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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, 1998
Commission file nos. 333-69427 and 333-23633
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, 1998 the aggregate market value of the units of
beneficial interest in the various funds of the Collective Trust held by non-
affiliates was $3,272,000,000.
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TABLE OF CONTENTS
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Special Note Regarding Forward Looking Statements......................... 3
PART I
ITEM 1. Business ....................................................... 4
OVERVIEW........................................................... 4
THE PROGRAM........................................................ 4
DESCRIPTION OF INVESTMENT OPTIONS.................................. 6
Stable Asset Return Fund.......................................... 7
Intermediate Bond Fund............................................ 10
Balanced Fund..................................................... 14
Value Equity Fund................................................. 15
Growth Equity Fund................................................ 17
Index Equity Fund................................................. 18
Aggressive Equity Fund............................................ 20
International Equity Fund......................................... 22
Investment Prohibitions Relating to the Funds..................... 26
Valuation of Units................................................ 27
Performance Information........................................... 28
Derivative Instruments............................................ 28
Investment Advisors............................................... 30
Structured Portfolio Service...................................... 33
Self-Managed Accounts............................................. 35
Equitable Real Estate Account..................................... 35
Contributions to the Investment Options........................... 35
Transfers Among Investment Options................................ 35
Benefits and Distributions........................................ 36
Additional Information............................................ 36
ADOPTION OF PROGRAM................................................ 36
STATE STREET....................................................... 37
Resolution 2000................................................... 37
AMERICAN BAR RETIREMENT ASSOCIATION................................ 40
DEDUCTIONS AND FEES................................................ 41
Program Expense Fee............................................... 41
Trustee, Management and Administration Fees....................... 41
Self-Managed Account Fees ........................................ 41
Investment Advisor Fee............................................ 42
Organizational Expenses........................................... 44
Fee Recipients.................................................... 44
ITEM 2. Properties ...................................................... 44
ITEM 3. Legal Proceedings ............................................... 44
ITEM 4. Submission of Matters to a Vote of Security Holders ............. 44
PART II
ITEM 5. Market for Registrant's Common Stock and Related Stockholder
Matters ........................................................ 45
ITEM 6. Selected Financial Data ......................................... 45
ITEM 7. Management's Discussion and Analysis of Financial Condition and
Results of Operations........................................... 52
ITEM 8. Financial Statements and Supplementary Data ..................... 55
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ITEM 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure ........................................... 55
PART III
ITEM 10. Directors and Executive Officers of the Registrant ............... 56
ITEM 11. Executive Compensation ........................................... 56
ITEM 12. Security Ownership of Certain Beneficial Owners and Management ... 56
ITEM 13. Certain Relationships and Related Transactions ................... 56
PART IV
ITEM 14. Exhibits, Financial Statement Schedules, and Reports on
Form 8-K........................................................ 57
Signatures ................................................................ 61
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 found in "Item 1. Business."
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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 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 of
beneficial interest ("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 the 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
The American Bar Association Members Retirement 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. The Program is sponsored by
the American Bar Retirement Association, which was organized by the American
Bar Association (the "ABA") to sponsor retirement programs for employers who
are members or associates of the ABA, most state and local bar associations or
certain organizations related to the practice of law, as described in the
following paragraph.
Attorneys who are sole practitioners and partnerships and professional
corporations engaged in the practice of law can adopt the Program for their
law practices if they or one of their partners or shareholders is a member or
associate of 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
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organizations that are eligible to adopt the Program are referred to herein as
"Eligible Employers," and those that adopt the Program are referred to as
"Employers." The term "Participants" means employees (together with their
beneficiaries where applicable) of Employers who have adopted the Program for
their practices.
Eligible Employers who elect to participate in the Program may do so by
adopting a master plan under one or both of two ABA Members Plans sponsored by
ABRA. One of the ABA Members Plans is the American Bar Association Members
Retirement Plan, a defined contribution master plan, and the other is the
American Bar Association Members Defined Benefit Plan, a defined benefit master
plan. Eligible Employers that design and maintain their own 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 American Bar Association Members Retirement Trust in the case of assets
contributed under master plans and the American Bar Association Members Pooled
Trust for Retirement Plans in the case of assets contributed under individually
designed plans. Assets contributed under the Program 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
such allocation pursuant to the terms of the particular plan.
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DESCRIPTION OF INVESTMENT OPTIONS
State Street offers eight collective investment funds and three portfolios
in a Structured Portfolio Service under the Collective Trust. The Funds and
the portfolios of the Structured Portfolio Service are Investment Options
under the Program. Assets invested through the ABA Members Plans are held
under the American Bar Association Members Retirement Trust, and assets
invested through individually designed plans are held under the American Bar
Association Members Pooled Trust for Retirement Plans. State Street is the
sole trustee of each of these trusts.
The following are Investment Options under the Program. The Stable Asset
Return Fund invests primarily in high quality short-term instruments and
investment contracts. The Intermediate 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
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 or held 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, 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 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 American Bar Association Members Retirement Trust and the American Bar
Association Pooled Trust for Retirement Plans, for the benefit of investors in
the plans held under those trusts. 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 the Employee Retirement Income Security Act of 1974, as
amended ("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 day that the New York
Stock Exchange is open for trading (a "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 following descriptions of the Funds, 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.
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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 invests in investment
contracts and high quality short-term 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.
Strategy. The Stable Asset Return Fund invests in obligations of the United
States government and its agencies and instrumentalities (referred to as "U.S.
Government Obligations") and notes, bonds and similar debt instruments of
corporations, commercial paper, certificates of deposit and time deposits,
bankers' acceptances, supranational and sovereign debt obligations (including
obligations of foreign government sub-divisions), asset-backed securities,
master notes, promissory notes, funding agreements, variable and indexed
interest notes and repurchase agreements (collectively, "Short-Term Investment
Products"). The Stable Asset Return Fund may invest in Short-Term Investment
Products so long as the average weighted days to maturity of all such
investments does not exceed 120 days. 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 (that is, responsive to
withdrawal, transfer and benefit payment requests). The underlying securities
of Synthetic GICs generally consist of fixed income debt instruments. The
average weighted maturity of the Fund's Short-Term Investment Products and
investment contracts shall not exceed 18 months. As of December 31, 1998,
approximately 45% of the Fund's assets were invested in Short-Term Investment
Products and 55% of the Fund's assets were invested in investment contracts.
As of December 31, 1998, the average weighted maturity of the Stable Asset
Return Fund was 1.28 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.
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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. The Stable
Asset Return Fund may also invest in U.S. dollar-denominated instruments
issued by foreign governments, their political subdivisions, governmental
authorities, agencies and instrumentalities and supranational organizations. A
supranational organization is an entity designated or supported by the
national government of one or more countries to promote economic
reconstruction or development. Examples of supranational organizations
include, among others, the European Investment Bank, the International Bank
for Reconstruction and Development (World Bank) and the Nordic Investment
Bank. For risks associated with investments in foreign securities, see "--
International Equity Fund--Certain Risk Factors."
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.
The Stable Asset Return Fund, as well as any other State Street collective
fund through which the Fund invests, is permitted to invest in asset-backed
securities (other than collateralized mortgage obligations (known as "CMOs")
or other mortgage-backed securities), subject to the rating and quality
requirements specified with respect to such Fund. Asset-backed securities are
issued by trusts and special purpose entities that securitize various types of
assets, such as automobile and credit card receivables. Asset-backed
securities may involve certain credit risks resulting primarily from the fact
that asset-backed securities are issued by such trusts or special purpose
entities with no other assets and do not usually have the benefit of a
complete security interest in such assets. For example, credit card
receivables generally are unsecured and the debtors are entitled to the
protection of a number of state and Federal consumer credit laws, some of
which may reduce the ability to obtain full payment. For information regarding
risk factors with respect to the use of derivative instruments, see "--
Derivative Instruments."
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, 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 nationally recognized statistical rating organizations, 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
nationally recognized statistical rating organizations, 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.
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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
nationally recognized statistical rating organizations, 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 "--Investment Prohibitions Relating to the Funds."
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
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 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
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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 held in the Fund
are not required by generally accepted accounting principles because of their
benefit responsive structure.
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 Intermediate 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 Intermediate Bond Fund (approximately two-thirds) will be
actively managed, investing in fixed income securities with a portfolio
duration generally from three to six years. The other portion of the
Intermediate Bond Fund--the index portion--will be invested to replicate the
Lehman Brothers Government/Corporate 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. As of December 31, 1998, U.S. Government Obligations
and corporate debt securities represented 68% and 32%, respectively, of the
Lehman Brothers Government/Corporate Bond Index. The actively managed portion
of the Intermediate Bond Fund 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 Intermediate Bond
Fund, nor is it affiliated in any way with the Intermediate Bond Fund or State
Street. There can be no assurance that the Intermediate Bond Fund will achieve
its investment objective.
Strategy. The actively managed portion of the Intermediate Bond Fund is
expected to invest its assets in fixed income securities of varying maturities
with a portfolio duration generally from three to six years. The level of
investments in fixed income securities of this portion of the Intermediate
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
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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. 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 Intermediate Bond Fund will attempt to hold a
representative sample of the securities in the Lehman Brothers
Government/Corporate Bond Index so that, in the aggregate, the investment
characteristics of this portion of the Intermediate Bond Fund's portfolio will
resemble those of the Lehman Brothers Government/Corporate Bond Index.
However, the index portion of the Intermediate Bond Fund is not expected to
track the Lehman Brothers Government/Corporate 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 Intermediate Bond Fund
will be altered (or "rebalanced") to reflect changes in the characteristics of
the Lehman Brothers Government/Corporate Bond Index.
Investment Guidelines and Restrictions. The actively managed portion of the
Intermediate 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-backed
securities; 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 agencies or
supranational entities; and foreign currency denominated securities. The
Intermediate 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
Intermediate 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 Intermediate Bond Fund will invest its assets so as
to replicate the Lehman Brothers Government/Corporate 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 Lehman Brothers
Government/Corporate Bond Index. For temporary defensive purposes, the index
portion of the Intermediate Bond Fund may invest without limitation in U.S.
Government Obligations, commercial paper, and other short-term instruments of
the type purchased by the Stable Asset Return Fund, as described in "--Stable
Asset Return Fund." The index portion of the Intermediate 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 Intermediate Bond Fund is subject to
the same investment restrictions that are applicable to the other Funds. See
"--Investment Prohibitions Relating to the Funds."
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Certain Risk Factors with Respect to the Intermediate Bond Fund. For
information regarding certain risk factors with respect to investing in
certain short-term instruments, see "--Stable Asset Return Fund--Investment
Guidelines and Restrictions and Certain Risk Factors," and, for information
regarding risk factors with respect to the use of derivative instruments and
mortgage-backed securities, see "--Derivative Instruments."
The Intermediate Bond Fund may purchase or sell securities on a when-issued
or delayed delivery basis. For information regarding certain risks involved in
these activities, see "--Stable Asset Return Fund--Investment Guidelines and
Restrictions and Certain Risk Factors."
The actively managed portion of the Intermediate 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 Intermediate
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 Intermediate 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 17% for the twelve months ended December 31, 1998,
14% for the twelve months ended December 31, 1997 and 22% for the twelve
months ended December 31, 1996. 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. See "Investment Advisors and Initial Investments in Registered
Investment Companies" below.
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 Intermediate 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 Intermediate Bond Fund is available at (800) 348-2272. While the
Intermediate Bond Fund is invested in registered investment companies (as
described below) the yield for the Intermediate 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 Intermediate Bond Fund, subject to the
supervision and approval of State Street.
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State Street, however, based upon the advice of PIMCO, has determined that
in order to provide for efficient investment of the Intermediate Bond Fund's
assets, until a minimum level of assets (in this case approximately $75
million to $150 million) has been allocated to the actively managed portion of
the Intermediate Bond Fund, PIMCO's advice will be obtained by investing
approximately two-thirds of the assets allocated to the Intermediate Bond Fund
in the PIMCO Total Return Fund, an open-end management investment company
registered under the Investment Company Act and managed by PIMCO. As of
December 31, 1998, approximately $85 million in assets were allocated to the
actively managed portion of the Intermediate Bond Fund and such assets are
currently invested in the PIMCO Total Return Fund. The PIMCO 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
three to six years. The PIMCO Total Return Fund has substantially similar
investment objectives to the actively managed portion of the Intermediate Bond
Fund and also invests in convertible securities; inflation-indexed bonds
issued by both governments and corporations; structured notes, including
hybrid or "indexed" securities, catastrophe bonds, and loan participations;
delayed funding loans and revolving credit facilities; reverse repurchase
agreements; and debt securities issued by states or local governments and
their agencies, authorities and other instrumentalities. After the minimum
level of assets referred to above is attained by the actively managed portion
of the Intermediate Bond Fund, State Street expects that such portion will be
invested directly by State Street, with the advice of PIMCO in accordance with
the investment objective, strategy, guidelines and restrictions described
above.
With respect to the index portion of the Intermediate Bond Fund, State
Street expects to select Barclay's Global Investors 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 Intermediate
Bond Fund, subject to the supervision and approval of State Street.
State Street, however, upon the advice of Barclay's Global Investors, has
determined that in order for the index portion of the Intermediate Bond Fund
to meet its investment objective and to provide for efficient investment of
the index portion of the Intermediate Bond Fund's assets, until the assets in
the index portion of the Fund reach approximately $200 million, the advice of
Barclay's Global Investors will be obtained by investing approximately one-
third of the assets allocated to the Intermediate Bond Fund in the Masterworks
Bond Index Fund, an open-end management investment company registered under
the Investment Company Act. The Masterworks Bond Index Fund primarily invests
in the securities represented in the Lehman Brothers Government/Corporate Bond
Index. As of December 31, 1998, approximately $41 million in assets were
allocated to the index portion of the Intermediate Bond Fund and such assets
are currently invested in the Masterworks Bond Index Fund. The Masterworks
Bond Index Fund is managed by Barclay's Global Investors. The Masterworks 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 Lehman Brothers Government/Corporate Bond
Index. After the value of the assets in the index portion of the Intermediate
Bond Fund exceeds $200 million, State Street expects that such portion will be
invested directly by State Street with the advice of Barclay's Global
Investors in accordance with the investment objective, strategy, guidelines
and restrictions described above.
State Street will monitor the performance of the PIMCO Total Return Fund and
the Masterworks Bond Index Fund, in light of the Intermediate Bond Fund's
investment objectives, to determine whether the continued investment by the
Intermediate Bond Fund in such registered investment companies is appropriate.
If State Street concludes that the investment objectives or performance of the
PIMCO Total Return Fund and the Masterworks Bond Index Fund are no longer
consistent with those of the actively managed portion and index portion of the
Intermediate Bond Fund, respectively, State Street may transfer a portion or
all of the assets of the Intermediate 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 Intermediate Bond Fund, State Street deems to be
more appropriate. When the assets in the actively managed and indexed
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<PAGE>
portions of the Intermediate Bond Fund reach the levels at which it is
efficient for them to be invested directly, State Street and the Investment
Advisors will determine appropriate redemption procedures from the PIMCO Total
Return Fund and the Masterworks Bond Index Fund.
State Street has determined the percentage of the assets in the Intermediate
Bond Fund to be allocated to each portion of the Intermediate Bond Fund.
Unless altered by State Street, contributions to and withdrawals from the
Intermediate Bond Fund will be allocated two-thirds to the actively managed
portion of the Fund, for which State Street receives investment advice from
PIMCO, and one-third to the index portion of the Fund, for which State Street
receives investment advice from Barclay's Global Investors. Income and gains
attributable to the assets allocated to each portion will remain allocated to
such portion, thereby changing the percentage of total assets of the
Intermediate Bond Fund allocated to each portion. An Investment Advisor whose
portion experiences superior performance may thus provide investment advice
with respect to a larger percentage of the assets of the Intermediate Bond
Fund than originally allocated to such portion. 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
(including bonds, notes, debentures, equipment trust certificates, asset-
backed securities and mortgage-related securities) 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 a
nationally recognized statistical rating organization 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 of the same types as those in which the Stable Asset
Return Fund invests. See "--Stable Asset Return Fund--Strategy." In addition,
the Balanced Fund may continue to hold current investments in the
collateralized mortgage obligations (known as "CMOs") that are included in its
portfolio. However, no such additional investments may be made. As to certain
risks associated with CMOs, see "--Derivative Instruments."
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.
For temporary defensive purposes, the Balanced Fund may invest without
limitation in U.S. Government Obligations, commercial paper and other short-
term instruments of the types purchased by the Stable Asset Return Fund, as
described in "--Stable Asset Return Fund." The Fund would invoke
14
<PAGE>
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 "--Investment Prohibitions Relating to the Funds."
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 in certain short-term instruments, see "--Stable Asset
Return Fund--Investment Guidelines and Restrictions and Certain Risk Factors."
For information with respect to the use of derivative instruments and
mortgage-backed securities, 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 209% for the twelve months ended December 31,
1998, 122% for the twelve months ended December 31, 1997 and 181% for the
twelve months ended December 31, 1996.
Investment Advisors. State Street has retained Capital Guardian Trust
Company 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 Trust Company 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 Advisor consider
undervalued. There can be no assurance that the Value Equity Fund will achieve
its investment objective.
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<PAGE>
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 short-term 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 Depositary Receipts (known as "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 high quality short-term 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 "--Investment Prohibitions Relating to the Funds" and "--
Derivative Instruments."
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 27% for the twelve months ended December 31, 1998, 13% for
the twelve months ended December 31, 1997 and 17% for the twelve months ended
December 31, 1996.
Investment Advisor. State Street has retained Sanford C. Bernstein & Co.,
Inc. 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."
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<PAGE>
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 (approximately 25%) is 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 is 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 short-term 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 high quality short-term instruments of the types purchased by the Stable
Asset Return Fund. See "--Stable Asset Return Fund." The Fund would invoke this
right only in extraordinary circumstances, such as war, the closing of equity
markets, an extreme financial calamity, or the threat of any such event.
Although the Growth Equity Fund invests primarily in securities of U.S.
companies or foreign companies doing substantial business in the United States,
the Growth Equity Fund may invest a portion of its assets in the securities of
established foreign companies that do not do a substantial amount of business
in the United States. The Fund may invest in foreign securities directly and
through American Depositary Receipts (known as "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 recommend an investment,
and State Street will not cause the Growth Equity Fund to make an investment if
that investment would cause more than 15% of the Fund's assets for which the
Investment Advisor's advice is obtained 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 "--Investment Prohibitions Relating to the Funds" and "--
Derivative Instruments."
Certain Risk Factors. See "--Index Equity Fund--Certain Risk Factors" for
risk factors associated with investing in equity securities. For information
with respect to the use of derivative instruments, see
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<PAGE>
"--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 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 46% for the twelve months ended December 31, 1998, 88% for
the twelve months ended December 31, 1997 and 64% for the twelve months ended
December 31, 1996.
Investment Advisors. State Street has retained Capital Guardian Trust
Company, Lincoln Capital Management Company, Dresdner RCM Global Investors LLC
and Bankers Trust Company 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 to four 25% portions
and State Street will obtain advice for each portion from one of the Fund's
Investment Advisors. Bankers Trust Company will serve as advisor to the index
portion of the Fund. Income and gains attributable to the assets allocated to
the portion for which advice is obtained from each Investment Advisor remain
allocated to such portion, thereby changing the percentage of total assets of
the Growth Equity Fund for which advice is obtained from each Investment
Advisor. An Investment Advisor whose portion experiences superior performance
may thus provide investment advice with respect to a larger portion of the
Growth Equity Fund than originally allocated to such portion. 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, 1998, the largest company had a market capitalization of
approximately $333 billion and the smallest company had a market
capitalization of approximately $2 million. The Russell 3000 Index is
reconstituted annually on June 30 based on index methodology and market
capitalization rankings as of the preceding May 31. There can be no assurance
that the Index Equity Fund will achieve its investment objective of
replicating the total return of the Russell 3000 Index.
Strategy. To control costs, the Index Equity Fund does not attempt to own
all 3,000 securities included in the Russell 3000 Index. Instead, the Fund
attempts to replicate the returns of the Russell 3000 Index by dividing it
into two categories: the S&P 500 Index, which is comprised of 500 stocks, and
the extended market portion of the U.S. equity market represented by the
Russell Special Small Company Index, which is comprised of approximately 2,500
stocks. The securities in these two indices represent the universe of
securities contained in the Russell 3000 Index. The Index Equity Fund invests
in common stocks included in the Russell 3000 Index by fully replicating the
S&P 500 Index and the Russell Special Small Company Index with the possible
exception 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 (known as "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
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<PAGE>
includes some securities not included in the Russell 3000 Index. Tracking
error may also result from 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 " --Investment
Prohibitions Relating to the Funds." 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 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, the 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% on an annual
basis. 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 94% for the twelve
months ended December 31, 1998, 11% for the twelve months ended December 31,
1997 and 17% for the twelve months ended December 31, 1996. This turnover
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.
Index funds 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
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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.
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 Bank and Trust Company
Russell 3000 Non-Lending Fund, a collective investment fund maintained by
State Street.
Information about the Russell Indices. The criteria used by Frank Russell &
Company 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. Frank Russell & Company 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 Equity 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 Equity Fund.
"Russell 3000 Index" and "Russell Special Small Company Index" are
trademarks of Frank Russell & Company. The Russell 3000 Index is not
sponsored, endorsed, sold or promoted by Frank Russell & Company, nor does
Frank Russell & Company guarantee the accuracy and/or completeness of the
Russell 3000 Index or any data included therein. Frank Russell & Company 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. Frank Russell & Company makes no express
or implied warranties and expressly disclaims all such warranties of
merchantability or fitness for a particular purpose for use with respect to
the Russell 3000 Index or any data included therein.
Aggressive Equity Fund
Investment Objective. The investment objective of the Aggressive Equity Fund
is to maximize long-term growth of capital. The Aggressive Equity Fund seeks
to achieve, over an extended period of time, total returns comparable to or
superior to those attained by broad measures of the domestic stock market.
There can be no assurance that the Aggressive Equity Fund will achieve its
investment objective.
Strategy. The Aggressive Equity Fund's investments may include securities of
relatively small to medium sized companies, new companies and companies that
may benefit from new technologies, new product or service developments or
management changes. The Fund may also invest in newly issued securities and
securities of seasoned, established companies that appear to have unusual
value or appreciation potential. Industry diversification is not an objective
of the Aggressive Equity Fund and the Aggressive Equity Fund may, at times, be
less diversified than the other Funds.
Investment Guidelines and Restrictions. The Aggressive Equity Fund invests
primarily in common stocks and other equity-type securities, including
convertible securities, that are believed to have strong potential for
appreciation.
Although the assets of the Aggressive Equity Fund will generally be invested
in equity securities, the Aggressive Equity Fund may also invest in non-equity
securities, including investment grade bonds and
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debentures and high quality short-term 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 high quality 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 American Depositary Receipts (known as "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 recommend an investment, and State Street will not cause the Aggressive
Equity Fund to make an investment if that investment would cause more than 15%
of the portion of the Fund's assets for which such Investment Advisor's advice
is obtained 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 "--Investment Prohibitions Relating to
the Funds" 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 they would be for more established companies. The smaller companies may not
have adequate resources to react optimally to change or to exploit
opportunities. Small and medium sized companies may also be more dependent on
access to equity markets to raise capital than are larger companies that have
a greater ability to support relatively larger debt burdens. The securities of
such companies may be held primarily by insiders or institutional investors,
which may have an impact on their marketability. These securities may be more
volatile than the overall market. Relatively new companies and companies which
have recently made an initial public offering may be perceived by the market
as unproven. The Aggressive Equity Fund's focus on appreciation potential will
result in an emphasis on securities of companies that may pay little or no
dividends and reinvest all or a
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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 55% for the twelve months ended
December 31, 1998, 36% for the twelve months ended December 31, 1997 and 48%
for the twelve months ended December 31, 1996.
Investment Advisors. State Street has retained Capital Guardian Trust
Company and Sit Investment Associates, Inc. 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 to two 50%
portions. State Street will obtain advice for one portion from Capital
Guardian Trust Company and will obtain advice for the other portion from Sit
Investment Associates, Inc. Income and gains attributable to the assets
allocated to each portion remain allocated to that portion, thereby changing
the percentage of total assets of the Aggressive Equity Fund for which State
Street obtains advice from each Investment Advisor. An Investment Advisor
whose portion experiences superior performance may thus provide investment
advice with respect to a larger portion of the Aggressive Equity Fund than
originally allocated to such portion. 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 United States. Moreover, over the same period, there has
frequently been a wide and largely unrelated variation in performance among
international equity markets. Within the framework of diversification, the
International Equity Fund seeks to identify and invest in companies
participating in the faster growing foreign economies and markets. State
Street believes that because more than half of the world's stock market value
is traded abroad, investment in foreign securities offers significant
potential for long-term capital appreciation and an opportunity to achieve
investment diversification. 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,
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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 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 "--Investment Prohibitions Relating
to the Funds" and "--Derivative Instruments."
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 Japanese stock rose 10%
in price during a year but the U.S. dollar gained 5% against the Japanese Yen
during that time, the U.S. investor's return would be reduced to approximately
5%. This is the result because the Yen would "buy" fewer dollars at the end of
the year than at the beginning, or, conversely, a dollar would buy more Yen.
The Fund's total return will be affected by currency fluctuations. The overall
impact on the Fund's holdings can be significant and long-lasting, depending
on the currencies represented in the Fund's portfolio, how each one
appreciates or depreciates in relation to the U.S. dollar and whether currency
positions are hedged. Under normal conditions, the Fund will not engage in
extensive foreign currency hedging programs. 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 United States. 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. Many countries 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 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
emerging 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 United States, do not honor legal
rights enjoyed in the United States 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 United States.
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 in Units of the Fund.
Year 2000 Risk. Companies, organizations, governmental entities, and markets
in which the International Equity Fund invests may be more likely to be
affected by the Year 2000 computer problem. While at this time the Fund cannot
predict the degree of impact, it is possible that foreign markets will be less
prepared than U.S. markets. The Fund's returns could be adversely affected as
a result.
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,
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Eastern European and African countries, volatility may be heightened by
actions of a few major investors. For example, substantial increases or
decreases in cash flows of mutual funds investing in these markets could
significantly affect stock prices and, therefore, fund share prices. For this
reason, investors in foreign stocks should have a long-term investment horizon
and be willing to wait out declining markets. The International Equity Fund
should not be relied upon as a complete investment program or used as a means
to speculate on 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 United States 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.
For information with respect to the use of derivative instruments, see "--
Derivative Instruments."
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 122% for the twelve months ended
December 31, 1998, 101%, for the twelve months ended December 31, 1997 and 73%
for the twelve months ended December 31, 1996. 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 Investments
in Registered Investment Companies" below.
Investment Advisor and Initial Investments in Registered Investment
Companies. State Street expects to select Rowe Price-Fleming International,
Inc. 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, based upon the advice of Rowe Price-Fleming
International has determined that in order for the International Equity Fund
to meet its investment objective and to provide for efficient investment of
the Fund's assets, until a sufficient level of assets in the Fund is attained,
Rowe Price-Fleming International'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, a registered investment company that is
managed by Rowe Price-Fleming International and that has substantially the
same investment objectives as the International Equity Fund. Stock selection
in the T. Rowe Price International Stock Fund reflects a growth style. The T.
Rowe Price International Stock Fund may purchase the stocks of companies of
any size, but will focus typically on large and, to a lesser extent, medium-
sized companies. As of December 31, 1998, $70 million in assets were invested
in the Fund and such assets are invested in the T. Rowe Price International
Stock Fund. After a sufficient asset level is attained, which State Street
currently expects to be approximately $75 million to $100 million, the
International Equity Fund will be managed as a separate collective trust
portfolio by State Street with the advice of Rowe Price-Fleming International.
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State Street, however, will monitor the performance of the T. Rowe Price
International Stock Fund, in 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 Price International Stock Fund are no longer
consistent with those of the International Equity Fund, State Street may
transfer a portion or all of the assets of the International Equity Fund to
other registered investment companies or collective investment funds
maintained by State Street that, in light of the investment objectives of the
International Equity Fund, State Street deems to be more appropriate.
It is anticipated that after a sufficient level of assets is reached, at
State Street's discretion, funds may be withdrawn from the T. Rowe Price
International Stock Fund in such a manner as to not require the liquidation of
portfolio securities by the T. Rowe Price International Stock Fund, although
there can be no assurance that this goal will be met. With the consent of Rowe
Price-Fleming International, 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, Rowe Price-Fleming International will recommend securities
that it believes reflect a representative sample of the T. Rowe Price
International Stock Fund's portfolio. State Street will have the authority to
approve or disapprove of Rowe Price-Fleming International'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, except as described under "Derivative
Instruments;"
. 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 Intermediate Bond Fund and the
International Equity Fund, invest in the securities of registered
investment companies. 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 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 Equity 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
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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 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.
The foregoing restrictions with respect to industry and issuer concentration do
not apply to the Index Equity Fund or the indexed portions of the Growth Equity
Fund and the Intermediate Bond Fund to the extent that the replicated index is
concentrated in a specific industry or issuer. 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 in the
Funds.
Although none of the foregoing restrictions apply to the registered
investment companies in which the Intermediate Bond Fund and the International
Equity Fund currently invest, each of these registered investment companies has
restrictions that are set forth in its respective prospectus and statement of
additional information, both of which are available from the SEC.
The Funds that invest in fixed income securities may also purchase such
securities for future delivery on a "to be announced" or "TBA" basis where the
price and coupon are determined at the time of purchase but the collateral for
such securities is not determined until immediately before the securities are
delivered. Investing in TBA securities carries risks similar to investing in
"when-issued" securities, see "--Stable Asset Return Fund--Investment
Guidelines and Restrictions and Certain Risk Factors."
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 per 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.
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Performance Information
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 per Unit values for the Funds is available
at (800) 348-2272.
Derivative Instruments
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, such as
futures, options, swaps, caps or floor contracts or foreign currency hedging
contracts, except as described in this paragraph. The Index Equity Fund and
the indexed portion of the Growth Equity Fund may engage in limited
transactions in stock index futures and options for hedging purposes and 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, for
example pending investment or to pay for redemption requests). 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.
Collateralized mortgage obligations (known as "CMOs") and other mortgage-
backed securities, as well as asset-backed securities, could be considered
derivative securities, which are securities whose value is derived from other
instruments or assets, because their value is derived from the cash flows from
their underlying assets, such as the mortgages or accounts receivable. The
Balanced Fund may continue to hold current investments in the CMOs that are
included in its portfolio. However, no such additional investments may be
made. The Stable Asset Return Fund invests in certain asset-backed securities,
but does not invest in CMOs or other mortgage-backed securities. See "--Stable
Asset Return Fund--Investment Guidelines and Restrictions and Certain Risk
Factors."
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
American Depositary Receipts (known as "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
Intermediate Bond Fund are invested in the PIMCO Total Return Fund or the
Masterworks Bond Index Fund (or in such other registered investment companies
as State Street may select), 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
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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
forward 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 Price International Stock Fund (or in such other registered
investment companies as State Street may select), all of these registered
investment companies 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. These registered investment companies may
also invest in CMOs and other mortgage-related securities, as well as asset-
backed securities, which could be considered to be derivative securities. The
registered investment companies in which the Intermediate Bond Fund may invest
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 registered
investment companies in which the Intermediate Bond Fund may invest engage in
uncovered short sales, they will maintain asset coverage in the form of liquid
assets in a segregated account. The T. Rowe Price International Stock 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 use by the T. Rowe Price International Stock
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
Instruments could have significantly more of an impact on the T. Rowe Price
International Stock Fund's share price than its weighting in the portfolio.
All of the registered investment companies in which the Funds invest 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. These registered investment companies also may enter into swap
agreements with respect to foreign currencies, interest rates and securities
indices. These registered investment companies 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
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<PAGE>
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.
All of the registered investment companies in which the Funds invest 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 collateralized mortgage obligation 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
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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 Company began business in 1903 as a trust company, became
a commercial bank in 1917 and is now one of the largest commercial banks in
the United States with over 15,000 employees in more than 50 countries. Its
holding company, Bankers Trust 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, 1998, Bankers Trust Company managed approximately $362 billion in
assets for institutional and individual clients worldwide (of which
approximately $281 billion was managed by USIM).
Barclay's Global Investors. Anticipated future advisor to the index portion
of the Intermediate Bond Fund, Barclay's Global Investors is located at 45
Fremont Street, San Francisco, California 94105. As of December 31, 1995,
Wells Fargo Nikko Investment Advisors became a part of Barclay's Global
Investors, 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. Barclay's Global Investors is responsible for managing or providing
investment advice for assets aggregating approximately $615 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 Trust Company, a wholly-owned subsidiary of The Capital Group
Companies, Inc., is a California state chartered trust company incorporated in
1968. Its principal place of business is 333 South Hope Street, Los Angeles,
California 90071. Capital Guardian Trust Company provides investment
management, trust and other fiduciary services to corporate and public
employee benefit accounts, nonprofit organizations and a number of personal
clients. As of December 31, 1998, it had approximately $80 billion in assets
under its management.
Dresdner RCM Global Investors LLC. Advisor to the Growth Equity Fund,
Dresdner RCM Global Investors is the institutional investment management arm
of the Dresdner Bank Group outside of Germany. Dresdner RCM Global Investors
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, 1998, Dresdner RCM Global
Investors had approximately $63 billion of assets under management and
Dresdner RCM Global Investors LLC, the U.S. operation of Dresdner RCM Global
Investors, had approximately $30 billion of assets under management.
Lincoln Capital Management Company. Advisor to the Growth Equity Fund,
Lincoln Capital Management Company is an Illinois sub-chapter S corporation.
Its principal place of business is 200 South Wacker Drive, Chicago, Illinois
60606. As of December 31, 1998, the firm had approximately $63 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
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December 31, 1998, Miller, Anderson & Sherrerd had approximately $62.4 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 Intermediate Bond Fund, Pacific Investment
Management Company ("PIMCO") is an investment management company founded in
1971, and had approximately $159 billion in assets under management as of
December 31, 1998. PIMCO is a subsidiary of PIMCO Advisors L.P. ("PIMCO
Advisors"). The general partners of PIMCO Advisors are PIMCO Partners, G.P.
and PIMCO Advisors Holdings L.P. ("PAH"). PIMCO Partners, G.P. is a general
partnership between PIMCO Holding LLC, a Delaware limited liability company
and an indirect wholly-owned subsidiary of Pacific Life Insurance Company, and
PIMCO Partners LLC, a California limited liability company controlled by
current and former PIMCO Managing Directors. PIMCO Partners, G.P. is the sole
general partner of PAH. PIMCO's address is 840 Newport Center Drive, Suite
300, Newport Beach, California 92660. PIMCO is registered as an investment
advisor with the Securities and Exchange Commission and as a commodity trading
advisor with the Commodity Futures Trading Commission.
Rowe Price-Fleming International, Inc. Anticipated future advisor to the
International Equity Fund, Rowe Price-Fleming International 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, 1998, Rowe Price-Fleming International
managed approximately $33 billion of assets. The common stock of Rowe Price-
Fleming International 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 ("Jardine Matheson"). Subject to regulatory approvals,
Flemings expects to acquire Jardine Matheson's half interest in Jardine
Fleming during the first half of 1999. Upon completion of this transaction,
Flemings will own 100% of Jardine Fleming. Rowe Price-Fleming International's
U.S. office is located at 100 E. Pratt Street, Baltimore, Maryland 21202.
Sanford C. Bernstein & Co., Inc. Advisor to the Value Equity Fund, Sanford
Bernstein & Co. was founded in 1967. As of December 31, 1998, the firm had
approximately $79 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 234 employees currently sharing in the profits, the firm has
a staff of 1,335, including 452 investment professionals.
Sit Investment Associates, Inc. Advisor to the Aggressive Equity Fund, Sit
Investment 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 Investment Associates provides investment
advice, management and related services to mutual funds, tax exempt investors,
taxable investors and individual investors. As of December 31, 1998, Sit
Investment Associates had approximately $7 billion of assets under management.
Eugene C. Sit is the controlling shareholder of Sit Investment 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
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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.
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 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 any of the portfolios of the Structured
Portfolio Service will achieve its investment objective. The portfolios
utilize seven of the Program's Funds: the Stable Asset Return Fund, the
Intermediate Bond Fund, the Value Equity Fund, the Growth Equity Fund, the
Index Equity 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. Short-term securities, which are held in varying
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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>
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
descriptions herein for each particular Fund.
Valuation of Investor's Interest. 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 an 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. See "--Transfers Among Investment Options."
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 Units in
each portfolio in the Structured Portfolio Service is available at (800) 348-
2272.
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Self-Managed Accounts
As an additional Investment Option under the Program, State Street makes
available a Self- Managed Account. The Self-Managed Account is available for
all plans unless the Employer elects not to make it available for its plan. The
Self-Managed Account is not available as an Investment Option for individually
designed plans for which State Street provides aggregate recordkeeping
services. State Street permits investors whose plan includes the Self-Managed
Account as an Investment Option to authorize a third party "investment
manager," as defined in Section 3(38) of ERISA, to trade such investor's Self-
Managed Account. Assets contributed to a Self-Managed Account may be invested
in a wide variety of publicly traded debt and equity securities and mutual
funds through a self-managed brokerage account. Certain investments, such as
options, futures, commodity contracts, foreign securities (other than American
Depositary Receipts), commercial paper, bank investments and insurance
investments, cannot be made in a Self-Managed Account. For more information
regarding the Self-Managed Account, please call (800) 348-2272.
Self-Managed Accounts are not included in the Collective Trust and are not
registered under the Securities Exchange Act. They are described herein for
information purposes only.
Equitable Real Estate Account
Interests in the Equitable Real Estate Account are not registered under the
Securities Exchange Act, 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 the Equitable Real Estate Account. The Equitable Real Estate Account is a
separate account that invests primarily in real estate and is managed by Lend
Lease Real Estate Investments under a contract with Equitable Life. Equitable
Life will continue to hold and invest assets allocated to the Equitable Real
Estate Account until they are withdrawn from the Program or transferred to
another Investment Option available under the Program. Restrictions may 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 Lend Lease Real Estate Investments 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. See "--Additional Information."
Contributions to the Investment Options
Contributions may be allocated to the Funds or to any of the portfolios of
the Structured Portfolio Service on a daily basis and are credited on the day
of receipt if accompanied or preceded by proper allocation instructions. Such
contributions are used to purchase Units of the Funds and the portfolios of the
Structured Portfolio Service based on the relevant per Unit net asset value of
each Fund or the portfolios of the Structured Portfolio Service, as applicable.
Contributions may not be allocated directly to the Self-Managed Account, but
must first be allocated to one or more of the other available Investment
Options and then transferred to the Self-Managed Account.
Transfers Among Investment Options
Transfers may be made among the Funds, the portfolios of the Structured
Portfolio Service and Self-Managed Accounts generally on a daily basis based on
the relevant per Unit net asset value of each
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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 through which they participate. For information regarding the
terms of an individually designed plan, a Participant should contact his or
her Employer.
Additional Information
Persons who are already Employers or who are vested with responsibility for
determining the allocation of assets under a particular plan may obtain
administrative and investment allocation and transfer forms or additional
information by calling State Street at (800) 348-2272 between 9:00 a.m. and
8:00 p.m. Eastern time or by writing to State Street Bank and Trust Company,
P.O. Box 9109, Boston, Massachusetts 02209-9109. Participants may also obtain
such forms from their Employers.
For information regarding enrollment in the Program, Eligible Employers may
call State Street at (800) 826-8901 between 9:00 a.m. and 5:00 p.m. Eastern
time or write to State Street Bank and Trust Company, P.O. Box 2236, Boston,
Massachusetts 02209-9109.
A recorded message providing current account information can be obtained by
calling State Street at (800) 348-2272.
ADOPTION OF PROGRAM
Eligible Employers who elect to participate in the Program may do so either
through their own individually designed plans or by adopting one or both of
the two ABA Members Plans sponsored by ABRA. The ABA Members Plans are master
plans designed to qualify under section 401(a) of the Internal Revenue Code.
Under the American Bar Association Members Retirement Plan, an Eligible
Employer may adopt a profit sharing plan, a money purchase pension plan or a
target benefit plan. The Internal Revenue Service has determined that the
available forms of the ABA Members Plans are qualified under section 401(a) of
the Internal Revenue Code for use by employers for the benefit of their
employees.
To adopt either the American Bar Association Members Defined Benefit Plan or
the American Bar Association Members 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 master plan under the Program and effects the Eligible Employer's
adoption of the American Bar Association Members Retirement Trust to hold
assets of the 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
Internal Revenue Service for a determination of the qualified status of the
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 American Bar
Association Members Pooled Trust for Retirement Plans to be executed by the
trustee of the individually designed plan. Such trustee must demonstrate to
State Street that the participating trust is
36
<PAGE>
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. Only plans qualified
under Section 401(a) of the Internal Revenue Code may participate in the
Program. Eligible Employers should note that, due to certain sections and
regulations of the Internal Revenue Code, limitations are placed on the amount
of assets that may be contributed to the plans, as well as on withdrawals from
the plans.
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
02107-2236.
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, 1998, State Street and its affiliates had a total risk-based capital ratio
of 14.8%, which is far in excess of applicable regulatory requirements. As of
December 31, 1998, State Street together with its affiliates had over
$4.8 trillion of assets in trust or under custody and had over $485 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.
Resolution 2000
State Street Bank and Trust Company, the trustee of the Collective Trust, is
responsible for the operation and management of the Investment Options of the
American Bar Association Members Retirement Program. As a subsidiary of State
Street Corporation, State Street Bank and Trust Company is subject to the
oversight of State Street Corporation and its comprehensive Resolution 2000
program. The Resolution 2000 program is described below.
Program Scope and Oversight. The approaching Year 2000 presents companies in
all industries with many challenges to ensure Year-2000 readiness of their
computer systems and processes. These challenges stem from a once-common
programming standard using two-digit years for date fields contained in
computer programs and related data. Commencing in 1996, State Street
Corporation assessed the impact of the upcoming Year 2000 on its operations
and developed a comprehensive program, Resolution 2000, to address the related
issues. This program covers six major areas of Year-2000 readiness:
information technology infrastructure, global data networks, core application
software, business area supported applications, facilities and third-party
suppliers. Information technology infrastructure, global data networks and
core application software make up what is commonly referred to as information
technology ("IT") systems. More specifically, information technology
infrastructure is the hardware and system software required to support the
core application software, which consists of State Street Corporation's
custody, accounting, deposits, loans, cash management and investment
management systems. Global data networks consist of the wide and local area
networks and telephone/ PBX systems. Business area supported applications are
those desktop applications developed and
37
<PAGE>
supported by non-IT areas, and include office equipment such as fax machines.
Facilities includes the embedded technology used throughout State Street
Corporation's offices: for example, in the uninterupted power supply, fire
alarms, security, and heating and air- conditioning systems. Third-party
suppliers refers to all external parties, including vendors, service
providers, subcustodian banks, counterparties, business partners and
customers, that have the potential to affect State Street Corporation's
ability to deliver Year-2000 ready products and services.
State Street Corporation engaged a consulting firm at the onset of the
Resolution 2000 program to assist in the area of program management, and to
provide professional technical resources to the program as required. This firm
was selected for its recognized leadership in management of large-scale
information technology programs and for its established methodology. This
methodology forms the basis for State Street Corporation's activities, in
conjunction with its consultant, in applying the Resolution 2000 program to
the core application software area. Using this methodology, there is a phased
approach followed that includes identifying and validating an inventory of
potentially date-sensitive items; assigning a business risk rating to each
item; assessing the Year-2000 readiness status of each item; taking corrective
action to renovate, replace, retire, upgrade or outsource to achieve Year-2000
readiness; validating Year-2000 readiness through several levels of testing
(regression, internal and external Year-2000 testing); and developing and
validating business-resumption contingency plans for each critical business
function as required. The methodology and phased approach are being applied to
all other areas of the Resolution 2000 program in performing similar
activities.
A central program management office, global Year-2000 readiness teams and a
corporate oversight structure support the Resolution 2000 program. Program
updates, progress reports and critical matters are regularly communicated to
senior management and to the Board of Directors.
The Resolution 2000 program activities are incorporated into State Street
Corporation's corporate risk-management functions. In addition, these program
activities are subject to reviews, which include internal audits and
regulatory examinations performed by the Federal Reserve Bank.
State Street Corporation has delayed certain IT projects unrelated to Year-
2000 readiness due to resources committed to the Resolution 2000 program. The
impact of these delays is not expected to have a material adverse impact on
State Street Corporation's financial condition or results from operations or
the Program.
State of Readiness. At December 31, 1998, State Street Corporation had
completed the inventory, risk assessments and Year-2000 readiness assessment
work. Both implementation of corrective actions required to achieve Year-2000
readiness, and regression and internal testing to validate Year-2000
readiness, were nearing completion. External testing with key industry
organizations, such as the Federal Reserve Bank, Depository Trust Corporation
and Society for Worldwide Inter-bank Financial Telecommunications (SWIFT),
commenced in the third quarter of 1998, with all tests to date successfully
completed. External testing with subcustodians began in the fourth quarter of
1998 and customer testing will begin in the first quarter of 1999.
Progress as of December 31, 1998 is as follows:
<TABLE>
<CAPTION>
Regression Internal
Testing and Year-
Production 2000
Correction Implementation Testing
---------- -------------- --------
<S> <C> <C> <C>
IT infrastructure............................ 95% 95% 90%
Global data networks......................... 100% 95% 100%
Core application software.................... 95% 90% 75%
Business area supported applications......... 90% 70% 80%
Facilities................................... 55% 55% 55%
</TABLE>
38
<PAGE>
State Street Corporation considers the IT infrastructure work remaining,
consisting of internal Year-2000 testing and production implementation of
certain third-party-provided system software products used in the client
server environments, to be mission critical. A portion of the core application
software work remaining, primarily the internal testing to validate the Year-
2000 readiness, is also considered mission critical. State Street Corporation
currently anticipates that implementation of corrective actions required to
achieve Year-2000 readiness and internal testing to validate Year-2000
readiness will be completed for internal mission-critical systems by March 31,
1999, with remaining systems complete by June 30, 1999. External testing will
be a focus in the first half of 1999 and is expected to be completed in the
third quarter of 1999. State Street Corporation's Year-2000 contingency
planning program is underway, leveraging the strength of State Street
Corporation's business-resumption contingency plans. Year-2000 contingency
plan development is expected to be complete by the second quarter of 1999.
Validation of these plans is expected to be completed in the third quarter of
1999.
Progress at December 31, 1998, related to third-party suppliers, the
readiness of which could affect State Street Corporation's ability to deliver
Year-2000 ready products and services, is as follows:
Internal communications with vendors to obtain information on the Year-2000
readiness status of the products and services provided to State Street
Corporation has been completed. State Street Corporation has substantially
completed development of remediation contingency plans for those products and
services that are considered high-risk. Key vendors were asked to present
updates to State Street Corporation on their Year-2000 readiness programs and
related progress. Year-2000 readiness assessments of key vendors have been
completed and the current and future focus has turned to implementation of
remediation and business-resumption contingency planning.
Year-2000 readiness has been incorporated into State Street Corporation's
existing due diligence procedures performed with business partners and
counterparties. Year-2000 assessments of business partners have been completed
and the focus has turned to implementation of remediation and business-
resumption contingency planning. Year-2000 counterparty assessments are
substantially complete.
Year-2000 readiness has been incorporated into the existing due diligence
procedures for State Street Corporation's subcustodian bank network. In
addition, questionnaires have been sent to the subcustodians focusing on the
adequacy of their Year-2000 readiness programs and implementation plans,
including testing with State Street Corporation. Subcustodian contingency
planning efforts aimed at identifying alternative subcustodian banks in each
of State Street Corporation's markets is complete. Year-2000 readiness testing
began with subcustodians in the fourth quarter of 1998 and is anticipated to
be completed in the third quarter of 1999.
Risks of Year-2000 Issues. State Street Corporation's businesses are
substantially dependent upon its data processing software and hardware
systems, and upon its ability to process information. If State Street
Corporation failed to be Year-2000 ready, as compared to its competitors,
there could be an adverse effect on State Street Corporation's business. In
addition, since State Street Corporation and its subsidiaries are regulated by
federal, state and local banking authorities and securities regulators,
failure to be Year-2000 compliant could subject State Street Corporation to
formal supervisory or enforcement actions, which could have an adverse impact
on State Street Corporation's business. State Street Corporation works with
various third parties, including customers, vendors and intermediaries.
Failure of any key third party to be Year-2000 ready could adversely affect
State Street Corporation's business.
Year-2000 computer system malfunctions could disrupt the administration of
the American Bar Association Members Retirement Program.
Contingency Plans. State Street Corporation cannot control the success of
the Year-2000 readiness program of each third-party supplier. In instances
where the risk of Year-2000 readiness failure is high and there is potential
for State Street Corporation not providing or not receiving a compliant
product,
39
<PAGE>
or if scheduled delivery is beyond an acceptable date, State Street
Corporation will adopt business-resumption contingency plans. To mitigate the
effects of its significant customers', suppliers' or vendors' potential
failure to remediate a Year-2000 issue in a timely manner, State Street
Corporation would take reasonable contingency actions. These may include using
alternative sources of supplies or services, manual workarounds, or other
event management. The ultimate goal in developing contingency plans is to have
an uninterrupted flow of information between State Street Corporation and
third-party providers in the Year 2000 and beyond. State Street Corporation
expects to have business contingency plans in place by the second quarter of
1999. If it becomes necessary for State Street Corporation to take these
corrective actions, it is uncertain, until the contingency plans are
implemented, whether this would result in significant delays in business
operations or have a material adverse effect on State Street Corporation.
Costs. State Street Corporation currently estimates the aggregate cost of
the Resolution 2000 program to be less than 2% of total operating expenses for
the five-year period 1996-2000. As of December 31, 1998, cumulative program
expenditures were $72 million, of which $49 million was incurred during 1998.
Such costs are expensed as incurred and include approximately 400 full-time
staff and consultants, equipment and other expenses. Costs related to the
American Bar Association Members Retirement Program are included in State
Street Corporation's estimate.
AMERICAN BAR RETIREMENT ASSOCIATION
ABRA is an Illinois not-for-profit corporation organized by the American Bar
Association (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 American Bar Association
Members Defined Benefit Plan, the American Bar Association Members Retirement
Plan, the American Bar Association Members Retirement Trust and the American
Bar Association Members Pooled Trust for Retirement Plans, 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, 1999, ABRA has
engaged State Street to provide administrative and investment services and to
make the Investment Options available under the Program for a four-year term.
ABRA may terminate its agreement with State Street prior to the end of its
term upon six months written notice. State Street may terminate its agreement
with ABRA prior to the close of business on December 31, 2002 in certain
circumstances, including the offering to Employers by ABRA of any investment
product that is not offered pursuant to the terms of the agreement. State
Street may terminate its agreement with ABRA at the end of any quarter after
the close of business on or after December 31, 2002 upon twelve months written
notice. ABRA has also appointed State Street as trustee of each of the ABA
Members Trusts.
40
<PAGE>
DEDUCTIONS AND FEES
Program Expense Fee
A fee is paid to State Street and ABRA for their services in connection with
the Program. 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.
For the calendar year ending December 31, 1999, the program expense fee
payable to State Street is $7,450,000. This fee will accrue daily and be
payable monthly. After January 1, 2000, the program expense fee payable to
State Street will be based on the number of participants in the Program as
follows: the monthly fee will be one-twelfth of the sum of (i) $750,000 plus
(ii) $191 multiplied by the number of participants in the Program other than
active participants without account balances as of the last Business Day of
the immediately preceding month, plus (iii) $191 multiplied by the excess, if
any, of the number of active participants of the Program without account
balances over the number of such participants as of December 31, 1998. This
fee will accrue daily and be payable monthly.
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, which has been taken into
account in setting State Street's fees under the Program. The program expense
fee set forth above reflects a $300,000 reduction for earnings attributable to
outstanding benefit checks.
Effective January 1, 1999, the program expense fee payable to ABRA will be
based on the total assets in the Program (other than assets in Self-Managed
Accounts) at the following annual rates:
<TABLE>
<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>
The fee will accrue daily and be payable to ABRA monthly based on the level
of assets in the Program as of the end of the last Business Day of the
preceding month. The fee schedule set forth above may be increased only by
written notification of such increase to all Employers, and shall become
effective after a minimum of 60 days from such notice.
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 and
Equitable Real Estate 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 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>
Aggregate Value of Assets in Aggressive Equity, Balanced,
Growth Equity, Index Equity, Intermediate Bond, International
Equity, Stable Asset Return and Value Equity Funds Rate
------------------------------------------------------------- ----
<S> <C>
First $1.0 billion................................................... .15 %
Next $1.8 billion.................................................... .058
Over $2.8 billion.................................................... .025
</TABLE>
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.
41
<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 Intermediate
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 Intermediate Bond Fund
Allocated to Barclay's Global Investors* Rate
----------------------------------------- ------
<S> <C>
First $.5 million.................................................. .60 %
Next $1.5 million.................................................. .40
Next $48 million................................................... .10
Next $25 million................................................... .06
Over $75 million................................................... .04
<CAPTION>
Value of Assets in
Growth Equity Fund Allocated
to Lincoln Capital Management Company Rate
------------------------------------- ------
<S> <C>
First $20 million.................................................. .4675%
Next $130 million.................................................. .35
Next $350 million.................................................. .25
Next $500 million.................................................. .20
Over $1,000 million................................................ .15
<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
</TABLE>
- --------
* During the time that the assets of the Intermediate 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. See "Description
of Investment Options--Intermediate Bond Fund--Investment Advisors and
Initial Investments in Registered Investment Companies," and "Description of
Investment Options--International Equity Fund--Investment Advisor and
Initial Investments in Registered Investment Companies." In the most recent
periods for which information is available, the PIMCO Total Return Fund paid
total asset management and administration fees of .43%, the Masterworks Bond
Index Fund paid total asset management and administration fees of .23% and
the T. Rowe Price International Stock 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. Program expense fees
and trustee, management and administrative fees are paid by the Funds during
the time that the Funds are invested in such registered investment
companies. Rowe Price-Fleming International has separately agreed that in
return for administrative services provided by State Street with respect to
the International Equity Fund, Rowe Price-Fleming International shall pay
State Street a .10% administrative fee, which is credited to the
International Equity Fund.
42
<PAGE>
<TABLE>
<CAPTION>
Value of Assets in Value
Equity Fund
Allocated to
Sanford Bernstein & Co. 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 Company 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 Global Investors 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
Balanced Fund,
Growth Equity Fund and
Aggressive Equity Fund
Allocated to Capital Guardian Trust Company* Rate
-------------------------------------------- --------
<S> <C>
First $20 million................................................. .50 %
Next $30 million.................................................. .35
Over $50 million.................................................. .225
<CAPTION>
Value of Assets in
Aggressive Equity Fund
Allocated to Sit Investment Associates Rate
-------------------------------------- --------
<S> <C>
First $10 million................................................. 1.00 %
Next $10 million.................................................. .70
Over $20 million.................................................. .60
<CAPTION>
Value of Assets in
International Equity Fund
Allocated to Rowe Price-Fleming International** Rate
----------------------------------------------- --------
<S> <C>
First $20 million................................................. .75 %
Next $30 million.................................................. .60
Over $50 million.................................................. .50
</TABLE>
- --------
* Investment Advisor fees payable to Capital Guardian Trust Company are
subject to a fee reduction equal to 5% of the aggregate Investment Advisor
fee payable to Capital Guardian Trust Company.
** See footnote on page 42.
43
<PAGE>
Organizational Expenses
Expenses incurred in connection with the organization of the Stable Asset
Return Fund, the Intermediate Bond Fund, the Value Equity Fund, the Index
Equity 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 were amortized over the period
beginning September 1995 and ending September 1998.
Fee Recipients
The following information with respect to fees is based on the approximate
assets of the Program on December 31, 1998, which total $3,272,000,000. The
total includes $682,000,000 for the Stable Asset Return Fund, $126,000,000 for
the Intermediate Bond Fund, $417,000,000 for the Balanced Fund, $151,000,000
for the Value Equity Fund, $1,308,000,000 for the Growth Equity Fund,
$212,000,000 for the Index Equity Fund, $302,000,000 for the Aggressive Equity
Fund, $70,000,000 for the International Equity Fund, and $4,000,000 for the
Equitable Real Estate Account. These fees vary based on the size of the Funds.
State Street in its capacity as administrator of the Program and manager of
the Funds would receive fees of $10,111,000 on an annual basis (exclusive of
certain non-recurring fees and the Structured Portfolio Service fee). ABRA
would receive fees of $1,523,000 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 advisory fees would
have been payable: Capital Guardian Trust Company -- $1,618,000 (after an
applicable fee discount of $85,000); Bankers Trust Company -- $124,000;
Lincoln Capital Management -- $981,000; Miller, Anderson & Sherrerd --
$370,000; Dresdner RCM Global Investors -- $1,077,000; Sit Investment
Associates -- $1,004,000; and Sanford Bernstein & Co. -- $472,000. In
addition, based on published fee schedules, the following anticipated
Investment Advisors would have received the following fees from registered
investment companies into which certain funds were invested: PIMCO --
$366,000; Rowe Price-Fleming International -- $595,000 (before credit of a
$70,000 administrative fee paid to the International Equity Fund by Rowe
Price-Fleming International); and Barclay's Global Investors -- $94,000.
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.
44
<PAGE>
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 American Bar Association Members
Retirement Plan, a defined contribution master plan, and the American Bar
Association Members 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 American Bar Association
Members Retirement Trust and the American Bar Association Members Retirement
Pooled Trust for Retirement Plans. 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 American Bar
Association Members Retirement Trust or the American Bar Association Members
Pooled Trust for Retirement Plans. 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 American Bar Association Members Retirement Plan and to employers with
respect to the American Bar Association Members 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 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 American Bar Association Members Retirement Trust and
the American Bar Association Members Pooled Trust for Retirement Plans.
(c) Dividends.
Income or gains on contributions are automatically reinvested in the
respective Funds.
Item 6. Selected Financial Data.
The selected financial data below provide 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 each of
the periods ended December 31 have been derived from financial statements
audited by PricewaterhouseCoopers 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 Report. Per Unit
calculations have been prepared using the monthly average number of Units
outstanding during the period.
45
<PAGE>
Stable Asset Return Fund:*
<TABLE>
<CAPTION>
For the Period
December 5, 1991** Year ended December 31,
to --------------------------------------------------------------------
December 31, 1991 1992 1993 1994 1995 1996 1997 1998
------------------ -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Selected Financial Data
For Each Unit
Outstanding For The
Periods Indicated:
Investment income....... $ .004 $ .042 $ .035 $ .043 $ .061 $ .058 $ .060 $ .060
Expenses................ (.000) (.008) (.008) (.007) (.007) (.007) (.007) (.006)
-------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .004 .034 .027 .036 .054 .051 .053 .054
Reinvestment of net
investment income...... (.004) (.034) (.027) (.036) (.054) (.051) (.053) (.054)
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value at
beginning and end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... -- .79% .75% .73% .73% .68% .68% .61%
Ratio of net investment
income to average net
assets................. -- 3.45% 2.77% 3.55% 5.32% 5.15% 5.38% 5.44%
Net assets at end of
period (in thousands).. $560,334 $589,882 $509,905 $491,979 $630,208 $634,763 $634,565 $679,991
</TABLE>
Intermediate Bond Fund:
<TABLE>
<CAPTION>
For the Period
September 5, 1995** Year ended December 31,
to December 31, --------------------------
1995 1996 1997 1998
------------------- ------- ------- --------
<S> <C> <C> <C> <C>
Selected Financial Data For
Each Unit
Outstanding For The Periods
Indicated:
Investment income.............. $ .34 $ .67 $ .97 $ 1.12
Expenses***.................... (.02) (.06) (.07) (.06)
------- ------- ------- --------
Net investment income.......... .32 .61 .90 1.06
Net realized and unrealized
gain (loss) on investments.... .26 (.30) .12 .02
------- ------- ------- --------
Net increase in unit value..... .58 .31 1.02 1.08
Net asset value at beginning of
period........................ 10.00 10.58 10.89 11.91
------- ------- ------- --------
Net asset value at end of peri-
od............................ $ 10.58 $ 10.89 $ 11.91 $ 12.99
======= ======= ======= ========
Ratio of expenses to average
net assets***................. .69%**** .58% .57% .52%
Ratio of net investment income
to average net assets......... 9.17%**** 5.82% 7.93% 8.50%
Portfolio turnover+............ 2%++ 22% 14% 17%
Total return................... 5.80%++ 2.93% 9.37% 9.07%
Net assets at end of period (in
thousands).................... $36,457 $49,612 $82,734 $127,867
</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.
** Commencement of operations.
*** The registered investment companies in which the Fund invests pay asset
management and administration fees to their investment advisors. These
fees are not included in per Unit expenses or the ratio of expenses to
average net assets. For further information regarding these additional
expenses, see footnote on page 42.
**** 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.
46
<PAGE>
Balanced Fund:*
<TABLE>
<CAPTION>
For the Period Year ended
January 2, 1992** December 31,
to December 31, ----------------------------------------------------------
1992 1993 1994 1995 1996 1997 1998
----------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Selected Financial Data
For Each Unit
Outstanding For The
Periods Indicated:
Investment income....... $ .89 $ 1.00 $ 1.08 $ 1.19 $ 1.30 $ 1.42 $ 1.68
Expenses................ (.25) (.26) (.26) (.29) (.33) (.35) (.35)
-------- -------- -------- -------- -------- -------- --------
Net investment income... .64 .74 .82 .90 .97 1.07 1.33
Net realized and
unrealized gain (loss)
on investments......... (1.56) .82 (.82) 6.07 3.78 6.59 7.44
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... (.92) 1.56 -- 6.97 4.75 7.66 8.77
Net asset value at be-
ginning of period...... 24.40 23.48 25.04 25.04 32.01 36.76 44.42
-------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.48 $ 25.04 $ 25.04 $ 32.01 $ 36.76 $ 44.42 $ 53.19
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.10%*** 1.07% 1.03% 1.00% .96% .84% .72%
Ratio of net investment
income to average net
assets................. 2.82%*** 3.05% 3.32% 3.08% 2.85% 2.62% 2.72%
Portfolio turnover...... 119%**** 153% 113% 155% 181% 122% 209%
Total return............ (3.77)%**** 6.64% 0.00% 27.84% 14.84% 20.84% 19.74%
Net assets at end of
period (in thousands).. $167,242 $193,362 $198,945 $264,526 $295,401 $358,503 $414,662
</TABLE>
Value Equity Fund:
<TABLE>
<CAPTION>
Year ended
For the Period December 31,
September 5 , 1995** ---------------------------
to December 31, 1995 1996 1997 1998
-------------------- ------- -------- --------
<S> <C> <C> <C> <C>
Selected Financial Data For
Each Unit
Outstanding For The Periods
Indicated:
Investment income............ $ .13 $ .40 $ .47 $ .47
Expenses..................... (.04) (.14) (.17) (.17)
------- ------- -------- --------
Net investment income........ .09 .26 .30 .30
Net realized and unrealized
gain on investments......... .84 2.54 4.08 3.12
------- ------- -------- --------
Net increase in unit value... .93 2.80 4.38 3.42
Net asset value at beginning
of period................... 12.00 12.93 15.73 20.11
------- ------- -------- --------
Net asset value at end of pe-
riod........................ $ 12.93 $ 15.73 $ 20.11 $ 23.53
======= ======= ======== ========
Ratio of expenses to average
net assets.................. 1.00%*** .99% .90% .80%
Ratio of net investment in-
come to average net assets.. 2.12%*** 1.85% 1.61% 1.39%
Portfolio turnover........... 4%**** 17% 13% 27%
Total return................. 7.75%**** 21.66% 27.84% 17.01%
Net assets at end of period
(in thousands).............. $20,617 $48,131 $113,103 $150,783
</TABLE>
- --------
* The Balanced Fund changed advisors on June 30, 1997.
** Commencement of operations.
*** Ratios annualized
**** Not annualized.
47
<PAGE>
Growth Equity Fund:*
<TABLE>
<CAPTION>
For the Period Year ended
January 2, 1992** December 31,
to December 31, ------------------------------------------------------------
1992 1993 1994 1995 1996 1997 1998
----------------- -------- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Selected Financial Data
For Each Unit
Outstanding For The
Periods Indicated:
Investment income....... $ 3.20 $ 3.16 $ 3.48 $ 3.88 $ 5.07 $ 4.15 $ 4.27
Expenses................ (1.45) (1.52) (1.60) (1.88) (2.22) (2.60) (2.96)
-------- -------- -------- -------- -------- -------- ----------
Net investment income... 1.75 1.64 1.88 2.00 2.85 1.55 1.31
Net realized and
unrealized gain on
investments............ 3.00 12.99 .61 57.72 46.14 80.01 136.27
-------- -------- -------- -------- -------- -------- ----------
Net increase in unit
value.................. 4.75 14.63 2.49 59.72 48.99 81.56 137.58
Net asset value at
beginning of period.... 147.68 152.43 167.06 169.55 229.27 278.26 359.82
-------- -------- -------- -------- -------- -------- ----------
Net asset value at end
of period.............. $ 152.43 $ 167.06 $ 169.55 $229.27 $ 278.26 $ 359.82 $ 497.40
======== ======== ======== ======== ======== ======== ==========
Ratio of expenses to
average net assets..... 1.01%*** .96% .95% .92% .88% .80% .71%
Ratio of net investment
income to average net
assets................. 1.22%*** 1.03% 1.12% .98% 1.13% .48% .32%
Portfolio turnover...... 46%**** 82% 59% 60% 64% 88% 46%
Total return............ 3.22%**** 9.60% 1.49% 35.23% 21.37% 29.31% 38.24%
Net assets at end of
period (in thousands).. $427,933 $471,398 $479,435 $637,834 $752,798 $967,854 $1,297,827
</TABLE>
Index Equity Fund:+
<TABLE>
<CAPTION>
For the Period Year ended
April 30, 1994** December 31,
to December 31, --------------------------------------
1994 1995 1996 1997 1998
---------------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Selected Financial Data For Each Unit
Outstanding For The Periods Indicated:
Investment income....... $ -- $ .02 $ .28 $ .08 $ .09
Expenses................ (.04) (.08) (.11) (.12) (.14)
------- ------- ------- -------- --------
Net investment income
(loss)................. (.04) (.06) .17 (.04) (.05)
Net realized and
unrealized gain on
investments............ .39 3.68 2.72 5.23 5.15
------- ------- ------- -------- --------
Net increase in unit
value.................. .35 3.62 2.89 5.19 5.10
Net asset value at be-
ginning of period...... 10.00 10.35 13.97 16.86 22.05
------- ------- ------- -------- --------
Net asset value at end
of period.............. $ 10.35 $ 13.97 $ 16.86 $ 22.05 $ 27.15
======= ======= ======= ======== ========
Ratio of expenses to av-
erage net assets....... .94%*** .68 % .69% .62 % .57 %
Ratio of net investment
income (loss) to
average net assets..... (.94)%*** (.52)% 1.15% (.22)% (.20)%
Portfolio turnover++.... 54%**** 132 % 17% 11 % 94 %
Total return............ 3.50%**** 34.98 % 20.68% 30.78 % 23.13 %
Net assets at end of
period (in thousands).. $11,662 $48,020 $82,881 $153,709 $210,324
</TABLE>
- --------
* The Growth Equity Fund changed advisors in June 1997.
** Commencement of operations.
*** Ratios annualized.
**** Not annualized.
+ 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 Standard & Poor's 500 Composite 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.
48
<PAGE>
Aggressive Equity Fund:
<TABLE>
<CAPTION>
For the Period
January 2, Year ended
1992* to December 31,
December 31, ---------------------------------------------------------------
1992 1993 1994 1995 1996 1997 1998
-------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Selected Financial Data
For Each Unit
Outstanding For The
Periods Indicated:
Investment income....... $ .30 $ .25 $ .28 $ .32 $ .36 $ .39 $ .35
Expenses................ (.26) (.28) (.28) (.32) (.39) (.45) (.46)
-------- -------- -------- -------- -------- -------- --------
Net investment income
(loss)................. .04 (.03) -- -- (.03) (.06) (.11)
Net realized and
unrealized gain (loss)
on investments......... 1.43 3.60 (1.00) 7.81 7.47 7.64 2.99
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 1.47 3.57 (1.00) 7.81 7.44 7.58 2.88
Net asset value at
beginning of period.... 21.72 23.19 26.76 25.76 33.57 41.01 48.59
-------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.19 $ 26.76 $ 25.76 $ 33.57 $ 41.01 $ 48.59 $ 51.47
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.25 %** 1.15 % 1.10 % 1.10 % 1.04 % .98 % .93 %
Ratio of net investment
income (loss) to
average net assets..... .17 %** (.12)% .02 % .01 % (.06)% (.11)% (.21)%
Portfolio turnover...... 43 %*** 42 % 48 % 63 % 48 % 36 % 55 %
Total return............ 6.77 %*** 15.39 % (3.74)% 30.32 % 22.16 % 18.48 % 5.93 %
Net assets at end of
period (in thousands).. $116,426 $153,465 $163,678 $214,539 $275,915 $331,940 $298,855
</TABLE>
International Equity Fund:
<TABLE>
<CAPTION>
For the Period
September 5, 1995* Year ended December 31,
to ---------------------------
December 31, 1995 1996 1997 1998
------------------ ------- ------- -------
<S> <C> <C> <C> <C>
Selected Financial Data For
Each Unit Outstanding For
The Periods Indicated:
Investment income............ $ .49 $ .70 $ 1.12 $ .82
Expenses+.................... (.03) (.10) (.10) (.10)
------- ------- ------- -------
Net investment income........ .46 .60 1.02 .72
Net realized and unrealized
gain (loss) on investments.. (.09) 1.83 (.61) 2.14
------- ------- ------- -------
Net increase in unit value... .37 2.43 .41 2.86
Net asset value at beginning
of period................... 15.00 15.37 17.80 18.21
------- ------- ------- -------
Net asset value at end of
period...................... $ 15.37 $ 17.80 $ 18.21 $ 21.07
======= ======= ======= =======
Ratio of expenses to average
net assets+................. .57 %** .59 % .54 % .48 %
Ratio of net investment
income to average net
assets...................... 9.2 %** 3.58 % 5.41 % 3.63 %
Portfolio turnover++......... 4 %*** 73 % 101 % 122 %
Total return................. 2.47 %*** 15.81 % 2.30 % 15.71 %
Net assets at end of period
(in thousands).............. $10,849 $33,268 $58,997 $69,575
</TABLE>
- --------
* Commencement of operations.
** Ratios annualized.
*** Not annualized.
+ The registered investment company in which the Fund invests pays asset
management and administration fees to its investment advisor. This fee is
not included in per Unit expenses or the ratio of expenses to average net
assets. For further information regarding these additional expenses, see
the footnote on page 42.
++ 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.
49
<PAGE>
Structured Portfolio Service--Conservative Portfolio
<TABLE>
<CAPTION>
For the Period Year ended December 31,
September 5, 1995* ---------------------------
to December 31, 1995 1996 1997 1998
-------------------- ------- ------- -------
<S> <C> <C> <C> <C>
Selected Financial Data for
each Unit Outstanding For
The Periods Indicated:
Investment income.......... $ .001 $ -- $ -- $ --
Expenses................... (.003) (.01) (.01) (.01)
------ ------- ------- -------
Net investment loss........ (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments....... .472 1.00 1.52 1.73
------ ------- ------- -------
Net increase in unit value. .47 .99 1.51 1.72
Net asset value at begin-
ning of period............ 10.00 10.47 11.46 12.97
------ ------- ------- -------
Net asset value at end of
period.................... $10.47 $ 11.46 $ 12.97 $ 14.69
====== ======= ======= =======
Ratio of expenses to aver-
age net assets............ .09 %** .10 % .09 % .08 %
Ratio of net investment
loss to average net
assets.................... (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***...... 3 %**** 34 % 33 % 57 %
Total return............... 4.70 %**** 9.46 % 13.18 % 13.26 %
Net assets at end of period
(in thousands)............ $5,372 $11,201 $17,228 $22,731
</TABLE>
Structured Portfolio Service--Moderate Portfolio
<TABLE>
<CAPTION>
For the Period Year ended December 31,
September 5, 1995* ---------------------------
to December 31, 1995 1996 1997 1998
-------------------- ------- ------- -------
<S> <C> <C> <C> <C>
Selected Financial Data for
each Unit Outstanding For
The Periods Indicated:
Investment income.......... $ .001 $ -- $ -- $ --
Expenses................... (.003) (.01) (.01) (.01)
------- ------- ------- -------
Net investment loss........ (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments....... .542 1.40 2.01 2.43
------- ------- ------- -------
Net increase in unit value. .54 1.39 2.00 2.42
Net asset value at begin-
ning of period............ 10.00 10.54 11.93 13.93
------- ------- ------- -------
Net asset value at end of
period.................... $ 10.54 $ 11.93 $ 13.93 $ 16.35
======= ======= ======= =======
Ratio of expenses to aver-
age net assets............ .09 %** .10 % .09 % .08 %
Ratio of net investment
loss to average net
assets.................... (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***...... 4 %**** 27 % 18 % 31 %
Total return............... 5.40 %**** 13.19 % 16.76 % 17.37 %
Net assets at end of period
(in thousands)............ $12,379 $32,617 $66,095 $84,346
</TABLE>
- --------
*Commencement of operations.
** 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.
50
<PAGE>
Structured Portfolio Service--Aggressive Portfolio
<TABLE>
<CAPTION>
For the Period Year ended December 31,
September 5, 1995* ---------------------------
to December 31, 1995 1996 1997 1998
-------------------- ------- ------- -------
<S> <C> <C> <C> <C>
Selected Financial Data for
each Unit Outstanding For
The Periods Indicated:
Investment income.......... $ .001 $ -- $ -- $ --
Expenses................... (.003) (.01) (.01) (.01)
------ ------- ------- -------
Net investment loss........ (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments....... .572 1.85 2.51 3.02
------ ------- ------- -------
Net increase in unit value. .57 1.84 2.50 3.01
Net asset value at begin-
ning of period............ 10.00 10.57 12.41 14.91
------ ------- ------- -------
Net asset value at end of
period.................... $10.57 $ 12.41 $ 14.91 $ 17.92
====== ======= ======= =======
Ratio of expenses to aver-
age net assets............ .09 %** .10 % .09 % .08 %
Ratio of net investment
loss to average net as-
sets...................... (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***...... 3 %**** 28 % 18 % 26 %
Total return............... 5.70 %**** 17.41 % 20.15 % 20.19 %
Net assets at end of period
(in thousands)............ $9,999 $25,558 $51,868 $66,845
</TABLE>
- --------
* Commencement of operations.
** 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.
51
<PAGE>
Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations
Overview
The domestic equity market had a volatile year in 1998. A good first quarter
was followed by a flat second quarter, a third quarter that had significant
losses and a fourth quarter with the strongest quarterly returns in over twenty
years. As has been the case for the past several years, large capitalization
stocks outperformed small capitalization stocks and growth style investing did
considerably better than value investing. Technology stocks had the strongest
returns followed by health care and utilities. The materials and processing
sector along with energy had negative returns. In the domestic bond market, the
yield curve shifted down as investors sought the safety of bonds, especially
U.S. Treasuries. The international markets finished mixed with the established
markets showing positive returns and emerging markets having negative returns.
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, 1998 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 5.93%. By comparison, the
Russell 2000 Index produced a total return of (2.55)% 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 most heavily weighted sectors in the Aggressive Equity Fund were
electronics, business services and health care. Securities representing the
largest holdings based on market value in the Aggressive Equity Fund at
December 31, 1998 included Legato Systems Inc., Biogen Inc., Elan PLC, Staples
Inc. and Kohls Corporation.
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 ended December 31, 1998, the
Balanced Fund experienced a total return, net of Expenses, of 19.74%. For the
same period, a combination of the Russell 1000 Index and the Lehman Brothers
Aggregate Bond Index weighted 60/40%, respectively, produced a total return of
19.69%. The Russell 1000 Index and the Lehman Brothers 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.
The most heavily weighted sectors in the equity portion of the Balanced Fund
were electronics, health care and financial services. Securities representing
the largest equity holdings based on market value in the Balanced Fund at
December 31, 1998 included Pfizer, Inc., SLM Holding Corp., Applied Materials,
Inc., Citigroup Inc. and Exel Limited. The fixed income portion was heavily
invested in government agency mortgage-related issues.
52
<PAGE>
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
(approximately 25%) is 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 is 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, 1998, the Growth Equity Fund experienced a
total return, net of Expenses, of 38.24%. By comparison, the Russell 1000
Growth Index produced a return of 38.71% 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 most heavily weighted sectors in the Growth Equity Fund were health care,
computers and electronics. Securities representing the largest holdings based
on market value in the Growth Equity Fund at December 31, 1998 included General
Electric Company, Pfizer, Inc., Microsoft Corp., Intel Corp. and Cisco Systems,
Inc.
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 large capitalization 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, 1998 of 23.13%. By comparison, the Russell 3000 Index produced a
return of 24.14% for the same period. The Russell 3000 Index does not include
any allowance for the fees that an investor would pay for investing in the
stocks that comprise the index.
Intermediate Bond Fund
The Intermediate Bond Fund's investment objective is to achieve a total
return from current income and capital appreciation by investing primarily in a
diversified portfolio of fixed income securities. A portion of the Intermediate
Bond Fund (approximately two-thirds) is actively managed, investing in fixed
income securities with a portfolio duration generally from three to six years.
The remaining portion (approximately one-third) of the Intermediate Bond Fund
is invested to replicate the Lehman Brothers Government/Corporate 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 to $150 million, and $200 million,
respectively), two-thirds of all contributions to the Fund will be, subject to
review by State Street, invested in the PIMCO Total Return Fund and the
remaining one-third will be, subject to review by State Street, invested in the
Masterworks Bond Index Fund.
53
<PAGE>
For the year ended December 31, 1998, the Intermediate Bond Fund experienced
a total return, net of Expenses, of 9.07%. As a comparison, the Lehman Brothers
Aggregate Bond Index produced a return of 8.69% for the same period. The Lehman
Brothers 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.
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, 1998, the International Equity Fund
experienced a total return, net of Expenses, of 15.71%. 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 14.26%. 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.
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.
For the year ended December 31, 1998, the Stable Asset Return Fund produced a
return, net of Expenses, of 5.59%. By comparison, the Donoghue Money Market
Fund "Tier One" Average (the "Donoghue Average") for the same period was 4.98%.
The Fund's strong performance relative to the Donoghue Average is partly
attributable to the longer average maturity of the Fund's portfolio.
Value Equity Fund
The Value Equity Fund seeks to outperform, over extended periods of time,
broad measures of the domestic stock market. The Value Equity Fund invests
primarily in common stocks of companies that State Street and its Investment
Advisor consider undervalued.
For the year ended December 31, 1998, the Value Equity Fund experienced a
total return, net of Expenses, of 17.01%. By comparison, the Russell 1000 Value
Index produced a return of 15.63% 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.
The most heavily weighted sectors in the Value Equity Fund were health care,
insurance and computers. Securities representing the largest holdings based on
market value in the Value Equity Fund at December 31, 1998 included
International Business Machines, Microsoft Corp., General Electric Company,
Phillip Morris Companies and Johnson & Johnson Inc.
54
<PAGE>
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, 1998, the Structured Portfolio Service
experienced a total return, net of Expenses, of 13.26% for the Conservative
Portfolio, 17.37% for the Moderate Portfolio, and 20.19% for the Aggressive
Portfolio.
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.
55
<PAGE>
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 48,
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.
Beth M. Halberstadt. Ms. Halberstadt 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 September 1996 to January
1999, Ms. Halberstadt, age 34, was Vice President and Client Service Manager
in Retirement Investment Services, a part of State Street Global Advisors, a
division of State Street. From 1988 to 1996, Ms. Halberstadt was employed by
Watson Wyatt as a defined contribution consultant advising on 401(k), ESOP,
non-qualified and stock purchase plan issues.
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 41, 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 American Bar Association
Members Retirement Trust and the American Bar Association Members Pooled Trust
for Retirement Plans, 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.
56
<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, 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, 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, Third Amended Fund Declaration, dated as of January
1, 1999, for the Stable Asset Return Fund, included as
Exhibit 3.3 to Pre-Effective Amendment No. 1 to Registrant's
Registration Statement on Form S-1 No. 333-69427 and
incorporated herein by reference thereto.
3.4 American Bar Association Members/State Street Collective
Trust, Second Amended and Restated Fund Declaration, dated
as of January 1, 1999, for the Intermediate Bond Fund,
included as Exhibit 3.4 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 333-
69427 and incorporated herein by reference thereto.
3.5 American Bar Association Members/State Street Collective
Trust, Third Amended and Restated Fund Declaration, dated as
of January 1, 1999, for the Balanced Fund, included as
Exhibit 3.5 to Pre-Effective Amendment No. 1 to Registrant's
Registration Statement on Form S-1 No. 333-69427 and
incorporated herein by reference thereto.
3.6 American Bar Association Members/State Street Collective
Trust, Second Amended and Restated Fund Declaration, dated
as of January 1, 1999, for the Value Equity Fund, included
as Exhibit 3.6 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 333-
69427 and incorporated herein by reference thereto.
3.7 American Bar Association Members/State Street Collective
Trust, Third Amended and Restated Fund Declaration, dated as
of January 1, 1999, for the Growth Equity Fund, included as
Exhibit 3.7 to Pre-Effective Amendment No. 1 to Registrant's
Registration Statement on Form S-1 No. 333-69427 and
incorporated herein by reference thereto.
</TABLE>
57
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
3.8 American Bar Association Members/State Street Collective
Trust, Third Amended and Restated Fund Declaration, dated as
of January 1, 1999, for the Index Equity Fund, included as
Exhibit 3.8 to Pre-Effective Amendment No. 1 to Registrant's
Registration Statement on Form S-1 No. 333-69427 and
incorporated herein by reference thereto.
3.9 American Bar Association Members/State Street Collective
Trust, Third Amended and Restated Fund Declaration, dated as
of January 1, 1999, for the Aggressive Equity Fund, included
as Exhibit 3.9 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 333-
69427 and incorporated herein by reference thereto.
3.10 American Bar Association Members/State Street Collective
Trust, Second Amended and Restated Fund Declaration, dated
as of January 1, 1999, for the International Equity Fund,
included as Exhibit 3.10 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 333-
69427 and incorporated herein by reference thereto.
3.11 American Bar Association Members/State Street Collective
Trust, First Amended and Restated Fund Declaration, dated as
of January 1, 1999, for the Structured Portfolio Service,
included as Exhibit 3.11 to Pre-Effective Amendment No. 1 to
Registrant's Registration Statement on Form S-1 No. 333-
69427 and incorporated herein by reference thereto.
4.1 American Bar Association Members/State Street Collective
Trust, Declaration of Trust and Fund Declaration for each
Fund and the Structured Portfolio Service, included in
Exhibits No. 3.1 through 3.11 above.
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.
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, as approved by the Internal Revenue Service
on December 16, 1996, included as Exhibit 10.5 to Pre-
Effective Amendment No. 1 to the Registrant's Registration
Statement on Form S-1 No. 333-23633 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.
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
10.7 Administrative and Investment Services Agreement effective
January 1, 1999, between State Street Bank and Trust Company
and the American Bar Retirement Association, included as
Exhibit 10.7 to Registrant's Registration Statement on Form
S-1 No. 333-69427 and incorporated herein by reference
thereto.
10.8 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.
10.9 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.
10.10 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 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.
10.11 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.
10.12 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.
10.13 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.
10.14 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.
10.15 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.
10.16 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.
10.17 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.
</TABLE>
59
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
24.1* Power of Attorney.
27.1* Financial Data Schedule--Aggressive Equity Fund
27.2* Financial Data Schedule--Balanced Fund
27.3* Financial Data Schedule--Growth Equity Fund
27.4* Financial Data Schedule--Index Equity Fund
27.5* Financial Data Schedule--Intermediate Bond Fund
27.6* Financial Data Schedule--International Equity Fund
27.7* Financial Data Schedule--Stable Asset Return Fund
27.8* Financial Data Schedule--Value Equity Fund
27.9* Financial Data Schedule--Structured Portfolio Service
Conservative Portfolio
27.10* Financial Data Schedule--Structured Portfolio Service
Moderate Portfolio
27.11* Financial Data Schedule--Structured Portfolio Service
Aggressive Portfolio
</TABLE>
- --------
* Filed herewith
60
<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 in the City of
Boston, Commonwealth of Massachusetts, on March 29, 1999.
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
By: /s/ James S. Phalen
------------------------------------
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.
<TABLE>
<S> <C>
Signature Title Date
/s/ James S. Phalen President and Chief March 29, 1999
- ------------------------------------ Executive Officer of
James S. Phalen the American Bar
Association
Members/State Street
Collective Trust
(Principal Executive
Officer)
/s/ Beth M. Halberstadt Vice President and March 29, 1999
- ------------------------------------ Chief Financial
Beth M. Halberstadt Officer of the
American Bar
Association
Members/State Street
Collective Trust
(Principal Financial
Officer)
/s/ Susan C. Daniels Treasurer and Chief March 29, 1999
- ------------------------------------ Accounting Officer
Susan C. Daniels of the American Bar
Association
Members/State Street
Collective Trust
(Principal
Accounting Officer)
* Director of State March 29, 1999
- ------------------------------------ Street Bank and
Tenley E. Albright Trust Company
* Director of State March 29, 1999
- ------------------------------------ Street Bank and
I. MacAllister Booth Trust Company
* Director of State March 29, 1999
Street Bank and
- ------------------------------------ Trust Company
Marshall N. Carter
</TABLE>
61
<PAGE>
<TABLE>
<S> <C>
Signature Title
Date
Director of State
- ------------------------------------- Street Bank and Trust
James I. Cash, Jr. Company
Director of State
- ------------------------------------- Street Bank and Trust
Truman S. Casner Company
Director of State
- ------------------------------------- Street Bank and Trust
Nader F. Darehshori Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
Arthur L. Goldstein Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
David P. Gruber Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
Charles F. Kaye Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
John M. Kucharski Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
Charles R. LaMantia Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
David B. Perini Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
Dennis J. Picard Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
David A. Spina Company
* Director of State March 29, 1999
- ------------------------------------- Street Bank and Trust
Diana Chapman Walsh Company
/s/ Nicholas A. Lopardo
*By _________________________________
Name: Nicholas A. Lopardo-
Attorney-in-Fact
/s/ Maureen Scannell Bateman
*By _________________________________
Name: Maureen Scannell Bateman
Attorney-in-Fact
</TABLE>
62
<PAGE>
American Bar Association Members/State Street Collective Trust
Index to Financial Statements
December 31, 1998
<TABLE>
<CAPTION>
Page(s)
-------
<S> <C>
Report of Independent Accountants....................................... F-3
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-36
Statement of Operations............................................... F-37
Statement of Changes in Net Assets.................................... F-38
Selected Per-Unit Data and Ratios..................................... F-39
Schedule of Investments............................................... F-40
Index Equity Fund
Statement of Assets and Liabilities................................... F-60
Statement of Operations............................................... F-61
Statement of Changes in Net Assets.................................... F-62
Selected Per-Unit Data and Ratios..................................... F-63
Intermediate Bond Fund
Statement of Assets and Liabilities................................... F-64
Statement of Operations............................................... F-65
Statement of Changes in Net Assets.................................... F-66
Selected Per-Unit Data and Ratios..................................... F-67
International Equity Fund
Statement of Assets and Liabilities................................... F-68
Statement of Operations............................................... F-69
Statement of Changes in Net Assets.................................... F-70
Selected Per-Unit Data and Ratios..................................... F-71
Stable Asset Return Fund
Statement of Assets and Liabilities................................... F-72
Statement of Operations............................................... F-73
Statement of Changes in Net Assets.................................... F-74
Selected Per-Unit Data and Ratios..................................... F-75
Schedule of Investments............................................... F-76
</TABLE>
F-1
<PAGE>
American Bar Association Members/State Street Collective Trust
Index to Financial Statements
<TABLE>
<CAPTION>
Page(s)
-------
<S> <C>
Value Equity Fund
Statement of Assets and Liabilities................................... F-78
Statement of Operations............................................... F-79
Statement of Changes in Net Assets.................................... F-80
Selected Per-Unit Data and Ratios..................................... F-81
Schedule of Investments............................................... F-82
Conservative Structured Portfolio Service
Statement of Assets and Liabilities................................... F-91
Statement of Operations............................................... F-92
Statement of Changes in Net Assets.................................... F-93
Selected Per-Unit Data and Ratios..................................... F-94
Moderate Structured Portfolio Service
Statement of Assets and Liabilities................................... F-95
Statement of Operations............................................... F-96
Statement of Changes in Net Assets.................................... F-97
Selected Per-Unit Data and Ratios..................................... F-98
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities................................... F-99
Statement of Operations............................................... F-100
Statement of Changes in Net Assets.................................... F-101
Selected Per-Unit Data and Ratios..................................... F-102
Notes to Financial Statements........................................... F-103
</TABLE>
F-2
<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, Index Equity Fund,
Intermediate Bond Fund, International Equity Fund, Stable Asset Return 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, 1998, 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, 1998 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
March 18, 1999
F-3
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value (cost $253,845,114)......................... $302,067,228
Cash.............................................................. 1,722
Receivable for investments sold................................... 1,312,934
Dividends and interest receivable................................. 218,254
Deferred registration fees........................................ 48,625
------------
Total Assets.................................................... 303,648,763
------------
Liabilities
Payable for investments purchased................................. 1,668,179
Payable for fund units redeemed................................... 2,726,759
Investment advisory fee payable................................... 255,131
State Street Bank and Trust Company--program fee payable.......... 74,959
Trustee, management and administration fees payable............... 24,813
American Bar Retirement Association--program fee payable.......... 11,441
Other accruals.................................................... 32,618
------------
Total Liabilities............................................... 4,793,900
------------
Net assets (equivalent to $51.47 per unit based on 5,806,015 units
outstanding)..................................................... $298,854,863
============
</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
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $533).................. $ 1,533,498
Interest........................................................ 722,891
------------
Total investment income....................................... 2,256,389
------------
Expenses
Investment advisory fee......................................... 1,369,864
State Street Bank and Trust Company--program fee................ 1,005,107
Trustee, management and administration fees..................... 215,244
American Bar Retirement Association--program fee................ 146,558
Amortization of organization costs.............................. 53,124
Reports to unitholders.......................................... 48,922
Legal and audit fees............................................ 37,586
Registration fee................................................ 24,608
Other expenses.................................................. 8,949
------------
Total expenses................................................ 2,909,962
------------
Net investment loss............................................... (653,573)
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 48,992,164
Change in net unrealized appreciation........................... (30,905,910)
------------
Net realized and unrealized gain on investments............... 18,086,254
------------
Net increase in net assets resulting from operations.............. $ 17,432,681
============
</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 1998
------------ ------------
<S> <C> <C>
From operations
Net investment loss.............................. $ (353,509) $ (653,573)
Net realized gain on investments................. 39,709,808 48,992,164
Net change in unrealized appreciation on invest-
ments........................................... 12,757,570 (30,905,910)
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 52,113,869 17,432,681
------------ ------------
From unitholder transactions
Proceeds from units issued....................... 41,120,394 24,065,736
Cost of units redeemed........................... (37,210,143) (74,583,142)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... 3,910,251 (50,517,406)
------------ ------------
Net increase (decrease) in net assets.......... 56,024,120 (33,084,725)
Net Assets
Beginning of year................................ 275,915,468 331,939,588
------------ ------------
End of year...................................... $331,939,588 $298,854,863
============ ============
Number of units
Outstanding--beginning of year................... 6,727,703 6,831,480
Sold........................................... 920,581 485,136
Redeemed....................................... (816,804) (1,510,601)
------------ ------------
Outstanding--end of year......................... 6,831,480 5,806,015
============ ============
</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 year ended December 31,
--------------------------------------------------------------
For the period
January 2, 1992
(Commencement
of Operations) to
December 31,
1992 1993 1994 1995 1996 1997 1998
----------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .30 $ .25 $ .28 $ .32 $ .36 $ .39 $ .35
Expenses................ (.26) (.28) (.28) (.32) (.39) (.45) (.46)
-------- -------- -------- -------- -------- -------- --------
Net investment income
(loss)................. .04 (.03) -- -- (.03) (.06) (.11)
Net realized and
unrealized gain (loss)
on investments......... 1.43 3.60 (1.00) 7.81 7.47 7.64 2.99
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 1.47 3.57 (1.00) 7.81 7.44 7.58 2.88
Net asset value at be-
ginning of period...... 21.72 23.19 26.76 25.76 33.57 41.01 48.59
-------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.19 $ 26.76 $ 25.76 $ 33.57 $ 41.01 $ 48.59 $ 51.47
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.25%*** 1.15% 1.10 % 1.10% 1.04 % .98 % .93 %
Ratio of net investment
income (loss) to
average net assets..... .17%*** (.12)% .02 % .01% (.06)% (.11)% (.21)%
Portfolio turnover...... 43%** 42% 48 % 63% 48 % 36 % 55 %
Total return............ 6.77%** 15.39% (3.74)% 30.32% 22.16 % 18.48 % 5.93 %
-- --
Net assets at end of pe-
riod (in thousands).... $116,426 $153,465 $163,678 $214,539 $275,915 $331,940 $298,855
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the year.
** 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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
COMMON STOCK (90.6%)
BASIC INDUSTRIES (3.6%)
Chemicals (1.9%)
H.B. Fuller Co. ........................................ 30,000 $ 1,443,750
OM Group Inc. .......................................... 42,000 1,533,000
RPM Inc. ............................................... 48,593 777,488
Sterling Commerce Inc.*................................. 39,500 1,777,500
--------------
5,531,738
--------------
Paper (1.0%)
Caraustar Industries Inc. .............................. 53,000 1,513,812
Pentair Inc. ........................................... 40,000 1,592,500
--------------
3,106,312
--------------
Plastics (0.7%)
Advanced Energy Industries Inc.*........................ 83,000 2,075,000
--------------
TOTAL BASIC INDUSTRIES.................................. 10,713,050
--------------
CAPITAL GOODS (5.1%)
Agricultural Machinery (0.3%)
Delta & Pine Land Co. .................................. 25,500 943,500
--------------
Building Construction (0.3%)
Building One Services Corporation*...................... 41,500 866,313
--------------
Electrical Equipment (1.7%)
Jabil Circuit Inc.*..................................... 46,000 3,432,750
Kulicke & Soffa Industries*............................. 85,000 1,508,750
--------------
4,941,500
--------------
Industrial Machinery (2.2%)
AAR Corp. .............................................. 36,000 859,500
Alyn Corporation*....................................... 116,800 496,400
Crane Co. .............................................. 57,750 1,743,328
Integrated Process Equipment Corp.*..................... 45,000 483,750
Kennametal Inc. ........................................ 66,000 1,402,500
NN Ball & Roller Inc. .................................. 112,700 662,113
US Filter Corp.*........................................ 43,500 995,062
--------------
6,642,653
--------------
Miscellaneous (0.3%)
Silicon Valley Group Inc. .............................. 75,000 956,250
--------------
Pollution Control (0.3%)
Eastern Environmental Services Inc. .................... 28,000 829,500
--------------
TOTAL CAPITAL GOODS..................................... 15,179,716
--------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
CONSUMER BASICS (10.2%)
Drugs & Health Care (7.8%)
Apria Healthcare Group Inc.*............................ 83,800 $ 748,963
Becton Dickinson & Co. ................................. 69,000 2,945,437
Biogen Inc.*............................................ 81,000 6,723,000
Cardiac Pathways Corporation*........................... 8,000 34,000
Cardinal Health Inc. ................................... 21,000 1,593,375
Corporate Therapeutics Inc.*............................ 60,000 795,000
Genzyme Corp. .......................................... 34,000 1,691,500
Gilead Sciences Inc.*................................... 66,500 2,730,656
Healthsouth Rehabilitation*............................. 118,000 1,821,625
Immune Response Corp.*.................................. 137,700 1,497,488
Immunex Corp.*.......................................... 8,500 1,069,406
KOS Pharmaceuticals Inc*................................ 167,000 981,125
Millennium Pharmaceuticals*............................. 26,600 688,275
--------------
23,319,850
--------------
Food & Beverages (1.1%)
Ben & Jerry's Homemade Inc.*............................ 50,000 1,118,750
Fresh Del Monte Produce................................. 49,000 1,062,687
Ionics Inc.*............................................ 31,300 937,044
--------------
3,118,481
--------------
Household Products (1.3%)
Clorox Co. ............................................. 19,000 2,219,437
Dial Corp. ............................................. 45,500 1,313,813
USA Detergents Inc.*.................................... 58,000 420,500
--------------
3,953,750
--------------
TOTAL CONSUMER BASICS................................... 30,392,081
--------------
CONSUMER DURABLE GOODS (3.1%)
Automobiles (1.1%)
Harley Davidson Inc. ................................... 70,500 3,339,937
--------------
Auto Parts (0.7%)
Borg Warner Automotive Inc. ............................ 24,800 1,384,150
Standard Products Co. .................................. 34,400 700,900
Walbro Corp. ........................................... 3,900 24,863
--------------
2,109,913
--------------
Household Appliances & Home Furnishings (0.8%)
Harman International Industries Inc. ................... 20,000 762,500
Libbey Inc. ............................................ 56,000 1,620,500
--------------
2,383,000
--------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
Tires & Rubber (0.5%)
Bandag Inc. ............................................ 39,000 $ 1,557,563
--------------
TOTAL CONSUMER DURABLE GOODS............................ 9,390,413
--------------
CONSUMER NON-DURABLES (6.5%)
Apparel & Textiles (0.4%)
Novel Denim Holdings Limited............................ 58,000 1,232,500
--------------
Cosmetics & Toiletries (1.0%)
Estee Lauder Cos., Inc. ................................ 34,000 2,907,000
Paragon Trade Brands Inc.*.............................. 76,900 163,412
--------------
3,070,412
--------------
Liquor (0.2%)
Robert Mondavi Corp.*................................... 16,500 674,438
--------------
Photography (0.4%)
Optical Coating Laboratory Inc. ........................ 40,000 1,040,000
--------------
Retail Trade (4.5%)
Kohls Corp.*............................................ 79,000 4,853,563
Micro Warehouse Inc.*................................... 23,000 777,688
Nine West Group Inc. ................................... 38,100 592,931
Saks Incorporated*...................................... 50,500 1,593,906
Staples Inc.*........................................... 129,000 5,635,687
--------------
13,453,775
--------------
TOTAL CONSUMER NON-DURABLES............................. 19,471,125
--------------
CONSUMER SERVICES (2.4%)
Air Travel (0.7%)
America West Holding Corp.*............................. 74,800 1,271,600
Continental Airlines Inc.*.............................. 13,000 435,500
Midway Airls Corporation*............................... 44,900 538,800
--------------
2,245,900
--------------
Hotels & Restaurants (0.7%)
Rio Hotel & Casino Inc.*................................ 42,300 671,513
Ruby Tuesday Inc. ...................................... 56,400 1,198,500
Sizzler International Inc. ............................. 69,500 156,375
--------------
2,026,388
--------------
Leisure Time (1.0%)
Ascent Entertainment Group Inc.*........................ 97,637 720,073
CNET Inc. .............................................. 17,000 931,812
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
Westwood One Inc.*...................................... 40,000 $ 1,220,000
--------------
2,871,885
--------------
TOTAL CONSUMER SERVICE.................................. 7,144,173
--------------
CORPORATE (0.5%)
Other Utilities (0.5%)
Sportsline USA Inc*..................................... 12,300 191,419
White Capital Inds Corporation*......................... 77,400 1,180,350
--------------
TOTAL CORPORATE......................................... 1,371,769
--------------
ENERGY (1.7%)
Domestic Oil (0.2%)
Pogo Producing Co. ..................................... 45,000 585,000
--------------
Gas Exploration (1.1%)
BJ Services Co.*........................................ 34,100 532,813
Energen Corp. .......................................... 65,000 1,267,500
Valero Energy Corp. .................................... 44,000 935,000
Vintage Petroleum Inc. ................................. 74,600 643,425
--------------
3,378,738
--------------
Petroleum Services (0.4%)
Transocean Offshore Inc. ............................... 44,100 1,182,431
--------------
TOTAL ENERGY 5,146,169
--------------
FINANCE (7.1%)
Banks (2.4%)
Banco Santander Prior San Juan.......................... 21,500 471,656
Bank United Corp. ...................................... 44,300 1,738,775
Community First Bankshares Inc. ........................ 35,000 737,187
Community Svgs Bankshares Incorporated.................. 181,780 1,954,135
Hibernia Corp. ......................................... 41,300 717,588
Pacific Bank N.A. ...................................... 7,300 318,463
PFF Bancorp Inc. ....................................... 70,000 1,120,000
--------------
7,057,804
--------------
Financial Services (1.0%)
Americredit Corp.*...................................... 93,400 1,290,087
First Alliance Company*................................. 140,000 525,000
Medallion Financial Corp................................ 78,000 1,116,375
--------------
2,931,462
--------------
Insurance (1.9%)
Harleysville Group Inc. ................................ 60,000 1,548,750
Mercury General Corp. .................................. 68,000 2,979,250
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
NAC Reinsurance Corp.................................... 12,500 $ 586,719
NYMAGIC Inc............................................. 25,000 518,750
--------------
5,633,469
--------------
Investment Companies (0.5%)
Ocwen Asset Investment Corp............................. 10,000 48,125
T. Rowe Price Associates Inc............................ 46,900 1,606,325
--------------
1,654,450
--------------
Savings And Loan (1.3%)
Fidelity Bankshares Inc. ............................... 28,000 637,000
TCF Financial Corp. .................................... 140,000 3,386,250
--------------
4,023,250
--------------
TOTAL FINANCE........................................... 21,300,435
--------------
GENERAL BUSINESS (12.9%)
Broadcasting (0.9%)
Macromedia Inc.*........................................ 49,200 1,657,425
Spelling Entertainment Group Inc.*...................... 144,800 1,086,000
--------------
2,743,425
--------------
Business Services (8.8%)
Assisted Living Concepts Inc*........................... 48,800 640,500
Caribiner International Inc.*........................... 45,000 410,625
Data Processing Corp.*.................................. 39,100 1,143,675
Fiserv Inc.*............................................ 68,400 3,518,325
IMS Health Inc.......................................... 21,500 1,621,906
Intelligroup Incorporated*.............................. 81,000 1,447,875
Legato Systems Inc.*.................................... 104,100 6,864,094
Newpark Resources Inc.*................................. 144,500 984,406
Paychex Inc. ........................................... 41,825 2,151,373
Quintiles Transnational Corp.*.......................... 43,500 2,321,813
Stewart Enterprises Inc................................. 151,000 3,359,750
Sylvan Learning Systems Inc.*........................... 61,350 1,871,175
--------------
26,335,517
--------------
Communication Services (1.9%)
Adelphia Communications Corp.*.......................... 26,000 1,189,500
Ascend Communications Inc............................... 25,000 1,643,750
Comsat Corp............................................. 19,000 684,000
Nextel Communications Inc.*............................. 85,000 2,008,125
--------------
5,525,375
--------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
Newspapers (0.5%)
Media General Inc....................................... 28,700 $ 1,521,100
--------------
Publishing (0.8%)
Applied Graphics Technologies*.......................... 43,000 709,500
Hollinger International Inc. ........................... 16,100 224,394
Jostens Inc. ........................................... 29,900 783,006
Topps Co., Inc. ........................................ 112,200 561,000
--------------
2,277,900
--------------
TOTAL GENERAL BUSINESS.................................. 38,403,317
--------------
MISCELLANEOUS (11.7%)
Miscellaneous (11.0%)
Capstar Broadcasting Corporation*....................... 56,600 1,294,725
Castle Dental Ctrs Incorporated*........................ 50,000 306,250
Chancellor Media Corporation*........................... 94,700 4,533,762
Citadel Communications Corporation*..................... 42,600 1,102,275
Corn Products International Inc.*....................... 81,800 2,484,675
CSK Auto Corp.*......................................... 30,000 800,625
Dollar Thrifty Automotive Grp*.......................... 45,000 579,375
Dynegy Inc.............................................. 101,000 1,104,687
Firearms Training Systems Inc.*......................... 51,300 72,141
Hagler Bailly Inc. ..................................... 90,000 1,800,000
Harbor Florida Bancshares Inc. ......................... 95,000 1,062,813
ICG Communications Inc.*................................ 162,000 3,483,000
Indus International Inc.*............................... 55,200 386,400
Metamor Worldwide Incorporated*......................... 64,000 1,600,000
Metro Information Services Inc.*........................ 40,000 1,200,000
Tefron Limited*......................................... 80,500 528,281
Tier Technologies Incorporated*......................... 51,300 884,925
TMP Worldwide Inc.*..................................... 55,000 2,310,000
Transportation Components Incorporated*................. 98,000 453,250
Viatel Incorporated*.................................... 148,000 3,385,500
Wesley Jessen Visioncare Inc.*.......................... 45,000 1,248,750
Young & Rubicam Incorporated*........................... 55,400 1,793,575
Ziff Davis Incorporated*................................ 22,200 351,038
--------------
32,766,047
--------------
Real Estate (0.7%)
Irvine Apartment Communities Inc........................ 37,800 1,204,875
Meristar Hospitality Corp. ............................. 57,000 1,058,062
--------------
2,262,937
--------------
TOTAL MISCELLANEOUS..................................... 35,028,984
--------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
TECHNOLOGY (22.5%)
Aerospace (0.5%)
Computer Sciences Corp.*................................ 25,500 $ 1,643,156
--------------
Computers & Business Equipment (2.1%)
Ceridian Corp.*......................................... 48,900 3,413,832
Pixar*.................................................. 20,800 728,000
Stormedia Inc.*......................................... 57,000 57
Symbol Technologies Inc................................. 31,500 2,014,031
--------------
6,155,920
--------------
Electronics (12.7%)
ADC Telecommunications Inc.*............................ 74,000 2,571,500
American Superconductor Corp.*.......................... 100,000 1,025,000
Analog Devices Inc.*.................................... 109,500 3,435,562
Aspect Telecommunications Corp.*........................ 77,000 1,328,250
Aspen Technology Inc.*.................................. 139,000 2,015,500
Boston Scientific Corp.*................................ 59,000 1,581,937
Credence Systems Corp.*................................. 76,000 1,406,000
Cymer Inc. ............................................. 88,100 1,288,463
Electroglas Inc.*....................................... 69,800 820,150
Etec Systems Inc.*...................................... 72,000 2,880,000
Lam Research Corp.*..................................... 45,000 801,563
Lexmark International Group Inc.*....................... 18,500 1,859,250
Linear Technology Corp.................................. 19,000 1,701,687
LoJack Corp.*........................................... 110,000 1,306,250
Maxim Integrated Products Inc.*......................... 20,000 873,750
Novellus Systems Inc.*.................................. 46,000 2,277,000
Remec Inc............................................... 85,000 1,530,000
Sensormatic Electronics Corp............................ 115,000 797,813
Smartalk Teleservices Inc.*............................. 70,000 185,938
Uniphase Corp.*......................................... 36,500 2,532,187
Vitesse Semiconductor Corp.*............................ 50,000 2,281,250
Xilinx Inc.*............................................ 51,500 3,353,937
--------------
37,852,987
--------------
Software (7.2%)
BMC Software Inc........................................ 91,500 4,077,469
Cadence Design Systems Inc.*............................ 59,000 1,755,250
Compuware Corp.*........................................ 13,000 1,015,625
Dendrite International Inc.*............................ 188,600 4,709,106
HBO & Co................................................ 147,900 4,242,881
Midway Games Inc.*...................................... 110,000 1,210,000
</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, 1998
<TABLE>
<CAPTION>
Shares Value
------- --------------
<S> <C> <C>
Networks Associates Inc................................. 21,500 $ 1,424,375
PeopleSoft Inc.*........................................ 36,900 698,794
Platinum Software Corp.*................................ 60,000 768,750
Sapient Corp.*.......................................... 18,000 1,008,000
Synopsys Inc.*.......................................... 8,000 434,000
Vantive Corp.*.......................................... 21,300 170,400
--------------
21,514,650
--------------
TOTAL TECHNOLOGY........................................ 67,166,713
--------------
TRANSPORTATION (2.9%)
Railroads & Equipment (0.2%)
Railtex Inc............................................. 62,000 701,375
--------------
Trucking & Freight Forwarding (2.7%)
Hub Group Inc.*......................................... 39,000 755,625
Landstar Systems Inc.*.................................. 56,100 2,286,075
M.S. Carriers Inc.*..................................... 33,700 1,109,994
Polaris Industries Inc.................................. 42,000 1,645,875
US Freightways Corp. ................................... 73,000 2,126,125
--------------
7,923,694
--------------
TOTAL TRANSPORTATION.................................... 8,625,069
--------------
UTILITIES (0.4%)
Gas & Pipeline Utilities (0.4%)
Eastern Enterprises..................................... 16,000 700,000
Louis Dreyfus Natural Gas Holdings Corp.*............... 42,000 598,500
--------------
TOTAL UTILITIES......................................... 1,298,500
--------------
TOTAL COMMON STOCK (cost $227,498,440).................. 270,631,514
--------------
AMERICAN DEPOSITARY RECEIPTS** (6.2%)
CONSUMER BASICS (2.0%)
Drugs & Health Care (2.0%)
Elan PLC*............................................... 85,000 5,912,812
--------------
CONSUMER SERVICES (0.6%)
Leisure Time (0.6%)
Imax Corp*.............................................. 55,000 1,739,375
--------------
ENERGY (0.4%)
International Oil (0.4%)
Ranger Oil Ltd.*........................................ 250,000 1,109,375
--------------
FOREIGN (0.2%)
Corporate (0.2%)
Tecnomatix Technologies Ltd.*........................... 740,000 579,050
--------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- --------------
<S> <C> <C>
FINANCE (1.8%)
Insurance (1.8%)
ACE Ltd*............................................ 107,500 $ 3,702,031
Mutual Risk Mgmt Ltd. .............................. 46,500 1,819,313
--------------
TOTAL FINANCE....................................... 5,521,344
--------------
MISCELLANEOUS (0.3%)
Miscellaneous (0.3%)
Esg Re Ltd.*........................................ 30,900 625,725
Tag Heuer Intl. Sa.................................. 31,000 220,875
--------------
TOTAL MISCELLANEOUS................................. 846,600
--------------
TECHNOLOGY (0.9%)
Computers & Business Equipment (0.0%)
BE Semiconductor Industries*........................ 28,000 157,500
--------------
Software (0.9%)
Check Point Software Tech Ltd.*..................... 58,000 2,657,125
--------------
TOTAL TECHNOLOGY.................................... 2,814,625
--------------
TOTAL AMERICAN DEPOSITARY RECEIPTS (cost
$13,428,835)....................................... 18,523,181
--------------
RIGHTS (0.1%)
GENERAL BUSINESS (0.1%)
Business Services (0.1%)
Coast Federal Litigation Trust* (cost $0)........... 30,000 198,750
--------------
SHARES BENEFICIAL INTR (0.1%)
MISCELLANEOUS (0.1%)
Royalty Trust (0.1%)
San Juan Basin Royalty Trust (cost $639,056)........ 80,000 435,000
--------------
TOTAL INVESTMENT SECURITIES (cost $241,566,331)..... 289,788,445
--------------
<CAPTION>
Units
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (4.1%)
State Street Bank Yield Enhanced Short Term
Investment Fund (cost $12,278,783)................. 12,278,783 12,278,783
--------------
TOTAL INVESTMENTS--(cost $253,845,114) (101.10%).... 302,067,228
Liabilities in excess of Other Assets--(1.1%)....... (3,212,365)
--------------
NET ASSETS--(100.00%)............................... $ 298,854,863
==============
</TABLE>
* Non-income producing security.
** An American Depositary 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
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value (cost $438,904,891)......................... $493,485,320
Cash.............................................................. 13,889
Receivable for investments sold................................... 1,570,612
Dividends and interest receivable................................. 1,937,499
Deferred registration fees........................................ 71,073
------------
Total Assets.................................................... 497,078,393
------------
Liabilities
Payable for investments purchased................................. 79,877,429
Payable for fund units redeemed................................... 2,093,974
Investment advisory fee payable................................... 257,305
State Street Bank and Trust Co.--program fee payable.............. 108,124
Trustee, management and administration fees payable............... 23,610
American Bar Retirement Association--program fee payable.......... 15,941
Other accruals.................................................... 37,465
Other liabilities................................................. 2,253
------------
Total Liabilities............................................... 82,416,101
------------
Net assets (equivalent to $53.19 per unit based on 7,796,320 units
outstanding)..................................................... $414,662,292
============
</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
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $39,370)................ $ 2,925,245
Interest......................................................... 10,512,127
-----------
Total investment income........................................ 13,437,372
-----------
Expenses
Investment advisory fee.......................................... 904,659
State Street Bank and Trust Company--program fee................. 1,252,196
Trustee, management and administration fees...................... 268,311
American Bar Retirement Association--program fee................. 182,586
Amortization of organization costs............................... 53,224
Reports to unitholders........................................... 56,728
Legal and audit fees............................................. 43,584
Registration fees................................................ 28,760
Other expenses................................................... 10,377
-----------
Total expenses................................................. 2,800,425
-----------
Net investment income.............................................. 10,636,947
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain................................................ 20,248,522
Change in net unrealized appreciation............................ 38,599,880
-----------
Net realized and unrealized gain on investments................ 58,848,402
-----------
Net increase in net assets resulting from operations............... $69,485,349
===========
</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 1998
------------ ------------
<S> <C> <C>
From operations
Net investment income............................ $ 8,706,805 $ 10,636,947
Net realized gain on investments................. 80,198,178 20,248,522
Net change in unrealized appreciation on invest-
ments........................................... (26,498,974) 38,599,880
------------ ------------
Net increase in net assets resulting from opera-
tions.......................................... 62,406,009 69,485,349
------------ ------------
From unitholder transactions
Proceeds from units issued....................... 73,912,974 33,845,201
Cost of units redeemed........................... (73,217,548) (47,171,025)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions................... 695,426 (13,325,824)
------------ ------------
Net increase in net assets..................... 63,101,435 56,159,525
Net Assets
Beginning of year................................ 295,401,332 358,502,767
------------ ------------
End of year...................................... $358,502,767 $414,662,292
============ ============
Number of units
Outstanding--beginning of year................... 8,036,685 8,070,199
Sold........................................... 1,578,134 692,617
Redeemed....................................... (1,544,620) (966,496)
------------ ------------
Outstanding--end of year......................... 8,070,199 7,796,320
============ ============
</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 year ended December 31,
----------------------------------------------------------
For the period
January 2, 1992
(Commencement
of Operations) to
December 31,
1992 1993 1994 1995 1996 1997 1998
----------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .89 $ 1.00 $ 1.08 $ 1.19 $ 1.30 $ 1.42 $ 1.68
Expenses................ (.25) (.26) (.26) (.29) (.33) (.35) (.35)
-------- -------- -------- -------- -------- -------- --------
Net investment income.. .64 .74 .82 .90 .97 1.07 1.33
Net realized and
unrealized gain (loss)
on investments......... (1.56) .82 (.82) 6.07 3.78 6.59 7.44
-------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... (.92) 1.56 -- 6.97 4.75 7.66 8.77
Net asset value at
beginning of period.... 24.40 23.48 25.04 25.04 32.01 36.76 44.42
-------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.48 $ 25.04 $ 25.04 $ 32.01 $ 36.76 $ 44.42 $ 53.19
======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... 1.10%*** 1.07% 1.03% 1.00% .96% .84% .72%
Ratio of net investment
income to average net
assets................. 2.82%*** 3.05% 3.32% 3.08% 2.85% 2.62% 2.72%
Portfolio turnover...... 119%** 153% 113% 155% 181% 122% 209%
Total return............ (3.77)%** 6.64% 0.00% 27.84% 14.84% 20.84% 19.74%
Net assets at end of
period (in thousands).. $167,242 $193,362 $198,945 $264,526 $295,401 $358,503 $414,662
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the year.
** 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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
MORTGAGE RELATED (26.4%)
Mortgage Backed Securities--GNMA I (2.8%)
GNMA 9.50% 9/15/2017+.................................. $ 934,505 $ 1,003,770
GNMA 9.50% 12/15/2017+................................. 772,326 836,953
GNMA 9.50% 12/15/2017+................................. 701,385 753,547
GNMA 9.50% 12/15/2021.................................. 528,762 567,690
GNMA 10.00% 11/15/2016................................. 98,888 106,979
GNMA 10.00% 12/15/2016................................. 64,259 69,297
GNMA 10.00% 3/15/2018.................................. 83,004 89,929
GNMA 10.00% 6/15/2018.................................. 87,808 95,133
GNMA 10.00% 5/15/2019+................................. 2,106,429 2,283,601
GNMA 10.00% 6/15/2019.................................. 21,784 23,616
GNMA 10.00% 10/15/2019................................. 16,623 18,022
GNMA 10.00% 12/15/2020+................................ 1,105,344 1,197,563
GNMA 10.00% 10/15/2021................................. 88,611 96,115
GNMA 10.00% 7/15/2022+................................. 1,024,133 1,109,577
GNMA 10.00% 7/15/2022.................................. 622,821 675,206
GNMA 10.00% 2/15/2025.................................. 634,634 687,581
GNMA 10.50% 9/15/2015.................................. 13,199 14,446
GNMA 10.50% 9/15/2017.................................. 151,835 166,459
GNMA 10.50% 12/15/2017................................. 242,679 265,840
GNMA 10.50% 5/15/2019.................................. 1,332 1,462
GNMA 10.50% 3/15/2020.................................. 24,763 27,127
GNMA 10.50% 8/15/2020.................................. 74,583 81,911
GNMA 11.00% 12/15/2009................................. 1,979 2,175
GNMA 11.00% 1/15/2010.................................. 12,703 13,962
GNMA 11.00% 2/15/2010.................................. 631 694
GNMA 11.00% 7/15/2010.................................. 12,356 13,581
GNMA 11.00% 7/15/2010.................................. 32,829 36,186
GNMA 11.00% 8/15/2010.................................. 2,880 3,175
GNMA 11.00% 8/15/2010.................................. 11,943 13,164
GNMA 11.00% 1/15/2013.................................. 1,673 1,852
GNMA 11.00% 9/15/2015.................................. 13,756 15,298
GNMA 11.00% 10/15/2015................................. 10,643 11,835
GNMA 11.00% 8/15/2017+................................. 787,711 872,043
GNMA 11.00% 9/15/2017.................................. 226,473 251,159
GNMA 11.00% 2/15/2025.................................. 248,289 276,117
------------
TOTAL GNMA I........................................... 11,683,065
------------
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
Mortgage Backed Securities--GNMA II (2.3%)
GNMA 6.50% 10/20/2027+................................ $ 1,115,037 $ 1,127,927
GNMA 6.50% 11/20/2027+................................ 1,497,704 1,515,018
GNMA 6.50% 12/20/2027................................. 359,588 363,691
GNMA 6.88% 3/20/2025+................................. 738,826 750,256
GNMA 6.88% 4/20/2025.................................. 126,054 128,102
GNMA 6.88% 5/20/2025.................................. 165,724 168,417
GNMA 7.00% 7/20/2025+................................. 712,172 723,076
GNMA 7.00% 7/20/2025+................................. 1,755,147 1,782,580
GNMA 7.00% 10/20/2025................................. 531,662 539,137
GNMA 7.38% 4/20/2025.................................. 548,150 557,315
GNMA 7.38% 5/20/2025+................................. 670,351 681,452
GNMA 7.38% 5/20/2025.................................. 182,432 185,596
GNMA 7.50% 2/20/2025.................................. 367,402 372,972
GNMA 6.00% 9/20/2027+................................. 783,095 793,127
------------
TOTAL GNMA II ........................................ 9,688,666
------------
FNMA (13.1%)
FNMA TBA 6.00% 12/1/2099.............................. 7,500,000 7,402,343
FNMA TBA 6.00% 12/1/2099.............................. 22,775,000 22,479,608
FNMA 10.00% 5/1/2022.................................. 136,919 147,137
FNMA 10.00% 5/1/2022+................................. 1,108,446 1,193,563
FNMA 10.00% 11/1/2024+................................ 1,209,467 1,302,342
FNMA 10.50% 10/1/2018................................. 424,371 463,264
FNMA 11.00% 9/1/2019+................................. 595,013 656,692
FNMA 11.50% 11/1/2019................................. 98,255 109,351
FNMA TBA 6.00% 12/1/2099.............................. 3,000,000 2,958,438
FNMA TBA 6.00% 12/1/2099.............................. 17,775,000 17,543,552
------------
TOTAL FNMA ........................................... 54,256,290
------------
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ----------
<S> <C> <C>
Federal Agencies (7.1%)
Federal Hm Loan Pc 549859 11.00% 9/1/2020............... $ 85,435 $ 95,687
Federal Hm Loan Pc 554922 10.50% 12/1/2020.............. 224,335 247,991
Federal Hm Loan Pc 555283 10.00% 9/1/2017............... 267,271 288,826
Federal Hm Loan Pc 555293 10.00% 11/1/2020.............. 247,864 268,774
Federal Hm Loan Pc D06744 10.50% 8/1/2019............... 82,276 88,789
Federal Hm Loan Pc D06959 10.50% 4/1/2016............... 112,344 121,953
Federal Hm Loan Pc G00035 10.50% 2/1/2021............... 98,686 107,126
Federal Home Loan Mortgage Pc Guaranteed 9.50%
4/15/2020.............................................. 110,488 118,429
Federal Home Loan Mortgage Pc Guaranteed 10.00%
5/15/2020.............................................. 246,421 263,515
Federal Home Loan Mortgage Pc Guaranteed 10.00%
6/15/2020.............................................. 165,120 176,678
Federal National Mortgage Association Remic 8.50%
9/25/2020.............................................. 178,249 187,327
FHLMC Gold TBA 6.00% 12/1/2099.......................... 11,900,000 11,754,939
FHLMC Gold TBA 6.00% 12/1/2099.......................... 15,850,000 15,653,523
----------
TOTAL FHLMC ............................................ 29,373,557
----------
AUTO RECEIVABLE (0.5%)
MMCA Auto Owner Trust 6.08% 5/15/2001+.................. 800,000 802,248
National Car Rental Financial Corporation 7.35%
10/20/2003****......................................... 250,000 256,105
Team Fleet Financing Corporation 7.35% 5/15/2003........ 325,000 333,159
First USA Credit Card Master Trust 5.63% 1/17/1999 (A)+. 825,000 823,193
----------
TOTAL AUTO RECEIVABLE .................................. 2,214,705
----------
CMO (0.1%)
Collateralized Mortgage Obligations (0.1%)
Mid Str Trust II 9.63% 4/1/2003 ........................ 450,000 482,078
----------
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
OTHER MORTGAGES (0.5%)
CORPORATE (0.2%)
Finance & Banking (0.1%)
Creekwood Capital Corporation 8.47% 3/16/2015****...... $ 237,159 $ 269,052
------------
Industrials (0.1%)
Oil Purchase Company 7.10% 4/30/2002****............... 345,719 324,968
------------
Other (0.0%)
Fifty Seventh Street Assocs LLC 7.13% 6/1/2017****..... 246,019 253,203
------------
TOTAL CORPORATE........................................ 847,223
------------
Other Marketable (0.3%)
Federal Express Corporation Pass Through 6.85%
1/15/2019............................................. 485,000 486,809
Federal Express Corporation Pass Through 7.02%
1/15/2016............................................. 180,000 181,125
Harley Davidson Eaglemark 5.41% 4/1/2004............... 587,450 587,498
Prime Property Fund 6.63% 7/23/2003****................ 172,643 174,530
------------
1,429,962
------------
TOTAL OTHER MORTGAGES ................................. 2,277,185
------------
Total Mortgage Related (cost $110,191,389)............. 109,975,546
------------
GOVERNMENT AND AGENCIES (3.5%)
FOREIGN (0.1%)
Government (0.1%)
Columbia Rep 8.70% 2/15/2016........................... 440,000 338,166
------------
U.S. TREASURY (3.4%)
U.S. Government Securities (3.4%)
US Treasury Bond Strp Prn 0.00% 2/15/2019*** +......... 2,275,000 745,404
US Treasury Notes 3.38% 1/15/2007 (A)+................. 8,848,908 8,553,001
US Treasury Notes 3.63% 7/15/2002 (A)+................. 2,047,700 2,032,342
US Treasury Notes 3.63% 1/15/2008 (A)+................. 2,943,442 2,887,340
------------
14,218,087
------------
TOTAL GOVERNMENT AND AGENCIES (cost $14,799,885)....... 14,556,253
------------
CORPORATE BONDS (14.2%)
CORPORATE (13.8%)
Asset Backed (3.9%)
Arcadia Automobile Receivables Trust 5.90% 11/15/2002+. 675,000 675,614
Arcadia Automobile Receivables Trust 6.38% 1/15/2003+.. 600,000 605,340
Chevy Chase Auto Receivables 6.25% 6/15/2004+.......... 510,014 512,455
Citibank Credit Card Master Trust I (A) 5.55%
1/15/1999+............................................ 1,150,000 1,147,482
Cps Auto Grantor Trust 6.65% 10/15/2002................ 115,835 116,713
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
Asset Backed (continued)
Daimler Benz Auto Grantor Trust 6.05% 3/20/2005........ $ 293,157 $ 294,438
Daimler Benz Vehicle Owner Trust 5.23% 12/20/2001+..... 900,000 898,949
First Merchants Auto Trust 6.85% 11/15/2002****........ 122,444 122,871
First Security Auto Grantor Trust 6.10% 4/15/2003...... 1,508,974 1,516,693
First Security Auto Grantor Trust 5.97% 4/15/2004+..... 759,430 763,359
First Security Auto Owner Trust 5.18% 6/15/2001+....... 975,000 974,112
Ford Credit Auto Owner Trust 6.05% 4/15/2001+.......... 1,025,000 1,029,479
GMAC Grantor Trust 6.50% 4/15/2002+.................... 701,462 703,868
Honda Auto Receivables Grantor Trust 5.85% 2/15/2003... 487,528 488,591
Honda Auto Receivables Trust 5.95% 5/15/2003........... 559,554 561,473
Long Beach Acceptance Auto Grantor 6.85%
10/15/2003****........................................ 203,395 204,176
Long Beach Addep Auto Grantor Trust 6.69%
9/25/2004****......................................... 258,246 259,236
Nissan Auto Receivables Grantor 6.15% 2/15/2003........ 504,683 506,575
Npf Xi Incorporated 6.82% 7/1/2001****................. 100,000 101,013
Rental Car Finance Group 6.45% 8/25/2005+.............. 725,000 727,028
Rural Housing Trust 1987 1 3.33% 10/1/2028............. 117,875 114,907
Team Fleet Financing Corporation 6.13% 10/25/2004****.. 350,000 347,089
Team Fleet Financing Corporation 6.65% 12/15/2002****.. 250,000 251,468
WFS Financial Owner Trust 6.10% 3/20/2002.............. 625,849 627,289
WFS Financial Owner Trust 6.25% 3/20/2002+............. 650,000 652,301
World Financial Pptys Tower B 6.91% 9/1/2013+.......... 1,237,389 1,272,964
World Omni Automobile Lease 6.08% 11/25/2003+.......... 674,626 676,940
------------
16,152,423
------------
Electric Utilities (0.2%)
Edison Mission Energy Funding Corporation 7.33%
9/15/2008****......................................... 200,000 212,184
Empresa Nacional De Electric 7.33% 2/1/2037............ 95,000 83,741
Israel Electric 7.75% 12/17/2007****................... 350,000 348,292
Israel Electric Corporation Limited 7.25%
12/15/2006****........................................ 160,000 160,949
Samsung Electrs Limited 7.45% 10/1/2002****............ 115,000 101,687
------------
906,853
------------
Finance & Banking (2.8%)
Bankamerica Institutional Capital A 8.07%
12/31/2026****+....................................... 725,000 815,552
Beneficial Corporation Medium Term Note 6.47%
11/17/2008............................................ 405,000 414,615
Beverly Finance 8.36% 7/15/2004........................ 250,000 273,383
Bt Institutional Capital Trust A 8.09% 12/1/2026****+.. 655,000 673,209
Chase Manhattan Corporation New 6.00% 11/1/2005........ 335,000 339,141
Equitable Cos Incorporated 6.50% 4/1/2008.............. 440,000 458,555
Equitable Life Assurance Society (US) 6.95%
12/1/2005****......................................... 325,000 344,536
Excel Paralubes Funding Corporation 7.43%
11/1/2015****......................................... 250,000 258,105
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
Finance & Banking (continued)
Farmers Exchange Capital 7.05% 7/15/2028****........... $ 220,000 $ 220,189
Farmers Insurance Exchange 8.63% 5/1/2024****+......... 625,000 745,237
First Chicago Nbd Institution Capital 7.95%
12/1/2026****+........................................ 625,000 685,656
First Union Institute Capital I 8.04% 12/1/2026+....... 650,000 715,890
Great Wesn Financial Trust II 8.21% 2/1/2027........... 140,000 157,934
Household Finance Corp 6.38% 8/1/2010.................. 415,000 424,562
Hutchison Whampoa Fin C I Ltd 7.45% 8/1/2017****....... 440,000 381,005
Liberty Financial Cos Incorporated 7.63% 11/15/2028.... 320,000 343,088
Metropolitan Life Insurance Company 7.80%
11/1/2025****......................................... 250,000 263,900
Metropolitan Life Insurance Company 7.45%
11/1/2023****......................................... 500,000 507,180
Nationwide Mutual Life 7.50% 2/15/2024****+............ 750,000 763,410
New York Life Insurance Cor 7.50% 12/15/2023****....... 250,000 265,553
Petrozuata Fin Inc 8.22% 4/1/2017****.................. 780,000 559,196
PNC Institutional Capital Trust A 7.95% 12/15/2026****. 350,000 375,091
Prudential Insurance Company America 8.30%
7/1/2025****+......................................... 700,000 782,229
Rhone Poulenc A3 8.62% 1/5/2021........................ 350,000 386,021
Washington Mutual Capital I 8.38% 6/1/2027............. 240,000 263,239
------------
11,416,476
------------
Industrials (1.9%)
Ast Research Incorporated 7.45% 10/1/2002****.......... 475,000 417,129
Chrysler Corporation 7.45% 3/1/2027+................... 745,000 855,163
Ford Motor Company Delaware 6.50% 8/1/2018+............ 665,000 681,306
Ford Motor Company Delaware 6.63% 10/1/2028............ 295,000 302,944
General Motors Corp. 6.75% 5/1/2028+................... 985,000 1,018,815
Jet Equipment Test 10.00% 6/15/2012****................ 350,000 466,242
Lafarge Corporation 6.38% 7/15/2005.................... 585,000 598,958
Monsanto Company 6.60% 12/1/2028****................... 670,000 671,691
News America Holdings Incorporated 8.88% 4/26/2023..... 460,000 558,141
Oil Enterprises Limited 6.24% 6/30/2008****............ 655,221 656,459
Paiton Energy 9.34% 2/15/2014****...................... 225,000 47,250
United Technologies Corporation 6.70% 8/1/2028+........ 815,000 870,795
USA Waste Services Inc 7.00% 7/15/2028+................ 880,000 908,891
------------
8,053,784
------------
Miscellaneous (2.2%)
Alcoa Aluminio S A 7.50% 12/16/2008+................... 630,034 604,577
Anthem Insurance Cos Incorporated Discount Commercial
9.00% 4/15/2027****................................... 370,000 397,032
Associates Corporation North America 6.00% 7/15/2005+.. 950,000 964,051
Cable & Wireless 6.75% 12/1/2008....................... 465,000 473,351
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
Miscellaneous (continued)
Cit Group Incorporated Med Trm Senior Notes 5.91%
11/23/2005+........................................... $ 715,000 $ 715,865
Citicorp 6.38% 11/15/2008.............................. 500,000 517,515
Continental Airls Pass Through 6.65% 9/15/2017+........ 745,000 733,169
Eop Operating Limited Partnership 6.76% 6/15/2007...... 285,000 280,739
Eop Operating Limited Partnership 7.25% 6/15/2028...... 165,000 151,193
Florida Residential Property & Casualty 7.38%
7/1/2003****.......................................... 525,000 553,280
Florida Residential Property & Casualty 7.45%
7/1/2004****.......................................... 100,000 106,318
Florida Windstorm Underwriting 6.70% 3/31/2023****..... 200,000 206,214
Hartford Life Incorporated 7.65% 6/15/2027............. 515,000 573,803
News America Holdings Incorporated 7.75% 1/20/2024..... 100,000 108,197
News America Holdings Incorporated 7.75% 2/1/2024...... 170,000 181,965
Petroliam Nasional Berhad 7.13% 10/18/2006****......... 475,000 371,920
Prime Property Funding Ii Incorporated 7.00%
8/15/2004****......................................... 495,000 494,041
Scotia Pacific Company 7.71% 1/20/2014****+............ 830,000 762,255
Seagram Joseph E & Sons Incorporated 7.60% 12/15/2028.. 425,000 427,882
US Airways Passthru Trs 6.85% 1/30/2018................ 380,000 382,881
------------
9,006,248
------------
Other (1.1%)
Becton Dickinson & Company 6.70% 8/1/2028+............. 670,000 711,131
Cox Communications Incorporated 6.80% 8/1/2028......... 280,000 293,152
Dayton Hudson Corporation 6.65% 8/1/2028............... 325,000 329,540
Equifax Incorporated 6.30% 7/1/2005.................... 455,000 460,374
Kroger Company 6.80% 12/15/2018+....................... 875,000 866,267
Lowes Cos Incorporated 6.88% 2/15/2028................. 505,000 530,103
Neiman Marcus Group Incorporated 6.65% 6/1/2008........ 645,000 647,193
Oxymar 7.50% 2/15/2016****............................. 175,000 178,612
Time Warner Inc 6.95% 1/15/2028........................ 85,000 90,044
Time Warner Incorporated 7.57% 2/1/2024................ 375,000 424,444
------------
4,530,860
------------
Other Utilities (0.5%)
Enron Corp. 6.95% 7/15/2028............................ 535,000 536,318
Ras Laffan Liquefied Natural Gas 8.29% 3/15/2014****... 800,000 668,627
Tennessee Gas Pipeline Company 7.00% 10/15/2028........ 435,000 443,843
Williams Cos Incorporated 6.20% 8/1/2002............... 485,000 484,937
------------
2,133,725
------------
Telephone (0.9%)
Comcast Cable Communications 8.38% 5/1/2007............ 390,000 452,482
Comcast Cable Communications I 6.20% 11/15/2008........ 160,000 162,941
</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, 1998
<TABLE>
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
Telephone (continued)
GTE Corporation 6.94% 4/15/2028+........................ $ 965,000 $ 1,048,038
MCI Communications Corporation 6.50% 4/15/2010.......... 305,000 322,464
MCI Communications Corporation 6.95% 8/15/2006.......... 355,000 380,326
TCI Communications Incorporated 7.88% 2/15/2026+........ 690,000 816,918
Worldcom Inc 6.95% 8/15/2028............................ 470,000 504,611
------------
3,687,780
------------
Transportation (0.3%)
Atlas Air Incorporated 7.38% 1/2/2018................... 525,000 548,817
Burlington Northern Santa Fe Corp 6.70% 8/1/2028+....... 665,000 678,619
------------
1,227,436
------------
TOTAL CORPORATE......................................... 57,115,585
------------
FOREIGN (0.4%)
Corporate (0.4%)
Empresa Nacional De 7.75% 7/15/2008+.................... 660,000 621,964
Express Pipeline Limited 6.47% 12/31/2013****+.......... 724,517 694,178
Hyundai Semiconductor Amer Inc 8.63% 5/15/2007****...... 370,000 283,821
------------
TOTAL FOREIGN........................................... 1,599,963
------------
TOTAL CORPORATE BONDS (cost $58,228,322)................ 58,715,548
------------
<CAPTION>
Shares
----------
<S> <C> <C>
COMMON STOCK (54.7%)
BASIC INDUSTRIES (2.6%)
Aluminum (0.3%)
Aluminum Co. of America................................. 20,000 1,491,250
------------
Chemicals (0.6%)
Air Products & Chemicals Inc. .......................... 58,400 2,336,000
------------
Paper (1.1%)
Fort James Corp. ....................................... 49,100 1,964,000
Kimberly-Clark Corp. ................................... 16,200 882,900
Smurfit Stone Container Corp.*.......................... 99,000 1,565,438
------------
4,412,338
------------
Plastics (0.6%)
Illinois Tool Works Inc. ............................... 43,000 2,494,000
------------
TOTAL BASIC INDUSTRIES.................................. 10,733,588
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
CAPITAL GOODS (4.3%)
Construction & Mining Equipment (0.8%)
Dover Corp. ........................................... 88,700 $ 3,248,638
------------
Electrical Equipment (1.8%)
Exel Limited Hamilton.................................. 92,200 6,915,000
Hubbell Inc. .......................................... 15,600 592,800
------------
7,507,800
------------
Industrial Machinery (1.0%)
AES Corp. ............................................. 82,700 3,917,912
------------
Pollution Control (0.7%)
Republic Industries Inc.*.............................. 207,600 3,062,100
------------
TOTAL CAPITAL GOODS.................................... 17,736,450
------------
CONSUMER BASICS (8.4%)
Drugs & Health Care (4.7%)
Guidant Corp. ......................................... 48,500 5,347,125
Pacificare Health Systems*............................. 6,183 449,813
Pacificare Health Systems*............................. 27,647 2,197,937
Pfizer Inc. ........................................... 77,000 9,658,687
United Healthcare Corp. ............................... 46,400 1,998,100
------------
19,651,662
------------
Food & Beverages (3.0%)
General Mills Inc. .................................... 25,000 1,943,750
Kellogg Co. ........................................... 80,000 2,730,000
Nabisco Holdings Corp. ................................ 45,000 1,867,500
PepsiCo Inc. .......................................... 82,800 3,389,625
Tyson Foods Inc. ...................................... 110,000 2,337,500
------------
12,268,375
------------
Tobacco (0.7%)
Philip Morris Cos., Inc. .............................. 15,000 802,500
RJR Nabisco Holdings Corp. ............................ 75,000 2,226,563
------------
3,029,063
------------
TOTAL CONSUMER BASICS.................................. 34,949,100
------------
CONSUMER DURABLE GOODS (0.8%)
Auto Parts (0.3%)
Federal Home Loan Mortgage Corp. ...................... 21,000 1,249,500
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Tires & Rubber (0.5%)
Cooper Tire & Rubber Co. .............................. 99,000 $ 2,023,313
------------
TOTAL CONSUMER DURABLE GOODS........................... 3,272,813
------------
CONSUMER NON-DURABLES (4.2%)
Apparel & Textiles (1.1%)
Nike Inc. ............................................. 64,500 2,616,281
VF Corp. .............................................. 36,400 1,706,250
------------
4,322,531
------------
Liquor (0.6%)
Anheuser Busch Cos., Inc. ............................. 40,000 2,625,000
------------
Retail Trade (1.8%)
Lowes Cos., Inc. ...................................... 82,000 4,197,375
Venator Group Inc. .................................... 63,700 410,069
Wal Mart Stores Inc. .................................. 35,500 2,891,031
------------
7,498,475
------------
Toys & Amusements (0.7%)
Hasbro Inc. ........................................... 77,800 2,810,525
------------
TOTAL CONSUMER NON-DURABLES............................ 17,256,531
------------
CONSUMER SERVICES (0.7%)
Air Travel (0.1%)
Sealed Air Corp.*...................................... 7,800 398,287
------------
Leisure Time (0.6%)
Fox Entertainment Group Inc.*.......................... 53,300 1,342,494
Walt Disney Co. ....................................... 45,000 1,350,000
------------
2,692,494
------------
TOTAL CONSUMER SERVICES................................ 3,090,781
------------
ENERGY (2.7%)
Gas Exploration (0.7%)
Burlington Resources Inc. ............................. 46,000 1,647,375
Oryx Energy Co. ....................................... 80,000 1,075,000
------------
2,722,375
------------
International Oil (1.4%)
Chevron Corp. ......................................... 18,200 1,509,462
Exxon Corp. ........................................... 26,000 1,901,250
Mobil Corp. ........................................... 29,000 2,526,625
------------
5,937,337
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Petroleum Services (0.6%)
Baker Hughes Inc. ..................................... 136,040 $ 2,406,207
Conoco Incorporated.................................... 3,300 68,888
------------
2,475,095
------------
TOTAL ENERGY........................................... 11,134,807
------------
FINANCE (8.3%)
Banks (1.9%)
BankAmerica Corp. ..................................... 105,337 6,333,387
Chase Manhattan Corp. ................................. 23,000 1,565,438
------------
7,898,825
------------
Financial Services (3.4%)
Associates First Capital Corp. ........................ 43,174 1,829,498
Citigroup Inc. ........................................ 169,450 8,387,775
Wells Fargo & Company.................................. 100,000 3,993,750
------------
14,211,023
------------
Insurance (2.2%)
Berkshire Hathaway Inc. *.............................. 55 3,822,000
Cincinnati Financial Corp. ............................ 65,100 2,384,287
Lincoln National Corp. ................................ 8,600 703,588
PMI Group Inc. ........................................ 45,000 2,221,875
------------
9,131,750
------------
Savings And Loan (0.8%)
Washington Mutual Inc. ................................ 79,924 3,052,098
------------
TOTAL FINANCE.......................................... 34,293,696
------------
GENERAL BUSINESS (7.7%)
Broadcasting (2.4%)
Mediaone Group Incorporated*........................... 60,900 2,862,300
Tele-Communications Inc.*.............................. 27,993 1,548,363
Viacom Inc. Class A*................................... 33,000 2,427,563
Viacom Inc. Class B*................................... 44,500 3,293,000
------------
10,131,226
------------
Business Services (0.5%)
Interpublic Group of Cos., Inc. ....................... 28,300 2,256,925
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-31
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Balanced Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Communication Services (2.4%)
Ascend Communications Inc.*............................ 27,000 $ 1,775,250
MCI Worldcom Incorporated*............................. 54,736 3,927,308
Tele Communications Inc.*.............................. 87,825 4,045,439
------------
9,747,997
------------
Office Furnishings & Supplies (0.4%)
Avery Dennison Corp. .................................. 32,500 1,464,531
------------
Publishing (2.0%)
Jostens Inc. .......................................... 91,600 2,398,775
Time Warner Inc. ...................................... 96,000 5,958,000
------------
8,356,775
------------
TOTAL GENERAL BUSINESS................................. 31,957,454
------------
MISCELLANEOUS (3.0%)
Conglomerates (0.7%)
Textron Inc. .......................................... 36,900 2,802,094
------------
Miscellaneous (2.3%)
CNF Transportation Inc. ............................... 13,000 488,312
SLM Holding Corp. ..................................... 194,800 9,350,400
------------
9,838,712
------------
TOTAL MISCELLANEOUS.................................... 12,640,806
------------
TECHNOLOGY (8.1%)
Aerospace (1.0%)
Boeing Co. ............................................ 35,900 1,171,237
United Technologies Corp. ............................. 28,500 3,099,375
------------
4,270,612
------------
Computers & Business Equipment (1.6%)
Cisco Systems Inc.*.................................... 37,800 3,508,312
Gateway 2000 Inc.*..................................... 24,200 1,238,738
Xerox Corp. ........................................... 16,000 1,888,000
------------
6,635,050
------------
Electronics (5.0%)
Applied Materials Inc.*................................ 196,600 8,392,362
Intel Corp. ........................................... 24,000 2,845,500
KLA Instruments Corp.*................................. 77,700 3,370,237
Loral Space & Communications Ltd.*..................... 160,000 2,850,000
Teradyne Inc.*......................................... 73,300 3,106,088
------------
20,564,187
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-32
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Balanced Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Software (0.5%)
Autodesk Inc. ......................................... 10,000 $ 426,875
PeopleSoft Inc.*....................................... 81,000 1,533,938
------------
1,960,813
------------
TOTAL TECHNOLOGY....................................... 33,430,662
------------
TRANSPORTATION (0.1%)
Railroads & Equipment (0.1%)
Wisconsin Central Transportation Corp.*................ 33,100 568,906
------------
UTILITIES (3.8%)
Electric Utilities (0.3%)
Northeast Utilities.................................... 81,700 1,307,200
------------
Gas & Pipeline Utilities (1.1%)
KN Energy Inc. ........................................ 46,000 1,673,250
Williams Cos., Inc. ................................... 92,200 2,875,487
------------
4,548,737
------------
Telephone (2.4%)
Airtouch Communications*............................... 65,300 4,709,762
Ameritech Corp. ....................................... 36,000 2,281,500
AT&T Corp. ............................................ 19,352 1,456,238
Sprint Corp. .......................................... 17,500 1,472,188
------------
9,919,688
------------
TOTAL UTILITIES........................................ 15,775,625
------------
TOTAL COMMON STOCK (Cost $176,003,146)................. 226,841,219
------------
PREFERRED STOCK (0.4%)
MISCELLANEOUS (0.4%)
Miscellaneous (0.4%)
Entertainment Property Incorporated****................ 200 176,734
Home Ownership Series****+............................. 1,250 1,180,716
Tier One Pptys Incorporated****........................ 125 116,059
------------
TOTAL PREFERRED STOCK (Cost $1,579,307)................ 1,473,509
------------
AMERICAN DEPOSITARY RECEIPTS (ADR) (5.3%)
BASIC INDUSTRIES (1.0%)
Chemicals (1.0%)
Zeneca Group PLC....................................... 93,700 4,204,787
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-33
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Balanced Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
CAPITAL GOODS (0.5%)
Electrical Equipment (0.5%)
Asm Lithography Hldg NV*.............................. 52,800 $ 1,610,400
Philips Electrs NV.................................... 7,000 473,813
------------
TOTAL CAPITAL GOODS................................... 2,084,213
------------
CONSUMER BASICS (0.6%)
Drugs & Health Care (0.6%)
Astra Ab.............................................. 123,000 2,544,562
------------
CONSUMER NON-DURABLES (0.1%)
Apparel & Textiles (0.1%)
Gucci Group NV........................................ 3,500 170,188
------------
ENERGY (1.0%)
International Oil (0.7%)
Shell Transport & Trading Plc......................... 79,200 2,945,250
------------
Petroleum Services (0.3%)
Total SA.............................................. 24,700 1,228,825
------------
TOTAL ENERGY.......................................... 4,174,075
------------
GENERAL BUSINESS (1.4%)
Business Services (1.2%)
Nokia Corp............................................ 42,000 5,058,375
------------
Newspapers (0.2%)
News Corp Ltd. ....................................... 21,300 525,844
------------
TOTAL GENERAL BUSINESS................................ 5,584,219
------------
MISCELLANEOUS (0.7%)
Miscellaneous (0.7%)
Lucasvarity PLC....................................... 91,000 3,048,500
------------
TOTAL AMERICAN DEPOSITARY RECEIPTS (Cost $17,990,141)
..................................................... 21,810,544
------------
TOTAL INVESTMENT SECURITIES (Cost $378,792,190)....... 433,372,619
------------
<CAPTION>
Units
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (Cost $60,112,701) (14.5%)
State Street Bank Yield Enhanced Short Term Investment
Fund ................................................ 60,112,701 60,112,701
------------
TOTAL INVESTMENTS (Cost $438,904,891) (119.0%)........ 493,485,320
Liabilities in excess of other assets (-19.0%)........ (78,823,028)
------------
NET ASSETS (100.0%)................................... $414,662,292
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-34
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Balanced Fund
December 31, 1998
* Non-income producing security.
ADR An American Depositary Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described.
TBA 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.
*** Stripped U.S. treasury 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 certificates representing principal
only.
**** 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, 1998 were $19,940,275 and $19,475,449,
respectively.
(A) Variable rate security. The rate shown reflects rate currently in effect.
+ Portion of the security is segregated as collateral for TBA purchases.
The accompanying notes are an integral part of these financial statements.
F-35
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
--------------
<S> <C>
Assets
Investments, at value (cost $863,215,217)....................... $1,301,557,463
Cash............................................................ 9,458
Receivable for investments sold................................. 16,055,645
Dividends and interest receivable............................... 1,237,122
Deferred registration fees...................................... 213,715
--------------
Total Assets.................................................. 1,319,073,403
--------------
Liabilities
Payable for investments purchased............................... 9,819,884
Payable for units purchased..................................... 10,479,886
Investment advisory fee payable................................. 388,932
State Street Bank and Trust Co.--program fee payable............ 328,284
Trustee, management and administration fees payable............. 71,180
American Bar Retirement Association--program fee payable........ 49,538
Other accruals.................................................. 109,028
--------------
Total Liabilities............................................. 21,246,732
--------------
Net assets (equivalent to $497.40 per unit based on 2,609,243
units outstanding)............................................. $1,297,826,671
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-36
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $64,757)............... $ 10,081,671
Interest........................................................ 1,290,361
------------
Total investment income....................................... 11,372,032
------------
Expenses
Investment advisory fee......................................... 2,506,684
State Street Bank and Trust Company--program fee................ 3,542,654
Trustee, management and administration fees..................... 759,246
American Bar Retirement Association--program fee................ 516,554
Reports to unitholders.......................................... 163,175
Amortization of organization costs.............................. 142,764
Legal and audit fees............................................ 125,366
Registration fees............................................... 82,868
Other expenses.................................................. 29,849
------------
Total expenses................................................ 7,869,160
------------
Net investment income............................................. 3,502,872
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 106,649,097
Change in net unrealized appreciation........................... 252,196,120
------------
Net realized and unrealized gain on investments............... 358,845,217
------------
Net increase in net assets resulting from operations............ $362,348,089
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-37
<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 1998
------------ --------------
<S> <C> <C>
From operations
Net investment income.......................... $ 4,215,028 $ 3,502,872
Net realized gain on investments............... 219,100,674 106,649,097
Net change in unrealized appreciation on in-
vestments..................................... (1,756,692) 252,196,120
------------ --------------
Net increase in net assets resulting from op-
erations.................................... 221,559,010 362,348,089
------------ --------------
From unitholder transactions
Proceeds from units issued..................... 283,226,911 78,220,996
Cost of units redeemed......................... (289,729,985) (110,596,399)
------------ --------------
Net decrease in net assets resulting from
unitholder transactions..................... (6,503,074) (32,375,403)
------------ --------------
Net increase in net assets................... 215,055,936 329,972,686
Net Assets
Beginning of year.............................. 752,798,049 967,853,985
------------ --------------
End of year.................................... $967,853,985 $1,297,826,671
============ ==============
Number of units
Outstanding--beginning of year................. 2,705,373 2,689,796
Sold......................................... 865,694 183,069
Redeemed..................................... (881,271) (263,622)
------------ --------------
Outstanding--end of year....................... 2,689,796 2,609,243
============ ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-38
<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>
Forthe year ended December 31,
------------------------------------------------------------
For the period
January 2, 1992
(Commencement
of Operations) to
December 31,
1992 1993 1994 1995 1996 1997 1998
----------------- -------- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ 3.20 $ 3.16 $ 3.48 $ 3.88 $ 5.07 $ 4.15 $ 4.27
Expenses................ (1.45) (1.52) (1.60) (1.88) (2.22) (2.60) (2.96)
-------- -------- -------- -------- -------- -------- ----------
Net investment income... 1.75 1.64 1.88 2.00 2.85 1.55 1.31
Net realized and
unrealized gain on
investments............ 3.00 12.99 .61 57.72 46.14 80.01 136.27
-------- -------- -------- -------- -------- -------- ----------
Net increase in unit
value.................. 4.75 14.63 2.49 59.72 48.99 81.56 137.58
Net asset value at
beginning of period.... 147.68 152.43 167.06 169.55 229.27 278.26 359.82
-------- -------- -------- -------- -------- -------- ----------
Net asset value at end
of period.............. $ 152.43 $ 167.06 $ 169.55 $ 229.27 $ 278.26 $ 359.82 $ 497.40
======== ======== ======== ======== ======== ======== ==========
Ratio of expenses to
average net assets..... 1.01%*** .96% .95% .92% .88% .80% .71%
Ratio of net investment
income to average net
assets................. 1.22%*** 1.03% 1.12% .98% 1.13% .48% .32%
Portfolio turnover...... 46%** 82% 59% 60% 64% 88% 46%
Total return............ 3.22%** 9.60% 1.49% 35.23% 21.37% 29.31% 38.24%
Net assets at end of
period
(in thousands)......... $427,933 $471,398 $479,435 $637,834 $752,798 $967,854 $1,297,827
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the year.
** Not annualized.
*** Ratio annualized.
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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
COMMON STOCK (94.1%)
BASIC INDUSTRIES (2.7%)
Aluminum (0.2%)
Aluminum Co. of America................................ 24,600 $ 1,834,237
------------
Chemicals (1.3%)
Air Products & Chemicals Inc. ......................... 78,600 3,144,000
Crompton & Knowles Corp. .............................. 4,200 86,888
Cytec Industries Inc.*................................. 2,200 46,750
E.I. Du Pont de Nemours & Co. ......................... 47,000 2,493,937
Hercules Inc. ......................................... 2,000 54,750
Monsanto Co. .......................................... 219,800 10,440,500
Praxair Inc. .......................................... 1,800 63,450
Sterling Commerce Inc.*................................ 5,800 261,000
Valspar Corp. ......................................... 2,100 78,356
Waters Corp.*.......................................... 1,700 148,325
Witco Corp. ........................................... 500 7,969
------------
16,825,925
------------
Containers & Glass (0.0%)
Bemis Co., Inc. ....................................... 700 26,556
Crown Cork & Seal Co., Inc. ........................... 300 9,244
Owens Illinois Inc.*................................... 1,800 55,125
------------
90,925
------------
Drugs & Health Care (0.0%)
Genzyme Corp.*......................................... 216 702
------------
Gold (0.0%)
Freeport-McMoran Copper & Gold Inc. ................... 8,700 90,806
Global Industries Ltd.*................................ 4,700 28,788
------------
119,594
------------
Paper (0.8%)
Fort James Corp. ...................................... 74,012 2,960,480
Kimberly-Clark Corp. .................................. 69,200 3,771,400
Minnesota Mining & Manufacturing Co. .................. 11,200 796,600
Smurfit Stone Container Corp.*......................... 118,800 1,878,525
------------
9,407,005
------------
Plastics (0.4%)
Illinois Tool Works Inc. .............................. 89,100 5,167,800
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Steel (0.0%)
Nucor Corp. ........................................... 400 $ 17,300
------------
TOTAL BASIC INDUSTRIES................................. 33,463,488
------------
CAPITAL GOODS (5.9%)
Agricultural Machinery (0.0%)
Delta & Pine Land Co. ................................. 2,600 96,200
------------
Construction & Mining Equipment (0.3%)
Dover Corp. ........................................... 99,700 3,651,512
------------
Electrical Equipment (4.8%)
American Power Conversion Corp.*....................... 4,500 217,969
Arrow Electronics Inc.*................................ 400 10,675
Atmel Corp.*........................................... 2,400 36,750
AVX Corp. ............................................. 300 5,081
Dentsply International Inc. ........................... 2,800 72,100
Emerson Electric Co. .................................. 2,200 133,100
Exel Limited Hamilton.................................. 110,800 8,310,000
General Electric Co. .................................. 508,300 51,878,369
Hubbell Inc. .......................................... 19,500 741,000
Millipore Corp. ....................................... 2,400 68,250
Raychem Corp. ......................................... 2,500 80,781
Sanmina Corp.*......................................... 2,200 137,500
UCAR International Inc.*............................... 2,500 44,531
------------
61,736,106
------------
Industrial Machinery (0.4%)
AES Corp. ............................................. 112,600 5,334,425
American Standard Cos., Inc.*.......................... 4,000 144,000
Crane Co. ............................................. 1,550 46,791
Pall Corp. ............................................ 2,300 58,219
Thermo Electron Corp.*................................. 4,100 69,444
US Filter Corp.*....................................... 3,900 89,212
------------
5,742,091
------------
Miscellaneous (0.0%)
Varian Associates Inc. ................................ 1,100 41,663
------------
Pollution Control (0.4%)
Allied Waste Industries Inc.*.......................... 5,800 137,025
Republic Industries Inc.*.............................. 256,000 3,776,000
Waste Management Inc................................... 21,552 1,004,862
------------
4,917,887
------------
TOTAL CAPITAL GOODS.................................... 76,185,459
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
CONSUMER BASICS (29.1%)
Drugs & Health Care (17.9%)
Abbott Laboratories.................................... 77,700 $ 3,807,300
Alza Corp.*............................................ 156,600 8,182,350
American Home Products Corp. .......................... 234,400 13,199,650
Amgen Inc.*............................................ 178,600 18,674,862
Arterial Vascular Engineering Inc.*.................... 1,800 94,500
Bausch & Lomb Inc. .................................... 34,000 2,040,000
Baxter International Inc. ............................. 13,400 861,787
Becton Dickinson & Co. ................................ 13,800 589,088
Bergen Brunswig Corp. ................................. 2,600 90,675
Biogen Inc.*........................................... 3,800 315,400
Biomet Inc............................................. 5,800 233,450
Bristol-Myers Squibb Co. .............................. 120,100 16,070,881
Cardinal Health Inc. .................................. 82,620 6,268,792
Centocor Inc.*......................................... 3,600 162,450
Chiron Corp.*.......................................... 5,800 151,888
Eli Lilly & Co. ....................................... 232,400 20,654,550
Forest Laboratories Inc.*.............................. 3,700 196,794
Genzyme Corp.*......................................... 2,000 99,500
Guidant Corp. ......................................... 58,600 6,460,650
Health Management Associates Inc.*..................... 12,175 263,284
Healthsouth Rehabilitation*............................ 18,700 288,681
Immunex Corp.*......................................... 1,100 138,394
Johnson & Johnson...................................... 185,300 15,542,037
Lincare Holdings Inc.*................................. 2,600 105,463
McKesson Corp. ........................................ 4,300 339,969
Medtronic Inc. ........................................ 78,800 5,850,900
Merck & Co., Inc. ..................................... 149,900 22,138,356
Mylan Laboratories Inc. ............................... 6,800 214,200
Omnicare Inc. ......................................... 4,000 139,000
Pacificare Health Systems*............................. 2,000 145,500
Pacificare Health Systems*............................. 34,400 2,734,800
Pfizer Inc. ........................................... 387,600 48,619,575
Pharmacia & Upjohn Inc. ............................... 31,500 1,783,687
Quorum Health Group Inc.*.............................. 4,850 62,747
Rexall Sundown Inc.*................................... 2,300 32,200
Sangstat Medical Corp.*................................ 66,000 1,402,500
Schering-Plough Corp.*................................. 180,200 9,956,050
Sofamor/Danek Group Inc.*.............................. 36,000 4,383,000
St. Jude Medical Inc. ................................. 2,602 72,043
Steris Corp.*.......................................... 4,200 119,438
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Stryker Corp. ......................................... 3,900 $ 214,744
Sybron International Corp.*............................ 5,500 149,531
Tenet Healthcare Corp.*................................ 8,300 217,875
Total Renal Care Holdings Inc. ........................ 3,200 94,600
Trigon Healthcare Inc. ................................ 1,000 37,313
United Healthcare Corp. ............................... 77,300 3,328,731
Universal Health Services Inc. ........................ 1,100 57,063
Warner Lambert Co. .................................... 198,500 14,924,719
Watson Pharmaceuticals Inc.* .......................... 4,600 289,225
Wellpoint Health Networks Inc.*........................ 1,300 113,100
------------
231,913,292
------------
Food & Beverages (5.2%)
Bestfoods.............................................. 11,700 623,025
Campbell Soup Co. ..................................... 39,400 2,167,000
Coca Cola Co. ......................................... 387,800 25,934,125
Coca Cola Enterprises Inc. ............................ 211,300 7,553,975
ConAgra Inc. .......................................... 17,900 563,850
Dole Food Inc. ........................................ 700 21,000
Flowers Industries Inc. ............................... 5,600 134,050
General Mills Inc. .................................... 48,200 3,747,550
H.J. Heinz Co. ........................................ 8,400 475,650
Hershey Foods Corp. ................................... 3,600 223,875
Interstate Bakeries Corp. ............................. 1,100 29,081
Kellogg Co. ........................................... 66,400 2,265,900
McCormick & Co., Inc. ................................. 1,900 64,244
Nabisco Holdings Corp. ................................ 40,000 1,660,000
Outback Steakhouse Inc.*............................... 3,300 131,587
PepsiCo Inc. .......................................... 321,300 13,153,219
Pioneer HI-Bred International Inc. .................... 13,620 367,740
Quaker Oats Co. ....................................... 5,300 315,350
Ralston Purina Co. .................................... 12,800 414,400
Sara Lee Corp. ........................................ 50,400 1,420,650
Suiza Foods Corp.*..................................... 2,200 112,062
Sysco Corp. ........................................... 18,400 504,850
Tyson Foods Inc. ...................................... 223,500 4,749,375
US Foodservice......................................... 1,600 78,400
Whitman Corp. ......................................... 1,500 38,063
William Wrigley Jr. Co. ............................... 4,300 385,119
------------
67,134,140
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Household Products (3.5%)
Black & Decker Corp. .................................. 700 $ 39,244
Clorox Co. ............................................ 4,300 502,294
Colgate Palmolive Co. ................................. 106,500 9,891,187
Corning Inc. .......................................... 13,100 589,500
Dial Corp. ............................................ 4,900 141,487
Gillette Co. .......................................... 221,900 10,720,544
Hillenbrand Industries Inc. ........................... 2,200 125,125
Procter & Gamble Co. .................................. 266,500 24,334,781
Rubbermaid Inc. ....................................... 3,400 106,888
Stanley Works ......................................... 1,700 47,175
Tupperware Corp. ...................................... 1,700 27,944
------------
46,526,169
------------
Retail Grocery (0.3%)
Albertson's Inc. ...................................... 1,800 114,637
General Nutrition Cos., Inc.*.......................... 4,700 76,375
Kroger Co.*............................................ 10,400 629,200
Safeway Inc.*.......................................... 46,800 2,851,875
Whole Foods Market Inc.*............................... 1,800 87,075
------------
3,759,162
------------
Tobacco (2.2%)
Philip Morris Cos., Inc. .............................. 461,700 24,700,950
RJR Nabisco Holdings Corp. ............................ 134,500 3,992,969
UST Inc. .............................................. 4,600 160,425
------------
28,854,344
------------
TOTAL CONSUMER BASICS.................................. 378,187,107
------------
CONSUMER DURABLE GOODS (0.6%)
Automobiles (0.2%)
General Motors Corp. .................................. 49,100 1,948,657
Harley Davidson Inc. .................................. 8,600 407,425
Lear Corp.*............................................ 1,200 46,200
------------
2,402,282
------------
Auto Parts (0.1%)
Danaher Corp. ......................................... 3,700 200,956
Federal Home Loan Mortgage Corp. ...................... 28,600 1,701,700
------------
1,902,656
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Household Appliances & Home Furnishings (0.1%)
Best Buy Co., Inc.*.................................... 3,200 $ 196,400
Ethan Allen Interiors Inc. ............................ 1,900 77,900
Furniture Brands International Inc.*................... 3,500 95,375
Leggett & Platt Inc. .................................. 7,200 158,400
Maytag Corp. .......................................... 3,300 205,425
Newell Co. ............................................ 6,900 284,625
Sunbeam Inc. .......................................... 2,700 18,900
Westpoint Stevens Inc.*................................ 2,400 75,750
------------
1,112,775
------------
Tires & Rubber (0.2%)
Cooper Tire & Rubber Co. .............................. 122,000 2,493,375
Safeskin Corp.*........................................ 2,800 67,550
------------
2,560,925
------------
TOTAL CONSUMER DURABLE GOODS........................... 7,978,638
------------
CONSUMER NON-DURABLES (7.8%)
Apparel & Textiles (0.4%)
Cintas Corp. .......................................... 3,200 225,400
Fruit of the Loom Inc.*................................ 3,300 45,581
Intimate Brands Inc. .................................. 1,300 38,838
Jones Apparel Group Inc.*.............................. 5,200 114,725
Liz Claiborne Inc. .................................... 1,400 44,188
Nike Inc. ............................................. 79,200 3,212,550
Unifi Inc. ............................................ 3,000 58,687
VF Corp. .............................................. 42,400 1,987,500
Warnaco Group Inc. .................................... 1,700 42,925
------------
5,770,394
------------
Cosmetics & Toiletries (0.2%)
Avon Products Inc. .................................... 49,200 2,177,100
Estee Lauder Cos., Inc. ............................... 2,000 171,000
International Flavors & Fragrances..................... 800 35,350
Revlon Inc.*........................................... 1,800 29,588
------------
2,413,038
------------
Liquor (0.2%)
Anheuser Busch Cos., Inc. ............................. 48,300 3,169,687
------------
Photography (0.0%)
Eastman Kodak Co. ..................................... 900 64,800
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Retail Trade (6.6%)
Abercrombie & Fitch Co.*............................... 33,700 $ 2,384,275
Amazon. Com Inc.*...................................... 1,700 546,125
Autozone Inc.*......................................... 7,600 250,325
Barnes & Noble Inc.*................................... 2,200 93,500
Bed Bath & Beyond Inc.*................................ 33,400 1,139,775
Borders Group Inc.*.................................... 3,600 89,775
Circuit City Stores Inc. .............................. 1,400 69,913
CompUSA Inc.*.......................................... 4,000 52,250
Consolidated Stores Corp.*............................. 5,650 114,059
Costco Cos., Inc. ..................................... 93,400 6,742,312
CVS Corp. ............................................. 128,300 7,056,500
Dayton Hudson Corp. ................................... 92,600 5,023,550
Dollar General Corp. .................................. 8,952 211,491
Dollar Tree Stores Inc.*............................... 3,150 137,616
Family Dollar Stores Inc. ............................. 7,800 171,600
Gap Inc. .............................................. 24,525 1,379,531
Home Depot Inc. ....................................... 227,200 13,901,800
Kohls Corp.*........................................... 7,400 454,637
Limited Inc. .......................................... 4,000 116,500
Lowes Cos., Inc. ...................................... 214,500 10,979,719
May Department Stores Co. ............................. 12,900 778,837
Nordstrom Inc. ........................................ 51,200 1,776,000
Office Depot Inc.*..................................... 70,900 2,618,869
Pep Boys--Manny, Moe & Jack............................ 88,600 1,389,912
Pier 1 Imports Inc. ................................... 7,500 72,656
Polo Ralph Lauren Corporation*......................... 2,500 47,969
Rite Aid Corp. ........................................ 38,800 1,923,025
Ross Stores Inc. ...................................... 3,000 118,125
Saks Incorporated*..................................... 4,568 144,178
Sears Roebuck & Co. ................................... 1,200 51,000
Staples Inc.*.......................................... 16,500 720,844
Tiffany & Co. ......................................... 1,300 67,438
TJX Cos., Inc. ........................................ 68,700 1,992,300
Venator Group Inc. .................................... 56,600 364,362
Wal Mart Stores Inc. .................................. 256,400 20,880,575
Walgreen Co. .......................................... 27,600 1,616,325
------------
85,477,668
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Toys & Amusements (0.4%)
Hasbro Inc. ........................................... 106,700 $ 3,854,537
Mattel Inc. ........................................... 47,100 1,074,469
------------
4,929,006
------------
TOTAL CONSUMER NON-DURABLES............................ 101,824,593
------------
CONSUMER SERVICES (1.4%)
Air Travel (0.2%)
Comair Holdings Inc. .................................. 4,050 136,687
Sealed Air Corporation*................................ 45,258 2,310,987
USAir Group Inc. ...................................... 600 31,200
------------
2,478,874
------------
Hotels & Restaurants (0.7%)
CKE Restaurants Inc. .................................. 2,310 68,001
Cracker Barrel Old Country Stores ..................... 1,900 44,294
Hilton Hotels Corp. ................................... 4,100 78,412
Marriott International Inc. ........................... 13,400 388,600
McDonald's Corp. ...................................... 82,200 6,298,575
Mirage Resorts Inc.*................................... 4,000 59,750
Promus Hotel Corporation*.............................. 3,627 117,424
Sodexho Marriott Services Incorporated*................ 1,425 39,455
Starbucks Corp.*....................................... 4,900 275,012
Tricon Global Restaurants Inc.*........................ 36,880 1,848,610
Wendy's International Inc. ............................ 700 15,269
------------
9,233,402
------------
Leisure Time (0.5%)
Callaway Golf Co. ..................................... 1,400 14,350
Circus Circus Enterprises Inc.*........................ 300 3,431
Fox Entertainment Group Inc.*.......................... 66,300 1,669,932
International Game Technology.......................... 6,100 148,306
Walt Disney Co. ....................................... 162,637 4,879,110
------------
6,715,129
------------
TOTAL CONSUMER SERVICES................................ 18,427,405
------------
ENERGY (1.0%)
Domestic Oil (0.0%)
Noble Affiliates Inc. ................................. 1,200 29,550
------------
Gas Exploration (0.3%)
Anadarko Petroleum Corp. .............................. 5,700 175,988
BJ Services Co.*....................................... 2,000 31,250
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Burlington Resources Inc. ............................. 55,000 $ 1,969,687
Enron Corp. ........................................... 1,000 57,063
Oryx Energy Co. ....................................... 86,300 1,159,656
------------
3,393,644
------------
International Oil (0.4%)
Chevron Corp. ......................................... 23,500 1,949,031
Exxon Corp. ........................................... 31,000 2,266,875
Mobil Corp. ........................................... 24,000 2,091,000
------------
6,306,906
------------
Petroleum Services (0.3%)
Baker Hughes Inc. ..................................... 124,300 2,198,556
Conoco Incorporated.................................... 4,200 87,675
Diamond Offshore Drilling Inc. ........................ 3,900 92,381
Ensco International Inc. .............................. 6,100 65,194
Global Marine Inc.*.................................... 7,800 71,663
Halliburton Co. ....................................... 19,200 568,800
Nabors Industries Inc.*................................ 5,400 73,238
Noble Drilling Corp.*.................................. 5,800 75,037
Rowan Cos., Inc.*...................................... 3,400 34,000
Smith International Inc.*.............................. 2,700 68,006
Transocean Offshore Inc. .............................. 3,500 93,844
------------
3,428,394
------------
TOTAL ENERGY........................................... 13,158,494
------------
FINANCE (8.1%)
Banks (1.8%)
Bank of New York Co., Inc. ............................ 59,100 2,378,775
Bank One Corp. ........................................ 26,300 1,342,944
BankAmerica Corp ...................................... 139,359 8,378,960
Chase Manhattan Corp. ................................. 91,600 6,234,525
Fifth Third Bancorp ................................... 10,600 755,912
First Union Corp. ..................................... 24,600 1,495,987
MBNA Corp. ............................................ 36,000 897,750
Mellon Bank Corp. ..................................... 3,300 226,875
National Commerce Bancorp.............................. 2,600 48,913
North Fork BanCorporation Inc. ........................ 3,700 88,569
Northern Trust Corp. .................................. 3,700 323,056
Ocwen Financial Corp. ................................. 1,400 17,238
Providian Financial Corp. ............................. 7,650 573,750
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Synovus Financial Corp. ............................... 8,000 $ 195,000
Zions Bancorp. ........................................ 4,900 305,637
------------
23,263,891
------------
Financial Services (4.0%)
American Express Corp. ................................ 20,700 2,116,575
Amresco Inc. .......................................... 1,500 13,125
Associates First Capital Corp. ........................ 144,196 6,110,305
Capital One Financial Corp. ........................... 3,700 425,500
Citigroup Inc ......................................... 291,650 14,436,675
Concord EFS Inc.*...................................... 5,800 245,775
Countrywide Credit Industries Inc. .................... 600 30,113
Federal Home Loan Mortgage Corp. ...................... 154,400 9,949,150
Federal National Mortgage Association.................. 59,700 4,417,800
Household International Inc. .......................... 103,000 4,081,375
Wells Fargo & Company New.............................. 250,700 10,012,331
------------
51,838,724
------------
Insurance (1.9%)
Aetna Inc. ............................................ 700 55,037
Aflac Inc. ............................................ 2,900 127,600
American Bankers Insurance Group Inc. ................. 900 43,538
American International Group Inc. ..................... 121,700 11,759,262
Aon Corp. ............................................. 200 11,075
Berkshire Hathaway Inc.*............................... 67 4,704,000
Cincinnati Financial Corp. ............................ 88,887 3,255,486
Conseco Inc. .......................................... 6,657 203,455
Everest Reinsurance Holdings........................... 400 15,575
Foundation Health Systems Inc.*........................ 3,100 37,006
Lincoln National Corp. ................................ 10,300 842,669
Medpartners Inc.*...................................... 9,900 51,975
MGIC Investment Corp. ................................. 7,100 282,669
PMI Group Inc. ........................................ 40,000 1,975,000
Progressive Corp. ..................................... 2,200 372,625
Provident Cos., Inc. .................................. 600 24,900
Sunamerica Inc. ....................................... 6,600 535,425
UNUM Corp. ............................................ 600 35,025
------------
24,332,322
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Investment Companies (0.1%)
Charles Schwab Corp. .................................. 17,250 $ 969,235
Franklin Resources Inc. ............................... 9,700 310,400
T. Rowe Price Associates Inc. ......................... 5,900 202,075
------------
1,481,710
------------
Savings And Loan (0.3%)
Sovereign Bancorp Inc. ................................ 2,300 32,775
Washington Mutual Inc. ................................ 116,316 4,441,817
------------
4,474,592
------------
TOTAL FINANCE.......................................... 105,391,239
------------
GENERAL BUSINESS (9.6%)
Broadcasting (1.2%)
A.H. Belo Corp. ....................................... 800 15,950
Cablevision Systems Corp.*............................. 600 30,113
CBS Corp. ............................................. 19,100 625,525
Clear Channel Communications*.......................... 51,700 2,817,650
Comcast Corp. ......................................... 14,800 868,575
Heftel Broadcasting Corp.*............................. 2,400 118,200
Jacor Communications Inc.*............................. 1,500 96,562
Mediaone Group Incorporated*........................... 74,100 3,482,700
Sinclair Broadcast Group Inc.*......................... 1,200 23,475
Tele-Communications Inc.*.............................. 31,174 1,724,312
Viacom Inc. Class B*................................... 40,600 3,004,400
Viacom Inc. Class A*................................... 37,000 2,721,812
------------
15,529,274
------------
Business Services (3.4%)
Affiliated Computer Services Inc. ..................... 1,700 76,500
America Online Inc.*................................... 146,900 23,504,000
Apollo Group Inc.*..................................... 3,000 101,625
At Home Corp. ......................................... 2,300 170,775
Automatic Data Processing Inc. ........................ 75,300 6,038,119
Corrections Corp.*..................................... 5,000 88,125
Ecolab Inc. ........................................... 5,100 184,556
Equifax Inc. .......................................... 8,400 287,175
First Data Corp. ...................................... 61,500 1,948,781
Fiserv Inc.*........................................... 4,400 226,325
Gartner Group Inc.*.................................... 2,800 59,500
H&R Block Inc. ........................................ 5,200 234,000
Humana Inc. ........................................... 5,300 94,406
IMS Health Inc ........................................ 5,800 437,538
Interpublic Group of Cos., Inc. ....................... 34,950 2,787,262
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Business Services (continued)
Lamar Advertising Co. ................................. 2,200 $ 81,950
Manpower Inc. ......................................... 4,600 115,863
Modis Professional Services Incorporated*.............. 5,800 84,100
Omnicom Group Inc. .................................... 9,300 539,400
Outdoor Systems Inc.*.................................. 3,500 105,000
Paychex Inc. .......................................... 57,550 2,960,228
Quintiles Transnational Corp.*......................... 41,200 2,199,050
Robert Half International Inc.*........................ 5,650 252,484
Sabre Group Holdings Inc.*............................. 1,500 66,750
Service Corp. International............................ 12,100 460,556
Snyder Communications Inc.*............................ 3,000 101,250
Stewart Enterprises Inc. .............................. 2,900 64,525
Sungard Data Systems Inc.*............................. 5,600 222,250
Viad Corp. ............................................ 3,700 112,388
Yahoo Inc.*............................................ 3,900 924,056
------------
44,528,537
------------
Communication Services (3.3%)
Ascend Communications Inc.*............................ 125,330 8,240,447
Broadcom Corporation*.................................. 400 48,300
Cox Communications Inc.*............................... 2,000 138,250
Level 3 Communications Incorporated*................... 2,600 112,125
MCI Worldcom Inc. ..................................... 343,621 24,654,807
Nextel Communications Inc.*............................ 112,000 2,646,000
Paging Network Inc.*................................... 8,000 37,500
Tele Communications Inc.*.............................. 144,200 6,642,213
Univision Communications Inc.*......................... 2,100 75,994
------------
42,595,636
------------
Newspapers (0.1%)
Dow Jones & Co., Inc. ................................. 400 19,250
Gannett Co., Inc. ..................................... 6,200 399,900
New York Times Co. .................................... 800 27,750
Tribune Co. ........................................... 3,300 217,800
------------
664,700
------------
Office Furnishings & Supplies (0.2%)
Avery Dennison Corp. .................................. 52,800 2,379,300
Herman Miller Inc. .................................... 6,200 166,625
Hon Industries Inc. ................................... 2,700 64,631
Ikon Office Solutions Inc. ............................ 2,200 18,838
Office Max Inc.*....................................... 3,600 44,100
Reynolds & Reynolds Co. ............................... 4,000 91,750
------------
2,765,244
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Publishing (1.4%)
Dun & Bradstreet Corp ................................. 2,600 $ 82,063
Jostens Inc. .......................................... 92,158 2,413,388
McGraw-Hill Inc. ...................................... 1,000 101,875
Meredith Corp. ........................................ 2,200 83,325
Reader's Digest Association Inc. ...................... 1,100 27,706
Time Warner Inc. ...................................... 245,400 15,230,137
Times Mirror Co. ...................................... 3,900 218,400
------------
18,156,894
------------
TOTAL GENERAL BUSINESS................................. 124,240,285
------------
MISCELLANEOUS (3.8%)
Conglomerates (1.8%)
Cendant Corporation*................................... 46,821 892,525
Harcourt General Inc. ................................. 1,000 53,188
Textron Inc. .......................................... 49,100 3,728,531
Tyco International Ltd. ............................... 234,200 17,667,462
W. R. Grace & Company.................................. 66,200 1,038,513
------------
23,380,219
------------
Miscellaneous (2.0%)
Beckman Coulter Inc ................................... 800 43,400
BJ's Wholesale Club Inc.*.............................. 1,600 74,100
Blyth Industries Inc.*................................. 1,800 56,250
Boston Properties Inc. ................................ 3,100 94,550
Capstar Broadcasting Corporation*...................... 2,000 45,750
Chancellor Media Corporation*.......................... 6,800 325,550
CNF Transportation Inc. ............................... 17,300 649,831
Commscope Incorporated*................................ 1 17
Edwards J D & Company*................................. 2,700 76,613
FDX Corporation*....................................... 17,500 1,557,500
First Health Group Corporation*........................ 5,000 82,812
Firstar Corp. Wisconsin................................ 38,600 3,599,450
Galileo International Inc. ............................ 3,200 139,200
General Instrument Corporation*........................ 3,500 118,781
Global Telesystems Group Incorporated*................. 3,800 211,850
Hartford Life Inc. .................................... 900 52,425
HCR Manor Care Incorporated*........................... 3,000 88,125
Hearst Argyle Television Inc.*......................... 2,500 82,500
Infinity Broadcasting Corporation...................... 55,000 1,505,625
Keyspan Energy......................................... 1,500 46,500
LHS Group Inc.*........................................ 1,100 56,788
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Miscellaneous (continued)
Meritor Automotive Inc. ............................... 2,600 $ 55,088
Meyer Fred Incorporated*............................... 29,200 1,759,300
National Oilwell Inc.*................................. 1,200 13,425
Nationwide Financial Services Inc. .................... 300 15,506
Nextlink Communications Incorporated*.................. 3,700 104,987
Ocean Energy Incorporated*............................. 3,500 22,094
Panamsat Corporation*.................................. 1,900 73,981
Pennzenergy Company.................................... 1,100 17,944
Pennzoil Quaker Str Co. ............................... 1,100 16,294
Primedia Incorporated*................................. 5,100 59,925
Qwest Communications International Inc.*............... 2,530 126,500
R & B Falcon Corporation*.............................. 7,900 60,238
Reltec Corporation*.................................... 3,600 79,875
Servicemaster Company.................................. 16,000 353,000
SLM Holding Corp. ..................................... 234,900 11,275,200
Solutia Inc. .......................................... 31,900 713,762
Starwood Financial Trust (Maryland).................... 2,800 168,000
Tele Communications Inc.*.............................. 11,000 259,187
Teligent Inc. ......................................... 400 11,500
United States Office Prods Company*.................... 600 2,325
US Bancorp............................................. 34,600 1,228,300
Weatherford International Incorporated*................ 3,955 76,628
Young & Rubicam Incorporated*.......................... 1,600 51,800
------------
25,452,476
------------
Real Estate (0.0%)
Crestline Capital Corp. ............................... 430 6,289
Host Marriott Corp.*................................... 4,300 59,394
------------
65,683
------------
TOTAL MISCELLANEOUS.................................... 48,898,378
------------
SHELTER (0.0%)
Construction Materials (0.0%)
Fastenal Co. .......................................... 2,100 92,400
Masco Corp. ........................................... 10,900 313,375
Southdown Inc. ........................................ 1,000 59,187
USG Corp. ............................................. 1,200 61,125
------------
526,087
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Homebuilders (0.0%)
Catellus Development Corp.*............................ 3,500 $ 50,094
Rouse Co. ............................................. 700 19,250
------------
69,344
------------
TOTAL SHELTER.......................................... 595,431
------------
TECHNOLOGY (21.3%)
Aerospace (0.8%)
Allied Signal Inc. .................................... 51,600 2,286,525
B.F. Goodrich Co. ..................................... 1,500 53,813
Boeing Co. ............................................ 89,050 2,905,256
Coltec Industries Inc.*................................ 2,500 48,750
Computer Sciences Corp.*............................... 8,700 560,606
Gulfstream Aerospace Corp.*............................ 4,700 250,275
Orbital Sciences Corp.*................................ 2,100 92,925
Sundstrand Corp. ...................................... 3,000 155,625
United Technologies Corp. ............................. 40,100 4,360,875
------------
10,714,650
------------
Computers & Business Equipment (8.4%)
3COM Corp.*............................................ 72,700 3,257,869
Cabletron Systems Inc.*................................ 2,400 20,100
Ceridian Corp.*........................................ 3,600 251,325
Cisco Systems Inc.*.................................... 410,250 38,076,328
Citrix Systems Inc.*................................... 2,400 232,950
Compaq Computer Corp. ................................. 352,400 14,778,775
Dell Computer Corp.*................................... 236,300 17,294,206
Diebold Inc. .......................................... 1,500 53,531
EMC Corp.*............................................. 112,400 9,554,000
Fore Systems*.......................................... 4,400 80,575
Gateway 2000 Inc.*..................................... 31,800 1,627,763
Hewlett Packard Co. ................................... 28,300 1,933,244
IBM Corp. ............................................. 50,200 9,274,450
Ingram Micro Inc.*..................................... 2,800 97,650
Netscape Communications Corp.*......................... 3,241 196,891
Pitney Bowes Inc. ..................................... 13,500 891,844
Pixar*................................................. 800 28,000
Quantum Corp.*......................................... 5,000 106,250
Seagate Technology*.................................... 5,000 151,250
Storage Technology Corp.*.............................. 4,800 170,700
Sun Microsystems Inc.*................................. 21,100 1,806,687
Symbol Technologies Inc. .............................. 2,800 179,025
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-54
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Growth Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Computers & Business Equipment (continued)
Tandy Corp. ........................................... 5,200 $ 214,175
Tech Data Corp.*....................................... 1,700 68,425
Western Digital Corp.*................................. 2,900 43,681
Xerox Corp. ........................................... 71,400 8,425,200
------------
108,814,894
------------
Electronics (7.4%)
Adaptec Inc.*.......................................... 2,900 50,931
ADC Telecommunications Inc.*........................... 7,400 257,150
Advanced Fibre Communications*......................... 3,300 36,094
Advanced Micro Devices Inc.*........................... 1,100 31,831
Altera Corp.*.......................................... 4,900 298,288
Analog Devices Inc.*................................... 8,000 251,000
Andrew Corp.*.......................................... 4,500 74,250
Applied Materials Inc.*................................ 226,300 9,660,181
Avnet Inc. ............................................ 100 6,050
Boston Scientific Corp.*............................... 13,400 359,287
Cambridge Technology Partners Inc.*.................... 2,600 57,525
Ciena Corp.*........................................... 5,600 81,900
Comverse Technology Inc.*.............................. 2,000 142,000
Electronic Data Systems Corp. ......................... 2,400 120,600
Honeywell Inc. ........................................ 2,200 165,688
Intel Corp. ........................................... 346,900 41,129,331
KLA Instruments Corp.*................................. 99,400 4,311,475
Lexmark International Group Inc.*...................... 3,600 361,800
Linear Technology Corp. ............................... 4,200 376,162
Loral Space & Communications Ltd.*..................... 150,000 2,671,875
LSI Logic Corp. ....................................... 3,100 49,988
Lucent Technologies Inc. .............................. 237,100 26,081,000
Maxim Integrated Products Inc.*........................ 7,400 323,288
Micron Technology Inc. ................................ 2,400 121,350
Molex Inc. ............................................ 1,400 53,375
Motorola Inc. ......................................... 12,200 744,962
National Semiconductor Corp.*.......................... 1,600 21,600
Perkin-Elmer Corp. .................................... 2,900 282,931
Qualcomm Inc.*......................................... 2,700 139,894
SCI Systems Inc.*...................................... 2,700 155,925
Scientific Atlanta Inc. ............................... 2,900 66,156
Tellabs Inc.*.......................................... 9,000 617,062
Teradyne Inc.*......................................... 92,000 3,898,500
Texas Instruments Inc. ................................ 36,100 3,088,806
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-55
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Growth Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Electronics (continued)
Uniphase Corp.*........................................ 2,200 $ 152,625
Vitesse Semiconductor Corp.*........................... 3,300 150,563
Xilinx Inc.*........................................... 3,700 240,963
------------
96,632,406
------------
Software (4.7%)
Adobe Systems Inc. .................................... 1,400 65,450
Autodesk Inc. ......................................... 10,400 443,950
BMC Software Inc.*..................................... 50,500 2,250,406
Cadence Design Systems Inc.*........................... 11,800 351,050
Ciber Inc.*............................................ 2,500 69,844
Computer Associates International Inc. ................ 23,600 1,005,950
Compuware Corp.*....................................... 8,900 695,312
Electronic Arts*....................................... 3,300 185,213
HBO & Co. ............................................. 24,500 702,844
I2 Technologies Inc.*.................................. 100 3,038
Intuit*................................................ 2,100 152,250
Keane Inc.*............................................ 3,600 143,775
Learning Co. Inc.*..................................... 27,000 700,312
Microsoft Corp.*....................................... 347,300 48,166,169
Networks Assocs Inc.*.................................. 5,950 394,187
Novell Inc.*........................................... 3,200 58,000
Oracle Corp.*.......................................... 41,450 1,787,531
Parametric Technology Corp.*........................... 14,900 243,987
PeopleSoft Inc.*....................................... 101,600 1,924,050
PLATINUM Technology Inc.*.............................. 4,200 80,325
Shared Medical Systems Corp. .......................... 1,900 94,763
Siebel Systems Inc. ................................... 3,700 125,569
Solectron Corp.*....................................... 5,900 548,331
Sterling Software Inc.*................................ 700 18,944
Synopsys Inc.*......................................... 3,400 184,450
Veritas Software Co.*.................................. 3,100 185,806
------------
60,581,506
------------
TOTAL TECHNOLOGY....................................... 276,743,456
------------
TRANSPORTATION (0.1%)
Railroads & Equipment (0.1%)
Kansas City Southern Industries Inc. .................. 6,500 319,719
Wisconsin Central Transportation Corp.*................ 33,100 568,906
------------
888,625
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-56
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Growth Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------- -------------
<S> <C> <C>
Trucking & Freight Forwarding (0.0%)
Hertz Corp............................................... 900 $ 41,062
Pittston Brink's Group................................... 1,200 38,250
Tidewater Inc. .......................................... 1,700 39,419
-------------
118,731
-------------
TOTAL TRANSPORTATION..................................... 1,007,356
-------------
UTILITIES (2.7%)
Electric Utilities (0.1%)
Calenergy Inc.*.......................................... 300 10,406
Northeast Utilities...................................... 114,300 1,828,800
-------------
1,839,206
-------------
Gas & Pipeline Utilities (0.4%)
Cooper Cameron Corp.*.................................... 2,500 61,250
KN Energy Inc. .......................................... 55,200 2,007,900
Sonat Inc. .............................................. 400 10,825
Williams Cos., Inc. ..................................... 105,400 3,287,163
-------------
5,367,138
-------------
Telephone (2.2%)
Airtouch Communications*................................. 146,000 10,530,250
Alltel Corp. ............................................ 3,900 233,269
Ameritech Corp. ......................................... 36,000 2,281,500
AT&T Corp. .............................................. 32,491 2,444,948
Bell Atlantic Corp. ..................................... 4,400 233,200
Cincinnati Bell Inc. .................................... 7,600 287,375
Frontier Corp. .......................................... 7,500 255,000
GTE Corp. ............................................... 53,000 3,445,000
Intermedia Commerce of Florida........................... 3,300 56,925
SBC Communications Inc. ................................. 89,000 4,772,625
Sprint Corp. ............................................ 44,900 3,777,212
Sprint Corp. ............................................ 950 21,969
Telephone & Data Systems Inc. ........................... 1,500 67,406
-------------
28,406,679
-------------
TOTAL UTILITIES.......................................... 35,613,023
-------------
TOTAL COMMON STOCK (cost $799,923,305)................... 1,221,714,352
-------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-57
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Growth Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
PREFERRED STOCK (0.1%)
CONSUMER SERVICES (0.1%)
Air Travel (0.1%)
Sealed Air Corporation Preferred Convertible Series A
(cost $1,830,562)...................................... 36,765 $ 1,907,184
------------
AMERICAN DEPOSITARY RECEIPTS** (3.7%)
BASIC INDUSTRIES (0.3%)
Chemicals (0.3%)
Zeneca Group PLC........................................ 79,800 3,581,025
------------
CAPITAL GOODS (0.2%)
Electrical Equipment (0.2%)
Asm Lithography Hldg N V*............................... 59,200 1,805,600
Philips Electrs NV...................................... 4,500 304,594
------------
TOTAL CAPITAL GOODS..................................... 2,110,194
------------
CONSUMER BASICS (0.5%)
Drugs & Health Care (0.2%)
Astra Ab................................................ 151,666 3,137,590
------------
Food & Beverages (0.3%)
Unilever NV............................................. 40,100 3,325,794
------------
TOTAL CONSUMER BASICS................................... 6,463,384
------------
CONSUMER NON-DURABLES (0.0%)
Apparel & Textiles (0.0%)
Gucci Group NV.......................................... 4,400 213,950
------------
ENERGY (0.6%)
International Oil (0.3%)
Shell Transport & Trading Plc........................... 118,000 4,388,125
------------
Petroleum Services (0.3%)
Schlumberger Ltd. ...................................... 44,250 2,041,031
Total SA................................................ 32,200 1,601,950
------------
3,642,981
------------
TOTAL ENERGY............................................ 8,031,106
------------
GENERAL BUSINESS (1.7%)
Business Services (1.6%)
Nokia Corp.............................................. 175,600 21,148,825
------------
</TABLE>
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
Growth Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- --------------
<S> <C> <C>
Newspapers (0.1%)
News Corp Ltd........................................ 23,700 $ 585,094
--------------
TOTAL GENERAL BUSINESS............................... 21,733,919
--------------
MISCELLANEOUS (0.4%)
Miscellaneous (0.4%)
Lucasvarity PLC...................................... 138,500 4,639,750
--------------
TOTAL AMERICAN DEPOSITARY RECEIPTS (cost
$30,206,643)........................................ 46,773,328
--------------
REAL ESTATE INVESTMENT TRUST (0.0%)
MISCELLANEOUS (0.0%)
Real Estate (0.0%)
Meditrust (0.00%) (cost $202,928).................... 7,327 110,820
--------------
TOTAL INVESTMENT SECURITIES (cost $832,163,438)...... 1,270,505,684
--------------
<CAPTION>
Principal
Amount
----------
<S> <C> <C>
GOVERNMENT AND AGENCIES (0.0%)
United States Treasury Bills 4.34% 2/4/1999.......... $ 15,000 14,857
United States Treasury Bills 4.41% 2/4/1999.......... 40,000 39,834
United States Treasury Bills 4.53% 2/4/1999.......... 75,000 74,679
--------------
TOTAL GOVERNMENT AND AGENCIES (cost $129,370)........ 129,370
--------------
<CAPTION>
Units
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (2.4%) (cost $30,922,409)
State Street Bank Yield Enhanced Short Term Invest-
ment Fund........................................... 30,922,409 30,922,409
--------------
TOTAL INVESTMENTS (cost $863,215,217) (100.30%)...... 1,301,557,463
Liabilities in excess of other assets (0.3%)......... (3,730,792)
--------------
NET ASSETS (100.00%)................................. $1,297,826,671
==============
</TABLE>
* Non-income producing security.
** An American Depositary 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-59
<PAGE>
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value:
State Street Bank S&P 500 Index Fund with Futures (cost
$150,382,328 and units 824,463)................................. $168,784,135
State Street Bank Russell Special Small Company Common Trust Fund
(cost $35,146,688 and units 2,230,800).......................... 43,418,054
Deferred registration fees........................................ 35,198
------------
Total Assets.................................................... 212,237,387
------------
Liabilities
Payable for fund units redeemed................................... 1,808,520
State Street Bank and Trust Co.--program fee payable.............. 53,942
Trustee, management and administration fees payable............... 25,547
American Bar Retirement Association--program fee payable.......... 7,826
Other accruals.................................................... 17,823
------------
Total Liabilities............................................... 1,913,658
------------
Net assets (equivalent to $27.15 per unit based on 7,745,510 units
outstanding)..................................................... $210,323,729
============
</TABLE>
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 Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividend income................................................. $ 671,032
-----------
Total investment income....................................... 671,032
-----------
Expenses
State Street Bank and Trust Co.--program fee.................... 593,634
Trustee, management and administration fees..................... 275,924
American Bar Retirement Association--program fee................ 86,557
Amortization of organization costs.............................. 21,923
Legal and audit fees............................................ 22,496
Reports to unitholders.......................................... 29,281
Registration fees............................................... 14,824
Other expenses.................................................. 5,356
-----------
Total expenses................................................ 1,049,995
-----------
Net investment loss............................................... (378,963)
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 51,880,766
Change in net unrealized appreciation on investments............ (13,345,132)
-----------
Net realized and unrealized gain on investments............... 38,535,634
-----------
Net increase in net assets resulting from operations.............. $38,156,671
===========
</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 Changes in Net Assets
<TABLE>
<CAPTION>
For the
year ended
December 31,
--------------------------
1997 1998
------------ ------------
<S> <C> <C>
From operations
Net investment loss.............................. $ (274,852) $ (378,963)
Net realized gain on investments................. 6,358,747 51,880,766
Net change in unrealized appreciation on invest-
ments........................................... 26,647,934 (13,345,132)
------------ ------------
Net increase in net assets resulting from
operations.................................... 32,731,829 38,156,671
------------ ------------
From unitholder transactions
Proceeds from units sold......................... 53,390,069 38,720,832
Cost of units redeemed........................... (15,293,758) (20,262,917)
------------ ------------
Net increase in net assets resulting from
unitholder transactions....................... 38,096,311 18,457,915
------------ ------------
Net increase in net assets..................... 70,828,140 56,614,586
Net assets
Beginning of year................................ 82,881,003 153,709,143
------------ ------------
End of year...................................... $153,709,143 $210,323,729
============ ============
Number of units
Outstanding--beginning of year................... 4,914,409 6,971,219
Sold........................................... 2,867,768 1,631,560
Redeemed....................................... (810,958) (857,269)
------------ ------------
Outstanding--end of year......................... 6,971,219 7,745,510
============ ============
</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
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
April 30, 1994 For the year ended
(Commencement December 31,
of Operations) to --------------------------------------
December 31, 1994 1995 1996 1997 1998
----------------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ -- $ .02 $ .28 $ .08 $ .09
Expenses................ (.04) (.08) (.11) (.12) (.14)
------- ------- ------- -------- --------
Net investment income
(loss)................. (.04) (.06) .17 (.04) (.05)
Net realized and
unrealized gain
on investments......... .39 3.68 2.72 5.23 5.15
------- ------- ------- -------- --------
Net increase in unit
value.................. .35 3.62 2.89 5.19 5.10
Net asset value at
beginning of period.... 10.00 10.35 13.97 16.86 22.05
------- ------- ------- -------- --------
Net asset value at end
of period.............. $ 10.35 $ 13.97 $ 16.86 $ 22.05 $ 27.15
======= ======= ======= ======== ========
Ratio of expenses to
average net assets..... .94 %** .68 % .69% .62 % .57 %
Ratio of net investment
income (loss) to
average net assets..... (.94)%** (.52)% 1.15% (.22)% (.20)%
Portfolio turnover ***.. 54 %**** 132 % 17% 11 % 94 %
Total return............ 3.50 %**** 34.98 % 20.68% 30.78 % 23.13 %
Net assets at end of
period (in thousands).. $11,662 $48,020 $82,881 $153,709 $210,324
</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-63
<PAGE>
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value:
PIMCO Total Return Fund
(cost $86,503,393 and shares 8,146,220)......................... $ 85,861,160
MasterWorks Bond Index Fund
(cost $40,881,024 and shares 4,214,008)......................... 42,182,225
Receivable for fund units sold.................................... 1,803,240
Deferred registration fees........................................ 22,050
------------
Total Assets.................................................. 129,868,675
------------
Liabilities
Payable for investments purchased................................. 1,938,454
State Street Bank and Trust Company--program fee payable.......... 33,062
Trustee, management and administration fees payable............... 10,622
American Bar Retirement Association--program fee payable.......... 4,814
Other accruals.................................................... 14,414
------------
Total Liabilities............................................. 2,001,366
------------
Net assets (equivalent to $12.99 per unit
based on 9,847,223 units outstanding)............................ $127,867,309
============
</TABLE>
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 Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends........................................................ $9,648,751
----------
Total investment income........................................ 9,648,751
----------
Expenses
State Street Bank and Trust Co.--program fee..................... 342,931
Trustee, management and administration fees...................... 106,991
American Bar Retirement Association--program fee................. 50,004
Amortization of organization costs............................... 10,301
Reports to unitholders........................................... 18,255
Legal and audit fees............................................. 14,025
Registration fees................................................ 9,242
Other expenses................................................... 3,339
----------
Total expenses................................................. 555,088
----------
Net investment income.............................................. 9,093,663
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain................................................ 355,688
Change in net unrealized appreciation............................ (222,651)
----------
Net realized and unrealized gain on investments................ 133,037
----------
Net increase in net assets resulting from operations............... $9,226,700
==========
</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 Changes in Net Assets
<TABLE>
<CAPTION>
For the year ended
December 31,
-------------------------
1997 1998
----------- ------------
<S> <C> <C>
From operations
Net investment income............................. $ 5,285,748 $ 9,093,663
Net realized gain on investments.................. 10,090 355,688
Net change in unrealized appreciation on
investments...................................... 1,061,117 (222,651)
----------- ------------
Net increase in net assets resulting from opera-
tions............................................ 6,356,955 9,226,700
----------- ------------
From unitholder transactions
Proceeds from units issued........................ 34,646,710 50,559,632
Cost of units redeemed............................ (7,880,999) (14,653,506)
----------- ------------
Net increase in net assets resulting from
unitholder transactions.......................... 26,765,711 35,906,126
----------- ------------
Net increase in net assets...................... 33,122,666 45,132,826
Net Assets
Beginning of year................................. 49,611,817 82,734,483
----------- ------------
End of year....................................... $82,734,483 $127,867,309
=========== ============
Number of units
Outstanding--beginning of year.................... 4,556,518 6,945,554
Sold............................................ 3,093,999 4,070,913
Redeemed........................................ (704,963) (1,169,244)
----------- ------------
Outstanding--end of year.......................... 6,945,554 9,847,223
=========== ============
</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
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
September 5, 1995
(Commencement) For the year ended
of Operations) to December 31,
December 31, --------------------------
1995 1996 1997 1998
----------------- ------- ------- --------
<S> <C> <C> <C> <C>
Investment income................ $ .34 $ .67 $ .97 $ 1.12
Expenses+........................ (.02) (.06) (.07) (.06)
------- ------- ------- --------
Net investment income............ .32 .61 .90 1.06
Net realized and unrealized gain
(loss) on investments........... .26 (.30) .12 .02
------- ------- ------- --------
Net increase in unit value....... .58 .31 1.02 1.08
Net asset value at beginning of
period.......................... 10.00 10.58 10.89 11.91
------- ------- ------- --------
Net asset value at end of period. $ 10.58 $ 10.89 $ 11.91 $ 12.99
======= ======= ======= ========
Ratio of expenses to average net
assets+......................... .69%** .58% .57% .52%
Ratio of net investment income to
average net assets.............. 9.17%** 5.82% 7.93% 8.50%
Portfolio turnover ***........... 2%**** 22% 14% 17%
Total return..................... 5.80%**** 2.93% 9.37% 9.07%
Net assets at end of period (in
thousands)...................... $36,457 $49,612 $82,734 $127,867
</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 registered investment companies in which the Fund invests pay asset
management and administration fees to their investment advisors. These fees
are not included in per-unit expenses or the ratio of expenses to average
net assets.
The accompanying notes are an integral part of these financial statements.
F-67
<PAGE>
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
T. Rowe Price International Stock Fund, at value (cost $67,852,868
and shares 4,641,630)............................................ $69,578,032
Receivable for investments sold................................... 13,186
Receivable for fund units sold.................................... 151,925
Deferred registration fees........................................ 28,140
-----------
Total Assets.................................................... 69,771,283
-----------
Liabilities
Payable for fund units redeemed................................... 165,111
State Street Bank and Trust Co.--program fee payable.............. 18,014
Trustee, management and administration fees payable............... 3,939
American Bar Retirement Association--program fee payable.......... 2,789
Other accruals.................................................... 6,450
-----------
Total Liabilities............................................... 196,303
-----------
Net assets (equivalent to $21.07 per unit based on 3,302,529 units
outstanding)..................................................... $69,574,980
===========
</TABLE>
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 Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends........................................................ $2,611,880
Other income..................................................... 70,221
----------
Total investment income........................................ 2,682,101
----------
Expenses
State Street Bank and Trust Company--program fee................. 208,788
Trustee, management and administration fees...................... 44,741
American Bar Retirement Association--program fee................. 30,444
Amortization of organization costs............................... 5,961
Reports to unitholders........................................... 10,506
Legal and audit fees............................................. 8,072
Registration fee................................................. 5,303
Other expenses................................................... 1,921
----------
Total expenses................................................. 315,736
----------
Net investment income.............................................. 2,366,365
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain................................................ 551,557
Change in net unrealized depreciation............................ 6,705,700
----------
Net realized and unrealized loss on investments................ 7,257,257
----------
Net increase in net assets resulting from operations............... $9,623,622
==========
</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 Changes in Net Assets
<TABLE>
<CAPTION>
For the
year ended
December 31,
--------------------------
1997 1998
------------ ------------
<S> <C> <C>
From operations
Net investment income............................ $ 2,864,871 $ 2,366,365
Net realized gain on investments................. 4,264,284 551,557
Net change in unrealized appreciation on
investments..................................... (6,012,507) 6,705,700
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 1,116,648 9,623,622
------------ ------------
From unitholder transactions
Proceeds from sales of units..................... 84,016,272 79,948,229
Cost of units redeemed........................... (59,404,273) (78,993,818)
------------ ------------
Net increase in net assets resulting from
unitholder transactions......................... 24,611,999 954,411
------------ ------------
Net increase in net assets..................... 25,728,647 10,578,033
Net assets
Beginning of year................................ 33,268,300 58,996,947
------------ ------------
End of year...................................... $ 58,996,947 $ 69,574,980
============ ============
Number of units
Outstanding--beginning of year................... 1,868,547 3,239,192
Sold........................................... 4,541,730 4,046,808
Redeemed....................................... (3,171,085) (3,983,471)
------------ ------------
Outstanding--end of year......................... 3,239,192 3,302,529
============ ============
</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
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
September 5, For the
(Commencement year ended
of Operations) to December 31,
December 31, -------------------------
1995 1996 1997 1998
----------------- ------- ------- -------
<S> <C> <C> <C> <C>
Investment income................. $ .49 $ .70 $ 1.12 $ .82
Expenses+......................... (.03) (.10) (.10) (.10)
------- ------- ------- -------
Net investment income............. .46 .60 1.02 .72
Net realized and unrealized gain
(loss) on investments............ (.09) 1.83 (.61) 2.14
------- ------- ------- -------
Net increase in unit value........ .37 2.43 .41 2.86
Net asset value at beginning of
period........................... 15.00 15.37 17.80 18.21
------- ------- ------- -------
Net asset value at end of period.. $ 15.37 $ 17.80 $ 18.21 $ 21.07
======= ======= ======= =======
Ratio of expenses to average net
assets+.......................... .57%** .59% .54% .48%
Ratio of net investment income to
average net assets............... 9.2%** 3.58% 5.41% 3.63%
Portfolio turnover ***............ 4%**** 73% 101% 122%
Total return...................... 2.47%**** 15.81% 2.30% 15.71%
Net assets at end of period (in
thousands)....................... $10,849 $33,268 $58,997 $69,575
</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 registered investment company in which the Fund invests pays asset
management and administration fees to its advisor. This fee is not
included in per-unit expenses or the ratio of expenses to average net
assets.
The accompanying notes are an integral part of these financial statements.
F-71
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value (cost $678,987,231)......................... $678,987,231
Interest receivable............................................... 3,379,618
Deferred registration fees........................................ 119,763
------------
Total Assets.................................................... 682,486,612
------------
Liabilities
Payable for fund units redeemed .................................. 2,118,579
State Street Bank and Trust Co.--program fee payable.............. 179,371
Trustee, management and administration fees payable............... 114,293
American Bar Retirement Association--program fee payable.......... 27,454
Other accruals.................................................... 55,756
------------
Total Liabilities............................................... 2,495,453
------------
Net assets (equivalent to $1.00 per unit based on 679,991,159
units outstanding)............................................... $679,991,159
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-72
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Interest.......................................................... $39,216,967
-----------
Total investment income....................................... 39,216,967
-----------
Expenses
State Street Bank and Trust Company--program fee................ 2,079,661
Trustee, management and administration fees..................... 1,296,095
American Bar Retirement Association--program fee................ 303,247
Reports to unitholders.......................................... 84,353
Amortization of organization costs.............................. 94,179
Legal and audit fees............................................ 64,808
Registration fees............................................... 42,980
Other expenses.................................................. 15,430
-----------
Total expenses................................................ 3,980,753
-----------
Net investment income and net increase in net assets resulting
from operations.................................................. $35,236,214
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-73
<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 1998
------------ ------------
<S> <C> <C>
From operations
Net investment income and net increase in net
assets resulting from operations................ $ 34,382,204 $ 35,236,214
------------ ------------
From unitholder transactions (at $1.00 per unit):
Proceeds from units issued....................... 165,192,903 189,755,231
Distributions of net investment income........... (34,382,204) (35,236,214)
Units reinvested in connection with distribution
of net investment income........................ 34,382,204 35,236,214
Cost of units redeemed........................... (199,773,055) (179,565,107)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... (34,580,152) 10,190,124
------------ ------------
Net increase (decrease) in net assets.......... (197,948) 45,426,338
Net Assets
Beginning of year................................ 634,762,769 634,564,821
------------ ------------
End of year...................................... $634,564,821 $679,991,159
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-74
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the year)*
<TABLE>
<CAPTION>
For the year ended December 31,
--------------------------------------------------------------------
For the period
December 5, 1991
(Commencement
of Operations to
December 31,
1991) 1992 1993 1994 1995 1996 1997 1998
---------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .004 $ .042 $ .035 $ .043 $ .061 $ .058 $ .060 $ .060
Expenses................ (.000) (.008) (.008) (.007) (.007) (.007) (.007) (.006)
-------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .004 .034 .027 .036 .054 .051 .053 .054
Reinvestment of net
investment income...... (.004) (.034) (.027) (.036) (.054) (.051) (.053) (.054)
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value at
beginning and end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======== ======== ========
Ratio of expenses to
average net assets..... -- .79% .75% .73% .73% .68% .68% .61%
Ratio of net investment
income to average net
assets................. -- 3.45% 2.77% 3.55% 5.32% 5.15% 5.38% 5.44%
Net assets at end of
period (in thousands).. $560,334 $589,882 $509,905 $491,979 $630,208 $634,763 $634,565 $679,991
</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-75
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1998
UNITS OF COLLECTIVE INVESTMENT FUND
<TABLE>
<S> <C>
State Street Bank ABA Members/Pooled Stable Asset Fund Trust
("SAFT")
(Units 678,987,231) (a).......................................... $678,987,231
------------
TOTAL INVESTMENTS (cost $678,987,231) (99.9%)..................... 678,987,231
OTHER ASSETS LESS LIABILITIES (.1%)............................... 1,003,928
------------
NET ASSETS (100.0%)............................................... $679,991,159
============
</TABLE>
- --------
(a) SAFT holds the following investments:
<TABLE>
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1998 (Note 2)
---------------- --------------
<S> <C> <C>
Investment Contracts (51.17%)
AEGON USA, Inc.
4 Investment Contracts
(Maturities ranging from February 1, 1999
to March 31, 2002)........................ 6.07-7.03% $ 23,428,859
Allstate Life Insurance Company
1 Investment Contract
(Matures July 31, 1999)................... 6.52-7.17 4,303,892
Continental Assurance Company
6 Investment Contracts
(Maturities ranging from March 31, 1999 to
December 31, 2002)........................ 6.00-7.32 33,459,216
Hartford Life Insurance Company
1 Investment Contract
(Matures January 4, 1999)................. 4.70 2,041,873
John Hancock Mutual Life Insurance Company
4 Investment Contracts
(Maturities ranging from September 30,
1999 to November 30, 2002)................ 6.03-7.75 25,214,835
Life of Virginia
6 Investment Contracts, Indexed
(Maturities ranging from May 31, 1999 to
February 28, 2003 and upon funds request). 5.08-7.10 38,302,002
Metropolitan Life Insurance Company
2 Investment Contracts
(Maturities ranging from April 30, 1999 to
February 28, 2001)........................ 6.08-6.37 13,749,438
New York Life Asset Management
8 Investment Contracts
(Maturities ranging from January 15, 1999
to September 1, 2003)..................... 6.02-6.93 43,066,934
Pacific Mutual Life Insurance Company
2 Investment Contracts, Indexed
(Maturities ranging from May 31, 1999 to
January 31, 2002)......................... 5.38-6.91 15,723,201
Principal Mutual Life Insurance Company
9 Investment Contracts
(Maturities ranging from January 19, 1999
to August 1, 2003)........................ 5.73-7.23 63,005,423
Protective Life Insurance
3 Investment Contracts
(Maturities ranging from August 2, 1999 to
July 31, 2003)............................ 5.42-6.10 25,613,081
Prudential Asset Management
2 Investment Contracts
(Maturities ranging from February 1, 1999
to January 31, 2000)...................... 5.19-6.71 8,001,611
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-76
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1998
<TABLE>
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1998 (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% $ 20,253,541
Transamerica Asset Management
4 Investment Contracts
(Maturities ranging from March 1, 1999 to
September 30, 2002)...................... 6.25-7.24 24,905,246
Travelers Insurance Company
1 Investment Contract
(Maturities ranging from June 30, 1999 to
June 30, 2003)........................... 6.30 10,647,808
------------
Total Investment Contracts (Cost
$351,716,960)............................ 351,716,960
------------
Synthetic Investment Contracts (3.38%)*
CDC Investment Management Group
2 Investment Contracts
(Maturities ranging from February 15,
1999 to November 15, 2002)............... 6.42-7.70 7,637,049
Underlying Securities:
Bank of New York Cash Reserve units
393,885, value $393,885
FHLMC REMIC, 6.75%, 5/25/13, Principal
$274,177, Value $273,407
FHLMC REMIC, 6.0%, 5/25/16, Principal
$1,150,245, Value $1,153,040
GNMA Pool, 6.625%, 9/20/23, Principal
$1,559,636, Value $1,582,781
FNMA Pool, 6.736%, 6/1/27, Principal
$3,462,619, Value $3,539,974
Total value of underlying securities
$6,943,087, value of investment
contract $693,962
J. P. Morgan
1 Investment Contract
(Matures January 15, 1999)............... 5.28 3,672,938
Underlying Security:
U.S. Treasury Note, 6.375%, 1/15/99,
principal $2,743,000, value of underlying
security $2,744,289, value of investment
contract $928,649
Morgan Guaranty Trust Company
1 Investment Contract
(Maturities ranging from December 15,
1999 to May 15, 2001).................... 7.06 11,951,920
Underlying Security:
Advanta Credit Card Master Trust, 5.341%
11/15/03, principal $10,000,000 value of
underlying security $9,991,600, value of
investment contract $1,960,320
------------
Total Synthetic Investment Contracts (Cost
$23,261,907)............................. 23,261,907
------------
<CAPTION>
Cost Amortized Value
---------------- ---------------
<S> <C> <C>
Short Term Investments (45.45%)
State Street Bank
Yield Enhanced Short Term Investment
Fund--312,401,903 units.................. $312,401,903 312,401,903
------------
Total Investments (cost $687,380,770)..... $687,380,770**
============
</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 99.27% of State Street Bank ABA
Members/Pooled Stable Asset Fund Trust.
The accompanying notes are an integral part of these financial statements.
F-77
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
Investments, at value (cost $117,010,707)......................... $150,802,655
Cash.............................................................. 1,145
Receivable for fund units sold.................................... 231,181
Dividends and interest receivable................................. 290,358
Deferred registration fees........................................ 25,523
------------
Total Assets.................................................... 151,350,862
------------
Liabilities
Payable for fund units redeemed................................... 462,431
Investment advisory fee payable................................... 39,084
State Street Bank and Trust Co.--program fee payable.............. 38,678
Trustee, management and administration fees payable............... 8,467
American Bar Retirement Association--program fee payable.......... 5,622
Other accruals.................................................... 13,640
------------
Total Liabilities............................................... 567,922
------------
Net assets (equivalent to $23.53 per unit based on 6,408,409 units
outstanding)..................................................... $150,782,940
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-78
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $2,473)................. $ 2,362,061
Interest......................................................... 577,770
-----------
Total investment income........................................ 2,939,831
-----------
Expenses
Investment advisory fee.......................................... 429,653
State Street Bank and Trust Company--program fee................. 428,840
Trustee, management and administration fees...................... 91,908
American Bar Retirement Association--program fee................. 62,529
Amortization of organization costs............................... 15,871
Reports to unitholders........................................... 19,228
Legal and audit fees............................................. 14,773
Registration fee................................................. 9,770
Other expenses................................................... 3,516
-----------
Total expenses................................................. 1,076,088
-----------
Net investment income.............................................. 1,863,743
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain................................................ 9,109,943
Change in net unrealized appreciation............................ 9,542,619
-----------
Net realized and unrealized gain on investments................ 18,652,562
-----------
Net increase in net assets resulting from operations............... $20,516,305
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-79
<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 1998
------------ ------------
<S> <C> <C>
Operations
Net investment income............................ $ 1,401,137 $ 1,863,743
Net realized gain on investments................. 1,090,426 9,109,943
Net change in unrealized appreciation on invest-
ments........................................... 17,294,659 9,542,619
------------ ------------
Net increase in net assets resulting from opera-
tions........................................... 19,786,222 20,516,305
------------ ------------
Unitholder transactions
Proceeds from sales of units..................... 53,837,540 31,833,277
Cost of units redeemed........................... (8,652,312) (14,669,286)
------------ ------------
Net increase in net assets resulting from
unitholder transactions......................... 45,185,228 17,163,991
------------ ------------
Net increase in net assets..................... 64,971,450 37,680,296
Net assets
Beginning of year................................ 48,131,194 113,102,644
------------ ------------
End of year...................................... $113,102,644 $150,782,940
============ ============
Number of units
Outstanding--beginning of year................... 3,060,634 5,624,404
Sold........................................... 3,030,540 1,473,724
Redeemed....................................... (466,770) (689,719)
------------ ------------
Outstanding--end of year......................... 5,624,404 6,408,409
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-80
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
September 5, 1995
(Commencement of For the year ended
Operations) to December 31,
December 31, ---------------------------
1995 1996 1997 1998
----------------- ------- -------- --------
<S> <C> <C> <C> <C>
Investment income............... $ .13 $ .40 $ .47 $ .47
Expenses........................ (.04) (.14) (.17) (.17)
------- ------- -------- --------
Net investment income........... .09 .26 .30 .30
Net realized and unrealized gain
on investments................. .84 2.54 4.08 3.12
------- ------- -------- --------
Net increase in unit value...... .93 2.80 4.38 3.42
Net asset value at beginning of
period......................... 12.00 12.93 15.73 20.11
------- ------- -------- --------
Net asset value at end of
period......................... $ 12.93 $ 15.73 $ 20.11 $ 23.53
======= ======= ======== ========
Ratio of expenses to average net
assets......................... 1.00%** .99% .90% .80%
Ratio of net investment income
to average net assets.......... 2.12%** 1.85% 1.61% 1.39%
Portfolio turnover.............. 4%*** 17% 13% 27%
Total return.................... 7.75%*** 21.66% 27.84% 17.01%
Net assets at end of period..... $20,617 $48,131 $113,103 $150,783
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Ratios annualized.
*** Not annualized.
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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
COMMON STOCK (92.9%)
BASIC INDUSTRIES (8.0%)
Aluminum (0.3%)
Aluminum Co. of America................................ 4,846 $ 361,330
------------
Chemicals (3.0%)
Cabot Corp. ........................................... 11,100 310,106
Dow Chemical Co. ...................................... 11,300 1,027,594
E.I. Du Pont de Nemours & Co. ......................... 2,200 116,738
Eastman Chemical Co. .................................. 11,400 510,150
FMC Corp.*............................................. 2,900 162,400
Great Lakes Chemical Corp. ............................ 8,400 336,000
Nalco Chemical Co. .................................... 16,600 514,600
Sigma Aldrich Corp. ................................... 25,700 754,937
Union Carbide Corp. ................................... 19,300 820,250
------------
4,552,775
------------
Containers & Glass (0.5%)
Temple Inland Inc. .................................... 11,500 682,094
------------
Paper (4.2%)
Boise Cascade Corp. ................................... 20,000 620,000
Champion International Corp. .......................... 19,400 785,700
Consolidated Papers Inc. .............................. 21,400 588,500
Kimberly-Clark Corp. .................................. 17,700 964,650
Mead Corp. ............................................ 19,600 574,525
Minnesota Mining & Manufacturing Co. .................. 2,400 170,700
Potlatch Corp. ........................................ 10,200 376,125
Union Camp Corp. ...................................... 9,200 621,000
Westvaco Corp. ........................................ 29,000 777,562
Willamette Industries Inc. ............................ 26,600 891,100
------------
6,369,862
------------
TOTAL BASIC INDUSTRIES................................. 11,966,061
------------
CAPITAL GOODS (5.0%)
Building Construction (0.5%)
Fluor Corp. ........................................... 18,200 774,637
------------
Construction & Mining Equipment (0.3%)
Foster Wheeler Corp. .................................. 13,900 183,306
Harnischfeger Industries Inc. ......................... 17,800 181,338
------------
364,644
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Electrical Equipment (2.9%)
Arrow Electronics Inc.*................................ 30,200 $ 805,962
General Electric Co. .................................. 34,700 3,541,569
------------
4,347,531
------------
Industrial Machinery (0.9%)
Briggs & Stratton Corp................................. 9,100 453,863
Cummins Engine Co., Inc................................ 14,100 500,550
Ingersoll Rand Co...................................... 9,900 464,681
------------
1,419,094
------------
Pollution Control (0.4%)
Browning Ferris Industries Inc......................... 23,000 654,063
------------
TOTAL CAPITAL GOODS.................................... 7,559,969
------------
CONSUMER BASICS (14.8%)
Drugs & Health Care (9.2%)
Abbott Laboratories.................................... 18,400 901,600
American Home Products Corp............................ 8,700 489,919
Bausch & Lomb Inc...................................... 6,500 390,000
Bristol-Myers Squibb Co................................ 10,600 1,418,412
C.R. Bard Inc.......................................... 12,200 603,900
Columbia/HCA Healthcare Corp........................... 19,450 481,388
Eli Lilly & Co......................................... 800 71,100
Johnson & Johnson...................................... 32,000 2,684,000
Mallinckrodt Inc....................................... 23,000 708,687
Merck & Co., Inc....................................... 10,000 1,476,875
Pacificare Health Systems*............................. 4,800 381,600
Pfizer Inc............................................. 15,700 1,969,369
Pharmacia & Upjohn Inc................................. 18,800 1,064,550
Schering-Plough Corp................................... 10,000 552,500
Tenet Healthcare Corp.*................................ 25,400 666,750
------------
13,860,650
------------
Food & Beverages (2.4%)
Archer Daniels Midland Co.............................. 46,345 796,555
Coca Cola Co........................................... 22,100 1,477,937
H.J. Heinz Co.......................................... 5,800 328,425
PepsiCo Inc............................................ 15,400 630,438
Supervalu Inc.......................................... 12,000 336,000
------------
3,569,355
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Household Products (0.4%)
Procter & Gamble Co.................................... 6,000 $ 547,875
------------
Retail Grocery (0.6%)
Albertson's Inc........................................ 14,700 936,206
------------
Tobacco (2.2%)
Philip Morris Cos., Inc................................ 52,500 2,808,750
RJR Nabisco Holdings Corp.............................. 20,300 602,656
------------
3,411,406
------------
TOTAL CONSUMER BASICS.................................. 22,325,492
------------
CONSUMER DURABLE GOODS (4.0%)
Automobiles (1.6%)
Ford Motor Co.......................................... 31,400 1,842,787
PACCAR Inc............................................. 12,700 522,288
------------
2,365,075
------------
Auto Parts (0.8%)
Dana Corp.............................................. 13,800 564,075
Genuine Parts Co....................................... 18,700 625,281
------------
1,189,356
------------
Household Appliances & Home Furnishings (0.5%)
Whirlpool Corp......................................... 14,700 814,013
------------
Mobile Homes (0.1%)
Fleetwood Enterprises Inc.............................. 6,100 211,975
------------
Tires & Rubber (1.0%)
Cooper Tire & Rubber Co................................ 26,000 531,375
Goodyear Tire & Rubber Co.............................. 19,100 963,356
------------
1,494,731
------------
TOTAL CONSUMER DURABLE GOODS........................... 6,075,150
------------
CONSUMER NON-DURABLES (8.1%)
Apparel & Textiles (1.0%)
Reebok International Ltd. ............................. 19,800 294,525
Russell Corp. ......................................... 12,800 260,000
Springs Industries Inc. ............................... 2,600 107,738
VF Corp. .............................................. 17,900 839,062
------------
1,501,325
------------
Liquor (1.0%)
Anheuser Busch Cos., Inc. ............................. 22,200 1,456,875
------------
</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, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Retail Trade (6.0%)
Abercrombie & Fitch Co.*............................... 3 $ 212
Dayton Hudson Corp. ................................... 20,200 1,095,850
Dillards Inc. ......................................... 23,000 652,625
Federated Department Stores Inc.*...................... 20,300 884,319
Home Depot Inc. ....................................... 7,500 458,906
J.C. Penney Co., Inc. ................................. 16,500 773,438
Limited Inc. .......................................... 14,560 424,060
May Department Stores Co. ............................. 13,900 839,212
Sears Roebuck & Co. ................................... 19,800 841,500
TJX Cos., Inc. ........................................ 23,600 684,400
Toys R Us Inc.*........................................ 25,300 426,938
Wal Mart Stores Inc. .................................. 25,200 2,052,225
------------
9,133,685
------------
Toys & Amusements (0.1%)
Mattel Inc. ........................................... 6,800 155,125
------------
TOTAL CONSUMER NON-DURABLES............................ 12,247,010
------------
CONSUMER SERVICES (0.4%)
Leisure Time (0.4%)
Harrahs Entertainment Inc.*............................ 32,000 502,000
Walt Disney Co. ....................................... 1,500 45,000
------------
TOTAL CONSUMER SERVICES................................ 547,000
------------
ENERGY (4.8%)
Domestic Oil (1.0%)
Ashland Inc. .......................................... 15,300 740,138
Phillips Petroleum Co. ................................ 19,600 835,450
------------
1,575,588
------------
Gas Exploration (0.0%)
Union Pacific Resources Group Inc. .................... 1 9
------------
International Oil (3.5%)
Amoco Corp. ........................................... 24,800 1,463,200
Chevron Corp. ......................................... 3,000 248,813
Exxon Corp. ........................................... 21,000 1,535,625
Mobil Corp. ........................................... 18,100 1,576,962
Sunoco Inc. ........................................... 12,100 436,356
------------
5,260,956
------------
Petroleum Services (0.3%)
Lyondell Petrochemical Co. ............................ 23,300 419,400
------------
TOTAL ENERGY........................................... 7,255,953
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-85
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Value Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
FINANCE (17.4%)
Banks (6.1%)
Bank One Corp. ........................................ 32,712 $ 1,670,356
BankAmerica Corp ...................................... 38,737 2,329,062
Chase Manhattan Corp. ................................. 24,000 1,633,500
First Union Corp. ..................................... 16,400 997,325
Fleet Financial Group Inc. ............................ 24,400 1,090,375
J.P. Morgan & Co., Inc. ............................... 8,200 861,513
Keycorp................................................ 10,000 320,000
Republic New York Corp. ............................... 5,800 264,263
------------
9,166,394
------------
Financial Services (3.2%)
Citigroup Inc ......................................... 6,250 309,375
Countrywide Credit Industries Inc. .................... 16,100 808,019
Federal Home Loan Mortgage Corp. ...................... 25,200 1,623,825
Federal National Mortgage Association.................. 27,600 2,042,400
------------
4,783,619
------------
Insurance (7.6%)
Aetna Inc. ............................................ 9,600 754,800
Allstate Corp. ........................................ 28,600 1,104,675
Ambac Inc. ............................................ 1,600 96,300
American General Corp. ................................ 18,852 1,470,456
American International Group Inc. ..................... 2,925 282,628
Chubb Corp. ........................................... 13,400 869,325
CIGNA Corp. ........................................... 12,900 997,331
Foundation Health Systems Inc.*........................ 20,250 241,734
Lincoln National Corp. ................................ 8,500 695,406
Loews Corp. ........................................... 3,100 304,575
MBIA Inc. ............................................. 12,600 826,088
Provident Cos., Inc. .................................. 24,400 1,012,600
SAFECO Corp. .......................................... 14,600 626,888
St. Paul Cos. Inc. .................................... 19,600 681,100
Torchmark Corp. ....................................... 12,800 452,000
UNUM Corp. ............................................ 17,700 1,033,237
------------
11,449,143
------------
Savings And Loan (0.5%)
Golden West Financial Corp. ........................... 8,000 733,500
------------
TOTAL FINANCE.......................................... 26,132,656
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-86
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Value Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
GENERAL BUSINESS (0.9%)
Business Services (0.2%)
DeLuxe Corp. .......................................... 9,900 $ 361,969
------------
Communication Services (0.7%)
MCI Worldcom Inc*...................................... 14,000 1,004,500
------------
TOTAL GENERAL BUSINESS................................. 1,366,469
------------
MISCELLANEOUS (2.3%)
Conglomerates (0.7%)
ITT Industries Inc. ................................... 15,400 612,150
Raytheon Company Class B............................... 5,100 271,575
Textron Inc. .......................................... 1,800 136,687
------------
1,020,412
------------
Miscellaneous (1.6%)
Allegheny Energy Inc. ................................. 17,500 603,750
FDX Corporation*....................................... 15,000 1,335,000
Hartford Financial Services Group...................... 8,200 449,975
Waddell & Reed Financial Inc Class A................... 3 71
Waddell & Reed Financial Inc Class B................... 6 140
------------
2,388,936
------------
TOTAL MISCELLANEOUS.................................... 3,409,348
------------
SHELTER (0.4%)
Construction Materials (0.1%)
Owens Corning Fiberglas Corp. ......................... 5,300 187,819
------------
Homebuilders (0.3%)
Centex Corp. .......................................... 9,600 432,600
------------
TOTAL SHELTER.......................................... 620,419
------------
TECHNOLOGY (15.7%)
Aerospace (2.3%)
B.F. Goodrich Co. ..................................... 22,500 807,188
Boeing Co. ............................................ 26,300 858,037
Litton Industries Inc.*................................ 11,600 756,900
Lockheed Martin Corp. ................................. 6,300 533,925
Northrop Grumman Corp. ................................ 5,000 365,625
Rockwell International Corp. .......................... 2,400 116,550
------------
3,438,225
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-87
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Value Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Computers & Business Equipment (6.7%)
Cisco Systems Inc.*.................................... 13,500 $ 1,252,969
Hewlett Packard Co. ................................... 23,700 1,619,006
IBM Corp. ............................................. 21,600 3,990,600
Quantum Corp.*......................................... 33,100 703,375
Sun Microsystems Inc.*................................. 21,600 1,849,500
Tech Data Corp.*....................................... 17,800 716,450
------------
10,131,900
------------
Electronics (4.2%)
AMP Inc. .............................................. 14,218 740,225
Avnet Inc. ............................................ 12,100 732,050
Intel Corp. ........................................... 13,600 1,612,450
Lucent Technologies Inc. .............................. 10,008 1,100,880
National Semiconductor Corp.*.......................... 56,300 760,050
Teradyne Inc.*......................................... 14,500 614,437
Thomas & Betts Corp. .................................. 18,100 783,956
------------
6,344,048
------------
Software (2.5%)
Microsoft Corp.*....................................... 27,400 3,800,038
------------
TOTAL TECHNOLOGY....................................... 23,714,211
------------
TRANSPORTATION (2.2%)
Railroads & Equipment (1.9%)
Burlington Northern Santa Fe Inc. ..................... 26,700 901,125
CSX Corp. ............................................. 19,700 817,550
Norfolk Southern Corp. ................................ 18,100 573,544
Union Pacific Corp. ................................... 14,200 639,887
------------
2,932,106
------------
Trucking & Freight Forwarding (0.3%)
Ryder Systems Inc. .................................... 16,300 423,800
------------
TOTAL TRANSPORTATION................................... 3,355,906
------------
UTILITIES (8.9%)
Electric Utilities (2.9%)
American Electric Power Co., Inc. ..................... 14,500 682,406
GPU Inc. .............................................. 21,300 941,193
PG&E Corp. ............................................ 26,200 825,300
Puget Sound Power & Light Co. ......................... 10,200 284,325
Unicom Inc. ........................................... 24,300 937,069
Wisconsin Energy Corp. ................................ 24,000 754,500
------------
4,424,793
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-88
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Value Equity Fund
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Telephone (6.0%)
Ameritech Corp. ...................................... 7,100 $ 449,963
AT&T Corp. ........................................... 28,000 2,107,000
Bell Atlantic Corp. .................................. 19,584 1,037,952
Bellsouth Corp. ...................................... 11,000 548,625
GTE Corp. ............................................ 27,300 1,774,500
SBC Communications Inc. .............................. 31,800 1,705,275
US West Inc .......................................... 21,500 1,389,437
------------
9,012,752
------------
TOTAL UTILITIES....................................... 13,437,545
------------
TOTAL COMMON STOCK (cost $106,501,692)................ 140,013,189
------------
American Depositary Receipts** (2.2%)
BASIC INDUSTRIES (0.9%)
Aluminum (0.5%)
Alcan Aluminum Ltd. .................................. 25,700 695,506
------------
Chemicals (0.4%)
Millennium Chemicals Inc. ............................ 29,200 580,350
------------
TOTAL BASIC INDUSTRIES................................ 1,275,856
------------
CONSUMER BASICS (0.5%)
Drugs & Health Care (0.5%)
Smithkline Beecham P L C.............................. 11,400 792,300
------------
ENERGY (0.6%)
International Oil (0.6%)
Royal Dutch Petroleum Co. ............................ 19,600 938,350
------------
MISCELLANEOUS (0.2%)
Conglomerates (0.2%)
Canadian Pacific Limited.............................. 17,900 337,862
------------
TOTAL AMERICAN DEPOSITARY RECEIPTS (cost $3,063,917).. 3,344,368
------------
TOTAL INVESTMENT SECURITIES (cost $109,565,609)....... 143,357,557
------------
<CAPTION>
Units
----------
<S> <C> <C>
SHORT TERM INVESTMENTS (4.9%)
State Street Bank Yield Enhanced Short Term Investment
Fund
(cost $7,445,098).................................... 7,445,098 7,445,098
------------
TOTAL INVESTMENTS--(cost $117,010,707) (100.00%)...... 150,802,655
Liabilities in excess of other assets--(0.0%)......... (19,715)
------------
NET ASSETS--(100.00%)................................. $150,782,940
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-89
<PAGE>
American Bar Association Members/State Street Collective Trust
Schedule of Investments
Value Equity Fund
December 31, 1997
* Non-income producing security.
** An American Depositary 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-90
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
State Street Bank collective investment funds, at value:
Stable Asset Return Fund (cost of $6,819,845 and units of
6,819,845)..................................................... $ 6,819,845
Intermediate Bond Fund (cost of $7,374,260 and units of
612,739)....................................................... 7,956,487
Value Equity Fund (cost of $1,393,243 and units of 67,632)...... 1,591,297
Growth Equity Fund (cost of $1,250,845 and units of 3,199)...... 1,591,297
Index Equity Fund (cost of $2,685,334 and units of 117,204)..... 3,182,595
International Equity Fund (cost of $1,455,281 and units of
75,535)........................................................ 1,591,297
Receivable for investments sold................................... 582,807
-----------
Total Assets.................................................. 23,315,625
-----------
Liabilities
Payable for investments purchased................................. 271,760
Payable for fund units redeemed................................... 311,044
Accrued expenses.................................................. 1,554
-----------
Total Liabilities............................................. 584,358
-----------
Net assets (equivalent to $14.69 per unit based on 1,547,249 units
outstanding)..................................................... $22,731,267
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-91
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment income................................................... $ --
Service fees........................................................ 17,315
----------
Net investment loss................................................. (17,315)
----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain on investments.................................. 2,286,216
Change in net unrealized appreciation............................. 375,792
----------
Net realized and unrealized gain on investments................. 2,662,008
----------
Net increase in net assets resulting from operations................ $2,644,693
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-92
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the
year ended
December 31,
------------------------
1997 1998
----------- -----------
<S> <C> <C>
From operations
Net investment loss................................ $ (13,726) $ (17,315)
Net realized gain on investments................... 1,207,158 2,286,216
Net change in unrealized appreciation on
investments....................................... 616,834 375,792
----------- -----------
Net increase in net assets resulting from
operations........................................ 1,810,266 2,644,693
----------- -----------
From unitholder transactions
Proceeds from sales of units....................... 8,482,695 11,914,074
Cost of units redeemed............................. (4,266,120) (9,055,318)
----------- -----------
Net increase in net assets resulting from
unitholder transactions........................... 4,216,575 2,858,756
----------- -----------
Net increase in net assets....................... 6,026,841 5,503,449
Net assets beginning of year....................... 11,200,977 17,227,818
----------- -----------
Net assets end of year............................. $17,227,818 $22,731,267
=========== ===========
Number of units
Outstanding--beginning of year..................... 977,202 1,328,560
Sold............................................. 699,243 872,939
Redeemed......................................... (347,885) (654,250)
----------- -----------
Outstanding--end of year........................... 1,328,560 1,547,249
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-93
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative 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 For the year ended
of Operations) to December 31,
December 31, ---------------------------
1995 1996 1997 1998
----------------- ------- ------- -------
<S> <C> <C> <C> <C>
Investment income.............. $ .001 $ -- $ -- $ --
Expenses....................... (.003) (.01) (.01) (.01)
------ ------- ------- -------
Net investment loss............ (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments........... .472 1.00 1.52 1.73
------ ------- ------- -------
Net increase................... .47 .99 1.51 1.72
Net asset value at beginning of
period........................ 10.00 10.47 11.46 12.97
------ ------- ------- -------
Net asset value at end of
period........................ $10.47 $ 11.46 $ 12.97 $ 14.69
====== ======= ======= =======
Ratio of expenses to average
net assets.................... .09 %** .10 % .09 % .08 %
Ratio of net investment loss to
average net assets............ (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***.......... 3 %**** 34 % 33 % 57 %
Total return................... 4.70 %**** 9.46 % 13.18 % 13.26 %
Net assets at end of period (in
thousands).................... $5,372 $11,201 $17,228 $22,731
</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 Portfolio
invests rather than turnover of such underlying Funds.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-94
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1998
------------
<S> <C>
Assets
State Street Bank collective investment funds, at value:
Stable Asset Return Fund (cost of $8,435,186, and units of
8,435,186)..................................................... $ 8,435,186
Intermediate Bond Fund (cost of $22,793,310 and units of
1,948,811)..................................................... 25,305,558
Value Equity Fund (cost of $7,309,596 and units of 394,353)..... 9,278,705
Growth Equity Fund (cost of $6,433,166 and units of 18,654)..... 9,278,706
Index Equity Fund (cost of $14,549,752 and units of 714,469).... 19,400,928
International Equity Fund (cost of $11,159,358, and units of
600,592)....................................................... 12,652,779
Receivable for investments sold................................... 1,134,297
-----------
Total Assets.................................................. 85,486,159
-----------
Liabilities
Payable for investments purchased................................. 1,088,389
Payable for fund units redeemed................................... 45,909
Accrued expenses.................................................. 5,542
-----------
Total Liabilities............................................. 1,139,840
-----------
Net assets (equivalent to $16.35 per unit based on 5,159,072 units
outstanding)..................................................... $84,346,319
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-95
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment income.................................................. $ --
Service fees....................................................... 60,934
-----------
Net investment loss................................................ (60,934)
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain on investments................................. 5,960,152
Change in net unrealized appreciation............................ 6,086,445
-----------
Net realized and unrealized gain on investments................ 12,046,597
-----------
Net increase in net assets resulting from operations............... $11,985,663
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-96
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the year ended
December 31,
-------------------------
1997 1998
----------- ------------
<S> <C> <C>
From operations
Net investment loss............................... $ (50,019) $ (60,934)
Net realized gain on investments.................. 3,024,522 5,960,152
Net change in unrealized appreciation on
investments...................................... 4,925,526 6,086,445
----------- ------------
Net increase in net assets resulting from
operations....................................... 7,900,029 11,985,663
----------- ------------
From unitholder transactions
Proceeds from sales of units...................... 31,899,113 17,196,145
Cost of units redeemed............................ (6,321,601) (10,930,370)
----------- ------------
Net increase in net assets resulting from
unitholder transactions.......................... 25,577,512 6,265,775
----------- ------------
Net increase in net assets...................... 33,477,541 18,251,438
Net assets at beginning of year................... 32,617,340 66,094,881
----------- ------------
Net assets at end of year......................... $66,094,881 $ 84,346,319
=========== ============
Number of units
Outstanding--beginning of year.................... 2,733,228 4,744,620
Sold............................................ 2,500,711 1,150,444
Redeemed........................................ (489,319) (735,992)
----------- ------------
Outstanding--end of year.......................... 4,744,620 5,159,072
=========== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-97
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate 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 For the year ended
of Operations to) December 31,
December 31, ---------------------------
1995 1996 1997 1998
----------------- ------- ------- -------
<S> <C> <C> <C> <C>
Investment income............. $ .001 $ -- $ -- $ --
Expenses...................... (.003) (.01) (.01) (.01)
------- ------- ------- -------
Net investment loss........... (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments.......... .542 1.40 2.01 2.43
------- ------- ------- -------
Net increase in unit value.... .54 1.39 2.00 2.42
Net asset value at beginning
of period.................... 10.00 10.54 11.93 13.93
------- ------- ------- -------
Net asset value at end of
period....................... $ 10.54 $ 11.93 $ 13.93 $ 16.35
======= ======= ======= =======
Ratio of expenses to average
net assets................... .09 %** .10 % .09 % .08 %
Ratio of net investment loss
to average net assets........ (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***......... 4 %**** 27 % 18 % 31 %
Total return.................. 5.40 %**** 13.19 % 16.76 % 17.37 %
Net assets at end of period
(in thousands)............... $12,379 $32,617 $66,095 $84,346
</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 Portfolio
invests rather than turnover of such underlying Funds.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-98
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December
31,
1998
-----------
<S> <C>
Assets
State Street Bank collective investment funds, at value:
Intermediate Bond Fund (cost of $9,119,606 and units of 772,222). $10,027,386
Value Equity Fund (cost of $7,778,271 and units of 426,173)...... 10,027,386
Growth Equity Fund (cost of $6,751,018 and units of 20,160)...... 10,027,386
Index Equity Fund (cost of $14,631,343 and units of 738,548)..... 20,054,773
International Equity Fund (cost of $11,841,153 and units of
634,629)........................................................ 13,369,848
Aggressive Equity Fund (cost of 2,940,766 and units of 64,933)... 3,342,462
Receivable for investments sold.................................... 982,748
-----------
Total Assets................................................... 67,831,989
-----------
Liabilities
Payable for investments purchased.................................. 860,393
Payable for fund units redeemed.................................... 122,355
Accrued expenses................................................... 4,358
-----------
Total Liabilities.............................................. 987,106
-----------
Net assets (equivalent to $17.92 per unit based on 3,729,881 units
outstanding)...................................................... $66,844,883
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-99
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1998
------------
<S> <C>
Investment income.................................................. $ --
Service fees....................................................... 49,096
-----------
Net investment loss................................................ (49,096)
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain on investments................................. 4,637,419
Change in net unrealized appreciation............................ 6,270,204
-----------
Net realized and unrealized gain on investments................ 10,907,623
-----------
Net increase in net assets resulting from operations............... $10,858,527
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-100
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the
year ended
December 31,
------------------------
1997 1998
----------- -----------
<S> <C> <C>
From operations
Net investment loss................................ $ (40,062) $ (49,096)
Net realized gain on investments................... 2,739,133 4,637,419
Net change in unrealized appreciation on
investments....................................... 4,820,721 6,270,204
----------- -----------
Net increase in net assets resulting from
operations........................................ 7,519,792 10,858,527
----------- -----------
From unitholder transactions
Proceeds from sales of units....................... 25,053,575 13,025,505
Cost of units redeemed............................. (6,263,219) (8,907,158)
----------- -----------
Net increase in net assets resulting from
unitholder transactions........................... 18,790,356 4,118,347
----------- -----------
Net increase in net assets....................... 26,310,148 14,976,874
Net assets at beginning of year.................... 25,557,861 51,868,009
----------- -----------
Net assets at end of year.......................... $51,868,009 $66,844,883
=========== ===========
Number of units
Outstanding--beginning of year..................... 2,060,096 3,478,382
Sold............................................. 1,866,881 802,924
Redeemed......................................... (448,595) (551,425)
----------- -----------
Outstanding--end of year........................... 3,478,382 3,729,881
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-101
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
September 5,
1995 For the
(Commencement year ended
of Operations) to December 31,
December 31, ---------------------------
1995 1996 1997 1998
----------------- ------- ------- -------
<S> <C> <C> <C> <C>
Investment income.............. $ .001 $ -- $ -- $ --
Expenses....................... (.003) (.01) (.01) (.01)
------ ------- ------- -------
Net investment loss............ (.002) (.01) (.01) (.01)
Net realized and unrealized
gain on investments........... .572 1.85 2.51 3.02
------ ------- ------- -------
Net increase in unit value..... .57 1.84 2.50 3.01
Net asset value at beginning of
period........................ 10.00 10.57 12.41 14.91
------ ------- ------- -------
Net asset value at end of
period........................ $10.57 $ 12.41 $ 14.91 $ 17.92
====== ======= ======= =======
Ratio of expenses to average
net assets.................... .09 %** .10 % .09 % .08 %
Ratio of net investment loss to
average net assets............ (.06)%** (.10)% (.09)% (.08)%
Portfolio turnover***.......... 3 %**** 28 % 18 % 26 %
Total return................... 5.70 %**** 17.41 % 20.15 % 20.19 %
Net assets at end of period (in
thousands).................... $9,999 $25,558 $51,868 $66,845
</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 Portfolio
invests rather than turnover of such underlying Funds.
**** Not annualized.
The accompanying notes are an integral part of these financial statements.
F-102
<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.
Index Equity Fund--replication of the total return of the Russell 3,000
Index. Currently invests in the State Street Bank S&P 500 Index Fund with
Futures (the "500 Index Fund") and State Street Bank Russell Special Small
Company Common Trust Fund (the "Russell Fund"), separate State Street Bank
and Trust Company ("State Street Bank" or the "Trustee") 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. Prior to April
1, 1998, the Fund invested in the State Street Bank Flagship S&P 500 Index
Fund. Effective April 1, 1998, the Fund began to invest in the State Street
Bank S&P 500 Index Fund with Futures.
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.
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 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.
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-103
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Structured Portfolio Service
Conservative--higher current investment income and some capital
appreciation.
Moderate--high current investment income and greater capital
appreciation.
Aggressive--long term growth of capital and lower current investment
income.
Each Structured Portfolio Service achieves its objective through a pre-
determined investment allocation in the Funds. See the Statement of Assets
and Liabilities of each Portfolio for Fund allocation at December 31, 1998.
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 (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.
F-104
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Foreign securities not traded directly or in American Depositary 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.
Futures contracts are valued at the last settlement price at the end of each
day on the board of trade or exchange upon which they are traded.
B. Security Transactions and 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. Rule.
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-105
<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 daily at the respective
Fund's and Portfolio's net asset value.
F. TBA Commitments
The Balanced Fund may enter into TBA (to be announced) commitments to
purchase securities for a fixed unit price at a future date beyond customary
settlement time. Although the unit price for a TBA has been established, the
principal value has not been finalized. However, the amount of the TBA
commitment will not fluctuate more than 1.0% from the principal amount. The
Balanced Fund holds, and maintains until the settlement date, cash or liquid
securities in an amount sufficient to meet the purchase price. TBA commitments
may be considered securities in themselves, and involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date,
which risk is in addition to the risk of decline in the value of the Fund's
other assets. Risks may also arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts.
Unsettled TBA commitments are valued at the current market value of the
underlying securities, generally according to the procedures described under
"Security Valuation" above. The Fund may dispose of a commitment prior to
settlement if the Fund's advisor deems it appropriate to do so.
G. Futures Contracts
Effective October 1, 1998, the Growth Equity Fund may use futures contracts
to manage exposure to the equity market. Buying futures tends to increase a
fund's exposure to the underlying instrument. Selling futures tends to
decrease a fund's exposure to the underlying instrument, or hedge other
investments. Futures contracts involve, to varying degrees, credit and market
risks.
The fund enters into futures contracts only on exchanges or boards of trades
where the exchange or board of trade acts as the counterparty to the
transaction. Thus, credit risk on such transactions is limited to the failure
of the exchange or board of trade. Losses in value may arise from changes in
the value of the underlying instruments or if there is an illiquid secondary
market for the contracts. In addition, there is the risk that there may not be
an exact correlation between a futures contract and the underlying index.
Upon entering into a futures contract, the fund is required to deposit
either in cash or securities an amount ("initial margin") equal to a certain
percentage of the nominal value of the contract. Subsequent payments are made
or received by the fund periodically, depending on the daily fluctuation in
the value of the underlying securities, and are recorded as unrealized gains
or losses by the fund. A gain or loss is realized when the contract is closed
or expires. There were no open futures contracts at December 31, 1998.
H. 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.,
Dresdner RCM Global Investors LLC, the institutional
F-106
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
investment management area of Dresdner Bank Group, Sit Investment Associates,
Inc., Miller, Anderson & Sherrerd, 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. Each investment advisor recommends to State
Street Bank investments and reinvestments of the assets and provides State
Street Bank with advice regarding the various portions of the Funds 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>
Fee Rate
Investment Advisor Range
------------------ ---------------
<S> <C>
Capital Guardian Trust Company (Growth Equity, Aggressive
Equity and Balanced)..................................... .225% 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)............... .125% to .50%
Lincoln Capital Management Company (Growth Equity)........ .15% to .4675%
Sanford C. Bernstein & Co., Inc. (Value Equity)........... .15% to .50%
Bankers Trust Company (Growth Equity)..................... .010% to .075%**
</TABLE>
- --------
* Subject to a 5% fee reduction based on aggregate fees.
** Minimum fee of $75,000.
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 $70,221 relating to this fee for the year ended December 31, 1998.
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 1998 1998
----------------------- ----------------- ------------
<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 $9,453,811 and $1,378,479 for the
year ended December 31, 1998, respectively.
F-107
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
A fee is paid to State Street Bank for its trustee, management and
administration of the assets in the Funds. This fee is accrued on a daily basis
and paid monthly from the assets of the Funds at the following annual rates:
<TABLE>
<CAPTION>
Value of Assets in Balanced, Value Equity,
Growth Equity,Aggressive Equity and International Equity Funds Rate
-------------------------------------------------------------- ----
<S> <C>
First $500 million.................................................... .10%
Next $500 million..................................................... .075
Over $1 million....................................................... .05
<CAPTION>
Value of Asset in Index Equity Fund Rate
----------------------------------- ----
<S> <C>
First $50 million..................................................... .20%
Over $50 million...................................................... .13
<CAPTION>
Value of Assets in Stable Asset Return Fund* Rate
-------------------------------------------- ----
<S> <C>
First $750 million.................................................... .20%
Next $250 million..................................................... .10
Over $1.0 billion..................................................... .075
<CAPTION>
Value of Assets in Intermediate Bond Fund Rate
----------------------------------------- ----
<S> <C>
First $500 million.................................................... .10%
Next $500 million..................................................... .075
Over $1.0 billion..................................................... .05
</TABLE>
- --------
* For the purpose of determining the management fees charged to assets
invested in the Stable Asset Return Fund and administrative fees charged to
assets invested in Insurance Investment Contracts (an investment option of
the Program not included in the Trust), the amount of the assets held in
these two investment options is aggregated.
State Street Bank received trustee, management and administration fees which
aggregated $3,058,460 or the year ended December 31, 1998. 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 $127,345 for the
year ended December 31, 1998.
F-108
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
4. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities
excluding U.S. Government and short-term investments were as follows:
<TABLE>
<CAPTION>
Year ended December 31,
1998
-------------------------
Purchases Sales
------------ ------------
<S> <C> <C>
Aggressive Equity Fund............................ $174,231,155 $209,019,044
Growth Equity Fund................................ 509,565,775 542,276,241
Balanced Fund..................................... 853,580,671 828,374,083
Stable Asset Return Fund.......................... 224,873,940 176,337,357
Index Equity Fund................................. 193,664,015 173,743,358
Value Equity Fund................................. 50,741,738 36,573,214
International Equity Fund......................... 83,018,320 79,701,799
Intermediate Bond Fund............................ 63,064,238 17,914,351
Conservative Structured Portfolio Service......... 14,746,174 11,904,462
Moderate Structured Portfolio Service............. 28,452,250 22,246,702
Aggressive Structured Portfolio Service........... 19,729,031 15,659,815
The aggregate cost of purchases and proceeds from sales of U.S. Government
securities were as follows:
<CAPTION>
Year ended December 31,
1998
-------------------------
Purchases Sales
------------ ------------
<S> <C> <C>
Growth Equity Fund................................ $ 128,623 $ --
Balanced Fund..................................... 86,665,337 129,339,635
Value Equity Fund................................. 1,359,433 7,428,672
</TABLE>
5. Organizational Expenses and Offering Costs
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 ending September 1998. Organizational costs were
reallocated on a quarterly basis between Funds based on net asset value. There
were no organizational expenses allocated to the Portfolios.
Registration fees of $556,000 were incurred in December 1998 for the
registration for sale of additional units. These fees have been deferred and
are being amortized over the expected period of sale of the units (two years).
6. Geographic and Industry Concentration
American Depositary 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
F-109
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
foreign issuers; however, by investing in ADRs rather than directly in foreign
issuers' stock, the Funds will avoid currency risks during the settlement
period for purchases or sales. In addition, the domestic market for ADRs may
be more liquid than the foreign market for the underlying securities.
A significant portion of the Aggressive Equity Fund's investments are in
securities of small to medium-sized companies, which typically have greater
market and financial risk than larger, more diversified companies. These
companies are often dependent on one or two products in rapidly changing
industries and may be more vulnerable to competition from larger companies
with greater resources and to economic conditions that affect their market
sector.
SARF invests in a collective investment fund that maintains investments in
contracts issued by insurance companies. The issuing institution's ability to
meet its contractual obligations under the respective contracts may be
affected by future economic and regulatory developments in the insurance
industry.
7. Subsequent Events
On November 9, 1998, State Street Bank and ABRA amended and restated the
agreement under which State Street Bank provides administrative services to
the Program resulting in the following changes in fees:
State Street Bank Program expense fee:
The Program fee for the year ending December 31, 1999 will be a fixed
fee of $7,450,000. Effective January 1, 2000, the fee will be
calculated monthly as one-twelfth of the sum of (a) $750,000 plus (b)
$191 multiplied by the number of participants in the Program, as
further defined in the agreement.
State Street Bank trustee, management and administrative fees:
Effective January 1, 1999, the fee payable to State Street Bank for
its management administration and custody services for each of the
funds will be as follows:
<TABLE>
<CAPTION>
Rate
-----
<S> <C>
First $1.0 billion................................................. .10%
Next $1.8 billion.................................................. .058%
Over $2.8 billion.................................................. .025%
</TABLE>
The Structured Portfolio Service will no longer be charged a separate annual
fee.
Effective February 9, 1999, the Index Equity Fund replaced the 500 Index
Fund and the Russell Fund with the State Street Bank Russell 3000 Non-Lending
Fund, a separate State Street Bank collective investment fund.
F-110
<PAGE>
EXHIBIT 24.1
POWER OF ATTORNEY
KNOW ALL PERSONS 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, 1998, 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 to enable State Street Bank and Trust Company and the Collective
Trust to comply with the provisions of the Exchange Act. This Power of Attorney
may be executed in any number of counterparts, all of which together shall
constitute one and the same document.
Witness our hands on the dates set forth below:
Signature Title Date
/s/ Tenley E. Albright Director of State March 29, 1999
- ------------------------------------- Street Bank and
Tenley E. Albright Trust Company
/s/ I. MacAllister Booth Director of State March 29, 1999
- ------------------------------------- Street Bank and
I. MacAllister Booth Trust Company
/s/ Marshall N. Carter Director of State March 29, 1999
- ------------------------------------- Street Bank and
Marshall N. Carter Trust Company
Director of State
- ------------------------------------- Street Bank and
James I. Cash, Jr. Trust Company
Director of State
- ------------------------------------- Street Bank and
Truman S. Casner Trust Company
<PAGE>
<TABLE>
<S> <C>
Signature Title
Date
Director of State
- ------------------------------------- Street Bank and
Nader F. Darehshori Trust Company
/s/ Arthur L. Goldstein Director of State March 29, 1999
- ------------------------------------- Street Bank and
Arthur L. Goldstein Trust Company
/s/ David P. Gruber Director of State March 29, 1999
- ------------------------------------- Street Bank and
David P. Gruber Trust Company
/s/ Charles F. Kaye Director of State March 29, 1999
- ------------------------------------- Street Bank and
Charles F. Kaye Trust Company
/s/ John M. Kucharski Director of State March 29, 1999
- ------------------------------------- Street Bank and
John M. Kucharski Trust Company
/s/ Charles R. LaMantia Director of State March 29, 1999
- ------------------------------------- Street Bank and
Charles R. LaMantia Trust Company
/s/ David B. Perini Director of State March 29, 1999
- ------------------------------------- Street Bank and
David B. Perini Trust Company
/s/ Dennis J. Picard Director of State March 29, 1999
- ------------------------------------- Street Bank and
Dennis J. Picard Trust Company
/s/ David A. Spina Director of State March 29, 1999
- ------------------------------------- Street Bank and
David A. Spina Trust Company
Director of State
/s/ Diana Chapman Walsh Street Bank and March 29, 1999
- ------------------------------------- Trust Company
Diana Chapman Walsh
</TABLE>
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> AGRESSIVE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-START> JAN-01-1998
<PERIOD-END> DEC-31-1998
<INVESTMENTS-AT-COST> 253845114
<INVESTMENTS-AT-VALUE> 302067228
<RECEIVABLES> 1531188
<ASSETS-OTHER> 50347
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 303648763
<PAYABLE-FOR-SECURITIES> 1668179
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3125721
<TOTAL-LIABILITIES> 4793900
<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> 298854863
<DIVIDEND-INCOME> 1533498
<INTEREST-INCOME> 722891
<OTHER-INCOME> 0
<EXPENSES-NET> 2909962
<NET-INVESTMENT-INCOME> (653573)
<REALIZED-GAINS-CURRENT> 48992164
<APPREC-INCREASE-CURRENT> (30905910)
<NET-CHANGE-FROM-OPS> 17432681
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 485136
<NUMBER-OF-SHARES-REDEEMED> (1510601)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (33084725)
<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> 313471990
<PER-SHARE-NAV-BEGIN> 48.59
<PER-SHARE-NII> (.15)
<PER-SHARE-GAIN-APPREC> 3.03
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 51.47
<EXPENSE-RATIO> .93
<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-31-1998
<PERIOD-START> JAN-1-1998
<PERIOD-END> DEC-31-1998
<INVESTMENTS-AT-COST> 438904891
<INVESTMENTS-AT-VALUE> 493485320
<RECEIVABLES> 3508111
<ASSETS-OTHER> 84962
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 497078393
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
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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
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