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 June 30, 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 Act) Yes X No
--- ---
TABLE OF CONTENTS
PART I. FINANCIAL INFORMATION...............................................1
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
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...............................64
Item 4. Procedures and Controls....................................70
PART II. OTHER INFORMATION.................................................71
Item 2. Changes in Securities and Use of Proceeds..................71
Item 6. Exhibits and Reports on Form 8-K...........................71
SIGNATURES.................................................................72
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
June 30, 2003
------------------------------
Assets
Investments, at value (cost $423,895,307) $439,466,007
Cash 1,444,086
Receivable for investments sold 389,644
Receivable for fund units sold 318,844
Dividends and interest receivable 1,065,477
Other assets 7,648
------------------------------
Total assets 442,691,706
------------------------------
Liabilities
Payable for investments purchased 36,494,909
Payable for fund units purchased 0
Accrued expenses 250,740
Other liabilities 0
------------------------------
Total liabilities 36,745,649
------------------------------
Net Assets $405,946,057
==============================
Net asset value, redemption price and offering price per unit of beneficial interest
($405,946,057/ 6,275,527 units outstanding) $64.69
================================
1
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2003
to June 30, 2003 to June 30, 2003
---------------------------------------------------
Investment income:
Dividend income $750,231 $1,473,509
Interest income 1,747,044 3,470,446
---------------------------------------------------
Total investment income 2,497,275 4,943,955
Expenses:
Investment advisory fee 226,034 435,472
State Street Bank & Trust Company - program fee 312,841 632,861
American Bar Retirement Association - program fee 45,811 90,087
Trustee, management and administration fees 81,623 159,104
Other expenses 50,527 100,919
---------------------------------------------------
Total expenses 716,836 1,418,443
---------------------------------------------------
Net investment income 1,780,439 3,525,512
---------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (1,423,483) (4,443,859)
Unrealized appreciation of investments during the period 43,428,639 44,938,848
---------------------------------------------------
Net gain on investments 42,005,156 40,494,989
---------------------------------------------------
Net increase in net assets resulting from operations $43,785,595 $44,020,501
===================================================
2
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2003
to June 30, 2003 to June 30, 2003
-------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $1,780,439 $3,525,512
Net realized loss on investments (1,423,483) (4,443,859)
Unrealized appreciation of investments during the period 43,428,639 44,938,848
-------------------------------------------------
Net increase in net assets resulting from operations 43,785,595 44,020,501
-------------------------------------------------
Participant transactions:
Proceeds from sales of units 6,631,823 10,990,793
Cost of units redeemed (4,364,060) (18,399,419)
Net increase (decrease) in net assets resulting from participant transactions 2,267,763 (7,408,626)
-------------------------------------------------
Total increase in net assets 46,053,358 36,611,875
Net Assets:
Beginning of period 359,892,699 369,334,182
-------------------------------------------------
End of period $405,946,057 $405,946,057
=================================================
Number of units:
Outstanding-beginning of period 6,240,226 6,408,195
Sold 105,065 180,675
Redeemed (69,764) (313,343)
Outstanding-end of period 6,275,527 6,275,527
=================================================
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 For the period
April 1, 2002 January 1, 2003
to June 30, 2003 to June 30, 2003
----------------------------------------------------
Investment income $0.40 $0.79
Expenses (0.12) (0.23)
----------------------------------------------------
Net investment income 0.28 0.56
Net realized and unrealized gain on investments 6.74 6.50
----------------------------------------------------
Net increase in unit value 7.02 7.06
Net asset value at beginning of period 57.67 57.63
----------------------------------------------------
Net asset value at end of period $64.69 $64.69
====================================================
Ratio of expenses to average net assets* 0.74% 0.72%
Ratio of net investment income to average net assets* 1.83% 1.88%
Portfolio turnover** 32% 75%
Total return 12.15% 12.24%
Number of units outstanding at end of period (in thousands) 6,276 6,276
- -----------------------------------------------------------------------------
*Annualized
**Not annualized
4
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $331,918,416) $263,602,465
Cash 26,026
Receivable for investments sold 0
Receivable for fund units sold 75,112
Dividends and interest receivable 0
Other assets 2,617
------------------------
Total assets 263,706,220
------------------------
Liabilities
Payable for investments purchased 26,026
Payable for fund units purchased 152,378
Accrued expenses 76,847
Other liabilities 31
------------------------
Total liabilities 255,282
------------------------
Net Assets $263,450,938
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($263,450,938/11,271,939 units outstanding) $23.37
========================
5
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income $0 $0
Interest income 0 0
Securities Lending income 4,889 17,667
------------------------------------------------
Total investment income 4,889 17,667
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 198,172 389,592
American Bar Retirement Association - program fee 29,049 55,543
Trustee, management and administration fees 51,746 98,102
Other expenses 32,026 62,172
------------------------------------------------
Total expenses 310,993 605,409
------------------------------------------------
Net investment loss (306,104) (587,742)
------------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (2,743,159) (4,618,338)
Unrealized appreciation of investments during the period 38,557,636 33,414,726
------------------------------------------------
Net gain on investments 35,814,477 28,796,388
------------------------------------------------
Net increase in net assets resulting from operations $35,508,373 $28,208,646
================================================
6
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase in net assets from:
Operations:
Net investment loss $(306,104) ($587,742)
Net realized loss on investments (2,743,159) (4,618,338)
Unrealized appreciation of investments during the period 38,557,636 33,414,726
------------------------------------------------
Net increase in net assets resulting from operations 35,508,373 28,208,646
------------------------------------------------
Participant transactions:
Proceeds from sales of units 12,832,869 21,992,095
Cost of units redeemed (1,995,839) (6,371,852)
Net increase in net assets resulting from participant transactions 10,837,030 15,620,243
------------------------------------------------
Total increase in net assets 46,345,403 43,828,889
Net Assets:
Beginning of period 217,105,535 219,622,049
------------------------------------------------
End of period $263,450,938 $263,450,938
================================================
Number of units:
Outstanding-beginning of period 10,775,845 10,551,355
Sold 584,550 1,029,517
Redeemed (88,456) (308,933)
Outstanding-end of period 11,271,939 11,271,939
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------
Investment income $0.00 $0.00
Expenses (0.03) (0.06)
------------------------------------------
Net investment income (0.03) (0.06)
Net realized and unrealized gain on investments 3.25 2.62
------------------------------------------
Net increase in unit value 3.22 2.56
Net asset value at beginning of period 20.15 20.81
------------------------------------------
Net asset value at end of period $23.37 $23.37
==========================================
Ratio of expenses to average net assets* 0.50% 0.52%
Ratio of net investment income to average net assets* (0.50%) (0.51%)
Portfolio turnover** 2% 4%
Total return 16.01% 12.29%
Number of units outstanding at end of period (in thousands) 11,272 11,272
- ---------------------------------------------------------------------------------------
*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.
8
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $354,897,082) $360,772,576
Cash 79,532
Receivable for investments sold 55,903,642
Receivable for foreign currency sold 24,108,873
Receivable for fund units sold 684,225
Receivable for futures variation margin 44,625
Dividends and interest receivable 2,057,678
Other assets 2,654
------------------------
Total assets 443,653,805
------------------------
Liabilities
Payable for investments purchased 162,632,324
Payable for foreign currency purchased 24,004,507
Payable for fund units purchased 412,518
Accrued expenses 139,166
Written options value (Premium $213,541) 310,155
Other liabilities 0
------------------------
Total liabilities 187,498,670
------------------------
Net Assets $256,155,135
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($256,155,135/14,200,425 units outstanding) $18.04
========================
9
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income $0 $0
Interest income 2,352,411 4,481,754
------------------------------------------------
Total investment income 2,352,411 4,481,754
Expenses:
Investment advisory fee 177,953 340,846
State Street Bank & Trust Company - program fee 199,265 398,690
American Bar Retirement Association - program fee 29,164 56,714
Trustee, management and administration fees 51,972 100,181
Other expenses and taxes 32,179 63,538
------------------------------------------------
Total expenses 490,533 959,969
------------------------------------------------
Net investment income 1,861,878 3,521,785
------------------------------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 4,105,544 4,484,322
Unrealized appreciation of investments during the period 298,961 1,816,186
------------------------------------------------
Net gain on investments 4,404,505 6,300,508
------------------------------------------------
Net increase in net assets resulting from operations $6,266,383 $9,822,293
================================================
10
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,861,878 $3,521,785
Net realized gain on investments 4,105,544 4,484,322
Unrealized appreciation of investments during the period 298,961 1,816,186
------------------------------------------------
Net increase in net assets resulting from operations 6,266,383 9,822,293
------------------------------------------------
Participant transactions:
Proceeds from sales of units 18,678,193 39,176,583
Cost of units redeemed (4,165,243) (8,771,924)
Net increase in net assets resulting from participant transactions 14,512,950 30,404,659
------------------------------------------------
Total increase in net assets 20,779,333 40,226,952
Net Assets:
Beginning of period 235,375,802 215,928,183
------------------------------------------------
End of period $256,155,135 $256,155,135
================================================
Number of units:
Outstanding-beginning of period 13,383,427 12,473,074
Sold 1,049,136 2,223,188
Redeemed (232,138) (495,837)
Outstanding-end of period 14,200,425 14,200,425
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income $0.17 $0.33
Expenses (0.04) (0.07)
------------------------------------------------
Net investment income 0.13 0.26
Net realized and unrealized gain on investments 0.32 0.47
------------------------------------------------
Net increase in unit value 0.45 0.73
Net asset value at beginning of period 17.59 17.31
------------------------------------------------
Net asset value at end of period $18.04 $18.04
================================================
Ratio of expenses to average net assets* 0.79% 0.82%
Ratio of net investment income to average net assets* 3.01% 2.99%
Portfolio turnover** 122% 261%
Total return 2.56% 4.19%
Number of units outstanding at end of period (in thousands) 14,200 14,200
- -----------------------------------------------------------------------------------
*Annualized
**Not annualized
12
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $82,125,854) $92,183,245
Cash 54,604
Receivable for investments sold 9,977
Receivable for foreign currency sold 1,081,742
Receivable for fund units sold 16,577
Dividends and interest receivable 161,185
Other assets 111,193
------------------------
Total assets 93,618,523
------------------------
Liabilities
Payable for investments purchased 1,194,872
Payable for foreign currency purchased 1,081,742
Payable for fund units purchased 427,930
Accrued expenses 77,301
Other liabilities 16,491
------------------------
Total liabilities 2,798,336
------------------------
Net Assets $90,820,187
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($90,820,187/6,160,133 units outstanding) $14.74
========================
13
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income(net of taxes withheld $170,896) $1,299,895 $1,514,380
Interest income 19,322 20,227
------------------------------------------------
Total investment income 1,319,217 1,534,607
Expenses:
Investment advisory fee 115,517 151,467
State Street Bank & Trust Company - program fee 68,755 135,762
American Bar Retirement Association - program fee 10,082 19,351
Trustee, management and administration fees 17,960 24,346
Other expenses 11,116 21,665
------------------------------------------------
Total expenses 223,430 352,591
------------------------------------------------
Net investment income 1,095,787 1,182,016
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (746,129) (13,704,901)
Unrealized appreciation of investments during the period 14,039,898 19,418,805
------------------------------------------------
Net gain on investments 13,293,769 5,713,904
------------------------------------------------
Net increase in net assets resulting from operations $14,389,556 $6,895,920
================================================
14
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $1,095,787 $1,182,016
Net realized loss on investments (749,129) (13,704,901)
Unrealized appreciation of investments during the period 14,039,898 19,418,805
------------------------------------------------
Net increase in net assets resulting from operations 14,386,556 6,895,920
------------------------------------------------
Participant transactions:
Proceeds from sales of units 45,988,698 66,085,273
Cost of units redeemed (44,288,273) (60,400,742)
Net increase in net assets resulting from participant transactions 1,700,425 5,684,531
------------------------------------------------
Total increase in net assets 16,086,981 12,580,451
Net Assets:
Beginning of period 74,733,206 78,239,736
------------------------------------------------
End of period $90,820,187 $90,820,187
================================================
Number of units:
Outstanding-beginning of period 6,017,637 5,710,177
Sold 3,401,391 5,002,353
Redeemed (3,258,895) (4,552,397)
Outstanding-end of period 6,160,133 6,160,133
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income $0.21 $0.26
Expenses (0.04) (0.06)
------------------------------------------------
Net investment income 0.17 0.20
Net realized and unrealized gain on investments 2.15 0.84
------------------------------------------------
Net increase in unit value 2.32 1.04
Net asset value at beginning of period 12.42 13.70
------------------------------------------------
Net asset value at end of period $14.74 $14.74
================================================
Ratio of expenses to average net assets* 1.04% 0.88%
Ratio of net investment income to average net assets* 5.12% 2.94%
Portfolio turnover** 78% 148%
Total return 18.71% 7.60%
Number of units outstanding at end of period (in thousands) 6,160 6,160
- -----------------------------------------------------------------------------------
*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.
16
American Bar Association Members/ State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $728,482,099) $753,986,802
Cash 21,823
Receivable for investments sold 456,126
Receivable for fund units sold 393,166
Dividends and interest receivable 375,247
Other assets 7,973
------------------------
Total assets 755,241,137
------------------------
Liabilities
Payable for investments purchased 1,494,412
Payable for fund units purchased 74,537
Accrued expenses 527,337
Other liabilities 2,220
------------------------
Total liabilities 2,098,506
------------------------
Net Assets $753,142,631
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($753,142,631/19,799,906 units outstanding) $38.04
========================
17
American Bar Association Members/ State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income(net of taxes withheld $20,456) $1,432,794 $2,901,047
Interest income 41,351 55,228
Securities Lending income 2,703 4,488
------------------------------------------------
Total investment income 1,476,848 2,960,763
Expenses:
Investment advisory fee 334,974 638,217
State Street Bank & Trust Company - program fee 580,206 1,155,746
American Bar Retirement Association - program fee 84,992 164,657
Trustee, management and administration fees 151,427 290,826
Other expenses 93,403 184,055
------------------------------------------------
Total expenses 1,245,002 2,433,501
Net investment income 231,846 527,262
------------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (2,683,813) (14,654,205)
Unrealized appreciation of investments during the period 102,426,822 108,233,043
------------------------------------------------
Net gain on investments 99,743,009 93,578,838
------------------------------------------------
Net increase in net assets resulting from operations $99,974,855 $94,106,100
================================================
18
American Bar Association Members/ State Street Collective Trust
Large-Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $231,846 $527,262
Net realized loss on investments (2,683,813) (14,654,205)
Unrealized appreciation of investments during the period 102,426,822 108,233,043
------------------------------------------------
Net increase in net assets resulting from operations 99,974,855 94,106,100
------------------------------------------------
Participant transactions:
Proceeds from sales of units 16,203,935 21,861,323
Cost of units redeemed (11,610,909) (35,903,926)
Net increase (decrease) in net assets resulting from participant transactions 4,593,026 (14,042,603)
------------------------------------------------
Total increase in net assets 104,567,881 80,063,497
Net Assets:
Beginning of period 648,574,750 673,079,134
------------------------------------------------
End of period $753,142,631 $753,142,631
================================================
Number of units:
Outstanding-beginning of period 19,666,120 20,241,073
Sold 447,119 617,376
Redeemed (313,333) (1,058,543)
Outstanding-end of period 19,799,906 19,799,906
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income $0.07 $0.15
Expenses (0.06) (0.12)
------------------------------------------------
Net investment income 0.01 0.03
Net realized and unrealized gain on investments 5.05 4.76
------------------------------------------------
Net increase in unit value 5.06 4.79
Net asset value at beginning of period 32.98 33.25
------------------------------------------------
Net asset value at end of period $38.04 $38.04
================================================
Ratio of expenses to average net assets* 0.69% 0.71%
Ratio of net investment income to average net assets* 0.13% 0.15%
Portfolio turnover** 5% 9%
Total return 15.28% 14.39%
Number of units outstanding at end of period (in thousands) 19,800 19,800
- -----------------------------------------------------------------------------------
*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.
20
American Bar Association Members/ State Street Collective Trust
Large Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $238,807,158) $238,375,847
Cash (4,366)
Receivable for investments sold 178,295
Receivable for fund units sold 38,968
Dividends and interest receivable 344,557
Other assets 2,488
------------------------
Total assets 238,935,789
------------------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 2,505,626
Accrued expenses 163,302
Other liabilities 0
------------------------
Total liabilities 2,668,928
------------------------
Net Assets $236,266,861
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($236,266,861/9,288,601 units outstanding) $25.44
========================
21
American Bar Association Members/ State Street Collective Trust
Large Cap Value Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income $1,080,050 $2,185,149
Interest income 17,034 29,655
Securities Lending income 96 2,706
------------------------------------------------
Total investment income 1,097,180 2,217,510
Expenses:
Investment advisory fee 128,956 247,504
State Street Bank & Trust Company - program fee 178,784 355,310
American Bar Retirement Association - program fee 26,207 50,640
Trustee, management and administration fees 46,682 89,434
Other expenses 28,892 56,694
------------------------------------------------
Total expenses 409,521 799,582
------------------------------------------------
Net investment income 687,659 1,417,928
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (1,499,972) (5,324,163)
Unrealized appreciation of investments during the period 33,435,373 27,029,522
------------------------------------------------
Net gain on investments 31,935,401 21,705,359
------------------------------------------------
Net increase in net assets resulting from operations $32,623,060 $23,123,287
================================================
22
American Bar Association Members/ State Street Collective Trust
Large Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $687,659 $1,417,928
Net realized loss on investments (1,499,972) (5,324,163)
Unrealized appreciation of investments during the period 33,435,373 27,029,522
------------------------------------------------
Net increase in net assets resulting from operations 32,623,060 23,123,287
------------------------------------------------
Participant transactions:
Proceeds from sales of units 29,755,200 40,033,359
Cost of units redeemed (22,988,233) (31,346,685)
Net increase in net assets resulting from participant transactions 6,766,967 8,686,674
------------------------------------------------
Total increase in net assets 39,390,027 31,809,961
Net Assets:
Beginning of period 196,876,834 204,456,900
------------------------------------------------
End of period $236,266,861 $236,266,861
================================================
Number of units:
Outstanding-beginning of period 9,005,489 8,936,013
Sold 1,222,373 1,671,524
Redeemed (939,261) (1,318,936)
Outstanding-end of period 9,288,601 9,288,601
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income $0.12 $0.24
Expenses (0.05) (0.09)
------------------------------------------------
Net investment income 0.07 0.15
Net realized and unrealized gain on investments 3.51 2.41
------------------------------------------------
Net increase in unit value 3.58 2.56
Net asset value at beginning of period 21.86 22.88
------------------------------------------------
Net asset value at end of period $25.44 $25.44
================================================
Ratio of expenses to average net assets* 0.74% 0.76%
Ratio of net investment income to average net assets* 1.24% 1.35%
Portfolio turnover** 7% 12%
Total return 16.35% 11.17%
Number of units outstanding at end of period (in thousands) 9,289 9,289
- -----------------------------------------------------------------------------------
*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.
24
American Bar Association Members/ State Street Collective Trust
Mid Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
-----------------------
Assets
Investments, at value (cost $14,806,466) $16,951,477
Cash 2,235
Receivable for investments sold 267,409
Receivable for fund units sold 25,038
Dividends and interest receivable 2,298
Other assets 147
-----------------------
Total assets 17,248,604
-----------------------
Liabilities
Payable for investments purchased 314,656
Payable for fund units purchased 6,280
Accrued expenses 27,620
Other liabilities 0
-----------------------
Total liabilities 348,556
-----------------------
Net Assets $16,900,048
=======================
Net asset value, redemption price and offering price per unit of beneficial interest
($16,900,048/1,234,172 units outstanding) $13.69
=======================
25
American Bar Association Members/ State Street Collective Trust
Mid Cap Growth Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income:
Dividend income $6,402 $10,268
Interest income 2,632 4,908
------------------------------------------------
Total investment income 9,034 15,176
Expenses:
Investment advisory fee 22,419 38,220
State Street Bank & Trust Company - program fee 11,024 19,682
American Bar Retirement Association - program fee 1,624 2,821
Trustee, management and administration fees 2,890 4,985
Other expenses 1,787 3,149
------------------------------------------------
Total expenses 39,744 68,857
------------------------------------------------
Net investment loss (30,710) (53,681)
------------------------------------------------
Realized and unrealized loss on investments:
Net realized gain on investments sold 794,514 576,007
Unrealized appreciation of investments during the period 1,482,480 1,777,039
------------------------------------------------
Net gain on investments 2,276,994 2,353,046
------------------------------------------------
Net increase in net assets resulting from operations $2,246,284 $2,299,365
================================================
26
American Bar Association Members/ State Street Collective Trust
Mid Cap Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($30,710) $(53,681)
Net realized gain on investments 794,514 576,007
Unrealized appreciation of investments during the period 1,482,480 1,777,039
------------------------------------------------
Net increase in net assets resulting from operations 2,246,284 2,299,365
------------------------------------------------
Participant transactions:
Proceeds from sales of units 4,869,025 8,105,609
Cost of units redeemed (1,058,092) (2,071,520)
Net increase in net assets resulting from participant transactions 3,810,933 6,034,089
------------------------------------------------
Total increase in net assets 6,057,217 8,333,454
Net Assets:
Beginning of period 10,842,831 8,566,594
------------------------------------------------
End of period $16,900,048 $16,900,048
================================================
Number of units:
Outstanding-beginning of period 944,784 753,447
Sold 373,107 653,954
Redeemed (83,719) (173,229)
Outstanding-end of period 1,234,172 1,234,172
================================================
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 For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
------------------------------------------------
Investment income $0.01 $0.02
Expenses (0.04) (0.07)
------------------------------------------------
Net investment loss (0.03) (0.05)
Net realized and unrealized gain on investments 2.24 2.37
------------------------------------------------
Net increase in unit value 2.21 2.32
Net asset value at beginning of period 11.48 11.37
------------------------------------------------
Net asset value at end of period $13.69 $13.69
================================================
Ratio of expenses to average net assets* 1.15% 1.17%
Ratio of net investment income to average net assets* (0.89%) (0.91%)
Portfolio turnover** 46% 85%
Total return 19.32% 20.45%
Number of units outstanding at end of period (in thousands) 1,234 1,234
- -----------------------------------------------------------------------------------
*Annualized
** Not annualized.
28
American Bar Association Members/ State Street Collective Trust
Mid Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2003
------------------------
Assets
Investments, at value (cost $14,806,466) $16,728,075
Cash 1,740
Receivable for investments sold 0
Receivable for fund units sold 0
Dividends and interest receivable 14,778
Other assets 129
------------------------
Total assets 16,744,722
------------------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 104,249
Accrued expenses 15,131
Other liabilities 0
------------------------
Total liabilities 119,380
------------------------
Net Assets $16,625,342
========================
Net asset value, redemption price and offering price per unit of beneficial interest
($16,625,342/1,501,946 units outstanding) $11.07
========================
29
American Bar Association Members/ State Street Collective Trust
Mid Cap Value Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
-------------------------------------------------
Investment income:
Dividend income $36,296 $63,293
Interest income 3,509 7,318
-------------------------------------------------
Total investment income 39,805 70,611
Expenses:
Investment advisory fee 26,357 44,125
State Street Bank & Trust Company - program fee 11,257 19,691
American Bar Retirement Association - program fee 1,656 2,823
Trustee, management and administration fees 2,947 4,988
Other expenses 1,822 3,150
-------------------------------------------------
Total expenses 44,039 74,777
-------------------------------------------------
Net investment loss (4,234) (4,166)
-------------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (40,206) (120,369)
Unrealized appreciation of investments during the period 2,606,681 2,080,782
-------------------------------------------------
Net gain on investments 2,566,475 1,960,413
-------------------------------------------------
Net increase in net assets resulting from operations $2,562,241 $1,956,247
=================================================
30
American Bar Association Members/ State Street Collective Trust
Mid Cap Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2003 January 1, 2003
to June 30, 2003 to June 30, 2003
-------------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($4,234) ($4,166)
Net realized loss on investments (40,206) (120,369)
Unrealized appreciation of investments during the period 2,606,681 2,080,782
-------------------------------------------------
Net increase in net assets resulting from operations 2,562,241 1,956,247
-------------------------------------------------
Participant transactions:
Proceeds from sales of units 3,359,116 6,777,340
Cost of units redeemed (584,342) (1,034,590)
Net increase in net assets resulting from participant transactions 2,774,774 5,742,750
-------------------------------------------------
Total increase in net assets 5,337,015 7,698,997
Net Assets:
Beginning of period 11,288,327 8,926,345
-------------------------------------------------
End of period $16,625,342 $16,625,342
=================================================
Number of units:
Outstanding-beginning of period 1,232,326 912,372
Sold 325,144 692,785
Redeemed (55,524) (103,211)
Outstanding-end of period 1,501,946 1,501,946
=================================================
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