Investment Contracts
(Maturities ranging from December 31, 1997
to March 31, 1998)........................ 5.10-7.48 9,047,183
Providian Capital Management
5 Investment Contracts
(Maturities ranging from April 30, 1997 to
March 31, 2002)........................... 6.67-7.03 29,528,045
</TABLE>
The accompanying notes are an integral part of these financial statements.
110
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
EFFECTIVE ANNUAL INVESTMENTS AT
PERCENTAGE RATE CONTRACT VALUE
1996 (NOTE 2)
---------------- --------------
<S> <C> <C>
INVESTMENT CONTRACTS (CONTINUED)
Prudential Asset Management
4 Investment Contracts
(Maturities ranging from Janury 31, 1997 to
January 31, 2000).......................... 5.19-7.35% $ 22,241,208
Sun Life of Canada
2 Investment Contracts
(Maturities ranging from December 31, 1999
to April 30, 2001)......................... 6.82-6.87 17,484,554
Transamerica Asset Management
1 Investment Contract
(Maturities ranging from September 1, 1997
to August 31, 2000)........................ 6.25 4,324,032
------------
Total Investment Contracts (Cost
$280,853,094).............................. 280,853,094
------------
SYNTHETIC INVESTMENT CONTRACTS*
CDC Investment Management Group
1 Investment Contract
(Maturities ranging from February 29, 1997
to December 31, 1999)
Underlying Security:
FHLMC, 6.75%, 10/15/13, principal $8,330,000
Total market value $8,272,489, wrapper
($340,233)................................. 7.70 7,932,256
J. P. Morgan
1 Investment Contract
(Maturities ranging from January 15, 1997
to January 15, 1999)
Underlying Security:
U.S. Treasury Note, 6.375%, 1/15/99,
principal $6,451,000
Total market value $6,415,869, wrapper
$1,252,910................................. 5.28 7,668,779
Morgan Guaranty Trust Company
1 Investment Contract
(Maturities ranging from December 15, 1999
to May 15, 2001)
Underlying Security:
Advanta Credit Card Master Trust, 5.655%,
11/13/03, principal $10,000,000
Total market value $9,849,572, wrapper
$388,599................................... 7.06 10,238,171
------------
Total Synthetic Investment Contracts (Cost
$25,839,206)............................... 25,839,206
------------
<CAPTION>
AMORTIZED
COST VALUE
---------------- --------------
<S> <C> <C>
SHORT TERM INVESTMENTS
State Street Bank Yield Enhanced Short Term
Investment Fund--327,204,940 units......... $327,204,940 327,204,940
------------
Total investments (cost $633,897,240)....... $633,897,240
============
</TABLE>
- --------
* Synthetic investment contracts represent individual assets placed in a trust
with ownership by the fund and a third party issues a wrapper contract that
provides that holders can, and must, execute transactions at contract value.
Individual assets of the synthetic contracts are valued at representative
quoted market prices. The wrapper is valued as the difference between the
fair value of the assets and contract value of the investment contract.
The accompanying notes are an integral part of these financial statements.
111
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments:
State Street Bank Flagship S&P 500 Index Fund, at value (cost
$50,726,746 and units 522,641).................................... $62,405,446
State Street Bank Russell Special Small Company Common Trust Fund,
at value (cost $18,314,033 and units 1,372,227)................... 20,005,704
Cash............................................................... 145,835
Receivable for fund units sold..................................... 473,697
Unamortized organizational costs................................... 38,911
-----------
Total Assets..................................................... 83,069,593
-----------
LIABILITIES
Payable for investments purchased.................................. 146,836
State Street Bank and Trust Co.--program fee payable............... 25,728
Trustee, management and administration fees payable................ 12,078
American Bar Retirement Association--program fee payable........... 3,755
Other accruals..................................................... 193
-----------
Total Liabilities................................................ 188,590
-----------
Net assets (equivalent to $16.86 per unit based on 4,914,409 units
outstanding)...................................................... $82,881,003
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
112
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividend income.................................................. $ 1,212,076
-----------
Total investment income........................................ 1,212,076
-----------
EXPENSES
State Street Bank and Trust Co.--program fee..................... 249,826
Trustee, management and administration fees...................... 120,881
American Bar Retirement Association--program fee................. 36,659
Amortization of organization costs............................... 19,404
Legal and audit fees............................................. 19,983
Report to unitholders............................................ 7,591
-----------
Total expenses................................................. 454,344
-----------
Net investment income.............................................. 757,732
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) INVESTMENTS
Net realized gain................................................ 5,721,776
Change in net unrealized appreciation on investments............. 6,212,264
-----------
Net realized and unrealized gain on investments................ 11,934,040
-----------
Net increase in net assets resulting from operations............... $12,691,772
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
113
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
------------------------
1996 1995
----------- -----------
<S> <C> <C>
FROM OPERATIONS
Net investment income (loss)....................... $ 757,732 $ (140,720)
Net realized gain on investments................... 5,721,776 673,628
Net change in unrealized appreciation on invest-
ments............................................. 6,212,264 6,934,028
----------- -----------
Net increase in net assets resulting from opera-
tions............................................. 12,691,772 7,466,936
----------- -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units sold........................... 31,403,731 38,208,921
Cost of units redeemed............................. (9,234,771) (9,317,584)
----------- -----------
Net increase in net assets resulting from
unitholder transactions........................... 22,168,960 28,891,337
----------- -----------
Net increase in net assets....................... 34,860,732 36,358,273
NET ASSETS
Beginning of year.................................. 48,020,271 11,661,998
----------- -----------
End of year........................................ $82,881,003 $48,020,271
=========== ===========
NUMBER OF UNITS
Outstanding--beginning of year..................... 3,437,843 1,126,553
Sold............................................. 2,077,161 3,069,243
Redeemed......................................... (600,595) (757,953)
----------- -----------
Outstanding--end of year........................... 4,914,409 3,437,843
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
114
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE APRIL 30, 1994
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
---------------- DECEMBER 31,
1996 1995 1994
------- ------- -----------------
<S> <C> <C> <C>
Investment income......................... $ .28 $ .02 $ --
Expenses.................................. (.11) (.08) (.04)
------- ------- -------
Net investment income (loss).............. .17 (.06) (.04)
Net realized and unrealized gain on in-
vestments................................ 2.72 3.68 .39
------- ------- -------
Net increase in unit value................ 2.89 3.62 .35
Net asset value at beginning of period.... 13.97 10.35 10.00
------- ------- -------
Net asset value at end of period.......... $ 16.86 $ 13.97 $ 10.35
======= ======= =======
Ratio of expenses to average net assets... .69% .68% .94%**
Ratio of net investment income (loss) to
average net assets....................... 1.15% (.52%) .94%**
Portfolio turnover ***.................... 17.48% 131.73% 53.55%
Total return.............................. 20.68% 34.98% 3.50%
Net assets at end of period (in thou-
sands)................................... $82,881 $48,020 $11,662
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
** Ratios annualized.
*** Reflects purchases and sales of units of the collective investment funds in
which the Fund invests rather than the turnover of the underlying
portfolios of such collective investments funds.
The accompanying notes are an integral part of these financial statements.
115
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments:
PIMCO Total Return Fund, at value
(cost $33,306,599 and shares 3,182,755)........................... $33,418,929
MasterWorks Bond Index Funds, at value
(cost $16,483,656 and shares 1,706,199)........................... 16,191,828
Receivable for fund units sold..................................... 157,405
Unamortized organizational costs................................... 23,347
-----------
Total Assets................................................... 49,791,509
-----------
LIABILITIES
Payable for investments purchased.................................. 157,405
State Street Bank and Trust Co.--program fee payable............... 15,506
Trustee, management and administration fees payable................ 4,201
American Bar Retirement Association--program fee payable........... 2,271
Other accruals..................................................... 309
-----------
Total Liabilities.............................................. 179,692
-----------
NET ASSETS (equivalent to $10.89 per unit
based on 4,556,518 units outstanding)............................. $49,611,817
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
116
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends........................................................ $ 2,848,793
-----------
Total investment income.......................................... 2,848,793
-----------
EXPENSES
State Street Bank and Trust Co.--program fee..................... 168,340
Trustee, management and administration fees...................... 34,961
American Bar Retirement Association--program fee................. 24,704
Amortization of organization costs............................... 20,570
Reports to unitholders........................................... 2,922
Legal and audit fees............................................. 7,695
-----------
Total expenses................................................. 259,192
-----------
Net investment income.............................................. 2,589,601
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss................................................ (177,766)
Change in net unrealized depreciation............................ (1,011,400)
-----------
Net realized and unrealized loss on investments................ (1,189,166)
-----------
Net increase in net assets resulting from operations............... $ 1,400,435
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
117
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
FROM OPERATIONS
Net investment income........................ $ 2,589,601 $ 972,338
Net realized gain (loss) on investments...... (177,766) 8,982
Net change in unrealized appreciation (depre-
ciation) on investments..................... (1,011,400) 831,903
------------ -----------
Net increase in net assets resulting from
operations................................ 1,400,435 1,813,223
------------ -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued................... 21,795,326 35,221,124
Cost of units redeemed....................... (10,040,616) (577,675)
------------ -----------
Net increase in net assets resulting from
unitholder transactions................... 11,754,710 34,643,449
------------ -----------
Net increase in net assets............... 13,155,145 36,456,672
NET ASSETS
Beginning of period.......................... 36,456,672 --
------------ -----------
End of period................................ $ 49,611,817 $36,456,672
============ ===========
NUMBER OF UNITS
Outstanding--beginning of period............. 3,447,358 --
Sold....................................... 2,076,702 3,503,766
Redeemed................................... (967,542) (56,408)
------------ -----------
Outstanding--end of period................... 4,556,518 3,447,358
============ ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
118
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
Investment income............................... $ .67 $ .34
Expenses........................................ (.06) (.02)
------- -------
Net investment income........................... .61 .32
Net realized and unrealized gain (loss) on in-
vestments...................................... (.30) .26
------- -------
Net increase in unit value...................... .31 .58
Net asset value at beginning of period.......... 10.58 10.00
------- -------
Net asset value at end of period................ $10.89 $10.58
======= =======
Ratio of expenses to average net assets......... .58% .69%**
Ratio of net investment income to average net
assets......................................... 5.82% 9.17%**
Portfolio turnover ***.......................... 22.37% 1.60%
Total return.................................... 2.93% 5.80%
Net assets at end of period (in thousands)...... $49,612 $36,457
</TABLE>
- --------
*Calculations prepared using the monthly average number of units outstanding
during the period.
**Ratios annualized.
***Reflects purchases and sales of shares of the registered investment
companies in which the Fund invests rather than the turnover of the underlying
portfolios of such registered investment companies.
The accompanying notes are an integral part of these financial statements.
119
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investment in T. Rowe Price International Stock Fund at value (cost
$32,234,612 and shares 2,410,622)................................. $33,266,583
Receivable for fund units sold..................................... 697,432
Unamortized organizational costs................................... 15,884
-----------
Total Assets..................................................... 33,979,899
-----------
LIABILITIES
Payable for investments purchased.................................. 697,432
State Street Bank and Trust Co.--program fee payable............... 10,130
Trustee, management and administration fees payable................ 2,132
American Bar Retirement Association--program fee payable........... 1,657
Other accruals..................................................... 248
-----------
Total Liabilities................................................ 711,599
-----------
NET ASSETS (equivalent to $17.80 per unit based on 1,868,547 units
outstanding)...................................................... $33,268,300
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
120
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends......................................................... $ 967,405
----------
Total investment income......................................... 967,405
----------
EXPENSES
State Street Bank and Trust Co.--program fee...................... 87,483
Trustee, management and administration fees....................... 18,343
American Bar Retirement Association--program fee.................. 13,009
Amortization of organization costs................................ 7,025
Reports to unitholders............................................ 2,917
Legal and audit fees.............................................. 7,677
----------
Total expenses.................................................. 136,454
----------
Net investment income............................................... 830,951
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................. 1,492,478
Change in net unrealized appreciation............................. 1,022,272
----------
Net realized and unrealized gain on investments................. 2,514,750
----------
Net increase in net assets resulting from operations................ $3,345,701
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
121
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
FROM OPERATIONS
Net investment income........................ $ 830,951 $ 248,677
Net realized gain on investments............. 1,492,478 2,277
Net change in unrealized appreciation on in-
vestments................................... 1,022,272 9,699
------------ -----------
Net increase in net assets resulting from op-
erations.................................... 3,345,701 260,653
------------ -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from sales of units................. 35,096,067 10,772,518
Cost of units redeemed....................... (16,022,030) (184,609)
------------ -----------
Net increase in net assets resulting from
unitholder transactions..................... 19,074,037 10,587,909
------------ -----------
Net increase in net assets................. 22,419,738 10,848,562
NET ASSETS
Beginning of period.......................... 10,848,562 --
------------ -----------
End of period................................ $ 33,268,300 $10,848,562
============ ===========
NUMBER OF UNITS
Outstanding--beginning of period............. 705,954 --
Sold....................................... 2,107,610 718,291
Redeemed................................... (945,017) (12,337)
------------ -----------
Outstanding--end of period................... 1,868,547 705,954
============ ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
122
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
Investment income............................... $ .70 $ .49
Expenses........................................ (.10) (.03)
------- -------
Net investment income........................... .60 .46
Net realized and unrealized gain (loss) on in-
vestments...................................... 1.83 (.09)
------- -------
Net increase.................................... 2.43 .37
Net asset value at beginning of period.......... 15.37 15.00
------- -------
Net asset value at end of period................ $ 17.80 $ 15.37
======= =======
Ratio of expenses to average net assets......... .59% .57%**
Ratio of net investment income to average net
assets......................................... 3.58% 9.2%**
Portfolio turnover ***.......................... 73.42% 3.51%
Total return.................................... 15.81% 2.47%
Net assets at end of period (in thousands)...... $33,268 $10,849
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
** Ratios annualized.
*** Reflects purchases and sales of shares of the registered investment company
in which the Fund invests rather than the turnover of the underlying
portfolios of the registered investment company.
The accompanying notes are an integral part of these financial statements.
123
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $40,236,294)........................... $47,190,964
Cash............................................................... 512
Receivable for fund units sold..................................... 887,148
Dividends and interest receivable.................................. 160,568
Unamortized organizational costs................................... 22,323
-----------
Total Assets..................................................... 48,261,515
-----------
LIABILITIES
Payable for investments purchased.................................. 66,675
Investment advisory fee payable.................................... 43,713
State Street Bank and Trust Co.--program fee payable............... 14,527
Trustee, management and administration fees payable................ 3,010
American Bar Retirement Association--program fee payable........... 2,127
Other accruals..................................................... 269
-----------
Total Liabilities................................................ 130,321
-----------
NET ASSETS (equivalent to $15.73 per unit based on 3,060,634 units
outstanding)...................................................... $48,131,194
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
124
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign tax expense of $1,567)............... $ 763,336
Interest....................................................... 236,317
----------
Total investment income...................................... 999,653
----------
EXPENSES
Investment advisory fee........................................ 143,180
State Street Bank and Trust Co.--program fee................... 132,856
Trustee, management and administration fees.................... 27,818
American Bar Retirement Association--program fee............... 19,494
Amortization of organization costs............................. 9,774
Reports to unitholders......................................... 4,264
Legal and audit fees........................................... 11,223
----------
Total expenses............................................... 348,609
----------
Net investment income.......................................... 651,044
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain.............................................. 535,992
Change in net unrealized appreciation.......................... 5,938,274
----------
Net realized and unrealized gain on investments.............. 6,474,266
----------
Net increase in net assets resulting from operations........... $7,125,310
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
125
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
OPERATIONS
Net investment income......................... $ 651,044 $ 109,882
Net realized gain (loss) on investments....... 535,992 (11,116)
Net change in unrealized appreciation on in-
vestments.................................... 5,938,274 1,016,389
----------- -----------
Net increase in net assets resulting from op-
erations..................................... 7,125,310 1,115,155
----------- -----------
UNITHOLDER TRANSACTIONS
Proceeds from sales of units.................. 28,084,938 19,898,639
Cost of units redeemed........................ (7,695,572) (397,276)
----------- -----------
Net increase in net assets resulting from
unitholder transactions...................... 20,389,366 19,501,363
----------- -----------
Net increase in net assets.................. 27,514,676 20,616,518
NET ASSETS
Beginning of period........................... 20,616,518 --
----------- -----------
End of period................................. $48,131,194 $20,616,518
=========== ===========
NUMBER OF UNITS
Outstanding--beginning of period.............. 1,594,367 --
Sold........................................ 2,004,767 1,627,099
Redeemed.................................... (538,500) (32,732)
----------- -----------
Outstanding--end of period.................... 3,060,634 1,594,367
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
126
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)**
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5,
1995
FOR THE (COMMENCEMENT
YEAR ENDED OF OPERATIONS) TO
DECEMBER 31, DECEMBER 31,
1996 1995
------------ -----------------
<S> <C> <C>
Investment income............................... $ .40 $ .13
Expenses........................................ (.14) (.04)
------- -------
Net investment income........................... .26 .09
Net realized and unrealized gain on investments. 2.54 .84
------- -------
Net increase in unit value...................... 2.80 .93
Net asset value at beginning of period.......... 12.93 12.00
------- -------
Net asset value at end of period................ $ 15.73 $ 12.93
======= =======
Ratio of expenses to average net assets......... .99% 1.00%*
Ratio of net investment income to average net
assets......................................... 1.85% 2.12%*
Portfolio turnover.............................. 16.73% 3.8%
Total return.................................... 21.66% 7.75%
Net assets at end of period (in thousands)...... $48,131 $20,617
</TABLE>
- --------
* Ratios annualized.
** Calculations prepared using the monthly average number of units outstanding
during the period.
The accompanying notes are an integral part of these financial statements.
127
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (90.3%)
BASIC INDUSTRIES (6.3%)
ALUMINUM
Alcan Alum Ltd. ........................................ 7,700 $ 258,913
Alumax Inc.*............................................ 1,800 60,075
Aluminum Co. Amer....................................... 4,300 274,125
-----------
593,113
-----------
CHEMICALS
Dow Chem Co. ........................................... 4,500 352,688
Du Pont EI De Nemours & Co. ............................ 1,100 103,813
Eastman Chem Co. ....................................... 3,400 187,850
FMC Corp. New*.......................................... 2,900 203,363
Great Lakes Chemical Corp. ............................. 3,200 149,600
Nalco Chem Co. ......................................... 2,300 83,088
Sigma Aldrich........................................... 3,400 212,288
Union Carbide Corp. .................................... 4,700 192,113
-----------
1,484,803
-----------
CONTAINERS & GLASS
Ball Corp. ............................................. 9,100 236,600
-----------
PAPER
Champion Int'l Corp. ................................... 4,900 211,925
International Paper Co. ................................ 6,500 262,438
Minnesota Mining & Mfg Co. ............................. 2,400 198,900
-----------
673,263
-----------
TOTAL BASIC INDUSTRIES.................................. 2,987,779
-----------
CAPITAL GOODS (4.7%)
ELECTRICAL EQUIPMENT
Arrow Electrs Inc.*..................................... 4,400 235,400
General Elec Co. ....................................... 9,300 919,538
-----------
1,154,938
-----------
INDUSTRIAL MACHINERY
Briggs & Stratton Corp. ................................ 5,700 250,800
Giddings & Lewis Inc. ................................. 7,200 92,700
Wheelabrator Technologies Inc. ......................... 9,100 147,875
-----------
491,375
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
128
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
POLLUTION CONTROL
Browning Ferris Inds Inc. .............................. 9,500 $ 249,375
WMX Technologies Inc. .................................. 6,100 199,013
Waste Mgmt Int'l. PLC ADR* **........................... 23,600 185,850
-----------
634,238
-----------
TOTAL CAPITAL GOODS..................................... 2,280,551
-----------
CONSUMER BASICS (14.1%)
DRUGS & HEALTH CARE
Abbott Labs............................................. 9,200 466,900
Allergan Inc. .......................................... 7,400 263,625
American Home Products Corp. ........................... 600 35,175
Bard C R Inc. .......................................... 9,000 252,000
Bausch & Lomb Inc. ..................................... 5,600 196,000
Bristol Myers Squibb Co. ............................... 5,300 576,375
Columbia/HCA Healthcare Corp. .......................... 4,350 177,263
Foundation Health Corp. ................................ 6,500 206,375
Johnson & Johnson....................................... 3,600 179,100
Lilly Eli & Co. ........................................ 400 29,200
Merck & Co. Inc. ....................................... 4,700 372,475
Pharmacia & Upjohn Inc. ................................ 10,300 408,138
Pfizer Inc. ............................................ 3,100 256,913
Smithkline Beecham PLC ADR**............................ 3,200 217,600
United Healthcare Corp. ................................ 6,000 270,000
-----------
3,907,139
-----------
FOOD & BEVERAGES
Coca Cola Co. .......................................... 11,600 610,450
Heinz H J Co. .......................................... 5,800 207,350
Pepsico Inc. ........................................... 7,000 204,750
Whitman Corp. .......................................... 3,400 77,775
-----------
1,100,325
-----------
HOUSEHOLD PRODUCTS
Dial Corp. New.......................................... 3,600 53,100
Procter & Gamble Co. ................................... 2,300 247,250
-----------
300,350
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
129
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
TOBACCO
American Brands Inc. ................................... 5,000 $ 248,125
Philip Morris Cos. Inc. ................................ 9,000 1,013,625
RJR Nabisco Hldgs Corp. New............................. 7,000 238,000
-----------
1,499,750
-----------
TOTAL CONSUMER BASICS................................... 6,807,564
-----------
CONSUMER DURABLE GOODS (3.4%)
AUTO PARTS
Genuine Parts Co. ...................................... 3,000 133,500
-----------
AUTOMOBILE
Chrysler Corp. ......................................... 1,400 46,200
Ford Mtr Co. Del. ...................................... 17,400 554,625
General Mtrs Corp. ..................................... 1,200 66,900
-----------
667,725
-----------
HOUSEHOLD APPLIANCES
Maytag Corp. ........................................... 11,900 235,025
Whirlpool Corp. ........................................ 3,500 163,188
-----------
398,213
-----------
MOBILE HOMES
Fleetwood Enterprises Inc. ............................. 3,600 99,000
-----------
TIRES AND RUBBER
Cooper Tire & Rubber Co. ............................... 11,200 221,200
Goodyear Tire and Rubber................................ 2,200 113,025
-----------
334,225
-----------
TOTAL CONSUMER DURABLES................................. 1,632,663
-----------
CONSUMER NON-DURABLES (6.3%)
APPAREL & TEXTILES
Reebok Int'l Ltd. ...................................... 6,800 285,600
Russell Corp. .......................................... 4,100 121,975
Springs Inds Inc. ...................................... 2,600 111,800
V F Corp. .............................................. 3,700 249,750
-----------
769,125
-----------
LIQUOR
Anheuser Busch Cos. Inc. ............................... 7,600 304,000
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
130
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
RETAIL TRADE
Dayton Hudson Corp. .................................... 5,900 $ 231,575
Dillard Dept Stores Inc., Class A....................... 7,000 216,125
Limited Inc. ........................................... 14,560 267,540
Penney J C Inc. ........................................ 2,900 141,375
Price Costco. Inc.* .................................... 3,600 90,450
Supervalu Inc. ......................................... 6,000 170,250
Toys R Us Inc.*......................................... 8,700 261,000
Wal Mart Stores Inc. ................................... 25,200 576,450
-----------
1,954,765
-----------
TOTAL CONSUMER NON DURABLES............................. 3,027,890
-----------
CONSUMER SERVICES (1.5%)
AIR TRAVEL
AMR Corp. Del.*......................................... 2,500 220,313
Delta Airlines Inc. Del. ............................... 3,200 226,800
-----------
447,113
-----------
HOTELS AND RESTAURANTS
McDonalds Corp. ........................................ 1,200 54,300
-----------
LEISURE TIME
Brunswick Corp. ........................................ 7,600 182,400
Disney Walt Co. ........................................ 500 34,813
-----------
217,213
-----------
TOTAL CONSUMER SERVICES................................. 718,626
-----------
ENERGY (8.3%)
DOMESTIC OIL
Ashland Inc. ........................................... 4,000 175,500
Atlantic Richfield Co. ................................. 2,600 344,500
Phillips Pete Co. ...................................... 5,600 247,800
Sun Inc. ............................................... 9,400 229,125
Unocal Corp. ........................................... 6,701 272,217
-----------
1,269,142
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
131
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
INTERNATIONAL OIL
Amoco Corp. ............................................ 5,600 $ 450,800
Chevron Corp. .......................................... 5,500 357,500
Exxon Corp. ............................................ 5,300 519,400
Mobil Corp. ............................................ 1,800 220,050
Royal Dutch Petroleum Co. .............................. 4,900 836,675
Texaco Inc. ............................................ 3,700 363,063
-----------
2,747,488
-----------
TOTAL ENERGY............................................ 4,016,630
-----------
FINANCE (19.6%)
BANKS
Banc One Corp. ......................................... 8,380 360,340
Bankamerica Corp. ...................................... 4,700 468,824
Chase Manhattan Corp. New............................... 5,000 446,250
Citicorp................................................ 2,500 257,500
First Chicago NBD Corp. ................................ 2,600 139,750
First Un Corp. ......................................... 3,200 236,800
Fleet Finl Group Inc. .................................. 6,500 324,188
Key Corp. New........................................... 5,000 252,500
Morgan J P & Co. Inc. .................................. 3,100 302,638
Nationsbank Corp. ...................................... 3,800 371,450
PNC Bk Corp. ........................................... 7,200 270,900
Republic NY Corp. ...................................... 2,900 236,713
-----------
3,667,853
-----------
FINANCIAL SERVICES
Dean Witter Discover & Co. ............................. 3,900 258,375
Federal Home Ln Mtg Corp. .............................. 3,200 352,400
Federal Natl Mtg Assn................................... 13,900 517,775
Merrill Lynch & Co. Inc. ............................... 4,300 350,450
Salomon Inc. ........................................... 4,700 221,488
-----------
1,700,488
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
132
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
INSURANCE
Aetna Inc. ............................................. 4,000 $ 320,000
Ambac Inc. ............................................. 800 53,100
American Gen Corp. ..................................... 7,200 294,300
American Int'l Group Inc. .............................. 1,300 140,725
Cigna Corp. ............................................ 2,200 300,575
Chubb Corp. ............................................ 5,200 279,500
ITT Hartford Group Inc. ................................ 4,100 276,750
Lincoln Natl Corp. ..................................... 4,800 252,000
Loews Corp. ............................................ 3,100 292,175
Marsh & Mclennan Companies Inc. ........................ 1,200 124,800
Ohio Cas Corp. ......................................... 5,600 198,800
Old Rep Int'l Corp. .................................... 7,000 187,250
St Paul Cos Inc. ....................................... 4,500 263,814
Torchmark Inc. ......................................... 3,800 191,900
Uslife Corp. ........................................... 6,100 202,825
-----------
3,378,514
-----------
INVESTMENT ADVISORS
Morgan Stanley Group Inc. .............................. 5,100 291,338
-----------
SAVINGS AND LOAN
Golden West Finl Corp. Del.............................. 3,200 202,000
Great Westn Finl Corp. ................................. 5,900 171,100
-----------
373,100
-----------
TOTAL FINANCE........................................... 9,411,293
-----------
GENERAL BUSINESS (1.3%)
BUSINESS SERVICES
Block H & R Inc. ....................................... 6,000 174,000
Viad Corp. ............................................. 3,600 59,400
-----------
233,400
-----------
NEWSPAPERS
Dow Jones & Co. Inc. ................................... 4,000 135,500
Gannett Inc. ........................................... 1,600 119,800
-----------
255,300
-----------
PUBLISHING
American Greetings Corp., Class A....................... 4,600 130,525
-----------
TELECOMMUNICATION SERVICES
Lucent Technologies Inc. ............................... 4 185
-----------
TOTAL GENERAL BUSINESS.................................. 619,410
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
133
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
MISCELLANEOUS (1.2%)
CONGLOMERATES
ITT Inds Inc. .......................................... 9,800 $ 240,100
Textron Inc. ........................................... 900 84,825
-----------
324,925
-----------
MISCELLANEOUS
Canadian Pac Ltd. New................................... 8,800 233,200
-----------
TOTAL MISCELLANEOUS..................................... 558,125
-----------
SHELTER (2.3%)
CONSTRUCTION MATERIALS
Armstrongworld Inds Inc. ............................... 3,000 208,500
Masco Corp. ............................................ 5,000 180,000
Owens Corning........................................... 5,300 225,913
-----------
614,413
-----------
HOMEBUILDERS
Centex Corp. ........................................... 4,800 180,600
Kaufman & Broad Home Corp. ............................. 10,900 140,338
Pulte Corp. ............................................ 6,200 190,650
-----------
511,588
-----------
TOTAL SHELTER........................................... 1,126,001
-----------
TECHNOLOGY (9.2%)
AEROSPACE
Boeing Co. ............................................. 100 10,638
Rockwell Int'l Corp. New................................ 2,400 146,100
-----------
156,738
-----------
COMPUTERS & BUSINESS EQUIPMENT
Compaq Computer Corp.*.................................. 5,500 408,375
E M C Corp.*............................................ 11,200 371,000
Hewlett Packard Co. .................................... 12,700 638,175
International Business Machines......................... 5,800 875,800
Quantum Corp.*.......................................... 9,100 260,488
Seagate Technology*..................................... 7,600 300,200
-----------
2,854,038
-----------
ELECTRONICS
Intel Corp. ............................................ 6,300 824,906
Motorola Inc. .......................................... 3,200 196,400
-----------
1,021,306
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
134
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
SOFTWARE
Microsoft Corp.*........................................ 4,600 $ 380,075
-----------
TOTAL TECHNOLOGY........................................ 4,412,157
-----------
TRANSPORTATION (1.9%)
RAILROADS & EQUIPMENT
CSX Corp. .............................................. 4,600 194,350
Union Pac Corp. ........................................ 4,000 240,500
-----------
434,850
-----------
TRUCKING & FREIGHT FORWARDING
Federal Express Corp.*.................................. 6,000 267,000
Ryder Sys Inc. ......................................... 7,800 219,375
-----------
486,375
-----------
TOTAL TRANSPORTATION.................................... 921,225
-----------
UTILITIES (10.2%)
ELECTRIC UTILITIES
Allegheny Power Systems Inc. ........................... 7,700 233,888
American Elec Pwr Inc. ................................. 7,300 300,213
Consolidated Edison Co. NY Inc. ........................ 9,200 269,100
Dominion Res Inc. Va.................................... 1,700 65,450
GPU Inc. ............................................... 8,200 275,725
Illinova Corp. ......................................... 7,500 206,250
P P & L Res Inc. ....................................... 10,300 236,900
Pacificorp.............................................. 11,300 231,650
Puget Sound Pwr & Lt Co. ............................... 10,200 244,800
-----------
2,063,976
-----------
GAS & PIPELINE UTILITIES
Transcanada Pipelines Ltd. ............................. 11,400 199,500
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
135
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<S> <C> <C>
TELEPHONE
AT&T Corp. ............................................. 19,800 $ 861,284
Alltel Corp. ........................................... 8,800 276,100
Ameritech Corp. New..................................... 900 54,563
Bell Atlantic Corp. .................................... 500 32,375
Bellsouth Corp. ........................................ 1,900 76,713
GTE Corp. .............................................. 6,200 282,100
MCI Communications Corp. ............................... 11,200 366,100
Pacific Telesis Group................................... 7,900 290,325
SBC Communications Inc. ................................ 900 46,575
Sprint Corp. ........................................... 6,200 247,225
U S West Inc. .......................................... 4,000 129,000
-----------
2,662,360
-----------
TOTAL UTILITIES......................................... 4,925,836
-----------
TOTAL COMMON STOCKS (Cost $36,457,212).................. 43,445,750
-----------
<CAPTION>
PRINCIPAL
----------
<S> <C> <C>
US TREASURY NOTES (COST $2,325,805) (4.8%)
United States Treasury Notes 6.5% 8/15/05............... $1,787,000 1,798,455
United States Treasury Notes 7.0% 7/15/06............... 475,000 493,482
-----------
TOTAL US TREASURY NOTES................................. 2,291,937
-----------
<CAPTION>
UNITS
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $1,453,277) (3.0%)
State Street Bank Yield Enhanced Short Term Investment
Fund................................................... 1,453,277 1,453,277
-----------
TOTAL INVESTMENTS (COST $40,236,294) (98.1%)............ 47,190,964
Other Assets less Liabilities (1.9%).................... 940,230
-----------
NET ASSETS (100%)....................................... $48,131,194
===========
</TABLE>
- --------
* Non-income producing security.
** An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
The accompanying notes are an integral part of these financial statements.
136
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ----------- -----------
<S> <C> <C> <C>
ASSETS
Investments in State Street Bank and
Trust Co. collective investment
funds, at value:
Stable Asset Return Fund (cost of
$3,360,910 and $3,262,309 and
units of 3,360,910 and 3,262,309,
respectively)..................... $ 3,360,910 $ 3,262,309 $ --
Intermediate Bond Fund (cost of
$3,738,952, $9,395,751, and
$3,679,299, and units of 360,099,
898,802, and 352,135, respectively). 3,921,062 9,786,926 3,834,350
Value Equity Fund (cost of
$671,879, $3,100,676, and
$3,321,398 and units of 49,865,
228,180, and 243,810, respective-
ly)............................... 784,213 3,588,540 3,834,350
Growth Equity Fund (cost of
$678,123, $3,142,579, and
$3,365,229 and units of 2,817,
12,895, and 13,778, respectively). 784,213 3,588,540 3,834,350
Index Equity Fund (cost of
$1,352,944, $6,545,266, and
$6,701,767 and units of 92,991,
444,867, and 454,672, respective-
ly)............................... 1,568,425 7,503,310 7,668,699
International Equity Fund (cost of
$706,160, $4,432,437, and
$4,662,350 and units of 44,043,
274,828, and 287,127, respective-
ly)............................... 784,213 4,893,463 5,112,466
Aggressive Equity Fund (cost of
$1,136,728 and units of 31,161)... -- -- 1,278,116
Receivable for fund units sold..... 2,293 35,243 105,008
----------- ----------- -----------
Total Assets..................... 11,205,329 32,658,331 25,667,339
LIABILITIES
Payable for investments purchased.... 2,293 35,243 105,008
Accrued expenses..................... 2,059 5,748 4,470
----------- ----------- -----------
Net assets (equivalent to $11.46,
$11.93 and $12.41 per unit based on
977,202, 2,733,228 and 2,060,096
units outstanding, respectively).... $11,200,977 $32,617,340 $25,557,861
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
137
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ---------- ----------
<S> <C> <C> <C>
Investment income.......................... $ -- $ -- $ --
Service fees............................... 8,859 24,228 17,939
-------- ---------- ----------
Net investment loss........................ (8,859) (24,228) (17,939)
-------- ---------- ----------
Net Realized and Unrealized Gain (Loss)
on Investments
Net realized gain on investments......... 361,277 839,719 770,720
Change in net unrealized appreciation.... 517,590 2,209,625 2,216,922
-------- ---------- ----------
Net realized and unrealized gain
on investments........................ 878,867 3,049,344 2,987,642
-------- ---------- ----------
Net increase in net assets resulting
from operations....................... $870,008 $3,025,116 $2,969,703
======== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
138
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ----------- -----------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment loss................... $ (8,859) $ (24,228) $ (17,939)
Net realized gain on investments...... 361,277 839,719 770,720
Net change in unrealized appreciation
on investments....................... 517,590 2,209,625 2,216,922
----------- ----------- -----------
Net increase in net assets resulting
from operations...................... 870,008 3,025,116 2,969,703
----------- ----------- -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from sales of units.......... 7,290,330 21,783,374 16,350,276
Cost of units redeemed................ (2,331,440) (4,570,137) (3,761,578)
----------- ----------- -----------
Net increase in net assets resulting
from unitholder transactions......... 4,958,890 17,213,237 12,588,698
----------- ----------- -----------
Net increase in net assets.......... 5,828,898 20,238,353 15,558,401
NET ASSETS
Beginning of year..................... 5,372,079 12,378,987 9,999,460
----------- ----------- -----------
End of year........................... $11,200,977 $32,617,340 $25,557,861
=========== =========== ===========
NUMBER OF UNITS
Outstanding--beginning of year........ 513,200 1,173,968 946,103
Sold................................ 679,535 1,965,891 1,429,208
Redeemed............................ (215,533) (406,631) (315,215)
----------- ----------- -----------
Outstanding--end of year.............. 977,202 2,733,228 2,060,096
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
139
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD SEPTEMBER 5, 1995 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31,
1995
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ----------- ----------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment loss.................... $ (848) $ (2,227) $ (2,066)
Net realized gain on investments....... 2,506 7,217 9,557
Net change in unrealized appreciation
on investments........................ 198,179 551,723 478,635
---------- ----------- ----------
Net increase in net assets resulting
from operations....................... 199,837 556,713 486,126
---------- ----------- ----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from sales of units........... 5,230,320 12,053,677 9,649,106
Cost of units redeemed................. (58,078) (231,403) (135,772)
---------- ----------- ----------
Net increase in net assets resulting
from unitholder transactions.......... 5,172,242 11,822,274 9,513,334
---------- ----------- ----------
Net increase in net assets and net
assets at end of period............. $5,372,079 $12,378,987 $9,999,460
========== =========== ==========
NUMBER OF UNITS
Outstanding--beginning of period....... -- -- --
Sold................................. 518,912 1,196,925 959,121
Redeemed............................. (5,712) (22,957) (13,018)
---------- ----------- ----------
Outstanding--end of period............. 513,200 1,173,968 946,103
========== =========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
140
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
SELECTED PER-UNIT DATA AND RATIOS
FOR THE YEAR ENDED DECEMBER 31, 1996
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ -------- ----------
<S> <C> <C> <C>
Investment income............................ $ -- $ -- $ --
Expenses..................................... (.01) (.01) (.01)
------- ------- -------
Net investment loss.......................... (.01) (.01) (.01)
Net realized and unrealized gain on invest-
ments....................................... 1.00 1.40 1.85
------- ------- -------
Net increase................................. .99 1.39 1.84
Net asset value at beginning of year......... 10.47 10.54 10.57
------- ------- -------
Net asset value at end of year............... $ 11.46 $ 11.93 $ 12.41
======= ======= =======
Ratio of expenses to average net assets...... .10% .10% .10%
Ratio of net investment loss to average net
assets...................................... (.10%) (.10%) (.10%)
Portfolio turnover**......................... 34.18% 26.97% 27.95%
Total return................................. 9.46% 13.19% 17.41%
Net assets at end of year (in thousands)..... $11,201 $32,617 $25,558
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the year.
** Reflects purchases and sales of units of the funds in which the Portfolios
invests rather than turnover of such underlying funds.
The accompanying notes are an integral part of these financial statements.
141
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5, 1995
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31, 1995
----------------------------------
CONSERVATIVE MODERATE AGGRESSIVE
------------ -------- ----------
<S> <C> <C> <C>
Investment income............................ $ .001 $ .001 $ .001
Expenses..................................... (.003) (.003) (.003)
------ ------- ------
Net investment loss.......................... (.002) (.002) (.002)
Net realized and unrealized gain on invest-
ments....................................... .472 .542 .572
------ ------- ------
Net increase................................. .47 .54 .57
Net asset value at beginning of period....... 10.00 10.00 10.00
------ ------- ------
Net asset value at end of period............. $10.47 $ 10.54 $10.57
====== ======= ======
Ratio of expenses to average net assets**.... .09% .09% .09%
Ratio of net investment loss to average net
assets**.................................... (.06%) (.06%) (.06 %)
Portfolio turnover***........................ 2.53% 3.57% 2.71%
Total return................................. 4.7% 5.4% 5.7%
Net assets at end of period (in thousands)... $5,372 $12,379 $9,999
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
** Ratios annualized.
*** Reflects purchases and sales of units of the funds in which the Portfolios
invest rather than turnover of such underlying funds.
The accompanying notes are an integral part of these financial statements.
142
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
1. DESCRIPTION OF THE TRUST
American Bar Association Members/State Street Collective Trust (the "Trust")
was organized on August 8, 1991 under a Declaration of Trust, as amended and
restated on December 5, 1991 and as amended on July 31, 1995. The Trust is
maintained exclusively for the collective investment monies administered on
behalf of participants in the American Bar Association Members Retirement
Program. Eight separate collective investment Funds (the "Funds") and the
Structured Portfolio Service (the "Portfolios") are established under the
Trust. The Structured Portfolio Service offers three approaches to
diversifying investments by selecting various allocations among the Funds. The
Funds and Portfolios are investment options under the American Bar Association
Members Retirement Program (the "Program") which is sponsored by the American
Bar Retirement Association ("ABRA"). The objectives of the Funds and
Portfolios are as follows:
Aggressive Equity Fund--long term growth of capital through investment in
common stocks of small to medium sized companies believed to have strong
appreciation potential.
Balanced Fund--current income and long-term capital appreciation through
investment in common stocks, other equity-type securities and debt
securities.
Growth Equity Fund--long term growth of capital and some dividend income
through investment in common stocks and equity-type securities of large,
well established companies.
Stable Asset Return Fund ("SARF")--current income consistent with
preserving principal and maintaining liquidity through investment in high
quality money market instruments and investment contracts and funding
agreements of insurance companies, banks and financial institutions.
Currently invests in the State Street Bank ABA Members/Pooled Stable Asset
Fund Trust, a separate State Street Bank and Trust Company ("State Street
Bank" or the "Trustee") collective investment fund.
Index Equity Fund--replication of the total return of the Russell 3,000
Index. Currently invests in the State Street Bank Flagship S&P 500 Index
Fund and State Street Bank Russell Special Small Company Common Trust Fund,
separate State Street Bank collective investment funds.
Intermediate Bond Fund (commenced September 5, 1995)--total return from
current income and capital appreciation through investment in debt
securities. Currently invests in the PIMCO Total Return Fund and
MasterWorks Bond Index Fund (formerly Stagecoach Inc. Bond Index Fund),
registered investment companies.
International Equity Fund (commenced September 5, 1995)--long term growth
of capital through investment in common stocks and other equity securities
of established non-U.S. companies. Currently invests in the T. Rowe Price
International Stock Fund, a registered investment company.
Value Equity Fund (commenced September 5, 1995)--long term growth of
capital and dividend income through investment in common stocks, primarily
of large capitalization companies believed to be undervalued.
Structured Portfolio Service (commenced September 5, 1995)
Conservative--high current investment income and some capital
appreciation.
Moderate--high current investment income and greater capital
appreciation.
Aggressive--long term growth of capital and lower current investment
income.
Each Structured Portfolio Service achieves its objective through a pre-
determined investment allocation in the Funds. See Statement of Assets and
Liabilities for Fund allocation at December 31, 1996.
143
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Effective September 5, 1995, the Blended Rate Fund, a separate collective
investment fund established under the Trust, was merged into the Enhanced
Short Term Investment Fund ("ESTIF") and ESTIF's name was changed to SARF (see
Note 7).
The Trust may offer and sell an unlimited number of units representing
interests in separate Funds and Portfolios of the Trust, each unit to be
offered and sold at the per unit net asset value of the corresponding Fund or
Portfolio.
State Street Bank serves as trustee of the Trust. On January 1, 1992, State
Street Bank assumed responsibility for administering and providing investment
options for the Program. State Street Bank is a trust company established
under the laws of The Commonwealth of Massachusetts and is a wholly-owned
subsidiary of State Street Boston Corporation, a Massachusetts corporation and
a holding company registered under the Federal Bank Holding Company Act of
1956, as amended.
State Street Bank is responsible for certain recordkeeping and
administrative services required by the Program. In addition, State Street
Bank provides account and investment information to employers and
participants, receives all plan contributions, effects investment and transfer
transactions and distributes all benefits provided by the plans to the
participants or, in the case of some individually designed plans, to the
trustees of such plans.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements. The
policies are in accordance with generally accepted accounting principles and
provisions of the Trust agreement:
A. Security Valuation
Stable Asset Return Fund: It is the Trust's policy to attempt to maintain
a constant price of $1.00 per unit for SARF. SARF invests in a State Street
Bank collective investment fund whose investments include insurance
company, bank and financial institution investment contracts and short-term
investments. Consistent with this objective, the short-term portfolio
instruments of the collective investment fund are valued on the basis of
amortized cost which approximates fair value. Amortized cost involves
valuing an instrument initially at its cost and thereafter assuming a
constant amortization to maturity of any discount or premium, regardless of
the impact of fluctuating interest rates on the market value of the
instrument. The insurance company, bank and financial institution
investment contracts are maintained at contract value (cost plus accrued
interest) which approximates fair value. The values of investments in
collective investment funds are based on the net asset value of the
respective collective investment fund.
Other Funds: 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. Other unlisted stocks reported on the NASDAQ system are valued at
quoted bid prices.
Foreign securities not traded directly or in American Depository Receipt
(ADR) form in the United States are valued in the local currency at the
last sale price on the respective exchange. 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.
144
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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. If not valued by a pricing service, such securities are valued
at prices obtained from independent brokers. 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 discount spreads to the
underlying common stock.
Investments with prices that cannot be readily obtained, if any, are
carried at fair value as determined in good faith under consistently
applied procedures established by and under the supervision of the Trustee.
The values of investments in collective investment funds and registered
investment companies are based on the net asset value of the respective
collective investment fund or registered investment company.
B. Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date (date the order
to buy or sell is executed). Interest income is recorded on the accrual
basis. Dividend income is recorded on the ex-dividend date. Interest income
is increased by accretion of discount and reduced by amortization of
premium. Realized gains and losses are reported on the basis of identified
cost of securities delivered.
A Fund's portfolio of investments may include securities purchased on a
when issued basis, which may be settled in the month after the issue date.
Interest income is not accrued until the settlement date.
C. Income Taxes
State Street Bank, on behalf of the Trust, has received a favorable
determination letter dated March 9, 1992, from the Internal Revenue Service
which concluded that the Trust is a trust arrangement described in Rev.
Rul. 81-100, 1981, C.B. 326 and exempt from federal income tax pursuant to
Section 501(a) of the Internal Revenue Code. Accordingly, no provision for
Federal income taxes is required.
D. Distributions to Participants
Stable Asset Return Fund: As of the close of business on each daily
valuation date, all net investment income is allocated among the
unitholders in proportion to the number of units held by each unitholder in
the fund and is reinvested on behalf of each such unitholder in new units.
All Other Funds: Pursuant to the Declaration of Trust, the funds are not
required to distribute their net investment income or gains from the sale
of portfolio investments.
E. Sales and Redemptions of Units of Participation
The units offered represent interests in the Funds and Portfolios
established under the Trust. The Trust may offer and sell an unlimited
number of registered units, each unit to be offered and sold at the
respective Fund's and Portfolio's net asset value.
F. Use of Estimates
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
145
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
3. INVESTMENT ADVISORY, INVESTMENT MANAGEMENT AND RELATED PARTY TRANSACTIONS
State Street Bank has retained the services of Capital Guardian Trust
Company, a wholly-owned subsidiary of The Capital Group Companies, Inc.,
Columbus Circle Investors, a division of PIMCO Advisors, L.P., RCM Capital
Management, a limited liability company, is a wholly owned subsidiary of
Dresdner Bank, A.G., Sit Investment Associates, Inc., Miller, Anderson &
Sherrerd, LLP, a wholly owned subsidiary of Morgan Stanley Asset Management
Holdings, Inc., Lincoln Capital Management Company, and Sanford C. Bernstein &
Co., Inc. to advise it with respect to its investment responsibility and has
allocated the assets of certain of the Funds among the investment advisors.
Each investment advisor recommends to State Street Bank investments and
reinvestments of the assets allocated to it in accordance with the investment
policies of the respective Fund as described above. State Street Bank exercises
discretion with respect to the selection and retention of the investment
advisors and may remove, upon consultation with ABRA, an investment advisor at
any time.
A fee is paid to each investment advisor for certain of the funds based on
the value of the assets allocated to that investment advisor and the respective
breakpoints agreed to in the contract. These fees are accrued on a daily basis
and paid monthly from the assets. Fee rate ranges based on the respective
breakpoints are as follows:
<TABLE>
<CAPTION>
INVESTMENT ADVISOR FEE RATE RANGE
------------------ ---------------
<S> <C> <C>
Capital Guardian Trust Company (Growth Equity and
Aggressive Equity)....................................... .225% to .50%
Columbus Circle Investors (Growth Equity)................. .30% to .50%
RCM Capital Management (Growth Equity).................... .25% to .70%
Sit Investment Associates (Aggressive Equity)............. .60% to 1.00%
Miller, Anderson & Sherrerd, LLP (Balanced)............... .20% to .60%
Lincoln Capital Management Company (Balanced)............. .15% to .4675%
Sanford C. Bernstein & Co., Inc. (Value Equity)........... .15% to .50%
</TABLE>
A program fee ("Program Fee") is paid to State Street Bank and ABRA based on
the value of Program assets. This fee is accrued on a daily basis and paid
monthly from the assets of the Funds based on the following annual rates:
<TABLE>
<CAPTION>
RATE FOR RATE FOR
STATE STREET BANK ABRA
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
VALUE OF PROGRAM ASSETS 1996 1996
----------------------- ----------------- ------------
<S> <C> <C>
First $500 million......................... .564% .075%
Next $850 million.......................... .40% .065%
Next $1.15 billion......................... .25% .035%
Next $1.5 billion.......................... .175% .025%
Over $4.0 billion.......................... .15% .015%
</TABLE>
State Street Bank and ABRA received Program fees of $7,601,931 and $1,115,812
for the year ended December 31, 1996, respectively.
146
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
A fee is paid to State Street Bank for its trustee, management and
administration of the assets in the Funds. This fee is accrued on a daily basis
and paid monthly from the assets of the Funds at the following annual rates:
<TABLE>
<CAPTION>
VALUE OF ASSETS IN BALANCED, VALUE EQUITY, GROWTH EQUITY,
AGGRESSIVE EQUITY AND INTERNATIONAL EQUITY FUNDS RATE
--------------------------------------------------------- ----
<S> <C>
First $500 million................................................. .10%
Next $500 million.................................................. .075%
Over $1 billion.................................................... .05%
<CAPTION>
VALUE OF ASSETS IN INDEX EQUITY FUND RATE
------------------------------------ ----
<S> <C>
First $50 million.................................................. .20%
Over $50 million................................................... .13%
<CAPTION>
VALUE OF ASSETS IN STABLE ASSET RETURN FUND* RATE
-------------------------------------------- ----
<S> <C>
First $750 million................................................. .20%
Next $250 million.................................................. .10%
Over $1.0 billion.................................................. .075%
<CAPTION>
VALUE OF ASSETS IN INTERMEDIATE BOND FUND RATE
----------------------------------------- ----
<S> <C>
First $500 million................................................. .10%
Next $500 million.................................................. .075%
Over $1.0 billion.................................................. .05%
</TABLE>
- --------
* For the purpose of determining the management fees charged to assets
invested in the Stable Asset Return Fund and administrative fees charged to
assets invested in Insurance Investment Contracts (an investment option of
the Program not included in the Trust), the amount of the assets held in
these two investment options is aggregated.
State Street Bank received trustee, management and administration fees which
aggregated $2,406,804 for the year ended December 31, 1996.
Assets allocated to the Portfolios are not subject to any fees except an
annual service fee of .10% for the first $100 million and .05% over $100
million. State Street Bank received Portfolio service fees of $51,026 for the
year ended December 31, 1996.
147
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities
excluding U.S. Government and short-term investments were as follows:
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1996
-------------------------
PURCHASES SALES
------------ ------------
<S> <C> <C>
Aggressive Equity Fund........................... $128,239,961 $119,409,361
Growth Equity Fund............................... 457,533,598 439,101,311
Balanced Fund.................................... 102,283,264 119,362,075
Stable Asset Return Fund......................... 136,505,106 133,313,248
Index Equity Fund................................ 34,284,546 11,559,734
Value Equity Fund................................ 25,312,526 5,887,699
International Equity Fund........................ 37,252,756 17,056,338
Intermediate Bond Fund........................... 24,692,772 9,959,670
Conservative Structured Portfolio Service........ 8,088,116 3,032,313
Moderate Structured Portfolio Service............ 24,141,842 6,550,390
Aggressive Structured Portfolio Service.......... 17,596,247 5,014,474
</TABLE>
The aggregate cost of purchases and proceeds from sales of U.S. Government
securities were as follows:
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1996
-------------------------
PURCHASES SALES
------------ ------------
<S> <C> <C>
Balanced Fund.................................... $424,694,317 $389,535,344
Value Equity Fund................................ 1,371,119 --
Growth Equity Fund............................... 730,905 3,707,083
</TABLE>
5. ORGANIZATIONAL EXPENSES
Expenses incurred in connection with the organization of the original funds
(Balanced, Aggressive, SARF and Growth) (the "Original Funds") in 1991 included
state and federal securities registration fees, legal and accounting fees and
expenses, and printing costs. These expenses were borne equally by the Original
Funds, capitalized by each Original Fund and amortized over a period of 60
months on a straight line basis. On May 15, 1996 ABRA reimbursed the Original
Funds for the remaining unamortized portion of the organization costs.
Organization costs reimbursed were $39,802, $35,366, $61,360, and $60,987 for
the Balanced, Aggressive, SARF and Growth Funds, respectively.
Expenses incurred in connection with the addition of new Funds and Portfolios
and the reorganization of the Program in 1995 included state and federal
securities registration fees, legal and accounting fees and expenses and
printing costs. These expenses were allocated to the Funds based on net asset
value, capitalized by each Fund and amortized over a period of 36 months on a
straight line basis. Organizational costs are reallocated on a quarterly basis
between Funds based on net asset value. There were no organizational expenses
allocated to the Portfolios.
If a Fund should terminate prior to the full amortization of its
organizational expenses, the amount per unit that will be realized by investors
upon the liquidation of the Fund may be less than the per unit net asset value
of the Fund at the time of liquidation. The unamortized portion of the
organizational expenses will be charged as an expense of the Fund in the event
of termination.
148
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
6. GEOGRAPHIC AND INDUSTRY CONCENTRATION
Certain Funds maintain investments in ADRs which involve special risks.
These securities may be subject to foreign government taxes that reduce their
attractiveness. Other risks of investing in such securities include political
or economic instability in the country involved, the difficulty of predicting
international trade patterns and the possibility of the imposition of exchange
controls. Foreign issuers generally are not subject to uniform accounting,
auditing and financial reporting standards comparable to those applicable to
domestic issuers. There is generally less regulation of stock exchanges,
brokers, banks and companies abroad than in the United States. With respect to
certain foreign countries, there is a possibility of expropriation or
diplomatic developments which could adversely affect investment in these
countries. ADRs do not lessen the risk of investing in foreign issuers;
however, by investing in ADRs rather than directly in foreign issuers' stock,
the Funds will avoid currency risks during the settlement period for purchases
or sales. In addition, the domestic market for ADRs may be more liquid than
the foreign market for the underlying securities.
A significant portion of the Aggressive Equity Fund's investments are in
securities of small to medium-sized companies, which typically have greater
market and financial risk than larger, more diversified companies. These
companies are often dependent on one or two products in rapidly changing
industries and may be more vulnerable to competition from larger companies
with greater resources and to economic conditions that affect their market
sector.
SARF invests in a collective investment fund that maintains investments in
contracts issued by insurance companies. The issuing institution's ability to
meet its contractual obligations under the respective contracts may be
affected by future economic and regulatory developments in the insurance
industry.
7. ACQUISITION OF BLENDED RATE FUND
On September 5, 1995, SARF acquired all of the net assets of the Blended
Rate Fund. The acquisition was accomplished by an exchange of 222,343,776
units of SARF (valued at $1.00/unit) for the 222,343,776 units of Blended Rate
Fund outstanding on September 5, 1995. The Blended Rate Fund's net assets at
that date ($222,343,776) were combined with those of SARF. The aggregate net
assets of SARF and the Blended Rate Fund immediately before the acquisition
were $498,717,192 and $222,343,776, respectively. Immediately after the
acquisition, the aggregate net assets of SARF were $721,060,968.
149
<PAGE>
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE.
Not Applicable.
PART III
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.
James S. Phalen. Mr. Phalen is the President and Chief Executive Officer of
the Collective Trust and Executive Vice President and Division Head of
Retirement Investment Services, a part of State Street Global Advisors, a
division of State Street. From June 1989 to August 1992 Mr. Phalen, age 46,
served as the President of Boston Financial Data Services, a subsidiary of
State Street. Mr. Phalen also serves as a director of Wellspring Resources
LLP.
Nancy P. Antin. Ms. Antin is the Vice President and Chief Financial Officer
of the Collective Trust, a Vice President of State Street and the Director of
ABRA Program Services. From January 1994 to June 1995, Ms. Antin, age 37, was
Vice President of ABRA Marketing and Client Services. From June 1991 to
January 1994, Ms. Antin was the Assistant Vice president of ABRA Client
Services. Prior to coming to State Street, Ms. Antin was employed by IBM in
Marketing and Administrative Management.
Susan C. Daniels. Ms. Daniels is the Treasurer and Chief Accounting Officer
of the Collective Trust and a Vice President of State Street for ABRA Program
Services, Retirement Investment Services, a part of State Street Global
Advisors, a division of State Street. Prior to joining State Street, Ms.
Daniels, age 39, was Vice President of Internal Control and Compliance at
First Data Investor Services Group. From April 1990 to November 1993, Ms.
Daniels was Director of Internal Audit at Boston Financial Data Services, a
subsidiary of State Street.
ITEM 11. EXECUTIVE COMPENSATION.
The executive officers of the Collective Trust receive no direct
remuneration from the Collective Trust, but do receive remuneration from State
Street Bank and Trust Company, the trustee of the Collective Trust. For a
description of fees received by State Street and others, see "Business--
Deductions and Fees."
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.
State Street, as sole trustee of each of the Master Trust and the Pooled
Trust, is the holder of record of all units of beneficial interests of each of
the Funds. Neither State Street nor any executive officer of the Collective
Trust beneficially owns any securities of the Collective Trust.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.
See "Business--The Program" and "--Deductions and Fees" for information
regarding certain relationships and transactions.
150
<PAGE>
PART IV
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K.
(a) The following documents are filed as part of this report:
1. Financial Statements.
See page 58 for an index to the Financial Statements included in this
report.
2. Financial Statement Schedules.
A Schedule of Investments for each of the Aggressive Equity Fund, the
Balanced Fund, the Growth Equity Fund the Stable Asset Return Fund and
the Value Equity Fund is included in Item 8 of this report.
Item 14(b) Reports on Form 8-K.
Not Applicable.
Item 14(c) Exhibits.
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION OF DOCUMENT
----------- -----------------------
<C> <S> <C>
3.1 American Bar Association Members/State Street Collective
Trust, Declaration of Trust by State Street Bank and Trust
Company, amended and restated December 5, 1991, with
Exhibits 1-5 attached thereto, included as Exhibit 3.1 to
Registrant's Form S-1 Registration Statement No. 33-50080
and incorporated herein by reference thereto.
3.2 American Bar Association Members/State Street Collective
Trust, Amendment to Declaration of Trust by State Street
Bank and Trust Company dated July 31, 1995, with Exhibits 1-
9 attached thereto, included as Exhibit 3.2 to Registrant's
Form S-1 Registration Statement No. 33-92120 and
incorporated herein by reference thereto.
3.3 American Bar Association Members/State Street Collective
Trust, Amended and Restated Fund Declarations dated as of
April 12, 1996 for each of the Aggressive Equity Fund, the
Balanced Fund, the Growth Equity Fund, the Index Equity
Fund, the Intermediate Bond Fund, the International Equity
Fund and the Value Equity Fund, included as Exhibit 3.3 to
Registrants Form S-1 Registration Statement No. 33-92120 and
incorporated herein by reference thereto.
3.4 Form of American Bar Association Members/State Street
Collective Trust, Second Amended and Restated Fund
Declaration for the Stable Asset Return Fund.
4.1 American Bar Association Members/State Street Collective
Trust, Fund Declaration for each Fund and the Structured
Portfolio Service, included in Exhibits No. 3.1, 3.2, 3.3 or
3.4.
10.1 Trust Agreement of the American Bar Association Members
Retirement Trust, amended and restated as of January 1,
1992, by and between the American Bar Retirement Association
and State Street Bank and Trust Company, included as Exhibit
10.1 to Registrant's Form 10-K for the year ended December
31, 1991 and incorporated herein by reference thereto.
10.2 Trust Agreement of the American Bar Association Members
Pooled Trust for Retirement Plans, amended and restated as
of January 1, 1992, by and between the American Bar
Retirement Association and State Street Bank and Trust
Company, included as Exhibit 10.2 to Registrant's Form 10-K
for the year ended December 31, 1991 and incorporated herein
by reference thereto.
</TABLE>
151
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION OF DOCUMENT
----------- -----------------------
<C> <S> <C>
10.3 Amendment to the American Bar Association Members Retirement
Trust, dated July 31, 1995 by and between the American Bar
Retirement Association and State Street Bank and Trust
Company, included as Exhibit 10.3 to Registrant's Form S-1
Registration Statement No. 33-92120 and incorporated herein
by reference thereto.
10.4 Amendment to the American Bar Association Members Pooled
Trust for Retirement Plans, dated July 31, 1995 by and
between the American Bar Retirement Association and State
Street Bank and Trust Company, included as Exhibit 10.4 to
Registrant's Form S-1 Registration Statement No. 33-92120
and incorporated herein by reference thereto.
10.5 American Bar Association Members Retirement Plan--Basic Plan
Document No. 01 and related participation agreements, as
approved by the Internal Revenue Service on February 26,
1992, included as Exhibit 10.3 to Registrant's Form S-1
Registration Statement No. 33-50080 and incorporated herein
by reference thereto.
10.6 American Bar Association Members Defined Benefit Pension
Plan--Basic Plan Document No. 02 and related participation
agreements, included as Exhibit 10.4 to Pre-Effective
Amendment No. 1 to Registrant's Registration Statement on
Form S-1 No. 33-42274 and incorporated herein by reference
thereto.
10.7 Administrative and Investment Services Agreement effective
January 1, 1992, between State Street Bank and Trust Company
and the American Bar Retirement Association, included as
Exhibit 10.5 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 33-42274
and incorporated herein by reference thereto.
10.8 Amendment No. 1 to Administrative and Investment Services
Agreement effective January 1, 1992 by and between State
Street Bank and Trust Company and the American Bar
Retirement Association, included as Exhibit 10.6 to
Registrant's Form S-1 Registration Statement No. 33-50080
and incorporated herein by reference thereto.
10.9 Amendment No. 2 to Administrative and Investment Services
Agreement dated July 31, 1995 by and between State Street
Bank and Trust Company and the American Bar Association
Retirement Association, included as Exhibit 10.9 to
Registrant's Form S-1 Registration Statement No. 33-92120
and incorporated herein by reference thereto.
10.10 Investment Advisor Agreement effective as of January 1, 1992
by and between State Street Bank and Trust Company and
Capital Guardian Trust Company relating to the Growth Equity
Fund, included as Exhibit 10.6 to Registrant's Annual Report
on Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
10.11 Investment Advisor Agreement effective as of January 1, 1992
by and between State Street Bank and Trust Company and RCM
Capital Management relating to the Growth Equity Fund,
included as Exhibit 10.8 to Registrant's Annual Report on
Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
10.12 Investment Advisor Agreement effective as of January 1, 1992
by and between State Street Bank and Trust Company and
Capital Guardian Trust Company relating to the Aggressive
Equity Fund, included as Exhibit 10.9 to Registrant's Annual
Report on Form 10-K for the year ended December 31, 1991 and
incorporated herein by reference thereto.
10.13 Investment Advisor Agreement effective as of January 1, 1992
by and between State Street Bank and Trust Company and Sit
Investment Associates, Inc. relating to the Aggressive
Equity Fund, included as Exhibit 10.10 to Registrant's
Annual Report on Form 10-K for the year ended December 31,
1991 and incorporated herein by reference thereto.
</TABLE>
152
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION OF DOCUMENT
----------- -----------------------
<C> <S> <C>
10.14 Investment Advisor Agreement effective as of October 1, 1992
by and between State Street Bank and Trust Company and
Miller, Anderson & Sherrerd relating to the Balanced Fund,
included as Exhibit 10.13 to Registrant's Form S-1
Registration Statement No. 33-50080 and incorporated herein
by reference thereto.
10.15 Investment Advisor Agreement effective as of November 1,
1992 by and between State Street Bank and Trust Company and
Lincoln Capital Management Company relating to the Balanced
Fund, included as Exhibit 10.14 to Registrant's Annual
Report on Form 10-K for the year ended December 31, 1992 and
incorporated herein by reference thereto.
10.16 Investment Advisor Agreement effective as of August 1, 1993
by and between State Street Bank and Trust Company and
Columbus Circle Investors relating to the Growth Equity
Fund, included as Exhibit 10.15 to Registrant's Form S-1
Registration Statement No. 33-68730 and incorporated herein
by reference thereto.
10.17 Investment Advisor Agreement dated July 31, 1995 by and
between State Street Bank and Trust Company and Sanford
Bernstein & Co. Inc. relating to the Value Equity Fund,
included as Exhibit 10.17 to Registrant's Form S-1
Registration Statement No. 33-92120 and incorporated herein
by reference thereto.
10.18 Plan of Merger effective as of September 5, 1995 merging
Blended Rate Fund with and into Enhanced Short Term
Investment Fund, included as Exhibit 10.18 to Registrant's
Form S-1 Registration Statement No. 33-92120 and
incorporated herein by reference thereto.
24.1 Power of Attorney.
27 Financial Data Schedules
</TABLE>
153
<PAGE>
GLOSSARY OF CERTAIN TERMS USED IN THIS REPORT
ABA--American Bar Association.
ABA DEFINED BENEFIT PLAN--The American Bar Association Members Defined Benefit
Plan, a defined benefit master plan.
ABA MEMBERS PLANS--The ABA Defined Benefit Plan and the ABA Retirement Plan,
collectively.
ABA MEMBERS TRUSTS--The Master Trust and the Pooled Trust, collectively.
ABA RETIREMENT PLAN--The American Bar Association Members Retirement Plan, a
defined contribution master plan.
ABRA--The American Bar Retirement Association, an Illinois not-for-profit
corporation established by the ABA to sponsor retirement programs for its
members and members of certain affiliated organizations.
ADRS--American Depository Receipts, which are securities representing interests
in securities issued by foreign corporations that are traded in U.S. dollars on
U.S. markets.
AGGREGATE RECORDKEEPING PLANS--Any Plan for which State Street keeps records on
an aggregate Plan basis, but does not keep records of separate accounts of
Participants under the Plan.
AGGRESSIVE EQUITY FUND--A Fund under the Collective Trust.
AMORTIZED COST PRICING--A method of valuing debt securities in which the
security is valued initially at its cost and, thereafter, assuming a constant
amortization to maturity of any discount or premium, regardless of the impact
on fluctuating interest rates on the market value of the security.
BALANCED FUND--A Fund under the Collective Trust.
BASE PLAN--The Investment Options, including the Equitable Real Estate Account
but excluding the Self-Managed Account, to which a Participant or Employer has
allocated assets.
BGI--BZW Barclay's Global Investors, anticipated future investment advisor to
the index portion of the Bond Fund.
BOND FUND--A Fund under the Collective Trust.
BOND INDEX FUND--the MasterWorks Bond Index Fund, a registered investment
company in which the Bond Fund invests.
BUSINESS DAY--Any day State Street is open and the New York Stock Exchange is
open for trading.
CAPITAL GUARDIAN--Capital Guardian Trust Company, an Investment Advisor to the
Growth Equity Fund and Aggressive Equity Fund.
COLLECTIVE TRUST--The American Bar Association Members/State Street Collective
Trust, a collective trust established and maintained by State Street for the
purpose of providing Investment Options to Investors under the Program.
COLUMBUS CIRCLE--Columbus Circle Investors, an Investment Advisor to the Growth
Equity Fund.
COMMISSION--The U.S. Securities and Exchange Commission.
154
<PAGE>
ELIGIBLE EMPLOYER--A law practice, bar association or other organization that
is eligible to adopt the Program.
ELIGIBLE INVESTORS--Participants in Plans established under the ABA Retirement
Plan, Employers that have established a Plan under the ABA Defined Benefit Plan
and Plan trustees under certain Individually Designed Plans, provided that in
such case the Employer or Plan trustee establishing such Plan has designated
the Self-Managed Account as an available Investment Option for its Plan.
EMPLOYER--An employer that has adopted an ABA Members Plan or has caused the
Pooled Trust to be adopted as part of its Individually Designed Plan. In some
contexts, Employer may also refer to the trustee of a trust established
pursuant to an Individually Designed Plan.
EQUITABLE LIFE--The Equitable Life Assurance Society of The United States, a
New York stock life insurance company.
EQUITABLE REAL ESTATE ACCOUNT--An Equitable Life separate account offered by
Equitable Life, as an Investment Option under the Program through December 31,
1991.
ERISA--The Employee Retirement Income Security Act of 1974, as amended.
FUNDS--Collective investment funds under the Collective Trust.
GIC--A guaranteed investment contract issued by an insurance company.
GROWTH EQUITY FUND--A Fund under the Collective Trust.
INDEX EQUITY FUND--A Fund under the Collective Trust.
INDIVIDUAL MASTER PLAN--A Plan adopted by an Eligible Employer under either the
ABA Defined Benefit Plan or the ABA Retirement Plan.
INDIVIDUALLY DESIGNED PLAN--A qualified individual employee pension or profit
sharing plan adopted by an Eligible Employer, other than an Individual Master
Plan.
INITIAL BOND FUND INVESTMENT VEHICLES--The Bond Index Fund and the Total Return
Fund.
INITIAL INVESTMENT VEHICLES--The Bond Index Fund, the Total Return Fund and the
T. Rowe International Fund.
INSURANCE INVESTMENT CONTRACT--Investment contracts issued by insurance
companies (commonly known as "guaranteed investment contracts or "GICs") of
three-year or five-year maturities and available as Investment Options under
the Program.
INTERNAL REVENUE CODE--The Internal Revenue Code of 1986, as amended.
INTERNATIONAL EQUITY FUND--A Fund under the Collective Trust.
INVESTMENT ADVISOR--A person or entity appointed by State Street to make
recommendations regarding the acquisition and disposition of assets in a Fund.
INVESTMENT COMPANY ACT--The Investment Company Act of 1940.
INVESTMENT CONTRACTS--Investment contracts or funding agreements issued by
insurance companies or investment contracts or certificates of deposit issued
by banks or trust companies.
INVESTMENT OPTION--Any investment vehicle to which assets contributed under the
Program may be allocated.
155
<PAGE>
INVESTMENT PERIOD--The specified period during which contributions are accepted
under the Program for the next purchase of designated Insurance Investment
Contracts.
INVESTOR--The person vested with the responsibility of determining the
allocation of the assets of a Plan among the Investment Options available under
the Program. The terms of each Plan determine the identity of the Investor for
the assets of the Plan or portion thereof.
IRS--Internal Revenue Service.
LB BOND INDEX--The Lehman Brothers Government/Corporate Bond Index.
LINCOLN CAPITAL--Lincoln Capital Management Company, an Investment Advisor to
the Balanced Fund.
MASTER TRUST--The American Bar Association Members Retirement Trust, which
holds assets contributed to the Program by Employers and Participants under the
Individual Master Plans.
MILLER, ANDERSON & SHERRERD--An Investment Advisor to the Balanced Fund.
MOODY'S--Moody's Investors Service, Inc.
NRSRO--Nationally recognized statistical rating organization.
PARTICIPANT--Employees (together with their beneficiaries where the context so
requires) of Employers and self-employed individuals who have adopted the
Program for their practices.
PIMCO--Pacific Investment Management Company, anticipated future Investment
Advisor to the actively managed portion of the Bond Fund.
PLAN--Either an Individual Master Plan or an Individually Designed Plan.
PLAN TRUSTEE--The trustee of an Individually Designed Plan.
POOLED TRUST--The American Bar Association Members Pooled Trust for Retirement
Plans, which holds assets contributed to the Program by Individually Designed
Plans.
PRICE-FLEMING--Rowe Price-Fleming International, Inc., anticipated future
Investment Advisor to the International Equity Fund.
PROGRAM--The American Bar Association Members Retirement Program.
RCM CAPITAL--RCM Capital Management, an Investment Advisor to the Growth Equity
Fund.
SANFORD BERNSTEIN--Sanford C. Bernstein & Co., Inc., an Investment Advisor to
the Value Equity Fund.
S&P--Standard & Poor's Corporation.
S&P 500 INDEX--Standard & Poor's 500 Composite Stock Price Index.
SECURITIES ACT--The Securities Act of 1933.
SELF-MANAGED ACCOUNT--An Investment Option through which a Participant may
direct the purchase and sale of publicly traded debt and equity securities and
shares of mutual funds for the Participant's individual account.
156
<PAGE>
SHORT TERM INVESTMENT PRODUCTS--U.S. Government Obligations, notes, bonds and
similar debt instruments of corporations, commercial paper, certificate of
deposit and time deposits, bankers' acceptances, variable and indexed interest
notes and repurchase agreements.
SIT ASSOCIATES--Sit Investment Associates, Inc., an Investment Advisor to the
Aggressive Equity Fund.
STABLE ASSET RETURN FUND--A Fund under the Collective Trust.
STATE STREET--State Street Bank and Trust Company, a trust company organized
under the laws of The Commonwealth of Massachusetts that serves as trustee of
the ABA Members Trusts and the Collective Trust and as administrator of the
Program.
STRUCTURED PORTFOLIO SERVICE--three portfolios established under the Collective
Trust that offer conservative, moderate and aggressive allocations,
respectively, of assets among the Funds described herein.
SWEEP ACCOUNT--An account established for a Participant with a mutual fund or
other short-term investment fund for the temporary investment of excess cash
held in the Participant's Self-Managed Account.
T. ROWE INTERNATIONAL FUND--The T. Rowe Price International Stock Fund, a
registered investment company in which the International Equity Fund invests.
TOTAL RETURN FUND--The PIMCO Total Return Fund, a registered investment company
in which the Bond Fund invests.
UNIT--A pro rata beneficial interest in a Fund or a portfolio of the Structured
Portfolio Service under the Collective Trust.
UNIT VALUe--The dollar value of a Unit of a Fund or of an interest in a
portfolio of the Structured Portfolio Service.
U.S. GOVERNMENT OBLIGATIONS--Obligations of the United States and the agencies
and instrumentalities thereof.
VALUE EQUITY FUND--A Fund under the Collective Trust.
VRU--The Voice Response Unit, which may be reached by dialing (800) 348-2272.
WITHDRAWAL SEQUENCE--The order in which Investment Options are chosen for the
withdrawal of assets to pay fees under the Program.
157
<PAGE>
SIGNATURES
PURSUANT TO THE REQUIREMENTS OF SECTION 13 OR 15(D) OF THE SECURITIES
EXCHANGE ACT OF 1934, THE REGISTRANT HAS DULY CAUSED THIS REPORT TO BE SIGNED
ON ITS BEHALF BY THE UNDERSIGNED, THEREUNTO DULY AUTHORIZED.
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
Date: March 27, 1997 /s/ James S. Phalen
By:
-----------------------------------
Name: James S. Phalen
Title: President and Chief
Executive Officer
PURSUANT TO THE REQUIREMENTS OF THE SECURITIES EXCHANGE ACT OF 1934, THIS
REPORT HAS BEEN SIGNED BELOW BY THE FOLLOWING PERSONS ON BEHALF OF THE
REGISTRANT AND IN THE CAPACITIES AND ON THE DATES INDICATED.
SIGNATURE TITLE DATE
/s/ James S. Phalen President and Chief March 27, 1997
- ------------------------------------- Executive Officer
JAMES S. PHALEN of the American Bar
Association
Members/State
Street Collective
Trust (Principal
Executive Officer)
/s/ Nancy P. Antin Vice President and March 27, 1997
- ------------------------------------- Chief Financial
NANCY P. ANTIN Officer of the
American Bar
Association
Members/State
Street Collective
Trust (Principal
Financial Officer)
/s/ Susan C. Daniels Treasurer and Chief March 27, 1997
- ------------------------------------- Accounting Officer
SUSAN C. DANIELS of the American Bar
Association
Members/State
Street Collective
Trust (Principal
Accounting Officer)
158
<PAGE>
SIGNATURE TITLE DATE
* Chairman and Chief March 27, 1997
- ------------------------------------- Executive Officer
MARSHALL N. CARTER of State Street
Bank and Trust
Company
* Director, President March 27, 1997
- ------------------------------------- and Chief Operating
DAVID A. SPINA Officer of State
Street Bank and
Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
TENLEY E. ALBRIGHT Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
JOSEPH A. BAUTE, JR. Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
I. MACALLISTER BOOTH Trust Company
Director of State
- ------------------------------------- Street Bank and
JAMES I. CASH, JR. Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
TRUMAN S. CASNER Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
NADER F. DAREHSHORI Trust Company
159
<PAGE>
SIGNATURE TITLE DATE
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
ARTHUR L. GOLDSTEIN Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
CHARLES F. KAYE Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
JOHN M. KUCHARSKI Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
CHARLES R. LAMANTIA Trust Company
Director of State
- ------------------------------------- Street Bank and
DAVID B. PERINI Trust Company
* Director of State March 27, 1997
- ------------------------------------- Street Bank and
DENNIS J. PICARD Trust Company
/s/ Nicholas A. Lopardo
*By _________________________________
NAME: NICHOLAS A. LOPARDO ATTORNEY-
IN-FACT
/s/ John R. Towers
*By _________________________________
NAME: JOHN R. TOWERS ATTORNEY-IN-
FACT
160
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET
COLLECTIVE TRUST
SECOND AMENDED FUND DECLARATION
STABLE ASSET RETURN FUND
(FORMERLY ENHANCED SHORT TERM INVESTMENT FUND)
Pursuant to Article VII of the Declaration of Trust, dated December 5,
1991, which authorizes State Street Bank and Trust Company as trustee ("State
Street" or the "Trustee") of the American Bar Association Members/State Street
Collective Trust (the "Collective Trust") to amend the Fund Declarations of the
investment funds established under the Collective Trust, effective as of
__________ __, 1997, State Street hereby amends and restates the Fund
Declaration dated November 25, 1991 of the Enhanced Short Term Investment Fund
("ESTIF"), an investment fund established under the Collective Trust, to, among
other things, change the name of ESTIF and certain aspects of the investment
objectives, guidelines and restrictions applicable thereto. The provisions of
the Declaration of Trust are incorporated herein by reference. In addition, the
Trustee agrees and declares that it will hold, administer and deal with all
money and property received or purchased by it as Trustee of the Collective
Trust subject to the additional terms and conditions set forth in this Fund
Declaration. Capitalized terms used and not otherwise defined shall have the
meanings set forth in the Declaration of Trust.
1. Name of the Fund. The name of this investment fund shall be
----------------
"Stable Asset Return Fund" (the "Fund").
2. Investment Objective. The investment objective of the Fund is to
--------------------
provide current income consistent with preserving principal and maintaining
liquidity.
3. Investment Guidelines and Restrictions. The assets of the Fund
--------------------------------------
shall be normally invested and reinvested in (a) obligations of the United
States and the agencies and instrumentalities thereof ("United States
Obligations") and in other high quality money market instruments, including, but
not limited to, notes, bonds and similar debt instruments, commercial paper,
certificates of deposit and time deposits, bankers' acceptances, variable and
indexed
<PAGE>
interest notes and repurchase agreements ("Short-term Investment Products"); and
(b) investment contracts or "Synthetic GICs" (as defined below) issued by
insurance companies, banks or other financial institutions or investment
contracts or certificates of deposit issued by domestic and foreign banks or
trust companies (collectively, all such investments are referred to herein as
"Investment Contracts"). For this purpose, "Synthetic GICs" means arrangements
comprised of an investment in one or more securities and a contract issued by an
insurance company, bank or other financial institution that provides for the
return of principal and an agreed upon rate of interest. All such Investment
Contracts and Synthetic GICs shall be benefit responsive (i.e., responsive to
withdrawal, transfer and benefit payment requests at book or face value and
shall satisfy any other conditions as may be required so that each such contract
can be accounted for and valued at book or face value under generally accepted
accounting principles). The underlying securities of Synthetic GICs shall
generally consist of fixed-income debt instruments.
All of the investments by the Fund may be made through collective
investment funds maintained by State Street, so long as such collective
investment funds comply with the investment guidelines and restrictions
described herein.
It is the intention of the Trustee not to cause the Fund to invest in
derivative securities, except to the extent set forth in the Prospectus of the
Collective Trust from time to time in effect pursuant to which the Units of the
Fund may be issued. The Trustee, subject to consultation with ABRA, may in the
future review such investment policy.
Investments in Short-Term Investment Products, other than United States
Obligations, at the time of purchase (a) must be rated or issued by issuers that
rated in either of the two highest rating categories applicable to bonds by at
least two nationally recognized statistical rating organizations ("NRSROs"), at
least one of which must be Moody's Investors Service, Inc. ("Moody's") or
Standard & Poor's Corporation ("S&P"), (b) must be rated or issued by issuers
that rated in the highest rating category applicable to commercial paper by at
least two NRSROs, at least one of which must be Moody's or S&P, or (c) if
unrated, must be issued or guaranteed by an issuer that has other comparable
outstanding instruments that are so rated or is itself rated in either of the
two highest rating categories by at least two NRSROs, at least one of which
must be Moody's or S&P. For purposes of this restriction, an investment in a
repurchase agreement will be considered to be an investment in the securities
that are subject to the repurchase agreement.
<PAGE>
The Stable Asset Return Fund will not invest in any Investment Contract,
unless, at the time of purchase, the Investment Contract or issuer is rated in
one of the two highest rating categories by at least two NRSROs, at least one of
which must be S&P or Moody's.
Except for Investment Contracts and United States Obligations, the
Trustee shall not invest, either directly or indirectly through one or more
collective investment funds, more than 5% of the assets of the Fund in
securities of a single issuer, determined at the time of purchase. Other than
Investment Contracts, the Trustee shall not, either directly or indirectly
through one or more collective investment funds, invest more than 10% of the
assets of the Fund in illiquid securities, including repurchase agreements with
maturities of greater than 7 days or portfolio securities that are not readily
marketable or redeemable, in each case determined at the time of purchase. The
proportion of the assets of the Fund invested, either directly or indirectly
through one or more collective investment funds, in Investment Contracts of any
one insurance company, bank or financial institution will generally not be
greater than 15% of the aggregate value of Investment Contracts included in the
Fund's portfolio, and in no event greater than 20%, in each case determined at
the time of purchase.
4. Transfers. A Participating Trust may request withdrawal of any
---------
number of Units from the Fund on any Business Day; provided, however, the
Trustee may limit or suspend certain or all withdrawal and transfer rights when
the amount of liquid assets held by the Fund are insufficient in the judgment of
the Trustee to satisfy all required withdrawal and transfer requests.
5. Trustee, Management and Administrative Fees. For services rendered
-------------------------------------------
as trustee of the Fund, the Trustee will be entitled to receive compensation in
the amount and at the time set forth in Schedule A attached hereto.
6. Conflicts. In the event of a conflict between the terms of this
---------
document and the Declaration of Trust, the Declaration of Trust shall control
unless the Declaration of Trust specifically permits the Trustee to vary the
particular provision set forth therein.
<PAGE>
IN WITNESS WHEREOF, STATE STREET BANK AND TRUST COMPANY has caused its
name to be signed to this Amended Fund Declaration for the Stable Asset Return
Fund by its proper officer as of _________ __, 1997.
ATTEST: STATE STREET BANK AND TRUST
COMPANY
By:_____________________ By:___________________________
Name: Name:
Title: Title:
<PAGE>
STABLE ASSET RETURN FUND
(FORMERLY ENHANCED SHORT TERM INVESTMENT FUND)
SECOND AMENDED FUND DECLARATION
SCHEDULE A
For services rendered to the Stable Asset Return Fund, the Trustee shall
be entitled to receive with respect to the assets of the Fund a Trustee,
Management and Administrative fee,/1/ charged at the following annual rates,
which will accrue on a daily basis and will be paid monthly, provided that such
fee shall be reduced by the amount of any management fee received by the Trustee
(which for these purposes shall not exceed the amount set forth below) on
account of the investment of any assets of the Fund in any other collective
investment trust maintained by the Trustee:
Value of Assets in
Stable Asset Return Fund Rate
------------------------ ----
First $750 million .20 %
Next $250 million .10
Over $1.0 billion .075
- -----------------
/1/ For the purpose of determining such fees charged to assets invested in the
Stable Asset Return Fund and administrative fees charged to assets invested
in Insurance Investment Contracts (as defined in the Prospectus of the
Collective Trust in effect from time to time), the amount of the assets
held in these two investment options shall be aggregated.
<PAGE>
EXHIBIT 24.1
POWER OF ATTORNEY
KNOW ALL MEN BY THESE PRESENTS THAT we, the undersigned officers and Directors
of State Street Bank and Trust Company, hereby appoint Marshall N. Carter,
David A. Spina, Nicholas A. Lopardo and John R. Towers, and each of them as
attorneys and agents for the undersigned with full power to them, and any two
of them acting together, for and in the name, place and stead of the
undersigned, until revoked in writing, to sign and file with the Securities
and Exchange Commission (the "Commission") under the Securities Exchange Act
of 1934, as amended (the "Exchange Act"), the Annual Report on Form 10-K (the
"Form 10-K") of the American Bar Association Members/State Street Collective
Trust (the "Collective Trust") for the fiscal year ended December 31, 1996,
and any and all amendments, applications, instruments and other documents to
be filed with the Commission pertaining to the Form 10-K, and generally with
full power and authority to do and perform any and all such acts and things
whatsoever requisite or desirable in the names and in the capacities of the
undersigned as officers and Directors to enable State Street Bank and Trust
Company and the Collective Trust to comply with the provisions of the Exchange
Act. This Power of Attorney may be executed in any number of counterparts, all
of which together shall constitute one and the same document.
Witness our hands on the dates set forth below:
SIGNATURE TITLE DATE
/s/ Marshall N. Carter Chairman and Chief February 20,
- ------------------------------------- Executive Officer 1997
MARSHALL N. CARTER of State Street
Bank and Trust
Company
/s/ David A. Spina Director, President February 20,
- ------------------------------------- and Chief Operating 1997
DAVID A. SPINA Officer of State
Street Bank and
Trust Company
/s/ Tenley E. Albright Director of State February 20,
- ------------------------------------- Street Bank and 1997
TENLEY E. ALBRIGHT Trust Company
/s/ Joseph A. Baute, Jr. Director of State February 20,
- ------------------------------------- Street Bank and 1997
JOSEPH A. BAUTE, JR. Trust Company
<PAGE>
SIGNATURE TITLE DATE
/s/ I. MacAllister Booth Director of State February 20,
- ------------------------------------ Street Bank and 1997
I. MACALLISTER BOOTH Trust Company
Director of State
- ------------------------------------ Street Bank and
JAMES I. CASH, JR. Trust Company
/s/ Truman S. Casner Director of State February 20,
- ------------------------------------ Street Bank and 1997
TRUMAN S. CASNER Trust Company
/s/ Nader F. Darehshori Director of State February 20,
- ------------------------------------ Street Bank and 1997
NADER F. DAREHSHORI Trust Company
/s/ Arthur L. Goldstein Director of State February 20,
- ------------------------------------ Street Bank and 1997
ARTHUR L. GOLDSTEIN Trust Company
/s/ Charles F. Kaye Director of State February 20,
- ------------------------------------ Street Bank and 1997
CHARLES F. KAYE Trust Company
/s/ John M. Kucharski Director of State February 20,
- ------------------------------------ Street Bank and 1997
JOHN M. KUCHARSKI Trust Company
/s/ Charles R. LaMantia Director of State February 20,
- ------------------------------------ Street Bank and 1997
CHARLES R. LAMANTIA Trust Company
Director of State
- ------------------------------------ Street Bank and
DAVID B. PERINI Trust Company
/s/ Dennis J. Picard Director of State February 20,
- ------------------------------------ Street Bank and 1997
DENNIS J. PICARD Trust Company
2
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 1
<NAME> AGGRESSIVE EQUITY FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 210,446,953
<INVESTMENTS-AT-VALUE> 276,817,407
<RECEIVABLES> 916,030
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 130,656
<TOTAL-ASSETS> 277,864,093
<PAYABLE-FOR-SECURITIES> 1,483,352
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 465,273
<TOTAL-LIABILITIES> 1,948,625
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 275,915,468
<DIVIDEND-INCOME> 1,506,725
<INTEREST-INCOME> 900,043
<OTHER-INCOME> 0
<EXPENSES-NET> 2,567,232
<NET-INVESTMENT-INCOME> (160,464)
<REALIZED-GAINS-CURRENT> 24,233,418
<APPREC-INCREASE-CURRENT> 24,880,200
<NET-CHANGE-FROM-OPS> 48,953,154
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 937,668
<NUMBER-OF-SHARES-REDEEMED> (600,524)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 61,376,758
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 33.57
<PER-SHARE-NII> (0.03)
<PER-SHARE-GAIN-APPREC> 7.47
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 41.01
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 2
<NAME> BALANCED FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 272,594,728
<INVESTMENTS-AT-VALUE> 315,074,250
<RECEIVABLES> 5,586,411
<ASSETS-OTHER> 30,377
<OTHER-ITEMS-ASSETS> 171,473
<TOTAL-ASSETS> 320,862,511
<PAYABLE-FOR-SECURITIES> 25,098,449
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 362,730
<TOTAL-LIABILITIES> 25,461,179
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 295,401,332
<DIVIDEND-INCOME> 3,175,652
<INTEREST-INCOME> 7,485,491
<OTHER-INCOME> 12,160
<EXPENSES-NET> 2,685,882
<NET-INVESTMENT-INCOME> 7,987,421
<REALIZED-GAINS-CURRENT> 26,015,161
<APPREC-INCREASE-CURRENT> 5,122,866
<NET-CHANGE-FROM-OPS> 39,125,448
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 584,936
<NUMBER-OF-SHARES-REDEEMED> (812,851)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 30,875,114
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 32.01
<PER-SHARE-NII> .97
<PER-SHARE-GAIN-APPREC> 3.78
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 36.76
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 3
<NAME> GROWTH EQUITY FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 564,888,296
<INVESTMENTS-AT-VALUE> 752,791,114
<RECEIVABLES> 2,346,533
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 779,608
<TOTAL-ASSETS> 755,917,255
<PAYABLE-FOR-SECURITIES> 2,278,350
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 840,856
<TOTAL-LIABILITIES> 3,119,206
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 752,798,049
<DIVIDEND-INCOME> 12,437,990
<INTEREST-INCOME> 1,590,969
<OTHER-INCOME> 0
<EXPENSES-NET> 6,143,718
<NET-INVESTMENT-INCOME> 7,885,241
<REALIZED-GAINS-CURRENT> 77,526,269
<APPREC-INCREASE-CURRENT> 50,117,149
<NET-CHANGE-FROM-OPS> 135,528,659
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 146,346
<NUMBER-OF-SHARES-REDEEMED> (222,953)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 114,964,011
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 229.27
<PER-SHARE-NII> 2.85
<PER-SHARE-GAIN-APPREC> 46.14
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 278.26
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 4
<NAME> INDEX EQUITY FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 69,040,779
<INVESTMENTS-AT-VALUE> 82,411,150
<RECEIVABLES> 473,697
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 184,746
<TOTAL-ASSETS> 83,069,593
<PAYABLE-FOR-SECURITIES> 146,836
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 41,754
<TOTAL-LIABILITIES> 188,590
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 82,881,003
<DIVIDEND-INCOME> 1,212,076
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 454,344
<NET-INVESTMENT-INCOME> 757,732
<REALIZED-GAINS-CURRENT> 5,721,776
<APPREC-INCREASE-CURRENT> 6,212,264
<NET-CHANGE-FROM-OPS> 12,691,772
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,077,161
<NUMBER-OF-SHARES-REDEEMED> (600,595)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 34,860,732
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 13.97
<PER-SHARE-NII> .17
<PER-SHARE-GAIN-APPREC> 2.72
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 16.86
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 5
<NAME> INTERMEDIATE BOND FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 49,790,255
<INVESTMENTS-AT-VALUE> 49,610,757
<RECEIVABLES> 157,405
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 23,347
<TOTAL-ASSETS> 49,791,509
<PAYABLE-FOR-SECURITIES> 157,405
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 22,287
<TOTAL-LIABILITIES> 179,692
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 49,611,817
<DIVIDEND-INCOME> 2,848,793
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 259,192
<NET-INVESTMENT-INCOME> 2,589,601
<REALIZED-GAINS-CURRENT> (177,766)
<APPREC-INCREASE-CURRENT> (1,011,400)
<NET-CHANGE-FROM-OPS> 1,400,435
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,076,702
<NUMBER-OF-SHARES-REDEEMED> (967,542)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 13,155,145
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.58
<PER-SHARE-NII> .61
<PER-SHARE-GAIN-APPREC> (.30)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.89
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 6
<NAME> INTERNATIONAL EQUITY FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 32,234,612
<INVESTMENTS-AT-VALUE> 33,266,583
<RECEIVABLES> 697,432
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 15,884
<TOTAL-ASSETS> 33,979,899
<PAYABLE-FOR-SECURITIES> 697,432
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,167
<TOTAL-LIABILITIES> 711,599
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 33,268,300
<DIVIDEND-INCOME> 967,405
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 136,454
<NET-INVESTMENT-INCOME> 830,951
<REALIZED-GAINS-CURRENT> 1,492,478
<APPREC-INCREASE-CURRENT> 1,022,272
<NET-CHANGE-FROM-OPS> 3,345,701
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,107,610
<NUMBER-OF-SHARES-REDEEMED> (945,017)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 22,419,738
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 15.37
<PER-SHARE-NII> .60
<PER-SHARE-GAIN-APPREC> 1.83
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 17.80
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 7
<NAME> STABLE ASSET RETURN FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 635,256,187
<INVESTMENTS-AT-VALUE> 635,256,187
<RECEIVABLES> 0
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 299,520
<TOTAL-ASSETS> 635,555,707
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 792,938
<TOTAL-LIABILITIES> 792,938
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 634,762,769
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 36,000,595
<OTHER-INCOME> 0
<EXPENSES-NET> 4,206,378
<NET-INVESTMENT-INCOME> 31,794,217
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 31,794,217
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 102,727,142
<NUMBER-OF-SHARES-REDEEMED> (129,966,222)
<SHARES-REINVESTED> 31,794,217
<NET-CHANGE-IN-ASSETS> 4,555,137
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 1.00
<PER-SHARE-NII> .05
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (.05)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1.00
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 8
<NAME> VALUE EQUITY FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 40,236,294
<INVESTMENTS-AT-VALUE> 47,190,964
<RECEIVABLES> 1,047,716
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 22,835
<TOTAL-ASSETS> 48,261,515
<PAYABLE-FOR-SECURITIES> 66,675
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 63,646
<TOTAL-LIABILITIES> 130,321
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 48,131,194
<DIVIDEND-INCOME> 763,336
<INTEREST-INCOME> 236,317
<OTHER-INCOME> 0
<EXPENSES-NET> 348,609
<NET-INVESTMENT-INCOME> 651,044
<REALIZED-GAINS-CURRENT> 535,992
<APPREC-INCREASE-CURRENT> 5,938,274
<NET-CHANGE-FROM-OPS> 7,125,310
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,004,767
<NUMBER-OF-SHARES-REDEEMED> (538,500)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 27,514,676
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 12.93
<PER-SHARE-NII> .26
<PER-SHARE-GAIN-APPREC> 2.54
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 15.73
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 9
<NAME> STRUCTURED PORTFOLIO SERVICE-CONSERVATIVE
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 10,508,968
<INVESTMENTS-AT-VALUE> 11,203,036
<RECEIVABLES> 2,293
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 11,205,329
<PAYABLE-FOR-SECURITIES> 2,293
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,059
<TOTAL-LIABILITIES> 4,352
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 11,200,977
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 8,859
<NET-INVESTMENT-INCOME> (8,859)
<REALIZED-GAINS-CURRENT> 361,277
<APPREC-INCREASE-CURRENT> 517,590
<NET-CHANGE-FROM-OPS> 870,008
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 679,535
<NUMBER-OF-SHARES-REDEEMED> (215,533)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 5,828,898
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.47
<PER-SHARE-NII> (.01)
<PER-SHARE-GAIN-APPREC> 1.00
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.46
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 10
<NAME> STRUCTURED PORTFOLIO SERVICE-MODERATE
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 29,879,018
<INVESTMENTS-AT-VALUE> 32,623,088
<RECEIVABLES> 35,243
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 32,658,331
<PAYABLE-FOR-SECURITIES> 35,243
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,748
<TOTAL-LIABILITIES> 40,991
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 32,617,340
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 24,228
<NET-INVESTMENT-INCOME> (24,228)
<REALIZED-GAINS-CURRENT> 839,719
<APPREC-INCREASE-CURRENT> 2,209,625
<NET-CHANGE-FROM-OPS> 3,025,116
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,965,891
<NUMBER-OF-SHARES-REDEEMED> (406,631)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 20,238,353
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.54
<PER-SHARE-NII> (.01)
<PER-SHARE-GAIN-APPREC> 1.40
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.93
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Assets and Liabilities, the Statement of Operations, the Statement
of Changes in Net Assets and the Per Unit Data and Ratios contained in the
financial statements of the fund to which this schedule relates and is qualified
in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000878375
<NAME> AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE
TRUST
<SERIES>
<NUMBER> 11
<NAME> STRUCTURED PORTFOLIO SERIVCE-AGGRESSIVE
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 22,866,771
<INVESTMENTS-AT-VALUE> 25,562,331
<RECEIVABLES> 105,008
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 25,667,339
<PAYABLE-FOR-SECURITIES> 105,008
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,470
<TOTAL-LIABILITIES> 109,478
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 25,557,861
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 17,939
<NET-INVESTMENT-INCOME> (17,939)
<REALIZED-GAINS-CURRENT> 770,720
<APPREC-INCREASE-CURRENT> 2,216,922
<NET-CHANGE-FROM-OPS> 2,969,703
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,429,208
<NUMBER-OF-SHARES-REDEEMED> (315,215)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 15,558,401
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.57
<PER-SHARE-NII> (.01)
<PER-SHARE-GAIN-APPREC> 1.85
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.41
<EXPENSE-RATIO> 0
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
