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SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
------------------------
FORM 10-Q
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the quarterly period ended March 31, 2003.
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the transition period from __________ to __________
Commission file number 333-104043
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 02110
Boston, Massachusetts (ZIP Code)
(Address of principal executive
offices)
Registrant's telephone number : (617) 786-3000
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 whether the registrant is an accelerated filer
(as defined in Rule 12b-2 of the Exchange Act) Yes X No __
TABLE OF CONTENTS
Page
----
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited)........................1
Balanced Fund
Statement of Assets and Liabilities .....................1
Statement of Operations .................................2
Statement of Changes in Net Assets ......................3
Per-Unit Data and Ratios ................................4
Index Equity Fund
Statement of Assets and Liabilities .....................5
Statement of Operations .................................6
Statement of Changes in Net Assets ......................7
Per-Unit Data and Ratios ................................8
Intermediate Bond Fund
Statement of Assets and Liabilities .....................9
Statement of Operations ................................10
Statement of Changes in Net Assets .....................11
Per-Unit Data and Ratios ...............................12
International 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
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities ....................17
Statement of Operations ................................18
Statement of Changes in Net Assets .....................19
Per-Unit Data and Ratios ...............................20
Large-Cap Value 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
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities ....................25
Statement of Operations ................................26
Statement of Changes in Net Assets .....................27
Per-Unit Data and Ratios ...............................28
Mid-Cap Value Equity Fund
Statement of Assets and Liabilities ....................29
Statement of Operations ................................30
Statement of Changes in Net Assets .....................31
Page
----
Per-Unit Data and Ratios ...............................32
Small-Cap Equity Fund
Statement of Assets and Liabilities ....................33
Statement of Operations ................................34
Statement of Changes in Net Assets .....................35
Per-Unit Data and Ratios ...............................36
Stable Asset Return Fund
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 - Conservative Portfolio
Statement of Assets and Liabilities ....................41
Statement of Operations ................................42
Statement of Changes in Net Assets .....................43
Per-Unit Data and Ratios ...............................44
Structured Portfolio Service - Moderate Portfolio
Statement of Assets and Liabilities ....................45
Statement of Operations ................................46
Statement of Changes in Net Assets .....................47
Per-Unit Data and Ratios ...............................48
Structured Portfolio Service - Aggressive Portfolio
Statement of Assets and Liabilities ....................49
Statement of Operations ................................50
Statement of Changes in Net Assets .....................51
Per-Unit Data and Ratios ...............................52
Notes to Unaudited Financial Statements .......................53
Item 2. Management's Discussion and Analysis of
Financial Conditions and Results of Operations ........66
Item 4. Procedures and Controls ...............................69
PART II. OTHER INFORMATION
Item 2. Changes in Securities and Use of Proceeds .............70
Item 5. Other Information .....................................70
Item 6. Exhibits and Reports on Form 8-K ......................71
SIGNATURES ............................................................72
CERTIFICATIONS ........................................................73
PART I. FINANCIAL INFORMATION.
Item 1. FINANCIAL STATEMENTS (UNAUDITED)
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $443,746,662) $415,888,722
Cash 648,204
Receivable for investments sold 17,911,125
Receivable for fund units sold 0
Dividends and interest receivable 1,155,085
Other assets 5,599
------------------------
Total assets 435,608,735
------------------------
Liabilities
Payable for investments purchased 72,791,190
Payable for fund units purchased 2,625,984
Accrued expenses 289,219
Other liabilities 9,643
------------------------
Total liabilities 75,716,036
------------------------
Net Assets $359,892,699
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($359,892,699/ 6,240,226 units outstanding) $57.67
========================
The accompanying notes are an integral part of these financial statements.
1
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $723,278
Interest income 1,723,402
------------------------
Total investment income 2,446,680
Expenses:
Investment advisory fee 209,438
State Street Bank and Trust Company - program fee 320,020
American Bar Retirement Association - program fee 44,276
Trustee, management and administration fees 77,481
Other expenses 50,392
------------------------
Total expenses 701,607
------------------------
Net investment income 1,745,073
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (3,020,376)
Unrealized depreciation of investments during the period 1,510,209
------------------------
Net loss on investments (1,510,167)
------------------------
Net increase in net assets resulting from operations $234,906
========================
The accompanying notes are an integral part of these financial statements.
2
American Bar Association Members/State Street Collective Trust
Balanced Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,745,073
Net realized gain (loss) on investments (3,020,376)
Unrealized depreciation of investments during the period 1,510,209
------------------------
Net increase in net assets resulting from operations 234,906
------------------------
Participant transactions:
Proceeds from sales of units 4,358,970
Cost of units redeemed (14,035,359)
Net decrease in net assets resulting from participant transactions (9,676,389)
------------------------
Total decrease in net assets (9,441,483)
Net Assets:
Beginning of period 369,334,182
------------------------
End of period $359,892,699
========================
Number of units:
Outstanding-beginning of period 6,408,195
Sold 75,610
Redeemed (243,579)
Outstanding-end of period 6,240,226
========================
The accompanying notes are an integral part of these financial statements.
3
American Bar Association Members/State Street Collective Trust
Balanced Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.39
Expenses (0.11)
------------------------
Net investment income 0.28
Net realized and unrealized loss on investments (0.24)
------------------------
Net increase in unit value 0.04
Net asset value at beginning of period 57.63
------------------------
Net asset value at end of period $57.67
========================
Ratio of expenses to average net assets* 0.78%
Ratio of net investment income to average net assets* 1.94%
Portfolio turnover** 43%
Total return 0.08%
Number of units outstanding at end of period (in thousands) 6,240
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
4
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $326,089,092) $219,215,505
Cash 75,975
Receivable for investments sold 0
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 1,319
------------------------
Total assets 219,292,799
------------------------
Liabilities
Payable for investments purchased 75,975
Payable for fund units purchased 2,007,952
Accrued expenses 103,313
Other liabilities 24
------------------------
Total liabilities 2,187,264
------------------------
Net Assets $217,105,535
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($217,105,535/10,775,845 units outstanding) $20.15
========================
The accompanying notes are an integral part of these financial statements.
5
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 0
Securities Lending income 12,778
------------------------
Total investment income 12,778
Expenses:
Investment advisory fee 0
State Street Bank and Trust Company - program fee 191,420
American Bar Retirement Association - program fee 26,494
Trustee, management and administration fees 46,356
Other expenses 30,146
------------------------
Total expenses 294,416
------------------------
Net investment loss (281,638)
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (1,875,179)
Unrealized depreciation of investments during the period (5,142,910)
------------------------
Net loss on investments (7,018,089)
------------------------
Net decrease in net assets resulting from operations $(7,299,727)
========================
The accompanying notes are an integral part of these financial statements.
6
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($281,638)
Net realized loss on investments (1,875,179)
Unrealized depreciation of investments during the period (5,142,910)
------------------------
Net decrease in net assets resulting from operations (7,299,727)
------------------------
Participant transactions:
Proceeds from sales of units 9,159,226
Cost of units redeemed (4,376,013)
Net increase in net assets resulting from participant transactions 4,783,213
------------------------
Total decrease in net assets (2,516,514)
Net Assets:
Beginning of period 219,622,049
------------------------
End of period $217,105,535
========================
Number of units:
Outstanding-beginning of period 10,551,355
Sold 444,967
Redeemed (220,477)
Outstanding-end of period 10,775,845
========================
The accompanying notes are an integral part of these financial statements.
7
American Bar Association Members/State Street Collective Trust
Index Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.00
Expenses (0.03)
------------------------
Net investment income (loss) (0.03)
Net realized and unrealized gain (loss) on investments (0.63)
------------------------
Net increase (decrease) in unit value (0.66)
Net asset value at beginning of period 20.81
------------------------
Net asset value at end of period $20.15
========================
Ratio of expenses to average net assets* 0.55%
Ratio of net investment income to average net assets* (0.52%)
Portfolio turnover** 1%
Total return (3.21%)
Number of units outstanding at end of period (in thousands) 10,776
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. Reflects purchases and sales of units of the collective investment
fund in which the fund invests, rather than turnover of the underlying
portfolio of such collective investment fund.
The accompanying notes are an integral part of these financial statements.
8
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $279,360,827) $284,487,051
Cash 23,833,472
Receivable for investments sold 14,731,789
Receivable for foreign currency sold 16,867,715
Receivable for fund units sold 193,023
Dividends and interest receivable 1,278,141
Other assets 1,350
------------------------
Total assets 341,392,541
------------------------
Liabilities
Payable for investments purchased 87,440,664
Payable for foreign currency purchased 16,721,644
Payable for fund units purchased 1,453,083
Accrued expenses 176,112
Written options value (premium 213,541) 225,236
Other liabilities 0
------------------------
Total liabilities 106,016,739
------------------------
Net Assets $235,375,802
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($235,375,802/13,383,427 units outstanding) $17.59
========================
The accompanying notes are an integral part of these financial statements.
9
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $0
Interest income 2,129,343
------------------------
Total investment income 2,129,343
Expenses:
Investment advisory fee 162,893
State Street Bank and Trust Company - program fee 199,425
American Bar Retirement Association - program fee 27,550
Trustee, management and administration fees 48,209
Other expenses 31,359
------------------------
Total expenses 469,436
------------------------
Net investment income 1,659,907
------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 378,778
Unrealized appreciation of investments during the period 1,517,225
------------------------
Net gain on investments 1,896,003
------------------------
Net increase in net assets resulting from operations $3,555,910
========================
The accompanying notes are an integral part of these financial statements.
10
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,659,907
Net realized gain on investments 378,778
Unrealized appreciation of investments during the period 1,517,225
------------------------
Net increase in net assets resulting from operations 3,555,910
------------------------
Participant transactions:
Proceeds from sales of units 20,498,390
Cost of units redeemed (4,606,681)
Net increase in net assets resulting from participant transactions 15,891,709
------------------------
Total increase in net assets 19,447,619
Net Assets:
Beginning of period 215,928,183
------------------------
End of period $235,375,802
========================
Number of units:
Outstanding-beginning of period 12,473,074
Sold 1,174,052
Redeemed (263,699)
Outstanding-end of period 13,383,427
========================
The accompanying notes are an integral part of these financial statements.
11
American Bar Association Members/State Street Collective Trust
Intermediate Bond Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.17
Expenses (0.04)
------------------------
Net investment income 0.13
Net realized and unrealized gain on investments 0.15
------------------------
Net increase in unit value 0.28
Net asset value at beginning of period 17.31
------------------------
Net asset value at end of period $17.59
========================
Ratio of expenses to average net assets* 0.84%
Ratio of net investment income to average net assets* 2.97%
Portfolio turnover** 134%
Total return 1.59%
Number of units outstanding at end of period (in thousands) 13,383
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
12
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $38,764,977) $34,787,054
Cash 1,227,736
Receivable for investments sold 38,734,379
Receivable for fund units sold 735,981
Dividends and interest receivable 186,957
Other assets 38,136
------------------------
Total assets 75,710,243
------------------------
Liabilities
Payable for investments purchased
Payable for fund units purchased 877,331
Accrued expenses 75,910
Other liabilities 23,796
------------------------
Total liabilities 977,037
------------------------
Net Assets $74,733,206
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($74,733,206/6,017,637 units outstanding) $12.42
========================
The accompanying notes are an integral part of these financial statements.
13
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income (net of taxes withheld $29,415) $214,485
Interest income 905
------------------------
Total investment income 215,390
Expenses:
Investment advisory fee 35,950
State Street Bank and Trust Company - program fee 67,007
American Bar Retirement Association - program fee 9,269
Trustee, management and administration fees 6,386
Other expenses 10,549
------------------------
Total expenses 129,161
------------------------
Net investment income 86,229
------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (12,955,772)
Unrealized depreciation of investments during the period 5,378,907
------------------------
Net loss on investments (7,576,865)
------------------------
Net decrease in net assets resulting from operations $(7,490,636)
========================
The accompanying notes are an integral part of these financial statements.
14
American Bar Association Members/State Street Collective Trust
International Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $86,229
Net realized loss on investments (12,955,772)
Unrealized depreciation of investments during the period 5,378,907
------------------------
Net decrease in net assets resulting from operations (7,490,636)
------------------------
Participant transactions:
Proceeds from sales of units 20,096,575
Cost of units redeemed (16,112,469)
Net increase in net assets resulting from participant transactions 3,984,106
------------------------
Total decrease in net assets (3,506,530)
Net Assets:
Beginning of period 78,239,736
------------------------
End of period $74,733,206
========================
Number of units:
Outstanding-beginning of period 5,710,177
Sold 1,600,962
Redeemed (1,293,502)
Outstanding-end of period 6,017,637
========================
The accompanying notes are an integral part of these financial statements.
15
American Bar Association Members/State Street Collective Trust
International Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.04
Expenses (0.02)
------------------------
Net investment income 0.02
Net realized and unrealized loss on investments (1.30)
------------------------
Net increase (decrease) in unit value (1.28)
Net asset value at beginning of period 13.70
------------------------
Net asset value at end of period $12.42
========================
Ratio of expenses to average net assets* 0.69%
Ratio of net investment income to average net assets* 0.46%
Portfolio turnover** 27%
Total return (9.36%)
Number of units outstanding at end of period (in thousands) 6,018
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. With respect to the portion of the fund's assets invested in a registered
investment company, reflects purchases and sales of the registered investment company
in which the fund invests, rather than turnover of the underlying portfolio of such
registered investment company.
The accompanying notes are an integral part of these financial statements.
16
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $730,647,523) $653,725,400
Cash 139,174
Receivable for investments sold 581,658
Receivable for fund units sold 0
Dividends and interest receivable 453,013
Other assets 4,044
------------------------
Total assets 654,903,289
------------------------
Liabilities
Payable for investments purchased 510,389
Payable for fund units purchased 5,208,399
Accrued expenses 597,098
Other liabilities 12,653
------------------------
Total liabilities 6,328,539
------------------------
Net Assets $648,574,750
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($648,574,750/19,666,120 units outstanding) $32.98
========================
The accompanying notes are an integral part of these financial statements.
17
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $1,468,253
Interest income 13,877
Securities Lending income 1,785
Other income 29,068
------------------------
Total investment income 1,512,983
Expenses:
Investment advisory fee 303,243
State Street Bank and Trust Company - program fee 575,540
American Bar Retirement Association - program fee 79,665
Trustee, management and administration fees 139,399
Other expenses 90,652
------------------------
Total expenses 1,188,499
Net investment income 324,484
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (11,999,460)
Unrealized appreciation of investments during the period 5,806,221
------------------------
Net loss on investments (6,193,239)
------------------------
Net decrease in net assets resulting from operations ($5,868,755)
========================
The accompanying notes are an integral part of these financial statements.
18
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $324,484
Net realized loss on investments (11,999,460)
Unrealized appreciation of investments during the period 5,806,221
-----------------------
Net decrease in net assets resulting from operations (5,868,755)
-----------------------
Participant transactions:
Proceeds from sales of units 5,657,388
Cost of units redeemed (24,293,017)
Net decrease in net assets resulting from participant transactions (18,635,629)
-----------------------
Total decrease in net assets (24,504,384)
Net Assets:
Beginning of period 673,079,134
-----------------------
End of period $648,574,750
=======================
Number of units:
Outstanding-beginning of period 20,241,073
Sold 170,257
Redeemed (745,210)
Outstanding-end of period 19,666,120
=======================
The accompanying notes are an integral part of these financial statements.
19
American Bar Association Members/State Street Collective Trust
Large-Cap Growth Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income $0.08
Expenses (0.06)
-----------------------
Net investment income 0.02
Net realized and unrealized loss on investments (0.29)
-----------------------
Net decrease in unit value (0.27)
Net asset value at beginning of period 33.25
-----------------------
Net asset value at end of period $32.98
=======================
Ratio of expenses to average net assets* 0.73%
Ratio of net investment income to average net assets* 0.20%
Portfolio turnover** 4%
Total return (0.78%)
Number of units outstanding at end of period (in thousands) 19,666
- --------------------------------------------------------------------------------
*Annualized
**Not annualized
The accompanying notes are an integral part of these financial statements.
20
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $231,965,366) $198,098,680
Cash 552,311
Receivable for investments sold 2,436
Receivable for fund units sold 0
Dividends and interest receivable 332,706
Other assets 1,318
------------------------
Total assets 198,987,451
------------------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 1,971,268
Accrued expenses 139,349
Other liabilities 0
------------------------
Total liabilities 2,110,617
------------------------
Net Assets $196,876,834
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($196,876,834/9,005,489 units outstanding) $21.86
========================
The accompanying notes are an integral part of these financial statements.
21
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $1,105,099
Interest income 12,621
Securities Lending income 2,610
------------------------
Total investment income 1,120,330
Expenses:
Investment advisory fee 118,548
State Street Bank and Trust Company - program fee 176,526
American Bar Retirement Association - program fee 24,433
Trustee, management and administration fees 42,752
Other expenses 27,802
------------------------
Total expenses 390,061
------------------------
Net investment income 730,269
------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (3,824,191)
Unrealized appreciation (depreciation) of investments during the period (6,405,851)
------------------------
Net gain (loss) on investments (10,230,042)
------------------------
Net increase (decrease) in net assets resulting from operations $(9,499,773)
========================
The accompanying notes are an integral part of these financial statements.
22
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $730,269
Net realized gain (loss) on investments (3,824,191)
Unrealized appreciation (depreciation) of investments during the period (6,405,851)
------------------------
Net increase (decrease) in net assets resulting from operations (9,499,773)
------------------------
Participant transactions:
Proceeds from sales of units 10,278,159
Cost of units redeemed (8,358,452)
Net increase in net assets resulting from participant transactions 1,919,707
------------------------
Total increase (decrease) in net assets (7,580,066)
Net Assets:
Beginning of period 204,456,900
------------------------
End of period $196,876,834
========================
Number of units:
Outstanding-beginning of period 8,936,013
Sold 449,151
Redeemed (379,675)
Outstanding-end of period 9,005,489
========================
The accompanying notes are an integral part of these financial statements.
23
American Bar Association Members/State Street Collective Trust
Large-Cap Value Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period:
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.12
Expenses (0.04)
------------------------
Net investment income 0.08
Net realized and unrealized gain (loss) on investments (1.10)
------------------------
Net increase (decrease) in unit value (1.02)
Net asset value at beginning of period 22.88
------------------------
Net asset value at end of period $21.86
========================
Ratio of expenses to average net assets* 0.79%
Ratio of net investment income to average net assets* 1.47%
Portfolio turnover** 4%
Total return (4.45%)
Number of units outstanding at end of period (in thousands) 9,005
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized. With respect to the portion of the fund's assets invested in a registered
investment company, reflects purchases and sales of the registered investment company
in which the fund invests, rather than turnover of the underlying portfolio of such
registered investment company.
The accompanying notes are an integral part of these financial statements.
24
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
-----------------------
Assets
Investments, at value (cost $10,410,460) $10,921,836
Cash 1,362
Receivable for investments sold 216,586
Receivable for fund units sold 0
Dividends and interest receivable 989
Other assets 74
-----------------------
Total assets 11,140,847
-----------------------
Liabilities
Payable for investments purchased 181,945
Payable for fund units purchased 95,098
Accrued expenses 20,973
Other liabilities 0
-----------------------
Total liabilities 298,016
-----------------------
Net Assets $10,842,831
=======================
Net asset value, redemption price and offering price per unit of beneficial interest
($10,842,831/944,784 units outstanding) $11.48
=======================
The accompanying notes are an integral part of these financial statements.
25
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income:
Dividend income $3,866
Interest income 2,276
-----------------------
Total investment income 6,142
Expenses:
Investment advisory fee 15,801
State Street Bank and Trust Company - program fee 8,658
American Bar Retirement Association - program fee 1,197
Trustee, management and administration fees 2,095
Other expenses 1,362
-----------------------
Total expenses 29,113
-----------------------
Net investment loss (22,971)
-----------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (218,507)
Unrealized appreciation of investments during the period 294,559
-----------------------
Net gain on investments 76,052
-----------------------
Net increase in net assets resulting from operations $53,081
=======================
The accompanying notes are an integral part of these financial statements.
26
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
-----------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss $(22,971)
Net realized loss on investments (218,507)
Unrealized appreciation of investments during the period 294,559
-----------------------
Net increase in net assets resulting from operations 53,081
-----------------------
Participant transactions:
Proceeds from sales of units 3,236,584
Cost of units redeemed (1,013,428)
Net increase in net assets resulting from participant transactions 2,223,156
-----------------------
Total increase in net assets 2,276,237
Net Assets:
Beginning of period 8,566,594
-----------------------
End of period $10,842,831
=======================
Number of units:
Outstanding-beginning of period 753,447
Sold 280,847
Redeemed (89,510)
Outstanding-end of period 944,784
=======================
The accompanying notes are an integral part of these financial statements.
27
American Bar Association Members/State Street Collective Trust
Mid-Cap Growth Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
-----------------------
Investment income $0.01
Expenses (0.03)
-----------------------
Net investment income (loss) (0.02)
Net realized and unrealized gain on investments 0.13
-----------------------
Net increase in unit value 0.11
Net asset value at beginning of period 11.37
-----------------------
Net asset value at end of period $11.48
=======================
Ratio of expenses to average net assets* 1.20%
Ratio of net investment income (loss) to average net assets* (0.95)
Portfolio turnover** 37%
Total return 0.95%
Number of units outstanding at end of period (in thousands) 945
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized.
The accompanying notes are an integral part of these financial statements.
28
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $12,823,671) $12,138,600
Cash 2,226
Receivable for investments sold 176,716
Receivable for fund units sold 18,687
Dividends and interest receivable 9,803
Other assets 55
------------------------
Total assets 12,346,087
------------------------
Liabilities
Payable for investments purchased 960,806
Payable for fund units purchased 85,157
Accrued expenses 11,797
Other liabilities 0
------------------------
Total liabilities 1,057,760
------------------------
Net Assets $11,288,327
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($11,288,327/1,232,326 units outstanding) $9.16
========================
The accompanying notes are an integral part of these financial statements.
29
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $26,997
Interest income 3,809
------------------------
Total investment income 30,806
Expenses:
Investment advisory fee 17,768
State Street Bank and Trust Company - program fee 8,434
American Bar Retirement Association - program fee 1,167
Trustee, management and administration fees 2,041
Other expenses 1,328
------------------------
Total expenses 30,738
------------------------
Net investment income 68
------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (80,163)
Unrealized depreciation of investments during the period (525,899)
------------------------
Net loss on investments (606,062)
------------------------
Net decrease in net assets resulting from operations ($605,994)
========================
The accompanying notes are an integral part of these financial statements.
30
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $68
Net realized loss on investments (80,163)
Unrealized depreciation of investments during the period (525,899)
------------------------
Net decrease in net assets resulting from operations (605,994)
------------------------
Participant transactions:
Proceeds from sales of units 3,418,224
Cost of units redeemed (450,248)
Net increase in net assets resulting from participant transactions 2,967,976
------------------------
Total increase in net assets 2,361,982
Net Assets:
Beginning of period 8,926,345
------------------------
End of period $11,288,327
========================
Number of units:
Outstanding-beginning of period 912,372
Sold 367,641
Redeemed (47,687)
Outstanding-end of period 1,232,326
========================
The accompanying notes are an integral part of these financial statements.
31
American Bar Association Members/State Street Collective Trust
Mid-Cap Value Equity Fund
Per-Unit Data and Ratios
Unaudited
Selected data for a unit outstanding throughout the
period: For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income $0.03
Expenses (0.03)
------------------------
Net investment income 0.00
Net realized and unrealized gain (loss) on investments (0.62)
------------------------
Net increase (decrease) in unit value (0.62)
Net asset value at beginning of period 9.78
------------------------
Net asset value at end of period $9.16
========================
Ratio of expenses to average net assets* 1.30%
Ratio of net investment income to average net assets* 0.00%
Portfolio turnover** 8%
Total return (6.34%)
Number of units outstanding at end of period (in thousands) 1,232
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized.
The accompanying notes are an integral part of these financial statements.
32
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Statement of Assets and Liabilities
Unaudited
March 31, 2003
------------------------
Assets
Investments, at value (cost $260,676,593) $210,909,408
Cash 515,571
Receivable for investments sold 956,867
Receivable for fund units sold 0
Dividends and interest receivable 197,912
Other assets 1,311
------------------------
Total assets 212,581,069
------------------------
Liabilities
Payable for investments purchased 423,673
Payable for fund units purchased 1,753,463
Accrued expenses 313,642
Other liabilities 0
------------------------
Total liabilities 2,490,778
------------------------
Net Assets $210,090,291
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($210,090,291/5,132,600 units outstanding) $40.93
========================
The accompanying notes are an integral part of these financial statements.
33
American Bar Association Members/State Street Collective Trust
Small-Cap Equity Fund
Statement of Operations
Unaudited
For the period
January 1, 2003
to March 31, 2003
------------------------
Investment income:
Dividend income $454,064
Interest income 42,645
Other income 38,742
------------------------
Total investment income 535,451
Expenses:
Investment advisory fee 232,286
State Street Bank and Trust Company - program fee 188,190
American Bar Retirement Association - program fee 26,051
Trustee, management and administration fees 45,594
Other expenses 29,650
------------------------
Total expenses 521,771
--------------------