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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, 1999
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, 1999 the aggregate market value of the units of
beneficial interest in the various funds of the Collective Trust held by non-
affiliates was $4,024,000,000.
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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..................................................... 13
Value Equity Fund................................................. 14
Growth Equity Fund................................................ 16
Index Equity Fund................................................. 17
Aggressive Equity Fund............................................ 19
International Equity Fund......................................... 21
Investment Prohibitions Relating to the Funds..................... 25
Loans of Portfolio Securities..................................... 26
Valuation of Units................................................ 26
Transfers......................................................... 27
Performance Information........................................... 27
Derivative Instruments............................................ 27
Investment Advisors............................................... 30
Structured Portfolio Service...................................... 32
Self-Managed Accounts............................................. 34
Equitable Real Estate Account..................................... 34
Contributions to the Investment Options........................... 35
Transfers Among Investment Options................................ 35
Benefits and Distributions........................................ 35
Additional Information............................................ 35
ADOPTION OF PROGRAM................................................ 36
STATE STREET....................................................... 37
Year 2000 Readiness Disclosure.................................... 37
AMERICAN BAR RETIREMENT ASSOCIATION................................ 38
DEDUCTIONS AND FEES................................................ 39
Program Expense Fee............................................... 39
Trustee, Management and Administration Fees....................... 39
Self-Managed Account Fees ........................................ 40
Investment Advisor Fee............................................ 40
Operational and Offering Costs.................................... 41
Fee Recipients.................................................... 42
ITEM 2. Properties ...................................................... 42
ITEM 3. Legal Proceedings ............................................... 42
ITEM 4. Submission of Matters to a Vote of Security Holders ............. 42
PART II
ITEM 5. Market for Registrant's Common Equity and Related Stockholder
Matters ........................................................ 43
ITEM 6. Selected Financial Data ......................................... 43
ITEM 7. Management's Discussion and Analysis of Financial Condition and
Results of Operations........................................... 50
ITEM 8. Financial Statements and Supplementary Data ..................... 53
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ITEM 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure ........................................... 53
PART III
ITEM 10. Directors and Executive Officers of the Registrant ............... 54
ITEM 11. Executive Compensation ........................................... 54
ITEM 12. Security Ownership of Certain Beneficial Owners and Management ... 54
ITEM 13. Certain Relationships and Related Transactions ................... 54
PART IV
ITEM 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
................................................................. 55
Signatures ................................................................ 59
Financial Statements....................................................... F-1
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SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS
Some of the statements in this Report, including, without limitation, those
relating to the objectives and strategies of the Investment Options,
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 the "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 subsequently 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 to differ materially from the future results, performance or
achievements expressed or implied by such forward-looking statements. For a
description 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 the 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 eligible 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
ABRA, which was 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, most state and local bar associations or
other organizations related to the practice of law, as described in the
following paragraph.
Attorneys who are sole practitioners, partnerships and professional
corporations engaged in the practice of law may adopt the Program for their
law practices if they or at least 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 in this
Report 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 some of the aspects of the Program
through those individually designed 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
the 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. The Index Equity Fund invests primarily in
common stocks included in the Russell 3000 Index. The Value Equity Fund,
Growth Equity Fund, Aggressive Equity Fund and International Equity Fund
invest primarily in equity securities. The Balanced Fund invests in both
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 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
some 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
the Investment Company 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 Corp. 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 those 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 1.5 years. As of December 31, 1999,
approximately 40% of the Fund's assets were invested in Short-Term Investment
Products and 60% of the Fund's assets were invested in investment contracts.
As of December 31, 1999, the average weighted maturity of the Stable Asset
Return Fund was 1.32 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 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--Risk Factors." Foreign branches of U.S. banks are
generally subject to U.S. banking laws, but obligations issued by these
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--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 derivative mortgage-backed securities), subject to the rating and
quality requirements specified with respect to the 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 credit risks resulting primarily from the
fact that asset-backed securities are issued by trusts or special purpose
entities with no other assets and do not usually have the benefit of a
complete security interest in the securitized 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 Corp. ("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 U.S.
Government Obligations backed by the full faith and credit of the United
States, 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 of the
investment contract 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 that 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 the 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 the 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, the dilution or other unfair
result. For this purpose, only the Short-Term Investment Products are tested
on a mark-to-market basis. Similar 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.
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. The
Intermediate Bond Fund seeks to achieve, over an extended period of time,
total returns comparable to or superior to broad measures of the domestic bond
market. There can be no assurance that the Intermediate Bond Fund will achieve
its investment objective.
Strategy. 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 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. State Street currently
invests a portion of the Intermediate Bond Fund to replicate the Lehman
Brothers Government/Corporate Bond Index. However, State Street has determined
that, effective May 31, 2000, the entire Intermediate Bond Fund will be
invested in an actively managed fixed income portfolio.
Duration is a measure of the expected life of a fixed income security that
was developed as a more precise alternative to the concept of "term to
maturity." Duration incorporates a bond's yield, coupon interest payments,
final maturity and call features into one measure. Traditionally, a debt
security's "term to maturity" has been used as a proxy for the sensitivity of
the security's price to changes in interest rates (which is the "interest rate
risk" or "volatility" of the security). However, "term to maturity" measures
only the time until a debt security provides its final payment, taking no
account of the pattern of the security's payment prior to maturity. Duration
is a measure of the expected life of a fixed income security on a present
value basis. 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 United
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States 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.
Investment Guidelines and Restrictions. 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 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 Risk
Factors."
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."
Risk Factors with Respect to the Intermediate Bond Fund. For information
regarding risk factors with respect to investing in various short-term
instruments, see "--Stable Asset Return Fund--Investment Guidelines and
Restrictions and 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 risks involved in these
activities, see "--Stable Asset Return Fund--Investment Guidelines and
Restrictions and Risk Factors."
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--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.
Portfolio turnover was 22% for the twelve months ended December 31, 1999,
17% for the twelve months ended December 31, 1998 and 14% for the twelve
months ended December 31, 1997. This turnover reflects purchases and sales of
shares of the PIMCO Total Return Fund and the Barclays Global Investors Bond
Index Fund, the registered investment companies in which the Fund invested
during these periods, rather than the turnover of the underlying portfolios of
these registered investment companies. See "Investment Advisors and Initial
Investments in Registered Investment Companies" below. Based on information
available to State Street, the portfolio turnover for the PIMCO Total Return
Fund was 154% for the twelve months ended March 31, 1999, 206% for the twelve
months ended March 31, 1998 and 173% for the twelve months ended March 31,
1997 and the portfolio turnover for the Barclays Global Investors Bond Index
Fund was 25% for the ten months ended December 31, 1999, 28% for the twelve
months ended February 28, 1999 and 59% for the twelve months ended February
28, 1998.
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Performance Information. The Fund's total return is based on the overall
dollar or percentage change in value of a hypothetical investment in the Fund
and assumes that all Fund's dividends and capital gain distributions are
reinvested. The "total return" sought by the Intermediate Bond Fund will
consist of interest and dividends from underlying securities, as well as
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) 826-8905. While the
Intermediate Bond Fund is invested in a registered investment company or
companies (as described below) the yield for the Intermediate Bond Fund will
be calculated by taking the weighted average annualized yield of these
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
Intermediate Bond Fund, subject to the supervision and approval of State
Street.
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 (approximately $150 million to $200
million) has been allocated to the Intermediate Bond Fund, PIMCO's advice will
be obtained by investing 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. 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 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 Intermediate Bond Fund, State Street
expects that the Fund will be invested directly by State Street, with the
advice of PIMCO in accordance with the investment objective, strategy,
guidelines and restrictions described above.
State Street had expected that it would select Barclays Global Investors to
serve as Investment Advisor with respect to the portion of the Fund that was
invested to replicate the Lehman Brothers Government/Corporate Bond Index.
State Street, upon the advice of Barclays Global Investors, had 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, the indexed portion of the
Intermediate Bond Fund should be invested in the Barclays Global Investors
Bond Index Fund, an open-end management investment company registered under
the Investment Company Act. The Barclays Global Investors Bond Index Fund
primarily invests in the securities represented in the Lehman Brothers
Government/Corporate Bond Index.
However, State Street has determined that, effective May 31, 2000, the
entire Intermediate Bond Fund will be invested in an actively managed fixed
income portfolio. Until May 31, 2000, assets formerly allocated to the indexed
portion of the Intermediate Bond Fund will remain invested in the Barclays
Global Investors Bond Index Fund. After May 15, 2000, assets contributed or
transferred to the Intermediate Bond Fund will be allocated entirely to the
PIMCO Total Return Fund. Effective May 31, 2000, assets invested in the
Barclays Global Investors Bond Index Fund will be transferred to the PIMCO
Total Return Fund.
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<PAGE>
State Street will monitor the performance of the PIMCO Total Return Fund, in
light of the Intermediate Bond Fund's investment objectives, to determine
whether the continued investment by the Intermediate Bond Fund in the PIMCO
Total Return Fund is appropriate. If State Street concludes that the
investment objectives or performance of the PIMCO Total Return Fund are no
longer consistent with those of the Intermediate Bond Fund, State Street may
transfer a portion or all of the assets of the Intermediate Bond Fund that are
invested in the PIMCO Total Return Fund 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 Intermediate Bond Fund
reach the levels at which it is efficient for them to be invested directly,
State Street and PIMCO will determine appropriate redemption procedures from
the PIMCO Total Return Fund. 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 additional investments in CMOs may be made. For
information regarding risks associated with CMOs, see "--Derivative
Instruments."
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 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.
In the event that the Fund invokes this right, the Fund may be less likely to
achieve its investment objective. Additional investment restrictions
applicable to the Balanced Fund are described in "--Investment Prohibitions
Relating to the Funds."
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<PAGE>
State Street directs the allocation of the Fund's assets between debt and
equity securities consistent with the Fund's strategy and obtains investment
advice from separate advisors for each of the debt and equity portions of the
Fund. Currently, approximately 40% of the Balanced Fund's assets are allocated
to debt securities (with respect to which State Street receives advice from
one Investment Advisor) and approximately 60% are allocated to equity
securities (with respect to which State Street receives advice from another
Investment Advisor). Contributions and transfers 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, transfers and withdrawals and
the Fund's percentage of debt and equity securities at the time of each
contribution, transfer or withdrawal. State Street may change the allocation
within the Fund, as well as the allocation of the contributions, transfers to
and withdrawals from the Fund from time to time. Income and gains attributable
to the portion of the Fund for which advice is obtained from each Investment
Advisor will remain allocated to such portion unless reallocated by State
Street.
Risk Factors. For information and risk factors associated with investing in
equity securities, see "-- Index Equity Fund--Risk Factors," and in short-term
instruments, see "--Stable Asset Return Fund--Investment Guidelines and
Restrictions and 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 risk factors associated with investing in foreign securities, see
"--International Equity Fund--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. Portfolio turnover was 229% for the twelve months ended December
31, 1999, 209% for the twelve months ended December 31, 1998 and 122% for the
twelve months ended December 31, 1997.
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. State Street has determined that,
effective May 31, 2000, a portion of the Value Equity Fund (approximately 25%)
will be invested to replicate the Russell 1000 Value Index, which is composed
of those Russell 1000 stocks with a greater than average value orientation.
The remainder of the Value Equity Fund will remain actively managed. 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. Frank Russell & Company does not sponsor the Value
Equity Fund, nor is it affiliated in any way with the Value Equity Fund or
with State Street. There can be no assurance that the Value Equity Fund will
achieve its investment objective.
Strategy. The Fund invests primarily in common stocks of companies that in
the opinion of State Street and its Investment Advisor are undervalued in the
marketplace. 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.
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<PAGE>
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 represent an interest in the foreign security. ADRs are traded on
the U.S. stock exchanges or on the U.S. over-the-counter markets. 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. In the event that the Fund invokes this right, the Fund may be less
likely to achieve its investment objective. Additional investment restrictions
applicable to the Value Equity Fund are described in "--Investment
Prohibitions Relating to the Funds" and "-- Derivative Instruments."
Risk Factors. For risk factors associated with investment in equity
securities, see "--Index Equity Fund--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 risk
factors associated with investing in foreign securities, see "--International
Equity Fund--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%.
Portfolio turnover was 27% for the twelve months ended December 31, 1999, 27%
for the twelve months ended December 31, 1998 and 13% for the twelve months
ended December 31, 1997.
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 actively
managed portion of the Value Equity Fund. The indexed portion of the Value
Equity Fund will be invested through the State Street Bank and Trust Company
Russell 1000 Value Index Securities Lending Fund, a collective investment fund
maintained by State Street. Income and gains attributable to the assets
allocated to each portion of the Fund remain allocated to that portion,
thereby changing the percentage of total assets of the Value Equity Fund
allocated to each portion. A
15
<PAGE>
portion that experiences superior performance may thus over time comprise a
larger portion of the Value Equity Fund than originally allocated. For
additional information regarding the Investment Advisors, see "-- Investment
Advisors."
Growth Equity Fund
Investment Objective. The Growth Equity Fund has a primary investment
objective of achieving long-term growth of capital and a secondary investment
objective of realizing income. The Growth Equity Fund seeks to achieve growth
of capital through increases in the value of the securities it holds and to
realize income principally from dividends. 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. Frank Russell & Company 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. In the
event that the Fund invokes this right, the Fund may be less likely to achieve
its investment objective.
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.
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<PAGE>
Additional investment restrictions applicable to the Growth Equity Fund are
described in "--Investment Prohibitions Relating to the Funds" and "--
Derivative Instruments."
Risk Factors. See "--Index Equity Fund--Risk Factors" for risk factors
associated with investing in equity securities. For information with respect
to the use of derivative instruments, see "--Derivative Instruments." In
addition, investments in foreign securities involve special risks. For risk
factors associated with investing in foreign securities, see "--International
Equity Fund--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%.
Portfolio turnover was 46% for the twelve months ended December 31, 1999, 46%
for the twelve months ended December 31, 1998 and 88% for the twelve months
ended December 31, 1997.
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, 25% of contributions and
transfers to, and withdrawals from, the Growth Equity Fund will be allocated
to four 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 each portion remain allocated to that 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 over time provide investment advice
with respect to a larger portion of the Growth Equity Fund than originally
allocated to that 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 a collective investment fund 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, 1999, the largest company had a market capitalization of
approximately $508 billion and the smallest company had a market
capitalization of approximately $1.3 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. Frank Russell & Company
does not sponsor the Index Equity Fund, nor is it affiliated in any way with
the Index Equity Fund or with State Street. 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
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<PAGE>
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 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
short-term fixed income securities. These 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).
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 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 112% for the twelve months ended
December 31, 1999, 94% for the twelve months ended December 31, 1998 and 11%
for the twelve months ended December 31, 1997. This turnover reflects
purchases and sales of units of the collective investment fund through which
the Fund invests rather than the turnover of the underlying portfolios of the
collective investment fund. Higher than expected portfolio turnover in 1999
and 1998 reflects changes in the collective investment funds through which the
Fund invests. Portfolio turnover for the State Street Bank and Trust Company
Russell 3000 Non-Lending Fund, the collective investment fund through which
the Fund invests, was 7% for the twelve months ended December 31, 1999, 4% for
the twelve months ended December 31, 1998 and 3% for the twelve months ended
December 31, 1997. See "Investment Advisor" below.
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<PAGE>
Index funds seek to create a portfolio which substantially replicates the
total return of 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 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 through 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 debentures and high quality
short-term instruments of the same types as those in which the Stable Asset
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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. In
the event that the Fund invokes this right, the Fund may be less likely to
achieve its investment objective.
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 that 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."
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
that issuer or industry will have a material adverse effect on the Fund. See
"--Index Equity Fund--Risk Factors" for a description of risk factors
associated with investing in equity securities generally. See "--International
Equity Fund--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 larger companies that have a
greater ability to support relatively larger debt burdens. The securities of
small and medium sized companies may be held primarily by insiders or
institutional investors, which may have an impact on their marketability.
These securities may be more volatile than the overall market. Relatively new
companies and companies which have recently made an initial public offering
may be perceived by the market as unproven. The Aggressive Equity Fund's focus
on appreciation potential will result in an emphasis on securities of
companies that may pay little or no dividends and reinvest all or a
significant portion of their earnings. The low expected dividend level may
also contribute to greater than average volatility.
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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 75% 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 75%. 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 some companies may change more rapidly than in the case of larger, more
diversified companies. Portfolio turnover was 59% for the twelve months ended
December 31, 1999, 55% for the twelve months ended December 31, 1998 and 36%
for the twelve months endedDecember 31, 1997.
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, 50% of contributions and
transfers to, and withdrawals from, the Aggressive Equity Fund will be
allocated to two 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 investment advice from each Investment Advisor. An
Investment Advisor whose portion experiences superior performance may thus
over time provide investment advice with respect to a larger portion of the
Aggressive Equity Fund than originally allocated to that 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. 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.
Investing abroad increases the opportunities available to investors. Many
foreign countries may have greater potential for economic growth than the
United States. Foreign investments also provide effective diversification for
an all-U.S. portfolio, since historically their returns have not moved
together with U.S. stocks over long time periods. Investing a portion of your
portfolio in foreign stocks may enhance your diversification while providing
the potential to increase long-term capital appreciation.
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 throughout the world. 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. In the event that the
Fund invokes this right, the Fund may be less likely to achieve its investment
objective.
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
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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."
Risk Factors. The Fund's share price can fall because of weakness in one or
more of its primary equity markets, a particiular industry, or specific
holdings. Stock markets can decline for many reasons, including adverse
political or economic developments, changes in investor psychology, or heavy
institutional selling. The prospects for an industry or company may
deteriorate because of a variety of factors, including disappointing earnings
or changes in the competitive environment. In addition, the investment
assessment of companies held in a fund may prove incorrect, resulting in
losses or poor performance even in rising markets.
Currency Risk. Currency risk refers to a decline in the value of a foreign
currency versus the value of the U.S. dollar, which reduces the U.S. dollar
value of securities denominated in that foreign currency. 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 are unpredictable and it is
not possible to effectively hedge the currency risks of many developing
countries.
Political and Economic Factors. The economic and political structures of
developing nations, in most cases, do not compare favorably with the United
States or other developed countries in terms of wealth and stability and their
financial markets often lack liquidity. Therefore, investments in these
emerging countries are riskier, and will be subject to erratic and abrupt
price movements. Even investments in countries with highly developed economies
are subject to risk. For example, Japanese stocks were in a steep decline for
much of the 1990s. Moreover, while some countries have made progress in
economic growth, liberalization, fiscal discipline and political and social
stability, there is no assurance these trends will continue. Investment in
these markets is, therefore, significantly riskier than investment in other
markets.
Some economies of the countries in which the Fund may invest may rely
heavily on particular industries and be more vulnerable to the ebb and flow of
international trade, trade barriers and other protectionist or retaliatory
measures. Some countries have legacies of hyperinflation and currency
devaluations versus the U.S. dollar, particularly Russia, many Latin American
nations, and more recently, several Asian countries. Investments in countries
that have recently begun moving away from central planning and state-owned
industries toward free markets should be regarded as speculative.
Some of the countries in which the Fund may invest have histories of
instability and upheaval that could cause their governments to act in a
detrimental or hostile manner toward private enterprise or foreign investment.
Actions such as capital or currency controls, nationalizing an industry or
company, expropriating assets, or imposing punative taxes could have an
adverse effect on security prices and
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impair the International Equity Fund's ability to repatriate capital or
income. Significant external risks currently affect some emerging countries.
Governments in many emerging market countries participate to a significant
degree in the countries' economies and securities markets.
Other Risks of Foreign Investing. Some of the countries in which the Fund
may invest 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 some 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.
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. The volatility of emerging
markets 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 those countries although tax
conventions between some countries and the United States may reduce or
eliminate these taxes. Any taxes paid by the International Equity Fund will
reduce the net income earned by the Fund. 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 those 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, 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 100%. 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 100%. While the assets of the International Equity Fund are invested in a
registered investment company such as the T. Rowe Price International Stock
Fund, reported portfolio turnover for the International Equity Fund will
reflect purchases and sales of shares
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of the registered investment company in which the Fund invests rather than the
turnover of the underlying portfolio of the registered investment company.
Portfolio turnover was 199% for the twelve months ended December 31, 1999,
122% for the twelve months ended December 31, 1998 and 101% for the twelve
months ended December 31, 1997. Based on information available to State
Street, the portfolio turnover of the T. Rowe Price International Stock Fund
was 18% for the twelve months ended October 31, 1999, 12% for the twelve
months ended October 31, 1998 and 16% for the twelve months ended October 31,
1997. 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. or other advisors to be 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,
State Street will obtain Rowe Price-Fleming International's investment advice
by investing at least a portion of 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.
State Street will monitor the performance of the T. Rowe Price International
Stock Fund, in light of the International Equity Fund's investment objectives
and the amount of assets in the Fund, to determine whether the continued
investment by the International Equity Fund in the T. Rowe Price International
Stock Fund is appropriate. As of December 31, 1999, $106 million in assets
were invested in the Fund and all of these assets were invested in the T. Rowe
Price International Stock Fund. In light of the amount of assets invested in
the Fund, State Street expects to transfer approximately 50% of the assets of
the International Equity Fund to a separate collective trust portfolio managed
by State Street. State Street expects that this transfer will take effect as
of May 31, 2000 and that it will retain Dresdner RCM Global Investors LLC to
serve as Investment Advisor to provide investment advice and arrange for the
execution of purchases and sales of securities for the collective trust
portfolio portion of the International Equity Fund. Unless altered by State
Street, contributions and transfers to, and withdrawals from, the
International Equity Fund after May 31, 2000 will be allocated to two 50%
portions. One portion will be invested in the T. Rowe Price International
Stock Fund and the other will be invested in the collective trust portfolio
for which advice is obtained from Dresdner RCM Global Investors LLC. Income
and gains attributable to the assets allocated to each portion of the Fund
remain allocated to that portion, thereby changing the percentage of total
assets of the International Equity Fund allocated to each portion. A portion
of the Fund that experiences superior performance may thus over time comprise
a larger portion of the International Equity Fund than originally allocated.
It is anticipated that, at State Street's discretion, funds will be
withdrawn from the T. Rowe Price International Stock Fund in connection with
the transfer described above in such a manner as to not require the
liquidation of portfolio securities by the T. Rowe Price International Stock
Fund. However, 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 the withdrawal takes
place through a liquidation of the portfolio securities, State Street expects
that Rowe Price-Fleming International will recommend
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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, other than 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, (ii)
engaging in repurchase agreement transactions and (iii) making loans of
portfolio securities.
State Street has directed the Investment Advisors not to recommend an
investment, and State Street will not cause the Funds to make an investment,
if that investment would cause (1) more than 5% of the portion of the Fund's
net assets allocated to the Investment Advisor to be invested in warrants
generally, or more than 2% of the Fund's net assets allocated to the
Investment Advisor to be invested in warrants not listed on a nationally
recognized U.S. securities exchange, or (2) more than 10% of the portion of
the Fund's net assets allocated to the Investment Advisor 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 the Fund's net assets allocated to the
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 the Fund allocated to the
Investment Advisor to be invested in the securities of that issuer, determined
at the time of purchase.
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The foregoing restrictions with respect to industry and issuer concentration
do not apply to the Index Equity Fund or the indexed portions of the Value
Equity Fund and the Growth Equity 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, 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 Risk Factors."
Loans of Portfolio Securities
For the purpose of achieving income, the Funds may lend a portion of their
portfolio securities to brokers, dealers, and other financial institutions,
provided that these activities are conducted in accordance with the applicable
requirements of ERISA, including:
. the loan is secured continuously by collateral consisting of cash, U.S.
government securities or irrevocable letters of credit maintained on a
daily mark-to-market basis in an amount at least equal to the current
market value of the securities loaned;
. the Fund may at any time call the loan and obtain the return of the
securities loaned; and
. the Fund will receive any interest or dividends paid on the loaned
securities.
When a Fund lends portfolio securities, its investment performance will
continue to reflect changes in the value of the securities loaned, and the
Fund will also receive a fee for lending its securities (which may include
interest on the collateral). State Street is expected to be selected to
administer the securities lending activities of the respective Funds. However,
another administrator may be selected. A portion of the income generated by
securities lending activities will be paid to the administrator as a fee and
the remaining income will be reinvested in the relevant Fund. In the event
that State Street acts as administrator, the portion of the income from
securities lending activities paid to it will be in an amount that is expected
to offset its costs of administering these activities. The remaining 75% will
be reinvested in the relevant Fund.
Valuation of Units
An investor's interest in a Fund is represented by the value of the Units
credited to the 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 the amount allocated to the Fund divided by the per
Unit value of the 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 the Fund, divided by the number of outstanding Units of the
Fund. The
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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 the Stable Asset Return Fund.
Transfers
Transfers to and from any of the Funds, as well as transfers to and from the
portfolios of the Structured Portfolio Service and the Self-Managed Accounts,
may be made on any Business Day prior to 4:00 p.m. Eastern time (or, if
earlier, the close of regular market trading). For additional information
relating to transfers and withdrawals from the Investment Options, see "--
Transfers Among Investment Options."
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) 826-8905.
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 portions of the Value Equity Fund and 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 additional investments in
CMOs may be made. The Stable Asset Return Fund and the Balanced Fund invest in
asset-backed securities, but do not invest in CMOs or other derivative
mortgage-backed securities. See "--Stable Asset Return Fund--Investment
Guidelines and Restrictions and Risk Factors."
All of the 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
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purchasing securities denominated in another. U.S. 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 and the
Barclays Global Investors Bond Index Fund and while the assets of the
International Equity Fund are invested in the T. Rowe Price International
Stock Fund (or in any other registered investment companies as State Street
may select), investments by these registered investment companies will be
subject to the derivatives policies adopted by these companies. These policies
are described in the prospectuses and statements of additional information of
these registered investment companies and are described in this prospectus as
interpreted by State Street. These 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 any 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 the currency, if their managers believe that the
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. These securities may bear interest or pay dividends at
below market (or even relatively nominal) rates. Under some conditions, the
redemption value of this type of 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, to
efficiently invest cash, or enhance income, and
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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 risks. During the option
period, a writer of a covered call option gives up, in return for the premium
on the option, the opportunity to profit from a price increase in the
underlying security above the exercise price but retains, as long as its
obligations as a writer continues, the risk of loss should the price of the
underlying security decline. The writer of an option traded on an option
exchange in the United States has no control over the time when it may be
required to fulfill the writer's obligation. Once an option writer has
received an exercise notice, it cannot effect a closing purchase transaction
in order to terminate its obligation under the option and must deliver the
underlying securities at the exercise price. If a put or call option is not
sold when it has remaining value, and if the market price of the underlying
security, in the case of a put, remains equal to or greater than the exercise
price or, in the case of a call, remains less than or equal to the exercise
price, the investor will lose its entire investment in the option. Also, when
a put or call option on a particular security is purchased to hedge against
price movements in a related security, the price of the put or call option may
move more or less than the price of the related security. Furthermore, there
can be no assurance that a liquid market will exist when an investor seeks to
close out an option position. If trading restrictions or suspensions are
imposed on the options markets, an investor may be unable to close out a
position.
Because swap agreements are two-party contracts and may have terms of
greater than seven days, such agreements may be considered to be illiquid.
Moreover, an investor bears the risk of loss of the amount expected to be
received under a swap agreement in the event of the default or bankruptcy of a
swap agreement counterparty. The swaps market is a relatively new market and
is largely unregulated, and it is possible that developments in the swaps
market, including potential government regulation, could adversely affect an
investor's ability to terminate existing swap agreements or to realize amounts
to be received under these agreements.
There are several risks associated with the use of futures and futures
options. Futures and options contracts may not always be successful hedges and
their prices can be highly volatile. Using these contracts could lower a
fund's total return and the potential loss from their use can exceed a fund's
initial investment in these contracts. 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, some 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 some 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.
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<PAGE>
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 retention of the Investment Advisors and may
remove an Investment Advisor at any time upon consultation with ABRA. 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 current Investment Advisors are:
Bankers Trust Company. Advisor to the index portion of the Growth Equity
Fund, Bankers Trust Company, a New York banking corporation with principal
offices at 130 Liberty Street, New York, New York 10006 is a wholly-owned
subsidiary of Deutsche Bank AG ("Deutsche Bank"). Deutsche Bank is a banking
company with limited liability organized under the laws of the Federal
Republic of Germany. Deutsche Bank is the parent company of a group consisting
of banks, capital markets companies, fund management companies, mortgage
banks, a property finance company, installment financing and leasing
companies, insurance companies, research and consultancy companies and other
domestic and foreign companies. As of December 31, 1999, Bankers Trust Company
had $234 billion in discretionary assets under management.
Barclays Global Investors. Manager of the Barclays Global Investors Bond
Index Fund, a registered investment company in which a portion of the assets
of the Intermediate Bond Fund will remain invested through May 31, 2000,
Barclays 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 Barclays Global Investors, a wholly-owned indirect
subsidiary of Barclays PLC, one of the United Kingdom's largest companies and
one of the world's foremost providers of financial services. As of December
31, 1999, Barclays Global Investors was responsible for managing or providing
investment advice for assets aggregating approximately $686 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, 1999, it had approximately $123 billion in assets
under its management.
Dresdner RCM Global Investors LLC. Advisor to the Growth Equity Fund and
expected advisor to the International 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
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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, 1999, Dresdner RCM Global Investors had approximately $83
billion of assets under management and advice and Dresdner RCM Global
Investors LLC, the U.S. operation of Dresdner RCM Global Investors, had
approximately $47 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, 1999, the firm had approximately $68 billion of
assets under management.
Miller Anderson & Sherrerd. Advisor to the debt portion of the Balanced
Fund, Miller Anderson & Sherrerd was established in 1969 and was acquired by
Morgan Stanley Group on January 3, 1996. Its principal place of business is
One Tower Bridge, West Conshohocken, Pennsylvania 19428. As of December 31,
1999, Miller Anderson & Sherrerd had approximately $67 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
Intermediate Bond Fund, Pacific Investment Management Company ("PIMCO") is an
investment management company founded in 1971, and had approximately $186
billion in assets under management as of December 31, 1999. 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 has announced that it has entered into a transaction with Allianz AG
("Allianz") after which a subsidiary of Allianz will indirectly own a majority
interest in PIMCO. The transaction is anticipated to close by April 2000.
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. ("Robert Fleming"). 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.
Robert Fleming 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. Robert Fleming was incorporated
in 1974 in the United Kingdom as successor to the business founded by Robert
Fleming in 1873. As of December 31, 1999, Rowe Price-Fleming International
managed approximately $43 billion of assets. 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
C. Bernstein & Co. was founded in 1967. As of December 31, 1999, the firm had
approximately $88 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 271 employees currently sharing in the profits, the firm has
a staff of 1,450, including 478 investment professionals.
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<PAGE>
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, 1999, Sit
Investment Associates had approximately $9 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 investment recommendation is made for more than one
client's account. It is the practice of each Investment Advisor to allocate
these purchases or sales to be executed in connection with these
recommendations insofar as feasible among its several clients in a manner it
deems equitable. The principal factors which the Investment Advisors consider
in making these 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 formulas 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, 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 some 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 those other accounts or Funds. The fees
of the Investment Advisors are not reduced by reason of receipt of 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
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Portfolio Service will achieve their 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 those
Funds in this Report.
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 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.
Risk Factors. For information and risk factors associated with each of the
Funds utilized in the Structured Portfolio Service, refer to the descriptions
in this Report for each particular Fund.
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Valuation of Units. 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 prior to 4:00 p.m. Eastern time (or, if
earlier, the close of regular market trading). See "--Transfers Among
Investment Options."
Performance Information. A recorded message providing current values for
Units in each portfolio in the Structured Portfolio Service is available at
(800) 826-8905. The Structured Portfolio Service may, from time to time,
report the performance of each of the portfolios in terms of total return.
This reported performance will be determined based on historical results and
will not be intended to indicate future performance.
Self-Managed Accounts
Self-Managed Accounts are not included in the Collective Trust and are not
registered under the Securities Exchange Act. They are described in this
Report for information purposes only.
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.
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 that investor's Self-Managed
Account. 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. Assets
transferred from one of the core Investment Options 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. Some
types of investments, such as options, futures, commodities, foreign
securities (other than American Depositary Receipts), initial public offerings
("IPOs"), bulletin board stocks, privately traded limited partnerships,
commercial paper, bank investments and insurance investments, cannot be made
in a Self-Managed Account. Margin trading and short selling are not permitted
in Self-Managed Accounts. For more information regarding the Self-Managed
Account, please call (800) 348-2272.
Equitable Real Estate Account
Interests in the Equitable Real Estate Account are not registered under the
Securities Exchange Act, and are described in this Report for information
purposes only.
Some of the 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, Inc. 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 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 these assets or the
performance by Equitable Life and Lend Lease Real Estate Investments of their
obligations under the Program with respect to these assets. State Street,
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<PAGE>
however, maintains the recordkeeping on the sale of this 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.
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 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 he or she participates. For information regarding
the terms of a plan, a Participant should contact his or her Employer.
Additional Information
Persons who are already Employers or who are responsible for allocating
assets under a particular plan may obtain administrative, 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;
. calling our FaxBack line at (877) 202-3930; or
. accessing our Web site at http://abra.ris.ssga.com.
A Participant may also obtain forms from his or her Employer, or by using one
of the methods outlined above.
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 02209-2236.
For Unit values for the current Investment Options, and for the daily rate of
the Stable Asset Return Fund and the 30-day yield of the Intermediate Bond
Fund, call State Street at (800) 826-8905.
For a recorded message providing current account information, call State
Street at (800) 348-2272.
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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. The trustee must demonstrate to
State Street that the participating trust is exempt from tax under section
501(a) of the Internal Revenue Code and that the related individually designed
plan is qualified under section 401(a) of the Internal Revenue Code. State
Street's retirement program specialists will assist in preparation of a
participation agreement. However, State Street is not authorized to give tax
or legal advice and Eligible Employers and the trustees of an individually
designed plan should consult with their tax advisor prior to executing a
participation agreement. Only plans qualified under Section 401(a) of the
Internal Revenue Code may participate in the Program. Eligible Employers
should note that the Internal Revenue Code and related regulations place
limits 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
02209-2236.
36
<PAGE>
STATE STREET
State Street provides 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
Corp., 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, 1999,
State Street and its affiliates had a total risk-based capital ratio of 14.7%,
which is far in excess of applicable regulatory requirements. As of December
31, 1999, State Street together with its affiliates had over $6.0 trillion of
assets under custody and had $667 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.
In December 1999, State Street and Citigroup, Inc. agreed to form a jointly
owned Delaware limited liability company called CitiStreet, LLC. CitiStreet
will provide recordkeeping and other administrative services to clients of
State Street and Citigroup, Inc. Insofar as State Street provides
recordkeeping and other administrative services to the Program, these services
may be provided by CitiStreet on behalf of State Street pursuant to a service
agreement to be entered into between State Street and CitiStreet.
Year 2000 Readiness Disclosure
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 Corp., State Street Bank and Trust Company is subject to the oversight
of State Street Corp.
State Street Corp. achieved its objective of maintaining business as usual
for customers during the Year-2000 transition period. Event management,
representing State Street Corp.'s activities during Year-2000-related critical
periods, began on December 27, 1999 with the monitoring of business and market
trends for the purposes of early issue detection, and will continue into the
first quarter of 2001.
State Street Corp. began assessing the impact of the Year 2000 on operations
in 1996, and developed its comprehensive Resolution 2000 program to address
related issues. Coordinated by a dedicated Year-2000 Program Management Office
under the guidance of an executive steering committee, Resolution 2000 was a
key corporate initiative for more than four years. Thorough readiness testing
and event management preparations were conducted in an atmosphere of focused
industry efforts and ongoing regulatory oversight. Risks with respect to the
impact of the Year 2000 on processing date-sensitive information remain,
including risks relative to leap year. State Street will continue to monitor
date-sensitive processing.
State Street Corp. received other long-term benefits from its Resolution
2000 program, including upgraded technology environments, business contingency
plan improvements, and procurement intelligence.
State Street Corp. has devoted a significant amount of effort to assess and
address Year-2000 issues. While State Street Corp. believes that it has
effectively addressed the issues that have arisen and that may in the future
arise out of the Year 2000 and related date issues, there can be no assurance
that all issues have been addressed or that third parties with whom State
Street Corp. conducts business will not experience date-related issues in the
future. State Street Corp. will continue to monitor date-sensitive processing.
37
<PAGE>
Cumulative program expenditures for the 1996 -1999 period were $130 million,
less than 2% of State Street Corp.'s total operating expenses for that period.
Costs for 1999 were $58 million and include approximately 450 full-time staff
and consultants, equipment, and other expenses. Remaining costs expected for
Resolution 2000 primarily relate to ongoing monitoring of date-sensitive
processing. Such costs, to be incurred in 2000, are not expected to be
material. Costs related to the American Bar Association Members Retirement
Program are included in State Street Corp.'s program expenditures.
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.
38
<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 and the Equitable Real
Estate Account.
For the calendar year ending December 31, 1999, the program expense fee
payable to State Street was $7,450,000. This fee accrued daily and was paid
monthly. After January 1, 2000, the program expense fee payable to State
Street is 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 is
accrued daily and is paid 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.
The program expense fee payable to State Street is subject to reduction
based on the amount of retirement plan assets held by State Street on behalf
of law firm and law-related clients identified by State Street and ABRA that
do not participate in the Program. For the year ended December 31, 1999 the
amount of this reduction was $71,250.
The program expense fee payable to ABRA is 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 is accrued daily and is paid 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. The 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>
39
<PAGE>
Self-Managed Account Fees
Transaction fees for the purchase or sale of securities for the account of
an Eligible Investor are charged in accordance with the schedule of rates
communicated from time to time to Eligible Investors with Self-Managed
Accounts.
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
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
<CAPTION>
Value of Assets in
Value Equity Fund
Allocated to Sanford C. Bernstein & Co., Inc. 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 LLC 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
</TABLE>
40
<PAGE>
<TABLE>
<CAPTION>
Value of Assets in
International Equity Fund
Allocated to Dresdner RCM Global Investors LLC* Rate
----------------------------------------------- ------
<S> <C>
First $20 million.................................................. .75 %
Next $20 million................................................... .60
Next $20 million................................................... .50
Next $40 million................................................... .45
Over $100 million.................................................. .40
<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, Inc. Rate
-------------------------------------------- ------
<S> <C>
First $10 million.................................................. 1.00 %
Next $10 million................................................... .70
Over $20 million................................................... .60
</TABLE>
-------
* While Dresdner RCM Global Investors LLC serves as an Investment
Advisor to both the Growth Equity Fund and the International Equity
Fund, the Investment Advisor fee payable to Dresdner RCM Global
Investors LLC with respect to the International Equity Fund shall be
calculated using the schedule shown for the International Equity Fund
commencing at the tier determined by the aggregate value of assets in
the Growth Equity Fund and International Equity Fund allocated to
Dresdner RCM Global Investors LLC. As of December 31, 1999,
approximately $542 million of the Growth Equity Fund's assets were
allocated to Dresdner RCM Global Investors LLC.
** 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.
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. These Funds, however, will indirectly bear their proportionate share of
the investment advisory fees and annual operating expenses payable by these
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 Barclays Global Investors 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%. These fees vary with the amount of assets held in
the registered investment companies and as a result of changes in the
underlying fee structure of the registered 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 these registered
investment companies.
Rowe Price-Fleming International, Inc. has separately agreed that in return
for administrative services provided by State Street with respect to the
International Equity Fund, Rowe Price-Fleming International, Inc. shall pay
State Street a .10% administrative fee, which is credited to the International
Equity Fund.
Operational and Offering Costs
Recurring expenses incurred in connection with operating the Collective
Trust, such as printing, legal, registration, consulting and auditing
expenses, are considered operational expenses and are accrued throughout the
year. A fee in the amount of $556,000 for the registration of $2 billion of
Units with the
41
<PAGE>
Securities and Exchange Commission was paid in December 1998 and is considered
an offering cost. This expense was allocated to the Funds based on net asset
value, was capitalized by each Fund and is being amortized over the period
from December 1998 through December 2000.
Fee Recipients
The following information with respect to fees is based on the approximate
assets of the Program on December 31, 1999, which was $4,024,000,000, and on
the number of participants for whom State Street was responsible for
recordkeeping as of December 31, 1999, which was 41,033. The total assets as
of December 31, 1999 includes $710,000,000 for the Stable Asset Return Fund,
$131,000,000 for the Intermediate Bond Fund, $460,000,000 for the Balanced
Fund, $179,000,000 for the Value Equity Fund, $1,711,000,000 for the Growth
Equity Fund, $293,000,000 for the Index Equity Fund, $432,000,000 for the
Aggressive Equity Fund, $106,000,000 for the International Equity Fund, and
$4,000,000 for the Equitable Real Estate Account. State Street, in its
capacity as administrator of the Program and manager of the Funds, would
receive fees of $11,360,000 on an annual basis (after fee discounts of
$300,000 for outstanding benefits checks and $76,000 for law firm and law-
related client assets not invested in the Program). ABRA would receive fees of
$1,709,000 on an annual basis in its capacity as sponsor of the Program.
As of December 31, 1999, the Investment Advisors provided investment advice
and transaction execution with respect to the following approximate asset
amounts: Capital Guardian Trust Company -- $869,000,000 (including
$381,000,000 invested in the Growth Equity Fund, $194,000,000 invested in the
Aggressive Equity Fund and $294,000,000 invested in the Balanced Fund);
Bankers Trust Company -- $403,000,000; Lincoln Capital Management Company --
$384,000,000; Miller Anderson & Sherrerd -- $166,000,000; Dresdner RCM Global
Investors LLC -- $542,000,000; Sit Investment Associates, Inc. --
$238,000,000; and Sanford C. Bernstein & Co., Inc. -- $179,000,000. Also as of
December 31, 1999, $89,000,000 was invested in the PIMCO Total Return Fund,
$106,000,000 was invested in the T. Rowe Price International Stock Fund and
$42,000,000 was invested in the Barclays Global Investors Bond Index Fund.
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 -- $1,945,000 (after an applicable fee
discount of $102,000); Bankers Trust Company -- $133,000; Lincoln Capital
Management Company -- $1,134,000; Miller Anderson & Sherrerd -- $386,000;
Dresdner RCM Global Investors LLC -- $1,525,000; Sit Investment Associates,
Inc. -- $1,478,000; and Sanford C. Bernstein & Co., Inc. -- $535,000. In
addition, based on published fee schedules, the following anticipated
Investment Advisors would have received the following fees from registered
investment companies into which funds were invested: PIMCO -- $383,000; Rowe
Price-Fleming International, Inc. -- $901,000 (before credit of a $106,000
administrative fee paid to the International Equity Fund by Rowe Price-Fleming
International, Inc.); and Barclays Global Investors -- $97,000.
Each Employer, by electing to participate in the Program, agrees to the fees
payable to State Street and ABRA as described in this Report and that such
fees are reasonable compensation for the services performed by State Street
and ABRA, respectively, for the Program.
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.
42
<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 of the Structured
Portfolio Service, subject to the restrictions that apply to each Fund or
portfolio of the Structured Portfolio Service, 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 a 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 some of the aspects of the
Program through those individually designed 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. 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 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.
43
<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 1999
------------------ -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .004 $ .042 $ .035 $ .043 $ .061 $ .058 $ .060 $ .060 $ .060
Net expenses............ (.000) (.008) (.008) (.007) (.007) (.007) (.007) (.006) (.004)
-------- -------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .004 .034 .027 .036 .054 .051 .053 .054 .056
Reinvestment of net
investment income...... (.004) (.034) (.027) (.036) (.054) (.051) (.053) (.054) (.056)
-------- -------- -------- -------- -------- -------- -------- -------- --------
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 $ 1.00
======== ======== ======== ======== ======== ======== ======== ======== ========
Ratio of net expenses to
average net assets..... -- .79% .75% .73% .73% .68% .68% .61% .37%#
Ratio of net investment
income to average net
assets................. -- 3.45% 2.77% 3.55% 5.32% 5.15% 5.38% 5.44% 5.50%
Net assets at end of
period (in thousands).. $560,334 $589,882 $509,905 $491,979 $630,208 $634,763 $634,565 $679,991 $709,516
</TABLE>
Intermediate Bond Fund:
<TABLE>
<CAPTION>
For the Period
September 5, 1995** Year ended December 31,
to December 31, ------------------------------------
1995 1996 1997 1998 1999
------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .34 $ .67 $ .97 $ 1.12 $ .78
Net expenses***......... (.02) (.06) (.07) (.06) (.05)
------- ------- ------- -------- --------
Net investment income... .32 .61 .90 1.06 .73
Net realized and
unrealized gain (loss)
on investments......... .26 (.30) .12 .02 (.92)
------- ------- ------- -------- --------
Net increase in unit
value.................. .58 .31 1.02 1.08 (.19)
Net asset value at be-
ginning of period...... 10.00 10.58 10.89 11.91 12.99
------- ------- ------- -------- --------
Net asset value at end
of period.............. $ 10.58 $ 10.89 $ 11.91 $ 12.99 $ 12.80
======= ======= ======= ======== ========
Ratio of net expenses to
average net assets***.. .69%**** .58% .57% .52% .37%#
Ratio of net investment
income to average net
assets................. 9.17%**** 5.82% 7.93% 8.50% 5.71%
Portfolio turnover+..... 2%++ 22% 14% 17% 22%
Total return............ 5.80%++ 2.93% 9.37% 9.07% (1.46)%
Net assets at end of pe-
riod (in thousands).... $36,457 $49,612 $82,734 $127,867 $131,083
</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.
**** 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.
# Reflects the reimbursement of expenses by State Street. If these
expenses had not been reimbursed, the annualized ratio of net expenses
to average net assets would have been .38% for the Stable Asset Return
Fund and .37% for the Intermediate Bond Fund. See Note 3 of the Notes to
Financial Statements.
44
<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 1999
----------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .89 $ 1.00 $ 1.08 $ 1.19 $ 1.30 $ 1.42 $ 1.68 $ 1.82
Net expenses............ (.25) (.26) (.26) (.29) (.33) (.35) (.35) (.34)
-------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .64 .74 .82 .90 .97 1.07 1.33 1.48
Net realized and
unrealized gain (loss)
on investments......... (1.56) .82 (.82) 6.07 3.78 6.59 7.44 6.54
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... (.92) 1.56 -- 6.97 4.75 7.66 8.77 8.02
Net asset value at
beginning of period.... 24.40 23.48 25.04 25.04 32.01 36.76 44.42 53.19
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.48 $ 25.04 $ 25.04 $ 32.01 $ 36.76 $ 44.42 $ 53.19 $61.21
======== ======== ======== ======== ======== ======== ======== ========
Ratio of net expenses to
average net assets..... 1.10%*** 1.07% 1.03% 1.00% .96% .84% .72% .60%#
Ratio of net investment
income to average net
assets................. 2.82%*** 3.05% 3.32% 3.08% 2.85% 2.62% 2.72% 2.57%
Portfolio turnover...... 119%**** 153% 113% 155% 181% 122% 209% 229%
Total return............ (3.77)%**** 6.64% 0.00% 27.84% 14.84% 20.84% 19.74% 15.08%
Net assets at end of
period (in thousands).. $167,242 $193,362 $198,945 $264,526 $295,401 $358,503 $414,662 $460,328
</TABLE>
Value Equity Fund:
<TABLE>
<CAPTION>
Year ended
For the Period December 31,
September 5 , 1995** -----------------------------------------
to December 31, 1995 1996 1997 1998 1999
-------------------- -------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .13 $ .40 $ .47 $ .47 $ .51
Net expenses............ (.04) (.14) (.17) (.17) (.17)
------- -------- --------- --------- ---------
Net investment income... .09 .26 .30 .30 .34
Net realized and
unrealized gain on in-
vestments.............. .84 2.54 4.08 3.12 1.64
------- -------- --------- --------- ---------
Net increase in unit
value.................. .93 2.80 4.38 3.42 1.98
Net asset value at be-
ginning of period...... 12.00 12.93 15.73 20.11 23.53
------- -------- --------- --------- ---------
Net asset value at end
of period.............. $ 12.93 $ 15.73 $ 20.11 $ 23.53 $ 25.51
======= ======== ========= ========= =========
Ratio of net expenses to
average net assets..... 1.00%*** .99% .90% .80% .68%#
Ratio of net investment
income to average net
assets................. 2.12%*** 1.85% 1.61% 1.39% 1.36%
Portfolio turnover...... 4%**** 17% 13% 27% 27%
Total return............ 7.75%**** 21.66% 27.84% 17.01% 8.41%
Net assets at end of pe-
riod (in thousands).... $20,617 $48,131 $113,103 $150,783 $178,880
</TABLE>
- --------
* The Balanced Fund changed advisors on June 30, 1997.
** Commencement of operations.
*** Ratios annualized.
**** Not annualized.
# Reflects the reimbursement of expenses by State Street. If these
expenses had not been reimbursed, the annualized ratio of net expenses
to average net assets would have been .60% for the Balanced Fund and
.68% for the Value Equity Fund. See Note 3 of the Notes to Financial
Statements.
45
<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 1999
----------------- -------- -------- -------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ 3.20 $ 3.16 $ 3.48 $ 3.88 $ 5.07 $ 4.15 $ 4.27 $ 4.67
Net expenses............ (1.45) (1.52) (1.60) (1.88) (2.22) (2.60) (2.96) (3.25)
-------- -------- -------- -------- -------- -------- ---------- ----------
Net investment income... 1.75 1.64 1.88 2.00 2.85 1.55 1.31 1.42
Net realized and
unrealized gain on
investments............ 3.00 12.99 .61 57.72 46.14 80.01 136.27 165.27
-------- -------- -------- -------- -------- -------- ---------- ----------
Net increase in unit
value.................. 4.75 14.63 2.49 59.72 48.99 81.56 137.58 166.69
Net asset value at
beginning of period.... 147.68 152.43 167.06 169.55 229.27 278.26 359.82 497.40
-------- -------- -------- -------- -------- -------- ---------- ----------
Net asset value at end
of period.............. $ 152.43 $ 167.06 $ 169.55 $229.27 $ 278.26 $ 359.82 $ 497.40 $ 664.09
======== ======== ======== ======== ======== ======== ========== ==========
Ratio of net expenses to
average net assets..... 1.01%*** .96% .95% .92% .88% .80% .71% .59%#
Ratio of net investment
income to average net
assets................. 1.22%*** 1.03% 1.12% .98% 1.13% .48% .32% .26%
Portfolio turnover...... 46%**** 82% 59% 60% 64% 88% 46% 46%
Total return............ 3.22%**** 9.60% 1.49% 35.23% 21.37% 29.31% 38.24% 33.51%
Net assets at end of
period (in thousands).. $427,933 $471,398 $479,435 $637,834 $752,798 $967,854 $1,297,827 $1,710,609
</TABLE>
Index Equity Fund:+
<TABLE>
<CAPTION>
For the Period Year ended
April 30, 1994** December 31,
to December 31, ------------------------------------------------------
1994 1995 1996 1997 1998 1999
---------------- -------- -------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Investment income....... $ -- $ .02 $ .28 $ .08 $ .09 $ --
Net expenses............ (.04) (.08) (.11) (.12) (.14) (.11)
------- -------- -------- --------- --------- ---------
Net investment income
(loss)................. (.04) (.06) .17 (.04) (.05) (.11)
Net realized and
unrealized gain on
investments............ .39 3.68 2.72 5.23 5.15 6.16
------- -------- -------- --------- --------- ---------
Net increase in unit
value.................. .35 3.62 2.89 5.19 5.10 6.05
Net asset value at be-
ginning of period...... 10.00 10.35 13.97 16.86 22.05 27.15
------- -------- -------- --------- --------- ---------
Net asset value at end
of period.............. $ 10.35 $ 13.97 $ 16.86 $ 22.05 $ 27.15 $ 33.20
======= ======== ======== ========= ========= =========
Ratio of net expenses to
average net assets..... .94%*** .68 % .69% .62 % .57 % .37 %#
Ratio of net investment
income (loss) to
average net assets..... (.94)%*** (.52)% 1.15% (.22)% (.20)% (.37)%
Portfolio turnover++.... 54%**** 132 % 17% 11 % 94 % 112 %
Total return............ 3.50%**** 34.98 % 20.68% 30.78 % 23.13 % 22.28 %
Net assets at end of
period (in thousands).. $11,662 $48,020 $82,881 $153,709 $210,324 $293,069
</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.
# Reflects the reimbursement of expenses by State Street. If these expenses
had not been reimbursed, the annualized ratio of net expenses to average
net assets would have been .59% for the Growth Equity Fund and .37% for
the Index Equity Fund. See Note 3 of the Notes to Financial Statements.
46
<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 1999
-------------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .30 $ .25 $ .28 $ .32 $ .36 $ .39 $ .35 $ .40
Net expenses............ (.26) (.28) (.28) (.32) (.39) (.45) (.46) (.47)
-------- --------- --------- --------- --------- --------- --------- ---------
Net investment income
(loss)................. .04 (.03) -- -- (.03) (.06) (.11) (.07)
Net realized and
unrealized gain (loss)
on investments......... 1.43 3.60 (1.00) 7.81 7.47 7.64 2.99 31.32
-------- --------- --------- --------- --------- --------- --------- ---------
Net increase (decrease)
in unit value.......... 1.47 3.57 (1.00) 7.81 7.44 7.58 2.88 31.25
Net asset value at
beginning of period.... 21.72 23.19 26.76 25.76 33.57 41.01 48.59 51.47
-------- --------- --------- --------- --------- --------- --------- ---------
Net asset value at end
of period.............. $ 23.19 $ 26.76 $ 25.76 $ 33.57 $ 41.01 $ 48.59 $ 51.47 $ 82.72
======== ========= ========= ========= ========= ========= ========= =========
Ratio of net expenses to
average net assets..... 1.25 %** 1.15 % 1.10 % 1.10 % 1.04 % .98 % .93 % .80 %#
Ratio of net investment
income (loss) to
average net assets..... .17 %** (.12)% .02 % .01 % (.06)% (.11)% (.21)% (.11)%
Portfolio turnover...... 43 %*** 42 % 48 % 63 % 48 % 36 % 55 % 59 %
Total return............ 6.77 %*** 15.39 % (3.74)% 30.32 % 22.16 % 18.48 % 5.93 % 60.71 %
Net assets at end of
period (in thousands).. $116,426 $153,465 $163,678 $214,539 $275,915 $331,940 $298,855 $432,008
</TABLE>
International Equity Fund:
<TABLE>
<CAPTION>
For the Period
September 5, 1995* Year ended December 31,
to ------------------------------------------
December 31, 1995 1996 1997 1998 1999
------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .49 $ .70 $ 1.11 $ .80 $ 1.52
Net expenses+........... (.03) (.10) (.09) (.08) (.06)
------- ------- ------- ------- --------
Net investment income... .46 .60 1.02 .72 1.46
Net realized and
unrealized gain (loss)
on investments......... (.09) 1.83 (.61) 2.14 5.74
------- ------- ------- ------- --------
Net increase in unit
value.................. .37 2.43 .41 2.86 7.20
Net asset value at
beginning of period.... 15.00 15.37 17.80 18.21 21.07
------- ------- ------- ------- --------
Net asset value at end
of period.............. $ 15.37 $ 17.80 $ 18.21 $ 21.07 $ 28.27
======= ======= ======= ======= ========
Ratio of net expenses to
average net assets+.... .57 %** .59 % .47 %## .38 %## .27 %#
Ratio of net investment
income to average net
assets................. 9.20 %** 3.58 % 5.41 % 3.63 % 6.47 %
Portfolio turnover++.... 4 %*** 73 % 101 % 122 % 199 %
Total return............ 2.47 %*** 15.81 % 2.30 % 15.71 % 34.17 %
Net assets at end of
period (in thousands).. $10,849 $33,268 $58,997 $69,575 $106,193
</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.
++ 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.
# Reflects the reimbursement of expenses by State Street. If these expenses
had not been reimbursed, the annualized ratio of net expenses to average
net assets would have been .81% for the Aggressive Equity Fund. See Note
3 of the Notes to Financial Statements.
## Reflects the reimbursement of expenses by State Street and Rowe Price-
Fleming International, Inc. If these expenses had not been reimbursed,
the annualized ratio of net expenses to average net assets would have
been .54%, .48% and .37% for the years ended December 31, 1997, 1998 and
1999, respectively.
Note: Certain reclassifications were made to the prior year International
Equity Fund's per Unit data and ratios to conform to current year
presentation.
47
<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 1999
-------------------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 1.37
------- ------- ------- ------- --------
Net increase in unit
value.................. .47 .99 1.51 1.72 1.37
Net asset value at be-
ginning of period...... 10.00 10.47 11.46 12.97 14.69
------- ------- ------- ------- --------
Net asset value at end
of period.............. $ 10.47 $ 11.46 $ 12.97 $ 14.69 $16.06
======= ======= ======= ======= ========
Ratio of net 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 % 46%
Total return............ 4.70 %**** 9.46 % 13.18 % 13.26 % 9.33%
Net assets at end of pe-
riod (in
thousands)............. $ 5,372 $11,201 $17,228 $22,731 $25,820
Structured Portfolio Service--Moderate Portfolio:
<CAPTION>
For the Period Year ended December 31,
September 5, 1995* --------------------------------------
to December 31, 1995 1996 1997 1998 1999
-------------------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 2.37
------- ------- ------- ------- --------
Net increase in unit
value.................. .54 1.39 2.00 2.42 2.37
Net asset value at be-
ginning of period...... 10.00 10.54 11.93 13.93 16.35
------- ------- ------- ------- --------
Net asset value at end
of period.............. $ 10.54 $ 11.93 $ 13.93 $ 16.35 $ 18.72
======= ======= ======= ======= ========
Ratio of net 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 % 24%
Total return............ 5.40 %**** 13.19 % 16.76 % 17.37 % 14.50%
Net assets at end of pe-
riod (in
thousands)............. $12,379 $32,617 $66,095 $84,346 $112,343
</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.
48
<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 1999
-------------------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 3.96
------ ------- ------- ------- -------
Net increase in unit
value.................. .57 1.84 2.50 3.01 3.96
Net asset value at
beginning of period.... 10.00 10.57 12.41 14.91 17.92
------ ------- ------- ------- -------
Net asset value at end
of period.............. $10.57 $ 12.41 $ 14.91 $ 17.92 $ 21.88
====== ======= ======= ======= =======
Ratio of net expenses to
average 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 % 22%
Total return............ 5.70 %**** 17.41 % 20.15 % 20.19 % 22.09%
Net assets at end of
period (in thousands).. $9,999 $25,558 $51,868 $66,845 $96,543
</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.
49
<PAGE>
Item 7. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Overview
The domestic equity market was propelled to sizable gains in 1999 by
technology stocks. Large capitalization stocks were slightly outperformed by
small capitalization stocks while growth investing achieved significantly
better returns than value investing. Technology was by far the sector that led
the way to positive returns for the year. Energy and consumer services also had
strong returns while consumer staples and health care services experienced the
largest declines. A surprisingly strong domestic economy fueled concerns of
inflation causing the Federal Reserve to increase the short-term lending rate
on several occasions. Treasury yields increased for the year again in response
to the stronger than expected domestic growth. The international markets
finished the year up, concluding with a strong fourth quarter with the
established markets rising, particularly the Japanese market which experienced
a recovery of its economy. Emerging markets also ended the year with positive
returns, in part due to an exceptional fourth quarter.
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, 1999, 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 60.68%. By comparison, the
Russell 2000 Index produced a total return of 21.26% 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
technology, general business and consumer basics. Securities representing the
largest holdings based on market value in the Aggressive Equity Fund at
December 31, 1999 included Uniphase Corp., Qualcomm Inc., Applied Micro
Circuits Corp., Legato Systems Inc. and Xilinx Inc.
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, 1999, the
Balanced Fund experienced a total return, net of Expenses, of 15.09%. 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
12.22%. 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 technology, consumer basics and general business. Securities representing
the largest equity holdings based on market value in the Balanced Fund at
December 31, 1999 included AT&T Corp., SLM Holding Corp., Applied Materials
Inc., Pfizer Inc. and Exxon Mobil Corp. The fixed income portion was heavily
invested in government agency and mortgage related issues.
50
<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, 1999, the Growth Equity Fund experienced a
total return, net of Expenses, of 33.50%. By comparison, the Russell 1000
Growth Index produced a return of 33.16% 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 technology,
consumer basics and general business. Securities representing the largest
holdings based on market value in the Growth Equity Fund at December 31, 1999
included Cisco Systems Inc., General Electric Company, Microsoft Corp., Intel
Corp. and Nokia Corp.
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, of 22.24% for the year
ended December 31, 1999. By comparison, the Russell 3000 Index produced a
return of 20.90% 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. During the year ended
December 31, 1999, a portion of the Intermediate Bond Fund (approximately two-
thirds) was 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 was 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. During this period, two-thirds of all contributions to
the Fund were invested in the PIMCO Total Return Fund and the remaining one-
third was invested in the Barclays Global Investors Bond Index Fund.
51
<PAGE>
For the year ended December 31, 1999, the Intermediate Bond Fund experienced
a total return, net of Expenses, of (1.43)%. As a comparison, the Lehman
Brothers Aggregate Bond Index produced a return of (0.82)% 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.
For the year ended December 31, 1999, the International Equity Fund
experienced a total return, net of Expenses, of 34.19%. 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 30.42%. 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.
As of December 31, 1999, the most heavily weighted countries in the T. Rowe
Price International Stock Fund were Japan, the United Kingdom, France and The
Netherlands. The securities representing the largest holdings based on market
value were Sony Corp., Nokia AB, Kyocera Corp., Mannesmann SA, Murata
Manufacturing Company Ltd. and National Westminster Bank PLC.
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, 1999, the Stable Asset Return Fund produced
an annualized return, net of Expenses, of 5.64%. By comparison, the Donoghue
Money Market Fund "Tier One" Average (the "Donoghue Average") for the year was
4.58%. 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, 1999, the Value Equity Fund experienced a
total return, net of Expenses, of 8.43%. By comparison, the Russell 1000 Value
Index produced a return of 7.35% 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 technology,
finance, and consumer non-durables. Securities representing the largest
holdings based on market value in the Value Equity Fund at December 31, 1999
included Microsoft Corp., General Electric Company, Exxon Mobil Corp., AT&T
Corp. and Cisco Systems Inc.
52
<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, 1999, the Structured Portfolio Service
experienced a total return, net of Expenses, of 9.29% for the Conservative
Portfolio, 14.52% for the Moderate Portfolio, and 22.09% 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.
53
<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 49,
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 35, 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 42, was Vice President of Internal Control and Compliance at
First Data Investor Services Group. From March 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.
54
<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, Fourth Amended Fund Declaration for the Stable Asset
Return Fund, included as Exhibit 3.3 to Post-Effective
Amendment No. 2 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, Third Amended and Restated Fund Declaration for the
Intermediate Bond Fund, included as Exhibit 3.4 to Post-
Effective Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Balanced Fund, included as Exhibit 3.5 to Post-Effective
Amendment No. 3 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, Third Amended and Restated Fund Declaration for the
Value Equity Fund, included as Exhibit 3.6 to Post-Effective
Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Growth Equity Fund, included as Exhibit 3.7 to Post-
Effective Amendment No. 3 to Registrant's Registration
Statement on Form S-1 No. 333-69427 and incorporated herein
by reference thereto.
</TABLE>
55
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
3.8 American Bar Association Members/State Street Collective
Trust, Fourth Amended and Restated Fund Declaration for the
Index Equity Fund, included as Exhibit 3.8 to Post-Effective
Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Aggressive Equity Fund, included as Exhibit 3.9 to Post-
Effective Amendment No. 3 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, Third Amended and Restated Fund Declaration for the
International Equity Fund, included as Exhibit 3.10 to Post-
Effective Amendment No. 3 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 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>
56
<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 Growth
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 C.
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>
57
<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
58
<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 27, 2000.
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 indicated on March 27, 2000.
<TABLE>
<S> <C>
Signature Title
/s/ James S. Phalen President and Chief Executive Officer
- ------------------------------------- of the American Bar Association
James S. Phalen Members/State Street Collective Trust
(Principal Executive Officer)
/s/ Beth M. Halberstadt Vice President and Chief Financial
- ------------------------------------- Officer of the American Bar
Beth M. Halberstadt Association Members/State Street
Collective Trust (Principal Financial
Officer)
/s/ Susan C. Daniels Treasurer and Chief Accounting Officer
- ------------------------------------- of the American Bar Association
Susan C. Daniels Members/State Street Collective Trust
(Principal Accounting Officer)
</TABLE>
59
<PAGE>
<TABLE>
<S> <C>
</TABLE>
Signature Title
* Director of State Street Bank and Trust
- ------------------------------------- Company
Tenley E. Albright
* Director of State Street Bank and Trust
- ------------------------------------- Company
I. MacAllister Booth
* Director of State Street Bank and Trust
- ------------------------------------- Company
Marshall N. Carter
Director of State Street Bank and Trust
- ------------------------------------- Company
James I. Cash, Jr.
* Director of State Street Bank and Trust
- ------------------------------------- Company
Truman S. Casner
* Director of State Street Bank and Trust
- ------------------------------------- Company
Nader F. Darehshori
* Director of State Street Bank and Trust
- ------------------------------------- Company
Arthur L. Goldstein
Director of State Street Bank and Trust
- ------------------------------------- Company
David P. Gruber
60
<PAGE>
<TABLE>
<S> <C>
Signature Title
* Director of State Street Bank and Trust
- ------------------------------------- Company
John M. Kucharski
* Director of State Street Bank and Trust
- ------------------------------------- Company
Charles R. LaMantia
* Director of State Street Bank and Trust
- ------------------------------------- Company
David B. Perini
Director of State Street Bank and Trust
- ------------------------------------- Company
Dennis J. Picard
* Director of State Street Bank and Trust
- ------------------------------------- Company
Richard P. Sergel
* Director of State Street Bank and Trust
- ------------------------------------- Company
David A. Spina
* Director of State Street Bank and Trust
- ------------------------------------- Company
Diana Chapman Walsh
*By /s/ Nicholas A. Lopardo
----------------------------------
Name: Nicholas A. Lopardo
Attorney-in-Fact
*By /s/ Maureen Scannell Bateman
----------------------------------
Name: Maureen Scannell Bateman
Attorney-in-Fact
</TABLE>
61
<PAGE>
American Bar Association Members/State Street Collective Trust
Index to Financial Statements
December 31, 1999
<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-20
Statement of Operations............................................... F-21
Statement of Changes in Net Assets.................................... F-22
Selected Per-Unit Data and Ratios..................................... F-23
Schedule of Investments............................................... F-24
Growth Equity Fund
Statement of Assets and Liabilities................................... F-40
Statement of Operations............................................... F-41
Statement of Changes in Net Assets.................................... F-42
Selected Per-Unit Data and Ratios..................................... F-43
Schedule of Investments............................................... F-44
Index Equity 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
Intermediate Bond 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
International Equity 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
Stable Asset Return Fund
Statement of Assets and Liabilities................................... F-76
Statement of Operations............................................... F-77
Statement of Changes in Net Assets.................................... F-78
Selected Per-Unit Data and Ratios..................................... F-79
Schedule of Investments............................................... F-80
</TABLE>
F-1
<PAGE>
<TABLE>
<CAPTION>
Page(s)
-------
<S> <C>
Value Equity Fund
Statement of Assets and Liabilities................................... F-84
Statement of Operations............................................... F-85
Statement of Changes in Net Assets.................................... F-86
Selected Per-Unit Data and Ratios..................................... F-87
Schedule of Investments............................................... F-88
Conservative Structured Portfolio Service
Statement of Assets and Liabilities................................... F-97
Statement of Operations............................................... F-98
Statement of Changes in Net Assets.................................... F-99
Selected Per-Unit Data and Ratios..................................... F-100
Moderate Structured Portfolio Service
Statement of Assets and Liabilities................................... F-101
Statement of Operations............................................... F-102
Statement of Changes in Net Assets.................................... F-103
Selected Per-Unit Data and Ratios..................................... F-104
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities................................... F-105
Statement of Operations............................................... F-106
Statement of Changes in Net Assets.................................... F-107
Selected Per-Unit Data and Ratios..................................... F-108
Notes to Financial Statements........................................... F-109
</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, 1999, 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
accounting principles generally accepted in the United States. 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 auditing standards generally accepted in the United States which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
March 20, 2000
F-3
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value (cost $278,926,889)......................... $432,234,938
Cash.............................................................. 4,362
Receivable for investments sold................................... 931,992
Dividends and interest receivable................................. 162,624
Deferred registration fees........................................ 28,314
Other assets...................................................... 40,394
------------
Total assets.................................................... 433,402,624
------------
LIABILITIES
Payable for investments purchased................................. 89,324
Payable for fund units redeemed................................... 857,387
Investment advisory fee payable................................... 337,089
State Street Bank and Trust Company -- program fee payable........ 64,334
Trustee, management and administration fees payable............... 24,292
American Bar Retirement Association -- program fee payable........ 14,205
Other accruals.................................................... 8,124
------------
Total liabilities............................................... 1,394,755
------------
Net assets (equivalent to $82.72 per unit based on 5,222,531 units
outstanding)..................................................... $432,007,869
============
</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,
1999
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $738)................. $ 1,399,219
Interest....................................................... 722,689
------------
Total investment income...................................... 2,121,908
------------
Expenses
Investment advisory fee........................................ 1,347,897
State Street Bank and Trust Company--program fee............... 644,078
Trustee, management and administration fees.................... 227,864
American Bar Retirement Association--program fee............... 136,338
Reports to unitholders......................................... 46,949
Legal and audit fees........................................... 17,447
Registration fees.............................................. 31,066
Other expenses................................................. 21,318
------------
Total expenses............................................... 2,472,957
Program fee reimbursement from State Street Bank and Trust
Company....................................................... (7,675)
------------
Net expenses................................................. 2,465,282
------------
Net investment loss.............................................. (343,374)
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain.............................................. 58,025,184
Change in net unrealized appreciation.......................... 105,085,935
------------
Net realized and unrealized gain on investments.............. 163,111,119
------------
Net increase in net assets resulting from operations............. $162,767,745
============
</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
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the year ended
December 31,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment loss.............................. $ (653,573) $ (343,374)
Net realized gain on investments................. 48,992,164 58,025,184
Net change in unrealized appreciation on
investments..................................... (30,905,910) 105,085,935
------------ ------------
Net increase in net assets resulting from
operations.................................... 17,432,681 162,767,745
------------ ------------
From unitholder transactions
Proceeds from units issued....................... 24,065,736 34,479,784
Cost of units redeemed........................... (74,583,142) (64,094,523)
------------ ------------
Net decrease in net assets resulting from
unitholder transactions....................... (50,517,406) (29,614,739)
------------ ------------
Net increase (decrease) in net assets......... (33,084,725) 133,153,006
Net Assets
Beginning of year................................ 331,939,588 298,854,863
------------ ------------
End of year...................................... $298,854,863 $432,007,869
============ ============
Number of units
Outstanding--beginning of year................... 6,831,480 5,806,015
Sold........................................... 485,136 554,156
Redeemed....................................... (1,510,601) (1,137,640)
------------ ------------
Outstanding--end of year......................... 5,806,015 5,222,531
============ ============
</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 period)*
<TABLE>
<CAPTION>
For the period
January 2, 1992
(Commencement
of Operations) to For the year ended December 31,
December 31, -------------------------------------------------------------------------
1992 1993 1994 1995 1996 1997 1998 1999
----------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .30 $ .25 $ .28 $ .32 $ .36 $ .39 $ .35 $ .40
Net expenses............ (.26) (.28) (.28) (.32) (.39) (.45) (.46) (.47)
-------- -------- -------- -------- -------- -------- -------- --------
Net investment income
(loss)................. .04 (.03) -- -- (.03) (.06) (.11) (.07)
Net realized and
unrealized gain (loss)
on investments......... 1.43 3.60 (1.00) 7.81 7.47 7.64 2.99 31.32
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... 1.47 3.57 (1.00) 7.81 7.44 7.58 2.88 31.25
Net asset value at
beginning of period.... 21.72 23.19 26.76 25.76 33.57 41.01 48.59 51.47
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.19 $ 26.76 $ 25.76 $ 33.57 $ 41.01 $ 48.59 $ 51.47 $ 82.72
======== ======== ======== ======== ======== ======== ======== ========
Ratio of net expenses to
average net assets .... 1.25%*** 1.15 % 1.10% 1.10% 1.04% .98% .93% .80%#
Ratio of net investment
income (loss) to
average net assets..... .17%*** (.12)% .02 % .01% (.06)% (.11)% (.21)% (.11)%
Portfolio turnover...... 43%** 42 % 48 % 63% 48 % 36 % 55 % 59 %
Total return............ 6.77%** 15.39 % (3.74)% 30.32% 22.16 % 18.48 % 5.93 % 60.71 %
Net assets at end of
period (in thousands).. $116,426 $153,465 $163,678 $214,539 $275,915 $331,940 $298,855 $432,008
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Not annualized.
*** Ratios annualized.
# After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to average net assets
would have been .81% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F-7
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK--96.0%
BASIC INDUSTRIES--1.6%
Chemicals--0.5%
H.B. Fuller Co. .......................................... 18,300 $ 1,023,656
OM Group Inc.............................................. 22,000 757,625
RPM Inc................................................... 48,593 495,041
------------
2,276,322
------------
Paper--0.6%
Caraustar Industries Inc. ................................ 53,000 1,272,000
Pentair Inc............................................... 32,000 1,232,000
------------
2,504,000
------------
Plastics--0.5%
Advanced Energy Industries Inc.*.......................... 46,000 2,265,500
------------
7,045,822
------------
CAPITAL GOODS--2.8%
Construction Materials--0.4%
Columbus McKinnon Corp.*.................................. 55,000 556,875
Rudolph Technologies Inc.*................................ 15,400 515,900
Superior Telecom Inc...................................... 25,800 398,288
Zygo Corp.*............................................... 20,500 412,562
------------
1,883,625
------------
Electrical Equipment--1.9%
Integrated Electrical Services, Inc.*..................... 38,000 382,375
Jabil Circuit Inc.*....................................... 66,500 4,854,500
Kulicke & Soffa Industries *.............................. 65,000 2,766,562
------------
8,003,437
------------
Industrial Machinery--0.2%
Alyn Corp.*............................................... 116,800 240,900
NN Ball & Roller Inc. .................................... 112,700 817,075
------------
1,057,975
------------
Miscellaneous--0.3%
Silicon Valley Group Inc.*................................ 75,000 1,331,250
------------
12,276,287
------------
CONSUMER BASICS--8.1%
Drugs & Health Care--7.7%
Algos Pharmaceutical Corp.*............................... 15,400 169,400
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-8
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER BASICS (Continued)
Drugs & Health Care (Continued)
Aviron*................................................... 25,000 $ 395,313
Biogen Inc.*.............................................. 71,500 6,041,750
Cardinal Health Inc....................................... 29,500 1,412,312
Corporate Therapeutics Inc.*.............................. 60,000 1,612,500
Elan PLC ADR.............................................. 78,500 2,315,750
Gilead Sciences Inc.*..................................... 18,500 1,001,312
Immune Response Corp.*.................................... 137,700 598,134
Immunex Corp.*............................................ 39,400 4,314,300
KOS Pharmaceuticals Inc.*................................. 167,000 939,375
LifePoint Hospitals, Inc.*................................ 35,000 413,438
Medimmune Inc.*........................................... 27,000 4,478,625
Orthodontic Centres of America Inc.*...................... 25,000 298,438
PE Corp.*................................................. 23,000 3,427,000
Protein Design Inc.*...................................... 35,000 2,450,000
Sangstat Medical Corp.*................................... 35,000 1,041,250
Triad Hospitals Inc.*..................................... 41,000 620,125
Trigon Healthcare Inc.*................................... 35,000 1,032,500
VISX Inc.*................................................ 17,000 879,750
------------
33,441,272
Food & Beverages--0.1%
Fresh Del Monte Produce*.................................. 41,000 369,000
Household Products--0.3%
Dial Corp. ............................................... 52,000 1,264,250
------------
35,074,522
------------
CONSUMER DURABLE GOODS--1.2%
Automobiles--0.6%
Harley Davidson Inc. ..................................... 38,000 2,434,375
Household Appliances & Home Furnishings--0.4%
Libbey Inc................................................ 56,000 1,610,000
Tires & Rubber--0.2%
Bandag Inc................................................ 39,000 975,000
------------
5,019,375
------------
CONSUMER NON-DURABLES--2.7%
Apparel & Textiles--0.1%
Novel Denim Holdings Limited*............................. 58,000 248,313
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-9
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER NON-DURABLES (Continued)
Cosmetics & Toiletries--0.4%
Estee Lauder Cos., Inc..................................... 30,000 $ 1,513,125
Natrol Inc.*............................................... 50,000 350,000
------------
1,863,125
------------
Liquor--0.5%
Beringer Wine Estates Holdings*............................ 20,000 797,500
Robert Mondavi Corp.*...................................... 36,500 1,268,375
------------
2,065,875
------------
Miscellaneous--0.7%
Flowers Industries Inc..................................... 22,400 357,000
Seminis Inc.*.............................................. 92,000 580,750
Suiza Foods Corp.*......................................... 48,000 1,902,000
------------
2,839,750
------------
Retail Trade--1.0%
Kohls Corp.*............................................... 61,000 4,403,437
------------
11,420,500
------------
CONSUMER SERVICES--2.2%
Air Travel--0.3%
Atlantic Coast Airlines Inc.*.............................. 37,100 881,125
Midway Airlines Corp.*..................................... 32,200 199,238
------------
1,080,363
------------
Hotels & Restaurants--0.5%
CKE Restaurants Inc........................................ 30,000 176,250
Harrahs Entertainment Inc.*................................ 42,300 1,118,306
Ruby Tuesday Inc........................................... 34,000 618,375
Sizzler International Inc.*................................ 69,500 173,750
------------
2,086,681
------------
Leisure Time--1.4%
Acclaim Entertainment Inc.*................................ 60,200 308,525
Imax Corp.* ADR............................................ 23,800 651,525
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-10
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER SERVICES--(Continued)
Leisure Time--(Continued)
International Speedway Corp............................... 52,000 $ 2,619,500
Steiner Leisure Limited*.................................. 37,600 627,450
Westwood One, Inc.*....................................... 17,600 1,337,600
World Wrestling Federation, Inc.*......................... 31,800 548,550
------------
6,093,150
------------
9,260,194
------------
CORPORATE--0.4%
Other Utilities--0.4%
Sportsline USA Inc*....................................... 16,400 822,050
White Capital Industries Corp.*........................... 60,100 901,500
------------
1,723,550
------------
ENERGY--2.3%
Coal--0.2%
Consol Energy Inc......................................... 66,000 668,250
------------
Domestic Oil--1.3%
Devon Energy Corp......................................... 40,000 1,315,000
Eog Resources Inc......................................... 133,500 2,344,594
Insignia Financial Group Inc.*............................ 75,000 651,563
Midcoast Energy Resources Inc............................. 34,000 569,500
Newfield Exploration Co.*................................. 32,600 872,050
------------
5,752,707
------------
Gas Exploration--0.6%
BJ Services Co.*.......................................... 15,100 631,369
Energen Corp.............................................. 65,000 1,174,062
Valero Energy Corp........................................ 44,000 874,500
------------
2,679,931
------------
International Oil--0.2%
Ranger Oil Ltd.* ADR...................................... 250,000 781,250
------------
9,882,138
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-11
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
FINANCE--5.9%
Banks--1.8%
Banco Santander*.......................................... 21,500 $ 331,906
Bank United Corp.......................................... 30,000 817,500
Commerce Bancorp Inc.*.................................... 25,000 1,010,937
Community First Bankshares Inc.*.......................... 51,000 803,250
Community Savings Bankshares Inc.......................... 181,780 2,283,611
Pacific Bank N.A.......................................... 14,600 404,238
PFF Bancorp Inc........................................... 55,000 1,065,625
Republic Security Financial Corp.......................... 44,000 314,875
Zions Bancorp. ........................................... 15,000 887,813
------------
7,919,755
------------
Financial Services--1.2%
Americredit Corp.*........................................ 93,400 1,727,900
Fidelity National Financial Inc........................... 47,000 675,625
First Alliance Company*................................... 140,000 262,500
Goldman Sachs Group Inc................................... 13,000 1,224,437
Medallion Financial Corp.................................. 78,000 1,399,125
------------
5,289,587
------------
Insurance--1.9%
ACE LTD ADR............................................... 130,500 2,177,719
Aon Corp. ................................................ 51,500 2,060,000
Harleysville Group Inc.................................... 45,000 641,250
Miix Group Inc............................................ 31,400 459,225
Philadelphia Consolidated Holding Corp.*.................. 15,000 217,500
Reliastar Financial Corp.................................. 57,500 2,253,281
Trenwick Group Inc........................................ 8,000 135,500
------------
7,944,475
------------
Investment Companies--0.3%
T. Rowe Price Associates Inc.............................. 36,400 1,344,525
------------
Real Estate--0.1%
Trammell Crow Company*.................................... 16,200 188,325
------------
Savings And Loan--0.6%
Fidelity Bankshares, Inc.................................. 28,000 395,500
TCF Financial Corp........................................ 92,500 2,300,938
------------
2,696,438
------------
25,383,105
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-12
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
GENERAL BUSINESS--18.1%
Broadcasting--4.5%
Acme Communications Inc.*................................. 3,000 $ 99,750
Amfm Inc.*................................................ 65,200 5,101,900
Cox Radio Inc.*........................................... 27,000 2,693,250
Insight Communications Inc.*.............................. 41,500 1,229,437
Macromedia Inc.*.......................................... 32,000 2,340,000
Sinclair Broadcast Group Inc.*............................ 37,000 451,516
Sirius Satellite Radio Inc.*.............................. 28,000 1,246,000
Spanish Broadcasting Systems Inc.*........................ 25,000 1,006,250
Tivo Inc.*................................................ 3,300 111,375
Unitedglobalcom*.......................................... 16,500 1,165,313
Univision Communications Inc.*............................ 11,500 1,175,156
Worldgate Communications Inc.*............................ 9,300 442,331
XM Satellite Radio Holdings Inc.*......................... 29,000 1,105,625
Young Broadcasting Inc.*.................................. 26,000 1,326,000
------------
19,493,903
------------
Business Services--11.2%
Akamai Technologies Inc.*................................. 1,500 491,438
Allied Riser Communications Corp.*........................ 50,000 1,034,375
Alloy Online Inc.*........................................ 41,000 645,750
Ashford.com Inc.*......................................... 27,000 297,000
Assisted Living Concepts Inc.*............................ 228,500 471,281
Autoweb.com Inc.*......................................... 171,200 1,861,800
BEA Systems Inc.*......................................... 17,000 1,188,937
Cambridge Technology Partners Inc.*....................... 23,000 603,750
Caribiner International Inc.*............................. 45,000 163,125
Carriage Services Inc.*................................... 80,000 475,000
Costar Group Inc.*........................................ 27,000 968,625
Cybergold Inc.*........................................... 4,000 70,750
GO.com*................................................... 17,900 426,244
Doubleclick Inc.*......................................... 7,500 1,897,969
DSP Group Inc.*........................................... 13,000 1,209,000
Fiserv Inc.*.............................................. 115,600 4,428,925
Focal Communications Corp.*............................... 22,600 545,225
FTD.com Inc.*............................................. 22,000 115,500
IMS Health Inc............................................ 88,000 2,392,500
Infospace.com Inc.*....................................... 18,000 3,852,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-13
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
GENERAL BUSINESS (Continued)
Business Services (Continued)
Inktomi Corp.*............................................ 46,400 $ 4,118,000
Intelligroup Inc.*........................................ 81,000 2,004,750
Ivillage Inc.*............................................ 38,000 769,500
Jfax.com Inc.*............................................ 25,000 167,969
Korn/Ferry International*................................. 22,000 800,250
Legato Systems Inc.*...................................... 124,700 8,580,919
Mail.com Inc.*............................................ 18,400 345,000
Mp3.com Inc.*............................................. 5,100 161,606
National Information Consortium, Inc.*.................... 22,200 710,400
Omnicom Group Inc......................................... 10,500 1,050,000
OneMain.com, Inc.*........................................ 19,900 298,500
PlanetRx.com, Inc.*....................................... 10,200 147,900
Policy Management Systems Corp.*.......................... 73,000 1,866,062
Real Networks Inc.*....................................... 5,000 601,562
Stewart Enterprises Inc.*................................. 176,700 839,325
Time Warner Telecom Inc.*................................. 7,300 364,544
Verisign Inc.*............................................ 4,500 859,219
Vignette Corp.*........................................... 8,000 1,304,000
Xpedior Inc.*............................................. 10,000 287,500
------------
48,416,200
------------
Communication Services--1.4%
Adelphia Communications Corp.*............................ 60,500 3,970,312
Carrier Access Corp.*..................................... 32,000 2,154,000
------------
6,124,312
------------
Newspapers--0.4%
Media General Inc......................................... 28,700 1,492,400
------------
Publishing--0.6%
Applied Graphics Technologies............................. 91,000 784,875
Hollinger International Inc............................... 67,500 873,281
Jostens Inc............................................... 39,000 948,188
------------
2,606,344
------------
78,133,159
------------
MISCELLANEOUS--11.8%
Chemicals--0.5%
Spartech Corp............................................. 12,100 390,225
United States Plastic Lumber Corp.*....................... 25,000 192,188
Valence Technology Inc.*.................................. 83,000 1,577,000
------------
2,159,413
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-14
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
MISCELLANEOUS (Continued)
Conglomerates--0.1%
Logitech International SA* ADR............................ 20,480 $ 564,480
------------
Miscellaneous--9.0%
Castle Dental Centers Inc.*............................... 50,000 150,000
Citadel Communications Corp.*............................. 45,500 2,951,812
Classic Communications, Inc.*............................. 21,000 767,813
Corn Products International Inc........................... 81,800 2,678,950
Dollar Thrifty Automotive Group*.......................... 30,000 718,125
Dynegy Inc................................................ 55,000 1,337,187
ESG Re Ltd. ADR........................................... 11,400 79,088
Firearms Training Systems Inc.*........................... 29,200 14,600
Freemarkets Inc.*......................................... 400 136,525
Hagler Bailly Inc.*....................................... 90,000 450,000
Harbor Florida Bancshares Inc............................. 95,000 1,229,062
Harris Interactive Inc.*.................................. 21,600 282,150
Healthcentral Common*..................................... 11,000 80,438
ICG Communications Inc.*.................................. 162,000 3,037,500
JDS Uniphase Corp.*....................................... 88,000 14,195,500
Metro Information Services Inc.*.......................... 40,000 960,000
Tefron Limited*........................................... 80,500 1,006,250
Tier Technologies Inc.*................................... 51,300 432,844
TMP Worldwide Inc.*....................................... 38,000 5,396,000
Viatel Inc.*.............................................. 26,000 1,394,250
Wesley Jessen Visioncare Inc.*............................ 45,000 1,704,375
------------
39,002,469
------------
Real Estate--0.2%
Meristar Hospitality Corp................................. 57,000 912,000
------------
Retail Grocery--0.3%
Whole Foods Market Inc.*.................................. 27,000 1,252,125
------------
Retail Trade--1.7%
Bed Bath & Beyond Inc.*................................... 39,500 1,372,625
Best Buy Co., Inc.*....................................... 40,500 2,032,594
Lithia Motors Inc.*....................................... 30,500 545,187
Martha Stewart Living Inc.*............................... 5,000 120,000
Restoration Hardware Inc. (Delaware)*..................... 35,000 238,438
Tandy Corp................................................ 29,000 1,426,437
Tiffany & Co.............................................. 16,000 1,428,000
------------
7,163,281
------------
51,053,768
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-15
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY--33.0%
Aerospace--0.9%
Computer Sciences Corp.*................................... 40,500 $ 3,832,312
------------
Communication Services--7.9%
Applied Micro Circuits Corp.*.............................. 71,000 9,034,750
Aspect Communications Inc.*................................ 72,500 2,836,562
Brocade Communications Systems Inc.* ...................... 8,000 1,416,000
C-Cube Microsystems Inc.*.................................. 59,500 3,703,875
Comverse Technology Inc.*.................................. 26,000 3,763,500
Echostar Communications Corp.*............................. 14,000 1,365,000
Polycom Inc.*.............................................. 19,000 1,210,063
Qualcom Inc.*.............................................. 62,000 10,919,750
------------
34,249,500
------------
Computers & Business Equipment--4.4%
BE Semiconductor Industries* ADR........................... 28,000 378,000
Ceridian Corp.*............................................ 99,000 2,134,687
Documentum Inc.*........................................... 3,700 221,537
E Piphany Inc.*............................................ 3,600 803,250
Electronic Arts*........................................... 12,000 1,008,000
Epicor Software Corp.*..................................... 28,200 142,763
I2 Technologies Inc.*...................................... 3,500 682,500
Mips Technologies Inc.*.................................... 31,400 1,632,800
Redeemable Hat Inc.*....................................... 12,500 2,640,625
Remedy Corp.*.............................................. 40,000 1,895,000
Siebel Systems Inc.*....................................... 25,500 2,142,000
Stormedia Inc.*............................................ 57,000 57
Symbol Technologies Inc.................................... 42,750 2,717,297
Veritas Software Co.*...................................... 17,000 2,433,125
Virginia Linux Systems Inc................................. 60 12,398
------------
18,844,039
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-16
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Electronics--14.7%
ADC Telecommunications Inc.*.............................. 54,000 $ 3,918,375
American Superconductor Corp.*............................ 100,000 2,800,000
Analog Devices Inc.*...................................... 38,000 3,534,000
ASM International NV*..................................... 100,000 2,300,000
ASM Lithography Holdings NV*.............................. 26,500 3,014,375
Credence Systems Corp.*................................... 44,000 3,806,000
Cymer Inc.*............................................... 46,100 2,120,600
Electroglas Inc.*......................................... 29,800 756,175
Etec Systems Inc.*........................................ 57,000 2,557,875
Lexmark International Group Inc.*......................... 42,000 3,801,000
Linear Technology Corp.................................... 38,000 2,719,375
LoJack Corp.*............................................. 110,000 742,500
LTX Corp.*................................................ 53,000 1,185,875
Maxim Integrated Products Inc.*........................... 52,000 2,453,750
Network Appliance Inc.*................................... 14,000 1,162,875
Novellus Systems Inc.*.................................... 15,000 1,837,969
PE Corp.*................................................. 500 60,156
Remec Inc.*............................................... 85,000 2,167,500
Sensormatic Electronics Corp.*............................ 115,000 2,005,313
Smartalk Teleservices Inc.*............................... 56,000 56
Teradyne Inc.*............................................ 68,000 4,488,000
Unova Inc.*............................................... 23,000 299,000
Vitesse Semiconductor Corp.*.............................. 115,000 6,030,312
Wesco International Inc.*................................. 41,000 363,875
Xilinx Inc.*.............................................. 188,000 8,548,125
Zoran Corp.*.............................................. 18,900 1,053,675
------------
63,726,756
------------
Software--5.1%
BMC Software Inc.*........................................ 45,500 3,637,156
Check Point Software Tech Ltd* ADR........................ 32,500 6,459,375
Dendrite International Inc.*.............................. 188,800 6,395,600
Midway Games Inc.*........................................ 114,600 2,743,238
Opentv Corp.*............................................. 2,500 200,625
Sapient Corp.*............................................ 18,000 2,536,875
------------
21,972,869
------------
142,625,476
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-17
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
TRANSPORTATION--1.9%
Miscellaneous--0.2%
Circle International Group Inc............................. 36,800 $ 818,800
------------
Trucking & Freight Forwarding--1.7%
Harmon Industries Inc...................................... 37,000 448,625
Hub Group Inc.*............................................ 49,000 980,000
Kansas City Southern Industries Inc. ...................... 33,000 2,462,625
Landstar Systems Inc.*..................................... 17,000 727,812
M.S. Carriers Inc.*........................................ 34,000 811,750
Polaris Industries Inc..................................... 42,000 1,522,500
US Xpress Enterprises Inc.*................................ 45,000 331,875
Werner Enterprises Inc..................................... 5,900 82,969
------------
7,368,156
------------
8,186,956
------------
UTILITIES--4.0%
Gas & Pipeline Utilities--0.8%
Eastern Enterprises........................................ 27,500 1,579,531
Louis Dreyfus Natural Gas Holdings Corp.*.................. 25,400 460,375
New Jersey Resources Corp.................................. 15,100 589,844
South Jersey Industries Inc................................ 13,900 395,281
Washington Gas Light Co. .................................. 16,000 440,000
------------
3,465,031
------------
Telephone--3.2%
Allegiance Telecom Inc.*................................... 33,500 3,090,375
Global Telesystems Group Inc.*............................. 63,500 2,198,688
Nextlink Communications Inc.*.............................. 47,000 3,903,937
Pac West Telecomm Inc.*.................................... 23,000 609,500
Telephone & Data Systems Inc............................... 17,500 2,205,000
Tritel Inc.*............................................... 43,000 1,362,563
Triton Pcs Holdings Inc.*.................................. 12,000 546,000
------------
13,916,063
------------
17,381,094
------------
TOTAL COMMON STOCK (cost $261,157,897)..................... 414,465,946
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-18
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Units Value
---------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS--4.1%
State Street Bank Yield Enhanced Short Term Investment
Fund (cost $17,768,992)................................17,768,992 $ 17,768,992
------------
TOTAL INVESTMENTS--(cost $278,926,889)--100.1%........ 432,234,938
Liabilities in excess of other assets--(0.1)%......... (227,069)
------------
NET ASSETS 100.0%..................................... $432,007,869
============
</TABLE>
* 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.
The accompanying notes are an integral part of these financial statements.
F-19
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value (cost $464,759,142)......................... $529,139,902
Cash.............................................................. 775
Receivable for investments sold................................... 2,321,484
Dividends and interest receivable................................. 2,049,312
Deferred registration fees........................................ 30,832
Other assets...................................................... 50,751
------------
Total assets.................................................... 533,593,056
------------
LIABILITIES
Payable for investments purchased................................. 72,523,672
Payable for fund units redeemed................................... 496,648
Investment advisory fee payable................................... 118,695
State Street Bank and Trust Company--program fee payable.......... 73,634
Trustee, management and administration fees payable............... 27,798
American Bar Retirement Association--program fee payable.......... 16,260
Other accruals.................................................... 8,283
------------
Total liabilities............................................... 73,264,990
------------
Net assets (equivalent to $61.21 per unit based on 7,520,223 units
outstanding)..................................................... $460,328,066
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-20
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $45,438)............... $ 3,392,296
Interest........................................................ 10,774,416
-----------
Total investment income....................................... 14,166,712
-----------
Expenses
Investment advisory fee......................................... 1,021,956
State Street Bank and Trust Company--program fee................ 940,617
Trustee, management and administration fees..................... 344,706
American Bar Retirement Association--program fee................ 199,393
Reports to unitholders.......................................... 76,935
Legal and audit fees............................................ 28,591
Registration fees............................................... 46,442
Other expenses.................................................. 34,933
-----------
Total expenses................................................ 2,693,573
Program fee reimbursement from State Street Bank and Trust
Company........................................................ (9,643)
-----------
Net expenses.................................................. 2,683,930
-----------
Net investment income............................................. 11,482,782
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 40,791,205
Change in net unrealized appreciation........................... 9,800,273
-----------
Net realized and unrealized gain on investments............... 50,591,478
-----------
Net increase in net assets resulting from operations.............. $62,074,260
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-21
<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,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment income............................ $ 10,636,947 $ 11,482,782
Net realized gain on investments................. 20,248,522 40,791,205
Net change in unrealized appreciation on
investments..................................... 38,599,880 9,800,273
------------ ------------
Net increase in net assets resulting from
operations.................................... 69,485,349 62,074,260
------------ ------------
From unitholder transactions
Proceeds from units issued....................... 33,845,201 28,096,262
Cost of units redeemed........................... (47,171,025) (44,504,748)
------------ ------------
Net decrease in net assets resulting from
unitholder transactions....................... (13,325,824) (16,408,486)
------------ ------------
Net increase in net assets.................... 56,159,525 45,665,774
Net Assets
Beginning of year................................ 358,502,767 414,662,292
------------ ------------
End of year...................................... $414,662,292 $460,328,066
============ ============
Number of units
Outstanding--beginning of year................... 8,070,199 7,796,320
Sold........................................... 692,617 492,264
Redeemed....................................... (966,496) (768,361)
------------ ------------
Outstanding--end of year......................... 7,796,320 7,520,223
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-22
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
January 2, 1992
(Commencement For the year ended December 31,
of Operations) to --------------------------------------------------------------------
December 31, 1992 1993 1994 1995 1996 1997 1998 1999
----------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .89 $ 1.00 $ 1.08 $ 1.19 $ 1.30 $ 1.42 $ 1.68 $ 1.82
Net expenses............ (.25) (.26) (.26) (.29) (.33) (.35) (.35) (.34)
-------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .64 .74 .82 .90 .97 1.07 1.33 1.48
Net realized and
unrealized gain (loss)
on investments......... (1.56) .82 (.82) 6.07 3.78 6.59 7.44 6.54
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease)
in unit value.......... (.92) 1.56 -- 6.97 4.75 7.66 8.77 8.02
Net asset value at
beginning of period.... 24.40 23.48 25.04 25.04 32.01 36.76 44.42 53.19
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value at end
of period.............. $ 23.48 $ 25.04 $ 25.04 $ 32.01 $ 36.76 $ 44.42 $ 53.19 $ 61.21
======== ======== ======== ======== ======== ======== ======== ========
Ratio of net expenses to
average net assets..... 1.10 %*** 1.07% 1.03% 1.00% .96% .84% .72% .60%#
Ratio of net investment
income to average net
assets................. 2.82 %*** 3.05% 3.32% 3.08% 2.85% 2.62% 2.72% 2.57%
Portfolio turnover...... 119 %** 153% 113% 155% 181% 122% 209% 229%
Total return............ (3.77)%** 6.64% 0.00% 27.84% 14.84% 20.84% 19.74% 15.08%
Net assets at end of
period (in thousands).. $167,242 $193,362 $198,945 $264,526 $295,401 $358,503 $414,662 $460,328
</TABLE>
- -------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Not annualized.
*** Ratios annualized.
# After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to net assets would have
been .60% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F-23
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
GNMA I--5.7%
MORTGAGE RELATED--5.7%
Mortgage Backed Securities--GNMA I--5.7%
Gnma 9.00% 12/15/2017................................. $ 564,642 $ 595,691
Gnma 9.50% 9/15/2017+................................. 441,489 468,747
Gnma 9.50% 12/15/2017+................................ 537,904 571,184
Gnma 9.50% 12/15/2017+................................ 483,317 513,219
Gnma 9.50% 12/15/2021................................. 347,811 369,198
Gnma 10.00% 11/15/2016................................ 70,909 76,269
Gnma 10.00% 3/15/2018................................. 66,686 71,858
Gnma 10.00% 6/15/2018................................. 69,555 74,950
Gnma 10.00% 5/15/2019+................................ 1,524,868 1,644,357
Gnma 10.00% 6/15/2019................................. 14,041 15,141
Gnma 10.00% 10/15/2019................................ 8,909 9,608
Gnma 10.00% 12/15/2020+............................... 759,836 818,769
Gnma 10.00% 10/15/2021................................ 60,577 65,366
Gnma 10.00% 7/15/2022+................................ 687,603 740,933
Gnma 10.00% 7/15/2022................................. 421,345 454,362
Gnma 10.00% 2/15/2025................................. 437,791 471,746
Gnma 10.50% 9/15/2015................................. 12,902 14,022
Gnma 10.50% 9/15/2017................................. 91,582 99,741
Gnma 10.50% 12/15/2017................................ 163,485 177,882
Gnma 10.50% 5/15/2019................................. 1,078 1,175
Gnma 10.50% 3/15/2020................................. 17,675 19,210
Gnma 10.50% 8/15/2020................................. 73,664 80,294
Gnma 11.00% 12/15/2009................................ 808 880
Gnma 11.00% 1/15/2010................................. 12,043 13,119
Gnma 11.00% 7/15/2010................................. 11,084 12,075
Gnma 11.00% 7/15/2010................................. 31,327 34,235
Gnma 11.00% 8/15/2010................................. 1,522 1,664
Gnma 11.00% 8/15/2010................................. 9,809 10,685
Gnma 11.00% 9/15/2015................................. 9,083 10,005
Gnma 11.00% 10/15/2015................................ 10,415 11,473
Gnma 11.00% 8/15/2017+................................ 553,422 607,391
Gnma 11.00% 9/15/2017................................. 158,602 174,413
Gnma 11.00% 2/15/2025................................. 181,097 199,489
Gnma TBA 7.00% 12/15/2099............................. 18,400,000 17,750,259
------------
TOTAL GNMA I (cost $26,660,906)....................... 26,179,410
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-24
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
GNMA II--1.4%
MORTGAGE RELATED--1.4%
Mortgaged Backed Securities--GNMA II--1.4%
Gnma 6.13% 10/20/2025 (A)............................. $ 393,680 $ 400,325
Gnma 6.13% 10/20/2027 (A)+............................ 750,872 761,429
Gnma 6.13% 11/20/2027 (A)+............................ 925,269 938,278
Gnma 6.13% 12/20/2027 (A)............................. 227,085 230,278
Gnma 6.38% 2/20/2025 (A).............................. 260,684 265,043
Gnma 6.38% 3/20/2025 (A)+............................. 517,674 526,330
Gnma 6.38% 4/20/2025 (A).............................. 86,779 87,891
Gnma 6.38% 4/20/2025 (A).............................. 390,295 395,357
Gnma 6.38% 5/20/2025 (A).............................. 111,726 113,157
Gnma 6.38% 5/20/2025 (A)+............................. 459,737 465,700
Gnma 6.38% 5/20/2025 (A).............................. 135,626 137,407
Gnma 6.63% 7/20/2025 (A)+............................. 497,012 501,674
Gnma 6.63% 7/20/2025 (A)+............................. 1,242,358 1,254,198
Gnma 6.63% 9/20/2027 +................................ 439,158 442,522
------------
TOTAL GNMA II (cost $6,540,106)....................... 6,519,589
------------
FNMA--10.1%
FNMA--10.1%
Fnma 5.25% 1/15/2009.................................. 1,750,000 1,543,552
Fnma 6.00% 5/1/2029................................... 4,466,594 4,085,505
Fnma 6.00% 5/1/2029................................... 3,594,974 3,288,250
Fnma 6.00% 5/1/2029................................... 6,425,987 5,877,722
Fnma 10.00% 5/1/2022.................................. 92,040 98,540
Fnma 10.00% 5/1/2022+................................. 725,155 776,366
Fnma 10.00% 11/1/2024+................................ 811,317 868,612
Fnma 10.50% 10/1/2018................................. 286,338 309,512
Fnma 11.00% 9/1/2019+................................. 405,480 441,851
Fnma 11.50% 11/1/2019................................. 70,357 77,329
Fnma TBA 6.00% 1/1/2029............................... 8,775,000 8,031,863
Fnma TBA 6.00% 12/1/2099.............................. 23,250,000 21,266,496
------------
TOTAL FNMA (cost $48,119,424)......................... 46,665,598
------------
FEDERAL AGENCIES--5.1%
Federal Agencies--5.1%
Federal Home Loan Mortgage Pc Guaranteed 9.50%
4/15/2020............................................ 96,394 100,821
Federal Home Loan Mortgage Pc Guaranteed 10.00%
5/15/2020............................................ 165,001 173,664
Federal Home Loan Mortgage Pc Guaranteed 10.00%
6/15/2020............................................ 107,006 112,624
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-25
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
FEDERAL AGENCIES (Continued)
Federal Agencies (Continued)
Federal Home Loan Pc 10.00% 9/1/2017.................. $ 192,227 $ 202,621
Federal Home Loan Pc 10.00% 11/1/2020................. 166,712 177,296
Federal Home Loan Pc 10.50% 4/1/2016.................. 44,452 47,635
Federal Home Loan Pc 10.50% 8/1/2019.................. 44,759 47,964
Federal Home Loan Pc 10.50% 12/1/2020................. 160,249 170,832
Federal Home Loan Pc 10.50% 2/1/2021.................. 63,763 68,121
Federal Home Loan Pc 11.00% 9/1/2020.................. 61,582 66,777
Federal National Mortgage Association Remic 8.50%
9/25/2020............................................ 105,685 107,930
FHLMC Gold TBA 6.00% 2/1/2029......................... 24,300,000 22,249,688
------------
TOTAL FEDERAL AGENCIES (cost $23,862,789)............. 23,525,973
------------
AUTO RECEIVABLES--1.5%
Arcadia Automobile Receivables Trust 5.90%
11/15/2002+.......................................... 643,437 640,898
Arcadia Automobile Receivables Trust 6.38% 1/15/2003+. 600,000 598,199
CPS Auto Grantor Trust 6.65% 10/15/2002............... 63,724 63,519
Daimler Benz Auto Grantor Trust 6.05% 3/20/2005....... 439,017 436,410
Daimler Benz Vehicle Owner Trust 5.23% 12/20/2001+.... 435,961 434,733
First Merchants Auto Trust 6.85% 11/15/2002***........ 49,391 49,258
First Security Auto Grantor Trust 5.97% 4/15/2004+.... 419,175 416,579
First Security Auto Grantor Trust 6.10% 4/15/2000+.... 728,427 725,559
First Security Auto Owner Trust 5.18% 6/15/2001+...... 110,320 110,243
Ford Credit Auto Owner Trust 6.05% 4/15/2001+......... 314,185 314,084
GMAC Grantor Trust 6.50% 4/15/2002+................... 267,233 267,233
Honda Auto Receivables Grantor Trust 5.85% 2/15/2003.. 200,312 199,435
Honda Auto Receivables Trust 5.95% 5/15/2003.......... 270,030 268,764
Long Beach Acceptance Auto Grantor 6.85%
10/15/2003***........................................ 95,218 94,707
Long Beach Addep Auto Grantor Trust 6.69%
9/25/2004***......................................... 140,851 139,702
Nissan Auto Recievables Grantor 6.15% 2/15/2003....... 453,017 450,326
NPF XI Inc. 6.82% 7/1/2001***......................... 100,000 99,883
Rental Car Finance Group 6.45% 8/25/2005+............. 625,000 607,418
Team Fleet Financing Corp. 6.65% 12/15/2002***........ 250,000 246,570
World Omni Automobile Lease 6.08% 11/25/2003+......... 505,912 505,751
------------
TOTAL AUTO RECEIVABLES (cost $20,533,225)............. 6,669,271
------------
CORPORATE--4.4%
Transportation--4.4%
Arcadia Automobile Receivables 6.20% 5/15/2003........ 618,418 616,109
BMW Vehicle Owner Trust 6.16% 12/25/2001.............. 800,000 796,909
First Security Auto Owner Trust 5.49% 4/15/2002....... 675,867 673,893
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-26
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
CORPORATE (Continued)
Transportation (Continued)
First USA Credit Card Master Trust 6.55% 9/17/2003
(A)+................................................. $ 825,000 $ 825,000
Ford Credit Auto Owner Trust 5.47% 9/15/2001.......... 1,550,000 1,542,730
Ford Credit Auto Owner Trust 5.65% 10/15/2001......... 855,159 853,552
Ford Credit Auto Owner Trust 5.77% 11/15/2001......... 1,575,000 1,566,621
Ford Credit Auto Owner Trust 6.20% 4/15/2002.......... 1,600,000 1,594,000
Honda Auto Receivables 1999 5.19% 6/15/2001........... 563,943 562,003
Mmca Auto Owner Trust 5.43% 1/15/2004................. 599,940 597,498
Mmca Auto Owner Trust 6.08% 5/15/2001 +............... 178,576 178,519
Mmca Auto Owner Trust 6.30% 6/15/2002................. 1,116,366 1,114,582
National Car Rental Financial Corp. 7.35%
10/20/2003***........................................ 250,000 247,497
Navistar Financial Owner Trust 5.55% 2/15/2002........ 775,000 770,995
Nissan Auto Receivables 5.45% 4/15/2004............... 811,515 801,884
Nissan Auto Receivables 6.12% 9/15/2003............... 1,100,000 1,095,523
Premier Auto Trust 5.28% 11/8/2001.................... 1,054,790 1,049,843
Premier Auto Trust 5.82% 1/8/2000 (A)................. 1,600,000 1,592,992
Team Fleet Financing Corp. 7.35% 5/15/2003***......... 325,000 323,880
Toyota Auto Receivables 1999 Owner 5.80% 12/17/2001... 1,575,000 1,568,101
USAA Auto Loan Grantor Trust 6.00% 5/15/2004.......... 445,684 443,175
Vacsc Auto Trust 6.51% 11/8/2002...................... 383,250 382,050
Wfs Financial Owner Trust 5.52% 8/20/2001............. 452,278 451,445
Wfs Financial Owner Trust 5.83% 1/20/2000 (A)......... 800,000 796,554
------------
TOTAL CORPORATE (cost $20,533,225).................... 20,445,355
------------
CMO--0.1%
MORTGAGE RELATED--0.1%
Collateralized Mortgage Obligations--0.1%
Mid Str Trust II 9.63% 4/1/2003 (cost $364,262)....... 350,000 360,521
------------
OTHER MORTGAGES--0.7%
CORPORATE--0.6%
Finance & Banking--0.0%
Creekwood Capital Corp. 8.47% 3/16/2015***............ 232,991 239,925
------------
Industrials--0.1%
Continental Airlines Pass Through Trust 6.55%
2/2/2019............................................. 224,904 204,406
Oil Purchase Company 7.10% 4/30/2002***............... 255,470 243,610
------------
448,016
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-27
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
OTHER MORTGAGES (Continued)
CORPORATE (Continued)
Other Marketable--0.3%
Harley Davidson Eaglemark 5.41% 4/1/2004.............. $ 280,639 $ 278,988
New Holland Equipment Receivables 6.39% 10/15/2002***. 825,000 821,979
Prime Property Fund 6.63% 7/23/2003***................ 172,643 168,893
------------
1,269,860
------------
Other--0.1%
Comed Transition Funding Trust 5.38% 3/25/2002........ 156,429 156,184
Fifty Seventh Street Assocs LLC 7.13% 6/1/2017***..... 243,316 217,767
------------
373,951
------------
Transportation--0.1%
Harley Davidson Eaglemark Trust 5.25% 7/15/2003....... 496,163 491,274
------------
2,823,026
MORTGAGE RELATED--0.1%
Government Sponsered--0.1%
Greenpoint Manufactured Housing 5.78% 12/15/2009...... 582,774 574,415
------------
TOTAL OTHER MORTGAGES (cost $3,474,777)............... 3,397,441
------------
GOVERNMENT AND AGENCIES--4.9%
U.S. TREASURY--4.9%
U.S. Government Securities--4.9%
U.S. Treasury Bonds 8.75% 8/15/2020................... 1,450,000 1,756,762
U.S. Treasury Notes 3.38% 1/15/2007+.................. 5,105,912 4,810,739
U.S. Treasury Notes 4.50% 1/31/2001+.................. 2,250,000 2,212,380
U.S. Treasury Notes 6.00% 8/15/2009+.................. 4,500,000 4,359,375
U.S. Treasury Notes 7.50% 2/15/2005+.................. 9,000,000 9,386,730
------------
TOTAL GOVERNMENT AND AGENCIES (cost $22,933,346)...... 22,525,986
------------
CORPORATE BONDS--11.1%
CORPORATE--10.5%
Asset Backed--0.6%
Chevy Chase Auto Receivables 6.25% 6/15/2004+......... 283,139 281,563
Citibank Credit Card Master Trust I (B) 6.47%
5/15/2002 (A)+....................................... 1,150,000 1,149,632
WFS Financial Owner Trust 6.10% 3/20/2002............. 151,416 151,267
WFS Financial Owner Trust 6.25% 3/20/2002+............ 123,135 123,093
World Financial Propertys Tower B 6.91% 9/1/2013+..... 1,194,702 1,125,260
------------
2,830,815
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-28
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Electric Utilities--0.3%
Edison Mission Energy 7.73% 6/15/2009***.............. $ 260,000 $ 257,213
Edison Mission Energy Funding Corp. 7.33%
9/15/2008***......................................... 200,000 190,146
El Paso Energy Corp. 6.75% 5/15/2009.................. 250,000 233,400
Empresa Nacional De Electric 7.33% 2/1/2037........... 95,000 87,170
Southern Energy Inc. 7.90% 7/15/2009***............... 375,000 364,275
------------
1,132,204
------------
Finance & Banking--2.9%
Ahold Finance USA Inc. 6.88% 5/1/2029................. 450,000 388,773
American General Finance Corp. 6.75% 11/15/2004....... 315,000 305,537
Bank of America Corp. 5.88% 2/15/2009................. 145,000 129,114
Bank One Corp. 6.00% 2/17/2009........................ 610,000 542,564
Bankamerica Institutional Capital A 8.07%
12/31/2026***........................................ 400,000 378,100
Beneficial Corp. 6.47% 11/17/2008..................... 405,000 366,740
Beverly Finance 8.36% 7/15/2004....................... 250,000 253,025
BT Institutional Capital Trust A 8.09% 12/1/2026***... 555,000 505,172
Chase Manhattan Corp. New 6.00% 2/15/2009............. 420,000 377,895
Chase Manhattan Corp. New 7.00% 11/15/2009............ 195,000 187,619
EOP Operating Limited Partnership 7.50% 4/19/2029..... 215,000 189,301
Equitable Cos Inc. 6.50% 4/1/2008..................... 515,000 479,537
Equitable Life Assurance Society 6.95% 12/1/2005***... 325,000 315,136
Excel Paralubes Funding Corp. 7.43% 11/1/2015***...... 250,000 228,642
Farmers Exchange Capital 7.05% 7/15/2048***........... 220,000 187,128
Farmers Insurance Exchange 8.63% 5/1/2024***+......... 625,000 623,819
First Chicago Nbd Institution Capital 7.95%
12/1/2026***......................................... 155,000 143,848
Goldman Sachs Group LP 6.50% 2/25/2009................ 310,000 288,167
Great Wesn Financial Trust II 8.21% 2/1/2027.......... 330,000 308,444
Household Finance Corp. 6.38% 8/1/2010................ 415,000 375,206
Hutchison Whampoa Fin. CI. Ltd. 7.45% 8/1/2017***..... 440,000 392,234
Metropolitan Life Insurance Company 7.45%
11/1/2023***......................................... 500,000 444,530
Metropolitan Life Insurance Company 7.80%
11/1/2025***......................................... 250,000 241,997
NationsBank Corp. 6.80% 3/15/2028..................... 80,000 69,908
Nationwide Mutual Life 7.50% 2/15/2024***+............ 750,000 656,625
New York Life Insurance Corp. 7.50% 12/15/2023***..... 250,000 222,370
Northern Trust Company Bank 6.63% 10/1/2003........... 800,000 786,944
PNC Funding Corp. 7.50% 11/1/2009..................... 490,000 481,048
PNC Institutional Capital Trust A 7.95% 12/15/2026***. 350,000 320,068
Prudential Insurance Company America 8.30%
7/1/2025***+......................................... 700,000 707,735
Rhone Poulenc A3 8.62% 1/5/2021....................... 350,000 337,052
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-29
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Finance & Banking (Continued)
United States Bancorp. 6.88% 12/1/2004................ $ 1,055,000 $ 1,035,626
US West Capital Funding Inc. 6.88% 8/15/2001***....... 670,000 663,869
Washington Mutual Capital I 8.38% 6/1/2027............ 240,000 228,427
------------
13,162,200
------------
Industrials--3.2%
Albertsons Inc. 7.45% 8/1/2029........................ 610,000 579,774
Becton Dickinson & Company 7.00% 8/1/2027............. 185,000 165,943
Chevron Corp. 6.63% 10/1/2004......................... 805,000 791,556
CMS Panhandle Holdings Company 7.00% 7/15/2029........ 630,000 553,001
Conoco Inc. 6.95% 4/15/2029........................... 815,000 735,163
Dayton Hudson Corp. 6.75% 1/1/2028.................... 250,000 219,178
Delphi Automotive Systems Corp. 7.13% 5/1/2029........ 730,000 641,509
Federated Department Stores Inc. (Delaware) 6.90%
4/1/2029............................................. 420,000 366,152
Florida Windstorm Underwriting 7.13% 2/25/2019***..... 655,000 599,731
Ford Motor Company (Delaware) 6.63% 10/1/2028......... 1,010,000 876,195
General Motors Corp. 6.75% 5/1/2028................... 260,000 229,346
Home Depot Inc. 6.50% 9/15/2004***.................... 850,000 833,111
International Business Machines Corp. 5.38% 2/1/2009.. 810,000 709,398
Jet Equipment Test 10.00% 6/15/2012***................ 350,000 377,402
Kroger Company 7.63% 9/15/2006........................ 160,000 158,562
Lowes Cos Inc. 6.50% 3/15/2029........................ 255,000 214,881
Monsanto Company 6.60% 12/1/2028***................... 770,000 678,809
News America Holdings Inc. 8.88% 4/26/2023............ 460,000 486,492
Norfolk Southern Corp. 6.20% 4/15/2009................ 410,000 367,963
Oil Enterprises Limited 6.24% 6/30/2008***............ 603,043 573,697
Paiton Energy 9.34% 2/15/2014***...................... 225,000 45,000
Procter & Gamble Company 6.88% 9/15/2009.............. 395,000 385,856
Scotia Pacific Company LLC 7.71% 1/20/2014***......... 830,000 583,075
Sun Microsystems Inc. 7.65% 8/15/2009................. 305,000 302,267
Textron Inc. 6.75% 9/15/2002.......................... 405,000 400,962
Times Mirror Company 7.45% 10/15/2009................. 345,000 342,851
Union Pacific Corp. 6.63% 2/1/2029.................... 470,000 396,797
United Parcel Service America Inc. 8.38% 4/1/2020..... 530,000 566,628
United Technologies Corp. 6.70% 8/1/2028+............. 815,000 719,278
Wal-Mart Stores Inc. 6.15% 8/10/2001.................. 975,000 966,625
------------
14,867,202
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-30
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Miscellaneous--1.8%
Anthem Insurance Cos Inc. Discount Commercial
9.00% 4/15/2027***................................... $ 370,000 $ 340,478
Associates Corp. NA 6.00% 7/15/2005+.................. 535,000 504,205
CIT Group Inc. 5.91% 11/23/2005+...................... 715,000 661,489
Citicorp 6.38% 11/15/2008............................. 800,000 739,528
Continental Airls Pass Through+ 6.65% 9/15/2017+...... 728,968 661,327
EOP Operating Limited Partnership 6.76% 6/15/2007..... 140,000 129,612
EOP Operating Limited Partnership 7.25% 6/15/2028..... 340,000 290,081
Florida Residential Property & Casualty 7.38%
7/1/2003***.......................................... 525,000 519,540
Hartford Life Inc. 7.65% 6/15/2027.................... 420,000 408,538
Kroger Co. 7.70% 6/1/2029............................. 470,000 443,985
News America Holdings Inc. 7.75% 1/20/2024............ 100,000 94,365
News America Holdings Inc. 7.75% 2/1/2024............. 170,000 160,378
Prime Property Funding II Inc. 7.00% 8/15/2004***..... 495,000 477,613
Procter & Gamble Company 6.60% 12/15/2004............. 1,485,000 1,467,462
Sprint Capital Corp. 6.50% 11/15/2001................. 830,000 822,912
US Airways Passthru Trs 6.85% 1/30/2018............... 736,514 648,914
------------
8,370,427
------------
Other--0.4%
Becton Dickinson & Company 6.70% 8/1/2028............. 520,000 448,354
Dayton Hudson Corp. 6.65% 8/1/2028.................... 325,000 281,648
Lowes Cos Inc. 6.88% 2/15/2028........................ 505,000 444,592
Neiman Marcus Group Inc. 6.65% 6/1/2008............... 320,000 292,218
Time Warner Inc. 6.95% 1/15/2028...................... 85,000 75,473
Time Warner Inc. 7.57% 2/1/2024....................... 460,000 440,676
------------
1,982,961
------------
Other Utilities--0.2%
Ras Laffan Liquefied Natural Gas Co. 8.29%
3/15/2014***......................................... 715,000 673,972
Tennessee Gas Pipeline Company 7.00% 10/15/2028....... 435,000 380,773
------------
1,054,745
------------
Telephone--0.9%
AT&T Corp. 6.50% 3/15/2029............................ 920,000 788,155
Bellsouth Telecomm Inc. 6.38% 6/1/2028................ 540,000 454,761
Comcast Cable Communications Corp. 8.38% 5/1/2007..... 465,000 482,470
GTE Corp. 6.94% 4/15/2028+............................ 965,000 874,309
Lucent Technologies Inc. 6.45% 3/15/2029.............. 740,000 644,163
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-31
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
CORPORATE BONDS (Continued)
CORPORATE (Continued)
Telephone (Continued)
MCI Communications Corp. 6.50% 4/15/2010.............. $ 305,000 $ 284,010
Worldcom Inc. 6.95% 8/15/2028......................... 590,000 535,696
------------
4,063,564
------------
Transportation--0.2%
Atlas Air Inc. 7.38% 1/2/2018......................... 515,967 467,962
Burlington Northern Santa Fe Corp. 6.70% 8/1/2028+.... 665,000 570,736
------------
1,038,698
------------
48,502,816
------------
FOREIGN--0.2%
Corporate--0.2%
Express Pipeline Limited 6.47% 12/31/2013***+......... 723,550 657,589
------------
MISCELLANEOUS--0.4%
Supranational--0.4%
Abbey National Plc 7.95% 10/26/2029................... 795,000 791,796
Daimler Chrysler Nortl Holding Company 7.20% 9/1/2009. 825,000 810,348
HVB Funding Trust 8.74% 6/30/2031***.................. 290,000 285,398
------------
1,887,542
------------
TOTAL CORPORATE BONDS (cost $61,651,381).............. 51,047,947
------------
<CAPTION>
Shares
-----------
<S> <C> <C>
COMMON STOCK--63.8%
BASIC INDUSTRIES--1.6%
Paper--1.1%
Fort James Corp....................................... 80,600 2,206,425
Kimberly-Clark Corp................................... 33,600 2,192,400
Smurfit Stone Container Corp.*........................ 25,700 629,650
------------
5,028,475
Plastics--0.5%
Illinois Tool Works Inc............................... 35,000 2,364,688
------------
7,393,163
------------
CAPITAL GOODS--4.7%
Construction & Mining Equipment--0.9%
Dover Corp............................................ 88,700 4,024,762
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-32
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CAPITAL GOODS (Continued)
Construction Materials--0.4%
Black & Decker Corp................................... 33,000 $ 1,724,250
------------
Electrical Equipment--2.1%
ASM Lithography Hldg NV* ADR.......................... 30,800 3,503,500
Emerson Electric Co................................... 33,500 1,922,063
Hubbell Inc........................................... 15,600 425,100
Tyco International Ltd................................ 104,500 4,062,437
------------
9,913,100
------------
Industrial Machinery--1.3%
AES Corp.*............................................ 80,800 6,039,800
------------
21,701,912
------------
CONSUMER BASICS--9.5%
Drugs & Health Care--7.0%
Astrazeneca Plc ADR................................... 143,153 5,976,638
Becton Dickinson & Co.*............................... 81,800 2,188,150
Forest Laboratories Inc.*............................. 43,000 2,641,812
Guidant Corp.*........................................ 123,200 5,790,400
Medtronic Inc......................................... 42,400 1,544,950
Pacificare Health Systems*............................ 33,830 1,792,990
Pfizer Inc............................................ 231,000 7,493,062
Quintiles Transnational Corp.*........................ 138,500 2,588,219
United Healthcare Corp................................ 40,400 2,146,250
------------
32,162,471
------------
Food & Beverages--2.2%
Campbell Soup Co...................................... 71,600 2,770,025
General Mills Inc..................................... 50,000 1,787,500
Kellogg Co............................................ 157,000 4,837,563
PepsiCo Inc........................................... 25,500 898,875
------------
10,293,963
------------
Tobacco--0.3%
Philip Morris Cos., Inc............................... 54,500 1,263,719
------------
43,720,153
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-33
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER DURABLE GOODS--1.5%
Auto Parts--0.4%
Delphi Automotive Systems Corp........................ 114,000 $ 1,795,500
Electrical Equipment--1.1%
Sony Corp. ADR........................................ 17,500 4,983,125
------------
6,778,625
------------
CONSUMER NON-DURABLES--4.1%
Apparel & Textiles--0.9%
Tommy Hilfiger Corp.*................................. 113,600 2,648,300
VF Corp............................................... 44,900 1,347,000
------------
3,995,300
------------
Household Products--1.0%
American Greetings Corp............................... 57,700 1,363,162
Clorox Co............................................. 62,800 3,163,550
------------
4,526,712
------------
Liquor--0.6%
Anheuser Busch Cos., Inc.............................. 40,000 2,835,000
------------
Retail Trade--1.1%
Lowes Cos., Inc....................................... 65,000 3,883,750
Wal-Mart Stores Inc................................... 20,500 1,417,062
------------
5,300,812
------------
Toys & Amusements--0.5%
Hasbro Inc............................................ 123,000 2,344,688
------------
19,002,512
------------
CONSUMER SERVICES--1.3%
Air Travel--0.3%
Sealed Air Corp*...................................... 22,500 1,165,781
------------
Leisure Time--1.0%
Blockbuster Inc....................................... 41,500 555,063
Carnival Cruise Lines Inc............................. 21,000 1,004,063
Fox Entertainment Group Inc.*......................... 122,300 3,049,856
------------
4,608,982
------------
5,774,763
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-34
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
ENERGY--2.9%
Domestic Oil--1.6%
Exxon Mobil Corp.*.................................... 87,683 $ 7,063,962
USX Marathon Group Inc. .............................. 20,000 493,750
------------
7,557,712
------------
International Oil--0.4%
Shell Transport & Trading Plc ADR..................... 35,200 1,733,600
------------
Petroleum Services--0.9%
Baker Hughes Inc...................................... 115,840 2,439,880
Schlumberger Ltd...................................... 24,246 1,363,837
Transocean Sedco Forex Inc.*.......................... 4,694 158,129
------------
3,961,846
------------
13,253,158
------------
FINANCE--8.4%
Banks--2.7%
Bank of America Corp.................................. 127,437 6,395,745
Bank One Corp......................................... 142,100 4,556,081
J.P. Morgan & Co., Inc................................ 13,000 1,646,125
------------
12,597,951
------------
Financial Services--2.1%
Associates First Capital Corp......................... 43,174 1,184,587
Citigroup Inc......................................... 80,825 4,490,839
Federal Home Loan Mortgage Corp.*..................... 80,500 1,620,062
Wells Fargo & Company................................. 64,076 2,591,073
------------
9,886,561
------------
Insurance--3.1%
Allstate Corp......................................... 28,000 672,000
Berkshire Hathaway Inc.*.............................. 38 2,131,800
Cincinnati Financial Corp............................. 65,100 2,030,306
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-35
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
FINANCE (Continued)
Insurance (Continued)
Jefferson-Pilot Corp.................................. 12,500 $ 853,125
PMI Group Inc......................................... 67,500 3,294,844
Xl Capital Limited.................................... 101,200 5,249,750
------------
14,231,825
------------
Savings And Loan--0.5%
Washington Mutual Inc................................. 79,924 2,078,024
------------
38,794,361
------------
GENERAL BUSINESS--9.1%
Broadcasting--4.3%
Adelphia Communications Corp.*........................ 20,500 1,345,313
AT&T Corp. Liberty & Media Group Class A*............. 175,650 9,968,137
Cablevision Systems Corp.*............................ 22,500 1,698,750
Viacom Inc. Class A*.................................. 66,000 3,988,875
Viacom Inc. Class B*.................................. 48,500 2,931,219
------------
19,932,294
------------
Business Services--3.1%
Autonation Inc. (Delaware)*........................... 195,600 1,809,300
Ecolab Inc............................................ 27,000 1,056,375
Galileo International Inc............................. 32,500 972,969
Interpublic Group of Cos., Inc........................ 28,600 1,649,862
Nokia Corp.* ADR...................................... 28,000 5,320,000
Policy Management Systems Corp.*...................... 33,300 851,231
Service Corp. International........................... 175,000 1,214,063
Young & Rubicam Inc................................... 22,000 1,556,500
------------
14,430,300
------------
Communication Services--0.5%
MCI Worldcom Inc.*.................................... 46,854 2,486,190
------------
Publishing--1.2%
Jostens Inc........................................... 91,600 2,227,025
Time Warner Inc....................................... 44,400 3,216,225
------------
5,443,250
------------
42,292,034
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-36
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
MISCELLANEOUS--4.5%
Conglomerates--1.1%
Agilent Technologies Inc.*............................ 28,700 $ 2,218,869
Textron Inc........................................... 36,900 2,829,769
------------
5,048,638
------------
Mining--0.2%
Newmont Mining Corp................................... 36,000 882,000
------------
Miscellaneous--1.9%
CNF Transportation Inc................................ 13,000 448,500
SLM Holding Corp...................................... 194,800 8,230,300
------------
8,678,800
------------
Non-Ferrous Metals--0.3%
Alcoa Inc............................................. 17,000 1,411,000
------------
Retail Grocery--0.5%
Albertson's Inc....................................... 70,000 2,257,500
------------
Retail Trade--0.5%
Circuit City Stores Inc............................... 19,700 887,731
Williams Sonoma Inc.*................................. 28,000 1,288,000
------------
2,175,731
------------
20,453,669
------------
TECHNOLOGY--12.8%
Aerospace--1.2%
Lockheed Martin Corp.................................. 65,000 1,421,875
Raytheon Company Class B.............................. 35,000 929,687
United Technologies Corp.............................. 51,000 3,315,000
------------
5,666,562
------------
Communication Services--0.2%
Newbridge Networks Corp*.............................. 39,400 888,963
------------
Computers & Business Equipment--3.6%
Cadence Design Systems Inc.*.......................... 167,200 4,012,800
Cisco Systems Inc.*................................... 25,100 2,688,838
Compaq Computer Corp.................................. 103,000 2,787,437
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-37
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Computers & Business Equipment (Continued)
Dell Computer Corp.*.................................. 44,000 $ 2,244,000
Hewlett Packard Co.................................... 30,000 3,418,125
International Business Machines Corp.................. 14,000 1,512,000
------------
16,663,200
------------
Electronics--6.6%
Advanced Micro Devices Inc.*.......................... 30,000 868,125
Applied Materials Inc.*............................... 59,500 7,537,906
Intel Corp............................................ 36,000 2,963,250
KLA Instruments Corp.*................................ 45,700 5,089,837
Lam Research Corp.*................................... 50,000 5,578,125
PE Corp............................................... 27,000 3,248,438
Teradyne Inc.*........................................ 76,600 5,055,600
------------
30,341,281
------------
Software--1.2%
Autodesk Inc.......................................... 47,500 1,603,125
PeopleSoft Inc.*...................................... 171,000 3,644,438
------------
5,247,563
------------
58,807,569
------------
TRANSPORTATION--0.1%
Railroads & Equipment--0.1%
Wisconsin Central Transportation Corp.*............... 25,600 344,000
------------
UTILITIES--3.3%
Electric Utilities--0.9%
American Electric Power Co., Inc...................... 30,000 963,750
Cinergy Corp.......................................... 45,000 1,085,625
Niagara Mohawk Holdings Inc.*......................... 69,500 968,656
Northeast Utilities................................... 61,200 1,258,425
------------
4,276,456
------------
Gas & Pipeline Utilities--0.7%
Williams Cos., Inc.................................... 102,200 3,123,487
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-38
<PAGE>
American Bar Association Members/State Street Collective Trust
Balanced Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
UTILITIES (Continued)
Telephone--1.7%
AT&T Corp............................................ 34,599 $ 1,755,899
Sprint Corp.......................................... 91,000 6,125,438
------------
7,881,337
------------
15,281,280
------------
TOTAL COMMON STOCK (cost $222,152,086)............... 293,597,199
------------
PREFERRED STOCK--0.2%
MISCELLANEOUS--0.2%
Miscellaneous--0.2%
Home Ownership Series***+ (cost $1,254,307).......... 1,250 993,080
------------
TOTAL INVESTMENT SECURITIES (cost $437,546,609)...... 501,927,369
------------
<CAPTION>
Units
-----------
<S> <C> <C>
SHORT TERM INVESTMENTS--5.9%
State Street Bank Yield Enhanced Short Term
Investment Fund (cost $27,212,533).................. 27,212,533 27,212,533
------------
TOTAL INVESTMENTS--(cost $464,759,142)--114.9%....... 529,139,902
Liabilities in excess of other assets--(14.9)%....... (68,811,836)
------------
NET ASSETS--100.0%................................... $460,328,066
============
</TABLE>
* Non-income producing security.
*** 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, 1999 were $18,923,451 and $17,375,072,
respectively.
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.
(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-39
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
--------------
<S> <C>
ASSETS
Investments, at value (cost $1,036,024,045)..................... $1,709,141,178
Cash............................................................ 496,276
Receivable for investments sold................................. 2,097,367
Dividends and interest receivable............................... 886,915
Deferred registration fees...................................... 102,989
Unrealized gain on open futures contracts....................... 8,050
Variation margin receivable..................................... 4,294
Other assets.................................................... 145,588
--------------
Total assets.................................................. 1,712,882,657
--------------
LIABILITIES
Payable for investments purchased............................... 396,624
Payable for fund units redeemed................................. 692,829
Investment advisory fee payable................................. 723,329
State Street Bank and Trust Company--program fee payable........ 267,492
Trustee, management and administration fees payable............. 100,991
American Bar Retirement Association--program fee payable........ 59,067
Other accruals.................................................. 32,981
--------------
Total liabilities............................................. 2,273,313
--------------
Net assets (equivalent to $664.09 per unit based on 2,575,875
units outstanding)............................................. $1,710,609,344
==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-40
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1999
------------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $81,202).............. $ 10,966,976
Interest....................................................... 1,387,345
------------
Total investment income...................................... 12,354,321
------------
Expenses
Investment advisory fee........................................ 3,173,772
State Street Bank and Trust Company -- program fee............. 3,066,589
Trustee, management and administration fees.................... 1,124,940
American Bar Retirement Association -- program fee............. 649,376
Reports to unitholders......................................... 255,932
Legal and audit fees........................................... 95,110
Registration fees.............................................. 143,163
Other expenses................................................. 116,207
------------
Total expenses............................................... 8,625,089
Program fee reimbursement from State Street Bank and Trust
Company....................................................... (27,662)
------------
Net expenses................................................. 8,597,427
------------
Net investment income............................................ 3,756,894
------------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain:
Investments.................................................. 198,709,094
Futures contracts............................................ 47,945
------------
198,757,039
------------
Change in net unrealized appreciation:
Investments.................................................. 234,768,433
Futures contracts............................................ 8,050
------------
234,776,483
------------
Net realized and unrealized gain on investments.............. 433,533,522
------------
Net increase in net assets resulting from operations............. $437,290,416
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-41
<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,
------------------------------
1998 1999
-------------- --------------
<S> <C> <C>
From operations
Net investment income........................ $ 3,502,872 $ 3,756,894
Net realized gain on investments............. 106,649,097 198,757,039
Net change in unrealized appreciation on
investments................................. 252,196,120 234,776,483
-------------- --------------
Net increase in net assets resulting from
operations................................ 362,348,089 437,290,416
-------------- --------------
From unitholder transactions
Proceeds from units issued................... 78,220,996 93,489,737
Cost of units redeemed....................... (110,596,399) (117,997,480)
-------------- --------------
Net decrease in net assets resulting from
unitholder transactions................... (32,375,403) (24,507,743)
-------------- --------------
Net increase in net assets................ 329,972,686 412,782,673
Net Assets
Beginning of year............................ 967,853,985 1,297,826,671
-------------- --------------
End of year.................................. $1,297,826,671 $1,710,609,344
============== ==============
Number of units
Outstanding--beginning of year............... 2,689,796 2,609,243
Sold....................................... 183,069 174,683
Redeemed................................... (263,622) (208,051)
-------------- --------------
Outstanding--end of year..................... 2,609,243 2,575,875
============== ==============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-42
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Selected Per-Unit Data and Ratios
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
January 2, 1992
(Commencement
of Operations) to For the year ended December 31,
December 31, ------------------------------------------------------------------------
1992 1993 1994 1995 1996 1997 1998 1999
----------------- -------- -------- -------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ 3.20 $ 3.16 $ 3.48 $ 3.88 $ 5.07 $ 4.15 $ 4.27 $ 4.67
Net expenses............ (1.45) (1.52) (1.60) (1.88) (2.22) (2.60) (2.96) (3.25)
-------- -------- -------- -------- -------- -------- ---------- ----------
Net investment income... 1.75 1.64 1.88 2.00 2.85 1.55 1.31 1.42
Net realized and
unrealized gain on
investments............ 3.00 12.99 .61 57.72 46.14 80.01 136.27 165.27
-------- -------- -------- -------- -------- -------- ---------- ----------
Net increase in unit
value.................. 4.75 14.63 2.49 59.72 48.99 81.56 137.58 166.69
Net asset value at
beginning of period.... 147.68 152.43 167.06 169.55 229.27 278.26 359.82 497.40
-------- -------- -------- -------- -------- -------- ---------- ----------
Net asset value at end
of period.............. $ 152.43 $ 167.06 $ 169.55 $ 229.27 $ 278.26 $ 359.82 $ 497.40 $ 664.09
======== ======== ======== ======== ======== ======== ========== ==========
Ratio of net expenses to
average net assets..... 1.01%*** .96% .95% .92% .88% .80% .71% .59%#
Ratio of net investment
income to average net
assets................. 1.22%*** 1.03% 1.12% .98% 1.13% .48% .32% .26%
Portfolio turnover...... 46%** 82% 59% 60% 64% 88% 46% 46%
Total return............ 3.22%** 9.60% 1.49% 35.23% 21.37% 29.31% 38.24% 33.51%
Net assets at end of
period (in thousands).. $427,933 $471,398 $479,435 $637,834 $752,798 $967,854 $1,297,827 $1,710,609
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Not annualized.
*** Ratio annualized.
# After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to average net assets
would have been .59% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F-43
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK--98.7%
BASIC INDUSTRIES--1.4%
Chemicals--0.5%
E.I. Du Pont de Nemours & Co.............................. 5,500 $ 362,312
Monsanto Co............................................... 230,700 8,218,687
Sterling Commerce Inc.*................................... 4,600 156,688
Valspar Corp.............................................. 2,100 87,938
Waters Corp.*............................................. 3,400 180,200
------------
9,005,825
------------
Gold--0.0%
Freeport-McMoran Copper & Gold Inc.*...................... 8,000 169,000
------------
Paper--0.5%
Fort James Corp. ......................................... 106,812 2,923,978
Kimberly-Clark Corp....................................... 68,500 4,469,625
Smurfit Stone Container Corp.*............................ 30,200 739,900
------------
8,133,503
------------
Plastics--0.4%
Illinois Tool Works Inc................................... 97,500 6,587,344
------------
23,895,672
------------
CAPITAL GOODS--6.2%
Construction & Mining Equipment--0.3%
Dover Corp................................................ 97,100 4,405,913
------------
Electrical Equipment--5.4%
American Power Conversion Corp.*.......................... 4,200 110,775
ASM Lithography Holdings NV* ADR.......................... 39,200 4,459,000
Atmel Corp.*.............................................. 5,600 165,550
Dentsply International Inc. .............................. 1,000 23,625
Emerson Electric Co....................................... 40,500 2,323,687
General Electric Co....................................... 545,700 84,447,075
Hubbell Inc............................................... 19,500 531,375
Millipore Corp............................................ 2,600 100,425
Sanmina Corp.*............................................ 3,400 339,575
------------
92,501,087
------------
Homebuilders--0.0%
Clayton Homes Inc......................................... 1,200 11,025
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-44
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CAPITAL GOODS (Continued)
Industrial Machinery--0.5%
AES Corp.*................................................ 113,500 $ 8,484,125
Thermo Electron Corp.*.................................... 1,100 16,500
------------
8,500,625
------------
Pollution Control--0.0%
Allied Waste Industries Inc.*............................. 6,200 54,638
Waste Management Inc...................................... 34,652 595,581
------------
650,219
------------
106,068,869
------------
CONSUMER BASICS--20.5%
Drugs & Health Care--13.0%
Abbott Laboratories....................................... 55,500 2,015,344
Allergan Inc.............................................. 7,600 378,100
Alza Corp.*............................................... 75,800 2,624,575
American Home Products Corp............................... 114,900 4,531,369
Amgen Inc.*............................................... 465,600 27,965,100
Andrx Corp.*.............................................. 1,400 59,238
Astrazeneca Plc ADR....................................... 275,915 11,519,451
Bausch & Lomb Inc......................................... 1,400 95,813
Baxter International Inc.................................. 3,500 219,844
Becton Dickinson & Co..................................... 111,000 2,969,250
Bergen Brunswig Corp...................................... 3,900 32,419
Biogen Inc.*.............................................. 8,500 718,250
Biomet Inc................................................ 5,800 232,000
Bristol-Myers Squibb Co. ................................. 288,500 18,518,094
Cardinal Health Inc....................................... 15,320 733,445
Chiron Corp.*............................................. 2,800 118,650
Eli Lilly & Co............................................ 236,100 15,700,650
Forest Laboratories Inc.*................................. 58,400 3,587,950
Genetech Inc.*............................................ 36,000 4,842,000
Genzyme Corp.*............................................ 1,600 72,000
Guidant Corp.*............................................ 215,300 10,119,100
Health Management Associates Inc.*........................ 12,875 172,203
Healthsouth Rehabilitation*............................... 2,800 15,050
ICN Pharmaceuticals Inc................................... 3,200 81,000
ICOS Corp.*............................................... 3,000 87,750
Immunex Corp.*............................................ 4,300 470,850
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-45
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER BASICS (Continued)
Drugs & Health Care (Continued)
Johnson & Johnson......................................... 200,384 $ 18,660,760
Lincare Holdings Inc.*.................................... 1,200 41,625
Manor Care Inc.*.......................................... 900 14,400
Mckesson HBOC Inc......................................... 7,165 161,660
Medical Manager Corp.*.................................... 1,600 134,800
Medimmune Inc.*........................................... 2,600 431,275
Medtronic Inc............................................. 114,764 4,181,713
Merck & Co., Inc.......................................... 229,600 15,397,550
Minimed Inc.*............................................. 1,200 87,900
Mylan Laboratories Inc.................................... 6,700 168,756
Omnicare Inc.*............................................ 2,600 31,200
Oxford Health Plans Inc.*................................. 3,300 41,869
Pacificare Health Systems*................................ 42,300 2,241,900
Pfizer Inc................................................ 794,900 25,784,569
Pharmacia & Upjohn Inc.................................... 108,500 4,882,500
Schering-Plough Corp...................................... 201,900 8,517,656
Sepracor Inc.*............................................ 31,900 3,164,081
St. Jude Medical Inc.*.................................... 1,502 46,093
Stryker Corp.............................................. 4,100 285,462
Sybron International Corp.*............................... 5,900 145,656
United Healthcare Corp.................................... 50,300 2,672,187
Universal Health Services Inc.*........................... 400 14,400
VISX Inc.*................................................ 3,200 165,600
Warner Lambert Co......................................... 326,100 26,719,819
Watson Pharmaceuticals Inc.*.............................. 5,800 207,712
Wellpoint Health Networks Inc.*........................... 900 59,344
------------
222,139,982
------------
Food & Beverages--2.9%
Bestfoods................................................. 8,100 425,756
Campbell Soup Co.......................................... 133,400 5,160,912
Coca Cola Co.............................................. 353,300 20,579,725
Coca Cola Enterprises Inc................................. 182,500 3,672,812
Flowers Industries Inc.................................... 400 6,375
General Mills Inc......................................... 58,500 2,091,375
H.J. Heinz Co............................................. 5,100 203,044
Hershey Foods Corp........................................ 700 33,250
Kellogg Co................................................ 202,600 6,242,612
Outback Steakhouse Inc.*.................................. 3,400 88,188
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-46
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER BASICS (Continued)
Food & Beverages (Continued)
PepsiCo Inc............................................... 268,900 $ 9,478,725
Quaker Oats Co............................................ 3,500 229,687
Ralston Purina Co......................................... 3,700 103,138
Sara Lee Corp............................................. 45,500 1,003,844
Sysco Corp................................................ 15,300 605,306
US Foodservice*........................................... 2,200 36,850
William Wrigley Jr. Co.................................... 2,600 215,638
------------
50,177,237
------------
Household Products--3.8%
Black & Decker Corp....................................... 45,600 2,382,600
Clorox Co................................................. 101,100 5,092,913
Colgate Palmolive Co...................................... 223,300 14,514,500
Corning Inc............................................... 13,500 1,740,656
Dial Corp................................................. 5,200 126,425
Gillette Co............................................... 264,000 10,873,500
Procter & Gamble Co....................................... 278,400 30,502,200
------------
65,232,794
------------
Retail Grocery--0.5%
Albertson's Inc........................................... 94,000 3,031,500
Kroger Co.*............................................... 148,700 2,806,713
Safeway Inc.*............................................. 86,800 3,086,825
------------
8,925,038
------------
Tobacco--0.3%
Philip Morris Cos., Inc................................... 228,300 5,293,706
Reynolds RJ Tobacco Holdings Inc.......................... 2,000 35,250
UST Inc................................................... 4,000 100,750
------------
5,429,706
------------
351,904,757
------------
CONSUMER DURABLE GOODS--0.6%
Automobiles--0.0%
General Motors Corp.*..................................... 3,000 288,000
Harley Davidson Inc....................................... 8,400 538,125
------------
826,125
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-47
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER DURABLE GOODS (Continued)
Auto Parts--0.2%
Danaher Corp.............................................. 4,900 $ 236,425
Delphi Automotive Systems Corp............................ 135,000 2,126,250
Gentex Corp.*............................................. 3,300 91,575
SPX Corp.*................................................ 1,000 80,813
------------
2,535,063
------------
Electrical Equipment--0.4%
Sony Corp. ADR............................................ 22,500 6,406,875
------------
Household Appliances & Home Furnishings--0.0%
Maytag Corp............................................... 4,500 216,000
Westpoint Stevens Inc..................................... 2,300 40,250
------------
256,250
------------
10,024,313
------------
CONSUMER NON-DURABLES--7.1%
Apparel & Textiles--0.6%
American Eagle Outfitters Inc.*........................... 1,200 54,000
Cintas Corp............................................... 4,100 217,812
Intimate Brands Inc....................................... 2,100 90,563
Jones Apparel Group Inc.*................................. 5,900 160,038
Nike Inc. ................................................ 79,100 3,920,394
Tommy Hilfiger Corp.*..................................... 145,400 3,389,637
VF Corp................................................... 55,900 1,677,000
Warnaco Group Inc......................................... 300 3,694
------------
9,513,138
------------
Cosmetics & Toiletries--0.0%
Avon Products Inc......................................... 13,900 458,700
Estee Lauder Cos., Inc.................................... 4,800 242,100
Revlon Inc.*.............................................. 1,200 9,525
------------
710,325
------------
Food & Beverages--0.0%
Pepsi Bottling Group Inc.................................. 5,700 94,406
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-48
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER NON-DURABLE GOODS (Continued)
Household Products--0.1%
American Greetings Corp. ................................. 69,200 $ 1,634,850
Newell Rubbermaid Inc..................................... 2,080 60,320
------------
1,695,170
------------
Liquor--0.5%
Anheuser Busch Cos., Inc. ................................ 122,200 8,660,925
------------
Miscellaneous--0.0%
Tootsie Roll Industries Inc............................... 1,442 47,496
Whitman Corp.............................................. 1,800 24,187
------------
71,683
------------
Retail Trade--5.7%
Abercrombie & Fitch Co.*.................................. 5,700 152,119
Amazon.Com Inc.*.......................................... 9,800 746,025
Autozone Inc.*............................................ 2,400 77,550
Barnes & Noble Inc.*...................................... 1,500 30,938
Bed Bath & Beyond Inc.*................................... 56,600 1,966,850
Best Buy Co., Inc.*....................................... 9,300 466,744
Circuit City Stores Inc................................... 128,800 5,804,050
Consolidated Stores Corp.*................................ 2,850 46,313
Costco Wholesale Corp.*................................... 53,900 4,918,375
CVS Corp.................................................. 158,300 6,322,106
Dayton Hudson Corp.*...................................... 70,000 5,140,625
Dollar General Corp.*..................................... 7,790 177,222
Dollar Tree Stores Inc.*.................................. 3,550 171,953
Family Dollar Stores Inc.................................. 8,300 135,394
Gap Inc. ................................................. 36,037 1,657,702
Home Depot Inc............................................ 395,400 27,109,612
Kohls Corp.*.............................................. 8,100 584,719
Limited Inc............................................... 632 27,374
Linens N Things Inc.*..................................... 2,300 68,137
Lowes Cos., Inc........................................... 102,900 6,148,275
Nordstrom Inc............................................. 1,200 31,425
Office Depot Inc.*........................................ 16,550 181,016
Polo Ralph Lauren Corp.*.................................. 1,200 20,475
Ross Stores Inc. ......................................... 4,600 82,512
Saks Inc.*................................................ 2,668 41,521
Staples Inc.*............................................. 25,650 532,237
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-49
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER NON-DURABLE GOODS (Continued)
Retail Trade (Continued)
Tiffany & Co.............................................. 3,000 $ 267,750
TJX Cos., Inc. ........................................... 71,400 1,459,237
Too Inc.*................................................. 790 13,628
Wal-Mart Stores Inc. ..................................... 426,100 29,454,162
Walgreen Co............................................... 55,400 1,620,450
Williams Sonoma Inc.*..................................... 36,000 1,656,000
------------
97,112,496
------------
Toys & Amusements--0.2%
Hasbro Inc................................................ 160,050 3,050,953
Mattel Inc. .............................................. 9,240 121,275
------------
3,172,228
------------
121,030,371
------------
CONSUMER SERVICES--1.6%
Air Travel--0.2%
Sealed Air Corp.*......................................... 66,372 3,438,899
------------
Hotels & Restaurants--0.7%
Hilton Hotels Corp........................................ 11,923 114,759
Marriott International Inc.*.............................. 4,800 151,500
McDonald's Corp........................................... 279,300 11,259,281
Mirage Resorts Inc.*...................................... 900 13,781
Sodexho Marriott Services Inc............................. 1,225 15,925
Starbucks Corp.*.......................................... 10,500 254,625
Starwood Hotels & Resorts................................. 2,000 47,000
Tricon Global Restaurants Inc.*........................... 4,480 173,040
------------
12,029,911
------------
Leisure Time--0.7%
Blockbuster Inc........................................... 49,500 662,063
Carnival Cruise Lines Inc................................. 81,000 3,872,812
Fox Entertainment Group Inc.*............................. 158,800 3,960,075
International Game Technology............................. 1,500 30,469
International Speedway Corp. ............................. 1,100 55,413
Premier Parks Inc.*....................................... 3,200 92,400
SFX Entertainment Inc.*................................... 2,050 74,184
Walt Disney Company*...................................... 76,400 2,234,700
------------
10,982,116
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-50
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER SERVICES (Continued)
Publishing--0.0%
Harte-Hanks Communications Inc............................ 600 $ 13,050
Valassis Communications Inc.*............................. 4,400 185,900
------------
198,950
------------
26,649,876
------------
ENERGY--1.5%
Domestic Oil--0.6%
Apache Corp. ............................................. 2,200 81,262
Devon Energy Corp......................................... 1,300 42,738
Dynegy Inc. .............................................. 1,500 36,469
Exxon Mobil Corp.*........................................ 112,744 9,082,938
Noble Affiliates Inc...................................... 600 12,863
USX Marathon Group........................................ 25,800 636,937
Vastar Resources Inc...................................... 600 35,400
------------
9,928,607
------------
Gas Exploration--0.3%
Anadarko Petroleum Corp................................... 2,200 75,075
BJ Services Co.*.......................................... 300 12,544
Enron Corp. .............................................. 112,600 4,996,625
------------
5,084,244
------------
International Oil--0.1%
Shell Transport & Trading Plc ADR......................... 44,000 2,167,000
------------
Petroleum Services--0.5%
Baker Hughes Inc. ........................................ 147,200 3,100,400
Conoco Inc................................................ 75,000 1,856,250
Diamond Offshore Drilling Inc............................. 1,100 33,619
Ensco International Inc................................... 2,300 52,612
Global Marine Inc.*....................................... 1,300 21,613
Halliburton Co............................................ 12,700 511,175
Nabors Industries Inc.*................................... 2,500 77,344
Noble Drilling Corp.*..................................... 3,000 98,250
Schlumberger Ltd. ADR..................................... 37,250 2,095,312
Smith International Inc.*................................. 1,000 49,687
Transocean Sedco Forex Inc.*.............................. 7,211 242,921
------------
8,139,183
------------
25,319,034
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-51
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
FINANCE--6.0%
Banks--1.6%
Bank of America Corp...................................... 157,359 $ 7,897,455
Bank of New York Co., Inc................................. 101,000 4,040,000
Bank One Corp............................................. 181,400 5,816,137
Fifth Third Bancorp....................................... 10,400 763,100
J.P. Morgan & Co., Inc.................................... 15,500 1,962,687
MBNA Corp................................................. 239,300 6,520,925
National Commerce Bancorp................................. 4,600 104,363
Northern Trust Corp....................................... 5,300 280,900
Providian Financial Corp.................................. 7,850 714,841
Synovus Financial Corp.................................... 7,300 145,087
US Trust Corp............................................. 600 48,113
WestAmerica BanCorp....................................... 1,700 47,494
Zions Bancorp............................................. 2,400 142,050
------------
28,483,152
------------
Financial Services--2.2%
American Express Corp..................................... 14,300 2,377,375
Ameritrade Holding Corp.*................................. 3,400 73,738
Associates First Capital Corp............................. 72,096 1,978,134
Capital One Financial Corp................................ 98,200 4,732,012
Citigroup Inc............................................. 224,600 12,479,337
Concord EFS Inc.*......................................... 89,400 2,302,050
E Trade Group Inc.*....................................... 9,700 253,412
Freddie Mac Corp.......................................... 129,100 6,075,769
Federal Mogul Corp........................................ 57,000 1,952,125
Federated Investors Inc................................... 5,800 116,363
Fannie Mae................................................ 8,200 511,987
Goldman Sachs Group Inc................................... 200 18,838
Household International Inc............................... 3,300 122,925
Knight Trimark Group*..................................... 3,200 147,200
Waddell & Reed Financial Inc.............................. 2,300 62,388
Wells Fargo & Company..................................... 107,500 4,347,031
------------
37,550,684
------------
Insurance--1.9%
Aflac Inc................................................. 2,600 122,688
Allstate Corp............................................. 35,000 840,000
American International Group Inc.......................... 139,603 15,094,574
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-52
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
FINANCE (Continued)
Insurance (Continued)
Berkshire Hathaway Inc.*.................................. 48 $ 2,692,800
Cincinnati Financial Corp................................. 88,887 2,772,163
Equifax Inc............................................... 8,200 193,212
Jefferson-Pilot Corp...................................... 15,000 1,023,750
PMI Group Inc............................................. 60,000 2,928,750
Progressive Corp.......................................... 600 43,875
Xl Capital Limited........................................ 120,800 6,266,500
------------
31,978,312
------------
Investment Companies--0.1%
Charles Schwab Corp....................................... 36,400 1,396,850
Franklin Resources Inc.................................... 5,000 160,313
T. Rowe Price Associates Inc.............................. 5,900 217,931
------------
1,775,094
------------
Savings And Loan--0.2%
Washington Mutual Inc..................................... 111,316 2,894,216
------------
102,681,458
------------
GENERAL BUSINESS--14.4%
Broadcasting--2.8%
Adelphia Communications Corp.*............................ 27,234 1,787,231
AT&T Corp. Liberty & Media Group Class A*................. 266,896 15,146,348
Cablevision Systems Corp.*................................ 30,600 2,310,300
CBS Corp.*................................................ 24,400 1,560,075
Clear Channel Communications*............................. 133,873 11,948,165
Comcast Corp.*............................................ 82,700 4,181,519
Cox Radio Inc.*........................................... 1,000 99,750
Hispanic Broadcasting Corp.*.............................. 2,800 258,212
Liberty Digital Inc.*..................................... 1,600 118,800
Mediaone Group Inc.*...................................... 7,100 545,369
TV Guide Inc.*............................................ 3,000 129,000
UnitedGlobal.com, Inc.*................................... 3,800 268,375
USA Networks, Inc.*....................................... 400 22,100
Viacom Inc. Class A*...................................... 74,000 4,472,375
Viacom Inc. Class B*...................................... 75,700 4,575,119
------------
47,422,738
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-53
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
GENERAL BUSINESS (Continued)
Business Services--7.9%
AC Nielsen Corp........................................... 1,900 $ 46,788
Acxiom Corp.*............................................. 3,100 74,400
Affiliated Computer Services Inc.*........................ 1,800 82,800
America Online Inc.*...................................... 426,412 32,167,455
Apollo Group Inc.*........................................ 5,800 116,363
At Home Corp.*............................................ 7,500 321,562
Automatic Data Processing Inc............................. 115,700 6,233,337
Autonation Inc. (Delaware)*............................... 252,400 2,334,700
BEA Systems Inc.*......................................... 8,800 615,450
Bisys Group Inc.*......................................... 2,400 156,600
Catalina Marketing Corp.*................................. 900 104,175
Checkfree Holdings Corp.*................................. 2,100 219,450
CMG Information Services Inc.*............................ 4,200 1,162,875
CNET Inc.*................................................ 2,400 136,200
Comdisco Inc.............................................. 800 29,800
Convergys Corp.*.......................................... 1,000 30,750
Covad Communications Group Inc.*.......................... 3,000 167,813
Critical Path Inc.*....................................... 800 75,500
CSG Systems International Inc.*........................... 3,500 139,563
Doubleclick Inc.*......................................... 1,800 455,512
Earthlink Network Inc.*................................... 1,200 51,000
Ebay Inc.*................................................ 1,600 200,300
Ecolab Inc................................................ 39,600 1,549,350
Etoys Inc.*............................................... 300 7,875
Exodus Communications Inc.*............................... 9,400 834,837
First Data Corp........................................... 5,500 271,219
Fiserv Inc.*.............................................. 7,300 279,681
Gartner Group Inc.*....................................... 3,800 57,950
GO.com*................................................... 3,020 71,914
H&R Block Inc............................................. 1,400 61,250
Healtheon Corp.*.......................................... 1,000 37,500
IMS Health Inc............................................ 17,900 486,656
InfoSpace.com, Inc.*...................................... 800 171,200
Inktomi Corp.*............................................ 25,400 2,254,250
Interpublic Group of Cos., Inc. .......................... 55,900 3,224,731
Lamar Advertising Co.*.................................... 2,700 163,519
Lycos Inc.*............................................... 3,800 302,337
Manpower Inc. ............................................ 1,800 67,725
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-54
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
GENERAL BUSINESS (Continued)
Business Services (Continued)
Marimba Inc.*............................................. 700 $ 32,244
Mindspring Enterprises Inc.*.............................. 2,000 52,813
Modis Professional Services Inc.*......................... 2,900 41,325
Network Solutions Inc.*................................... 700 152,294
Nokia Corp.* ADR.......................................... 237,377 45,101,630
Omnicom Group Inc......................................... 9,800 980,000
Paychex Inc............................................... 125,725 5,029,000
Policy Management Systems Corp.*.......................... 40,700 1,040,394
Priceline.com Inc.*....................................... 1,700 80,538
Prodigy Communication Corp.*.............................. 1,500 29,063
Psinet Inc.*.............................................. 2,000 123,500
Qlogic Corp.*............................................. 2,300 367,712
Quintiles Transnational Corp.*............................ 179,400 3,352,537
Real Networks Inc.*....................................... 1,800 216,562
Republic Services Inc.*................................... 4,800 69,000
Robert Half International Inc.*........................... 5,650 161,378
Sabre Group Holdings Inc.*................................ 2,100 107,625
Sapient Corp.*............................................ 1,600 225,500
Service Corp. International............................... 211,500 1,467,281
Snyder Communications Inc.*............................... 3,000 57,750
Sotheby's Holdings Inc.................................... 2,300 69,000
Starmedia Network Inc.*................................... 700 28,044
Stewart Enterprises Inc................................... 6,500 30,875
Sungard Data Systems Inc.*................................ 5,800 137,750
Sylvan Learning Systems Inc.*............................. 1,800 23,400
Ticketmaster Online Citysearch*........................... 1,500 57,656
Time Warner Telecom Inc.*................................. 1,300 64,919
TMP Worldwide Inc.*....................................... 1,500 213,000
USWEB Corp.*.............................................. 4,200 186,638
Ventiv Health Inc.*....................................... 3,200 29,400
Verio Inc.*............................................... 3,700 170,894
Verisign Inc.*............................................ 4,200 801,937
Viad Corp.*............................................... 3,700 103,138
Vignette Corp.*........................................... 1,200 195,600
Whittman Hart Inc.*....................................... 2,600 139,425
Yahoo Inc.*............................................... 46,672 20,194,391
------------
135,898,600
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-55
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
GENERAL BUSINESS (Continued)
Communication Services--2.5%
Broadcom Corp.*........................................... 2,900 $ 789,887
Cox Communications Inc.*.................................. 4,239 218,309
Level 3 Communications Inc.*.............................. 15,000 1,228,125
MCI Worldcom Inc.*........................................ 635,431 33,717,557
Nextel Communications Inc.*............................... 61,000 6,290,625
Univision Communications Inc.*............................ 4,400 449,625
------------
42,694,128
------------
Newspapers--0.0%
Dow Jones & Co., Inc...................................... 1,100 74,800
------------
Office Furnishings & Supplies--0.0%
Avery Dennison Corp....................................... 4,900 357,087
Herman Miller Inc......................................... 4,600 105,800
Hon Industries Inc........................................ 200 4,388
Ikon Office Solutions Inc................................. 500 3,406
------------
470,681
------------
Publishing--1.2%
Jostens Inc............................................... 92,158 2,240,591
McGraw-Hill Inc........................................... 1,100 67,788
Meredith Corp............................................. 1,300 54,194
Reader's Digest Association Inc........................... 3,600 105,300
Time Warner Inc........................................... 245,500 17,783,406
Times Mirror Co........................................... 2,900 194,300
------------
20,445,579
------------
247,006,526
------------
MISCELLANEOUS--4.4%
Chemicals--0.0%
Cabot Corp................................................ 400 8,150
------------
Conglomerates--2.2%
Agilent Technologies Inc.*................................ 36,000 2,783,250
Cendant Corp.*............................................ 19,176 509,363
Honeywell International Inc............................... 53,600 3,092,050
Textron Inc............................................... 50,200 3,849,712
Tyco International Ltd.................................... 666,000 25,890,750
W.R. Grace & Company*..................................... 64,500 894,937
------------
37,020,062
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-56
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
MISCELLANEOUS (Continued)
Construction Materials--0.0%
Fastenal Co............................................... 1,600 $ 71,900
------------
Homebuilders--0.0%
Catellus Development Corp.*............................... 3,500 44,844
------------
Mining--0.1%
Newmont Mining Corp....................................... 46,000 1,127,000
------------
Miscellaneous--2.0%
Beckman Coulter Inc....................................... 800 40,700
BJ's Wholesale Club Inc.*................................. 1,700 62,050
Blyth Industries Inc.*.................................... 2,100 51,581
Boston Properties Inc..................................... 3,600 112,050
CNF Transportation Inc.................................... 17,300 596,850
Edwards J D & Company*.................................... 2,800 83,650
Firstar Corp. (Wisconsin)................................. 30,400 642,200
Galileo International Inc................................. 43,500 1,302,281
General Instrument Corp.*................................. 6,800 578,000
Global Telesystems Group Inc.*............................ 9,300 322,013
Hearst Argyle Television Inc.*............................ 600 15,975
Infinity Broadcasting Corp.*.............................. 4,375 158,320
JDS Uniphase Corp.*....................................... 106,200 17,131,387
LHS Group Inc.*........................................... 1,100 27,019
Meritor Automotive Inc.................................... 700 13,563
Nextlink Communications Inc.*............................. 4,000 332,250
Panamsat Corp.*........................................... 1,200 71,250
Primedia Inc.*............................................ 3,600 59,400
Qwest Communications International Inc.*.................. 6,760 290,680
R&B Falcon Corp.*......................................... 4,300 56,975
Servicemaster Company..................................... 16,000 197,000
SLM Holding Corp.......................................... 235,200 9,937,200
Teligent Inc.*............................................ 1,200 74,100
Weatherford International Inc.*........................... 855 34,147
Young & Rubicam Inc....................................... 27,900 1,973,925
------------
34,164,566
------------
Non-Ferrous Metals--0.1%
Alcoa Inc................................................. 20,000 1,660,000
------------
74,096,522
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-57
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY--32.8%
Aerospace--0.7%
Boeing Co.................................................. 5,800 $ 241,063
Computer Sciences Corp.*................................... 7,400 700,225
General Dynamics Corp...................................... 62,600 3,302,150
Lockheed Martin Corp....................................... 83,000 1,815,625
Raytheon Company Class B................................... 44,000 1,168,750
United Technologies Corp................................... 83,597 5,433,805
------------
12,661,618
------------
Communication Services--0.5%
Applied Micro Circuits Corp.*.............................. 2,800 356,300
Brocade Communications Systems Inc.*....................... 200 35,400
Copper Medium Term Note Networks Inc....................... 800 39,000
Echostar Communications Corp.*............................. 2,900 282,750
Ericsson LM Telefon Co. ADR................................ 50,000 3,284,375
Extreme Networks Inc.*..................................... 1,200 100,200
L 3 Communications Holding Corp.*.......................... 1,100 45,787
Newbridge Networks Corp.*.................................. 47,100 1,062,694
Nortel Networks Corp....................................... 30,000 3,030,000
RCN Corp.*................................................. 2,300 111,550
Redback Networks Inc.*..................................... 200 35,500
Rhythms Netconnections Inc.*............................... 2,700 83,700
------------
8,467,256
------------
Computers & Business Equipment--11.7%
3COM Corp.*................................................ 12,600 592,200
Apple Computer, Inc.*...................................... 400 41,125
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-58
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Computers & Business Equipment (Continued)
Cabletron Systems Inc.*................................... 1,500 $ 39,000
Ceridian Corp.*........................................... 7,500 161,719
Cisco Systems Inc.*....................................... 800,440 85,747,135
Citrix Systems Inc.*...................................... 4,600 565,800
Compaq Computer Corp...................................... 187,700 5,079,631
Dell Computer Corp.*...................................... 428,200 21,838,200
Electronics for Imaging Inc.*............................. 3,100 180,187
EMC Corp.*................................................ 354,400 38,718,200
Gateway Inc.*............................................. 8,300 598,119
Hewlett Packard Co........................................ 93,100 10,607,581
IBM Corp.................................................. 164,500 17,766,000
Ingram Micro Inc.*........................................ 1,700 22,313
Legato Systems Inc.*...................................... 4,500 309,656
Macromedia Inc.*.......................................... 1,700 124,312
New Era Of Networks Inc.*................................. 1,300 61,913
Pitney Bowes Inc.......................................... 13,900 671,544
Pixar*.................................................... 1,500 53,063
Portal Software Inc.*..................................... 400 41,150
Quantum Corp.*............................................ 1,500 22,687
Quantum Corp.*............................................ 6,850 47,522
Rational Software Corp.*.................................. 4,400 216,150
Seagate Technology*....................................... 3,400 158,312
Sun Microsystems Inc.*.................................... 173,300 13,419,919
Symantec Corp.*........................................... 1,900 111,388
Symbol Technologies Inc................................... 4,900 311,456
Tandy Corp................................................ 10,700 526,306
Tech Data Corp.*.......................................... 1,100 29,838
Unisys Corp.*............................................. 15,900 507,806
Xerox Corp................................................ 36,600 830,362
------------
199,400,594
------------
Electronics--13.2%
Adaptec Inc.*............................................. 4,200 209,475
ADC Telecommunications Inc.*.............................. 7,500 544,219
Advanced Micro Devices Inc.*.............................. 38,500 1,114,094
Altera Corp.*............................................. 9,800 485,713
Analog Devices Inc.*...................................... 9,600 892,800
Applied Materials Inc.*................................... 183,900 23,297,831
Boston Scientific Corp.*.................................. 15,300 334,688
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-59
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Electronics (Continued)
Ciena Corp.*.............................................. 8,300 $ 477,250
Comverse Technology Inc.*................................. 3,600 521,100
Conexant Systems Inc.*.................................... 9,000 597,375
E Tek Dynamics Inc.*...................................... 1,800 242,325
Electronic Data Systems Corp.............................. 5,600 374,850
Intel Corp................................................ 578,848 47,646,426
Jabil Circuit Inc.*....................................... 2,400 175,200
KLA Instruments Corp.*.................................... 61,500 6,849,562
Lam Research Corp.*....................................... 60,000 6,693,750
Lexmark International Group Inc.*......................... 7,000 633,500
Linear Technology Corp.................................... 8,500 608,281
LSI Logic Corp.*.......................................... 3,800 256,500
Lucent Technologies Inc................................... 586,702 43,892,643
Maxim Integrated Products Inc.*........................... 15,100 712,531
Microchip Technology Inc.*................................ 2,900 198,469
Micron Technology Inc.*................................... 1,900 147,725
Molex Inc................................................. 1,400 79,363
Motorola Inc.............................................. 83,300 12,265,925
Network Appliance Inc.*................................... 7,300 606,356
Novellus Systems Inc.*.................................... 1,800 220,556
PE Corp................................................... 91,800 11,044,687
PMC Sierra Inc.*.......................................... 3,300 529,031
Qualcomm Inc.*............................................ 159,600 28,109,550
Rambus Inc.*.............................................. 1,000 67,438
RF Micro Devices Inc.*.................................... 2,500 171,094
SCI Systems Inc.*......................................... 2,000 164,375
Scientific Atlanta Inc.................................... 3,900 216,938
SDL Inc.*................................................. 1,200 261,600
Stmicroelectronics NV ADR................................. 45,000 6,814,687
Tellabs Inc.*............................................. 60,700 3,896,181
Teradyne Inc.*............................................ 110,600 7,299,600
Texas Instruments Inc..................................... 122,100 11,828,437
Vitesse Semiconductor Corp.*.............................. 8,500 445,719
Xilinx Inc.*.............................................. 125,200 5,692,688
------------
226,620,532
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-60
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Software--6.7%
Adobe Systems Inc......................................... 6,800 $ 457,300
Autodesk Inc.............................................. 57,800 1,950,750
BMC Software Inc.*........................................ 70,100 5,603,619
Cadence Design Systems Inc.*.............................. 207,100 4,970,400
Computer Associates International Inc..................... 23,000 1,608,562
Compuware Corp.*.......................................... 17,100 636,975
Electronic Arts*.......................................... 3,500 294,000
I2 Technologies Inc.*..................................... 1,800 351,000
Intuit*................................................... 7,100 425,556
Keane Inc.*............................................... 3,600 114,300
Microsoft Corp.*.......................................... 694,800 81,117,900
Networks Assocs Inc.*..................................... 4,350 116,091
Novell Inc.*.............................................. 18,400 734,850
Oracle Corp.*............................................. 60,775 6,810,598
Parametric Technology Corp.*.............................. 15,400 416,763
PeopleSoft Inc.*.......................................... 213,200 4,543,825
Shared Medical Systems Corp............................... 1,200 61,125
Siebel Systems Inc.*...................................... 7,400 621,600
Solectron Corp.*.......................................... 12,600 1,198,575
Sterling Software Inc.*................................... 500 15,750
Synopsys Inc.*............................................ 3,300 220,275
Veritas Software Co.*..................................... 14,250 2,039,531
------------
114,309,345
------------
561,459,345
------------
TRANSPORTATION--0.0%
Miscellaneous--0.0%
Expeditores International of Washington Inc.*............. 2,700 118,294
------------
Railroads & Equipment--0.0%
Kansas City Southern Industries Inc....................... 6,200 462,675
Wisconsin Central Transportation Corp.*................... 25,700 345,344
------------
808,019
------------
Trucking & Freight Forwarding--0.0%
Hertz Corp................................................ 700 35,087
------------
961,400
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-61
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- -------------
<S> <C> <C>
COMMON STOCK (Continued)
UTILITIES--2.2%
Electric Utilities--0.3%
American Electric Power Co., Inc......................... 47,500 $ 1,525,938
Calpine Corp.*........................................... 2,600 166,400
Cinergy Corp............................................. 54,000 1,302,750
Niagara Mohawk Holdings Inc.*............................ 88,000 1,226,500
Northeast Utilities...................................... 77,600 1,595,650
-------------
5,817,238
-------------
Gas & Pipeline Utilities--0.3%
Cooper Cameron Corp.*.................................... 300 14,681
Williams Cos., Inc....................................... 147,700 4,514,082
-------------
4,528,763
-------------
Telephone--1.6%
Allegiance Telecom Inc.*................................. 3,400 313,650
Alltel Corp.............................................. 5,600 463,050
American Tower Corp...................................... 3,400 103,913
AT&T Corp................................................ 44,608 2,263,856
Broadwing Inc.*.......................................... 8,400 309,750
Comsat Corp.............................................. 496 9,858
GTE Corp................................................. 50,000 3,528,125
McLeod Inc............................................... 6,500 382,687
Metromedia Fiber Network Inc.*........................... 4,600 220,512
NTL Inc.*................................................ 5,675 707,956
SBC Communications Inc................................... 202,000 9,847,500
Sprint Corp.*............................................ 114,000 7,673,625
Sprint Corp.*............................................ 850 87,125
US Cellular Corp.*....................................... 600 60,563
US West Inc.............................................. 12,300 885,600
Voicestream Wireless Corp.*.............................. 2,900 412,706
Western Wireless Corp.*.................................. 3,100 206,925
Winstar Communications Inc.*............................. 1,400 105,350
-------------
27,582,751
-------------
37,928,752
-------------
TOTAL COMMON STOCK (cost $1,015,773,203)................. 1,689,026,895
-------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-62
<PAGE>
American Bar Association Members/State Street Collective Trust
Growth Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
---------- --------------
<S> <C> <C>
PREFERRED STOCK--0.1%
CONSUMER SERVICES--0.1%
Air Travel 0.1%
Sealed Air Corp. Preferred Convertible Series A
(cost $1,830,562)................................. 36,765 $ 1,856,632
Real Estate Investment Trust--0.0%
MISCELLANEOUS--0.0%
Real Estate--0.0%
Meditrust--(cost $202,928)......................... 7,327 40,299
--------------
TOTAL INVESTMENT SECURITIES (cost $1,017,806,693).. 1,690,923,826
--------------
<CAPTION>
Principal
Amount
----------
<S> <C> <C>
GOVERNMENT AND AGENCIES--0.0%
US Treasury Bills 5.10% 4/6/2000+ (cost $118,368).. $ 120,000 118,368
--------------
<CAPTION>
Units
----------
<S> <C> <C>
SHORT TERM INVESTMENTS--1.1%
State Street Bank Yield Enhanced Short Term
Investment Fund (cost $18,098,984)................ 18,098,984 18,098,984
--------------
TOTAL INVESTMENTS--(cost $1,036,024,045)--99.9%............... 1,709,141,178
Other assets less liabilities--.1%............................ 1,468,166
--------------
NET ASSETS--100.0%............................................ $1,710,609,344
==============
</TABLE>
* 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.
+ Collateral for margin requirements on open futures contracts.
The accompanying notes are an integral part of these financial statements.
F-63
<PAGE>
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value:
State Street Bank Russell 3000 Non-Lending Fund (cost
$238,670,678 and units 17,829,433)............................. $293,472,464
Deferred registration fees........................................ 19,738
Other assets...................................................... 24,385
------------
Total assets.................................................... 293,516,587
------------
LIABILITIES
Payable for fund units redeemed................................... 369,597
State Street Bank and Trust Company--program fee payable.......... 46,342
Trustee, management and administration fees payable............... 17,496
American Bar Retirement Association--program fee payable.......... 10,233
Other accruals.................................................... 3,690
------------
Total liabilities............................................... 447,358
------------
Net assets (equivalent to $33.20 per unit based on 8,828,173 units
outstanding)..................................................... $293,069,229
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-64
<PAGE>
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment Income
Interest........................................................ $ 4,389
-----------
Total investment income....................................... 4,389
-----------
Expenses
State Street Bank and Trust Company--program fee................ 527,942
Trustee, management and administration fees..................... 193,654
American Bar Retirement Association--program fee................ 112,186
Legal and audit fees............................................ 15,336
Reports to unitholders.......................................... 41,266
Registration fees............................................... 23,464
Other expenses.................................................. 18,737
-----------
Total expenses................................................ 932,585
Program fee reimbursement from State Street Bank and Trust
Company........................................................ (4,633)
-----------
Net expenses.................................................. 927,952
-----------
Net investment loss............................................. (923,563)
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 25,427,923
Change in net unrealized appreciation on investments............ 28,128,612
-----------
Net realized and unrealized gain on investments............... 53,556,535
-----------
Net increase in net assets resulting from operations.............. $52,632,972
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-65
<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,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment loss.............................. $ (378,963) $ (923,563)
Net realized gain on investments................. 51,880,766 25,427,923
Net change in unrealized appreciation on
investments..................................... (13,345,132) 28,128,612
------------ ------------
Net increase in net assets resulting from
operations.................................... 38,156,671 52,632,972
------------ ------------
From unitholder transactions
Proceeds from units sold......................... 38,720,832 47,200,325
Cost of units redeemed........................... (20,262,917) (17,087,797)
------------ ------------
Net increase in net assets resulting from
unitholder transactions....................... 18,457,915 30,112,528
------------ ------------
Net increase in net assets.................... 56,614,586 82,745,500
Net Assets
Beginning of year................................ 153,709,143 210,323,729
------------ ------------
End of year...................................... $210,323,729 $293,069,229
============ ============
Number of units
Outstanding--beginning of year................... 6,971,219 7,745,510
Sold........................................... 1,631,560 1,648,495
Redeemed....................................... (857,269) (565,832)
------------ ------------
Outstanding--end of year......................... 7,745,510 8,828,173
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-66
<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
(Commencement
of
Operations)
to December For the year ended December 31,
31, -------------------------------------------------
1994 1995 1996 1997 1998 1999
------------- ------- ------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Investment income....... $ -- $ .02 $ .28 $ .08 $ .09 $ .00**
Net expenses............ (.04) (.08) (.11) (.12) (.14) (.11)
------- ------- ------- -------- -------- --------
Net investment income
(loss)................. (.04) (.06) .17 (.04) (.05) (.11)
Net realized and
unrealized gain on
investments............ .39 3.68 2.72 5.23 5.15 6.16
------- ------- ------- -------- -------- --------
Net increase in unit
value.................. .35 3.62 2.89 5.19 5.10 6.05
Net asset value at
beginning of period.... 10.00 10.35 13.97 16.86 22.05 27.15
------- ------- ------- -------- -------- --------
Net asset value at end
of period.............. $ 10.35 $ 13.97 $ 16.86 $ 22.05 $ 27.15 $ 33.20
======= ======= ======= ======== ======== ========
Ratio of net expenses to
average net assets..... .94 %# .68 % .69% .62 % .57 % .37 %++
Ratio of net investment
income (loss) to
average net assets..... (.94)%# (.52)% 1.15% (.22)% (.20)% (.37)%
Portfolio turnover***... 54 %+ 132 % 17% 11 % 94 % 112 %
Total return............ 3.50 %+ 34.98 % 20.68% 30.78 % 23.13 % 22.28 %
Net assets at end of
period (in thousands).. $11,662 $48,020 $82,881 $153,709 $210,324 $293,069
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Zero amounts round to less than .005 per unit.
*** 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.
# Ratios annualized.
+ Not annualized.
++ After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to average net assets
would have been .37% for the year ended December 31, 1999.
The accompany notes are an integral part of these financial statements.
F-67
<PAGE>
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value:
PIMCO Total Return Fund (cost $94,290,664 and shares 8,952,927). $ 88,633,964
Barclays Global Investors Bond Index Fund
(cost $44,939,592 and shares 4,640,841)........................ 42,463,699
Receivable for fund units sold.................................... 3,232,613
Deferred registration fees........................................ 8,759
Other assets...................................................... 13,250
------------
Total assets.................................................. 134,352,285
------------
LIABILITIES
Payable for investments purchased................................. 3,232,613
State Street Bank and Trust Company--program fee payable.......... 21,271
Trustee, management and administration fees payable............... 8,029
American Bar Retirement Association--program fee payable.......... 4,697
Other accruals.................................................... 2,874
------------
Total liabilities............................................. 3,269,484
------------
Net assets (equivalent to $12.80 per unit based on 10,239,307
units outstanding)............................................... $131,082,801
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-68
<PAGE>
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
<TABLE>
<CAPTION>
For the year
ended
December 31,
1999
------------
<S> <C>
Investment Income
Dividends....................................................... $ 8,016,182
Interest........................................................ 2,385
-----------
Total investment income....................................... 8,018,567
-----------
Expenses
State Street Bank and Trust Company--program fee................ 277,879
Trustee, management and administration fees..................... 101,837
American Bar Retirement Association--program fee................ 58,937
Reports to unitholders.......................................... 21,679
Legal and audit fees............................................ 8,056
Registration fees............................................... 14,107
Other expenses.................................................. 9,842
-----------
Total expenses................................................ 492,337
Program fee reimbursement from State Street Bank and Trust
Company........................................................ (2,512)
-----------
Net expenses.................................................. 489,825
-----------
Net investment income............................................. 7,528,742
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss............................................... (619,123)
Change in net unrealized appreciation........................... (8,791,561)
-----------
Net realized and unrealized loss on investments............... (9,410,684)
-----------
Net decrease in net assets resulting from operations.............. $(1,881,942)
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-69
<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,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment income............................ $ 9,093,663 $ 7,528,742
Net realized gain (loss) on investments.......... 355,688 (619,123)
Net change in unrealized appreciation on
investments..................................... (222,651) (8,791,561)
------------ ------------
Net increase (decrease) in net assets resulting
from operations............................... 9,226,700 (1,881,942)
------------ ------------
From unitholder transactions
Proceeds from units issued....................... 50,559,632 32,395,279
Cost of units redeemed........................... (14,653,506) (27,297,845)
------------ ------------
Net increase in net assets resulting from
unitholder transactions....................... 35,906,126 5,097,434
------------ ------------
Net increase in net assets.................... 45,132,826 3,215,492
Net Assets
Beginning of year................................ 82,734,483 127,867,309
------------ ------------
End of year...................................... $127,867,309 $131,082,801
============ ============
Number of units
Outstanding--beginning of year................... 6,945,554 9,847,223
Sold........................................... 4,070,913 2,518,207
Redeemed....................................... (1,169,244) (2,126,123)
------------ ------------
Outstanding--end of year......................... 9,847,223 10,239,307
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-70
<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)
of Operations) to For the year ended December 31,
December 31, ------------------------------------
1995 1996 1997 1998 1999
----------------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .34 $ .67 $ .97 $ 1.12 $ .78
Net expenses+........... (.02) (.06) (.07) (.06) (.05)
------- ------- ------- -------- --------
Net investment income... .32 .61 .90 1.06 .73
Net realized and
unrealized gain (loss)
on investments......... .26 (.30) .12 .02 (.92)
------- ------- ------- -------- --------
Net increase (decrease)
in unit value.......... .58 .31 1.02 1.08 (.19)
Net asset value at
beginning of period.... 10.00 10.58 10.89 11.91 12.99
------- ------- ------- -------- --------
Net asset value at end
of period.............. $ 10.58 $ 10.89 $ 11.91 $ 12.99 $ 12.80
======= ======= ======= ======== ========
Ratio of net expenses to
average net assets+ ... .69%** .58% .57% .52% .37%++
Ratio of net investment
income to average net
assets................. 9.17%** 5.82% 7.93% 8.50% 5.71%
Portfolio turnover***... 2%**** 22% 14% 17% 22%
Total return............ 5.80%**** 2.93% 9.37% 9.07% (1.46)%
Net assets at end of
period (in thousands).. $36,457 $49,612 $82,734 $127,867 $131,083
</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 then 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.
++ After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to average net assets
would have been .37% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F-71
<PAGE>
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
T. Rowe Price International Stock Fund, at value (cost $93,274,373
and shares 5,579,701)............................................ $106,181,718
Receivable for fund units sold.................................... 104,749
Deferred registration fees........................................ 30,242
Other assets...................................................... 8,611
------------
Total assets.................................................... 106,325,320
------------
LIABILITIES
Payable for investments purchased................................. 104,749
State Street Bank and Trust Company--program fee payable.......... 16,248
Trustee, management and administration fees payable............... 6,135
American Bar Retirement Association--program fee payable.......... 3,588
Other accruals.................................................... 1,574
------------
Total liabilities............................................... 132,294
------------
Net assets (equivalent to $28.27 per unit based on 3,756,167 units
outstanding)..................................................... $106,193,026
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-72
<PAGE>
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment Income
Dividends........................................................ $ 5,433,447
Interest......................................................... 1,550
-----------
Total investment income........................................ 5,434,997
-----------
Expenses
State Street Bank and Trust Company--program fee................. 169,009
Trustee, management and administration fees...................... 61,986
American Bar Retirement Association--program fee................. 35,750
Reports to unitholders........................................... 12,774
Legal and audit fees............................................. 4,747
Registration fees................................................ 7,667
Other expenses................................................... 5,799
-----------
Total expenses................................................. 297,732
-----------
Fee reimbursements:
Investment management fee....................................... (80,569)
State Street Bank and Trust Company--program fee................ (1,636)
-----------
Total fee reimbursements....................................... (82,205)
-----------
Net expenses................................................... 215,527
-----------
Net investment income............................................ 5,219,470
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain................................................ 11,241,233
Change in net unrealized appreciation............................ 11,182,181
-----------
Net realized and unrealized gain on investments................ 22,423,414
-----------
Net increase in net assets resulting from operations............... $27,642,884
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-73
<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,
---------------------------
1998 1999
------------ -------------
<S> <C> <C>
From operations
Net investment income........................... $ 2,366,365 $ 5,219,470
Net realized gain on investments................ 551,557 11,241,233
Net change in unrealized appreciation on
investments.................................... 6,705,700 11,182,181
------------ -------------
Net increase in net assets resulting from
operations................................... 9,623,622 27,642,884
------------ -------------
From unitholder transactions
Proceeds from units issued...................... 79,948,229 167,249,852
Cost of units redeemed.......................... (78,993,818) (158,274,690)
------------ -------------
Net increase in net assets resulting from
unitholder transactions...................... 954,411 8,975,162
------------ -------------
Net increase in net assets................... 10,578,033 36,618,046
Net Assets
Beginning of year............................... 58,996,947 69,574,980
------------ -------------
End of year..................................... $ 69,574,980 $ 106,193,026
============ =============
Number of units
Outstanding--beginning of year.................. 3,239,192 3,302,529
Sold.......................................... 4,046,808 7,477,325
Redeemed...................................... (3,983,471) (7,023,687)
------------ -------------
Outstanding--end of year........................ 3,302,529 3,756,167
============ =============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-74
<PAGE>
American Bar Association Members/State Street Collective Trust
International Equity Fund
Selected Per-Unit Data and Ratios#
(For a unit outstanding throughout the period)*
<TABLE>
<CAPTION>
For the period
September 5,
1995
(Commencement of
Operations) to For the year ended December 31,
December 31, ---------------------------------------
1995 1996 1997 1998 1999
---------------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .49 $ .70 $ 1.11 $ .80 $ 1.52
Net expenses+........... (.03) (.10) (.09) (.08) (.06)
------- ------- ------- ------- --------
Net investment income... .46 .60 1.02 .72 1.46
Net realized and
unrealized gain (loss)
on investments......... (.09) 1.83 (.61) 2.14 5.74
------- ------- ------- ------- --------
Net increase in unit
value.................. .37 2.43 .41 2.86 7.20
Net asset value at
beginning of period.... 15.00 15.37 17.80 18.21 21.07
------- ------- ------- ------- --------
Net asset value at end
of period.............. $ 15.37 $ 17.80 $ 18.21 $ 21.07 $ 28.27
======= ======= ======= ======= ========
Ratio of net expenses to
average net assets+.... .57%** .59% .47%++ .38%++ .27%++
Ratio of net investment
income to average net
assets................. 9.20%** 3.58% 5.41% 3.63% 6.47%
Portfolio turnover***... 4%**** 73% 101% 122% 199%
Total return............ 2.47%**** 15.81% 2.30% 15.71% 34.17%
Net assets at end of
period (in thousands).. $10,849 $33,268 $58,997 $69,575 $106,193
</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 then the turnover of the
underlying portfolio 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.
++ After reimbursement of expenses by State Street Bank and Rowe Price-
Fleming International as described in Note 3 of Notes to Financial
statements. Had State Street Bank and Rowe Price-Fleming International
not undertaken such action the annualized ratio of net expenses to
average net assets would have been .54%, .48% and .37% for the years
ended December 31, 1997, 1998 and 1999, respectively.
# Certain reclassifications were made to the prior period selected per-unit
data and ratios to conform to current year presentation.
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
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value (cost $710,925,988)......................... $710,925,988
Deferred registration fees........................................ 47,370
Other assets...................................................... 86,300
------------
Total assets.................................................... 711,059,658
------------
LIABILITIES
Payable for fund units redeemed................................... 1,343,907
State Street Bank and Trust Company--program fee payable.......... 113,941
Trustee, management and administration fees payable............... 43,014
American Bar Retirement Association--program fee payable.......... 25,160
Other accruals.................................................... 17,852
------------
Total liabilities............................................... 1,543,874
------------
Net assets (equivalent to $1.00 per unit based on 709,515,784
units outstanding)............................................... $709,515,784
============
</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
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment Income
Interest........................................................ $40,688,524
-----------
Total investment income....................................... 40,688,524
-----------
Expenses
State Street Bank and Trust Company--program fee................ 1,459,790
Trustee, management and administration fees..................... 535,914
American Bar Retirement Association--program fee................ 308,354
Reports to unitholders.......................................... 124,379
Legal and audit fees............................................ 46,222
Registration fees............................................... 77,508
Other expenses.................................................. 56,473
-----------
Total expenses................................................ 2,608,640
Program fee reimbursement from State Street Bank and Trust
Company........................................................ (16,397)
-----------
Net expenses.................................................. 2,592,243
-----------
Net investment income and net increase in net assets resulting
from operations.................................................. $38,096,281
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-77
<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,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment income and net increase in net
assets resulting from operations................ $ 35,236,214 $ 38,096,281
------------ ------------
From unitholder transactions (at $1.00 per unit):
Proceeds from units issued....................... 189,755,231 243,942,391
Distributions of net investment income........... (35,236,214) (38,096,281)
Units issued in connection with reinvestment of
net investment income........................... 35,236,214 38,096,281
Cost of units redeemed........................... (179,565,107) (252,514,047)
------------ ------------
Net increase (decrease) in net assets resulting
from unitholder transactions.................... 10,190,124 (8,571,656)
------------ ------------
Net increase in net assets...................... 45,426,338 29,524,625
Net Assets
Beginning of year................................ 634,564,821 679,991,159
------------ ------------
End of year...................................... $679,991,159 $709,515,784
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-78
<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 period)*
<TABLE>
<CAPTION>
For the period For the
December 5, 1991 year
(Commencement ended
of Operations) December
to 31,
December 31, ------------------------------------------------------------------------------
1991 1992 1993 1994 1995 1996 1997 1998 1999
---------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income....... $ .004 $ .042 $ .035 $ .043 $ .061 $ .058 $ .060 $ .060 $ .060
Net expenses............ (.000) (.008) (.008) (.007) (.007) (.007) (.007) (.006) (.004)
-------- -------- -------- -------- -------- -------- -------- -------- --------
Net investment income... .004 .034 .027 .036 .054 .051 .053 .054 .056
Reinvestment of net
investment income...... (.004) (.034) (.027) (.036) (.054) (.051) (.053) (.054) (.056)
-------- -------- -------- -------- -------- -------- -------- -------- --------
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 $ 1.00
======== ======== ======== ======== ======== ======== ======== ======== ========
Ratio of net expenses to
average net assets..... -- .79% .75% .73% .73% .68% .68% .61% .37%**
Ratio of net investment
income to average net
assets................. -- 3.45% 2.77% 3.55% 5.32% 5.15% 5.38% 5.44% 5.50%
Net assets at end of
period (in thousands).. $560,334 $589,882 $509,905 $491,979 $630,208 $634,763 $634,565 $679,991 $709,516
</TABLE>
- --------
* Calculations prepared using the monthly average number of units outstanding
during the period.
** After reimbursement of expenses by State Street Bank as described in Note 3
of Notes to Financial Statements. Had State Street Bank not undertaken such
action the annualized ratio of net expenses to average net assets would
have been .38% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F-79
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Value
--------------
<S> <C> <C>
UNITS OF COLLECTIVE INVESTMENT FUND
State Street Bank ABA Members/Pooled Stable Asset Fund Trust
("SAFT") (Units 710,925,988) (a).............................. $710,925,988
------------
TOTAL INVESTMENTS (cost $710,925,988) 100.2%................... 710,925,988
LIABILITIES IN EXCESS OF OTHER ASSETS (.2)%.................... (1,410,204)
------------
NET ASSETS 100.0%.............................................. $709,515,784
============
- --------
(a) SAFT holds the following investments:
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1999 (Note 2)
---------------- --------------
<S> <C> <C>
Investment Contracts 49.02%
Continental Assurance Company
4 Investment Contracts
(Maturities ranging from April 28, 2000 to
December 31, 2002)........................... 6.00-7.32% $ 17,045,184
GE Life & Annuity Assurance Co.
7 Investment Contracts, Indexed
(Maturities ranging from February 28, 2000 to
February 28, 2003 and upon funds request).... 6.03-7.10 44,826,255
John Hancock Mutual Life Insurance Company
3 Investment Contracts
(Maturities ranging from May 31, 2000 to
November 30, 2002)........................... 6.03-7.00 20,512,771
Metropolitan Life Insurance Company
2 Investment Contracts
(Maturities ranging from February 28, 2000 to
March 14, 2003).............................. 5.94-6.37 18,883,805
Monumental Life Insurance Company
6 Investment Contracts
(Maturities ranging from January 31, 2000 to
December 15, 2003)........................... 6.67-7.22 25,687,573
New York Life Asset Management
8 Investment Contracts
(Maturities ranging from January 15, 2000 to
September 2, 2003)........................... 6.02-6.93 40,640,903
Pacific Life Insurance Company
1 Investment Contract, Indexed
(Maturities ranging from July 31, 2001 to
January 31, 2002)............................ 6.05-6.91 12,517,261
Principal Life Insurance Company
10 Investment Contracts
(Maturities ranging from January 19, 2000 to
August 1, 2003).............................. 5.73-7.23 69,905,844
Protective Life Insurance Company
3 Investment Contracts
(Maturities ranging from July 31, 2000 to
July 31, 2003)............................... 5.42-6.10 25,286,745
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-80
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1999 (Note 2)
---------------- --------------
<S> <C> <C>
Investment Contracts (Continued)
Prudential Asset Management
1 Investment Contract
(Matures January 31, 2000).................. 6.02-6.71% $ 3,243,239
Sun Life of Canada
2 Investment Contracts
(Maturities ranging from March 31, 2000 to
April 31, 2001)............................. 6.82-6.87 16,543,403
Transamerica Occidental Life Insurance
Company
4 Investment Contracts
(Maturities ranging from February 28, 2000
to September 30, 2002)...................... 6.25-7.24 22,376,424
Travelers Insurance Company
4 Investment Contracts
(Maturities ranging from May 1, 2000 to
October 31, 2003)........................... 5.78-6.85 33,302,349
-----------
Total Investment Contracts (Cost
$350,771,756)............................... 350,771,756
-----------
Synthetic Investment Contracts 11.27%*
CDC Investment Management
2 Investment Contracts
(Maturities ranging from February 15, 2000
to September 15, 2003)...................... 6.42-6.87 12,921,742
Underlying Securities:
Bank of New York Cash Reserve
Units 393,886, value $393,886
FHLMC REMIC, 7.00%, 2/25/18,
Principal $727,817
Value $726,354
Arcadia Automobile Receivables, 7.20%,
6/15/07,
Principal $7,249,688
Value $7,244,323
FNMA Pool, 6.625%, 6/1/27,
Principal $1,869,605
Value $1,912,251
Total value of underlying securities
$10,276,814
Value of investment contract $2,644,928
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-81
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1999 (Note 2)
---------------- --------------
<S> <C> <C>
Synthetic Investment Contracts (Continued)
Chase Manhattan Bank
1 Investment Contract
(Maturities ranging from January 18, 2000 to
May 15, 2001)................................ 6.28% $10,025,970
Underlying Security:
Ford Credit Auto Owner, 6.20%, 4/15/02,
Principal $10,000,000
Value $10,003,100
Interest receivable $51,667
Total value of underlying security
$10,054,767
Value of investment contract ($28,797)
Deutsche Bank AG
1 Investment Contract
(Maturities ranging from January 15, 2000 to
January 15, 2008)............................ 5.97 4,832,681
Underlying Security:
Prudential Securities, 6.074%, 1/15/08,
Principal $4,805,263
Value $4,593,494
Interest receivable $24,323
Total value of underlying security $4,617,817
Value of investment contract $214,864
Morgan Guaranty Trust Company
2 Investment Contracts
(Maturities ranging from January 18, 2000 to
September 15, 2001).......................... 6.51-7.06 11,902,775
Underlying Securities:
Advanta Credit Card Master Trust, 6.24%,
11/15/03,
Principal $6,553,000
Value $6,553,000
Capital Auto Receivables Asset, 6.30%,
5/15/04,
Principal $3,500,000
Value $3,481,380
Interest receivable $36,552
Total value of underlying securities
$10,070,932
Value of investment contract $1,831,843
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-82
<PAGE>
American Bar Association Members/State Street Collective Trust
Stable Asset Return Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Effective annual Investments at
percentage rate Contract Value
1999 (Note 2)
---------------- --------------
<S> <C> <C>
Synthetic Investment Contracts (Continued)
Rabobank Nederland NV
1 Investment Contract+....................... 6.40-6.52% $ 20,542,588
Underlying Security:
State Street Bank Asset Backed Index Fund
Units 1,655,645
Value of underlying security $20,258,472
Value of investment contract $284,116
Union Bank of Switzerland
3 Investment Contracts
(Maturities ranging from January 15, 2000 to
October 15, 2004)............................ 5.85-7.07 20,433,634
Underlying Securities:
Advanta Credit Card, 6.0%, 11/15/05,
Principal $11,350,000
Value $11,108,813
Distribution Financial Services, 5.84%,
10/17/11,
Principal $5,000,000
Value $4,912,095
Fleet Credit Card Master Trust, 6.9%,
4/16/07,
Principal $4,225,000
Interest receivable $83,025
Value $4,224,324
Total value of underlying securities
$20,328,257
Value of investment contract $105,377
------------
Total Synthetic Investment Contracts (Cost
$80,659,390)................................. 80,659,390
------------
<CAPTION>
Amortized
Cost Value
---------------- --------------
<S> <C> <C>
Short Term Investments 39.71%
State Street Bank
Yield Enhanced Short Term Investment Fund--
284,047,664 units........................... $284,047,664 284,047,664
------------
Total Investments (Cost $715,478,810)......... $715,478,810
============
</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 99.36% of State Street Bank ABA
Members/Pooled Stable Asset Fund Trust.
+ Represents evergreen contract with periodic resets of crediting rate with
no stated book value maturity.
The accompanying notes are an integral part of these financial statements.
F-83
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
Investments, at value (cost $149,966,954)......................... $177,726,928
Cash.............................................................. 542
Receivable for fund units sold.................................... 885,882
Dividends receivable.............................................. 330,933
Deferred registration fees........................................ 12,003
Other assets...................................................... 16,863
------------
Total assets.................................................... 178,973,151
------------
LIABILITIES
Investment advisory fee payable................................... 44,877
State Street Bank and Trust Company--program fee payable.......... 28,800
Trustee, management and administration fees payable............... 10,872
American Bar Retirement Association--program fee payable.......... 6,360
Other accruals.................................................... 2,686
------------
Total liabilities............................................... 93,595
------------
Net assets (equivalent to $25.51 per unit based on 7,011,036 units
outstanding)..................................................... $178,879,556
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-84
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment Income
Dividends (net of foreign tax expense of $2,909)................ $ 3,165,086
Interest........................................................ 265,910
-----------
Total investment income....................................... 3,430,996
-----------
Expenses
Investment advisory fee......................................... 510,663
State Street Bank and Trust Company--program fee................ 353,269
Trustee, management and administration fees..................... 129,458
American Bar Retirement Association--program fee................ 75,016
Reports to unitholders.......................................... 27,184
Legal and audit fees............................................ 10,102
Registration fees............................................... 16,627
Other expenses.................................................. 12,343
-----------
Total expenses................................................ 1,134,662
Program fee reimbursement from State Street Bank and Trust
Company........................................................ (3,204)
-----------
Net expenses.................................................. 1,131,458
-----------
Net investment income............................................. 2,299,538
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain............................................... 16,728,059
Change in net unrealized appreciation........................... (6,031,974)
-----------
Net realized and unrealized gain on investments............... 10,696,085
-----------
Net increase in net assets resulting from operations.............. $12,995,623
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-85
<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,
--------------------------
1998 1999
------------ ------------
<S> <C> <C>
From operations
Net investment income............................ $ 1,863,743 $ 2,299,538
Net realized gain on investments................. 9,109,943 16,728,059
Net change in unrealized appreciation on
investments..................................... 9,542,619 (6,031,974)
------------ ------------
Net increase in net assets resulting from
operations.................................... 20,516,305 12,995,623
------------ ------------
From unitholder transactions
Proceeds from sales of units..................... 31,833,277 35,605,431
Cost of units redeemed........................... (14,669,286) (20,504,438)
------------ ------------
Net increase in net assets resulting from
unitholder transactions....................... 17,163,991 15,100,993
------------ ------------
Net increase in net assets.................... 37,680,296 28,096,616
Net Assets
Beginning of year................................ 113,102,644 150,782,940
------------ ------------
End of year...................................... $150,782,940 $178,879,556
============ ============
Number of units
Outstanding--beginning of year................... 5,624,404 6,408,409
Sold........................................... 1,473,724 1,436,999
Redeemed....................................... (689,719) (834,372)
------------ ------------
Outstanding--end of year......................... 6,408,409 7,011,036
============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-86
<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
Operations) to For the year ended December 31,
December 31, 1995 1996 1997 1998 1999
----------------- ------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .13 $ .40 $ .47 $ .47 $ .51
Net expenses............ (.04) (.14) (.17) (.17) (.17)
------- ------- -------- -------- --------
Net investment income... .09 .26 .30 .30 .34
Net realized and
unrealized gain on
investments............ .84 2.54 4.08 3.12 1.64
------- ------- -------- -------- --------
Net increase in unit
value.................. .93 2.80 4.38 3.42 1.98
Net asset value at
beginning of period.... 12.00 12.93 15.73 20.11 23.53
------- ------- -------- -------- --------
Net asset value at end
of period.............. $ 12.93 $ 15.73 $ 20.11 $ 23.53 $ 25.51
======= ======= ======== ======== ========
Ratio of net expenses to
average net assets..... 1.00%** .99% .90% .80% .68%+
Ratio of net investment
income to average net
assets................. 2.12%** 1.85% 1.61% 1.39% 1.36%
Portfolio turnover...... 4%*** 17% 13% 27% 27%
Total return............ 7.75%*** 21.66% 27.84% 17.01% 8.41%
Net assets at end of
period (in thousands).. $20,617 $48,131 $113,103 $150,783 $178,880
</TABLE>
- --------
* Calculations prepared using the monthly average number of units
outstanding during the period.
** Ratios annualized.
*** Not annualized.
+ After reimbursement of expenses by State Street Bank as described in Note
3 of Notes to Financial Statements. Had State Street Bank not undertaken
such action the annualized ratio of net expenses to average net assets
would have been .68% for the year ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
F- 87
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK--99.2%
BASIC INDUSTRIES--7.7%
Aluminum--0.6%
Alcan Aluminum Ltd. ADR.................................... 25,700 $ 1,058,519
------------
Chemicals--3.2%
Cabot Corp................................................. 22,900 466,588
Dow Chemical Co............................................ 11,300 1,509,962
E.I. Du Pont de Nemours & Co............................... 1,284 84,584
Eastman Chemical Co........................................ 11,400 543,638
FMC Corp.*................................................. 2,900 166,206
Great Lakes Chemical Corp.................................. 8,400 320,775
Millennium Chemicals Inc. ADR.............................. 29,200 576,700
Sigma Aldrich Corp. ....................................... 25,700 772,606
Union Carbide Corp......................................... 19,300 1,288,275
------------
5,729,334
------------
Containers & Glass--0.4%
Temple Inland Inc.......................................... 11,500 758,281
------------
Paper--3.5%
Boise Cascade Corp......................................... 20,000 810,000
Champion International Corp................................ 19,400 1,201,587
Consolidated Papers Inc.................................... 21,400 680,788
Mead Corp.................................................. 19,600 851,375
Potlatch Corp.............................................. 10,200 455,175
Westvaco Corp.............................................. 29,000 946,125
Willamette Industries Inc.................................. 26,600 1,235,237
------------
6,180,287
------------
13,726,421
------------
CAPITAL GOODS--5.9%
Building Construction--0.6%
Fluor Corp................................................. 22,400 1,027,600
------------
Construction Materials--0.5%
Sherwin-Williams Co........................................ 39,400 827,400
------------
Electrical Equipment--4.2%
Arrow Electronics Inc...................................... 30,200 766,325
Cooper Industries Inc...................................... 21,900 885,581
General Electric Co........................................ 38,100 5,895,975
------------
7,547,881
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-88
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
CAPITAL GOODS (Continued)
Industrial Machinery--0.6%
Briggs & Stratton Corp..................................... 9,100 $ 487,988
Cummins Engine Co., Inc.................................... 14,100 681,206
------------
1,169,194
------------
10,572,075
------------
CONSUMER BASICS--9.3%
Drugs & Health Care--6.3%
Abbott Laboratories........................................ 18,400 668,150
American Home Products Corp................................ 8,700 343,106
Baxter International Inc................................... 18,500 1,162,031
Bergen Brunswig Corp....................................... 58,700 487,944
Bristol-Myers Squibb Co.................................... 18,200 1,168,212
Eli Lilly & Co............................................. 800 53,200
Johnson & Johnson.......................................... 32,000 2,980,000
Mallinckrodt Inc........................................... 23,000 731,688
Manor Care Inc.*........................................... 36,600 585,600
Merck & Co., Inc........................................... 20,000 1,341,250
Pacificare Health Systems*................................. 4,800 254,400
Pfizer Inc................................................. 31,100 1,008,806
Schering-Plough Corp. ..................................... 10,000 421,875
------------
11,206,262
------------
Food & Beverages--1.7%
Archer Daniels Midland Co.................................. 66,407 809,335
Coca Cola Co............................................... 22,100 1,287,325
H.J. Heinz Co. ............................................ 5,800 230,913
Supervalu Inc.............................................. 38,500 770,000
------------
3,097,573
------------
Household Products--0.4%
Procter & Gamble Co.*...................................... 6,000 657,375
------------
Tobacco--0.9%
Philip Morris Cos., Inc.................................... 71,700 1,662,544
------------
16,623,754
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-89
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER DURABLE GOODS--4.5%
Automobiles--1.3%
Ford Motor Co.............................................. 31,400 $ 1,677,937
PACCAR Inc................................................. 12,700 562,769
------------
2,240,706
------------
Auto Parts--2.0%
Dana Corp.................................................. 25,600 766,400
Delphi Automotive Systems Corp............................. 64,500 1,015,875
Genuine Parts Co........................................... 33,100 821,294
TRW Inc.................................................... 19,800 1,028,362
------------
3,631,931
------------
Household Appliances & Home Furnishings--0.6%
Whirlpool Corp............................................. 14,700 956,419
------------
Tires & Rubber--0.6%
Cooper Tire & Rubber Co.................................... 37,100 577,369
Goodyear Tire & Rubber Co.................................. 19,100 538,381
------------
1,115,750
------------
7,944,806
------------
CONSUMER NON-DURABLES--7.9%
Apparel & Textiles--0.6%
Reebok International Ltd.*................................. 19,800 162,112
Russell Corp............................................... 12,800 214,400
Springs Industries Inc..................................... 2,600 103,838
VF Corp.................................................... 17,900 537,000
------------
1,017,350
------------
Containers & Glass--0.3%
Crown Cork & Seal Co., Inc................................. 27,100 606,362
------------
Household Products--1.0%
Fort James Corp............................................ 36,600 1,001,925
Fortune Brands Inc......................................... 24,800 819,950
------------
1,821,875
------------
Miscellaneous--1.0%
ConAgra Inc................................................ 40,800 920,550
Tyson Foods Inc............................................ 48,200 783,250
------------
1,703,800
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-90
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
CONSUMER NON-DURABLES (Continued)
Retail Trade--4.9%
Dillards Inc............................................... 30,700 $ 619,756
Federated Department Stores Inc.*.......................... 20,300 1,026,419
Home Depot Inc............................................. 11,250 771,328
J.C. Penney Co., Inc....................................... 16,500 328,969
May Department Stores Co................................... 32,650 1,052,962
Sears Roebuck & Co......................................... 23,700 721,369
Toys-R-Us Inc.*............................................ 52,300 748,544
Wal-Mart Stores Inc........................................ 50,400 3,483,900
------------
8,753,247
------------
Tobacco--0.1%
Reynolds R J Tobacco Holdings Inc.......................... 6,766 119,251
------------
Toys & Amusements--0.0%
Mattel Inc................................................. 6,800 89,250
------------
14,111,135
------------
CONSUMER SERVICES--0.7%
Leisure Time--0.7%
Harrahs Entertainment Inc.*................................ 44,000 1,163,250
Walt Disney Company........................................ 1,500 43,875
------------
1,207,125
------------
ENERGY--6.8%
International Oil--1.0%
Chevron Corp............................................... 3,000 259,875
Royal Dutch Petroleum Co. ADR.............................. 19,600 1,184,575
Sunoco Inc................................................. 20,900 491,150
------------
1,935,600
------------
Petroleum Services--0.4%
Helmerich & Payne Inc...................................... 16,300 355,544
Lyondell Petrochemical Co.................................. 23,300 297,075
------------
652,619
------------
Petroleum--5.4%
Ashland Inc................................................ 21,000 691,688
Atlantic Richfield Co...................................... 17,000 1,470,500
Conoco Inc................................................. 32,700 809,325
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-91
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
ENERGY (Continued)
Petroleum (Continued)
Conoco Inc.--Class B....................................... 2,702 $ 67,212
Exxon Mobil Corp.*......................................... 44,894 3,616,773
Occidental Petroleum Corp.................................. 48,300 1,044,487
Phillips Petroleum Co...................................... 19,600 921,200
Tosco Corp................................................. 35,300 959,719
------------
9,580,904
------------
12,169,123
------------
FINANCE--17.8%
Banks--7.5%
Bank of America Corp....................................... 41,537 2,084,638
Bank One Corp.............................................. 43,612 1,398,310
Chase Manhattan Corp....................................... 20,100 1,561,519
First Union Corp........................................... 37,200 1,220,625
Fleet Boston Corp.......................................... 45,097 1,569,939
J.P. Morgan & Co., Inc. ................................... 9,700 1,228,262
Keycorp.................................................... 10,000 221,250
National City Corp......................................... 39,300 930,919
PNC Bank Corp.............................................. 19,900 885,550
Republic New York Corp..................................... 5,800 417,600
Summit Bancorp............................................. 30,000 918,750
Washington Mutual Inc...................................... 38,200 993,200
------------
13,430,562
------------
Financial Services--3.0%
Citigroup Inc.............................................. 19,875 1,104,305
Countrywide Credit Industries Inc.......................... 16,100 406,525
Fannie Mae................................................. 27,600 1,723,275
Hartford Financial Services Group.......................... 22,600 1,070,675
Lehman Brothers Holdings Inc............................... 13,000 1,100,937
------------
5,405,717
------------
Insurance--6.8%
Aetna Inc.................................................. 9,600 535,800
Allstate Corp.............................................. 33,000 792,000
Ambac Inc.*................................................ 11,700 610,594
American General Corp.*.................................... 18,852 1,430,395
American International Group Inc.* ........................ 6,781 733,196
Aon Corp. ................................................. 34,600 1,384,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-92
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
FINANCE (Continued)
Insurance (Continued)
Chubb Corp................................................. 19,800 $ 1,114,988
CIGNA Corp................................................. 12,900 1,039,256
Foundation Health Systems Inc.*............................ 48,850 485,447
Loews Corp................................................. 3,100 188,131
MBIA Inc................................................... 15,200 802,750
MGIC Investment Corp....................................... 23,400 1,408,387
SAFECO Corp................................................ 27,700 689,038
St. Paul Cos. Inc.......................................... 19,600 660,275
Torchmark Corp............................................. 12,800 372,000
------------
12,246,257
------------
Savings And Loan--0.5%
Golden West Financial Corp................................. 24,000 804,000
------------
31,886,536
------------
GENERAL BUSINESS--2.3%
Business Services--1.7%
America Online Inc.*....................................... 14,500 1,093,844
National Service Industries Inc.*.......................... 14,400 424,800
Office Depot Inc.*......................................... 86,800 949,375
Yahoo Inc.*................................................ 1,200 519,225
------------
2,987,244
Communication Services--0.6%
MCI Worldcom Inc.*......................................... 21,000 1,114,312
------------
4,101,556
------------
MISCELLANEOUS--4.9%
Conglomerates--0.7%
Canadian Pacific Limited* ADR.............................. 17,900 385,969
ITT Industries Inc......................................... 15,400 514,937
Minnesota Mining & Manufacturing Co........................ 2,400 234,900
Raytheon Company Class B................................... 5,100 135,469
------------
1,271,275
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-93
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
MISCELLANEOUS (Continued)
Chemicals--0.6%
Praxair Inc. .............................................. 22,800 $ 1,147,125
------------
Construction Materials--0.0%
Owens Corning Fiberglas Corp............................... 5,300 102,356
------------
Forest Products--1.2%
Georgia Pacific Corp....................................... 25,200 1,278,900
Owens Illinois Inc.* ...................................... 36,400 912,275
------------
2,191,175
------------
Homebuilders--0.3%
Centex Corp.*.............................................. 19,300 476,469
------------
Paper--1.8%
International Paper Co..................................... 23,663 1,335,481
Smurfit Stone Container Corp.*............................. 42,400 1,038,800
Sonoco Products Co......................................... 33,900 771,225
------------
3,145,506
------------
Steel--0.3%
Nucor Corp................................................. 9,400 515,237
------------
8,849,143
------------
TECHNOLOGY--21.3%
Aerospace--2.1%
B.F. Goodrich Co........................................... 22,500 618,750
Boeing Co.................................................. 26,300 1,093,094
Litton Industries Inc.*.................................... 11,600 578,550
Lockheed Martin Corp....................................... 34,800 761,250
Northrop Grumman Corp...................................... 12,900 697,406
------------
3,749,050
------------
Communication Services--0.9%
Andrew Corp.* ............................................. 27,400 518,888
Nortel Networks Corp....................................... 10,400 1,050,400
------------
1,569,288
------------
Computers & Business Equipment--9.5%
Apple Computer, Inc........................................ 18,200 1,871,187
Cisco Systems Inc.*........................................ 33,000 3,535,125
Dell Computer Corp......................................... 6,000 306,000
EMC Corp................................................... 6,200 677,350
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-94
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ------------
<S> <C> <C>
COMMON STOCK (Continued)
TECHNOLOGY (Continued)
Computers & Business Equipment (Continued)
Hewlett Packard Co. ....................................... 23,700 $ 2,700,319
International Business Machines Corp....................... 28,200 3,045,600
Ingram Micro Inc.*......................................... 32,500 426,563
Oracle Corp.*.............................................. 10,100 1,131,831
Quantum Corp.*............................................. 16,550 114,816
Quantum Corp. DLT & Storage*............................... 33,100 500,637
Seagate Technology*........................................ 29,500 1,373,594
Sun Microsystems Inc.*..................................... 11,000 851,812
Tech Data Corp.*........................................... 17,800 482,825
------------
17,017,659
------------
Electronics--4.6%
Avnet Inc.................................................. 12,100 732,050
Intel Corp. ............................................... 41,600 3,424,200
Lucent Technologies Inc.................................... 24,516 1,834,103
Micron Technology Inc.*.................................... 17,100 1,329,525
Texas Instruments Inc...................................... 3,400 329,375
Thomas & Betts Corp........................................ 18,100 576,938
------------
8,226,191
------------
Computer Peripherals--4.2%
Microsoft Corp.*........................................... 64,300 7,507,025
------------
38,069,213
------------
TRANSPORTATION--2.0%
Railroads & Equipment--1.8%
Burlington Northern Santa Fe Inc........................... 38,300 928,775
CSX Corp................................................... 19,700 618,088
Norfolk Southern Corp. .................................... 37,700 772,850
Union Pacific Corp......................................... 20,800 907,400
------------
3,227,113
Trucking & Freight Forwarding--0.2%
Ryder Systems Inc. ........................................ 16,300 398,331
------------
3,625,444
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-95
<PAGE>
American Bar Association Members/State Street Collective Trust
Value Equity Fund
Schedule of Investments
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCK (Continued)
UTILITIES--8.1%
Electric Utilities--4.0%
Allegheny Energy Inc.. ................................... 17,500 $ 471,406
Ameren Corp............................................... 28,300 926,825
American Electric Power Co., Inc.......................... 14,500 465,813
Central & South West Corp.*............................... 34,100 682,000
Cinergy Corp.............................................. 35,400 854,025
GPU Inc................................................... 21,300 637,669
New Century Energies Inc.................................. 26,100 792,787
PG&E Corp................................................. 40,700 834,350
Puget Sound Power & Light Co.*............................ 10,200 197,625
Unicom Inc................................................ 24,300 814,050
Wisconsin Energy Corp..................................... 24,000 462,000
------------
7,138,550
------------
Gas & Pipeline Utilities--0.5%
Firstenergy Corp.......................................... 39,000 884,813
------------
Telephone--3.6%
AT&T Corp................................................. 70,500 3,577,875
Bell Atlantic Corp........................................ 11,884 731,609
Bellsouth Corp............................................ 11,000 514,937
GTE Corp.................................................. 5,600 395,150
SBC Communications Inc.................................... 25,543 1,245,221
------------
6,464,792
------------
14,488,155
------------
TOTAL COMMON STOCK (cost $149,614,512).................... 177,374,486
------------
<CAPTION>
Units
-------
<S> <C> <C>
SHORT TERM INVESTMENTS--0.2%
State Street Bank Yield Enhanced Short Term Investment
Fund (cost $352,442) .................................... 352,442 352,442
------------
TOTAL INVESTMENTS--(cost $149,966,954) 99.4%.............. 177,726,928
Other assets less liabilities--0.6% ...................... 1,152,628
------------
NET ASSETS--100.0% ....................................... $178,879,556
============
</TABLE>
* 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.
The accompanying notes are an integral part of these financial statements.
F-96
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December
31,
1999
-----------
<S> <C>
ASSETS
State Street Bank collective investment funds, at value:
Stable Asset Return Fund (cost of $7,745,508 and units of
7,745,508)...................................................... $ 7,745,508
Intermediate Bond Fund (cost of $8,910,633 and units of 706,025). 9,037,565
Value Equity Fund (cost of $1,612,298 and units of 70,842)....... 1,807,285
Growth Equity Fund (cost of $1,311,164 and units of 2,272)....... 1,807,285
Index Equity Fund (cost of $2,849,871 and units of 108,891)...... 3,614,568
International Equity Fund (cost of $1,334,789 and units of
63,957)......................................................... 1,807,447
Receivable for fund units sold..................................... 433,543
-----------
Total assets................................................... 26,253,201
-----------
LIABILITIES
Payable for investments purchased.................................. 433,543
-----------
Total liabilities.............................................. 433,543
-----------
Net assets (equivalent to $16.06 per unit based on 1,608,068 units
outstanding)...................................................... $25,819,658
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-97
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December 31,
1999
------------
<S> <C>
Investment income................................................... $ --
----------
Net investment income............................................. --
----------
Net Realized and Unrealized Gain on Investments
Net realized gain on investments.................................. 1,794,349
Change in net unrealized appreciation............................. 415,791
----------
Net realized and unrealized gain on investments................. 2,210,140
----------
Net increase in net assets resulting from operations................ $2,210,140
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-98
<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,
------------------------
1998 1999
----------- -----------
<S> <C> <C>
From operations
Net investment loss................................ $ (17,315) $ --
Net realized gain on investments................... 2,286,216 1,794,349
Net change in unrealized appreciation on
investments....................................... 375,792 415,791
----------- -----------
Net increase in net assets resulting from
operations...................................... 2,644,693 2,210,140
----------- -----------
From unitholder transactions
Proceeds from sales of units....................... 11,914,074 9,403,463
Cost of units redeemed............................. (9,055,318) (8,525,212)
----------- -----------
Net increase in net assets resulting from
unitholder transactions......................... 2,858,756 878,251
----------- -----------
Net increase in net assets...................... 5,503,449 3,088,391
Net Assets
Beginning of year.................................. 17,227,818 22,731,267
----------- -----------
End of year........................................ $22,731,267 $25,819,658
=========== ===========
Number of units
Outstanding--beginning of year..................... 1,328,560 1,547,249
Sold............................................. 872,939 619,819
Redeemed......................................... (654,250) (559,000)
----------- -----------
Outstanding--end of year........................... 1,547,249 1,608,068
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-99
<PAGE>
American Bar Association Members/State Street Collective Trust
Conservative Structured Portfolio
Selected Per-Unit Data and Ratios
<TABLE>
<CAPTION>
For the period
September 5, 1995
(Commencement
of Operations) to For the year ended December 31,
December 31, -------------------------------------
1995 1996 1997 1998 1999
----------------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 1.37
------ ------- ------- ------- -------
Net increase............ .47 .99 1.51 1.72 1.37
Net asset value at
beginning of period.... 10.00 10.47 11.46 12.97 14.69
------ ------- ------- ------- -------
Net asset value at end
of period.............. $10.47 $ 11.46 $ 12.97 $ 14.69 $ 16.06
====== ======= ======= ======= =======
Ratio of net 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 % 46%
Total return............ 4.70 %**** 9.46 % 13.18 % 13.26 % 9.33%
Net assets at end of
period
(in thousands)......... $5,372 $11,201 $17,228 $22,731 $25,820
</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-100
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
-------------
<S> <C>
ASSETS
State Street Bank collective investment funds, at value:.........
Stable Asset Return Fund (cost of $11,233,907 and units of
11,233,907)................................................... $ 11,233,907
Intermediate Bond Fund (cost of $32,308,663 and units of
$2,633,150)................................................... 33,705,971
Value Equity Fund (cost of $10,356,642 and units of 484,379)... 12,357,294
Growth Equity Fund (cost of $8,110,526 and units of 18,609).... 12,357,292
Index Equity Fund (cost of $18,566,196 and units of 778,386)... 25,837,969
International Equity Fund (cost of $11,943,041 and units of
596,082)...................................................... 16,850,860
Receivable for fund units sold................................... 76,876
-------------
Total assets................................................... 112,420,169
-------------
LIABILITIES
Payable for investments purchased................................ 76,876
-------------
Total liabilities................................................ 76,876
-------------
Net assets (equivalent to $18.72 per unit based on 5,999,864
units outstanding).............................................. $ 112,343,293
=============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-101
<PAGE>
American Bar Association Members/State Street Collective Trust
Moderate Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31,
1999
-----------
<S> <C>
Investment income................................................... $ --
-----------
Net investment income............................................. --
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain on investments.................................. 7,539,339
Change in net unrealized appreciation............................. 6,436,261
-----------
Net realized and unrealized gain on investments.................. 13,975,600
-----------
Net increase in net assets resulting from operations................ $13,975,600
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-102
<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,
-------------------------
1998 1999
----------- ------------
<S> <C> <C>
From operations
Net investment loss............................... $ (60,934) $ --
Net realized gain on investments.................. 5,960,152 7,539,339
Net change in unrealized appreciation on
investments...................................... 6,086,445 6,436,261
----------- ------------
Net increase in net assets resulting from
operations..................................... 11,985,663 13,975,600
----------- ------------
From unitholder transactions
Proceeds from sales of units...................... 17,196,145 26,200,162
Cost of units redeemed............................ (10,930,370) (12,178,788)
----------- ------------
Net increase in net assets resulting from
unitholder
transactions................................... 6,265,775 14,021,374
----------- ------------
Net increase in net assets..................... 18,251,438 27,996,974
Net assets at beginning of year................... 66,094,881 84,346,319
----------- ------------
Net assets at end of year......................... $84,346,319 $112,343,293
=========== ============
Number of units
Outstanding--beginning of year.................... 4,744,620 5,159,072
Sold............................................ 1,150,444 1,546,965
Redeemed........................................ (735,992) (706,173)
----------- ------------
Outstanding--end of year.......................... 5,159,072 5,999,864
=========== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-103
<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 of
Operations) For the year ended December 31,
to --------------------------------------
December 31, 1995 1996 1997 1998 1999
----------------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 2.37
------- ------- ------- ------- --------
Net increase in unit
value.................. .54 1.39 2.00 2.42 2.37
Net asset value at
beginning of period.... 10.00 10.54 11.93 13.93 16.35
------- ------- ------- ------- --------
Net asset value at end
of period.............. $ 10.54 $ 11.93 $ 13.93 $ 16.35 $ 18.72
======= ======= ======= ======= ========
Ratio of net 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 % 24%
Total return............ 5.40 %**** 13.19 % 16.76 % 17.37 % 14.50%
Net assets at end of
period (in thousands).. $12,379 $32,617 $66,095 $84,346 $112,343
</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-104
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
December 31,
1999
------------
<S> <C>
ASSETS
State Street Bank collective investment funds, at value:
Intermediate Bond Fund (cost of $14,024,566 and units of
1,131,434)..................................................... $14,483,061
Value Equity Fund (cost of $12,106,902 and units of 567,633).... 14,481,231
Growth Equity Fund (cost of $9,072,913 and units of 21,808)..... 14,481,229
Index Equity Fund (cost of $20,073,586 and units of 872,513).... 28,962,451
International Equity Fund (cost of $13,784,700 and units of
683,012)....................................................... 19,308,313
Aggressive Equity Fund (cost of $2,960,806 and units of 98,361). 4,827,181
Receivable for fund units sold.................................... 137,743
-----------
Total assets.................................................... 96,681,209
-----------
LIABILITIES
Payable for investments purchased................................. 137,743
-----------
Total liabilities............................................... 137,743
-----------
Net assets (equivalent to $21.88 per unit based on 4,412,326 units
outstanding)..................................................... $96,543,466
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-105
<PAGE>
American Bar Association Members/State Street Collective Trust
Aggressive Structured Portfolio Service
Statement of Operations
<TABLE>
<CAPTION>
For the
year ended
December
31, 1999
-----------
<S> <C>
Investment income $ --
-----------
Net investment income............................................. --
-----------
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain on investments.................................. 6,164,589
Change in net unrealized appreciation............................. 10,732,917
-----------
Net realized and unrealized gain on investments................. 16,897,506
-----------
Net increase in net assets resulting from operations................ $16,897,506
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-106
<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,
------------------------
1998 1999
----------- -----------
<S> <C> <C>
From operations
Net investment loss................................ $ (49,096) $ --
Net realized gain on investments................... 4,637,419 6,164,589
Net change in unrealized appreciation on
investments....................................... 6,270,204 10,732,917
----------- -----------
Net increase in net assets resulting from
operations...................................... 10,858,527 16,897,506
----------- -----------
From unitholder transactions
Proceeds from sales of units....................... 13,025,505 21,300,022
Cost of units redeemed............................. (8,907,158) (8,498,945)
----------- -----------
Net increase in net assets resulting from
unitholder transactions......................... 4,118,347 12,801,077
----------- -----------
Net increase in net assets...................... 14,976,874 29,698,583
Net assets at beginning of year...................... 51,868,009 66,844,883
----------- -----------
Net assets at end of year............................ $66,844,883 $96,543,466
=========== ===========
Number of units
Outstanding--beginning of year..................... 3,478,382 3,729,881
Sold............................................. 802,924 1,125,294
Redeemed......................................... (551,425) (442,849)
----------- -----------
Outstanding--end of year........................... 3,729,881 4,412,326
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
F-107
<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
(Commencement of For the year ended December 31,
Operations) to -------------------------------------
December 31, 1995 1996 1997 1998 1999
----------------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Investment income....... $ .001 $ -- $ -- $ -- $ --
Net 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 3.96
------ ------- ------- ------- -------
Net increase in unit
value.................. .57 1.84 2.50 3.01 3.96
Net asset value at
beginning of period.... 10.00 10.57 12.41 14.91 17.92
------ ------- ------- ------- -------
Net asset value at end
of period.............. $10.57 $ 12.41 $ 14.91 $ 17.92 $ 21.88
====== ======= ======= ======= =======
Ratio of net 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 % 22%
Total return............ 5.70 %**** 17.41 % 20.15 % 20.19 % 22.09%
Net assets at end of
period (in thousands).. $9,999 $25,558 $51,868 $66,845 $96,543
</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-108
<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. State Street Bank and
Trust Company ("State Street Bank" or "Trustee") acts as trustee for the
Trust. 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 and
principal strategies 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 Russell 3000 Non-Lending
Fund (the "Russell Fund"), a separate State Street Bank collective
investment fund. The Russell Fund invests in securities contained in the
Russell 3000 Index. Prior to February 9, 1999, the fund invested in the
State Street Bank S&P 500 Index Fund with Futures and the State Street Bank
Russell 3000 Special Small Company Common Trust Fund.
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 Barclays Global
Investors (formerly 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 replicating the Lehman
Brothers Government/Corporate Bond Index.
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-109
<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 Statement of Assets and
Liabilities for Fund allocation at December 31, 1999.
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 Corp., 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 accounting principles generally accepted in
the United States 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-110
<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-111
<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 and Roll Transactions
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 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. Upon settlement date, the
Balanced Fund may take delivery of the securities or defer (roll) the delivery
to the next month.
G. Futures Contracts
A portion of the Growth Equity Fund (approximately 25%) is invested to
replicate the Russell 1000 Growth Index. The index portion of the Growth
Equity Fund may use, on a limited basis, futures contracts to manage exposure
to the equity market and as a substitute for comparable market positions in
the securities held by the Fund (with respect to the portion of its portfolio
that is held in cash items). 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.
F-112
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
A summary of obligations under these financial instruments at December 31,
1999 is as follows:
<TABLE>
<CAPTION>
Expiration Notional Net Unrealized
Date Future Contracts Amount Position Appreciation
---------- ---------------- -------- -------- --------------
<S> <C> <C> <C> <C>
March 2000 5 S&P 500 Index Futures $1,846,430 Long $8,050
</TABLE>
At December 31, 1999, the Growth Equity Fund had securities of $118,368 to
cover margin requirements on any open futures contracts.
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 investment management
area of Dresdner Bank Group, Sit Investment Associates, Inc., Miller Anderson
& Sherrerd, LLP, a wholly owned subsidiary of Morgan Stanley Asset Management
Holdings, Inc., Lincoln Capital Management Company, Sanford C. Bernstein &
Co., Inc., and Bankers Trust Company, a wholly-owned subsidiary of Deutsche
Bank AG, to advise it with respect to its investment responsibility and has
allocated the assets of certain of the Funds among the investment advisors.
Each investment advisor recommends to State Street Bank investments and
reinvestments of the assets allocated to it in accordance with the investment
policies of the respective Fund as described above. State Street Bank
exercises discretion with respect to the selection and retention of the
investment advisors and may remove, upon consultation with ABRA, an investment
advisor at any time.
A fee is paid to each investment advisor for certain of the funds based on
the value of the assets allocated to that investment advisor and the
respective breakpoints agreed to in the contract. These fees are accrued on a
daily basis and paid monthly from the assets. Fee rate ranges based on the
respective breakpoints are as follows:
<TABLE>
<CAPTION>
Investment Advisor Fee Rate Range
------------------ --------------
<S> <C>
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, Inc. (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.
F-113
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
Rowe Price-Fleming International, manager of the T. Rowe Price International
Stock Fund, pays a .10% fee reimbursement based on investment value for
administrative services which is credited to the International Equity Fund. The
International Equity Fund received $80,569 relating to this fee for the year
ended December 31, 1999.
A separate program fee ("Program fee") is paid to each of State Street Bank
and ABRA. These fees are allocated to each Fund based on net asset value and is
accrued on a daily basis and paid monthly from the assets of the Funds. The
ABRA Program fee is based on the value of Program assets based on the following
annual rates:
<TABLE>
<CAPTION>
Rate for ABRA
Year ended
Value of Program Assets December 31, 1999
----------------------- -----------------
<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>
ABRA received Program fees of $1,575,349 for the year ended December 31,
1999.
The State Street Bank Program fee for the year ended December 31, 1999 was a
fixed fee of $7,450,000. After January 1, 2000, the State Street Program 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. A portion of the State Street Bank Program fee is
reimbursed each year based on the amount of retirement plan assets held by
State Street Bank on behalf of law firm and law-related clients identified by
State Street Bank and ABRA that do not participate in the Program. The amount
of the reimbursement is equal to .02% of the first $50 million of assets in
such plans during the preceding year and .01% of any assets in excess of $50
million. The reimbursement for the year ended December 31, 1999 totaled $71,250
and is allocated to each Fund based on net asset value.
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 all Funds Rate
---------------------------- -----
<S> <C>
First $1.0 billion................................................... .15%
Next $1.8 billion.................................................... .058%
Over $2.8 billion.................................................... .025%
</TABLE>
State Street Bank received trustee, management and administration fees which
aggregated $2,720,359 for the year ended December 31, 1999. These fees are
allocated to each Fund based on net asset value.
The Portfolios are not charged any separate annual fees.
F-114
<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, 1999
-----------------------------
Purchases Sales
-------------- --------------
<S> <C> <C>
Aggressive Equity Fund......................... $ 181,069,244 $ 219,506,570
Growth Equity Fund............................. 666,085,792 679,117,885
Balanced Fund.................................. 1,063,040,339 1,045,162,104
Stable Asset Return Fund....................... 600,760,936 568,822,180
Index Equity Fund.............................. 309,780,668 282,066,929
Value Equity Fund.............................. 68,314,277 44,993,416
International Equity Fund...................... 174,312,920 160,132,649
Intermediate Bond Fund......................... 41,175,664 28,710,702
Conservative Structured Portfolio Service...... 11,872,670 10,995,971
Moderate Structured Portfolio Service.......... 38,056,176 24,040,343
Aggressive Structured Portfolio Service........ 30,217,859 17,421,133
</TABLE>
The aggregate cost of purchases and proceeds from sales of U.S. Government
securities were as follows:
<TABLE>
<CAPTION>
Year ended December 31,
1999
-----------------------
Purchases Sales
----------- -----------
<S> <C> <C>
Growth Equity Fund................................... $ 810,847 $ 830,000
Balanced Fund........................................ 54,280,475 56,542,028
</TABLE>
5. Offering Costs
Registration fees of $556,000 were incurred in December 1998 for the
registration for sale of additional units. These fees have been allocated
between the Funds based on net asset value and are being amortized over the
expected period of sale of the units (two years). There were no registration
fees allocated to the Portfolios.
6. Geographic and Industry Concentration
American Depositary Receipts ("ADR's") represent ownership of foreign
securities on deposit with a domestic custodian bank. Certain Funds maintain
investments in ADRs, which involve special risks. These securities may be
subject to foreign government taxes that reduce their attractiveness. Other
risks of investing in such securities include political or economic
instability in the country involved, the difficulty of predicting
international trade patterns and the possibility of the imposition of exchange
controls. Foreign issuers generally are not subject to uniform accounting,
auditing and financial reporting standards comparable to those applicable to
domestic issuers. There is generally less regulation of stock exchanges,
brokers, banks and companies abroad than in the United States. With respect to
certain foreign countries, there is a possibility of expropriation or
diplomatic developments, which could adversely affect investment in these
countries. ADRs do not lessen the risk of investing in foreign issuers;
however, by investing in ADRs rather than directly in foreign issuers' stock,
the Funds will avoid currency risks during the settlement period for purchases
or sales. In addition, the domestic market for ADRs may be more liquid than
the foreign market for the underlying securities.
F-115
<PAGE>
American Bar Association Members/State Street Collective Trust
Notes to Financial Statements--(Continued)
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
Effective May 16, 2000, assets contributed to the Intermediate Bond Fund
will be allocated entirely to the PIMCO Total Return Fund. Effective May 31,
2000, assets allocated to the Barclays Global Investors Bond Index Fund will
be reallocated to the PIMCO Total Return Fund.
Effective May 31, 2000, a portion of the Value Equity Fund (approximately
25%) will be invested in the State Street Bank Russell 1000 Value Index
Securities Lending Fund, a separate State Street Bank collective investment
fund. The remainder of the Value Equity Fund will remain actively managed.
Effective May 31, 2000 management expects approximately 50% of the assets of
the International Equity Fund will be transferred out of the T. Rowe Price
International Stock Fund to become actively managed with Dresdner RCM Global
Investors LLC as investment advisor.
Certain of the Funds may lend their portfolio securities to brokers, dealers
and other financial institutions (within certain restrictions) for the purpose
of achieving income subsequent to December 31, 1999.
F-116
<PAGE>
EXHIBIT INDEX
<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, Fourth Amended Fund Declaration for the Stable Asset
Return Fund, included as Exhibit 3.3 to Post-Effective
Amendment No. 2 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, Third Amended and Restated Fund Declaration for the
Intermediate Bond Fund, included as Exhibit 3.4 to Post-
Effective Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Balanced Fund, included as Exhibit 3.5 to Post-Effective
Amendment No. 3 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, Third Amended and Restated Fund Declaration for the
Value Equity Fund, included as Exhibit 3.6 to Post-Effective
Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Growth Equity Fund, included as Exhibit 3.7 to Post-
Effective Amendment No. 3 to Registrant's Registration
Statement on Form S-1 No. 333-69427 and incorporated herein
by reference thereto.
3.8 American Bar Association Members/State Street Collective
Trust, Fourth Amended and Restated Fund Declaration for the
Index Equity Fund, included as Exhibit 3.8 to Post-Effective
Amendment No. 3 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, Fourth Amended and Restated Fund Declaration for the
Aggressive Equity Fund, included as Exhibit 3.9 to Post-
Effective Amendment No. 3 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, Third Amended and Restated Fund Declaration for the
International Equity Fund, included as Exhibit 3.10 to Post-
Effective Amendment No. 3 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 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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
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.
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Exhibit No. Description of Document
----------- -----------------------
<C> <S> <C>
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 Growth
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 C.
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.
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
<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 Scannell 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, 1999, 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 23, 2000
- ------------------------------------- Street Bank and
Tenley E. Albright Trust Company
/s/ I. MacAllister Booth Director of State March 23, 2000
- ------------------------------------- Street Bank and
I. MacAllister Booth Trust Company
/s/ Marshall N. Carter Director of State March 23, 2000
- ------------------------------------- Street Bank and
Marshall N. Carter Trust Company
Director of State
- ------------------------------------- Street Bank and
James I. Cash, Jr. Trust Company
/s/ Truman S. Casner Director of State March 23, 2000
- ------------------------------------- Street Bank and
Truman S. Casner Trust Company
<PAGE>
<TABLE>
<S> <C>
Signature Title
Date
/s/ Nader F. Darehshori Director of State March 23, 2000
- ------------------------------------- Street Bank and
Nader F. Darehshori Trust Company
/s/ Arthur L. Goldstein Director of State March 23, 2000
- ------------------------------------- Street Bank and
Arthur L. Goldstein Trust Company
Director of State
Street Bank and
- ------------------------------------- Trust Company
David P. Gruber
/s/ John M. Kucharski Director of State March 23, 2000
- ------------------------------------- Street Bank and
John M. Kucharski Trust Company
/s/ Charles R. LaMantia Director of State March 23, 2000
- ------------------------------------- Street Bank and
Charles R. LaMantia Trust Company
/s/ David B. Perini Director of State March 23, 2000
- ------------------------------------- Street Bank and
David B. Perini Trust Company
Director of State
- ------------------------------------- Street Bank and
Dennis J. Picard Trust Company
/s/ Richard P. Sergel Director of State March 23, 2000
- ------------------------------------- Street Bank and
Richard P. Sergel Trust Company
/s/ David A. Spina Director of State March 23, 2000
- ------------------------------------- Street Bank and
David A. Spina Trust Company
Director of State
/s/ Diana Chapman Walsh Street Bank and March 23, 2000
- ------------------------------------- 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> AGGRESSIVE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-1-1999
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 278,926,889
<INVESTMENTS-AT-VALUE> 432,234,938
<RECEIVABLES> 1,094,616
<ASSETS-OTHER> 68,708
<OTHER-ITEMS-ASSETS> 4,362
<TOTAL-ASSETS> 433,402,624
<PAYABLE-FOR-SECURITIES> 89,324
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,305,431
<TOTAL-LIABILITIES> 1,394,755
<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> 432,007,869
<DIVIDEND-INCOME> 1,399,219
<INTEREST-INCOME> 722,689
<OTHER-INCOME> 0
<EXPENSES-NET> 2,465,282
<NET-INVESTMENT-INCOME> (343,374)
<REALIZED-GAINS-CURRENT> 58,025,184
<APPREC-INCREASE-CURRENT> 105,085,935
<NET-CHANGE-FROM-OPS> 162,767,745
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 554,156
<NUMBER-OF-SHARES-REDEEMED> (1,137,640)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 133,153,006
<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> 307,198,655
<PER-SHARE-NAV-BEGIN> 51.47
<PER-SHARE-NII> (0.07)
<PER-SHARE-GAIN-APPREC> 31.32
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 82.72
<EXPENSE-RATIO> 0.80
</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-31-1999
<PERIOD-START> JAN-1-1999
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 464,759,142
<INVESTMENTS-AT-VALUE> 529,139,902
<RECEIVABLES> 4,370,796
<ASSETS-OTHER> 81,583
<OTHER-ITEMS-ASSETS> 775
<TOTAL-ASSETS> 533,593,056
<PAYABLE-FOR-SECURITIES> 72,523,672
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 741,319
<TOTAL-LIABILITIES> 73,264,990
<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> 460,328,086
<DIVIDEND-INCOME> 3,392,296
<INTEREST-INCOME> 10,774,416
<OTHER-INCOME> 0
<EXPENSES-NET> 2,683,930
<NET-INVESTMENT-INCOME> 11,482,782
<REALIZED-GAINS-CURRENT> 40,791,205
<APPREC-INCREASE-CURRENT> 9,800,273
<NET-CHANGE-FROM-OPS> 50,591,478
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 492,264
<NUMBER-OF-SHARES-REDEEMED> (768,361)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 45,665,774
<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> 447,002,254
<PER-SHARE-NAV-BEGIN> 53.19
<PER-SHARE-NII> 1.48
<PER-SHARE-GAIN-APPREC> 6.54
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 61.21
<EXPENSE-RATIO> 0.60
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE
STATEMENT OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED
IN THE FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS
QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> GROWTH EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-1-1999
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 1,036,024,045
<INVESTMENTS-AT-VALUE> 1,709,141,178
<RECEIVABLES> 2,984,282
<ASSETS-OTHER> 260,921
<OTHER-ITEMS-ASSETS> 496,276
<TOTAL-ASSETS> 1,712,882,657
<PAYABLE-FOR-SECURITIES> 396,624
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,876,689
<TOTAL-LIABILITIES> 2,273,313
<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> 1,710,609,344
<DIVIDEND-INCOME> 10,966,976
<INTEREST-INCOME> 1,387,345
<OTHER-INCOME> 0
<EXPENSES-NET> 8,597,427
<NET-INVESTMENT-INCOME> 3,756,894
<REALIZED-GAINS-CURRENT> 198,757,039
<APPREC-INCREASE-CURRENT> 234,776,483
<NET-CHANGE-FROM-OPS> 437,290,416
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 174,683
<NUMBER-OF-SHARES-REDEEMED> (208,051)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 412,782,673
<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> 1,459,763,855
<PER-SHARE-NAV-BEGIN> 497.40
<PER-SHARE-NII> 1.42
<PER-SHARE-GAIN-APPREC> 165.27
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 664.09
<EXPENSE-RATIO> 0.59
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE
STATEMENT OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED
IN THE FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS
QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INDEX EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-1-1999
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 238,670,678
<INVESTMENTS-AT-VALUE> 293,472,464
<RECEIVABLES> 0
<ASSETS-OTHER> 44,123
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 293,516,587
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 447,358
<TOTAL-LIABILITIES> 447,358
<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> 293,069,229
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 4,389
<OTHER-INCOME> 0
<EXPENSES-NET> 927,952
<NET-INVESTMENT-INCOME> (923,563)
<REALIZED-GAINS-CURRENT> 25,427,923
<APPREC-INCREASE-CURRENT> 28,128,612
<NET-CHANGE-FROM-OPS> 52,632,972
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,648,495
<NUMBER-OF-SHARES-REDEEMED> (565,832)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 82,745,500
<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> 251,566,241
<PER-SHARE-NAV-BEGIN> 27.15
<PER-SHARE-NII> (0.11)
<PER-SHARE-GAIN-APPREC> 6.16
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 33.20
<EXPENSE-RATIO> 0.37
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE
STATEMENT OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED
IN THE FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS
QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INTERMEDIATE BOND FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-1-1999
<PERIOD-END> DEC-31-1999
<INVESTMENTS-AT-COST> 139,230,256
<INVESTMENTS-AT-VALUE> 131,097,663
<RECEIVABLES> 3,232,613
<ASSETS-OTHER> 22,009
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 134,352,285
<PAYABLE-FOR-SECURITIES> 3,232,613
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<NUMBER-OF-SHARES-REDEEMED> (2,126,123)
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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.
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<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> INTERNATIONAL EQUITY FUND
<S> <C>
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WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE STATEMENT
OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED IN THE
FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS QUALIFIED
IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STABLE ASSET RETURN FUND
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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>
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<NAME> VALUE EQUITY FUND
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</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE STATEMENT
OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED IN THE
FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS QUALIFIED
IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE-CONSERVATIVE FUND
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</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE STATEMENT
OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED IN THE
FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS QUALIFIED
IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE-MODERATE FUND
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<TABLE> <S> <C>
<PAGE>
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<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE
STATEMENT OF ASSETS AND LIABILITIES, THE STATEMENT OF OPERATIONS, THE STATEMENT
OF CHANGES IN NET ASSETS AND THE PER UNIT DATA AND RATIOS CONTAINED IN THE
FINANCIAL STATEMENTS OF THE FUND TO WHICH THIS SCHEDULE RELATES AND IS QUALIFIED
IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000878375
<NAME> ABA MEMBERS/STATE STREET COLLECTIVE TRUST
<SERIES>
<NUMBER> 0
<NAME> STRUCTURED PORTFOLIO SERVICE-AGGRESSIVE FUND
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</TABLE>
