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Previous: GEM CAPITAL MANAGEMENT INC, 13F-HR, 2000-08-14 |
Next: AMERICAN BAR ASSOCIATION MEMBERS STATE STREET COLLECTIVE TR, 10-Q, EX-27, 2000-08-14 |
FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2000
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
Commission file Nos. 333-69427
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET
COLLECTIVE TRUST (Exact name of registrant as
specified in its charter)
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)
(617) 985-3000
(Registrant's telephone number, including area code)
NOT APPLICABLE
(Former name, former address and former fiscal year, if changed since last
report)
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
----- -----
<PAGE>
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
FORM 10-Q
INDEX
Page No.
--------
PART I. FINANCIAL INFORMATION
Item 1.Financial Statements (Unaudited)
Aggressive Equity Fund
Statement of Assets and Liabilities................. 1
Statement of Operations............................. 2
Statement of Changes in Net Assets...................3
Per-Unit Data and Ratios.............................4
Balanced Fund
Statement of Assets and Liabilities................. 5
Statement of Operations............................. 6
Statement of Changes in Net Assets...................7
Per-Unit Data and Ratios.............................8
Growth Equity Fund
Statement of Assets and Liabilities................. 9
Statement of Operations............................ 10
Statement of Changes in Net Assets..................11
Per-Unit Data and Ratios............................12
Index Equity Fund
Statement of Assets and Liabilities................ 13
Statement of Operations............................ 14
Statement of Changes in Net Assets..................15
Per-Unit Data and Ratios............................16
Intermediate Bond Fund
Statement of Assets and Liabilities................ 17
Statement of Operations............................ 18
Statement of Changes in Net Assets..................19
Per-Unit Data and Ratios............................20
i
<PAGE>
International Equity Fund
Statement of Assets and Liabilities................ 21
Statement of Operations............................ 22
Statement of Changes in Net Assets..................23
Per-Unit Data and Ratios............................24
Stable Asset Return Fund
Statement of Assets and Liabilities................ 25
Statement of Operations............................ 26
Statement of Changes in Net Assets..................27
Per-Unit Data and Ratios............................28
Value Equity Fund
Statement of Assets and Liabilities................ 29
Statement of Operations............................ 30
Statement of Changes in Net Assets..................31
Per-Unit Data and Ratios............................32
Structured Portfolio Service - Conservative Portfolio
Statement of Assets and Liabilities................ 33
Statement of Operations............................ 34
Statement of Changes in Net Assets..................35
Per-Unit Data and Ratios............................36
Structured Portfolio Service - Moderate Portfolio
Statement of Assets and Liabilities................ 37
Statement of Operations............................ 38
Statement of Changes in Net Assets..................39
Per-Unit Data and Ratios............................40
Structured Portfolio Service - Aggressive Portfolio
Statement of Assets and Liabilities................ 41
Statement of Operations............................ 42
Statement of Changes in Net Assets..................43
Per-Unit Data and Ratios............................44
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations...............45
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K..................50
SIGNATURES.....................................................51
ii
<PAGE>
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $360,512,723) $517,641,587
Cash 828
Receivable for investments sold 7,730,990
Receivable for fund units sold 135,667
Dividends and interest receivable 322,306
Other assets 18,342
------------------------
Total assets 525,849,720
------------------------
Liabilities
Payable for investments purchased 2,562,905
Payable for fund units purchased 6,620,832
Accrued expenses 700,299
Other liabilities 0
------------------------
Total liabilities 9,884,036
------------------------
Net Assets $515,965,684
========================
Net asset value, redemption price and offering price per unit of beneficial interest
( $515,965,684/5,562,478 units outstanding) $92.76
========================
</TABLE>
1
<PAGE>
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $460,198 $796,366
Interest income 441,664 965,477
------------------------------------------------
Total investment income 901,862 1,761,843
Expenses:
Investment advisory fee 518,714 1,078,756
State Street Bank & Trust Company - program fee 259,565 536,170
American Bar Retirement Association - program fee 49,504 102,937
Trustee, management and administration fees 82,400 172,251
Other expenses and taxes 30,503 62,872
Registration fees 7,119 14,558
------------------------------------------------
Total expenses 947,805 1,967,544
Program fee reimbursement from State Street Bank and Trust Company (2,193) (4,588)
------------------------------------------------
Net expenses 945,612 1,962,956
------------------------------------------------
Net investment loss (43,750) (201,113)
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 9,886,510 48,447,092
Unrealized appreciation (depreciation) of investments during the period (38,611,002) 3,820,815
------------------------------------------------
Net gain (loss) on investments (28,724,492) 52,267,907
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(28,768,242) $52,066,794
================================================
</TABLE>
2
<PAGE>
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets from:
Operations:
Net investment loss $ (43,750) $ (201,113)
Net realized gain on investments 9,886,510 48,447,092
Unrealized appreciation (depreciation) of
investments during the period (38,611,002) 3,820,815
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (28,768,242) 52,066,794
------------------------------------------------
Participant transactions:
Proceeds from sales of units 17,877,147 61,540,538
Cost of units redeemed (20,287,149) (29,649,517)
Net increase (decrease) in net assets resulting
from participant transactions (2,410,002) 31,891,021
------------------------------------------------
Total increase (decrease) in net assets (31,178,244) 83,957,815
Net Assets:
Beginning of period 547,143,928 432,007,869
------------------------------------------------
End of period $515,965,684 $515,965,684
================================================
Number of units:
Outstanding-beginning of period 5,589,882 5,222,531
Sold 203,737 671,537
Redeemed (231,141) (331,590)
Outstanding-end of period 5,562,478 5,562,478
================================================
</TABLE>
3
<PAGE>
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.12 $0.24
Expenses (0.13) (0.27)
------------------------------------------------
Net investment loss (0.01) (0.03)
Net realized and unrealized gain (loss) on investments (5.11) 10.07
------------------------------------------------
Net increase (decrease) in unit value (5.12) 10.04
Net asset value at beginning of period 97.88 82.72
------------------------------------------------
Net asset value at end of period $92.76 $92.76
================================================
Ratio of expenses to average net assets* 0.80% 0.80%
Ratio of net investment income to average net assets* (0.04)% (0.08)%
Portfolio turnover** 13.03% 27.45%
Number of units outstanding at end of period (in thousands) 5,562 5,562
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
4
<PAGE>
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $454,534,233) $509,684,872
Cash 1,239
Receivable for investments sold 14,578,054
Receivable for fund units sold 98,406
Dividends and interest receivable 2,190,823
Other assets 19,238
------------------------
Total assets 526,572,632
------------------------
Liabilities
Payable for investments purchased 65,369,679
Payable for fund units purchased 3,014,130
Accrued expenses 380,923
Other liabilities
------------------------
Total liabilities 68,764,732
------------------------
Net Assets $457,807,900
========================
Net asset value, redemption price and offering price per unit of beneficial
interest ($457,807,900/ 7,239,409 units outstanding) $63.24
========================
</TABLE>
5
<PAGE>
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $811,635 $1,733,386
Interest income 3,131,982 6,158,793
------------------------------------------------
Total investment income 3,943,617 7,892,179
Expenses:
Investment advisory fee 251,955 512,476
State Street Bank & Trust Company - program fee 247,649 497,344
American Bar Retirement Association - program fee 47,255 95,568
Trustee, management and administration fees 78,611 159,796
Other expenses and taxes 29,114 58,230
Registration Fees 7,751 15,850
------------------------------------------------
Total expenses 662,335 1,339,264
Program fee reimbursement from State Street Bank and Trust Company (2,093) (4,258)
------------------------------------------------
Net expenses 660,242 1,335,006
------------------------------------------------
Net investment income 3,283,375 6,557,173
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 4,941,831 17,420,353
Unrealized depreciation of investments during the period (13,512,985) (9,230,121)
------------------------------------------------
Net gain (loss) on investments (8,571,154) 8,190,232
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(5,287,779) $14,747,405
================================================
</TABLE>
6
<PAGE>
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Decrease in net assets from:
Operations:
Net investment income $3,283,375 $6,557,173
Net realized gain on investments 4,941,831 17,420,353
Unrealized depreciation of investments during the period (13,512,985) (9,230,121)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (5,287,779) 14,747,405
------------------------------------------------
Participant transactions:
Proceeds from sales of units 8,288,039 12,206,239
Cost of units redeemed (10,766,860) (29,473,810)
Net decrease in net assets resulting from participant transactions (2,478,821) (17,267,571)
------------------------------------------------
Total decrease in net assets (7,766,600) (2,520,166)
Net Assets:
Beginning of period 465,574,500 460,328,066
------------------------------------------------
End of period $457,807,900 $457,807,900
================================================
Number of units:
Outstanding-beginning of period 7,277,786 7,520,223
Sold 131,681 195,711
Redeemed (170,058) (476,525)
Outstanding-end of period 7,239,409 7,239,409
================================================
</TABLE>
7
<PAGE>
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.54 $1.08
Expenses (0.09) (0.18)
------------------------------------------------
Net investment income 0.45 0.90
Net realized and unrealized gain (loss) on investments (1.18) 1.13
------------------------------------------------
Net increase (decrease) in unit value (0.73) 2.03
Net asset value at beginning of period 63.97 61.21
------------------------------------------------
Net asset value at end of period $63.24 $63.24
================================================
Ratio of expenses to average net assets* 0.59% 0.59%
Ratio of net investment income to average net assets* 2.93% 2.88%
Portfolio turnover** 50.04% 99.36%
Number of units outstanding at end of period (in thousands) 7,239 7,239
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
8
<PAGE>
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $1,122,947,899) $1,737,223,867
Cash 6,933
Receivable for investments sold 90,109,078
Receivable for fund units sold 437,673
Dividends and interest receivable 811,190
Other assets 117,208
------------------------
Total assets 1,828,705,949
------------------------
Liabilities
Payable for investments purchased 74,998,636
Payable for fund units purchased 16,357,988
Accrued expenses 2,121,644
Other liabilities 2,887
------------------------
Total liabilities 93,481,155
Net Assets $1,735,224,794
========================
Net asset value, redemption price and offering price per unit of beneficial interest
( $1,735,224,794/2,508,160 units outstanding) $691.83
========================
</TABLE>
9
<PAGE>
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $2,334,041 $5,203,990
Interest income 435,315 903,786
------------------------------------------------
Total investment income 2,769,356 6,107,776
Expenses:
Investment advisory fee 884,197 1,804,710
State Street Bank & Trust Company - program fee 916,117 1,853,853
American Bar Retirement Association - program fee 174,771 356,195
Trustee, management and administration fees 290,780 595,683
Other expenses and taxes 107,669 220,132
Registration fees 28,997 59,297
------------------------------------------------
Total expenses 2,402,531 4,889,870
Program fee reimbursement from State Street Bank and Trust Company (7,742) (15,871)
------------------------------------------------
Net expenses 2,394,789 4,873,999
------------------------------------------------
Net investment income 374,567 1,233,777
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 49,574,289 127,042,361
Unrealized depreciation of investments during the period (90,551,724) (58,853,863)
------------------------------------------------
Net gain (loss) on investments (40,977,435) 68,188,498
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(40,602,868) $69,422,275
================================================
</TABLE>
10
<PAGE>
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets from:
Operations:
Net investment income $374,567 $1,233,777
Net realized gain on investments 49,574,289 127,042,361
Unrealized depreciation of investments during the period (90,551,724) (58,853,863)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (40,602,868) 69,422,275
------------------------------------------------
Participant transactions:
Proceeds from sales of units 23,517,285 45,610,207
Cost of units redeemed (43,257,292) (90,417,032)
Net decrease in net assets resulting from participant transactions (19,740,007) (44,806,825)
------------------------------------------------
Total increase (decrease) in net assets (60,342,875) 24,615,450
Net Assets:
Beginning of period 1,795,567,669 1,710,609,344
------------------------------------------------
End of period $1,735,224,794 $1,735,224,794
================================================
Number of units:
Outstanding-beginning of period 2,537,316 2,575,875
Sold 34,917 68,108
Redeemed (64,073) (135,823)
Outstanding-end of period 2,508,160 2,508,160
================================================
</TABLE>
11
<PAGE>
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $1.09 $2.40
Expenses (0.95) (1.92)
------------------------------------------------
Net investment income 0.14 0.48
Net realized and unrealized gain (loss) on investments (15.97) 27.26
------------------------------------------------
Net increase (decrease) in unit value (15.83) 27.74
Net asset value at beginning of period 707.66 664.09
------------------------------------------------
Net asset value at end of period $691.83 $691.83
================================================
Ratio of expenses to average net assets* 0.58% 0.58%
Ratio of net investment income to average net assets* 0.09% 0.14%
Portfolio turnover** 15.75% 26.97%
Number of units outstanding at end of period (in thousands) 2,508 2,508
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
12
<PAGE>
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $304,888,823) $308,293,031
Cash 252,228
Receivable for investments sold 0
Receivable for fund units sold 99,740
Dividends and interest receivable 0
Other assets 12,255
------------------------
Total assets 308,657,254
------------------------
Liabilities
Payable for investments purchased 252,228
Payable for fund units purchased 1,888,728
Accrued expenses 108,126
Other liabilities 0
------------------------
Total liabilities 2,249,082
------------------------
Net Assets $306,408,172
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($306,408,172/9,191,034 units outstanding) $33.34
========================
</TABLE>
13
<PAGE>
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $0 $0
Interest income 0 0
------------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 164,422 324,533
American Bar Retirement Association - program fee 31,343 62,328
Trustee, management and administration fees 52,173 104,244
Other expenses and taxes 19,317 38,491
Registration Fees 5,074 10,260
------------------------------------------------
Total expenses 272,329 539,856
Program fee reimbursement from State Street Bank and Trust Company (1,389) (2,777)
------------------------------------------------
Net expenses 270,940 537,079
------------------------------------------------
Net investment loss (270,940) (537,079)
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 51,882,106 53,438,456
Unrealized depreciation of investments during the period (62,138,738) (51,397,578)
------------------------------------------------
Net gain (loss) on investments (10,256,632) 2,040,878
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(10,527,572) $1,503,799
================================================
</TABLE>
14
<PAGE>
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets from:
Operations:
Net investment loss $(270,940) ($537,079)
Net realized gain on investments 51,882,106 53,438,456
Unrealized depreciation of investments during the period (62,138,738) (51,397,578)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (10,527,572) 1,503,799
------------------------------------------------
Participant transactions:
Proceeds from sales of units 17,988,641 29,032,962
Cost of units redeemed (7,869,230) (17,197,818)
Net increase in net assets resulting from participant transactions 10,119,411 11,835,144
------------------------------------------------
Total increase (decrease) in net assets (408,161) 13,338,943
Net Assets:
Beginning of period 306,816,333 293,069,229
------------------------------------------------
End of period $306,408,172 $306,408,172
================================================
Number of units:
Outstanding-beginning of period 8,876,981 8,828,173
Sold 551,757 887,360
Redeemed (237,704) (524,499)
Outstanding-end of period 9,191,034 9,191,034
================================================
</TABLE>
15
<PAGE>
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.00 $0.00
Expenses (0.03) (0.06)
------------------------------------------------
Net investment loss (0.03) (0.06)
Net realized and unrealized gain (loss) on investments (1.19) 0.20
------------------------------------------------
Net increase (decrease) in unit value (1.22) 0.14
Net asset value at beginning of period 34.56 33.20
------------------------------------------------
Net asset value at end of period $33.34 $33.34
================================================
Ratio of expenses to average net assets* 0.37% 0.37%
Ratio of net investment income to average net assets* (0.37)% (0.37)%
Portfolio turnover** 103.06% 107.58%
Number of units outstanding at end of period (in thousands) 9,191 9,191
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of units of the collective
investment funds in which the fund invests, rather than the turnover of the
underlying portfolios of such collective investment funds.
16
<PAGE>
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $137,862,416) $134,368,122
Cash
Receivable for investments sold 204,444
Receivable for fund units sold 201,525
Dividends and interest receivable 730,612
Other assets 5,422
------------------------
Total assets 135,510,125
------------------------
Liabilities
Payable for investments purchased 773,878
Payable for fund units purchased 376,250
Accrued expenses 46,962
Other liabilities 0
------------------------
Total liabilities 1,197,090
------------------------
Net Assets $134,313,035
========================
Net asset value, redemption price and offering price per unit of beneficial interest
( $134,313,035/10,103,559 units outstanding) $13.29
========================
</TABLE>
17
<PAGE>
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $1,989,510 $4,027,547
Interest income 0 4
------------------------------------------------
Total investment income 1,989,510 4,027,551
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 71,826 142,141
American Bar Retirement Association - program fee 13,698 27,305
Trustee, management and administration fees 22,794 45,656
Other expenses and taxes 8,441 16,646
Registration Fees 2,252 4,554
------------------------------------------------
Total expenses 119,011 236,302
Program fee reimbursement from State Street Bank and Trust Company (608) (1,217)
------------------------------------------------
Net expenses 118,403 235,085
------------------------------------------------
Net investment income 1,871,107 3,792,466
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (3,063,723) (3,574,848)
Unrealized appreciation of investments during the period 3,233,599 4,638,299
------------------------------------------------
Net gain on investments 169,876 1,063,451
------------------------------------------------
Net increase in net assets resulting from operations $2,040,983 $4,855,917
================================================
</TABLE>
18
<PAGE>
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase in net assets from:
Operations:
Net investment income $1,871,107 $3,792,466
Net realized loss on investments (3,063,723) (3,574,848)
Unrealized appreciation of investments during the period 3,233,599 4,638,299
------------------------------------------------
Net increase in net assets resulting from operations 2,040,983 4,855,917
------------------------------------------------
Participant transactions:
Proceeds from sales of units 5,197,608 11,561,307
Cost of units redeemed (3,655,117) (13,186,989)
Net increase (decrease) in net assets resulting
from participant transactions 1,542,491 (1,625,682)
------------------------------------------------
Total increase in net assets 3,583,474 3,230,235
Net Assets:
Beginning of period 130,729,561 131,082,801
------------------------------------------------
End of period $134,313,035 $134,313,036
================================================
Number of units:
Outstanding-beginning of period 9,986,132 10,239,307
Sold 396,100 886,907
Redeemed (278,673) (1,022,655)
Outstanding-end of period 10,103,559 10,103,559
================================================
</TABLE>
19
<PAGE>
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.20 $0.40
Expenses (0.01) (0.02)
------------------------------------------------
Net investment income 0.19 0.38
Net realized and unrealized gain on investments 0.01 0.11
------------------------------------------------
Net increase in unit value 0.20 0.49
Net asset value at beginning of period 13.09 12.80
------------------------------------------------
Net asset value at end of period $13.29 $13.29
================================================
Ratio of expenses to average net assets* 0.37% 0.37%
Ratio of net investment income to average net assets* 5.90% 5.90%
Portfolio turnover** 36.34% 45.48%
Number of units outstanding at end of period (in thousands) 10,104 10,104
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of shares of the registered
investment companies in which the fund invests, rather than turnover of the
underlying portfolio of such registered investment companies.
20
<PAGE>
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $116,623,362) $122,874,834
Cash 666
Receivable for investments sold 50,490
Receivable for fund units sold 2,945,303
Dividends and interest receivable 121,070
Other assets 27,062
------------------------
Total assets 126,019,425
------------------------
Liabilities
Payable for investments purchased 2,262,043
Payable for fund units purchased 787,447
Accrued expenses 67,089
Other liabilities 0
------------------------
Total liabilities 3,116,579
------------------------
Net Assets $122,902,846
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($122,902,846/4,560,902 units outstanding) $26.95
========================
</TABLE>
21
<PAGE>
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $69,943 $69,943
Interest income 117,943 117,943
------------------------------------------------
Total investment income 187,886 187,886
Expenses:
Investment advisory fee 25,565 25,565
State Street Bank & Trust Company - program fee 64,795 124,779
American Bar Retirement Association - program fee 12,375 23,955
Trustee, management and administration fees 20,605 40,068
Other expenses and taxes 7,621 14,768
Registration Fees 1,870 3,739
------------------------------------------------
Total expenses 132,831 232,874
Program fee reimbursement from State Street Bank and Trust Company (23,470) (51,577)
------------------------------------------------
Net expenses 109,361 181,297
------------------------------------------------
Net investment income 78,525 6,589
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (10,368,672) 2,443,346
Unrealized appreciation (depreciation) of investments during the period 4,907,230 (6,655,874)
------------------------------------------------
Net loss on investments (5,461,442) (4,212,528)
------------------------------------------------
Net decrease in net assets resulting from operations $(5,382,917) $(4,205,939)
================================================
</TABLE>
22
<PAGE>
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase in net assets from:
Operations:
Net investment income $78,525 $6,589
Net realized gain (loss) on investments (10,368,672) 2,443,346
Unrealized appreciation (depreciation) of investments during the period 4,907,230 (6,655,874)
------------------------------------------------
Net decrease in net assets resulting from operations (5,382,917) (4,205,939)
------------------------------------------------
Participant transactions:
Proceeds from sales of units 81,098,666 149,382,514
Cost of units redeemed (74,809,401) (128,466,755)
Net increase in net assets resulting from participant transactions 6,289,265 20,915,759
------------------------------------------------
Total increase in net assets 906,348 16,709,820
Net Assets:
Beginning of period 121,996,498 106,193,026
------------------------------------------------
End of period $122,902,846 $122,902,846
================================================
Number of units:
Outstanding-beginning of period 4,297,539 3,756,167
Sold 3,063,594 5,515,670
Redeemed (2,800,231) (4,710,935)
Outstanding-end of period 4,560,902 4,560,902
================================================
</TABLE>
23
<PAGE>
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.04 $0.04
Expenses (0.02) (0.04)
------------------------------------------------
Net investment income 0.02 0.00
Net realized and unrealized loss on investments (1.46) (1.33)
------------------------------------------------
Net decrease in unit value (1.44) (1.32)
Net asset value at beginning of period 28.39 28.27
------------------------------------------------
Net asset value at end of period $26.95 $26.95
================================================
Ratio of expenses to average net assets* 0.39% 0.32%
Ratio of net investment income to average net assets* 0.28% 0.01%
Portfolio turnover** 120.97% 163.14%
Number of units outstanding at end of period (in thousands) 4,561 4,561
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of shares of the registered
investment company in which the fund invests, rather than turnover of the
underlying portfolio of such registered investment company.
24
<PAGE>
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $707,551,221.) $707,551,221
Cash 0
Interest Receivable 4,036,814
Receivable for fund units sold 471,817
Other assets 29,576
------------------------
Total assets 712,089,428
------------------------
Liabilities
Payable for fund units redeemed 11,002,069
Accrued expenses 239,956
------------------------
Total liabilities 11,242,025
------------------------
Net Assets $700,847,403
========================
Net asset value, redemption price and offering price per
unit of beneficial interest
($700,847,403/700,847,403 units outstanding) $1.00
========================
</TABLE>
25
<PAGE>
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
Interest income $11,228,757 $22,189,757
------------------------------------------------
<S> <C> <C>
Expenses:
State Street Bank & Trust Company - program fee 387,857 766,187
American Bar Retirement Association - program fee 74,055 147,230
Trustee, management and administration fees 123,216 246,152
Other expenses and taxes 45,629 89,712
Registration Fees 12,178 24,354
------------------------------------------------
Total expenses 642,935 1,273,635
Program fee reimbursement from State Street Bank and Trust Company (3,281) (6,560)
------------------------------------------------
Net expenses 639,654 1,267,075
------------------------------------------------
Net investment income $10,589,103 $20,922,682
================================================
</TABLE>
26
<PAGE>
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets from:
Operations:
Net investment income and net increase in net
assets resulting from operations 10,589,103 20,922,682
------------------------------------------------
Distributions from investment income (10,589,103) (20,922,682)
------------------------------------------------
Participant transactions:
Proceeds from sales of units 115,585,648 194,870,828
Units issued in connection with reinvestment
of net investment income 10,589,103 20,922,682
Cost of units redeemed (119,258,347) (224,461,891)
Net increase (decrease) in net assets resulting from
participant transactions 6,916,404 (8,668,381)
------------------------------------------------
Total increase (decrease) in net assets 6,916,404 (8,668,381)
------------------------------------------------
Net Assets:
Beginning of period 693,930,999 709,515,784
------------------------------------------------
End of period $700,847,403 $700,847,403
================================================
</TABLE>
27
<PAGE>
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Per-Unit Data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.016 $0.032
Expenses (0.001) (0.001)
------------------------------------------------
Net investment income 0.015 0.031
Reinvestment of net investment income (0.015) (0.031)
------------------------------------------------
Net increase in unit value 0.00 0.00
Net asset value at beginning of period 1.00 1.00
------------------------------------------------
Net asset value at end of period $1.00 $1.00
================================================
Ratio of expenses to average net assets* .37% .36%
Ratio of net investment income to average net assets* 6.17% 5.99%
Number of units outstanding at end of period (in thousands) 700,847 700,847
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
28
<PAGE>
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $171,890,945) $172,771,475
Cash 8,977
Receivable for investments sold 72,459
Receivable for fund units sold 2,267,567
Dividends and interest receivable 7,445
Other assets 0
------------------------
Total assets 175,127,923
------------------------
Liabilities
Payable for investments purchased 7,798
Payable for fund units purchased 538,806
Accrued expenses 96,293
Other liabilities 0
------------------------
Total liabilities 642,897
------------------------
Net Assets $174,485,026
========================
Net asset value, redemption price and offering price per unit of beneficial interest
( $174.485,026 / 7,233,536 units outstanding) $24.12
========================
</TABLE>
29
<PAGE>
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income (net of foreign tax expense of $1,805) $986,195 $1,879,655
Interest income 62,981 95,017
------------------------------------------------
Total investment income 1,049,176 1,974,672
Expenses:
Investment advisory fee 121,241 250,189
State Street Bank & Trust Company - program fee 96,616 188,450
American Bar Retirement Association - program fee 18,430 36,221
Trustee, management and administration fees 30,659 60,547
Other expenses and taxes 11,355 22,363
Registration Fees 3,018 6,172
------------------------------------------------
Total expenses 281,319 563,942
Program fee reimbursement from State Street Bank and Trust Company (816) (1,613)
------------------------------------------------
Net expenses 280,503 562,329
------------------------------------------------
Net investment income 768,673 1,412,343
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 13,876,630 16,859,955
Unrealized depreciation of investments during the period (21,188,427) (27,901,760)
------------------------------------------------
Net loss on investments (7,311,797) (11,041,805)
------------------------------------------------
Net decrease in net assets resulting from operations $(6,543,124) $(9,629,462)
================================================
</TABLE>
30
<PAGE>
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Decrease in net assets from:
Operations:
Net investment income $768,673 $1,412,343
Net realized gain on investments 13,876,630 16,859,955
Unrealized depreciation of investments during the period (21,188,427) (27,901,760)
------------------------------------------------
Net decrease in net assets resulting from operations (6,543,124) (9,629,462)
------------------------------------------------
Participant transactions:
Proceeds from sales of units 11,709,449 19,726,040
Cost of units redeemed (6,718,453) (14,491,108)
Net increase in net assets resulting from participant transactions 4,990,996 5,234,932
------------------------------------------------
Total decrease in net assets (1,552,128) (4,394,530)
Net Assets:
Beginning of period 176,037,154 178,879,556
------------------------------------------------
End of period $174,485,026 $174,485,026
================================================
Number of units:
Outstanding-beginning of period 7,031,018 7,011,036
Sold 474,868 820,717
Redeemed (272,350) (598,217)
Outstanding-end of period 7,233,536 7,233,536
================================================
</TABLE>
31
<PAGE>
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.06 $0.12
Expenses (0.02) (0.03)
------------------------------------------------
Net investment income 0.04 0.09
Net realized and unrealized loss on investments (0.96) (1.48)
------------------------------------------------
Net decrease in unit value (0.92) (1.39)
Net asset value at beginning of period 25.04 25.51
------------------------------------------------
Net asset value at end of period $24.12 $24.12
================================================
Ratio of expenses to average net assets* 0.65% 0.66%
Ratio of net investment income to average net assets* 1.77% 1.65%
Portfolio turnover** 28.62% 35.20%
Number of units outstanding at end of period (in thousands) 7,234 7,234
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
32
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $26,619,522) $28,913,540
Cash 0
Receivable for investments sold 271,240
Receivable for fund units sold 7,166
Dividends and interest receivable 0
Other assets 0
------------------------
Total assets 29,191,946
------------------------
Liabilities
Payable for investments purchased 221,396
Payable for fund units purchased 49,844
Accrued expenses 0
Other liabilities 0
------------------------
Total liabilities 271,240
------------------------
Net Assets $28,920,706
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($28,920,706/1,764,889 units outstanding) $16.39
========================
</TABLE>
33
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $0 $0
Interest income 0 0
------------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 0 0
American Bar Retirement Association - program fee 0 0
Trustee, management and administration fees 0 0
Other expenses and taxes 0 0
Registration Fees 0 0
------------------------------------------------
Total expenses 0 0
Program fee reimbursement from State Street Bank and Trust Company 0 0
------------------------------------------------
Net expenses 0 0
------------------------------------------------
Net investment income 0 0
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 382,575 735,518
Unrealized depreciation of investments during the period (419,360) (172,343)
------------------------------------------------
Net gain (loss) on investments (36,785) 563,175
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(36,785) $563,175
================================================
</TABLE>
34
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase in net assets from:
Operations:
Net investment income $0 $0
Net realized gain on investments 382,575 735,518
Unrealized depreciation of investments during the period (419,360) (172,343)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (36,785) 563,175
------------------------------------------------
Participant transactions:
Proceeds from sales of units 2,542,478 5,606,740
Cost of units redeemed (1,619,777) (3,068,867)
Net increase in net assets resulting from participant transactions 922,701 2,537,873
------------------------------------------------
Total increase in net assets 885,916 3,101,048
Net Assets:
Beginning of period 28,034,790 25,819,658
------------------------------------------------
End of period $28,920,706 $28,920,706
================================================
Number of units:
Outstanding-beginning of period 1,706,730 1,608,068
Sold 157,220 346,950
Redeemed (99,061) (190,129)
Outstanding-end of period 1,764,889 1,764,889
================================================
</TABLE>
35
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.00 $0.00
Expenses 0.00 0.00
------------------------------------------------
Net investment income 0.00 0.00
Net realized and unrealized gain (loss) on investments (0.04) 0.33
------------------------------------------------
Net increase (decrease) in unit value (0.04) 0.33
Net asset value at beginning of period 16.43 16.06
------------------------------------------------
Net asset value at end of period $16.39 $16.39
================================================
Ratio of expenses to average net assets* 0.00 0.00
Ratio of net investment income to average net assets* 0.00% 0.00%
Portfolio turnover** 8.24% 17.25%
Number of units outstanding at end of period (in thousands) 1,765 1,765
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which
the portfolio invests rather than the turnover of such underlying funds.
36
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $107,491,544) $124,354,730
Cash 0
Receivable for investments sold 1,346,092
Receivable for fund units sold 29,832
Dividends and interest receivable 0
Other assets 0
------------------------
Total assets 125,730,654
------------------------
Liabilities
Payable for investments purchased 1,153,004
Payable for fund units purchased 193,088
Accrued expenses 0
Other liabilities 0
------------------------
Total liabilities 1,346,092
------------------------
Net Assets $124,384,562
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($124,384,562/6,583,376 units outstanding) $18.89
========================
</TABLE>
37
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $0 $0
Interest income 0 0
------------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 0 0
American Bar Retirement Association - program fee 0 0
Trustee, management and administration fees 0 0
Other expenses and taxes 0 0
Registration Fees 0 0
------------------------------------------------
Total expenses 0 0
Program fee reimbursement from State Street Bank and Trust Company 0 0
------------------------------------------------
Net expenses 0 0
------------------------------------------------
Net investment income 0 0
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 2,097,397 4,759,721
Unrealized depreciation of investments during the period (3,930,698) (3,745,794)
------------------------------------------------
Net gain (loss) on investments (1,833,301) 1,013,927
------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(1,833,301) $1,013,927
================================================
</TABLE>
38
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase in net assets from:
Operations:
Net investment income $0 $0
Net realized gain on investments 2,097,397 4,759,721
Unrealized depreciation of investments during the period (3,930,698) (3,745,794)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (1,833,301) 1,013,927
------------------------------------------------
Participant transactions:
Proceeds from sales of units 10,774,375 18,995,706
Cost of units redeemed (3,808,167) (7,968,364)
Net increase in net assets resulting from participant transactions 6,966,208 11,027,342
------------------------------------------------
Total increase in net assets 5,132,907 12,041,269
Net Assets:
Beginning of period 119,251,655 112,343,293
------------------------------------------------
End of period $124,384,562 $124,384,562
================================================
Number of units:
Outstanding-beginning of period 6,212,998 5,999,864
Sold 573,861 1,011,410
Redeemed (203,483) (427,898)
Outstanding-end of period 6,583,376 6,583,376
================================================
</TABLE>
39
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.00 $0.00
Expenses 0.00 0.00
------------------------------------------------
Net investment income 0.00 0.00
Net realized and unrealized gain (loss) on investments (0.30) 0.17
------------------------------------------------
Net increase (decrease) in unit value (0.30) 0.17
Net asset value at beginning of period 19.19 18.72
------------------------------------------------
Net asset value at end of period $18.89 $18.89
================================================
Ratio of expenses to average net assets* 0.00 0.00
Ratio of net investment income to average net assets* 0.00% 0.00%
Portfolio turnover** 6.08% 13.79%
Number of units outstanding at end of period (in thousands) 6,583 6,583
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of units of the funds in
which the portfolio invests rather than the turnover of such underlying
funds.
40
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Aggressive Fund
Statement of Assets and Liabilities
Unaudited
<TABLE>
<CAPTION>
June 30, 2000
------------------------
<S> <C>
Assets
Investments, at value (cost $84,965,013) $104,226,796
Cash 0
Receivable for investments sold 1,612,569
Receivable for fund units sold 41,254
Dividends and interest receivable 0
Other assets 0
------------------------
Total assets 105,880,619
------------------------
Liabilities
Payable for investments purchased 1,278,232
Payable for fund units purchased 334,337
Accrued expenses 0
Other liabilities 0
------------------------
Total liabilities 1,612,569
------------------------
Net Assets $104,268,050
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($104,268,050/4,740,782 units outstanding) $21.99
========================
</TABLE>
41
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Aggressive Fund
Statement of Operations
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income:
Dividend income $0 $0
Interest income 0 0
------------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 0 0
American Bar Retirement Association - program fee 0 0
Trustee, management and administration fees 0 0
Other expenses and taxes 0 0
Registration Fees 0 0
------------------------------------------------
Total expenses 0 0
Program fee reimbursement from State Street Bank and Trust Company 0 0
------------------------------------------------
Net expenses 0 0
------------------------------------------------
Net investment income 0 0
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 2,868,325 5,764,337
Unrealized depreciation of investments during the period (5,805,259) (5,258,211)
------------------------------------------------
Net gain (loss) on investments (2,936,934) 506,126
------------------------------------------------
Net increase (decrease) in net assets resulting from operations ($2,936,934) $506,126
================================================
</TABLE>
42
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Aggressive Fund
Statement of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Increase in net assets from:
Operations:
Net investment income $0 $0
Net realized gain on investments 2,868,325 5,764,337
Unrealized depreciation of investments during the period (5,805,259) (5,258,211)
------------------------------------------------
Net increase (decrease) in net assets resulting from operations (2,936,934) 506,126
------------------------------------------------
Participant transactions:
Proceeds from sales of units 8,080,985 15,020,788
Cost of units redeemed (4,984,024) (7,802,330)
Net increase in net assets resulting from participant transactions 3,096,961 7,218,458
------------------------------------------------
Total increase in net assets 160,027 7,724,584
Net Assets:
Beginning of period 104,108,023 96,543,466
------------------------------------------------
End of period $104,268,050 $104,268,050
================================================
Number of units:
Outstanding-beginning of period 4,597,051 4,412,326
Sold 370,876 685,807
Redeemed (227,145) (357,351)
Outstanding-end of period 4,740,782 4,740,782
================================================
</TABLE>
43
<PAGE>
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Aggressive Fund
Per-Unit data and Ratios
Unaudited
<TABLE>
<CAPTION>
Selected data for a unit outstanding throughout the
period: For the period For the period
April 1, 2000 January 1, 2000
to June 30, 2000 to June 30, 2000
------------------------------------------------
<S> <C> <C>
Investment income $0.00 $0.00
Expenses 0.00 0.00
------------------------------------------------
Net investment income 0.00 0.00
Net realized and unrealized gain (loss) on investments (0.66) 0.11
------------------------------------------------
Net increase (decrease) in unit value (0.66) 0.11
Net asset value at beginning of period 22.65 21.88
------------------------------------------------
Net asset value at end of period $21.99 $21.99
================================================
Ratio of expenses to average net assets* 0.00 0.00
Ratio of net investment income to average net assets* 0.00% 0.00%
Portfolio turnover** 8.02% 15.59%
Number of units outstanding at end of period (in thousands) 4,741 4,741
-----------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which
the portfolio invests rather than the turnover of such underlying funds.
44
<PAGE>
ITEM 2 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
OVERVIEW
Domestic equity markets were volatile during the second quarter of 2000
and generally finished the quarter with losses for the period. Large
capitalization stocks lost slightly less than small capitalization stocks while
growth investing fared better than value investing. The health care and consumer
staples sectors had strong positive returns. Consumer discretionary and
services, materials and processing, and utilities all posted double-digit
negative returns. In the domestic bond market, the Federal Reserve increased the
short term lending rate to slow the growth in the economy. Nevertheless, bond
yields remained steady during the period. The international markets finished
with both the established and emerging markets having negative returns, with
emerging markets under performing the more established markets.
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 quarter ended June 30, 2000, the Aggressive Equity Fund
experienced a total return, net of expenses (including a trust management fee, a
program expense fee, investment advisory fees, organizational fees and
maintenance fees, collectively "Expenses"), of (5.23)%. By comparison, the
Russell 2000 Index produced a total return of (3.78)% 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, health care and consumer discretionary and services. Securities
representing the largest holdings based on market value in the Aggressive Equity
Fund at June 30, 2000 included JDS Uniphase Corp., Xilinx Inc., Applied Micro
Circuits Corp., Check Point Software Technologies, Ltd. and ADC
Telecommunications 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 quarter ended June 30, 2000, the Balanced Fund experienced a
total return, net of Expenses, of (1.14)%. For the same period, a combination of
the Russell 1000 Index and the Lehman Brothers Aggregate Bond Index
45
<PAGE>
weighted 60/40%, respectively, produced a total return of (1.36)%. 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 discretionary and services and financial
services. Securities representing the largest holdings based on market value in
the Balanced Fund at June 30, 2000 included Pfizer Inc., Astrazeneca PLC , AT&T
Corp., Applied Materials Inc. and Exxon Mobil Corp. The fixed income portion was
heavily invested in government agency and mortgage related issues.
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 quarter ended June 30, 2000, the Growth Equity Fund experienced
a total return, net of Expenses, of (2.23)%. By comparison, the Russell 1000
Growth Index produced a return of (2.70)% 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, health care and consumer discretionary and services. Securities
representing the largest holdings based on market value in the Growth Equity
Fund at June 30, 2000 included Cisco Systems Inc., Pfizer Inc., General Electric
Company, Intel Corp. and Microsoft 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 Small Cap Completeness Index (formerly known as 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
46
<PAGE>
Small Cap Completeness Index, with the possible exception of the smallest
companies in the Russell Small Cap Completeness Index.
The Fund produced a total return, net of Expenses, of (3.55)% for the
quarter ended June 30, 2000. By comparison, the Russell 3000 Index produced a
return of (3.46)% 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. At the beginning of the
quarter ended June 30, 2000, 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. To accomplish this, 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.
State Street has determined that, effective May 31, 2000, the entire
Intermediate Bond Fund will be invested utilizing an actively managed fixed
income strategy rather than utilizing a partly indexed strategy. To accomplish
this, during May 2000, assets formerly allocated to the indexed portion of the
Intermediate Bond Fund were withdrawn from the Barclays Global Investors Bond
Index Fund and transferred to the PIMCO Total Return Fund.
For the quarter ended June 30, 2000, the Intermediate Bond Fund
experienced a total return, net of Expenses, of 1.55%. As a comparison, the
Lehman Brothers Aggregate Bond Index produced a return of 1.74% 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.
In May 2000, State Street transferred approximately half of the assets
of the International Equity Fund to a separate collective trust portfolio
managed by State Street. State Street has retained Dresdner RCM Global
47
<PAGE>
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. The
remainder of the International Equity Fund will remain invested in the T. Rowe
Price International Stock Fund.
For the quarter ended June 30, 2000, the International Equity Fund
experienced a total return, net of Expenses, of (5.07)%. 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 (4.14)%. 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 June 30, 2000, 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 Vodafone, Nokia Corp., Glaxo Wellcome PLC, Telefonicia SA and
TotalFinaElf SA.
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 quarter ended June 30, 2000, the Stable Asset Return Fund
produced an annualized return, net of Expenses, of 6.06%. By comparison, the
Donoghue Money Market Fund "Tier One" Average (the "Donoghue Average") for the
quarter was 5.76%. 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.
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. As a result, State Street has transferred
approximately 25% of the assets in the Value Equity Fund to the State Street
Bank and Trust Company Russell 1000 Value Index Securities Lending Fund. For the
quarter ended June 30, 2000, the Value Equity Fund experienced a total return,
net of Expenses, of (3.66)%. By comparison, the Russell 1000 Value Index
produced a return of (4.69)% 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.
48
<PAGE>
The most heavily weighted sectors in the actively managed portion of
the Value Equity Fund were technology, financial services and industrials.
Securities representing the largest holdings based on market value in the
Value Equity Fund at June 30, 2000 included Intel Corp., General Electric
Company, Cisco Systems Inc., Microsoft Corp., and Exxon Mobil Corp.
STRUCTURED PORTFOLIO SERVICE
The portfolios of the Structured Portfolio Service invest in the funds
described above according to conservative, moderate and aggressive portfolio
allocations. Assets 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%. Assets 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%. Assets 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 quarter ended June 30, 2000, the Structured Portfolio Service
experienced a total return, net of Expenses, of (0.24)% for the Conservative
Portfolio, (1.56)% for the Moderate Portfolio, and (2.88)% for the Aggressive
Portfolio.
49
<PAGE>
PART II. OTHER INFORMATION
Item 6. Exhibits and Reports on Form 8-K
a. Exhibit No. Description
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
b. Reports on Form 8-K
None.
50
<PAGE>
SIGNATURES
Pursuant to the requirements 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 as of August 11, 2000.
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
By: /s/ Beth M. Halberstadt
------------------------------
Beth M. Halberstadt
Vice President and Chief Financial Officer
By: /s/ Susan C. Daniels
-----------------------------
Susan C. Daniels
Treasurer and Chief Accounting Officer
51
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