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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
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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, 1997
COMMISSION FILE NOS. 333-23633 AND 33-92120
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
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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)
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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]
As of December 31, 1997 the aggregate market value of the units of
beneficial interest in the various funds of the Collective Trust held by non-
affiliates was $2,971,000,000.
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TABLE OF CONTENTS
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Special Note Regarding Forward Looking Statements......................... 3
PART I
ITEM 1. Business ........................................................ 4
ITEM 2. Properties ...................................................... 45
ITEM 3. Legal Proceedings ............................................... 45
ITEM 4. Submission of Matters to a Vote of Security Holders ............. 45
PART II
ITEM 5. Market for Registrant's Common Stock and Related Stockholder
Matters ........................................................ 45
ITEM 6. Selected Financial Data ......................................... 46
ITEM 7. Management's Discussion and Analysis of Financial Condition and
Results of
Operations..................................................... 53
ITEM 7A. Quantitative and Qualitative Disclosure About Market Risk....... 56
ITEM 8. Financial Statements and Supplementary Data ..................... 57
ITEM 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure .......................................... 57
PART III
ITEM 10. Directors and Executive Officers of the Registrant .............. 57
ITEM 11. Executive Compensation .......................................... 57
ITEM 12. Security Ownership of Certain Beneficial Owners and Management .. 57
ITEM 13. Certain Relationships and Related Transactions .................. 57
PART IV
ITEM 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
................................................................ 58
Glossary of Certain Terms Used in This Report ............................ 61
Signatures ............................................................... 65
Financial Statements...................................................... F-1
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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."
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See "Glossary of Certain Terms Used in this Report" on page 61 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
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."
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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.
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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 two-thirds of such
portfolio to be actively managed and one-third 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 in any publicly traded
debt and equity securities and shares of numerous mutual funds through a Self-
Managed Account.
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.
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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"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, 1997, approximately 44% of the Fund's
assets were invested in Short-Term Investment Products and 56% of the Fund's
assets were invested in investment contracts. As of December 31, 1997, the
average weighted maturity of the Stable Asset Return Fund was 1.3 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.
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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
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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 two-thirds) 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
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remaining maturity of greater than one year. As of December 31, 1997, U.S.
Government Obligations and corporate debt securities represented 72% and 28%,
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
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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 was 14%, 22% and 2% for 1997, 1996 and the period from
September 5, 1995 to December 31, 1995, respectively. 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).
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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 two-
thirds 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, 1997, $56 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 one-
third 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, 1997, $27
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.
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<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 two-
thirds to PIMCO and one-third to BGI. Income and 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 long-term 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.
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<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."
Effective June 30, 1997, State Street began to direct the allocation of the
Fund's assets between debt and equity securities consistent with the Fund's
strategy and began to obtain investment advice from separate advisors for each
of the debt and equity portions of the Fund. Before then, State Street
allocated a portion of the Fund's assets to each of its Investment Advisors,
who then advised State Street with respect to both debt and equity securities
and with respect to the allocation of the Fund's assets between debt and
equity securities. Effective June 30, 1997, State Street directed that
approximately 40% of the Balanced Fund's assets be allocated to debt
securities (with respect to which State Street will receive advice from one
Investment Advisor) and approximately 60% be allocated to equity securities
(with respect to which State Street will receive advice from another
Investment Advisor). Contributions to and withdrawals from the Fund are
allocated so that the percentage of debt and equity securities will be as
close to approximately 40% and 60%, respectively, as may be practical, taking
into account the level of contributions and withdrawals and the Fund's
percentage of debt and equity securities at the time of each contribution or
withdrawal. State Street may change the allocation within the Fund, as well as
the allocation of the contributions to and withdrawals from the Fund from time
to time. Income and gains attributable to the assets allocated to each
Investment Advisor will remain allocated to such Investment Advisor unless
reallocated by State Street.
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 122%, 181% and 155% for 1997, 1996 and 1995,
respectively.
INVESTMENT ADVISORS. State Street has retained Capital Guardian Trust
Company ("Capital Guardian") 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. Capital Guardian
will serve as Investment Advisor with respect to investments in equity
securities and Miller, Anderson & Sherrerd will serve as Investment Advisor
with respect to investments in debt securities. 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
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<PAGE>
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 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 13%, 17% and 4% for 1997, 1996 and the period September 5,
1995 to December 31, 1995, respectively. The 1995 turnover rate reflects the
buildup of the Fund's portfolio during its first three months of operations.
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<PAGE>
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. A portion of the
Growth Equity Fund (initially 25%) will be invested to replicate the Russell
1000 Growth Index, which is composed of those Russell 1000 securities with a
greater than average growth orientation. The remainder of the Growth Equity
Fund will be actively managed. The Growth 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. RUSSELL DOES NOT
SPONSOR THE GROWTH EQUITY FUND, NOR IS IT AFFILIATED IN ANY WAY WITH THE GROWTH
EQUITY FUND OR STATE STREET. 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
16
<PAGE>
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 88%, 64% and 60% in 1997, 1996, and 1995, respectively.
INVESTMENT ADVISORS. State Street has retained Capital Guardian, Lincoln
Capital Management Company ("Lincoln Capital"), Dresdner RCM Global Investors
LLC ("Dresdner RCM") and Bankers Trust Company ("Bankers Trust") 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
25% to each of the Fund's Investment Advisors. Bankers Trust will serve as
advisor to the index portion of the Fund. Income and 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 portion of the Growth Equity Fund than originally allocated to such
Investment 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, 1997, the largest company had a market capitalization of
approximately $240 billion and the smallest company had a market
capitalization of approximately $20 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
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<PAGE>
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 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 11%, 17% and 132% in 1997, 1996 and
1995,
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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)
S&P 500 Flagship 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 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
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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 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
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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 36%, 48% and 63%, in 1997, 1996
and 1995, 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 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 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, capital gains, 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
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diversification. Historically, returns on foreign investments have not moved
together with U.S. stocks over the long term. However, foreign stocks may not
always move counter to U.S. stocks in the short run.
STRATEGY. The International Equity Fund intends to diversify investments
broadly among developed 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."
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, such as currency risk, that can increase the potential for the losses
in the Fund. Normally, these risks are significantly greater 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. The Fund's total return will be affected by currency fluctuations. The
exact amount of the impact depends on the currencies represented in the Fund's
portfolio and how each one appreciates or depreciates in relation to the U.S.
dollar. Exchange rate movements can be large, unpredictable and endure for
extended periods of time.
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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. 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. This makes investment in such markets significantly
riskier than investment in other markets.
Some economies of the countries in which investments may be made are less
developed, overly reliant on particular industries and more vulnerable to the
ebb and flow of international trade, trade barriers and other protectionist or
retaliatory measures. Some countries, particularly in Latin America and other
emerging markets have legacies of hyperinflation and the risk of future
hyperinflation and currency devaluations versus the dollar (which adversely
affect returns to U.S. investors) and may be overly dependent on foreign
capital (a risk that is exacerbated by large currency movements). 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 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 capital controls,
nationalizing an industry or company, expropriating assets, or imposing
punative taxes could have a severe adverse effect on security prices and
impair the 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 a
significant degree in the countries' 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 found in Asian, 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
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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 101%, 73% and 4% for 1997, 1996 and the
period from September 5, 1995 to December 31, 1995, respectively. 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.
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, 1997, $59 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, 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
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<PAGE>
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;
. 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) 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
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<PAGE>
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 and statement of
additional information.
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 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 and the indexed portion of the
Growth Equity 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).
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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 such registered
investment companies will be subject to the derivatives policies adopted by
such companies. Such policies are described in the prospectuses and statements
of additional information 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. Hybrid
Instruments can have volatile prices and limited liquidity, and their
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use by the T. Rowe International Fund may not be successful. In addition,
investors should not view percentage investment restrictions as an accurate
gauge of the potential risk of such investments. For example, in a given
period, a 5% investment in Hybrid Investments could have significantly more of
an impact on the T. Rowe International Fund's share price than its weighting
in the portfolio.
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.
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.
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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.
The Investment Advisors are:
BANKERS TRUST COMPANY. Advisor to the index portion of the Growth Equity
Fund, Bankers Trust began business in 1903 as a trust company and became a
commercial bank in 1917, and it is now one of the largest commercial banks in
the United States and has over 15,000 employees in more than 50 countries. Its
holding company, Bankers Trust New York Corporation, is headquartered in One
Bankers Trust Plaza, New York, NY 10006. The bank's client base includes major
corporations, financial institutions, governments and high net worth
individuals. The U.S. Investment Management Group ("USIM") is the firm's
primary provider of asset management services. Since the 1930's, USIM and its
global affiliates, including Bankers Trust Australia Limited and Japan Bankers
Trust, have built one of the world's largest asset management firms. As of
December 31, 1997, Bankers Trust managed over $318 billion in assets for
institutional and individual clients worldwide (of which approximately $282
was managed by USIM).
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 December 31, 1995, 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 $504 billion.
CAPITAL GUARDIAN TRUST COMPANY. Advisor to the equity portion of the
Balanced Fund, and to the Growth Equity Fund and the Aggressive Equity Fund,
Capital Guardian, a wholly-owned subsidiary of
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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, 1997, it had
approximately $67 billion in assets under its management.
DRESDNER RCM GLOBAL INVESTORS LLC. Advisor to the Growth Equity Fund,
Dresdner RCM is the institutional investment management arm of the Dresdner
Bank Group outside of Germany. Dresdner RCM established a global identity
based on the integration of RCM Capital Management based in San Francisco,
Thornton and Co. based in London and Hong Kong, the asset management business
of Kleinwort Benson Management based in London and Tokyo, and BIP Gestion in
Paris. The firm has its global headquarters at Suite 2900, Four Embarcadero
Center, San Francisco, CA 94111, with investment management, client servicing,
and operations in the world's primary financial centers. As of December 31,
1997, Dresdner RCM had approximately $60 billion of assets under management.
LINCOLN CAPITAL MANAGEMENT COMPANY. Advisor to the Growth Equity 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, 1997, Lincoln Capital had approximately $48 billion of assets under
management.
MILLER, ANDERSON & SHERRERD. Advisor to the debt portion of 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,
1997, Miller, Anderson & Sherrerd had approximately $59.4 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 $118 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 Investment Management Company, a California
corporation and an indirect wholly owned subsidiary of Pacific Life Insurance
Company, and PIMCO Partners, LLC, a limited liability company controlled by
the PIMCO Managing Directors. PIMCO's address is 840 Newport Center Drive,
Suite 360, Newport Beach, California 92660.
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, 1997, Price-Flemming managed more than $30 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.
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SANFORD C. BERNSTEIN & CO., INC. Advisor to the Value Equity Fund, Sanford
Bernstein was founded in 1967. As of December 31, 1997, the firm had
approximately $70 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 161 employees currently sharing in the profits, the firm has
a staff of 1,116, including 402 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, 1997, 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.
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, as
amended, 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.
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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.
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>
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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.
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. Assets
invested through a Self Managed Account are subject to the program expense
fee. See "--Deductions and Fees--Program Expense Fee." 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
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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.
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
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<PAGE>
conversations will be recorded. Market orders, buy-limit day orders and sell-
limit day orders are permitted. However, purchases on margin and short sales
are prohibited.
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 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.
EQUITABLE REAL ESTATE ACCOUNT
Interests in the Equitable Real Estate Account are not registered under the
Securities Exchange Act of 1934, as amended, and are described herein for
information purposes only.
Certain assets contributed to the Program prior to January 1, 1992 are held
by The Equitable Life Assurance Society of the United States ("Equitable Life")
in a separate account managed by ERE Yarmouth, Inc. (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.
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 the
performance by Equitable Life and ERE Yarmouth, Inc., the manager of the
account, of their 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.
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<PAGE>
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. 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 $5,000 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 $5,000 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 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.
36
<PAGE>
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.
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.
State Street's principal offices are located at 225 Franklin Street, Boston,
Massachusetts 02110. State Street is a wholly-owned subsidiary of State Street
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, 1997, State
37
<PAGE>
Street and its affiliates had a total risk-based capital ratio of 13.8%, which
is far in excess of applicable regulatory requirements. As of December 31,
1997, State Street together with its affiliates had over $3.9 trillion of
assets in trust or under custody and had over $390 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.
YEAR 2000 PREPARATION
Many computer systems and software products worldwide and throughout all
industries will not function properly as the year 2000 approaches unless
changed due to a once-common programming standard that represents years using
two-digits. This is the "Year 2000" problem that has received considerable
media coverage. State Street implemented a comprehensive program in 1996 that
addresses Year 2000 compliance and is supported by a corporate-wide structure
of compliance teams, a central program management office and a governance and
oversight structure.
As part of this program, State Street has identified those systems and
applications that require modification, redevelopment or replacement. The
program has established appropriate testing procedures and a schedule for
completion of this work. State Street's Year 2000 program also establishes
standards and deadlines for its vendors and other third-party providers, and
procedures for determining reasonable alternatives to those third-party
providers, including subcustodians, who do not meet compliance standards.
State Street's goal is to be Year 2000 compliant by December 31, 1998 with
respect to its internal systems. Testing and integration of third-party
providers' systems will continue into 1999. As of year-end 1997, the program
is well under way.
State Street is fully committed to achieving its compliance goal. This
program requires hiring staff and consultants, purchasing equipment and
incurring other expenses. State Street Corporation expects to absorb these
expenses within normal spending levels.
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,
38
<PAGE>
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 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, 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 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>
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. Such trustee, management and administrative fees attributable to
39
<PAGE>
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
</TABLE>
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
expense fee 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.
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 .383%. 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.
40
<PAGE>
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>
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
GROWTH EQUITY 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 $1,000 million............................................... .15
</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 .85%. 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 expense fees and trustee, management and administrative fees
are paid during the time that the Funds are invested in such registered
investment companies. Price-Fleming has separately agreed that in return for
administrative services provided by State Street with respect to the
International Equity Fund, Price-Fleming shall pay State Street a .10%
administrative fee which is credited to the International Equity Fund.
41
<PAGE>
<TABLE>
<CAPTION>
VALUE OF ASSETS IN
BALANCED FUND ALLOCATED TO
MILLER, ANDERSON & SHERRERD RATE
--------------------------- -------
<S> <C>
First $25 million.................................................. .50 %
Next $50 million................................................... .25
Next $775 million.................................................. .15
Over $850 million.................................................. .125
<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 BANKERS TRUST RATE
-------------------------- -------
<S> <C>
First $100 million................................................. .075 %
Next $100 million.................................................. .0375
Over $200 million.................................................. .010
<CAPTION>
VALUE OF ASSETS IN
GROWTH EQUITY FUND
ALLOCATED TO DRESDNER RCM 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
THE BALANCED FUND,
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>
- --------
* Investment Advisor fees payable to Capital Guardian are subject to a fee
reduction equal to 5% of the aggregate Investment Advisor fee payable to
Capital Guardian.
42
<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 41
</TABLE>
ORGANIZATIONAL EXPENSES
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.
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
43
<PAGE>
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 $1,200 will be deducted from the
assets of each Plan with fewer than 25 Participants under the ABA Defined
Benefit Plan. 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, 1997, which total $2,971,000,000. The
total includes $635,000,000 for the Stable Asset Return Fund, $83,000,000 for
the Bond Fund, $359,000,000 for the Balanced Fund, $113,000,000 for the Value
Equity Fund, $968,000,000 for the Growth Equity Fund, $154,000,000 for the
Index Fund, $332,000,000 for the Aggressive Equity Fund, $59,000,000 for the
International Equity Fund, $264,000,000 for the Self-Managed Account, and
$4,000,000 for the Equitable Real Estate Account. Of the above amounts
indicated for each Fund, an aggregate of approximately $135,000,000 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 $12,800,000 on an
annual basis (exclusive of certain non-recurring fees and the Structured
Portfolio Service fee). ABRA would receive fees of $1,447,000 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
44
<PAGE>
advisory fees would have been payable: Capital Guardian -- $1,467,000 (after an
applicable fee discount of $77,000); Bankers Trust -- $116,000; Lincoln Capital
- -- $763,000, Miller, Anderson & Sherrerd -- $331,000; RCM Capital -- $790,000;
Sit Associates -- $1,070,000; and Sanford Bernstein -- $378,000. 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 -- $240,800; Price-Fleming -- $502,000 (before credit of a
$59,000 administrative fee paid to the International Fund by Price-Fleming);
and BGI-- $62,000.
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 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 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.
45
<PAGE>
(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 LLP, 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 in response to 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.
46
<PAGE>
STABLE ASSET RETURN FUND:*
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 5, 1991
YEAR ENDED DECEMBER 31, (COMMENCEMENT OF
---------------------------------------------------------- OPERATIONS TO
1997 1996 1995 1994 1993 1992 DECEMBER 31, 1991)
-------- -------- -------- -------- -------- -------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ .060 $ .058 $ .061 $ .043 $ .035 $ .042 $ .004
Expenses................ (.007) (.007) (.007) (.007) (.008) (.008) (.000)
-------- -------- -------- -------- -------- -------- --------
Net investment income... .053 .051 .054 .036 .027 .034 .004
Reinvestment of net
investment income...... (.053) (.051) (.054) (.036) (.027) (.034) (.004)
-------- -------- -------- -------- -------- -------- --------
Net asset value at
beginning and end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .68% .68% .73% .73% .75% .79% --
Ratio of net investment
income to average net
assets................. 5.38% 5.15% 5.32% 3.55% 2.77% 3.45% --
Net assets at end of
period (in thousands).. $634,565 $634,763 $630,208 $491,979 $509,905 $589,882 $560,334
</TABLE>
INTERMEDIATE BOND FUND:
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED SEPTEMBER 5, 1995
DECEMBER 31, (COMMENCEMENT OF
---------------- OPERATIONS) TO
1997 1996 DECEMBER 31, 1995
------- ------- -----------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income.......................... $ .97 $ .67 $ .34
Expenses................................... (.07) (.06) (.02)
------- ------- -------
Net investment income...................... .90 .61 .32
Net realized and unrealized gain (loss) on
investments............................... .12 (.30) .26
------- ------- -------
Net increase in unit value................. 1.02 .31 .58
Net asset value at beginning of period..... 10.89 10.58 10.00
------- ------- -------
Net asset value at end of period........... $ 11.91 $ 10.89 $ 10.58
======= ======= =======
Ratio of expenses to average net assets.... .57% .58% .69%**
Ratio of net investment income to average
net assets................................ 7.93% 5.82% 9.17%**
Portfolio turnover***...................... 14% 22% 2%+
Total return............................... 9.37% 2.93% 5.80%+
Net assets at end of period (in thousands). $82,734 $49,612 $36,457
</TABLE>
- --------
* As of September 5, 1995, the Blended Rate Fund 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 the Blended Rate
Fund as of the effective date of the merger. As of such date, Units
previously outstanding of the Blended Rate Fund were deemed exchanged for
Units of ESTIF and all Units of ESTIF outstanding were deemed Units of the
Stable Asset Return Fund.
** 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.
+ Not annualized
47
<PAGE>
BALANCED FUND:*
<TABLE>
<CAPTION>
FOR THE
PERIOD
JANUARY 2,
1992
(COMMENCEMENT
OF
YEAR ENDED OPERATIONS)
DECEMBER 31, TO
------------------------------------------------ DECEMBER 31,
1997 1996 1995 1994 1993 1992
-------- -------- -------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ 1.42 $ 1.30 $ 1.19 $ 1.08 $ 1.00 $ .89
Expenses................ (.35) (.33) (.29) (.26) (.26) (.25)
-------- -------- -------- -------- -------- --------
Net investment income... 1.07 .97 .90 .82 .74 .64
Net realized and
unrealized gain (loss)
investments............ 6.59 3.78 6.07 (.82) .82 (1.56)
-------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 7.66 4.75 6.97 -- 1.56 (.92)
Net asset value at be-
ginning of period...... 36.76 32.01 25.04 25.04 23.48 24.40
-------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 44.42 $ 36.76 $ 32.01 $ 25.04 $ 25.04 $ 23.48
======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .84% .96% 1.00% 1.03% 1.07% 1.10%**
Ratio of net investment
income to average net
assets................. 2.62% 2.85% 3.08% 3.32% 3.05% 2.82%**
Portfolio turnover...... 122% 181% 155% 113% 153% 119%***
Total return............ 20.84% 14.84% 27.84% 0.00% 6.64% (3.77)%***
Average commissions
rate+.................. $ 0.0510 $ 0.0550 -- -- -- --
Net assets at end of
period................. $358,503 $295,401 $264,526 $198,945 $193,362 $167,242
</TABLE>
VALUE EQUITY FUND:
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
-----------------
FOR THE PERIOD
SEPTEMBER 5 , 1995
(COMMENCEMENT OF
OPERATIONS) TO
1997 1996 DECEMBER 31, 1995
-------- ------- ------------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income........................ $ .47 $ .40 $ .13
Expenses................................. (.17) (.14) (.04)
-------- ------- -------
Net investment income.................... .30 .26 .09
Net realized and unrealized gain on in-
vestments............................... 4.08 2.54 .84
-------- ------- -------
Net increase in unit value............... 4.38 2.80 .93
Net asset value at beginning of period... 15.73 12.93 12.00
-------- ------- -------
Net asset value at end of period......... $ 20.11 $ 15.73 $ 12.93
======== ======= =======
Ratio of expenses to average net assets.. .90% .99% 1.00%**
Ratio of net investment income to average
net assets.............................. 1.61% 1.85% 2.12%**
Portfolio turnover....................... 13% 17% 4%***
Total return............................. 27.84% 21.66% 7.75%***
Average commissions rate+................ $ 0.0603 $0.0729 --
Net assets at end of period (in thou-
sands).................................. $113,103 $48,131 $20,617
</TABLE>
- --------
* The Balanced Fund changed advisors on June 30, 1997.
** Ratios annualized
*** Not annualized.
+ Average commissions rate paid is presented for fiscal periods beginning on
or after September 1, 1995.
48
<PAGE>
GROWTH EQUITY FUND:*
<TABLE>
<CAPTION>
FOR THE
PERIOD
JANUARY 2,
1992
(COMMENCEMENT
OF
YEAR ENDED OPERATIONS)
DECEMBER 31, TO
------------------------------------------------ DECEMBER 31,
1997 1996 1995 1994 1993 1992
-------- -------- -------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ 4.15 $ 5.07 $ 3.88 $ 3.48 $ 3.16 $ 3.20
Expenses................ (2.60) (2.22) (1.88) (1.60) (1.52) (1.45)
-------- -------- -------- -------- -------- --------
Net investment income... 1.55 2.85 2.00 1.88 1.64 1.75
Net realized and
unrealized gain
investments............ 80.01 46.14 57.72 .61 12.99 3.00
-------- -------- -------- -------- -------- --------
Net increase in unit
value.................. 81.56 48.99 59.72 2.49 14.63 4.75
Net asset value at
beginning of period.... 278.26 229.27 169.55 167.06 152.43 147.68
-------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 359.82 $ 278.26 $229.27 $ 169.55 $ 167.06 $ 152.43
======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .80% .88% .92% .95% .96% 1.01%**
Ratio of net investment
income to average net
assets................. .48% 1.13% .98% 1.12% 1.03% 1.22%**
Portfolio turnover...... 88% 64% 60% 59% 82% 46%***
Total return............ 29.31% 21.37% 35.23% 1.49% 9.60% 3.22%***
Average commissions
rate+.................. $ 0.0516 $ 0.0564 -- -- -- --
Net assets at end of
period (in thousands).. $967,854 $752,798 $637,834 $479,435 $471,398 $427,933
</TABLE>
INDEX EQUITY FUND:++
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED APRIL 30, 1994
DECEMBER 31, (COMMENCEMENT OF
--------------------------- OPERATIONS) TO
1997 1996 1995 DECEMBER 31, 1994
-------- ------- ------- -----------------
<S> <C> <C> <C> <C>
SELECTED FINANCIAL DATA FOR
EACH UNIT
OUTSTANDING FOR THE PERIODS
INDICATED:
Investment income.............. $ .08 $ .28 $ .02 $ --
Expenses....................... (.12) (.11) (.08) (.04)
-------- ------- ------- -------
Net investment income (loss)... (.04) .17 (.06) (.04)
Net realized and unrealized
gain investments.............. 5.23 2.72 3.68 .39
-------- ------- ------- -------
Net increase in unit value..... 5.19 2.89 3.62 .35
Net asset value at beginning of
period........................ 16.86 13.97 10.35 10.00
-------- ------- ------- -------
Net asset value at end of peri-
od............................ $ 22.05 $ 16.86 $ 13.97 $ 10.35
======== ======= ======= =======
Ratio of expenses to average
net assets.................... .62 % .69% .68 % .94%**
Ratio of net investment income
to average net assets......... (.22)% 1.15% (.52)% .94%**
Portfolio turnover+++.......... 11 % 17% 132 % 54%***
Total return................... 30.78 % 20.68% 34.98 % 3.50%***
Net assets at end of period (in
thousands).................... $153,709 $82,881 $48,020 $11,662
</TABLE>
- --------
* The Growth Equity Fund changed advisors in June, 1997.
** Ratios annualized.
*** Not annualized.
+ Average commissions rate paid presented for fiscal periods beginning on or
after September 1, 1995.
++ Commencing September 5, 1995, the Index Equity Fund was invested to
replicate the Russell 3000 Index. Prior to that date, the Fund was invested
to replicate the S&P 500 Index.
+++ 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.
49
<PAGE>
AGGRESSIVE EQUITY FUND:
<TABLE>
<CAPTION>
FOR THE
PERIOD
JANUARY 2,
1992
(COMMENCEMENT
YEAR ENDED OF
DECEMBER 31, OPERATIONS)
------------------------------------------------- TO DECEMBER
1997 1996 1995 1994 1993 31, 1992
-------- -------- -------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
SELECTED FINANCIAL DATA
FOR EACH UNIT
OUTSTANDING FOR THE
PERIODS INDICATED:
Investment income....... $ .39 $ .36 $ .32 $ .28 $ .25 $ .30
Expenses................ (.45) (.39) (.32) (.28) (.28) (.26)
-------- -------- -------- -------- -------- --------
Net investment income
(loss)................. (.06) (.03) -- -- (.03) .04
Net realized and
unrealized gain (loss)
investments............ 7.64 7.47 7.81 (1.00) 3.60 1.43
-------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 7.58 7.44 7.81 (1.00) 3.57 1.47
Net asset value at be-
ginning of period...... 41.01 33.57 25.76 26.76 23.19 21.72
-------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 48.59 $ 41.01 $ 33.57 $ 25.76 $ 26.76 $ 23.19
======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .98 % 1.04 % 1.10% 1.10% 1.15% 1.25%*
Ratio of net investment
income to average net
assets................. (.11)% (.06)% .01% .02% (.12)% .17%*
Portfolio turnover...... 36 % 48 % 63% 48% 42% 43%**
Total return............ 18.48 % 22.16 % 30.32% (3.74)% 15.39% 6.77%**
Average commissions
rate***................ $ 0.0487 $ 0.0502 -- -- -- --
Net assets at end of
period (in thousands).. $331,940 $275,915 $214,539 $163,678 $153,465 $116,426
</TABLE>
INTERNATIONAL EQUITY FUND:
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED SEPTEMBER 5, 1995
DECEMBER 31, (COMMENCEMENT
---------------- OF OPERATIONS) TO
1997 1996 DECEMBER 31, 1995
------- ------- -----------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS INDICATED:
Investment income......................... $ 1.12 $ .70 $ .49
Expenses.................................. (.10) (.10) (.03)
------- ------- -------
Net investment income..................... 1.02 .60 .46
Net realized and unrealized gain (loss) on
investments.............................. (.61) 1.83 (.09)
------- ------- -------
Net increase.............................. .41 2.43 .37
Net asset value at beginning of period.... 17.80 15.37 15.00
------- ------- -------
Net asset value at end of period.......... $ 18.21 $ 17.80 $ 15.37
======= ======= =======
Ratio of expenses to average net assets... .54% .59% .57%*
Ratio of net investment income to average
net assets............................... 5.41% 3.58% 9.2%*
Portfolio turnover+....................... 101% 73% 4%**
Total return.............................. 2.30% 15.81% 2.47%**
Net assets at end of period (in thou-
sands)................................... $58,997 $33,268 $10,849
</TABLE>
- --------
* Ratios annualized.
** Not annualized.
*** Average commissions rate paid presented for fiscal periods beginning on or
after September 1, 1995.
+ 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.
50
<PAGE>
STRUCTURED PORTFOLIO SERVICE--CONSERVATIVE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE PERIOD
SEPTEMBER 5, 1995
(COMMENCEMENT OF
YEAR ENDED OPERATIONS)
DECEMBER 31, TO DECEMBER 31, 1995
----------------- --------------------
1997 1996
------- -------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS
INDICATED
Investment income.................... $ -- $ -- $ .001
Expenses............................. (.01) (.01) (.003)
------- ------- ------
Net investment loss.................. (.01) (.01) (.002)
Net realized and unrealized gain on
investments......................... 1.52 1.00 .472
------- ------- ------
Net increase......................... 1.51 .99 .47
Net asset value at beginning of peri-
od.................................. 11.46 10.47 10.00
------- ------- ------
Net asset value at end of period..... $ 12.97 $ 11.46 $10.47
======= ======= ======
Ratio of expenses to average net as-
sets................................ .09 % .10 % .09 %*
Ratio of net investment loss to aver-
age net assets...................... (.09)% (.10)% (.06)%*
Portfolio turnover**................. 33 % 34 % 3 %***
Total return......................... 13.18 % 9.46 % 4.7 %***
Net assets at end of period (in thou-
sands).............................. $17,228 $11,201 $5,372
</TABLE>
STRUCTURED PORTFOLIO SERVICE--MODERATE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED SEPTEMBER 5, 1995
DECEMBER 31, (COMMENCEMENT OF
----------------- OPERATIONS)
1997 1996 TO DECEMBER 31, 1995
------- ------- --------------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS
INDICATED
Investment income.................... $ -- $ -- $ .001
Expenses............................. (.01) (.01) (.003)
------- ------- -------
Net investment (loss)................ (.01) (.01) (.002)
Net realized and unrealized gain on
investments......................... 2.01 1.40 .542
------- ------- -------
Net increase......................... 2.00 1.39 .54
Net asset value at beginning of peri-
od.................................. 11.93 10.54 10.00
------- ------- -------
Net asset value at end of period..... $ 13.93 $ 11.93 $ 10.54
======= ======= =======
Ratio of expenses to average net as-
sets................................ .09 % .10 % .09 %*
Ratio of net investment loss to aver-
age net assets...................... (.09)% (.10)% (.06)%*
Portfolio turnover**................. 18 % 27 % 4 %***
Total return......................... 16.76 % 13.19 % 5.4 %***
Net assets at end of period (in thou-
sands).............................. $66,095 $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.
*** Not annualized.
51
<PAGE>
STRUCTURED PORTFOLIO SERVICE--AGGRESSIVE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE PERIOD
YEAR ENDED SEPTEMBER 5, 1995
DECEMBER 31, (COMMENCEMENT OF
----------------- OPERATIONS)
1997 1996 TO DECEMBER 31, 1995
------- ------- --------------------
<S> <C> <C> <C>
SELECTED FINANCIAL DATA FOR EACH UNIT
OUTSTANDING FOR THE PERIODS
INDICATED
Investment income.................... $ -- $ -- $ .001
Expenses............................. (.01) (.01) (.003)
------- ------- ------
Net investment loss.................. (.01) (.01) (.002)
Net realized and unrealized gain on
investments......................... 2.51 1.85 .572
------- ------- ------
Net increase......................... 2.50 1.84 .57
Net asset value at beginning of peri-
od.................................. 12.41 10.57 10.00
------- ------- ------
Net asset value at end of period..... $ 14.91 $ 12.41 $10.57
======= ======= ======
Ratio of expenses to average net as-
sets................................ .09 % .10 % .09 %*
Ratio of net investment loss to aver-
age net assets...................... (.09)% (.10)% (.06)%*
Portfolio turnover**................. 18 % 28 % 3 %***
Total return......................... 20.15 % 17.41 % 5.7 %***
Net assets at end of period (in thou-
sands).............................. $51,868 $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.
*** Not annualized.
52
<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 broad
measures of the domestic stock market. For the year ended December 31, 1997
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
18.48 %. By comparison, the Russell 2000 Index produced a total return of
22.36% 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.
The U.S. financial market performance was very strong again in 1997, well
surpassing predictions made at the beginning of the year. As was the case in
1996, larger capitalization stocks outperformed their smaller cap counterparts
and the differential in 1997 was even wider.
The most heavily weighted sectors in the Aggressive Equity Fund were
computers and office equipment, consumer goods and electronics and
instruments. Stronger areas in terms of return included financial services,
banks and retail trade.
Balanced Fund
The Balanced Fund invests in publicly traded common stocks, other equity-
type securities, long-term debt securities 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 end December 31, 1997, the
Balanced Fund experienced a total return, net of Expenses, of 20.84%. For the
same period, a combination of the Russell 1000 Index and the Lehman Brothers
Aggregate Bond Index (the "LB Aggregate Bond Index") weighted 60%/40%,
respectively, produced a total return of 23.58%. The Russell 1000 Index and
the LB Aggregate Bond Index do not include an allowance for the fees that an
investor would pay for investing in the securities that comprise the indices.
Effective June 30, 1997, State Street began to direct the allocation of the
Fund's assets between debt and equity securities consistent with the Fund's
strategy and began to obtain investment advice from separate advisors for each
of the debt and equity portions of the Fund. Before then, State Street
allocated a portion of the Fund's assets to each of its Investment Advisors,
who then advised State Street with respect to both debt and equity securities
and with respect to the allocation of the Fund's assets between debt and
equity securities. Effective June 30, 1997, State Street directed that
approximately 40% of the Balanced Fund's assets be allocated to debt
securities (with respect to which State Street will receive advice from one
Investment Advisor) and approximately 60% be allocated to equity securities
(with respect to which State Street will receive advice from another
Investment Advisor). Contributions to and withdrawals from the Fund are
allocated so that the percentage of debt and equity securities will be as
close to approximately 40% and 60%, respectively, as may be practical, taking
into account the level of contributions and withdrawals and the Fund's
percentage of debt and equity securities at the time of each contribution or
withdrawal. State Street may change the allocation within the Fund, as well as
the allocation of contributions to and withdrawals from the Fund from time to
time. Income and gains attributable to the assets allocated to each Investment
Advisor will remain allocated to such Investment Advisor unless reallocated by
State Street.
53
<PAGE>
Both the U.S. equity and fixed income markets continued to show strong
positive results during 1997. Even with strong economic growth and tight labor
markets, inflation remained at low levels. Long term interest rates continued
to decline, helping support higher equity valuations as well as bond market
price increases.
Some of the most heavily weighted industry sectors in the equity portion of
the portfolio were consumer basics, finance and general business stocks. The
fixed income segment was heavily invested in U.S. Treasuries, mortgage-related
issues 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. A portion of the Growth Equity Fund (initially
25%) will be invested to replicate the Russell 1000 Growth Index, which is
composed of those Russell 1000 securities with a greater than average growth
orientation. The remainder of the Growth Equity Fund will be actively managed.
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, 1997, the Growth Equity Fund experienced a
total return, net of Expenses, of 29.31%. By comparison, the Russell 1000
Growth Index produced a return of 30.48% for the same period. The Russell 1000
Growth Index does not include an allowance for the fees that an investor would
pay for investing in the securities that comprise the index.
The U.S. equity market was spurred upward by another year of low inflation,
strong earnings, and unprecedented investor contributions into mutual funds.
1997 was the third straight year of returns over 20% for the S&P 500 Index and
the Dow Jones Industrial Average.
Some of the most heavily weighted industry sectors in the Growth Equity Fund
were drug and hospital supplies, technology, capital goods and banking.
Stronger areas in terms of return were financial services, banks, insurance
companies and capital goods.
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. 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 exception of the smallest companies in the Russell Special Small
Company Index.
The Fund produced a total return, net of Expenses, for the year ended
December 31, 1997 of 30.78%. By comparison, the Russell 3000 Index produced a
return of 31.78% 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
54
<PAGE>
securities. A portion of the Intermediate Bond Fund (approximately two-thirds)
is actively managed, investing in fixed income securities with a portfolio
duration generally from 3 to 6 years. The remaining portion (approximately one-
third) of the Bond Fund is 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 portions of the fund ($75
million and $200 million, respectively), two-thirds of all contributions to the
Fund will be invested in the PIMCO Total Return Fund and the remaining one-
third will be invested in the Masterworks Funds Bond Index Fund.
For the year ended December 31, 1997, the Intermediate Bond Fund experienced
a total return, net of Expenses, of 9.37%. As a comparison, the LB Aggregate
Bond Index produced a return of 9.68% for the same period. The LB Aggregate
Bond Index does not include an allowance for the fees that an investor would
pay for investing in the securities that comprise the index.
The U.S. fixed income markets posted a solid gain in 1997 because of falling
inflation and a flight to safety by non-US investors. Other contributing
factors to a positive year were attractive real interest rates, low
unemployment, and falling import prices.
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
countries of the Far East and Europe, as well as in South Africa, Australia,
Canada 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 its minimum level of
contributions to meet its investment objective, which State Street currently
expects to be approximately $75 to $100 million, all contributions to the
International Equity Fund will be invested in the T. Rowe Price International
Stock Fund.
For the year ended December 31, 1997, the International Equity Fund
experienced a total return, net of Expenses, of 2.30%. For the same period, the
total return of the Morgan Stanley Capital International All-Country World Ex-
U.S. Free Index (the "MSCI AC World Ex-U.S. Index") was 1.76%. The MSCI AC
World Ex-U.S. Index does not include an allowance for the fees that an investor
would pay for investing in the securities that comprise the index.
International markets were weak performers during 1997, as returns were
dampened by the strengthening of the U.S. dollar relative to each of the major
Europe, Australia and Far East currencies with the exception of the British
Pound, and the crisis in the Asian markets.
Stable Asset Return Fund
The Stable Asset Return Fund invests primarily in investment contracts issued
by insurance companies, banks or other financial institutions. 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.
55
<PAGE>
For the year ended December 31, 1997, the Stable Asset Return Fund produced a
return, net of Expenses, of 5.52%. By comparison, the Donoghue Money Market
Fund "Tier One" Average (the "Donoghue Average") for the year was 5.00%. The
Fund's strong performance relative to the Donoghue Average is partly
attributable to the longer average maturity of the Fund's portfolio. Interest
rates moved lower during 1997 due to the lack of inflationary pressure and the
absence of intervention by the Federal Reserve after a small hike in the
federal funds target in March.
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, 1997, the Value Equity Fund experienced a
total return, net of Expenses, of 27.84%. By comparison, the Russell 1000 Value
Index produced a return of 35.18% for the same period. The Russell 1000 Value
Index does not include an allowance for the fees that an investor would pay for
investing in the securities that comprise the index. U.S. financial markets
continued to register strong returns in 1997 as investors responded favorably
to signs of moderate growth, benign inflation, low unemployment and a
strengthening U.S. economy.
The most heavily weighted industry sectors in the Value Equity Fund were
energy, insurance, consumer cyclical and industrial commodities. Underweighted
sectors in the Value Equity Fund include capital goods and technology.
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 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, 1997, the structured portfolio service
experienced a total return, net of Expenses, of 13.18% for the Conservative
Portfolio, 16.76% for the Moderate Portfolio, and 20.15% for the Aggressive
Portfolio.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK
Not applicable.
56
<PAGE>
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
See page F-1.
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 47,
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 38, 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 40, 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.
57
<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 F-1 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>
58
<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>
59
<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 June 30, 1997
by and between State Street Bank and Trust Company and
Capital Guardian Trust Company relating to the Balanced
Fund, included as Exhibit 10.1 to Registrant's Quarterly
Report on Form 10-Q for the quarter ended June 30, 1997 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.
10.19 Investment Advisor Agreement effective as of June 13, 1997
by and between State Street Bank and Trust Company and
Bankers Trust Company relating to the Growth Equity Fund,
included as Exhibit 10.2 to the Registrant's Quarterly
Report on Form
10-Q for the quarter ended June 30, 1997 and incorporated
herein by reference thereto.
24.1* Power of Attorney.
27* Financial Data Schedules
</TABLE>
- --------
* Filed herewith
60
<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.
BANKERS TRUST--Bankers Trust Company, an Investment Advisor to the Growth
Equity Fund.
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--The Intermediate 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 the New York Stock Exchange is open for trading.
CAPITAL GUARDIAN--Capital Guardian Trust Company, an Investment Advisor to the
Balanced Fund, 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.
COMMISSION--The U.S. Securities and Exchange Commission.
DRESDNER RCM--Dresdner RCM Global Investors LLC, an Investment Advisor to the
Growth Equity Fund.
61
<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.
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, as amended.
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.
62
<PAGE>
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 Growth Equity 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.
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, as amended.
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.
63
<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.
64
<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 30, 1998 /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 30, 1998
- ------------------------------------- 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 30, 1998
- ------------------------------------- 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 30, 1998
- ------------------------------------- Accounting Officer
SUSAN C. DANIELS of the American Bar
Association
Members/State
Street Collective
Trust (Principal
Accounting Officer)
65
<PAGE>
SIGNATURE TITLE DATE
Director of State
- ------------------------------------- Street Bank and
TENLEY E. ALBRIGHT Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
JOSEPH A. BAUTE, JR. Trust Company
Director of State
- ------------------------------------- Street Bank and
I. MACALLISTER BOOTH Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
MARSHALL N. CARTER Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
TRUMAN S. CASNER Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
NADER F. DAREHSHORI Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
ARTHUR L. GOLDSTEIN Trust Company
Director of State
- ------------------------------------- Street Bank and
DAVID P. GRUBER Trust Company
66
<PAGE>
SIGNATURE TITLE DATE
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
CHARLES F. KAYE Trust Company
Director of State
- ------------------------------------- Street Bank and
JOHN M. KUCHARSKI Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
CHARLES R. LAMANTIA Trust Company
Director of State
- ------------------------------------- Street Bank and
DAVID B. PERINI Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
DENNIS J. PICARD Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
DAVID A. SPINA Trust Company
* Director of State March 30, 1998
- ------------------------------------- Street Bank and
DIANA CHAPMAN WALSH Trust Company
/s/ Nicholas A. Lopardo
*By _________________________________
NAME: NICHOLAS A. LOPARDOATTORNEY-
IN-FACT
/s/ Maureen S. Bateman
*By _________________________________
NAME: MAUREEN S. BATEMAN ATTORNEY-
IN-FACT
67
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustee and Unitholders of the
American 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, 1997, 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, 1997 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, 1998
F-1
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PAGE(S)
-------
<S> <C>
Report of Independent Accountants....................................... F-1
Financial Statements:
AGGRESSIVE EQUITY FUND
Statement of Assets and Liabilities................................... F-4
Statement of Operations............................................... F-5
Statement of Changes in Net Assets.................................... F-6
Selected Per-Unit Data and Ratios..................................... F-7
Schedule of Investments............................................... F-8
BALANCED FUND
Statement of Assets and Liabilities................................... F-17
Statement of Operations............................................... F-18
Statement of Changes in Net Assets.................................... F-19
Selected Per-Unit Data and Ratios..................................... F-20
Schedule of Investments............................................... F-21
GROWTH EQUITY FUND
Statement of Assets and Liabilities................................... F-32
Statement of Operations............................................... F-33
Statement of Changes in Net Assets.................................... F-34
Selected Per-Unit Data and Ratios..................................... F-35
Schedule of Investments............................................... F-36
STABLE ASSET RETURN FUND
Statement of Assets and Liabilities................................... F-55
Statement of Operations............................................... F-56
Statement of Changes in Net Assets.................................... F-57
Selected Per-Unit Data and Ratios..................................... F-58
Schedule of Investments............................................... F-59
INDEX EQUITY FUND
Statement of Assets and Liabilities................................... F-61
Statement of Operations............................................... F-62
Statement of Changes in Net Assets.................................... F-63
Selected Per-Unit Data and Ratios..................................... F-64
INTERMEDIATE BOND FUND
Statement of Assets and Liabilities................................... F-65
Statement of Operations............................................... F-66
Statement of Changes in Net Assets.................................... F-67
Selected Per-Unit Data and Ratios..................................... F-68
INTERNATIONAL EQUITY FUND
Statement of Assets and Liabilities................................... F-69
Statement of Operations............................................... F-70
Statement of Changes in Net Assets.................................... F-71
Selected Per-Unit Data and Ratios..................................... F-72
</TABLE>
F-2
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PAGE(S)
-------
<S> <C>
VALUE EQUITY FUND
Statement of Assets and Liabilities................................... F-73
Statement of Operations............................................... F-74
Statement of Changes in Net Assets.................................... F-75
Selected Per-Unit Data and Ratios..................................... F-76
Schedule of Investments............................................... F-77
STRUCTURED PORTFOLIO SERVICE
(CONSERVATIVE, MODERATE, AGGRESSIVE)
Statement of Assets and Liabilities................................... F-86
Statement of Operations............................................... F-87
Statement of Changes in Net Assets.................................... F-88
Selected Per-Unit Data and Ratios..................................... F-90
Notes to Financial Statements......................................... F-93
</TABLE>
F-3
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $252,133,577)......................... $331,261,601
Cash.............................................................. 1,245
Receivable for investments sold................................... 2,111,984
Receivable for fund units sold.................................... 783,589
Dividends and interest receivable................................. 240,858
Unamortized organizational costs.................................. 53,124
------------
Total Assets.................................................... 334,452,401
------------
LIABILITIES
Payable for investments purchased................................. 2,035,414
Investment advisory fee payable................................... 337,637
State Street Bank and Trust Co.--program fee payable.............. 92,394
Trustee, management and administration fees payable............... 28,047
American Bar Retirement Association--program fee payable.......... 14,017
Other accruals.................................................... 5,304
------------
Total Liabilities............................................... 2,512,813
------------
NET ASSETS (equivalent to $48.59 per unit based on 6,831,480 units
outstanding)..................................................... $331,939,588
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-4
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign tax expense of $83).................... $ 1,577,956
Interest......................................................... 1,118,012
-----------
Total investment income........................................ 2,695,968
-----------
EXPENSES
Investment advisory fee.......................................... 1,362,018
State Street Bank and Trust Co.--program fee..................... 1,077,330
Trustee, management and administration fees...................... 225,470
American Bar Retirement Association--program fee................. 157,383
Amortization of organization costs............................... 77,792
Reports to unitholders........................................... 48,900
Legal and audit fees............................................. 41,455
Registration fee................................................. 46,361
Other expenses................................................... 12,768
-----------
Total expenses................................................. 3,049,477
-----------
Net investment loss................................................ (353,509)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 39,709,808
Change in net unrealized appreciation............................ 12,757,570
-----------
Net realized and unrealized gain on investments................ 52,467,378
-----------
Net increase in net assets resulting from operations............... $52,113,869
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-5
<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,
--------------------------
1997 1996
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment loss.............................. $ (353,509) $ (160,464)
Net realized gain on investments................. 39,709,808 24,233,418
Net change in unrealized appreciation on invest-
ments........................................... 12,757,570 24,880,200
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 52,113,869 48,953,154
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued....................... 41,120,394 35,023,922
Cost of units redeemed........................... (37,210,143) (22,600,318)
------------ ------------
Net increase in net assets resulting from
unitholder transactions......................... 3,910,251 12,423,604
------------ ------------
Net increase in net assets..................... 56,024,120 61,376,758
NET ASSETS
Beginning of year................................ 275,915,468 214,538,710
------------ ------------
End of year...................................... $331,939,588 $275,915,468
============ ============
NUMBER OF UNITS
Outstanding--beginning of year................... 6,727,703 6,390,559
Sold........................................... 920,581 937,668
Redeemed....................................... (816,804) (600,524)
------------ ------------
Outstanding--end of year......................... 6,831,480 6,727,703
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-6
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
AGGRESSIVE EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
--------------------------------------------------- DECEMBER 31,
1997 1996 1995 1994 1993 1992
-------- -------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C> <C>
Investment income....... $ .39 $ .36 $ .32 $ .28 $ .25 $ .30
Expenses................ (.45) (.39) (.32) (.28) (.28) (.26)
-------- -------- -------- -------- -------- --------
Net investment loss..... (.06) (.03) -- -- (.03) .04
Net realized and
unrealized gain (loss)
on investments......... 7.64 7.47 7.81 (1.00) 3.60 1.43
-------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 7.58 7.44 7.81 (1.00) 3.57 1.47
Net asset value at be-
ginning of year........ 41.01 33.57 25.76 26.76 23.19 21.72
-------- -------- -------- -------- -------- --------
Net asset value at end
of year................ $ 48.59 $ 41.01 $ 33.57 $ 25.76 $ 26.76 $ 23.19
======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .98 % 1.04 % 1.10% 1.10 % 1.15 % 1.25%****
Ratio of net investment
income (loss) to
average net assets..... (.11)% (.06)% .01% .02 % (.12)% .17%****
Portfolio turnover...... 36 % 48 % 63% 48 % 42 % 43%***
Total return............ 18.48 % 22.16 % 30.32% (3.74)% 15.39 % 6.77%***
Average commissions
rate**................. $ 0.0487 $ 0.0502 -- -- -- --
Net assets at end of
year
(in thousands)......... $331,940 $275,915 $214,539 $163,678 $153,465 $116,426
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the year.
** Average commissions rate paid is presented for fiscal periods beginning on
or after September 1, 1995.
*** Not annualized.
**** Ratios annualized.
The accompanying notes are an integral part of these financial statements.
F-7
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (92.3%)
BASIC INDUSTRIES (2.3%)
CHEMICALS
OM Group Inc. .......................................... 42,000 $ 1,538,250
R.P.M. Inc. Ohio........................................ 93,593 1,427,293
------------
2,965,543
------------
PAPER
Caraustar Industries Inc. .............................. 45,000 1,541,250
Pentair Inc. ........................................... 52,800 1,897,500
------------
3,438,750
------------
PLASTICS
Advanced Energy Industries Inc.*........................ 79,500 1,187,531
------------
TOTAL BASIC INDUSTRIES.................................. 7,591,824
------------
CAPITAL GOODS (6.1%)
BUILDING CONSTRUCTION
McDermott J. Ray S A*................................... 57,500 2,472,500
------------
ELECTRICAL EQUIPMENT
ASM Lithography Holding N V*............................ 46,000 3,105,000
Watsco Inc. ............................................ 40,000 987,500
------------
4,092,500
------------
INDUSTRIAL MACHINERY
Alyn Corp.*............................................. 45,000 472,500
Crane Company........................................... 77,000 3,339,875
Integrated Process Equipment Corp.*..................... 45,000 708,750
Kennametal Inc. ........................................ 52,000 2,694,250
NN Ball & Roller Inc. .................................. 112,700 1,000,213
U.S. Filter Corp.*...................................... 71,000 2,125,563
------------
10,341,151
------------
MISCELLANEOUS
Silicon Vy Group Inc. .................................. 75,000 1,696,875
------------
POLLUTION CONTROL
Waste Mgmt Int'l. PLC ADR* **........................... 264,000 1,650,000
------------
TOTAL CAPITAL GOODS..................................... 20,253,026
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-8
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
CONSUMER BASICS (8.2%)
DRUGS AND HEALTHCARE
Biogen Inc.*............................................ 85,500 $ 3,110,063
Cardiac Pathways Corp.*................................. 8,000 56,000
Depuy Inc. ............................................. 70,000 2,012,500
Dura Pharmaceuticals Inc.*.............................. 71,300 3,270,888
Elan PLC ADR* **........................................ 82,000 4,197,375
Gilead Sciences Inc.*................................... 56,500 2,161,125
Healthsouth Corp.*...................................... 64,000 1,776,000
Immune Response Corp.Del*............................... 137,700 1,531,913
Millennium Pharmaceuticals*............................. 26,600 505,400
Oxford Health Plans Inc.*............................... 34,500 536,906
Phycor Inc.*............................................ 25,500 688,500
Physio Control Int'l. Corp.*............................ 54,700 868,363
Vertex Pharmaceuticals Inc.*............................ 43,500 1,435,500
------------
22,150,533
------------
FOOD AND BEVERAGE
Ben & Jerry's Homemade Inc.*............................ 50,000 775,000
Delmonte Company*....................................... 121,600 1,778,400
Thorn Apple Vy Inc. .................................... 60,000 870,000
------------
3,423,400
------------
HOUSEHOLD PRODUCTS
USA Detergents Inc.*.................................... 58,000 471,250
------------
TOBACCO
Swisher Int'l. Group Inc.*.............................. 45,300 770,100
------------
MISCELLANEOUS
Urocor Inc.*............................................ 79,000 488,813
------------
TOTAL CONSUMER BASICS................................... 27,304,096
------------
CONSUMER DURABLE GOODS (3.1%)
AUTO PARTS
Standard Products Company............................... 34,400 881,500
Walbro Corp. ........................................... 42,000 564,375
------------
1,445,875
------------
AUTOMOBILES
Circuit City Stores Inc. ............................... 55,300 497,700
Harley Davidson Inc. ................................... 121,000 3,312,375
United Auto Group Inc.*................................. 18,000 326,250
------------
4,136,325
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-9
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
HOUSEHOLD APPLIANCES AND FURNISHINGS
Harman Int'l. Industries Inc. New....................... 20,000 $ 848,750
Libbey Inc. ............................................ 56,000 2,121,000
Williams Sonoma Inc.*................................... 9,000 376,875
------------
3,346,625
------------
TIRES AND RUBBER
Bandag Inc. ............................................ 28,000 1,496,250
------------
TOTAL CONSUMER DURABLE GOODS............................ 10,425,075
------------
CONSUMER NON-DURABLE GOODS (4.0%)
APPAREL AND TEXTILES
Jones Apparel Group Inc.*............................... 23,200 997,600
------------
COSMETICS AND TOILETRIES
Lauder Estee Companies Inc. ............................ 36,000 1,851,750
Paragon Trade Brands Inc.*.............................. 76,900 990,088
------------
2,841,838
------------
RETAIL TRADE
Cole Nat'l Corp.*....................................... 8,000 239,500
Gymboree Corp.*......................................... 40,000 1,095,000
Kohls Corp.*............................................ 54,000 3,678,750
Micro Whse Inc.*........................................ 36,000 501,750
Proffitts Inc.*......................................... 60,000 1,706,250
Staples Inc.*........................................... 84,000 2,331,000
------------
9,552,250
------------
TOTAL CONSUMER NON-DURABLE GOODS........................ 13,391,688
------------
CONSUMER SERVICES (2.2%)
HOTELS AND RESTAURANTS
Buffets Inc.*........................................... 93,000 871,875
Rio Hotel & Casino Inc.*................................ 77,000 1,617,000
Ruby Tuesday Inc. ...................................... 28,200 726,150
Sizzler Int'l. Inc. .................................... 69,500 186,781
------------
3,401,806
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-10
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
LEISURE TIME
Acclaim Entertainment Inc.*............................. 119,500 $ 433,188
Ascent Entertainment Group Inc.*........................ 97,637 1,012,984
Imax Corp. ADR* **...................................... 40,000 880,000
Westwood One Inc.*...................................... 40,000 1,485,000
------------
3,811,172
------------
TOTAL CONSUMER SERVICES................................. 7,212,978
------------
ENERGY (4.5%)
DOMESTIC OIL
NGC Corp. .............................................. 81,000 1,417,500
Noble Affiliates Inc. .................................. 54,500 1,921,125
------------
3,338,625
------------
GAS EXPLORATION
Energen Corp. .......................................... 37,300 1,482,675
Forcenergy Inc. ........................................ 50,500 1,322,469
Vintage Pete Inc. ...................................... 73,000 1,387,000
------------
4,192,144
------------
INTERNATIONAL OIL
Ranger Oil Ltd. ADR*.................................... 150,000 1,031,250
------------
PETROLEUM SERVICES
Camco Int'l. Inc. ...................................... 52,900 3,369,069
Transocean Offshore Inc. ............................... 61,100 2,944,256
------------
6,313,325
------------
TOTAL ENERGY............................................ 14,875,344
------------
FINANCE (17.0%)
BANKS
Bank Utd Corp. ......................................... 44,300 2,167,931
CCB Fin'l. Corp. ....................................... 13,800 1,483,500
Coast Svgs Fin'l. Inc.*................................. 30,000 2,056,875
Commerce Bancshares Inc. ............................... 18,742 1,269,771
First Amern Corp. Tenn ................................. 36,000 1,791,000
Hamilton Bancorp Inc. Fla*.............................. 46,000 1,339,750
Hibernia Corp. ......................................... 50,000 940,625
PFF Bancorp Inc.*....................................... 70,000 1,391,250
Republic NY Corp. ...................................... 15,500 1,769,906
------------
14,210,608
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-11
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FINANCIAL SERVICES
Americredit Corp.*...................................... 46,700 $ 1,293,006
Green Tree Fin'l. Corp. ................................ 39,200 1,026,550
Medallion Fin'l. Corp. ................................. 78,000 1,716,000
Reliastar Fin'l. Corp. ................................. 45,500 1,874,031
------------
5,909,587
------------
INSURANCE
ACE Ltd. ADR*........................................... 36,000 3,474,000
Everest Reinsurance Hldgs............................... 29,000 1,196,250
FPA Medical Management Inc.*............................ 81,500 1,517,938
Harleysville Group Inc. ................................ 60,000 1,440,000
Mercury Gen Corp. New................................... 130,000 7,182,500
Magic Investment Corp. Wis ............................. 56,000 3,724,000
Mutual Risk Management Ltd. ADR*........................ 77,000 2,305,188
Nymagic Inc. ........................................... 25,000 689,063
------------
21,528,939
------------
INVESTMENT COMPANIES
CMAC Invest Corp. ...................................... 33,800 2,040,675
Ocwen Asset Invt Corp. ................................. 45,000 922,500
Price T Rowe & Associates Inc. ......................... 72,700 4,571,013
------------
7,534,188
------------
SAVINGS AND LOAN
TCF Financial Corp. .................................... 213,000 7,228,688
------------
TOTAL FINANCE........................................... 56,412,010
------------
GENERAL BUSINESS (13.6%)
BROADCASTING
Cablevision Systems Corp.*.............................. 32,000 3,064,000
Chris Craft Industries Inc.*............................ 29,690 1,553,158
Global Star Telecom*.................................... 120,588 5,923,886
HBO & Co. .............................................. 112,200 5,385,600
Spelling Entertainment Group Inc. ...................... 167,100 1,169,700
------------
17,096,344
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-12
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
BUSINESS SERVICES
Accustaff Inc.*......................................... 117,000 $ 2,691,000
Ba Merchants Services Inc.*............................. 88,500 1,570,875
Corestaff Inc.*......................................... 63,500 1,682,750
Data Processing Corp.*.................................. 60,000 1,530,000
Fiserv Inc.*............................................ 73,600 3,615,600
Jacobs Engr Group Inc.*................................. 300 7,613
Legato Systems Inc.*.................................... 38,300 1,685,200
National Data Corp. .................................... 42,500 1,535,313
Paychex Inc. ........................................... 90,050 4,558,781
Stewart Enterprises Inc. ............................... 87,000 4,056,375
Sylvan Learning Systems Inc.*........................... 29,400 1,146,600
------------
24,080,107
------------
NEWSPAPERS
Media Gen. Inc ......................................... 13,700 572,831
------------
PUBLISHING
Pulitzer Publishing Company............................. 17,000 1,067,813
Topps Inc. ............................................. 162,200 359,881
------------
1,427,694
------------
TELECOMMUNICATIONS SERVICES
Comsat Corp. ........................................... 77,000 1,867,250
------------
TOTAL GENERAL BUSINESS.................................. 45,044,226
------------
MISCELLANEOUS (11.3%)
CONGLOMERATES
U.S. Industries Inc. New................................ 54,450 1,640,306
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-13
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
MISCELLANEOUS
Castle Dental Centers Inc.*............................. 50,000 $ 387,500
Chancellor Media Corp.*................................. 17,600 1,313,400
Consolidated Cap Corp.*................................. 78,000 1,584,375
Corn Products Int'l. Inc.*.............................. 1,100 32,794
Cymer Inc. ............................................. 33,400 501,000
Dollar Thrifty Automotive Grp*.......................... 45,000 922,500
Esg Re Ltd.*............................................ 14,600 343,100
Firearms Training Sys Inc.*............................. 51,300 266,119
Hagler Bailly Inc. ..................................... 90,000 2,025,000
Icg Communications Inc.*................................ 50,000 1,362,500
Indus Int'l. Inc.*...................................... 55,200 400,200
Intelligroup Inc.*...................................... 146,700 2,805,638
Kulicke & Soffa Industries Inc.*........................ 85,000 1,583,125
Metro Information Svcs Inc.*............................ 50,000 1,387,500
Mondavi Robert Corp.*................................... 16,500 804,375
Moneygram Pmt Sys Inc.*................................. 151,000 1,623,250
Newpark Res Inc.*....................................... 7,500 131,250
Nine Westgroup Inc. .................................... 63,100 1,636,656
Promus Hotel Corp. New*................................. 92,500 3,885,000
Speedfam Int'l. Inc.*................................... 43,700 1,158,050
Staff Leasing Inc.*..................................... 28,000 528,500
Superior Telecom Inc. .................................. 6,600 228,113
TMP Worldwide Inc.*..................................... 75,000 1,725,000
Tag Heuer Int'l S A ADR* **............................. 31,000 255,750
Tefron Ltd.*............................................ 80,500 1,851,500
Total Ctl Prods Inc.*................................... 143,200 1,754,200
United Meridian Corp.*.................................. 44,500 1,251,563
Viatel Inc.*............................................ 185,000 925,000
White Cap Industries Corp.*............................. 72,600 1,352,175
------------
34,025,133
------------
REAL ESTATE
Irvine Apartment Communities Inc. ...................... 37,800 1,202,513
------------
ROYALTY TRUSTS
San Juan Basin Rty Trust................................ 80,000 740,000
------------
TOTAL MISCELLANEOUS..................................... 37,607,952
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-14
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
SHELTER (1.0%)
CONSTRUCTION MATERIALS
Granite Const. Inc. .................................... 60,000 $ 1,380,000
Martin Marietta Materials Inc. ......................... 56,000 2,047,500
------------
3,427,500
------------
TOTAL SHELTER........................................... 3,427,500
------------
TECHNOLOGY (15.8%)
AEROSPACE
Computer Sciences Corp.*................................ 23,000 1,920,500
------------
COMPUTERS AND BUSINESS EQUIPMENT
Be Semiconductor Industries*............................ 28,000 269,500
Ceridian Corp.*......................................... 46,900 2,148,606
Novellus Sys. Inc.*..................................... 94,000 3,037,375
Pairgain Technologies Inc.*............................. 69,000 1,336,875
Peoplesoft Inc.*........................................ 139,000 5,421,000
Pixar*.................................................. 48,800 1,055,300
Stormedia Inc.*......................................... 57,000 124,688
Xilinx Inc.*............................................ 70,000 2,454,375
------------
15,847,719
------------
ELECTRONICS
ADC Telecommunications Inc.*............................ 108,000 4,509,000
Analog Devices Inc.*.................................... 130,000 3,599,375
Aspen Technology Inc.*.................................. 44,500 1,524,125
Credence Systems Corp.*................................. 76,000 2,251,500
Digital Microwave Corp.*................................ 80,000 1,160,000
Electroglas Inc.*....................................... 72,000 1,111,500
Eletronics For Imaging Inc.*............................ 73,500 1,221,938
Electric Sys Inc.*...................................... 62,000 2,883,000
Lam Resh Corp.*......................................... 45,000 1,316,250
LoJack Corp.*........................................... 110,000 1,622,500
Picturetel Corp.*....................................... 63,000 409,500
Teleflex Inc. .......................................... 30,400 1,147,600
------------
22,756,288
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-15
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
AGGRESSIVE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
SOFTWARE
Baan Company NVF ADR* **............................... 37,000 $ 1,221,000
Check Point Software Tech Ltd. ADR* **................. 41,500 1,691,125
Dendrite Int'l. Inc.*.................................. 111,800 2,166,125
Microchip Technology Inc. ............................. 50,500 1,515,000
Midway Games Inc.*..................................... 64,000 1,164,000
Parametric Technology Corp.*........................... 89,000 4,216,375
------------
11,973,625
------------
TOTAL TECHNOLOGY....................................... 52,498,132
------------
TRANSPORTATION (2.7%)
AIR TRAVEL
America West Hldg Corp.*............................... 54,800 1,020,650
Continental Airls Inc.*................................ 18,000 866,250
------------
1,886,900
------------
RAILROADS
Railtex Inc. .......................................... 28,000 400,750
------------
TRUCKING AND FREIGHT FORWARDING
Air Express Int'l. Corp. .............................. 26,900 820,439
Caliber Sys Inc. ...................................... 33,500 1,631,031
Landstar Sys Inc.*..................................... 65,800 1,735,475
MS Carriers Inc.*...................................... 25,700 639,288
Polaris Industries Inc. ............................... 59,000 1,803,188
------------
6,629,421
------------
TOTAL TRANSPORTATION................................... 8,917,071
------------
UTILITIES (0.5%)
GAS & PIPELINE UTILITIES
Eastern Enterprises.................................... 33,900 1,525,500
------------
TOTAL UTILITIES........................................ 1,525,500
------------
TOTAL COMMON STOCK (Cost $227,358,398)................. 306,486,422
------------
<CAPTION>
UNITS
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $24,775,179) (7.5%)
State Street Bank Yield Enhanced Short Term Investment
Fund.................................................. 24,775,179 24,775,179
------------
TOTAL INVESTMENTS (COST $252,133,577) (99.8%).......... 331,261,601
Other Assets less Liabilities (0.2%)................... 677,987
------------
NET ASSETS (100.0%).................................... $331,939,588
============
</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 accompanying notes are an integral part of these financial statements.
F-16
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $345,397,782)......................... $361,378,330
Cash.............................................................. 19,812
Receivable for investments sold................................... 821,470
Dividends and interest receivable................................. 2,018,121
Unamortized organizational costs.................................. 53,224
------------
Total Assets.................................................... 364,290,957
------------
LIABILITIES
Payable for investments purchased................................. 3,919,164
Payable for fund units redeemed................................... 1,399,029
Investment advisory fee payable................................... 315,689
State Street Bank and Trust Co.--program fee payable.............. 101,834
Trustee, management and administration fees payable............... 21,645
American Bar Retirement Association--program fee payable.......... 15,051
Other accruals.................................................... 14,221
Other liabilities................................................. 1,557
------------
Total Liabilities............................................... 5,788,190
------------
NET ASSETS (equivalent to $44.42 per unit based on 8,070,199 units
outstanding)..................................................... $358,502,767
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-17
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign tax expense of $24,365)............... $ 2,841,395
Interest........................................................ 8,672,999
------------
Total investment income....................................... 11,514,394
------------
EXPENSES
Investment advisory fee......................................... 995,814
State Street Bank and Trust Company--program fee................ 1,154,131
Trustee, management and administration fees..................... 241,510
American Bar Retirement Association--program fee................ 168,606
Amortization of organization costs.............................. 83,899
Reports to unitholders.......................................... 52,342
Legal and audit fees............................................ 44,373
Registration fee................................................ 49,624
Other expenses.................................................. 17,290
------------
Total expenses................................................ 2,807,589
------------
Net investment income............................................. 8,706,805
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain............................................... 80,198,178
Change in net unrealized appreciation........................... (26,498,974)
------------
Net realized and unrealized gain on investments............... 53,699,204
------------
Net increase in net assets resulting from operations.............. $ 62,406,009
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-18
<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,
--------------------------
1997 1996
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income............................ $ 8,706,805 $ 7,987,421
Net realized gain on investments................. 80,198,178 26,015,161
Net change in unrealized appreciation on invest-
ments........................................... (26,498,974) 5,122,866
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 62,406,009 39,125,448
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued....................... 73,912,974 19,822,374
Cost of units redeemed........................... (73,217,548) (28,072,708)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... 695,426 (8,250,334)
------------ ------------
Net increase in net assets..................... 63,101,435 30,875,114
NET ASSETS
Beginning of year................................ 295,401,332 264,526,218
------------ ------------
End of year...................................... $358,502,767 $295,401,332
============ ============
NUMBER OF UNITS
Outstanding--beginning of year................... 8,036,685 8,264,600
Sold........................................... 1,578,134 584,936
Redeemed....................................... (1,544,620) (812,851)
------------ ------------
Outstanding--end of year......................... 8,070,199 8,036,685
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-19
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
BALANCED FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
------------------------------------------------ DECEMBER 31,
1997 1996 1995 1994 1993 1992
-------- -------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C> <C>
Investment income....... $ 1.42 $ 1.30 $ 1.19 $ 1.08 $ 1.00 $ .89
Expenses................ (.35) (.33) (.29) (.26) (.26) (.25)
-------- -------- -------- -------- -------- --------
Net investment income... 1.07 .97 .90 .82 .74 .64
Net realized and
unrealized gain (loss)
on investments......... 6.59 3.78 6.07 (.82) .82 (1.56)
-------- -------- -------- -------- -------- --------
Net increase in unit
value.................. 7.66 4.75 6.97 -- 1.56 (.92)
Net asset value at
beginning of year...... 36.76 32.01 25.04 25.04 23.48 24.40
-------- -------- -------- -------- -------- --------
Net asset value at end
of year................ $ 44.42 $ 36.76 $ 32.01 $ 25.04 $ 25.04 $ 23.48
======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... .84% .96% 1.00% 1.03% 1.07% 1.10%****
Ratio of net investment
income to average net
assets................. 2.62% 2.85% 3.08% 3.32% 3.05% 2.82%****
Portfolio turnover...... 122% 181% 155% 113% 153% 119%***
Total return............ 20.84% 14.84% 27.84% 0.00% 6.64% (3.77)%***
Average commissions
rate**................. $ 0.0510 $ 0.0550 -- -- -- --
Net assets at end of
year (in thousands).... $358,503 $295,401 $264,526 $198,945 $193,362 $167,242
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the year.
** Average commissions rate paid is presented for fiscal periods beginning on
or after September 1, 1995.
*** Not annualized.
**** Ratios annualized.
The accompanying notes are an integral part of these financial statements.
F-20
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (62.9%)
BASIC INDUSTRIES (5.7%)
ALUMINUM
Aluminum Company America............................... 34,000 $ 2,392,750
------------
BUILDING MATERIALS
Applied Materials Inc.*................................ 194,900 5,871,363
------------
CHEMICALS
Air Products & Chemicals Inc. ......................... 35,200 2,895,200
Georgia Gulf Corp. .................................... 5,600 171,500
Praxair Inc. .......................................... 53,000 2,385,000
Zeneca Group PLC ADR**................................. 49,000 5,292,000
------------
10,743,700
------------
PLASTICS
Illinois Tool Wks Inc. ................................ 26,000 1,563,250
------------
TOTAL BASIC INDUSTRIES................................. 20,571,063
------------
CAPITAL GOODS (3.7%)
CONSTRUCTION AND MINING EQUIPMENT
Dover Corp. ........................................... 74,200 2,680,475
------------
ELECTRICAL EQUIPMENT
ASM Lithography Hldg N V ADR* **....................... 26,400 1,782,000
General Electric Company............................... 25,300 1,856,388
Johnson Ctls Inc. ..................................... 48,000 2,292,000
Philips Electrs N V ADR**.............................. 7,000 423,500
------------
6,353,888
------------
POLLUTION CONTROL
Browning Ferris Inds Inc. ............................. 59,600 2,205,200
Republic Industries Inc.*.............................. 82,800 1,930,275
------------
4,135,475
------------
TOTAL CAPITAL GOODS.................................... 13,169,838
------------
CONSUMER BASICS (9.8%)
DRUGS AND HEALTHCARE
Abbott Labs............................................ 31,600 2,071,775
Astra Ab ADR**......................................... 175,000 3,007,813
Guidant Corp. ......................................... 81,100 5,048,475
Merck & Company Inc. .................................. 27,000 2,868,750
Pacificare Health Systems*............................. 40,830 2,125,333
Pfizer Inc. ........................................... 87,000 6,486,938
United Healthcare Corp. ............................... 58,400 2,901,750
------------
24,510,834
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-21
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FOOD AND BEVERAGE
Conagra Inc. .......................................... 85,200 $ 2,795,625
Kellogg Company........................................ 39,600 1,965,150
Nestle S A............................................. 30,000 2,238,750
Pepsico Inc. .......................................... 55,800 2,033,213
------------
9,032,738
------------
TOBACCO
Philip Morris Companies Inc. .......................... 35,900 1,626,719
------------
TOTAL CONSUMER BASICS.................................. 35,170,291
------------
CONSUMER DURABLE GOODS (1.8%)
AUTO PARTS
Eaton Corp. ........................................... 3,600 321,300
------------
AUTOMOBILES
Ford Motor Company Del................................. 100,000 4,868,750
Volvo Aktiebolaget ADR* **............................. 40,500 1,093,500
------------
5,962,250
------------
TOTAL CONSUMER DURABLE GOODS........................... 6,283,550
------------
CONSUMER NON-DURABLE GOODS (4.4%)
APPAREL AND TEXTILES
Gucci Group N V ADR**.................................. 10,400 435,500
Nike Inc. ............................................. 49,500 1,942,875
V F Corp. ............................................. 38,400 1,764,000
------------
4,142,375
------------
LIQUOR
Anheuser Busch Companies Inc. ......................... 40,000 1,760,000
------------
RETAIL TRADE
Lowes Companies Inc. .................................. 65,000 3,099,688
Wal Mart Stores Inc. .................................. 35,500 1,400,031
Woolworth Corp. ....................................... 133,000 2,709,875
------------
7,209,594
------------
TOYS, AMUSEMENTS, AND SPORTING GOODS
Hasbro Inc. ........................................... 84,800 2,671,200
------------
TOTAL CONSUMER NON-DURABLE GOODS....................... 15,783,169
------------
CONSUMER SERVICES (0.4)%
LEISURE TIME
Disney Walt Company.................................... 15,000 1,485,938
------------
TOTAL CONSUMER SERVICES................................ 1,485,938
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-22
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
ENERGY (4.6%)
DOMESTIC OIL
Atlantic Richfield Company............................. 19,400 $ 1,554,425
Noble Affiliates Inc. ................................. 20,500 722,625
------------
2,277,050
------------
GAS EXPLORATION
Oryx Energy Company.................................... 22,600 576,300
------------
INTERNATIONAL OIL
British Petroleum PLC ADR**............................ 15,000 1,195,313
Chevron Corp. ......................................... 24,200 1,863,400
Mobil Corp. ........................................... 11,900 859,031
Shell Trans & Trading PLC ADR**........................ 81,100 3,548,125
------------
7,465,869
------------
PETROLEUM SERVICES
Total S A ADR**........................................ 77,500 4,301,250
Western Atlas Inc.*.................................... 26,200 1,938,800
------------
6,240,050
------------
TOTAL ENERGY........................................... 16,559,269
------------
FINANCE (11.2%)
BANKS
Bankamerica Corp. ..................................... 62,400 4,555,200
Chase Manhattan Corp. (New)............................ 47,000 5,146,500
Citicorp............................................... 19,900 2,516,106
Mercantile Bancorporation Inc. ........................ 21,200 1,303,800
Wells Fargo & Company.................................. 12,800 4,344,800
------------
17,866,406
------------
FINANCIAL SERVICES
Capital One Financial Corp. ........................... 56,900 3,083,269
------------
INSURANCE
Cincinnati Financial Corp. ............................ 27,500 3,870,625
Exel Ltd. ADR**........................................ 99,200 6,286,800
General Re Corp. ...................................... 13,300 2,819,600
------------
12,977,025
------------
SAVINGS AND LOAN
Ahmanson H F and Company............................... 44,800 2,998,800
Golden West Financial Corp. ........................... 33,000 3,227,813
------------
6,226,613
------------
TOTAL FINANCE.......................................... 40,153,313
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-23
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
GENERAL BUSINESS (6.1%)
BROADCASTING
TCI Satellite Entmt Inc.*.............................. 6,200 $ 42,625
U S West Inc.*......................................... 60,900 1,758,488
Viacom Inc.*........................................... 37,500 1,535,344
------------
3,336,457
------------
BUSINESS SERVICES
Donnelley RR & Sons Company............................ 45,000 1,676,250
Interpublic Group Companies Inc. ...................... 31,800 1,584,038
Nokia Corp. ADR**...................................... 20,000 1,400,000
------------
4,660,288
------------
NEWSPAPERS
News Corp. Ltd. ADR**.................................. 63,900 1,373,851
------------
OFFICE FURNISHINGS AND SUPPLIES
Avery Dennison Corp. .................................. 53,700 2,403,075
------------
PUBLISHING
Jostens Inc. .......................................... 91,600 2,112,525
Time Warner Inc. ...................................... 84,000 5,208,000
------------
7,320,525
------------
TELECOMMUNICATION SERVICES
Tele Communications Inc. New*.......................... 89,750 2,893,690
------------
TOTAL GENERAL BUSINESS................................. 21,987,886
------------
MISCELLANEOUS (4.1%)
CONGLOMERATES
Textron Inc. .......................................... 36,900 2,306,250
------------
MISCELLANEOUS
Dillards Inc. ......................................... 38,000 1,339,500
Fort James Corp. ...................................... 49,100 1,878,075
Pioneer Nat Res Company ADR**.......................... 87,000 2,517,563
KLA Tencor Corp.*...................................... 90,700 3,503,288
Slm Hldg Corp. ........................................ 21,800 3,032,925
------------
12,271,351
------------
TOTAL MISCELLANEOUS.................................... 14,577,601
------------
TECHNOLOGY (6.9%)
AEROSPACE
Boeing Company......................................... 69,900 3,420,731
United Technologies Corp. ............................. 28,500 2,075,156
------------
5,495,887
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-24
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMPUTERS AND BUSINESS EQUIPMENT
Ascend Communications Inc.*............................ 70,000 $ 1,715,000
Cisco Sys Inc.*........................................ 28,200 1,572,150
Xerox Corp. ........................................... 33,000 2,435,813
------------
5,722,963
------------
ELECTRONICS
Electronic Data Sys Corp. New.......................... 44,500 1,955,219
Ericsson L M Tel Company ADR**......................... 102,600 3,828,263
Intel Corp. ........................................... 41,200 2,894,300
Micron Technology Inc. ................................ 63,000 1,638,000
Silicon Graphics Inc.*................................. 59,700 742,519
Teradyne Inc.*......................................... 80,300 2,569,600
------------
13,627,901
------------
TOTAL TECHNOLOGY....................................... 24,846,751
------------
TRANSPORTATION (0.5%)
RAIL TRANSPORTATION
Wisconsincent Transn Corp.*............................ 75,000 1,753,125
------------
TOTAL TRANSPORTATION................................... 1,753,125
------------
UTILITIES (3.7%)
ELECTRIC UTILITIES
Northeast Utilities.................................... 109,100 1,288,744
------------
GAS AND PIPELINE UTILITIES
Mcn Energy Group Inc. ................................. 55,100 2,224,663
Williams Companies Inc. ............................... 101,200 2,871,550
------------
5,096,213
------------
TELEPHONE
Airtouch Communications Inc.*.......................... 39,300 1,633,406
AT&T Corp. ............................................ 34,500 2,113,125
MCI Communications Corp. .............................. 48,200 2,063,563
Worldcom Inc. Ga....................................... 37,500 1,134,364
------------
6,944,458
------------
TOTAL UTILITIES........................................ 13,329,415
------------
TOTAL COMMON STOCKS (Cost $212,170,717)................ 225,671,209
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-25
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
FIXED INCOME (34.1%)
CORPORATE BONDS (9.0%)
ASSET BACKED
Arcadia Automobile Receivables........................ $ 600,000 $ 601,808
Banc One Auto Grantor Tr 6.29% 07/20/04............... 825,000 825,592
Chevy Chase Auto Receivables 6.25% 07/20/04........... 775,000 775,556
Cps Auto Grantor Tr 6.65% 10/15/02.................... 180,796 182,057
Daimler Benz Auto Grantor Tr 7.58% 03/20/05........... 510,237 510,554
First Merchants Auto Tr 6.70% 11/15/02****............ 214,064 216,095
First Secauto Grantor Tr 6.10% 04/15/03............... 881,290 880,836
Ford Credit Auto Owner Tr 6.05% 04/15/01.............. 1,025,000 1,024,135
Honda Auto Receivables Grantor 5.85% 02/15/03......... 893,159 891,756
Honda Auto Receivables Tr 5.95% 05/15/03.............. 969,359 967,498
Long Beach Addep Auto Grn Tr Tr 6.69% 09/25/04****.... 418,099 419,053
Nal Auto Tr 7.30% 12/15/00****........................ 98,473 96,930
Nal Auto Tr 8.00% 12/16/02****........................ 121,774 121,636
National Car Rental Financial Corp. 7.35% 10/20/03.... 250,000 258,583
Nissan Auto Recievables Grantor 6.15% 02/17/03****.... 930,293 931,744
Npf Xi Inc. 8.19% 07/01/01............................ 100,000 101,350
Rental Car Fin Grp 6.45% 04/25/03..................... 725,000 725,851
Team Fleet Fing Corp. 7.35% 05/15/03.................. 325,000 335,215
Team Fleet Fing Corp. 6.65% 12/15/02****.............. 250,000 251,266
Wfs Financial Owner Tr 6.25% 03/20/02................. 650,000 650,058
World Financial Propertys Tower B 6.91% 09/01/13...... 1,257,113 1,287,409
World Omni Automobile Lease 6.07% 11/25/03............ 675,000 674,531
------------
12,729,513
------------
ELECTRIC UTILITIES
Edison Mission Energy Funding Corp. 7.33%
09/15/08****......................................... 200,000 208,876
Israel Elec Corp. Ltd 7.25% 12/15/06****.............. 160,000 163,216
Israel Electric 7.75% 12/17/07........................ 350,000 355,313
Samsung Electrs Ltd 7.45% 10/01/02****................ 115,000 88,675
------------
816,080
------------
FINANCE AND BANKING
Bankamerica Institutional Capital A 8.07%
12/31/26****......................................... 725,000 775,373
Beneficial Corp. Mtn Bk Entry 6.47% 11/17/08.......... 405,000 401,817
Beverly Finance 8.36% 07/15/04........................ 250,000 269,883
BT Institutional Capital Tr A 8.09% 12/01/26****...... 650,000 682,676
Corestates Capital 8.00% 12/15/26****................. 725,000 765,216
Creekwood Cap Corp. 8.47% 03/16/15****................ 240,988 270,829
Equitable Life Assur Soc USA 6.95% 12/01/05****....... 250,000 255,398
Excel Paralubes Funding Corp. 7.43% 11/01/15****...... 250,000 266,160
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-26
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
Farmers Insurance Exch 8.63% 05/01/24****............. $ 625,000 $ 723,094
First Chicago Nbd Institutional Capital 7.95%
12/01/26****......................................... 625,000 654,081
First Un Inst Capital I 8.04% 12/01/26................ 650,000 685,087
Great Wesn Financial Tr Ii 8.21% 02/01/27............. 140,000 148,487
John Hancock Mut Life Insurance Company 7.38%
02/14/24............................................. 250,000 262,298
Hutchison Whampoa Fin C I Ltd 7.45% 08/01/17 ADR**.... 320,000 309,568
Korea Devbk 7.38% 09/17/04............................ 665,000 532,140
Metropolitan Life Insurance Company 7.45%
11/01/23****......................................... 500,000 512,550
Nationwide Mutual Life 7.50% 02/15/24................. 500,000 504,175
NB Capital Triv 8.25% 04/15/27****.................... 485,000 529,261
New York Life Insurance Cor 7.50% 12/15/23............ 250,000 253,845
Petrozuata Fin Inc. 8.22% 04/01/17.................... 600,000 638,232
PNC Institutional Cap Tr A 7.95% 12/15/26............. 350,000 370,594
Rhone Poulenc A3 8.62% 01/05/21....................... 350,000 393,078
Scotia Pacific Hldg Corp. 7.95% 07/20/15.............. 207,770 216,961
Town & Ctry Funding Corp. 5.85% 08/15/98.............. 450,000 448,389
Washington Mut Capital I 8.38% 06/01/27............... 240,000 264,571
Wells Fargo Capital A 8.13% 12/01/26****.............. 495,000 532,457
Wells Fargo Capital I 7.96% 12/15/26.................. 225,000 236,567
Zurich Capital Trust 8.38% 06/01/37****............... 415,000 452,234
------------
12,355,021
------------
INDUSTRIALS
AST Resh Inc. 7.45% 10/01/02****...................... 475,000 366,268
Jet Equip Tr 10.00% 06/15/12****...................... 350,000 447,867
Oil Pur Company 7.10% 04/30/02****.................... 400,000 400,356
Paiton Energy 9.34% 02/15/14****...................... 225,000 193,106
Philip Morris Companies Inc. 6.38% 02/01/06........... 250,000 245,538
------------
1,653,135
------------
MISCELLANEOUS
Alcoa Aluminio S A 7.50% 12/16/08..................... 643,318 648,606
Anthem Insurance Companies Inc. Disc Coml 9.00%
04/15/27****......................................... 475,000 522,719
Florida Residential Property & Casualty 7.38%
07/01/03****......................................... 525,000 545,281
Florida Residential Property & Casualty 7.45%
07/01/04****......................................... 100,000 104,543
Florida Windstorm Underwriting 5.50% 03/31/23****..... 200,000 201,584
News Amerhldgs Inc. 7.75% 01/20/24.................... 100,000 104,058
News Amerhldgs Inc. 7.75% 02/01/24.................... 170,000 177,827
Petroliam Nasional Berhad 7.13% 10/18/06 ADR** ****... 575,000 545,543
Prime Property Funding Ii Inc. 7.00% 08/15/04****..... 495,000 506,519
Railcar Leasing Llc 7.13% 01/15/13****................ 375,000 394,886
------------
3,751,566
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-27
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
OTHER
Fifty Seventh Str Tr Assocs LLC 7.13% 06/01/17****..... $ 247,988 $ 254,726
Oxymar 7.50% 02/15/16.................................. 175,000 177,564
------------
432,290
------------
OTHER UTILITIES
Mobile Energy Services Company LLC 8.67% 01/01/17...... 208,582 234,042
Ras Laffan Liquefied Nat Gas 8.29% 03/15/14****........ 425,000 396,903
------------
630,945
------------
TOTAL CORPORATE BONDS.................................. 32,368,550
------------
FOREIGN BONDS (0.2%)
CORPORATE
Hyundai Semicon 8.63% 05/15/07 ADR**................... 370,000 271,813
------------
GOVERNMENT
Columbia Rep 8.70% 02/15/16 ADR**...................... 440,000 428,208
------------
TOTAL FOREIGN BONDS.................................... 700,021
------------
MORTGAGE RELATED (6.6%)
FEDERAL AGENCIES
FHLMC PC Gtd. 549859 11.00% 09/01/20................... 118,884 134,412
FHLMC PC Gtd. 554922 10.50% 12/01/20................... 300,352 334,805
FHLMC PC Gtd. 555283 10.00% 09/01/17................... 384,241 420,379
FHLMC PC Gtd. 555293 10.00% 11/01/20................... 340,589 372,359
FHLMC PC Gtd. D06744 10.50% 08/01/19................... 103,262 113,012
FHLMC PC Gtd. D06959 10.50% 04/01/16................... 117,257 129,174
FHLMC PC Gtd. G00035 10.50% 02/01/21................... 146,503 161,824
------------
1,665,965
------------
GOVERNMENT SPONSORED
FNMA Pool 303157 10.00% 05/01/22....................... 197,057 215,844
FNMA Pool 303554 11.50% 09/01/25....................... 142,214 161,767
------------
377,611
------------
OTHER COLLATERALIZED MORTGAGE OBLIGATIONS
AFC Mortgage Ln Tr 8.07% 09/25/27...................... 299,999 310,499
Alps 94 1Pass Thru Tr 7.80% 09/15/04................... 225,000 230,226
Alps 94/1Pass Thru Tr 9.35% 09/15/04................... 248,732 254,503
DLJ Mortgage Acceptance Corp. 7.58% 03/13/28****....... 250,000 266,446
DLJ Mortgage Acceptance Corp. 7.40% 06/01/03........... 417,060 433,328
DLJ Mortgage Acceptance Corp. 7.20% 07/14/03........... 265,331 273,937
Mid St Tr II 9.62% 04/01/03............................ 500,000 540,567
------------
2,309,506
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-28
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
OTHER MARKETABLE
Airplanes Pass Through Tr 6.60% 03/15/19*****......... $ 129,816 $ 129,813
FHLMC Pc Gtd 9.50% 04/15/20........................... 110,488 123,228
FHLMC Pc Gtd 10.00% 05/15/20.......................... 325,000 356,688
FHLMC Pc Gtd 10.00% 06/15/20.......................... 205,000 228,063
FNMA Remic 8.50% 09/25/20............................. 276,799 292,540
Prime Property Fd 6.63% 07/23/03****.................. 172,643 173,737
Rural Hsg Tr 1987 1 3.33% 04/01/26.................... 266,249 254,623
Wfs Financial Owner Tr 6.10% 03/20/02................. 640,000 638,459
------------
2,197,151
------------
U.S. GUARANTEED
GNMA II Arm TBA 6.00% 12/20/99***..................... 1,300,000 1,313,611
GNMA II Pool 080114 6.00% 09/20/27.................... 2,458,468 2,479,417
GNMA Pool 008611 7.00% 03/20/25....................... 591,483 608,393
GNMA Pool 008621 7.00% 04/20/25....................... 356,322 367,011
GNMA Pool 008631 7.38% 05/20/25....................... 1,187,647 1,223,086
GNMA Pool 008634 7.38% 05/20/25....................... 290,222 297,105
GNMA Pool 008664 7.00% 07/20/25....................... 2,878,074 2,942,276
GNMA Pool 033635 11.00% 12/15/09...................... 2,344 2,630
GNMA Pool 034701 11.00% 01/15/10...................... 16,185 18,157
GNMA Pool 038109 11.00% 02/15/10...................... 956 1,072
GNMA Pool 040492 11.00% 07/15/10...................... 15,796 17,721
GNMA Pool 041749 11.00% 07/15/10...................... 34,169 38,482
GNMA Pool 041987 11.00% 08/15/10...................... 4,464 5,028
GNMA Pool 042354 11.00% 08/15/10...................... 14,194 15,985
GNMA Pool 058816 11.00% 01/15/13...................... 1,723 1,951
GNMA Pool 134123 11.00% 09/15/15...................... 17,254 19,686
GNMA Pool 139478 10.50% 09/15/15...................... 35,732 40,039
GNMA Pool 141387 11.00% 10/15/15...................... 10,846 12,374
GNMA Pool 174472 10.00% 11/15/16...................... 145,321 161,119
GNMA Pool 180521 10.00% 12/15/16...................... 112,996 124,522
GNMA Pool 223520 10.00% 03/15/18...................... 126,313 140,467
GNMA Pool 231157 10.00% 06/15/18...................... 122,348 136,059
GNMA Pool 232061 10.50% 09/15/17...................... 154,273 173,382
GNMA Pool 269159 10.00% 06/15/19...................... 28,971 32,237
GNMA Pool 274800 10.50% 05/15/19...................... 1,732 1,951
GNMA Pool 277908 10.00% 10/15/19...................... 29,151 32,473
GNMA Pool 285191 10.50% 03/15/20...................... 32,986 37,072
GNMA Pool 287170 10.50% 08/15/20...................... 134,385 151,534
GNMA Pool 780056 11.00% 09/15/17...................... 332,553 377,751
GNMA Pool 780103 11.00% 02/15/25...................... 355,328 405,411
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-29
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
----------- ------------
<S> <C> <C>
GNMA Pool 780488 10.00% 10/15/21..................... $ 136,375 $ 151,918
GNMA Pool 780496 10.50% 12/15/17..................... 352,422 395,523
GNMA Pool 780554 10.00% 05/15/19..................... 3,012,840 3,352,448
GNMA Pool 780595 11.00% 08/15/17..................... 1,119,806 1,285,157
GNMA Pool II 6.00% 11/15/27.......................... 617,376 623,938
------------
16,986,986
------------
TOTAL MORTGAGE RELATED............................... 23,537,219
------------
U.S. TREASURY (18.2%)
DIRECT
United States Treasury Bonds 8.75% 08/15/20.......... 8,480,000 11,311,557
United States Treasury Notes 3.38% 01/15/07.......... 4,245,193 4,133,757
United States Treasury Notes 7.50% 02/15/05.......... 19,720,000 21,673,463
United States Treasury Notes 7.13% 02/29/00.......... 2,600,000 2,675,166
United States Treasury Notes 6.25% 05/31/99.......... 3,025,000 3,049,109
United States Treasury Notes 6.75% 06/30/99.......... 4,750,000 4,823,483
United States Treasury Notes 3.63% 07/15/02.......... 1,406,685 1,399,667
United States Treasury Notes 7.13% 09/30/99*******... 12,100,000 12,387,375
United States Tres Bd Strp Prn (PO) 0.00%
02/15/19******...................................... 13,100,000 3,674,943
------------
65,128,520
------------
TOTAL U.S. TREASURY.................................. 65,128,520
------------
YANKEE BOND (0.1%)
INDUSTRIALS
News Amerhldgs Inc. 8.880% 04/26/23.................. 330,000 386,091
------------
TOTAL FIXED INCOME (Cost $119,587,059)............... 122,120,401
------------
<CAPTION>
SHARES
-----------
<S> <C> <C>
PREFERRED STOCK (0.4%)
Entertainment Property Inc. Pfd.****................. 200 189,042
Home Ownership Pfd.****.............................. 1,250 1,215,581
Tier One Propertys Inc. Pfd.****..................... 125 121,398
------------
TOTAL PREFERRED STOCKS (Cost $1,579,307)............. 1,526,021
------------
<CAPTION>
UNITS
-----------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $12,060,699) (3.4%)
State Street Bank Yield Enhanced Short Term Invest-
ment Fund........................................... 12,060,699 12,060,699
------------
TOTAL INVESTMENTS (COST $345,397,782) (100.8%)....... 361,378,330
Liabilities less Other Assets (-0.8%)................ (2,875,563)
------------
NET ASSETS (100.0%).................................. $358,502,767
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-30
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
BALANCED FUND
DECEMBER 31, 1997
- --------
* 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.
*** To be announced (TBA) securities are purchased (sold) on a forward
commitment basis with an approximate principal amount and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement.
**** 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, 1997 were
$15,502,425 and $15,763,325, respectively.
***** Variable rate security. The rate shown reflects rate currently in
effect.
****** Stripped asset backed securities represent the splitting of cash
flows arising from U.S treasury securities into several classes which
vary by the proportion of the payments on the certificate
representing interest only (IO equals Int.), or principal only (PO
equals PRN).
******* Portion of the security is segregated as collateral for TBA
purchases.
The accompanying notes are an integral part of these financial statements.
F-31
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $784,740,022)......................... $970,886,148
Cash.............................................................. 61,632
Receivable for investments sold................................... 3,292,653
Receivable for fund units sold.................................... 336,426
Dividends and interest receivable................................. 1,032,505
Unamortized organizational costs.................................. 142,764
Other receivables................................................. 19,377
------------
Total Assets.................................................... 975,771,505
------------
LIABILITIES
Payable for investments purchased................................. 7,139,606
Investment advisory fee payable................................... 364,099
State Street Bank and Trust Co.--program fee payable.............. 272,444
Trustee, management and administration fees payable............... 57,459
American Bar Retirement Association--program fee payable.......... 41,506
Other accruals.................................................... 42,406
------------
Total Liabilities............................................... 7,917,520
------------
NET ASSETS (equivalent to $359.82 per unit based on 2,689,796
units outstanding)............................................... $967,853,985
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-32
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign tax expense of $148,162).............. $ 9,698,288
Interest........................................................ 1,590,872
------------
Total investment income....................................... 11,289,160
------------
EXPENSES
Investment advisory fee......................................... 2,288,957
State Street Bank and Trust Company--program fee................ 3,056,748
Trustee, management and administration fees..................... 639,718
American Bar Retirement Association--program fee................ 446,549
Reports to unitholders.......................................... 138,707
Amortization of organization costs.............................. 218,466
Legal and audit fees............................................ 117,590
Registration fee................................................ 131,502
Other expenses.................................................. 35,895
------------
Total expenses................................................ 7,074,132
------------
Net investment income............................................. 4,215,028
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain............................................... 219,100,674
Change in net unrealized appreciation........................... (1,756,692)
------------
Net realized and unrealized gain on investments............... 217,343,982
------------
Net increase in net assets resulting from operations............ $221,559,010
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-33
<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,
---------------------------
1997 1996
------------- ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income........................... $ 4,215,028 $ 7,885,241
Net realized gain on investments................ 219,100,674 77,526,269
Net change in unrealized appreciation on invest-
ments.......................................... (1,756,692) 50,117,149
------------- ------------
Net increase in net assets resulting from op-
erations..................................... 221,559,010 135,528,659
------------- ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued...................... 283,226,911 36,326,804
Cost of units redeemed.......................... (289,729,985) (56,891,452)
------------- ------------
Net decrease in net assets resulting from
unitholder transactions...................... (6,503,074) (20,564,648)
------------- ------------
Net increase in net assets.................... 215,055,936 114,964,011
NET ASSETS
Beginning of year............................... 752,798,049 637,834,038
------------- ------------
End of year..................................... $ 967,853,985 $752,798,049
============= ============
NUMBER OF UNITS
Outstanding--beginning of year.................. 2,705,373 2,781,980
Sold.......................................... 865,694 146,346
Redeemed...................................... (881,271) (222,953)
------------- ------------
Outstanding--end of year........................ 2,689,796 2,705,373
============= ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-34
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
GROWTH EQUITY FUND
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 2, 1992
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
------------------------------------------------ DECEMBER 31,
1997 1996 1995 1994 1993 1992
-------- -------- -------- -------- -------- -----------------
<S> <C> <C> <C> <C> <C> <C>
Investment income....... $ 4.15 $ 5.07 $ 3.88 $ 3.48 $ 3.16 $ 3.20
Expenses................ (2.60) (2.22) (1.88) (1.60) (1.52) (1.45)
-------- -------- -------- -------- -------- --------
Net investment income... 1.55 2.85 2.00 1.88 1.64 1.75
Net realized and
unrealized gain on
investments............ 80.01 46.14 57.72 .61 12.99 3.00
-------- -------- -------- -------- -------- --------
Net increase............ 81.56 48.99 59.72 2.49 14.63 4.75
Net asset value at be-
ginning of year........ 278.26 229.27 169.55 167.06 152.43 147.68
-------- -------- -------- -------- -------- --------
Net asset value at end
of year................ $ 359.82 $ 278.26 $ 229.27 $ 169.55 $ 167.06 $ 152.43
======== ======== ======== ======== ======== ========
Ratio of expenses to av-
erage net assets....... .80% .88% .92% .95% .96% 1.01%****
Ratio of net investment
income to average net
assets................. .48% 1.13% .98% 1.12% 1.03% 1.22%****
Portfolio turnover...... 88% 64% 60% 59% 82% 46%***
Total return............ 29.31% 21.37% 35.23% 1.49% 9.60% 3.22%***
Average commissions
rate**................. $ 0.0516 $ 0.0564 -- -- -- --
Net assets at end of
year (in thousands).... $967,854 $752,798 $637,834 $479,435 $471,398 $427,933
</TABLE>
- --------
*Calculations prepared using the monthly average number of units outstanding
during the year.
** Average commissions rate paid is presented for fiscal periods beginning on
or after September 1, 1995.
***Not annualized.
****Ratios annualized.
The accompanying notes are an integral part of these financial statements.
F-35
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCK (97.6%)
BASIC INDUSTRIES (4.9%)
ALUMINUM
Aluminum Company Amer.................................. 36,600 $ 2,575,725
------------
CHEMICALS
Air Products & Chemicals Inc. ......................... 40,200 3,306,450
Betzdearborn Inc. ..................................... 1,000 61,063
Crompton & Knowles Corp. .............................. 5,200 137,800
Cytec Inds Inc.*....................................... 2,200 103,263
Du Pont EI De Nemours & Company........................ 39,400 2,366,463
Georgia Gulf Corp. .................................... 6,200 189,875
Goodrich B F Company................................... 1,600 66,300
Grace W R & Company Del................................ 82,400 6,628,051
Hercules Inc. ......................................... 5,800 290,363
Monsanto Company....................................... 244,300 10,260,600
Morton Int'l Inc. Industries New....................... 1,700 58,438
PPG Inds Inc. ......................................... 1,200 68,550
Praxair Inc. .......................................... 69,200 3,114,000
Sigma Aldrich.......................................... 2,500 99,375
Valspar Corp. ......................................... 1,200 38,250
Witco Corp. ........................................... 500 20,406
Zeneca Group PLC ADR**................................. 51,500 5,562,000
------------
32,371,247
------------
CONTAINERS AND GLASS
Bemis Inc. ............................................ 1,800 79,313
Crown Cork & Seal Inc. ................................ 2,300 115,288
Owens Illinois Inc.*................................... 5,800 220,038
Corning Inc. .......................................... 13,700 508,613
------------
923,252
------------
GOLD
Battle Mountain Gold Company........................... 2,300 13,513
Newmont Mining Corp. .................................. 9,900 290,813
------------
304,326
------------
MINING
Freeport Mcmoran Copper & Gold......................... 11,600 182,700
------------
NON-FERROUS METALS
Engelhard Corp. ....................................... 4,300 74,713
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-36
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
PAPER
Kimberly Clark Corp. .................................. 85,700 $ 4,226,082
Minnesota Mining & Manufacturing Company............... 11,600 951,925
------------
5,178,007
------------
PLASTICS
Illinois Tool Wks Inc. ................................ 71,900 4,322,988
Sealed Air Corp. ...................................... 2,300 142,025
------------
4,465,013
------------
STEEL
Allegheny Teldyne Inc. ................................ 7,900 204,413
Nucor Corp. ........................................... 4,400 212,575
Precisioncast Parts Corp. ............................. 900 54,281
------------
471,269
------------
TOTAL BASIC INDUSTRIES................................. 46,546,252
------------
CAPITAL GOODS (6.1%)
BUILDING CONSTRUCTION
Fluor Corp. ........................................... 2,500 93,438
------------
BUILDING SUPPLIES
Applied Materials Inc.*................................ 225,300 6,787,163
------------
CONSTRUCTION AND MINING EQUIPMENT
Dover Corp. ........................................... 85,800 3,099,525
Harnischfeger Industries Inc. ......................... 1,000 35,313
------------
3,134,838
------------
ELECTRICAL EQUIPMENT
American Power Conversion Corp.*....................... 5,300 125,213
Arrow Electronics Inc.*................................ 600 19,463
ASM Lithography Hldg N V ADR* **....................... 29,600 1,998,000
Atmel Corp.*........................................... 5,300 98,381
AVX Corp. New.......................................... 900 16,594
Dentsply Int'l Inc. New................................ 3,600 109,800
Emerson Electric Company............................... 7,400 417,638
General Electric Company............................... 467,500 34,302,813
Johnson Ctls Inc. ..................................... 53,000 2,530,750
Millipore Corp. ....................................... 1,800 61,088
Philips Electrs N V ADR**.............................. 4,500 272,250
Raychem Corp. ......................................... 5,800 249,763
Ucar Int'l Inc.*....................................... 2,300 91,856
------------
40,293,609
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-37
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
INDUSTRIAL MACHINERY
AES Corp. ............................................. 57,500 $ 2,680,938
American Standard Companies Inc. Del*.................. 5,000 191,563
Crane Company.......................................... 4,500 195,188
Pall Corp. ............................................ 8,600 177,913
Presstek Inc.*......................................... 1,000 25,750
Thermo Electron Corp.*................................. 8,100 360,450
U.S. Filter Corp.*..................................... 3,900 116,756
------------
3,748,558
------------
MISCELLANEOUS
Varian Assoc Inc. ..................................... 1,300 65,731
------------
POLLUTION CONTROL
Browning Ferris Industries Inc. ....................... 68,700 2,541,900
Republic Industries Inc.*.............................. 106,200 2,475,788
USA Waste Services Inc.*............................... 9,120 357,960
------------
5,375,648
------------
TOTAL CAPITAL GOODS.................................... 59,498,985
------------
CONSUMER BASICS (34.2%)
DRUGS AND HEALTHCARE
Abbott Labs............................................ 77,100 5,054,869
Alza Corp.*............................................ 74,300 2,363,669
American Home Products Corp. .......................... 62,800 4,804,200
Amgen Inc. ............................................ 41,700 2,257,013
Astra AB ADR**......................................... 195,666 3,363,009
Baxter Int'l Inc. ..................................... 15,300 771,694
Becton Dickinson & Company............................. 7,200 360,000
Bergen Brunswig Corp. ................................. 33,400 1,406,975
Biogen Inc.*........................................... 4,300 156,413
Biomet Inc. ........................................... 7,000 179,375
Boston Scientific Corp.*............................... 7,200 330,300
Bristol Myers Squibb Company........................... 123,400 11,676,725
Cardinal Health Inc. .................................. 53,050 3,985,381
Centocor Inc.*......................................... 74,700 2,483,775
Chiron Corp.*.......................................... 11,000 187,000
Columbia/HCA Healthcare Corp........................... 18,000 533,250
Dura Pharmaceuticals Inc.*............................. 2,800 128,450
Forest Labs Inc. ...................................... 1,800 88,763
General Nutrition Companies Inc.*...................... 5,600 190,400
Genesis Health Ventures Inc.*.......................... 1,600 42,200
Genzyme Corp.*......................................... 3,300 91,575
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-38
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Guidant Corp. ......................................... 195,500 $ 12,169,875
Health Care & Retirement Corp.*........................ 1,600 64,400
Health Management Assoc.*.............................. 7,350 185,588
Healthcare Compare Corp.*.............................. 23,400 1,196,325
Healthsouth Corp.*..................................... 20,800 577,200
Immunex Corp. New*..................................... 1,500 81,000
Johnson & Johnson...................................... 117,100 7,713,963
Lilly Eli & Company.................................... 368,800 25,677,700
Lincare Holdings Inc.*................................. 2,300 131,100
McKesson Corp. New..................................... 1,200 129,825
Medtronic Inc. ........................................ 128,400 6,716,925
Merck & Company Inc. .................................. 166,000 17,637,500
Mylan Labs Inc. ....................................... 5,200 108,875
Omnicare Inc. ......................................... 3,800 117,800
Oxford Health Plans Inc.*.............................. 4,400 68,475
Pacificare Health Systems*............................. 38,300 2,001,713
Pfizer Inc. ........................................... 472,800 35,253,151
Phycor Inc.*........................................... 48,800 1,317,600
Quorum Health Group Inc.*.............................. 5,550 144,994
Sangstat Med Corp.*.................................... 46,800 1,895,400
Scherer Rp Corp. Del*.................................. 1,000 61,000
Schering Plough Corp. ................................. 42,100 2,615,463
Smithkline Beecham PLC................................. 264,500 13,605,219
Sofamor/Danek Group Inc.*.............................. 45,900 2,986,369
St Jude Med Inc. ...................................... 4,300 131,150
Stryker Corp. ......................................... 3,600 134,100
Sybron Int'l Corp. Wisconsin*.......................... 2,000 93,875
Tenet Healthcare Corp.*................................ 70,900 2,348,563
United Healthcare Corp. ............................... 95,400 4,740,188
United States Surgical Corp. .......................... 1,800 52,763
Vencor Inc.*........................................... 4,200 102,638
Warner Lambert Company................................. 64,800 8,035,200
Watson Pharmaceuticals Inc.*........................... 5,200 168,675
Wellpoint Health Networks Inc.*........................ 1,100 46,475
------------
188,766,123
------------
FOOD AND BEVERAGE
Campbell Soup Company.................................. 59,100 3,435,188
Coca Cola Company...................................... 371,100 24,724,538
Coca Cola Enterprises Inc. ............................ 122,900 4,370,632
Conagra Inc. .......................................... 121,500 3,986,719
Cpc Int'l Inc. ........................................ 6,900 743,475
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-39
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
General Mls Inc. ...................................... 7,200 $ 515,700
Heinz HJ Company....................................... 8,200 416,663
Hershey Foods Corp. ................................... 3,100 192,006
Interstate Bakeries Corp. ............................. 1,600 59,800
Kellogg Company........................................ 53,400 2,649,975
McCormick & Company Inc. .............................. 1,900 53,200
Nabisco Holdings Corp. ................................ 29,200 1,414,375
Nestle S A ADR**....................................... 26,000 1,940,250
Outback Steakhouse Inc.*............................... 3,400 97,750
Pepsico Inc. .......................................... 375,600 13,685,925
Pioneer Hi Bred Int'l Inc. ............................ 4,540 486,915
Quaker Oats Company.................................... 2,200 116,050
Ralston Purina Company................................. 5,300 492,569
Sara Lee Corp. ........................................ 16,000 901,000
Sysco Corp. ........................................... 9,100 414,619
Tyson Foods Inc. (Del)................................. 2,500 51,250
Whitman Corp. ......................................... 3,600 93,825
Wrigley Wm Jr Company.................................. 6,400 509,200
------------
61,351,624
------------
HOUSEHOLD PRODUCTS
Clorox Company......................................... 4,600 363,688
Colgate Palmolive Company.............................. 136,100 10,003,350
Dial Corp. New......................................... 4,700 97,819
Gillette Company....................................... 148,800 14,945,101
Hillenbrand Inds Inc. ................................. 2,100 107,494
Procter & Gamble Company............................... 296,600 23,672,388
Rubbermaid Inc. ....................................... 8,700 217,500
Tupperware Corp. ...................................... 3,000 83,625
Unilever N V ADR**..................................... 82,000 5,119,875
------------
54,610,840
------------
RETAIL GROCERY
Albertsons Inc. ....................................... 6,300 298,463
Kroger Company*........................................ 11,700 432,169
Safeway Inc.*.......................................... 49,400 3,124,550
Starbucks Corp.*....................................... 5,200 199,550
------------
4,054,732
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-40
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TOBACCO
Philip Morris Companies Inc. .......................... 487,700 $ 22,098,907
UST Inc. .............................................. 11,000 406,313
------------
22,505,220
------------
TOTAL CONSUMER BASICS.................................. 331,288,539
------------
CONSUMER DURABLE GOODS (0.8%)
AUTO PARTS
Autoliv................................................ 1,500 49,125
Borg Warner Automotive Inc. ........................... 400 20,800
Danaher Corp. ......................................... 1,400 88,375
Eaton Corp. ........................................... 4,000 357,000
------------
515,300
------------
AUTOMOBILES
Federal Signal Corp. .................................. 1,400 30,275
Ford Mtr Company Del................................... 95,000 4,625,313
Harley Davidson Inc. .................................. 7,800 213,525
Lear Corp.*............................................ 2,000 95,000
Volvo Aktiebolaget ADR**............................... 52,000 1,404,000
------------
6,368,113
------------
HOUSEHOLD APPLIANCES
Leggett & Platt Inc. .................................. 4,500 188,438
Newell Company......................................... 10,300 437,750
Sunbeam Corp. Del New.................................. 4,000 168,500
Westpoint Stevens Inc.*................................ 1,700 80,325
------------
875,013
------------
TOTAL CONSUMER DURABLE GOODS........................... 7,758,426
------------
CONSUMER NON-DURABLE GOODS (5.8%)
APPAREL AND TEXTILES
Cintas Corp. .......................................... 2,600 101,400
Fruit Of The Loom Inc.*................................ 1,600 41,000
Gucci Group N V ADR**.................................. 11,400 477,375
Jones Apparel Group Inc.*.............................. 2,600 111,800
Liz Claiborne Inc. .................................... 61,500 2,571,469
Nike Inc. ............................................. 61,500 2,413,875
Reebok Int'l Ltd. ..................................... 1,300 37,456
Unifi Inc. ............................................ 2,300 93,581
V F Corp. ............................................. 42,400 1,947,750
Warnaco Group Inc. .................................... 2,300 72,163
Wolverine Worldwide Inc. .............................. 2,900 65,613
------------
7,933,482
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-41
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COSMETICS
Avon Prods Inc. ....................................... 68,000 $ 4,173,500
International Flavours................................. 3,000 154,500
Lauder Estee Companies Inc. ........................... 2,700 138,881
Revlon Inc.*........................................... 37,700 1,331,282
------------
5,798,163
------------
LIQUOR
Anheuser Busch Companies Inc. ......................... 55,100 2,424,400
------------
PHOTOGRAPHY
Eastman Kodak Company.................................. 3,400 206,763
------------
RETAIL TRADE
Autozone Inc.*......................................... 9,900 287,100
Barnes & Noble Inc.*................................... 1,500 50,063
Bed Bath & Beyond Inc.*................................ 40,300 1,551,550
Borders Group Inc.*.................................... 3,600 112,725
Circuit City Stores Inc. .............................. 5,100 181,369
Compusa Inc.*.......................................... 4,900 151,900
Consolidated Stores Corp.*............................. 60,750 2,669,204
Costco Companies Inc. ................................. 10,800 481,950
CVS Corp. ............................................. 18,100 1,159,531
Dayton Hudson Corp. ................................... 3,300 222,750
Dollar General Corp. .................................. 5,750 208,438
Dollar Tree Stores Inc.*............................... 2,100 86,888
Family Dollar Stores Inc. ............................. 35,100 1,028,869
Federated Dept Stores Inc. Del*........................ 3,500 150,719
Gap Inc. .............................................. 19,350 685,716
Home Depot Inc. ....................................... 84,750 4,989,656
Kohls Corp.*........................................... 3,400 231,625
Lowes Companies Inc. .................................. 119,300 5,689,119
May Dept Stores Company................................ 48,500 2,555,344
Nordstrom Inc. ........................................ 900 54,338
Office Depot Inc.*..................................... 4,600 110,113
Pep Boys Manny Moe & Jack.............................. 3,000 71,625
Petsmart Inc.*......................................... 7,400 53,650
Rite Aid Corp. ........................................ 4,300 252,356
Ross Stores Inc. ...................................... 3,400 123,675
Sears Roebuck & Company................................ 51,200 2,316,800
Staples Inc.*.......................................... 10,600 294,150
Tiffany & Company New.................................. 1,300 46,881
TJX Companies Inc. New................................. 11,800 405,625
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-42
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Wal Mart Stores Inc. .................................. 104,300 $ 4,113,331
Walgreen Company....................................... 27,800 872,225
Woolworth Corp. ....................................... 141,900 2,891,213
------------
34,100,498
------------
TOYS, AMUSEMENTS, & SPORTING GOODS
Callaway Golf Company.................................. 4,300 122,819
Hasbro Inc. ........................................... 96,300 3,033,450
Mattel Inc. ........................................... 77,200 2,875,700
------------
6,031,969
------------
TOTAL CONSUMER NON-DURABLE GOODS....................... 56,495,275
------------
CONSUMER SERVICES (2.3%)
AIR TRAVEL
Comair Hldgs Inc. ..................................... 5,650 136,306
------------
HOTELS & RESTAURANTS
Boston Chicken Inc.*................................... 1,400 9,013
Cracker Barrel Old Ctry Store.......................... 4,000 133,500
Hilton Hotels Corp. ................................... 6,800 202,300
Host Marriott Corp.*................................... 250,000 4,906,250
ITT Corp. New*......................................... 6,700 555,263
La Quinta Inns Inc. ................................... 2,400 46,350
Marriot Int'l Inc. .................................... 6,600 457,050
McDonalds Corp. ....................................... 36,100 1,723,775
Mirage Resorts Inc.*................................... 11,100 252,525
Wendys Int'l Inc. ..................................... 4,600 110,688
------------
8,396,714
------------
LEISURE TIME
Brunswick Corp. ....................................... 1,000 30,313
Carnival Corp. ADR**................................... 43,000 2,381,125
Circus Circus Enterprises Inc.*........................ 3,500 71,750
Disney Walt Company.................................... 108,879 10,785,826
International Game Technology.......................... 4,800 121,200
Regal Cinemas Inc.*.................................... 2,400 66,900
------------
13,457,114
------------
TOTAL CONSUMER SERVICES................................ 21,990,134
------------
ENERGY (3.6%)
DOMESTIC OIL
Atlantic Richfield Company............................. 21,600 1,730,700
Noble Affiliates Inc. ................................. 24,500 863,625
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-43
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Pennzoil Company....................................... 1,200 $ 80,175
Pogo Producing Company................................. 1,400 41,300
Unocal Corp. .......................................... 3,200 124,200
------------
2,840,000
------------
GAS EXPLORATION
Anadarko Pete Corp. ................................... 3,200 194,200
Apache Corp. .......................................... 1,600 56,100
BJ Services Company*................................... 27,000 1,942,313
Burlington Res Inc. ................................... 2,987 133,855
Enron Corp. ........................................... 5,800 241,063
Oryx Energy Company.................................... 22,500 573,750
Union Pacific Resources Group Inc. .................... 11,600 281,300
Union Texpete Holdings Inc. ........................... 3,100 64,519
Weatherford Enterra Inc.*.............................. 900 39,375
------------
3,526,475
------------
INTERNATIONAL OIL
British Petroleum PLC ADR**............................ 43,000 3,426,563
Chevron Corp. ......................................... 26,800 2,063,600
Mobil Corp. ........................................... 38,100 2,750,344
Shell Trans & Trading PLC ADR**........................ 87,100 3,810,625
------------
12,051,132
------------
PETROLEUM SERVICES
Baker Hughes Inc. ..................................... 8,200 357,725
Camco Int'l Inc. ...................................... 26,500 1,687,719
Diamond Offshore Drilling Inc. ........................ 4,400 211,750
Dresser Inds Inc. ..................................... 5,300 222,269
Ensco Int'l Inc. ...................................... 7,800 261,300
Global Marine Inc.*.................................... 7,800 191,100
Halliburton Company.................................... 14,400 747,900
Lyondell Petrochemical Company......................... 1,300 34,450
Nabors Industries Inc.*................................ 6,800 213,775
Noble Drilling Corp.*.................................. 7,500 229,688
Reading & Bates Corp.*................................. 5,000 209,375
Renaissance Energy Ltd.*............................... 40,700 840,174
Rowan Companies Inc.*.................................. 4,500 137,250
Schlumberger Ltd. ADR**................................ 32,000 2,576,000
Smith Int'l Inc.*...................................... 2,700 165,713
Talisman Energy Inc.*.................................. 60,500 1,852,192
Tosco Corp. ........................................... 7,400 279,813
Total S A ADR**........................................ 62,000 3,441,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-44
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Transocean Offshore Inc. .............................. 4,000 $ 192,750
Western Atlas Inc.*.................................... 30,200 2,234,800
------------
16,086,743
------------
TOTAL ENERGY........................................... 34,504,350
------------
FINANCE (10.1%)
BANKS
Bank New York Inc. .................................... 22,000 1,271,875
Bankamerica Corp. ..................................... 69,600 5,080,800
Chase Manhattan Corp. (New)............................ 94,600 10,358,700
Citicorp............................................... 16,100 2,035,644
Cooper Cameron Corp.*.................................. 2,500 152,500
Fifth Third Bancorp.................................... 7,500 613,125
MBNA Corp. ............................................ 25,400 693,738
Mercantile Bancorporation Inc. ........................ 29,400 1,808,100
Northern Trust Corp. .................................. 1,800 125,550
Norwest Corp. ......................................... 91,100 3,518,738
Star Banccorp.......................................... 3,200 183,600
Synovus Finl Corp. .................................... 7,700 252,175
US Bancorp Del......................................... 12,400 1,388,026
Wells Fargo & Company.................................. 13,700 4,650,294
Zions Bancorp.......................................... 2,900 131,588
------------
32,264,453
------------
FINANCIAL SERVICES
American Express Company............................... 21,100 1,883,175
Amresco Inc. .......................................... 72,000 2,178,000
Associates First Cap Corp. ............................ 3,800 270,275
Capital One Financial Corp. ........................... 62,600 3,392,138
Concord EFS Inc.*...................................... 4,000 99,500
Corporate Express Inc.*................................ 6,200 79,825
Countrywide Credit Inds Inc. .......................... 1,300 55,738
Federal Home Loan Mortgage Corp. ...................... 164,000 6,877,751
Federal National Mortgage Association.................. 55,500 3,166,969
Green Tree Financial Corp. ............................ 8,900 233,069
Household Int'l Inc. .................................. 58,200 7,424,138
Money Store Inc. ...................................... 2,700 56,700
Morgan Stanley Dean Witter............................. 900 53,213
Travelers Group Inc. .................................. 12,450 670,744
------------
26,441,235
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-45
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
INSURANCE
Aetna Inc. ............................................ 2,600 $ 183,463
Aflac Inc. ............................................ 5,500 281,188
American Bankers Insurance Group Inc. ................. 1,000 45,938
American Int'l Group Inc. ............................. 96,800 10,527,000
Cincinnati Financial Corp. ............................ 30,529 4,296,957
Conseco Inc. .......................................... 4,000 181,750
Equifax Inc. .......................................... 9,300 329,569
Erie Indty Company..................................... 3,300 97,350
Everest Reinsurance Holdings........................... 1,600 66,000
Exel Ltd. ADR**........................................ 110,800 7,021,950
Foundation Health Sys Inc. ............................ 6,500 145,438
General Re Corp. ...................................... 14,700 3,116,400
Marsh & McLennan Companies Inc. ....................... 3,400 253,513
Medpartners Inc.*...................................... 8,900 199,138
Magic Invtcorp Wis..................................... 7,200 478,800
PMI Group Inc. ........................................ 800 57,850
Progressive Corp. Ohio................................. 2,200 263,725
Provident Companies Inc. .............................. 1,200 46,350
Sunamerica Inc. ....................................... 11,400 487,350
Unum Corp. ............................................ 3,100 168,563
------------
28,248,292
------------
INVESTMENT COMPANIES
Franklin Res Inc. ..................................... 5,100 443,381
Lehman Brothers Hldgs Inc. ............................ 900 45,900
Price T Rowe & Assoc Inc. ............................. 3,200 201,200
Schwab Charles Corp. .................................. 9,900 415,181
United Asset Management Corp. ......................... 2,700 65,981
------------
1,171,643
------------
SAVINGS AND LOAN
Ahmanson H F and Company............................... 50,200 3,360,263
Golden West Financial Corp. Del........................ 37,000 3,619,063
Washington Mutual Inc. ................................ 37,700 2,405,731
------------
9,385,057
------------
TOTAL FINANCE.......................................... 97,510,680
------------
GENERAL BUSINESS (7.0%)
BROADCASTING
Belo A H Corp. ........................................ 1,900 106,638
CBS Corp. ............................................. 47,000 1,383,563
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-46
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Clear Channel Communications........................... 3,300 $ 262,144
Comcast Corp. ......................................... 20,000 631,250
HBO & Company.......................................... 39,400 1,891,200
HSN Inc.*.............................................. 1,700 87,550
Primedia Inc.*......................................... 5,600 70,700
TCI Satellite Entmt Inc.*.............................. 6,800 46,750
Tele Communications Inc. New*.......................... 97,589 3,173,606
US West Inc.*.......................................... 65,400 1,888,425
Viacom Inc. ........................................... 50,000 2,051,063
------------
11,592,889
------------
BUSINESS SERVICES
Accustaff Inc.*........................................ 5,400 124,200
America Online Inc. Del*............................... 40,600 3,621,013
Apollo Group Inc.*..................................... 2,000 94,500
Automaticdata Processing Inc. ......................... 121,200 7,438,651
Block H&R Inc. ........................................ 3,500 156,844
Cognizant Corp. ....................................... 10,500 467,906
Corrections Corp. America.............................. 4,700 174,194
De Luxe Corp. ......................................... 3,300 113,850
Donnelley RR & Sons Company............................ 900 33,525
Ecolab Inc. ........................................... 2,500 138,594
First Data Corp. ...................................... 105,200 3,077,100
Fiserv Inc.*........................................... 3,200 157,200
Gartner Group Inc. New*................................ 43,100 1,605,475
Gtech Hldgs Corp.*..................................... 1,800 57,488
Humana Inc. ........................................... 7,100 147,325
Information Res Inc.*.................................. 72,000 963,000
Interpublic Group Companies Inc. ...................... 42,150 2,099,597
Manpower Inc. Wis...................................... 5,300 186,825
Nokia Corp. ADR**...................................... 67,000 4,690,000
Omnicom Group.......................................... 8,400 355,950
Paychex Inc. .......................................... 37,000 1,873,126
Quintilestransnational Corp.*.......................... 51,000 1,950,750
Robert Half Int'l Inc.*................................ 4,650 186,000
Service Corp. Int'l.................................... 15,500 572,531
Stewart Enterprises Inc. .............................. 1,100 51,288
Sun Guard Data Systems*................................ 5,600 173,600
------------
30,510,532
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-47
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
NEWSPAPERS
Gannett Inc. ....................................... 14,600 $ 902,463
Knight Ridder Inc. ................................. 1,100 57,200
New York Times Company.............................. 2,000 132,250
News Corp Ltd. ADR**................................ 71,100 1,528,651
Times Mirror Company New............................ 5,100 313,650
Tribune Company New................................. 5,600 348,600
------------
3,282,814
------------
OFFICE FURNISHINGS AND SUPPLIES
Avery Dennison Corp. ............................... 64,500 2,886,375
Hon Industries Inc. ................................ 1,200 70,800
Ikon Office Solutions Inc. ......................... 4,800 135,000
Lucent Technologies Inc. ........................... 77,100 6,158,363
Miller Herman Inc. ................................. 2,700 147,319
Office Max Inc.*.................................... 5,000 71,250
Reynolds & Reynolds Company......................... 5,600 103,250
Viking Office Prods Inc.*........................... 5,700 124,331
------------
9,696,688
------------
PUBLISHING
Hollinger International Inc. ....................... 300 4,200
Jostens Inc. ....................................... 92,158 2,125,394
McGraw Hill Companies Inc. ......................... 1,900 140,600
Meredith Corp. ..................................... 1,500 53,531
Readers Digest Association Inc. .................... 2,500 59,063
Time Warner Inc. ................................... 99,400 6,162,800
------------
8,545,588
------------
TELECOMMUNICATION SERVICES
Nextel Communications Inc.*......................... 100,000 2,600,000
Sterling Communications Inc.*....................... 38,300 1,472,157
Valassis Communications Inc. ....................... 800 29,600
------------
4,101,757
------------
TOTAL GENERAL BUSINESS.............................. 67,730,268
------------
MISCELLANEOUS (3.5%)
CONGLOMERATES
Harcourt Gen Inc. .................................. 1,900 104,025
Textron Inc. ....................................... 41,100 2,568,750
US Inds Inc. New.................................... 3,900 117,488
------------
2,790,263
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-48
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
MISCELLANEOUS
Blyth Inds Inc.*.................................... 1,800 $ 53,888
Cendant Corp. ...................................... 42,222 1,451,371
Chancellor Media Corp.*............................. 800 59,700
Choicepoint Inc.*................................... 930 44,408
Commscope Inc.*..................................... 1 13
Crescendo Pharmaceuticals Corp.*.................... 260 3,006
Dillards Inc. ...................................... 40,000 1,410,000
Evi Inc.*........................................... 1,000 51,750
Fort James Corp. ................................... 59,812 2,287,809
General Semiconductor Inc.*......................... 900 10,406
Golden Stbancorp Inc.*.............................. 76,000 2,840,500
Keane Inc.*......................................... 3,200 130,000
KLA Tencor Corp.*................................... 101,400 3,916,576
Meyer Fred Inc. Del New*............................ 1,800 65,475
Nextlevel Systems Inc.*............................. 3,900 69,713
Nine Westgroup Inc.*................................ 2,200 57,063
Pioneer Nat Res Company ADR**....................... 90,700 2,624,631
Promus Hotel Corp. New*............................. 43,927 1,844,934
Saks Holdings Inc.*................................. 3,900 80,681
Security Dynamics Tech Inc.*........................ 2,100 75,075
SLM Holding Corp. .................................. 27,200 3,784,201
Solutia Inc. ....................................... 47,460 1,266,589
Steris Corp.*....................................... 2,400 115,800
Tele Communications Inc. New*....................... 17,826 504,699
Teletech Hldgs Inc.*................................ 1,600 18,200
Tricon Global Restaurants Inc.*..................... 18,530 538,528
Tyco Int'l Ltd New.................................. 172,000 7,750,750
Unova Inc.*......................................... 1,700 27,944
------------
31,083,710
------------
REAL ESTATE
Catellus Dev Corp.*................................. 2,900 58,000
Vornado Realty Tr................................... 3,800 178,363
------------
236,363
------------
TOTAL MISCELLANEOUS................................. 34,110,336
------------
SHELTER (0.1%)
CONSTRUCTION MATERIALS
Armstrongworld Inds Inc. ........................... 600 44,850
Fastenal Company.................................... 2,100 80,325
Masco Corp. ........................................ 7,500 381,563
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-49
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Sherwin Williams Company............................ 1,000 $ 27,750
USG Corp. .......................................... 1,000 49,000
------------
583,488
------------
HOMEBUILDERS
Rouse Company....................................... 3,900 127,725
------------
TOTAL SHELTER....................................... 711,213
------------
TECHNOLOGY (15.6%)
AEROSPACE
Allied Signal Inc. ................................. 27,800 1,082,463
Boeing Company...................................... 154,500 7,560,844
Computer Sciences Corp.*............................ 20,700 1,728,450
Gulfstream Aerospace Corp. New*..................... 4,000 117,000
Lockheed Martin Corp. .............................. 100 9,850
United Technologies Corp. .......................... 42,600 3,101,813
------------
13,600,420
------------
COMPUTERS AND BUSINESS EQUIPMENT
3Com Corp.*......................................... 52,100 1,820,244
Ascend Communications Inc.*......................... 89,630 2,195,935
Bay Networks Inc.*.................................. 11,100 283,744
Cabletronsystems Inc.*.............................. 6,600 99,000
Ceridian Corp.*..................................... 4,100 187,831
Cisco Sysinc*....................................... 278,300 15,515,226
Compaq Computer Corp. .............................. 75,700 4,272,319
Dell Computer Corp.*................................ 75,100 6,308,400
Diebold Inc. ....................................... 4,600 232,875
EMC Corp. Mass*..................................... 80,400 2,205,975
Fore Systems*....................................... 4,400 67,100
Gateway 2000 Inc.*.................................. 4,400 143,550
Hewlett Packard Company............................. 86,100 5,381,250
Ingram Micro Inc.*.................................. 2,000 58,250
International Business Machs........................ 18,000 1,882,125
Iomega Corp.*....................................... 12,600 156,713
Komag Inc.*......................................... 2,200 32,725
Micron Electronics Inc.*............................ 1,100 10,038
Netscape Communications Corp.*...................... 2,741 66,812
Networks Associates Inc.*........................... 3,000 158,625
Novellus Systems Inc.*.............................. 1,600 51,700
Pairgain Technologies Inc.*......................... 4,300 83,313
Peoplesoft Inc.*.................................... 78,800 3,073,200
Pitney Bowes Inc. .................................. 6,600 593,588
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-50
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
Qualcomm Inc.*...................................... 3,800 $ 191,900
Quantum Corp.*...................................... 6,000 120,375
Seagate Technology*................................. 14,400 277,200
Sun Microsystems Inc.*.............................. 51,500 2,053,563
Sundstrand Corp. ................................... 49,900 2,513,713
Symbol Technologies Inc. ........................... 1,200 45,300
Tandy Corp. ........................................ 2,100 80,981
Tech Datacorp*...................................... 1,900 73,863
Unisys Corp. ....................................... 3,500 48,563
Western Digital Corp.*.............................. 5,100 81,919
Xerox Corp. ........................................ 48,500 3,579,907
------------
53,947,822
------------
ELECTRONICS
Adaptec Inc.*....................................... 7,000 259,875
ADC Telecommunications Inc.*........................ 8,100 338,175
Advanced Fibre Communications*...................... 3,800 110,675
Advanced Micro Devices Inc.*........................ 3,900 69,956
Altera Corp.*....................................... 56,300 1,864,938
Amp Inc. ........................................... 4,000 168,000
Analog Devices Inc.*................................ 10,200 282,413
Andrew Corp.*....................................... 5,900 141,600
Avnet Inc. ......................................... 100 6,600
Cambridge Technology Partners M*.................... 2,600 108,225
Ciena Corp.*........................................ 5,700 348,413
Cypress Semiconductor Corp.*........................ 3,100 26,350
Dallas Semiconductor Corp. ......................... 1,700 69,275
DSC Communications Corp.*........................... 42,100 1,010,400
Electronic Data Systems Corp. New................... 75,600 3,321,675
Eletronics For Imaging Inc.*........................ 3,400 56,525
Ericsson LM Telephone Company ADR**................. 147,400 5,499,863
Honeywell Inc. ..................................... 29,100 1,993,350
Intel Corp. ........................................ 304,000 21,356,000
Lam Resh Corp.*..................................... 2,200 64,350
Lattice Semiconductor Corp.*........................ 1,600 75,800
Lexmark Int'l Group Inc.*........................... 4,900 186,200
Linear Technology Corp. ............................ 4,800 276,600
LSI Logiccorp*...................................... 7,700 152,075
Maxim Integrated Prods Inc.*........................ 7,600 262,200
Micron Technology Inc. ............................. 79,500 2,067,000
Molex Inc. ......................................... 39,000 1,126,313
Motorola Inc. ...................................... 32,400 1,848,825
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-51
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
National Semiconductor Corp.*....................... 1,500 $ 38,906
Newbridge Networks Corp. ADR* **.................... 84,300 2,939,879
Perkin Elmer Corp. ................................. 3,000 213,188
SCI Systems Inc.*................................... 2,900 126,331
Scientific Atlanta Inc. ............................ 4,300 72,025
Silicon Graphics Inc.*.............................. 52,500 652,969
Tellabs Inc.*....................................... 9,900 523,463
Teradyne Inc.*...................................... 94,300 3,017,600
Texas Instruments Inc. ............................. 22,400 1,008,000
Vitesse Semiconductor Corp.*........................ 2,500 94,375
Xilinx Inc.*........................................ 31,800 1,114,988
------------
52,893,395
------------
SOFTWARE
Adobe Sysinc........................................ 4,100 169,125
Autodesk Inc. ...................................... 3,000 111,000
BMC Software Inc.*.................................. 16,200 1,063,125
Cadence Design Systems Inc.*........................ 12,800 313,600
Computer Associates Int'l Inc. ..................... 79,700 4,214,138
Compuware Corp.*.................................... 9,000 288,000
Electronic Arts*.................................... 56,700 2,143,969
Informix Corp.*..................................... 6,000 28,500
Intuit*............................................. 2,800 115,500
Microchip Technology Inc.*.......................... 2,700 81,000
Microsoft Corp.*.................................... 154,500 19,969,125
Novell Inc.*........................................ 5,700 42,750
Oracle Corp.*....................................... 43,450 969,478
Parametric Technology Corp. ........................ 7,800 369,525
Shared Medical System............................... 1,900 125,400
Solectron Corp.*.................................... 6,400 266,000
Sybase Inc.*........................................ 3,100 41,269
Synopsys Inc.*...................................... 2,700 96,525
Transaction Systems Architects Inc.*................ 2,000 76,000
------------
30,484,029
------------
TOTAL TECHNOLOGY.................................... 150,925,666
------------
TRANSPORTATION (0.2%)
RAILROADS
Kansas City Southern Inds Inc. ..................... 3,300 104,775
Wisconsin Cent Transn Corp.*........................ 78,600 1,837,275
------------
1,942,050
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-52
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
TRUCKING AND FREIGHT FORWARDING
Federal Express Corp.*................................. 1,100 $ 67,169
Pittston Brinks Group.................................. 1,200 48,300
Tidewater Inc. ........................................ 3,200 176,400
------------
291,869
------------
TOTAL TRANSPORTATION................................... 2,233,919
------------
UTILITIES (3.4%)
ELECTRIC UTILITIES
Calenergy Inc.*........................................ 2,900 83,375
Northeast Utilities.................................... 103,400 1,221,413
------------
1,304,788
------------
GAS & PIPELINE UTILITIES
Falcon Drilling*....................................... 4,200 147,263
MCN Energy Group Inc. ................................. 61,400 2,479,025
Sonat Inc. ............................................ 3,000 137,250
Transtexas Gas Corp.*.................................. 800 11,850
Williams Companies Inc. ............................... 112,800 3,200,700
------------
5,976,088
------------
TELEPHONE
360 Communications Company*............................ 8,600 173,614
Airtouch Communications Inc.*.......................... 74,300 3,088,094
Ameritech Corp. ....................................... 2,500 201,250
AT&T Corp. ............................................ 38,391 2,351,449
Century Tel Enterprises Inc. .......................... 1,700 84,681
Cincinnati Bell Inc. .................................. 6,900 213,900
GTE Corp. ............................................. 9,800 512,050
LCI International Inc.*................................ 5,600 172,200
MCI Communications Corp. .............................. 53,800 2,303,313
SBC Communications Inc. ............................... 50,400 3,691,800
Teleport Communications Group*......................... 45,900 2,518,763
Worldcom Inc. Ga....................................... 347,080 10,499,170
------------
25,810,284
------------
TOTAL UTILTITIES....................................... 33,091,160
------------
TOTAL COMMON STOCKS (Cost $758,249,077)................ 944,395,203
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-53
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
GROWTH EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
UNITS VALUE
---------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $26,490,945) (2.7%)
State Street Bank Yield Enhanced Short Term Investment
Fund................................................. 26,490,945 $ 26,490,945
------------
TOTAL INVESTMENTS (COST $784,740,022) (100.3%)........ 970,886,148
Liabilities less Other Assets (-0.3%)................. (3,032,163)
------------
NET ASSETS (100.0%)................................... $967,853,985
============
</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 accompanying notes are an integral part of these financial statements.
F-54
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments:
State Street Bank ABA Members/Pooled Stable Asset Fund Trust, at
value
(cost $633,755,115)............................................. $633,755,115
Receivable for fund units sold.................................... 1,065,874
Unamortized organizational costs.................................. 94,179
------------
Total Assets.................................................... 634,915,168
------------
LIABILITIES
State Street Bank and Trust Co.--program fee payable.............. 181,550
Trustee, management and administration fees payable............... 107,185
American Bar Retirement Association--program fee payable.......... 27,786
Other accruals.................................................... 33,826
------------
Total Liabilities............................................... 350,347
------------
NET ASSETS (equivalent to $1.00 per unit based on 634,564,821
units outstanding)............................................... $634,564,821
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-55
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INTEREST INCOME.................................................... $38,695,839
-----------
EXPENSES
State Street Bank and Trust Company--program fee................. 2,220,371
Trustee, management and administration fees...................... 1,277,664
American Bar Retirement Association--program fee................. 324,391
Amortization of organization costs............................... 166,591
Legal and audit fees............................................. 85,210
Reports to unitholders........................................... 100,513
Registration fee................................................. 95,302
Other expenses................................................... 43,593
-----------
Total expenses................................................. 4,313,635
-----------
Net investment income and net increase in net assets resulting from
operations........................................................ $34,382,204
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-56
<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,
--------------------------
1997 1996
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income and net increase in net
assets resulting from operations................ $ 34,382,204 $ 31,794,217
------------ ------------
Reinvestment of net investment income............ (34,382,204) (31,794,217)
------------ ------------
FROM UNITHOLDER TRANSACTIONS (at $1.00 per unit):
Proceeds from units issued....................... 165,192,903 102,727,142
Units issued in connection with reinvestment of
net investment income........................... 34,382,204 31,794,217
Cost of units redeemed........................... (199,773,055) (129,966,222)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... (197,948) 4,555,137
------------ ------------
Net increase (decrease) in net assets.......... (197,948) 4,555,137
NET ASSETS
Beginning of year................................ 634,762,769 630,207,632
------------ ------------
End of year...................................... $634,564,821 $634,762,769
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-57
<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 PERIOD
DECEMBER 5, 1991
FOR THE YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS TO
---------------------------------------------------------- DECEMBER 31,
1997 1996 1995 1994 1993 1992 1991)
-------- -------- -------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .060 $ .058 $ .061 $ .043 $ .035 $ .042 $ .004
Expenses................ (.007) (.007) (.007) (.007) (.008) (.008) (.000)
-------- -------- -------- -------- -------- -------- --------
Net investment income... .053 .051 .054 .036 .027 .034 .004
Reinvestment of net in-
vestment income........ (.053) (.051) (.054) (.036) (.027) (.034) (.004)
-------- -------- -------- -------- -------- -------- --------
Net asset value at be-
ginning and end
of year................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to av-
erage net assets....... .68% .68% .73% .73% .75% 79% --
Ratio of net investment
income to average net
assets................. 5.38% 5.15% 5.32% 3.55% 2.77% 3.45% --
Net assets at end of
year (in thousands).... $634,565 $634,763 $630,208 $491,979 $509,905 $589,882 $560,334
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the year.
The accompanying notes are an integral part of these financial statements.
F-58
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
STABLE ASSET RETURN FUND
DECEMBER 31, 1997
UNITS OF COLLECTIVE INVESTMENT FUNDS
<TABLE>
<S> <C>
State Street Bank ABA Members/Pooled Stable Asset Fund Trust
("SAFT")
(Units 633,755,115) (a).......................................... $633,755,115
------------
TOTAL INVESTMENTS (Cost $633,755,115) (99.8%)..................... 633,755,115
OTHER ASSETS LESS LIABILITIES (.2%)............................... 809,706
------------
NET ASSETS (100.0%)............................................... $634,564,821
============
</TABLE>
- --------
(a) SAFT holds the following investments:
<TABLE>
<CAPTION>
EFFECTIVE ANNUAL INVESTMENTS AT
PERCENTAGE RATE CONTRACT VALUE
1997 (NOTE 2)
---------------- --------------
<S> <C> <C>
INVESTMENT CONTRACTS (52.03%)
AEGON USA, INC.
6 Investment Contracts
(Maturities ranging from April 30, 1998 to
March 31, 2002)........................... 6.07-7.03% $ 29,004,692
Allstate Life Insurance Company
3 Investment Contracts
(Maturities ranging from July 1, 1998 to
July 31, 1999)............................ 6.52-7.53 14,093,554
Continental Assurance Company
6 Investment Contracts
(Maturities ranging from July 31, 1998 to
December 31, 2002)........................ 6.00-7.32 38,055,739
Hartford Life Insurance Company
1 Investment Contract
(Matures December 31, 1998)............... 4.70 1,950,213
John Hancock Mutual Life Insurance Company
6 Investment Contracts
(Maturities ranging from January 31, 1998
to November 30, 2002)..................... 5.06-7.75 29,295,482
Life of Virginia
5 Investment Contracts, Indexed
(Maturities ranging from May 31, 1999 to
August 30, 2002 and upon funds request)... 5.35-7.10 27,738,346
Metropolitan Life Insurance Company
3 Investment Contracts
(Maturities ranging from February 28, 1998
to February 28, 2001)..................... 6.08-6.37 22,762,244
New York Life Asset Management
6 Investment Contracts
(Maturities ranging from January 15, 1998
to September 30, 2002).................... 5.51-6.93 37,087,009
Pacific Mutual Life Insurance Company
3 Investment Contracts, Indexed
(Maturities ranging from February 13, 1998
to January 31, 2002)...................... 5.74-6.91 23,561,548
Principal Mutual Life Insurance Company
6 Investment Contracts
(Maturities ranging from August 31, 1999
to August 30, 2002)....................... 5.70-7.23 32,130,076
Provident Life and Accident Assurance Com-
pany
1 Investment Contract
(Matures March 31, 1998).................. 6.28-7.31 8,279,151
Prudential Asset Management
3 Investment Contracts
(Maturities ranging from January 31, 1998
to January 31, 2000)...................... 5.19-7.35 17,103,580
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-59
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
STABLE ASSET RETURN FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
EFFECTIVE ANNUAL INVESTMENTS AT
PERCENTAGE RATE CONTRACT VALUE
1997 (NOTE 2)
---------------- ---------------
<S> <C> <C>
INVESTMENT CONTRACTS (CONTINUED)
Sun Life of Canada
2 Investment Contracts
(Maturities ranging from December 31,
1999 to April 30, 2001).................. 6.82-6.87% $ 18,957,835
Transamerica Asset Management
4 Investment Contracts
(Maturities ranging from August 31, 1998
to September 30, 2002)................... 6.25-7.24 24,464,406
Travelers Insurance Company
1 Investment Contract
(Maturities ranging from June 30, 1999 to
June 30, 2003)........................... 6.30 10,016,752
------------
Total Investment Contracts (Cost
$334,500,627)............................ 334,500,627
------------
Synthetic Investment Contracts* (4.21%)
CDC Investment Management Group
2 Investment Contracts
(Maturities ranging from February 15,
1998 to November 15, 2002)............... 6.42-7.70 10,547,700
Underlying Securities:
Bank of New York Cash Reserve market
value $393,884 units 393,884
FHLMC REMIC, 6.75%, 5/25/13, Principal
$900,000 market value $902,727
FHLMC REMIC, 6.75%, 10/15/13, Principal
$4,494,408 market value $4,499,172
FNMA Pool, 6.739%, 6/1/27, Principal
$4,478,153 market value $4,569,821
Total market value $10,365,604, wrapper
$182,096................................
J. P. Morgan
1 Investment Contract
(Maturities ranging from January 15, 1998
to January 15, 1999)..................... 5.28 5,347,206
Underlying Security:
U.S. Treasury Note, 6.375%, 1/15/99,
principal $4,207,000
Total market value $4,239,226, wrapper
$1,107,980..............................
Morgan Guaranty Trust Company
1 Investment Contract
(Maturities ranging from December 15,
1999 to May 15, 2001).................... 7.06 11,143,982
Underlying Security:
Advanta Credit Card Master Trust, 5.839%,
11/15/03, principal $10,000,000
Total market value $10,007,100, wrapper
$1,136,882
------------
Total Synthetic Investment Contracts (Cost
$27,038,888)............................. 27,038,888
------------
<CAPTION>
COST AMORTIZED VALUE
---------------- ---------------
<S> <C> <C>
SHORT TERM INVESTMENTS (43.76%)
State Street Bank
Yield Enhanced Short Term Investment
Fund--281,353,273 units.................. $281,353,273 281,353,273
------------
TOTAL INVESTMENTS (100.00%) (COST
$642,892,788)............................ $642,892,788**
============
</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.
** Stable Asset Return Fund holds 98.58% of State Street Bank ABA
Members/Pooled Stable Asset Fund Trust.
The accompanying notes are an integral part of these financial statements.
F-60
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments:
State Street Global Advisors Flagship S&P 500 Index Fund, at
value
(cost $84,979,125 and units 739,614)............................ $117,787,995
State Street Global Advisors Russell Special Small Company Common
Trust Fund, at value (cost $28,748,466 and units 1,977,773)..... 35,957,902
Receivable for fund units sold.................................... 198,695
Unamortized organizational costs.................................. 21,923
------------
Total Assets.................................................... 153,966,515
------------
LIABILITIES
Payable for fund units redeemed................................... 186,329
State Street Bank and Trust Co.--program fee payable.............. 43,092
Trustee, management and administration fees payable............... 19,704
American Bar Retirement Association--program fee payable.......... 6,261
Other accruals.................................................... 1,986
------------
Total Liabilities............................................... 257,372
------------
NET ASSETS (equivalent to $22.05 per unit based on 6,971,219 units
outstanding)..................................................... $153,709,143
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-61
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INDEX EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividend income.................................................. $ 507,403
-----------
Total investment income........................................ 507,403
-----------
EXPENSES
State Street Bank and Trust Co.--program fee..................... 433,768
Trustee, management and administration fees...................... 198,186
American Bar Retirement Association--program fee................. 63,363
Amortization of organization costs............................... 28,260
Legal and audit fees............................................. 16,728
Report to unitholders............................................ 19,732
Registration fee................................................. 18,707
Other expenses................................................... 3,511
-----------
Total expenses................................................. 782,255
-----------
Net investment loss................................................ (274,852)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 6,358,747
Change in net unrealized appreciation on investments............. 26,647,934
-----------
Net realized and unrealized gain on investments................ 33,006,681
-----------
Net increase in net assets resulting from operations............... $32,731,829
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-62
<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,
-------------------------
1997 1996
------------ -----------
<S> <C> <C>
FROM OPERATIONS
Net investment income (loss)...................... $ (274,852) $ 757,732
Net realized gain on investments.................. 6,358,747 5,721,776
Net change in unrealized appreciation on invest-
ments............................................ 26,647,934 6,212,264
------------ -----------
Net increase in net assets resulting from opera-
tions............................................ 32,731,829 12,691,772
------------ -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units sold.......................... 53,390,069 31,403,731
Cost of units redeemed............................ (15,293,758) (9,234,771)
------------ -----------
Net increase in net assets resulting from
unitholder transactions.......................... 38,096,311 22,168,960
------------ -----------
Net increase in net assets...................... 70,828,140 34,860,732
NET ASSETS
Beginning of year................................. 82,881,003 48,020,271
------------ -----------
End of year....................................... $153,709,143 $82,881,003
============ ===========
NUMBER OF UNITS
Outstanding--beginning of year.................... 4,914,409 3,437,843
Sold............................................ 2,867,768 2,077,161
Redeemed........................................ (810,958) (600,595)
------------ -----------
Outstanding--end of year.......................... 6,971,219 4,914,409
============ ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-63
<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 YEAR ENDED APRIL 30, 1994
DECEMBER 31, (COMMENCEMENT)
--------------------------- OF OPERATIONS) TO
1997 1996 1995 DECEMBER 31, 1994
-------- ------- ------- -----------------
<S> <C> <C> <C> <C>
Investment income.............. $ .08 $ .28 $ .02 $ --
Expenses....................... (.12) (.11) (.08) (.04)
-------- ------- ------- -------
Net investment income (loss)... (.04) .17 (.06) (.04)
Net realized and unrealized
gain on investments........... 5.23 2.72 3.68 .39
-------- ------- ------- -------
Net increase in unit value..... 5.19 2.89 3.62 .35
Net asset value at beginning of
period........................ 16.86 13.97 10.35 10.00
-------- ------- ------- -------
Net asset value at end of peri-
od............................ $ 22.05 $ 16.86 $ 13.97 $ 10.35
======== ======= ======= =======
Ratio of expenses to average
net assets.................... .62 % .69% .68 % .94%**
Ratio of net investment income
(loss) to average net assets.. (.22)% 1.15% (.52)% .94%**
Portfolio turnover ***......... 11 % 17% 132 % 54%****
Total return................... 30.78 % 20.68% 34.98 % 3.50%****
Net assets at end of period (in
thousands).................... $153,709 $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.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-64
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments:
PIMCO Total Return Fund, at value
(cost $55,142,561 and shares 5,244,525).......................... $55,591,967
MasterWorks Bond Index Fund, at value
(cost $26,736,280 and shares 2,789,373).......................... 27,168,493
Receivable for fund units sold..................................... 125,519
Unamortized organizational costs................................... 10,300
-----------
Total Assets................................................... 82,896,279
-----------
LIABILITIES
Payable for investments purchased.................................. 127,325
State Street Bank and Trust Co.--program fee payable............... 22,979
Trustee, management and administration fees payable................ 6,844
American Bar Retirement Association--program fee payable........... 3,347
Other accruals..................................................... 1,301
-----------
Total Liabilities.............................................. 161,796
-----------
NET ASSETS (equivalent to $11.91 per unit
based on 6,945,554 units outstanding)............................. $82,734,483
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-65
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends......................................................... $5,665,296
----------
Total investment income......................................... 5,665,296
----------
EXPENSES
State Street Bank and Trust Co.--program fee...................... 230,899
Trustee, management and administration fees....................... 66,716
American Bar Retirement Association--program fee.................. 33,730
Amortization of organization costs................................ 15,525
Reports to unitholders............................................ 10,490
Legal and audit fees.............................................. 8,893
Registration fee.................................................. 9,945
Other expenses.................................................... 3,350
----------
Total expenses.................................................. 379,548
----------
Net investment income............................................... 5,285,748
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................. 10,090
Change in net unrealized appreciation............................. 1,061,117
----------
Net realized and unrealized loss on investments................. 1,071,207
----------
Net increase in net assets resulting from operations................ $6,356,955
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-66
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERMEDIATE BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
------------------------
1997 1996
----------- -----------
<S> <C> <C>
FROM OPERATIONS
Net investment income.............................. $ 5,285,748 $ 2,589,601
Net realized gain (loss) on investments............ 10,090 (177,766)
Net change in unrealized appreciation
(depreciation) on investments..................... 1,061,117 (1,011,400)
----------- -----------
Net increase in net assets resulting from opera-
tions............................................. 6,356,955 1,400,435
----------- -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from units issued......................... 34,646,710 21,795,326
Cost of units redeemed............................. (7,880,999) (10,040,616)
----------- -----------
Net increase in net assets resulting from
unitholder transactions........................... 26,765,711 11,754,710
----------- -----------
Net increase in net assets....................... 33,122,666 13,155,145
NET ASSETS
Beginning of year.................................. 49,611,817 36,456,672
----------- -----------
End of year........................................ $82,734,483 $49,611,817
=========== ===========
NUMBER OF UNITS
Outstanding--beginning of year..................... 4,556,518 3,447,358
Sold............................................. 3,093,999 2,076,702
Redeemed......................................... (704,963) (967,542)
----------- -----------
Outstanding--end of year........................... 6,945,554 4,556,518
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-67
<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,
FOR THE 1995
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
---------------- DECEMBER 31,
1997 1996 1995
------- ------- -----------------
<S> <C> <C> <C>
Investment income.......................... $ .97 $ .67 $ .34
Expenses................................... (.07) (.06) (.02)
------- ------- -------
Net investment income...................... .90 .61 .32
Net realized and unrealized gain (loss) on
investments............................... .12 (.30) .26
------- ------- -------
Net increase in unit value................. 1.02 .31 .58
Net asset value at beginning of period..... 10.89 10.58 10.00
------- ------- -------
Net asset value at end of period........... $ 11.91 $ 10.89 $ 10.58
======= ======= =======
Ratio of expenses to average net assets.... .57% .58% .69%**
Ratio of net investment income to average
net assets................................ 7.93% 5.82% 9.17%**
Portfolio turnover***...................... 14% 22% 2%****
Total return............................... 9.37% 2.93% 5.80%****
Net assets at end of period (in thousands). $82,734 $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.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-68
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
T. Rowe Price International Stock Fund, at value (cost $63,984,771
and shares 4,396,738)............................................. $59,004,235
Receivable for fund units sold..................................... 196,627
Unamortized organizational costs................................... 15,736
-----------
Total Assets..................................................... 59,216,598
-----------
LIABILITIES
Payable for investments purchased.................................. 154,832
Payable for fund units repurchased................................. 41,795
State Street Bank and Trust Co.--program fee payable............... 16,645
Trustee, management and administration fees payable................ 3,543
American Bar Retirement Association--program fee payable........... 2,596
Other accruals..................................................... 240
-----------
Total Liabilities................................................ 219,651
-----------
NET ASSETS (equivalent to $18.21 per unit based on 3,239,192 units
outstanding)...................................................... $58,996,947
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-69
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends........................................................ $ 3,113,573
Other income..................................................... 37,721
-----------
Total investment income........................................ 3,151,294
-----------
EXPENSES
State Street Bank and Trust Co.--program fee..................... 182,992
Trustee, management and administration fees...................... 38,315
American Bar Retirement Association--program fee................. 26,731
Amortization of organization costs............................... 11,523
Reports to unitholders........................................... 8,320
Legal and audit fees............................................. 7,053
Registration fee................................................. 7,887
Other expenses................................................... 3,602
-----------
Total expenses................................................. 286,423
-----------
Net investment income.............................................. 2,864,871
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 4,264,284
Change in net unrealized depreciation............................ (6,012,507)
-----------
Net realized and unrealized loss on investments................ (1,748,223)
-----------
Net increase in net assets resulting from operations............... $ 1,116,648
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-70
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
INTERNATIONAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
--------------------------
1997 1996
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Net investment income................ $ 2,864,871 $ 830,951
Net realized gain on investments..... 4,264,284 1,492,478
Net change in unrealized appreciation
(depreciation) on investments....... (6,012,507) 1,022,272
------------ ------------
Net increase in net assets resulting
from operations..................... 1,116,648 3,345,701
------------ ------------
FROM UNITHOLDER TRANSACTIONS
Proceeds from sales of units......... 84,016,272 35,096,067
Cost of units redeemed............... (59,404,273) (16,022,030)
------------ ------------
Net increase in net assets resulting
from unitholder transactions........ 24,611,999 19,074,037
------------ ------------
Net increase in net assets......... 25,728,647 22,419,738
NET ASSETS
Beginning of year.................... 33,268,300 10,848,562
------------ ------------
End of year.......................... $ 58,996,947 $ 33,268,300
============ ============
NUMBER OF UNITS
Outstanding--beginning of year....... 1,868,547 705,954
Sold............................... 4,541,730 2,107,610
Redeemed........................... (3,171,085) (945,017)
------------ ------------
Outstanding--end of year............. 3,239,192 1,868,547
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-71
<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
FOR THE SEPTEMBER 5,
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
---------------- DECEMBER 31,
1997 1996 1995
------- ------- -----------------
<S> <C> <C> <C>
Investment income.......................... $ 1.12 $ .70 $ .49
Expenses................................... (.10) (.10) (.03)
------- ------- -------
Net investment income...................... 1.02 .60 .46
Net realized and unrealized gain (loss) on
investments............................... (.61) 1.83 (.09)
------- ------- -------
Net increase............................... .41 2.43 .37
Net asset value at beginning of period..... 17.80 15.37 15.00
------- ------- -------
Net asset value at end of period........... $ 18.21 $ 17.80 $ 15.37
======= ======= =======
Ratio of expenses to average net assets.... .54% .59% .57%**
Ratio of net investment income to average
net assets................................ 5.41% 3.58% 9.2%**
Portfolio turnover ***..................... 101% 73% 4%****
Total return............................... 2.30% 15.81% 2.47%****
Net assets at end of period (in thousands). $58,997 $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.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-72
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $89,585,970).......................... $113,835,299
Cash.............................................................. 2,334
Receivable for fund units sold.................................... 254,467
Dividends and interest receivable................................. 370,675
Unamortized organizational costs.................................. 15,871
------------
Total Assets.................................................... 114,478,646
------------
LIABILITIES
Payable for investments purchased................................. 1,264,697
Investment advisory fee payable................................... 61,415
State Street Bank and Trust Co.--program fee payable.............. 31,560
Trustee, management and administration fees payable............... 6,755
American Bar Retirement Association--program fee payable.......... 4,596
Other accruals.................................................... 6,979
------------
Total Liabilities............................................... 1,376,002
------------
NET ASSETS (equivalent to $20.11 per unit based on 5,624,404 units
outstanding)..................................................... $113,102,644
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-73
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign tax expense of $2,349)................. $ 1,642,376
Interest......................................................... 538,418
-----------
Total investment income........................................ 2,180,794
-----------
EXPENSES
Investment advisory fee.......................................... 304,776
State Street Bank and Trust Co.--program fee..................... 300,148
Trustee, management and administration fees...................... 62,881
American Bar Retirement Association--program fee................. 43,842
Amortization of organization costs............................... 18,570
Reports to unitholders........................................... 13,676
Legal and audit fees............................................. 11,594
Registration fee................................................. 12,966
Other expenses................................................... 11,204
-----------
Total expenses................................................. 779,657
-----------
Net investment income.............................................. 1,401,137
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain................................................ 1,090,426
Change in net unrealized appreciation............................ 17,294,659
-----------
Net realized and unrealized gain on investments................ 18,385,085
-----------
Net increase in net assets resulting from operations............... $19,786,222
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-74
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
VALUE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE
YEAR ENDED
DECEMBER 31,
-------------------------
1997 1996
------------ -----------
<S> <C> <C>
OPERATIONS
Net investment income............................. $ 1,401,137 $ 651,044
Net realized gain on investments.................. 1,090,426 535,992
Net change in unrealized appreciation on invest-
ments............................................ 17,294,659 5,938,274
------------ -----------
Net increase in net assets resulting from opera-
tions............................................ 19,786,222 7,125,310
------------ -----------
UNITHOLDER TRANSACTIONS
Proceeds from sales of units...................... 53,837,540 28,084,938
Cost of units redeemed............................ (8,652,312) (7,695,572)
------------ -----------
Net increase in net assets resulting from
unitholder transactions.......................... 45,185,228 20,389,366
------------ -----------
Net increase in net assets...................... 64,971,450 27,514,676
NET ASSETS
Beginning of year................................. 48,131,194 20,616,518
------------ -----------
End of year....................................... $113,102,644 $48,131,194
============ ===========
NUMBER OF UNITS
Outstanding--beginning of year.................... 3,060,634 1,594,367
Sold............................................ 3,030,540 2,004,767
Redeemed........................................ (466,770) (538,500)
------------ -----------
Outstanding--end of year.......................... 5,624,404 3,060,634
============ ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-75
<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,
FOR THE 1995
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
----------------- DECEMBER 31,
1997 1996 1995
-------- ------- -----------------
<S> <C> <C> <C>
Investment income......................... $ .47 $ .40 $ .13
Expenses.................................. (.17) (.14) (.04)
-------- ------- -------
Net investment income..................... .30 .26 .09
Net realized and unrealized gain on in-
vestments................................ 4.08 2.54 .84
-------- ------- -------
Net increase in unit value................ 4.38 2.80 .93
Net asset value at beginning of period.... 15.73 12.93 12.00
-------- ------- -------
Net asset value at end of period.......... $ 20.11 $ 15.73 $ 12.93
======== ======= =======
Ratio of expenses to average net assets... .90% .99% 1.00%*
Ratio of net investment income to average
net assets............................... 1.61% 1.85% 2.12%*
Portfolio turnover........................ 13% 17% 4%***
Total return.............................. 27.84% 21.66% 7.75%***
Average commissions rate**** $ 0.0603 $0.0729 --
Net assets at end of period (in thou-
sands)................................... $113,103 $48,131 $20,617
</TABLE>
- --------
* Ratios annualized.
** Calculations prepared using the monthly average number of units
outstanding during the period.
*** Not annualized.
****Average commissions rate paid is presented for fiscal periods beginning on
or after September 1, 1995.
The accompanying notes are an integral part of these financial statements.
F-76
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMMON STOCKS (92.7%)
BASIC INDUSTRIES (7.1%)
ALUMINUM
Alcan Alum Ltd. ADR**.................................. 19,000 $ 524,875
Alumax Inc. ADR* **.................................... 1,800 61,200
Aluminum Co. Amer...................................... 4,300 302,613
------------
888,688
------------
CHEMICALS
Cabot Corp. ........................................... 11,100 306,638
Dow Chem Co. .......................................... 7,400 751,100
Du Pont EI De Nemours & Co............................. 2,200 132,138
Eastman Chem Co. ...................................... 8,600 512,238
Fmc Corp. ............................................. 2,900 195,206
Great Lakes Chemical Corp. ............................ 8,400 376,950
Hercules Inc. ......................................... 6,100 305,381
NalCo. Chem Co. ....................................... 2,300 90,994
Sigma Aldrich.......................................... 6,800 270,300
Union Carbide Corp. ................................... 8,200 352,088
------------
3,293,033
------------
GLASS AND CONTAINERS
Ball Corp. ............................................ 11,200 395,500
------------
PAPER
Champion Int'l Corp. .................................. 10,200 462,188
International Paper Co. ............................... 13,600 586,500
Mead Corp. ............................................ 11,600 324,800
Minnesota Mining & Manufacturing Co. .................. 2,400 196,950
Potlatch Corp. ........................................ 10,200 438,600
Union Camp Corp. ...................................... 9,200 493,925
Westvaco Corp. ........................................ 17,000 534,438
Willamette Industries Inc. ............................ 16,100 518,219
------------
3,555,620
------------
TOTAL BASIC INDUSTRIES................................. 8,132,841
------------
CAPITAL GOODS (5.1%)
CONSTRUCTION
Building Materials
Applied Materials Inc.*................................ 18,800 566,350
------------
ELECTRICAL EQUIPMENT
Arrow Electrs Inc.*.................................... 13,400 434,663
General Elec Co........................................ 34,700 2,546,113
------------
2,980,776
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-77
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
INDUSTRIAL MACHINERY
Briggs & Stratton Corp. ............................... 9,100 $ 441,919
Cummins Engine Inc. ................................... 9,500 561,094
Ingersollrand Co....................................... 9,900 400,950
------------
1,403,963
------------
POLLUTION CONTROL
Browning Ferris Industries Inc......................... 18,100 669,700
Waste Management Inc. New.............................. 6,100 167,750
------------
837,450
------------
TOTAL CAPITAL GOODS.................................... 5,788,539
------------
CONSUMER BASICS (14.8%)
DRUGS AND HEALTHCARE
Abbott Labs............................................ 9,200 603,174
Allergan Inc. ......................................... 13,300 446,381
American Home Products Corp............................ 600 45,900
Bard C R Inc. ......................................... 12,200 382,013
Bausch & Lomb Inc. .................................... 12,800 507,200
Bristol Myers Squibb Co. .............................. 10,600 1,003,025
Columbia HCA Healthcare Corp .......................... 19,450 576,206
Johnson & Johnson...................................... 28,100 1,851,088
Lilly Eli & Co. ....................................... 800 55,700
Merck & Co. Inc. ...................................... 8,500 903,125
Pacificare Health System*.............................. 4,800 251,400
Pfizer Inc. ........................................... 6,200 462,288
Pharmacia & Upjohn Inc. ............................... 18,800 688,550
Smithkline Beecham PLC ADR**........................... 11,400 586,388
United Healthcare Corp. ............................... 6,000 298,125
------------
8,660,563
------------
FOOD AND BEVERAGE
Archer Daniels Midland Co. ............................ 34,805 754,833
Coca Cola Co. ......................................... 22,100 1,472,413
Heinz H J Co. ......................................... 5,800 294,713
Pepsico Inc. .......................................... 15,400 561,138
Supervalu Inc. ........................................ 6,000 251,250
Whitman Corp. ......................................... 23,900 622,894
------------
3,957,241
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-78
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
HOUSEHOLD PRODUCTS
Dial Corp. New......................................... 3,600 $ 74,925
Procter & Gamble Co. .................................. 6,000 478,875
------------
553,800
------------
RETAIL GROCERY
Albertsons Inc. ....................................... 14,700 696,413
------------
TOBACCO
Philip Morris Companies Inc. .......................... 48,900 2,215,781
RJR Nabisco Hldgs Corp. ............................... 16,000 600,000
------------
2,815,781
------------
TOTAL CONSUMER BASICS.................................. 16,683,798
------------
CONSUMER DURABLE GOODS (5.1%)
AUTO PARTS
Dana Corp. ............................................ 13,800 655,500
Genuine Parts Co. ..................................... 18,700 634,631
------------
1,290,131
------------
AUTOMOBILES
Chrysler Corp. ........................................ 14,500 510,219
Ford Mtr Co. Del ...................................... 28,100 1,368,119
General Mtrs Corp. .................................... 1,200 72,750
------------
1,951,088
------------
HOUSEHOLD APPLIANCES
Maytag Corp. .......................................... 11,900 444,019
Whirlpool Corp. ....................................... 8,800 484,000
------------
928,019
------------
MOBILE HOMES
Fleetwood Enterprises Inc. ............................ 6,100 258,869
------------
TIRES AND RUBBER
Cooper Tire & Rubber Co. .............................. 26,000 633,750
Goodyear Tire and Rubber .............................. 10,500 668,063
------------
1,301,813
------------
TOTAL CONSUMER DURABLE GOODS........................... 5,729,920
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-79
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
CONSUMER NON-DURABLE GOODS (7.5%)
APPAREL AND TEXTILES
Reebok Int'l Ltd. ..................................... 6,800 $ 195,925
Russell Corp. ......................................... 12,800 340,000
Springs Industries Inc. ............................... 2,600 135,200
V F Corp. ............................................. 14,000 643,125
------------
1,314,250
------------
LIQUOR
Anheuser Busch Companies Inc. ......................... 18,800 827,200
------------
RETAIL TRADE
Dayton Hudson Corp. ................................... 10,100 681,750
Federated Dept. Stores Inc. Del........................ 16,600 710,097
Limited Inc. .......................................... 14,560 371,280
May Dept Stores Co. ................................... 13,900 732,356
Penney J C Inc. ....................................... 11,700 705,656
Sears Roebuck & Co. ................................... 15,300 692,325
TJX Companies Inc. New................................. 20,400 701,250
Toys R Us Inc.*........................................ 15,600 490,425
Wal Mart Stores Inc. .................................. 25,200 993,825
------------
6,078,964
------------
TOYS, AMUSEMENTS, & SPORTING GOODS
Mattel Inc. ........................................... 6,800 253,300
------------
TOTAL CONSUMER NON-DURABLE GOODS....................... 8,473,714
------------
CONSUMER SERVICES (1.3%)
AIR TRAVEL
AMR Corp. Del*......................................... 5,800 745,300
------------
HOTELS & RESTAURANTS
McDonalds Corp. ....................................... 1,200 57,300
------------
LEISURE TIME
Disney Walt Co. ....................................... 500 49,531
Harrahs Entertainment Inc. ............................ 32,000 604,000
------------
653,531
------------
TOTAL CONSUMER SERVICES................................ 1,456,131
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-80
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
ENERGY (8.1%)
DOMESTIC OIL
Ashland Inc. .......................................... 8,000 $ 429,500
Atlantic Richfield Co. ................................ 5,200 416,650
Phillips Pete Co. ..................................... 13,800 671,025
Sun Inc. .............................................. 12,100 508,956
Unocal Corp............................................ 12,200 473,513
------------
2,499,644
------------
GAS EXPLORATION
Occidental Pete Corp. ................................. 25,900 759,218
------------
INTERNATIONAL OIL
Amoco Corp. ........................................... 12,400 1,055,550
Chevron Corp. ......................................... 10,000 770,000
Exxon Corp. ........................................... 21,000 1,284,938
Mobil Corp. ........................................... 18,100 1,306,593
Royal Dutch Petroleum Co. ADR** ....................... 19,600 1,062,075
Texaco Inc. ........................................... 7,400 402,375
------------
5,881,531
------------
TOTAL ENERGY........................................... 9,140,393
------------
FINANCE (16.0%)
BANKING
Bankamerica Corp. ..................................... 9,400 686,200
Chase Manhattan Corp. (New)............................ 10,800 1,182,600
Citicorp............................................... 2,500 316,094
First Chicago Nbd Corp. ............................... 2,600 217,100
First Union Corp. ..................................... 6,400 328,000
Fleet Financial Group Inc. ............................ 12,200 914,238
Keycorp New............................................ 5,000 354,063
Morgan J P & Co. Inc. ................................. 3,100 349,913
Nationsbank Corp....................................... 7,600 462,175
Republic NY Corp. ..................................... 2,900 331,144
------------
5,141,527
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-81
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
FINANCIAL SERVICES
Countrywide Cr Industries Inc. ........................ 16,100 $ 690,288
Federal Home Loan Mortgage Corp. ...................... 25,200 1,056,825
Federal Nat'l Mortgage Assn ........................... 27,600 1,574,925
Merrill Lynch & Co. Inc. .............................. 12,000 875,250
Morgan Stanley Dean Witter............................. 16,215 958,712
------------
5,156,000
------------
INSURANCE
Aetna Inc. ............................................ 6,700 472,769
Ambac Financial Group Inc. ............................ 1,600 73,600
American General Corp. ................................ 18,852 1,019,186
American Int'l Group Inc. ............................. 1,950 212,063
Chubb Corp. ........................................... 10,100 763,813
Cigna Corp. ........................................... 4,300 744,169
Foundation Health Sys Inc. ............................ 20,250 453,091
Lincoln Nat'l Corp. ................................... 8,500 664,063
Loews Corp. ........................................... 3,100 328,988
Mbia Inc. ............................................. 7,000 467,688
Ohio Cas Corp. ........................................ 5,600 249,900
Old Rep Int'l Corp. ................................... 15,400 572,688
Safe Co. Corp. ........................................ 12,100 589,875
St Paul Companies Inc. ................................ 4,500 369,281
Torchmark Inc. ........................................ 12,800 538,400
------------
7,519,574
------------
SAVINGS AND LOAN
Golden West Financial Corp. Del........................ 3,200 313,000
------------
TOTAL FINANCE.......................................... 18,130,101
------------
GENERAL BUSINESS (0.9%)
BUSINESS SERVICES
De Luxe Corp. ......................................... 9,900 341,550
Humana Inc.*........................................... 15,800 327,850
------------
669,400
------------
NEWSPAPERS
Gannett Inc. .......................................... 3,200 197,800
------------
PUBLISHING
American Greetings Corp. .............................. 4,600 179,975
------------
TOTAL GENERAL BUSINESS................................. 1,047,175
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-82
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
MISCELLANEOUS (3.6%)
CONGLOMERATES
Canadian Pacific Ltd. New ADR**........................ 17,900 $ 487,775
ITT Industries Inc. ................................... 15,400 483,175
Raytheon Co. .......................................... 11,676 589,548
Textron Inc. .......................................... 1,800 112,500
------------
1,672,998
------------
MISCELLANEOUS
Allegheny Energy Inc. ................................. 17,500 568,750
Consolidated Edison Inc. .............................. 19,300 791,300
Dillards Inc. ......................................... 17,300 609,825
Hartford Financial Svcs Grp............................ 4,100 383,606
Tricon Global Restaurants Inc.*........................ 1,540 44,756
------------
2,398,237
------------
TOTAL MISCELLANEOUS.................................... 4,071,235
------------
SHELTER (1.2%)
CONSTRUCTION MATERIALS
Armstrongworld Industries Inc. ........................ 4,800 358,800
Masco Corp. ........................................... 5,000 254,375
Owens Corning ADR**.................................... 5,300 180,863
------------
794,038
------------
HOMEBUILDERS
Centex Corp. .......................................... 4,800 302,100
Pulte Corp. ........................................... 6,200 259,238
------------
561,338
------------
TOTAL SHELTER.......................................... 1,355,376
------------
TECHNOLOGY (9.1%)
AEROSPACE
Boeing Co. ............................................ 200 9,788
Lockheed Martin Corp. ................................. 6,300 620,550
Northrop Grumman Corp. ................................ 5,000 575,000
Rockwell Int'l Corp. New............................... 2,400 125,400
------------
1,330,738
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-83
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
COMPUTERS AND BUSINESS EQUIPMENT
Compaq Computer Corp. ................................. 19,750 $ 1,114,641
E M C Corp. Mass....................................... 10,200 279,863
Hewlett Packard Co. ................................... 20,000 1,250,000
International Business Machs........................... 19,300 2,018,376
Quantum Corp.*......................................... 18,200 365,138
Sun Microsystems Inc.*................................. 12,500 498,438
------------
5,526,456
------------
ELECTRONICS
Advanced Micro Devices Inc.*........................... 32,700 586,556
Intel Corp. ........................................... 13,600 955,400
Motorola Inc. ......................................... 3,200 182,600
National Semiconductor Corp.*.......................... 15,800 409,813
------------
2,134,369
------------
SOFTWARE
Microsoft Corp.*....................................... 10,200 1,318,350
------------
TOTAL TECHNOLOGY....................................... 10,309,913
------------
TRANSPORTATION (2.6%)
RAILROADS
Burlington Northern Santa Fe........................... 6,900 641,269
CSX Corp. ............................................. 12,600 680,400
Union Pacific Corp. ................................... 11,000 686,813
------------
2,008,482
------------
TRUCKING AND FREIGHT FORWARDING
Federal Express Corp.*................................. 6,000 366,375
Ryder Systems Inc. .................................... 16,300 533,825
------------
900,200
------------
TOTAL TRANSPORTATION................................... 2,908,682
------------
UTILITIES (10.3%)
ELECTRIC UTILITIES
American Electric Power Inc. .......................... 14,500 748,563
DQE Inc. .............................................. 16,400 576,050
GPU Inc................................................ 8,200 345,425
IES Industries Inc. ................................... 11,800 434,388
Pg&E Corp. ............................................ 26,200 797,463
Puget Sound Energy Inc. ............................... 10,200 307,913
Wisconsin Energy Corp. ................................ 19,000 546,250
------------
3,756,052
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-84
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
SCHEDULE OF INVESTMENTS
VALUE EQUITY FUND
DECEMBER 31, 1997
<TABLE>
<CAPTION>
SHARES VALUE
---------- ------------
<S> <C> <C>
GAS & PIPELINE UTILITIES
Transcanada Pipelines Ltd. ADR**...................... 11,400 $ 255,075
------------
TELEPHONE
Alltel Corp. ......................................... 8,800 361,350
Ameritech Corp. ...................................... 7,000 563,500
AT&T Corp. ........................................... 9,700 594,125
Bell Atlantic Corp. .................................. 9,792 891,072
Bellsouth Corp. ...................................... 25,500 1,435,969
GTE Corp. ............................................ 6,200 323,950
MCI Communications Corp. ............................. 11,200 479,500
SBC Communications Inc. .............................. 22,200 1,626,150
Sprint Corp. ......................................... 6,200 363,475
US West Inc. ......................................... 21,500 970,188
------------
7,609,279
------------
TOTAL UTILITIES....................................... 11,620,406
------------
TOTAL COMMON STOCKS (Cost $80,801,319)................ 104,848,224
------------
<CAPTION>
UNITS
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (COST $3,283,148) (2.9%)
State Street Bank Yield Enhanced Short Term Investment
Fund................................................. 3,283,148 3,283,148
------------
FIXED INCOME (COST $5,501,503) (5.0%) PRINCIPAL
----------
United States Treasury Notes 07/15/06 7.00%........... $3,557,000 3,839,319
United States Treasury Notes 08/15/05 6.50%........... 1,787,000 1,864,608
------------
5,703,927
------------
TOTAL INVESTMENTS (COST $89,585,970) (100.6%)......... 113,835,299
Liabilities less Other Assets (-0.6%)................. (732,655)
------------
NET ASSETS (100.0%)................................... $113,102,644
============
</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 accompanying notes are an integral part of these financial statements.
F-85
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ----------- -----------
<S> <C> <C> <C>
ASSETS
State Street Bank collective investment
funds, at value:
Stable Asset Return Fund (cost of
$5,168,729, and $6,609,972 and units of
5,168,729 and 6,609,972, respectively). $ 5,168,729 $ 6,609,972 $ --
Intermediate Bond Fund (cost of
$5,515,882, $18,227,384, and $7,172,820
and units of 506,391, 1,665,235 and
653,397, respectively)................. 6,030,185 19,829,915 7,780,771
Value Equity Fund (cost of $992,533,
$5,878,407 and $6,273,776 and units of
59,974, 361,574 and 386,924, respec-
tively)................................ 1,206,036 7,270,969 7,780,771
Growth Equity Fund (cost of $987,044,
$5,866,241 and $6,228,203 and units of
3,351, 20,207 and 21,623, respective-
ly).................................... 1,206,036 7,270,969 7,780,771
Index Equity Fund (cost of $1,948,831,
$12,085,873 and $12,277,413 and units
of 109,395, 689,498 and 705,762, re-
spectively)............................ 2,412,073 15,202,935 15,561,540
International Equity Fund (cost of
$1,179,127, $9,648,167 and $10,148,505
and units of 66,216, 544,374 and
569,597, respectively)................. 1,206,036 9,914,957 10,374,360
Aggressive Equity Fund (cost of
$2,254,805 and units of 53,375)........ -- -- 2,593,590
Receivable for investments sold......... -- 135,133 136,429
Receivable for fund units sold.......... 108,272 248,960 102,122
----------- ----------- -----------
Total Assets.......................... 17,337,367 66,483,810 52,110,354
----------- ----------- -----------
LIABILITIES
Payable for investments purchased......... 35,747 384,093 238,551
Payable for fund units redeemed........... 72,525 -- --
Accrued expenses.......................... 1,277 4,836 3,794
----------- ----------- -----------
Total Liabilities..................... 109,549 388,929 242,345
----------- ----------- -----------
NET ASSETS (equivalent to $12.97, $13.93
and $14.91 per unit based on 1,328,560,
4,744,620 and 3,478,382 units outstand-
ing, respectively)....................... $17,227,818 $66,094,881 $51,868,009
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-86
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ---------- ----------
<S> <C> <C> <C>
Investment income.......................... $ -- $ -- $ --
Service fees............................... 13,726 50,019 40,062
---------- ---------- ----------
Net investment loss........................ (13,726) (50,019) (40,062)
---------- ---------- ----------
Net Realized and Unrealized Gain on
Investments
Net realized gain on investments......... 1,207,158 3,024,522 2,739,133
Change in net unrealized appreciation.... 616,834 4,925,526 4,820,721
---------- ---------- ----------
Net realized and unrealized gain on
investments........................... 1,823,992 7,950,048 7,559,854
---------- ---------- ----------
Net increase in net assets resulting from
operations................................ $1,810,266 $7,900,029 $7,519,792
========== ========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-87
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ----------- -----------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment loss................... $ (13,726) $ (50,019) $ (40,062)
Net realized gain on investments...... 1,207,158 3,024,522 2,739,133
Net change in unrealized appreciation
on investments....................... 616,834 4,925,526 4,820,721
----------- ----------- -----------
Net increase in net assets resulting
from operations...................... 1,810,266 7,900,029 7,519,792
----------- ----------- -----------
FROM UNITHOLDER TRANSACTIONS
Proceeds from sales of units.......... 8,482,695 31,899,113 25,053,575
Cost of units redeemed................ (4,266,120) (6,321,601) (6,263,219)
----------- ----------- -----------
Net increase in net assets resulting
from unitholder transactions......... 4,216,575 25,577,512 18,790,356
----------- ----------- -----------
Net increase in net assets............ 6,026,841 33,477,541 26,310,148
NET ASSETS
Beginning of year..................... 11,200,977 32,617,340 25,557,861
----------- ----------- -----------
End of year........................... $17,227,818 $66,094,881 $51,868,009
=========== =========== ===========
NUMBER OF UNITS
Outstanding--beginning of year........ 977,202 2,733,228 2,060,096
Sold................................ 699,243 2,500,711 1,866,881
Redeemed............................ (347,885) (489,319) (448,595)
----------- ----------- -----------
Outstanding--end of year.............. 1,328,560 4,744,620 3,478,382
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-88
<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.
F-89
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
SELECTED PER-UNIT DATA AND RATIOS
FOR THE YEAR ENDED DECEMBER 31, 1997
(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....................................... 1.52 2.01 2.51
------- ------- -------
Net increase................................. 1.51 2.00 2.50
Net asset value at beginning of year......... 11.46 11.93 12.41
------- ------- -------
Net asset value at end of year............... $ 12.97 $ 13.93 $ 14.91
======= ======= =======
Ratio of expenses to average net assets...... .09% .09% .09%
Ratio of net investment loss to average net
assets...................................... (.09%) (.09%) (.09%)
Portfolio turnover**......................... 33% 18% 18%
Total return................................. 13.18% 16.76% 20.15%
Net assets at end of year (in thousands)..... $17,228 $66,095 $51,868
</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
invest rather than turnover of such underlying funds.
The accompanying notes are an integral part of these financial statements.
F-90
<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 % 27 % 28 %
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
invest rather than turnover of such underlying funds.
The accompanying notes are an integral part of these financial statements.
F-91
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
STRUCTURED PORTFOLIO SERVICE
SELECTED PER-UNIT DATA AND RATIOS
(For a unit outstanding throughout the period)*
<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*** ****................... 3 % 4 % 3 %
Total return****............................. 4.70 % 5.40 % 5.70 %
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.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-92
<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 thereafter. 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 of insurance
companies, banks and financial institutions. Currently invests in the State
Street Bank ABA Members/Pooled Stable Asset Fund Trust ("SAFT"), a separate
State Street Bank and Trust Company ("State Street Bank" or the "Trustee")
collective investment fund. SAFT invests in investment contracts of
insurance companies, banks and financial institutions and in the State
Street Bank Yield Enhanced Short Term Investment Fund, a separate State
Street Bank collective investment fund.
Index Equity Fund--replication of the total return of the Russell 3,000
Index. Currently invests in the State Street Global Advisors Flagship S&P
500 Index Fund (the "500 Index Fund") and State Street Global Advisors
Russell Special Small Company Common Trust Fund (the "Russell Fund"),
separate State Street Bank collective investment funds. The 500 Index Fund
invests in equity securities which comprise the Standard & Poor's 500 Index
and the Russell Fund invests in securities contained in the Russell Special
Company Index.
Intermediate Bond Fund--total return from current income and capital
appreciation through investment in debt securities. Currently invests in
the PIMCO Total Return Fund (the "Total Return Fund") and MasterWorks Bond
Index Fund (the "Bond Index Fund"), registered investment companies. The
Total Return Fund invests primarily in intermediate-term investment grade
bonds. The Bond Index Fund invests in high grade bonds denominated in U.S.
dollars.
International Equity Fund--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, which invests worldwide primarily in well-
established, non-U.S. companies.
Value Equity Fund--long term growth of capital and dividend income
through investment in common stocks, primarily of large capitalization
companies believed to be undervalued.
F-93
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Structured Portfolio Service
Conservative--high current investment income and some capital
appreciation.
Moderate--higher 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, 1997.
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 and has 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 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 (SAFT) 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
F-94
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
(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.
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.
F-95
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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.
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., Dresdner RCM
Global Investors LLC (formerly RCM Capital Management), the institutional
investment management arm of Dresdner Bank Group, Sit Investment Associates,
Inc., Miller, Anderson & Sherrerd, LLP, a wholly owned subsidiary of Morgan
Stanley Asset Management Holdings, Inc., Lincoln Capital Management Company,
Sanford C. Bernstein & Co., Inc., and Bankers Trust Company 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,
Aggressive Equity and Balanced--effective June 30,
1997)............................................... .225% to .50%*
Columbus Circle Investors (Growth Equity--prior to
June 16, 1997)...................................... .30% to .50%
Dresdner RCM Global Investors LLC (Growth Equity).... .25% to .70%
Sit Investment Associates (Aggressive Equity)........ .60% to 1.00%
Miller, Anderson & Sherrerd, LLP (Balanced--prior to
June 30, 1997)...................................... .20% to .60%
Miller, Anderson & Sherrerd, LLP (Balanced--effective
June 30, 1997)...................................... .125% to .50%
Lincoln Capital Management Company (Balanced--prior
to June 30, 1997 and Growth Equity--effective June
30, 1997)........................................... .15% to .4675%
Sanford C. Bernstein & Co., Inc. (Value Equity)...... .15% to .50%
Bankers Trust Company (Growth Equity--effective June
16, 1997)........................................... .010% to .075%**
</TABLE>
- --------
* Subject to a 5% fee reduction based on aggregate fees.
**Minimum fee of $75,000.
F-96
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
Effective June 30, 1997 the investment allocations by advisor for the
Balanced Fund and Growth Equity Fund were restructured. As a result,
$169,000,000 equities of the Growth Equity Fund managed by Capital Guardian
Trust Company were exchanged at value for $84,000,000 and $85,000,000 equities
of the Balanced Fund managed by Miller Anderson & Sherrerd, LLP and Lincoln
Capital Management Company, respectively.
Price-Fleming, manager of the T. Rowe Price International Stock Fund, pays a
.10% fee based on investment value for administrative services which is
credited to the International Equity Fund. The International Equity Fund
received $37,721 relating to this fee for the year ended December 31, 1997.
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 1997 1997
----------------------- ----------------- ------------
<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>
Program fees are allocated to each Fund based on net asset value. State
Street Bank and ABRA received Program fees of $8,656,387 and $1,264,595 for
the year ended December 31, 1997, respectively.
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>
F-97
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
- --------
* 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 $2,750,460 for the year ended December 31, 1997. These fees are
allocated to each Fund based on net asset value.
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 $103,807 for the
year ended December 31, 1997.
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, 1997
-------------------------
PURCHASES SALES
------------ ------------
<S> <C> <C>
Aggressive Equity Fund.......................... $140,277,473 $150,484,869
Growth Equity Fund.............................. 969,322,383 988,733,301
Balanced Fund................................... 384,830,700 371,973,516
Stable Asset Return Fund........................ 194,592,514 196,243,981
Index Equity Fund............................... 58,281,518 19,901,040
Value Equity Fund............................... 53,164,546 9,911,761
International Equity Fund....................... 84,464,937 57,676,494
Intermediate Bond Fund.......................... 41,795,362 9,281,155
Conservative Structured Portfolio Service....... 10,045,209 5,836,697
Moderate Structured Portfolio Service........... 38,223,214 12,646,303
Aggressive Structured Portfolio Service......... 29,335,539 10,465,964
</TABLE>
The aggregate cost of purchases and proceeds from sales of U.S. Government
securities were as follows:
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1997
-------------------------
PURCHASES SALES
------------ ------------
<S> <C> <C>
Balanced Fund.................................... $273,356,285 $278,450,278
Value Equity Fund................................ 3,186,143 --
Growth Equity Fund............................... 9,034,914 3,665,583
</TABLE>
5. ORGANIZATIONAL EXPENSES
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.
F-98
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
NOTES TO FINANCIAL STATEMENTS--(CONTINUED)
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.
6. GEOGRAPHIC AND INDUSTRY CONCENTRATION
American Depository Receipts ("ADRs") represent ownership of foreign
securities on deposit with a domestic custodian bank. 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.
F-99
<PAGE>
EXHIBIT 24.1
POWER OF ATTORNEY
KNOW ALL MEN BY THESE PRESENTS THAT we, the undersigned Directors of State
Street Bank and Trust Company, hereby appoint Marshall N. Carter, David A.
Spina, Nicholas A. Lopardo and Maureen S. Bateman, 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, 1997, 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
Director of State
- ------------------------------------ Street Bank and
TENLEY E. ALBRIGHT Trust Company
/s/ Joseph A. Baute, Jr. Director of State February 19,
- ------------------------------------ Street Bank and 1998
JOSEPH A. BAUTE, JR. Trust Company
Director of State
- ------------------------------------ Street Bank and
I. MACALLISTER BOOTH Trust Company
/s/ Marshall N. Carter Director of State February 19,
- ------------------------------------ Street Bank and 1998
MARSHALL N. CARTER Trust Company
/s/ Truman S. Casner Director of State February 19,
- ------------------------------------ Street Bank and 1998
TRUMAN S. CASNER Trust Company
<PAGE>
SIGNATURE TITLE DATE
/s/ Nader F. Darehshori Director of State February 19,
- ------------------------------------ Street Bank and 1998
NADER F. DAREHSHORI Trust Company
/s/ Arthur L. Goldstein Director of State February 19,
- ------------------------------------ Street Bank and 1998
ARTHUR L. GOLDSTEIN Trust Company
- ------------------------------------ Director of State
DAVID P. GRUBER Street Bank and
Trust Company
/s/ Charles F. Kaye Director of State February 19,
- ------------------------------------ Street Bank and 1998
CHARLES F. KAYE Trust Company
Director of State
- ------------------------------------ Street Bank and
JOHN M. KUCHARSKI Trust Company
/s/ Charles R. LaMantia Director of State February 19,
- ------------------------------------ Street Bank and 1998
CHARLES R. LAMANTIA Trust Company
Director of State
- ------------------------------------ Street Bank and
DAVID B. PERINI Trust Company
/s/ Dennis J. Picard Director of State February 19,
- ------------------------------------ Street Bank and 1998
DENNIS J. PICARD Trust Company
/s/ David A. Spina Director of State February 19,
- ------------------------------------ Street Bank and 1998
DAVID A. SPINA Trust Company
Director of State
/s/ Diana Chapman Walsh Street Bank and February 19,
- ------------------------------------ Trust Company 1998
DIANA CHAPMAN WALSH
2
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> AGGRESIVE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 252,133,577
<INVESTMENTS-AT-VALUE> 331,261,601
<RECEIVABLES> 3,136,431
<ASSETS-OTHER> 54,369
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 334,452,401
<PAYABLE-FOR-SECURITIES> 2,035,414
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 477,399
<TOTAL-LIABILITIES> 2,512,813
<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> 331,939,588
<DIVIDEND-INCOME> 1,577,956
<INTEREST-INCOME> 1,118,012
<OTHER-INCOME> 0
<EXPENSES-NET> 3,049,477
<NET-INVESTMENT-INCOME> (353,509)
<REALIZED-GAINS-CURRENT> 39,709,808
<APPREC-INCREASE-CURRENT> 12,757,570
<NET-CHANGE-FROM-OPS> 52,113,869
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 920,581
<NUMBER-OF-SHARES-REDEEMED> (816,804)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 56,024,120
<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> 41.01
<PER-SHARE-NII> (0.06)
<PER-SHARE-GAIN-APPREC> 7.64
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 48.59
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> BALANCED FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 345,397,782
<INVESTMENTS-AT-VALUE> 361,378,330
<RECEIVABLES> 2,774,161
<ASSETS-OTHER> 102,289
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 364,254,780
<PAYABLE-FOR-SECURITIES> 3,919,164
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,832,849
<TOTAL-LIABILITIES> 5,752,013
<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> 358,502,767
<DIVIDEND-INCOME> 2,841,395
<INTEREST-INCOME> 8,672,999
<OTHER-INCOME> 0
<EXPENSES-NET> 2,807,589
<NET-INVESTMENT-INCOME> 8,706,805
<REALIZED-GAINS-CURRENT> 80,198,178
<APPREC-INCREASE-CURRENT> (26,498,974)
<NET-CHANGE-FROM-OPS> 62,406,009
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,578,134
<NUMBER-OF-SHARES-REDEEMED> (1,544,620)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 63,101,435
<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> 36.76
<PER-SHARE-NII> 1.07
<PER-SHARE-GAIN-APPREC> 6.59
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 44.42
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> GROWTH EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 784,740,022
<INVESTMENTS-AT-VALUE> 970,886,148
<RECEIVABLES> 4,661,584
<ASSETS-OTHER> 223,773
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 975,771,505
<PAYABLE-FOR-SECURITIES> 7,139,606
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 777,914
<TOTAL-LIABILITIES> 7,917,520
<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> 967,853,985
<DIVIDEND-INCOME> 9,698,288
<INTEREST-INCOME> 1,590,872
<OTHER-INCOME> 0
<EXPENSES-NET> 7,074,132
<NET-INVESTMENT-INCOME> 4,215,028
<REALIZED-GAINS-CURRENT> 219,100,674
<APPREC-INCREASE-CURRENT> (1,756,692)
<NET-CHANGE-FROM-OPS> 221,559,010
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 865,694
<NUMBER-OF-SHARES-REDEEMED> (881,271)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 215,055,936
<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> 278.26
<PER-SHARE-NII> 1.55
<PER-SHARE-GAIN-APPREC> 80.01
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 359.82
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INDEX EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 113,727,591
<INVESTMENTS-AT-VALUE> 153,745,897
<RECEIVABLES> 198,695
<ASSETS-OTHER> 230,041
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 154,174,633
<PAYABLE-FOR-SECURITIES> 208,118
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 257,373
<TOTAL-LIABILITIES> 465,490
<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> 153,709,143
<DIVIDEND-INCOME> 507,403
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 782,255
<NET-INVESTMENT-INCOME> (274,852)
<REALIZED-GAINS-CURRENT> 6,358,747
<APPREC-INCREASE-CURRENT> 26,647,934
<NET-CHANGE-FROM-OPS> 32,731,829
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,867,768
<NUMBER-OF-SHARES-REDEEMED> (810,958)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 70,828,140
<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> 16.86
<PER-SHARE-NII> (0.04)
<PER-SHARE-GAIN-APPREC> 5.23
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 22.05
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INTERMEDIATE BOND FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 81,878,841
<INVESTMENTS-AT-VALUE> 82,760,460
<RECEIVABLES> 125,519
<ASSETS-OTHER> 10,300
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 82,896,279
<PAYABLE-FOR-SECURITIES> 127,325
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 34,471
<TOTAL-LIABILITIES> 161,796
<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> 82,734,483
<DIVIDEND-INCOME> 5,665,296
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 379,548
<NET-INVESTMENT-INCOME> 5,285,748
<REALIZED-GAINS-CURRENT> 10,090
<APPREC-INCREASE-CURRENT> 1,061,117
<NET-CHANGE-FROM-OPS> 6,356,955
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,093,999
<NUMBER-OF-SHARES-REDEEMED> (704,963)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 33,122,666
<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> 10.89
<PER-SHARE-NII> 0.90
<PER-SHARE-GAIN-APPREC> 0.12
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.91
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INTERNATIONAL EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 63,984,771
<INVESTMENTS-AT-VALUE> 59,004,235
<RECEIVABLES> 196,627
<ASSETS-OTHER> 15,736
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 59,216,598
<PAYABLE-FOR-SECURITIES> 154,832
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 64,819
<TOTAL-LIABILITIES> 219,651
<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> 58,996,947
<DIVIDEND-INCOME> 3,113,573
<INTEREST-INCOME> 37,721
<OTHER-INCOME> 0
<EXPENSES-NET> 286,423
<NET-INVESTMENT-INCOME> 2,864,871
<REALIZED-GAINS-CURRENT> 4,264,284
<APPREC-INCREASE-CURRENT> (6,012,507)
<NET-CHANGE-FROM-OPS> 1,116,648
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,541,730
<NUMBER-OF-SHARES-REDEEMED> (3,171,085)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 25,728,647
<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> 17.80
<PER-SHARE-NII> 1.02
<PER-SHARE-GAIN-APPREC> (0.61)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 18.21
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STABLE ASSET RETURN FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 633,755,115
<INVESTMENTS-AT-VALUE> 633,755,115
<RECEIVABLES> 1,065,874
<ASSETS-OTHER> 94,179
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 634,915,168
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 350,347
<TOTAL-LIABILITIES> 350,347
<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> 634,564,821
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 38,695,839
<OTHER-INCOME> 0
<EXPENSES-NET> 4,313,635
<NET-INVESTMENT-INCOME> 34,382,204
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 34,382,204
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 165,192,903
<NUMBER-OF-SHARES-REDEEMED> (199,773,055)
<SHARES-REINVESTED> 34,382,204
<NET-CHANGE-IN-ASSETS> 56,024,120
<ACCUMULATED-NII-PRIOR> (197,948)
<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> 0.05
<PER-SHARE-GAIN-APPREC> 0.00
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.05)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1.00
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> VALUE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 89,585,970
<INVESTMENTS-AT-VALUE> 113,835,299
<RECEIVABLES> 625,142
<ASSETS-OTHER> 18,205
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 114,478,646
<PAYABLE-FOR-SECURITIES> 1,264,697
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 111,305
<TOTAL-LIABILITIES> 1,376,002
<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> 113,102,644
<DIVIDEND-INCOME> 1,642,376
<INTEREST-INCOME> 538,418
<OTHER-INCOME> 0
<EXPENSES-NET> 779,657
<NET-INVESTMENT-INCOME> 1,401,137
<REALIZED-GAINS-CURRENT> 1,090,426
<APPREC-INCREASE-CURRENT> 17,294,659
<NET-CHANGE-FROM-OPS> 19,786,222
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,030,540
<NUMBER-OF-SHARES-REDEEMED> (466,770)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 64,971,450
<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> 15.73
<PER-SHARE-NII> 0.30
<PER-SHARE-GAIN-APPREC> 4.08
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.11
<EXPENSE-RATIO> 0.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE - CONSERVATIVE PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 15,792,146
<INVESTMENTS-AT-VALUE> 17,229,095
<RECEIVABLES> 108,272
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 17,337,367
<PAYABLE-FOR-SECURITIES> 35,747
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 73,802
<TOTAL-LIABILITIES> 109,549
<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> 17,227,818
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 13,726
<NET-INVESTMENT-INCOME> (13,726)
<REALIZED-GAINS-CURRENT> 1,207,158
<APPREC-INCREASE-CURRENT> 616,834
<NET-CHANGE-FROM-OPS> 1,810,266
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 699,243
<NUMBER-OF-SHARES-REDEEMED> (347,885)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 6,026,841
<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> 11.46
<PER-SHARE-NII> (0.01)
<PER-SHARE-GAIN-APPREC> 1.52
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.97
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE - MODERATE PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 58,316,044
<INVESTMENTS-AT-VALUE> 66,099,717
<RECEIVABLES> 135,133
<ASSETS-OTHER> 248,960
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 66,483,810
<PAYABLE-FOR-SECURITIES> 384,093
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 0
<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> 66,094,881
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 50,019
<NET-INVESTMENT-INCOME> (50,019)
<REALIZED-GAINS-CURRENT> 3,024,522
<APPREC-INCREASE-CURRENT> 4,925,526
<NET-CHANGE-FROM-OPS> 7,900,029
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,500,711
<NUMBER-OF-SHARES-REDEEMED> (489,319)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 33,477,541
<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> 11.93
<PER-SHARE-NII> (0.01)
<PER-SHARE-GAIN-APPREC> 2.01
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.93
<EXPENSE-RATIO> 0.00
<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> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE - AGGRESIVE PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> DEC-31-1997
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<INVESTMENTS-AT-VALUE> 51,871,803
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</TABLE>
