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UNITED STATES
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 September 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..........................................................................1
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......................................................................5
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.................................................................9
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.............................................................13
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..........................................................17
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...........................................................21
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............................................................25
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.............................................................29
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.................................................................33
Statement of Assets and Liabilities..........................................33
i
Statement of Operations......................................................34
Statement of Changes in Net Assets...........................................35
Per-Unit data and Ratios.....................................................36
Stable Asset Return Fund..............................................................37
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..................................41
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......................................45
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....................................49
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 Financial Statements.........................................................53
Item 2. Management's Discussion and Analysis of Financial Conditions and Results of
Operations...................................................................67
Item 4. PROCEDURES AND CONTROLS.......................................................79
PART II. OTHER INFORMATION....................................................................80
Item 2. Changes in Securities and Use of Proceeds....................................80
Item 6. Exhibits and Reports on Form 8-K..............................................80
SIGNATURES.....................................................................................81
ii
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
September 30, 2003
------------------
Assets
Investments, at value (cost $426,188,827) $452,213,233
Cash 42,099
Receivable for investments sold 6,602,180
Receivable for fund units sold 0
Dividends and interest receivable 1,149,407
Other assets 9,738
------------------
Total assets 460,016,657
------------------
Liabilities
Payable for investments purchased 37,485,635
Payable for fund units purchased 315,452
Accrued expenses 320,449
Other liabilities 7,351
------------------
Total liabilities 38,128,887
------------------
Net Assets $421,887,770
===================
Net asset value, redemption price and offering price
per unit of beneficial interest
($421,887,770/ 6,359,865 units outstanding) $ 66.34
===================
The accompanying notes are an integral part of these financial statements
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Operations
Unaudited
For the period For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-------------------------------------------------
Investment income
Dividend income $870,248 $2,343,757
Interest income 1,703,567 5,174,757
-------------------------------------------------
Total investment income 2,573,815 7,517,770
Expenses:
Investment advisory fee 243,710 679,182
State Street Bank & Trust Company - program fee 321,034 953,895
American Bar Retirement Association - program fee 48,532 138,619
Trustee, management and administration fees 91,047 250,151
Other expenses 56,173 157,092
-------------------------------------------------
Total expenses 760,496 2,178,939
-------------------------------------------------
Net investment income 1,813,319 5,338,831
-------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (1,854,739) (6,298,598)
Unrealized appreciation of investments during the period 10,453,707 55,392,555
-------------------------------------------------
Net gain on investments 8,598,968 49,093,957
-------------------------------------------------
Net increase in net assets resulting from operations $10,412,287 $54,432,788
=================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $1,813,319 $5,338,831
Net realized loss on investments (1,854,739) (6,298,598)
Unrealized appreciation of investments during the period 10,453,707 55,392,555
-------------------------------------------------
Net increase in net assets resulting from operations 10,412,287 54,432,788
-------------------------------------------------
Participant transactions:
Proceeds from sales of units 9,435,856 20,426,649
Cost of units redeemed (3,906,430) (22,305,849)
Net increase (decrease) in net assets resulting from
participant transactions 5,529,426 (1,879,200)
-------------------------------------------------
Total increase in net assets 15,941,713 52,553,588
Net Assets:
Beginning of period 405,946,057 369,334,182
-------------------------------------------------
End of period $421,887,770 $421,887,770
=================================================
Number of units:
Outstanding-beginning of period 6,275,527 6,408,195
Sold 143,494 324,169
Redeemed (59,156) (372,499)
Outstanding-end of period 6,359,865 6,359,865
================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-------------------------------------------------
Investment income $0.41 $1.19
Expenses (0.12) (0.35)
-------------------------------------------------
Net investment income 0.29 0.84
Net realized and unrealized gain on investments 1.36 7.87
-------------------------------------------------
Net increase in unit value 1.65 8.71
Net asset value at beginning of period 64.69 57.63
-------------------------------------------------
Net asset value at end of period $66.34 $66.34
=================================================
Ratio of expenses to average net assets* 0.72% 0.74%
Ratio of net investment income to average net assets* 1.72% 1.83%
Portfolio turnover** 26% 110%
Total return 2.55% 15.10%
Number of units outstanding at end of period (in thousands) 6,360 6,360
- ------------------------------------------------------------------
*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
September 30, 2003
--------------------
Assets
Investments, at value (cost $339,301,172) $281,299,109
Cash 63,127
Receivable for investments sold 0
Receivable for fund units sold 1,028,153
Dividends and interest receivable 0
Other assets 4,004
--------------------
Total assets 282,394,393
--------------------
Liabilities
Payable for investments purchased 63,127
Payable for fund units purchased 10,604
Accrued expenses 88,172
Other liabilities 30
--------------------
Total liabilities 161,933
--------------------
Net Assets $282,232,460
====================
Net asset value, redemption price and offering
price per unit of beneficial interest
($282,232,460/11,690,271 units outstanding) $24.14
====================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-------------------------------------------------
Investment income:
Dividend income $0 $0
Interest income 0 0
Securities Lending income 6,045 23,712
-------------------------------------------------
Total investment income 6,045 23,712
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 213,175 602,767
American Bar Retirement Association - program fee 32,223 87,766
Trustee, management and administration fees 60,253 158,355
Other expenses 37,512 99,684
-------------------------------------------------
Total expenses 343,163 948,572
-------------------------------------------------
Net investment loss (337,118) (924,860)
-------------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (1,239,194) (5,857,532)
Unrealized appreciation of investments during the period 10,313,888 43,728,614
-------------------------------------------------
Net gain on investments 9,074,694 37,871,082
-------------------------------------------------
Net increase in net assets resulting from operations $8,737,576 $36,946,222
=================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase in net assets from:
Operations:
Net investment loss $(337,118) ($924,860)
Net realized loss on investments (1,239,194) (5,857,532)
Unrealized appreciation of investments during the period 10,313,888 43,728,614
-----------------------------------------------
Net increase in net assets resulting from operations 8,737,576 36,946,222
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 12,742,532 34,734,627
Cost of units redeemed (2,698,586) (9,070,438)
Net increase in net assets resulting from
participant transactions 10,043,946 25,664,189
-----------------------------------------------
Total increase in net assets 18,781,522 62,610,411
Net Assets:
Beginning of period 263,450,938 219,622,049
-----------------------------------------------
End of period $282,232,460 $282,232,460
===============================================
Number of units:
Outstanding-beginning of period 11,271,939 10,551,355
Sold 529,084 1,558,601
Redeemed (110,752) (419,685)
Outstanding-end of period 11,690,271 11,690,271
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income $0.00 $0.00
Expenses (0.03) (0.09)
-----------------------------------------------
Net investment income (0.03) (0.09)
Net realized and unrealized gain on investments 0.80 3.42
-----------------------------------------------
Net increase in unit value 0.77 3.33
Net asset value at beginning of period 23.37 20.81
-----------------------------------------------
Net asset value at end of period $24.14 $24.14
===============================================
Ratio of expenses to average net assets* 0.49% 0.51%
Ratio of net investment income to average net assets* (0.48%) (0.50%)
Portfolio turnover** 1% 5%
Total return 3.30% 15.99%
Number of units outstanding at end of period (in thousands) 11,690 11,690
- --------------------------------------------------------------------
*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
September 30, 2003
------------------------
Assets
Investments, at value (cost $249,112,050) $250,864,524
Cash 118
Receivable for investments sold 10,950,350
Receivable for foreign currency sold 11,814,005
Receivable for fund units sold 0
Receivable for futures variation margin 298,201
Dividends and interest receivable 1,259,700
Other assets 3,865
------------------------
Total assets 275,190,763
------------------------
Liabilities
Payable for investments purchased 21,277,869
Payable for foreign currency purchased 11,911,153
Payable for fund units purchased 1,643,390
Accrued expenses 190,946
Payable for futures variation margin 58,163
Written options value (Premium $117,346) 77,370
Other liabilities 0
------------------------
Total liabilities 35,158,891
------------------------
Net Assets $240,031,872
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($240,031,872/13,345,002 units outstanding) $17.99
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income:
Dividend income $0 $0
Interest income 2,415,910 6,897,664
-----------------------------------------------
Total investment income 2,415,910 6,897,664
Expenses:
Investment advisory fee 176,012 516,858
State Street Bank & Trust Company - program fee 185,768 584,458
American Bar Retirement Association - program fee 28,092 84,806
Trustee, management and administration fees 52,916 153,097
Other expenses and taxes 32,243 95,781
-----------------------------------------------
Total expenses 475,031 1,435,000
-----------------------------------------------
Net investment income 1,940,879 5,462,664
-----------------------------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 356,202 4,840,524
Unrealized depreciation of investments during the period (3,285,243) (1,469,057)
-----------------------------------------------
Net gain (loss) on investments (2,929,041) 3,371,467
-----------------------------------------------
Net increase (decrease) in net assets resulting
from operations ($988,162) $8,834,131
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $1,940,879 $5,462,664
Net realized gain on investments 356,202 4,840,524
Unrealized depreciation of investments during the period (3,285,243) (1,469,057)
-----------------------------------------------
Net increase (decrease) in net assets resulting
from operations (988,162) 8,834,131
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 6,922,880 46,099,463
Cost of units redeemed (22,057,981) (30,829,905)
Net increase (decrease) in net assets resulting
from participant transactions (15,135,101) 15,269,558
-----------------------------------------------
Total increase (decrease) in net assets (16,123,263) 24,103,689
Net Assets:
Beginning of period 256,155,135 215,928,183
-----------------------------------------------
End of period $240,031,872 $240,031,872
===============================================
Number of units:
Outstanding-beginning of period 14,200,425 12,473,074
Sold 397,099 2,620,287
Redeemed (1,252,522) (1,748,359)
Outstanding-end of period 13,345,002 13,345,002
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income $0.18 $0.51
Expenses (0.03) (0.11)
-----------------------------------------------
Net investment income 0.15 0.40
Net realized and unrealized gain (loss) on investments (0.20) 0.28
-----------------------------------------------
Net increase (decrease) in unit value (0.05) 0.68
Net asset value at beginning of period 18.04 17.31
-----------------------------------------------
Net asset value at end of period $17.99 $17.99
===============================================
Ratio of expenses to average net assets* 0.78% 0.80%
Ratio of net investment income to average net assets* 3.18% 3.06%
Portfolio turnover** 90% 378%
Total return (0.28%) 3.90%
Number of units outstanding at end of period (in thousands) 13,345 13,345
- --------------------------------------------------------------------
*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
September 30, 2003
------------------------
Assets
Investments, at value (cost $85,960,492) $100,258,154
Cash 4,345
Receivable for investments sold 11,838
Receivable for foreign currency sold 824,134
Receivable for fund units sold 34,110
Dividends and interest receivable 215,404
Other assets 77,509
------------------------
Total assets 101,425,494
------------------------
Liabilities
Payable for investments purchased 827,021
Payable for foreign currency purchased 824,134
Payable for fund units purchased 810,201
Accrued expenses 84,320
Other liabilities 16,253
------------------------
Total liabilities 2,561,929
------------------------
Net Assets $98,863,565
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($98,863,565/6,325,892 units outstanding) $15.63
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Investment income:
Dividend income(net of taxes withheld $207,786) $486,057 $2,000,437
Interest income 6,619 26,846
-----------------------------------------------
Total investment income 492,676 2,027,283
Expenses:
Investment advisory fee 150,555 302,022
State Street Bank & Trust Company - program fee 73,674 209,436
American Bar Retirement Association - program fee 11,136 30,487
Trustee, management and administration fees 30,666 55,012
Other expenses 3,123 24,788
-----------------------------------------------
Total expenses 269,154 621,745
-----------------------------------------------
Net investment income 223,522 1,405,538
-----------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold 1,099,963 (12,604,938)
Unrealized appreciation of investments during the period 4,242,131 23,660,936
-----------------------------------------------
Net gain on investments 5,342,094 11,055,998
-----------------------------------------------
Net increase in net assets resulting from operations $5,565,616 $12,461,536
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase in net assets from:
Operations:
Net investment income $223,522 $1,405,538
Net realized gain (loss) on investments 1,099,963 (12,604,938)
Unrealized appreciation of investments during the period 4,242,131 23,660,936
-----------------------------------------------
Net increase in net assets resulting from operations 5,565,616 12,461,536
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 11,260,926 77,346,199
Cost of units redeemed (8,783,164) (69,183,906)
Net increase in net assets resulting from participant
transactions 2,477,762 8,162,293
-----------------------------------------------
Total increase in net assets 8,043,378 20,623,829
Net Assets:
Beginning of period 90,820,187 78,239,736
-----------------------------------------------
End of period $98,863,565 $98,863,565
===============================================
Number of units:
Outstanding-beginning of period 6,160,133 5,710,177
Sold 743,136 5,745,489
Redeemed (577,377) (5,129,774)
Outstanding-end of period 6,325,892 6,325,892
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income $0.08 $0.33
Expenses (0.04) (0.10)
-----------------------------------------------
Net investment income 0.04 0.23
Net realized and unrealized gain on investments 0.85 1.70
-----------------------------------------------
Net increase in unit value 0.89 1.93
Net asset value at beginning of period 14.74 13.70
-----------------------------------------------
Net asset value at end of period $15.63 $15.63
===============================================
Ratio of expenses to average net assets* 1.11% 0.97%
Ratio of net investment income to average net assets* 0.92% 2.18%
Portfolio turnover** 5% 146%
Total return 6.00% 14.06%
Number of units outstanding at end of period (in thousands) 6,326 6,326
- ------------------------------------------------------------------------------
*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
September 30, 2003
------------------------
Assets
Investments, at value (cost $723,563,937) $775,877,418
Receivable for investments sold 877,567
Receivable for fund units sold 589,329
Dividends and interest receivable 463,207
Other assets 11,731
------------------------
Total assets 777,819,252
------------------------
Liabilities
Payable for investments purchased 568,814
Payable for fund units purchased 0
Payable to Custodian 72,751
Accrued expenses 620,593
Other liabilities 7,984
------------------------
Total liabilities 1,270,142
------------------------
Net Assets $776,549,110
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($776,549,110/19,779,766 units outstanding) $39.26
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income:
Dividend income(net of taxes withheld $30,520) $1,560,662 $4,461,709
Interest income 28,065 83,293
Securities Lending income 3,478 7,966
-----------------------------------------------
Total investment income 1,592,205 4,552,968
Expenses:
Investment advisory fee 358,790 997,007
State Street Bank & Trust Company - program fee 597,802 1,753,548
American Bar Retirement Association - program fee 90,370 255,027
Trustee, management and administration fees 169,382 460,208
Other expenses 104,753 288,808
-----------------------------------------------
Total expenses 1,321,097 3,754,598
Net investment income 271,108 798,370
-----------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (2,881,654) (17,535,859)
Unrealized appreciation of investments during the period 26,808,780 135,041,823
-----------------------------------------------
Net gain on investments 23,927,126 117,505,964
-----------------------------------------------
Net increase in net assets resulting from operations $24,198,234 $118,304,334
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase in net assets from:
Operations:
Net investment income $271,108 $798,370
Net realized loss on investments (2,881,654) (17,535,859)
Unrealized appreciation of investments during the period 26,808,780 135,041,823
-----------------------------------------------
Net increase in net assets resulting from operations 24,198,234 118,304,334
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 10,244,773 32,106,096
Cost of units redeemed (11,036,528) (46,940,454)
Net decrease in net assets resulting from
participant transactions (791,755) (14,834,358)
-----------------------------------------------
Total increase in net assets 23,406,479 103,469,976
Net Assets:
Beginning of period 753,142,631 673,079,134
-----------------------------------------------
End of period $776,549,110 $776,549,110
===============================================
Number of units:
Outstanding-beginning of period 19,799,906 20,241,073
Sold 260,216 877,592
Redeemed (280,356) (1,338,899)
Outstanding-end of period 19,779,766 19,779,766
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income $0.08 $0.23
Expenses (0.07) (0.19)
-----------------------------------------------
Net investment income 0.01 0.04
Net realized and unrealized gain on investments 1.21 5.97
-----------------------------------------------
Net increase in unit value 1.22 6.01
Net asset value at beginning of period 38.04 33.25
-----------------------------------------------
Net asset value at end of period $39.26 $39.26
===============================================
Ratio of expenses to average net assets* 0.67% 0.70%
Ratio of net investment income to average net assets* 0.14% 0.15%
Portfolio turnover** 5% 14%
Total return 3.21% 18.06%
Number of units outstanding at end of period (in thousands) 19,780 19,780
- ------------------------------------------------------------------------------
*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
20
American Bar Association Members/ State Street Collective Trust
Large-Cap Value Equity Fund
Statement of Assets and Liabilities
Unaudited
September 30, 2003
------------------------
Assets
Investments, at value (cost $239,604,256) $246,175,672
Cash 3,604
Receivable for investments sold 3,093,654
Receivable for fund units sold 235,308
Dividends and interest receivable 343,859
Other assets 3,693
------------------------
Total assets 249,855,790
------------------------
Libilities
Payable for investments purchased 945,104
Payable for fund units purchased 1,036,009
Accrued expenses 128,825
Other liabilities 700
------------------------
Total liabilities 2,110,638
------------------------
Net Assets $247,745,152
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($247,745,152/9,477,871 units outstanding) $26.14
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income:
Dividend income $1,078,974 $3,264,123
Interest income 26,616 56,271
Securities Lending income 805 3,511
-----------------------------------------------
Total investment income 1,106,395 3,323,905
Expenses:
Investment advisory fee 140,617 388,121
State Street Bank & Trust Company - program fee 189,223 544,533
American Bar Retirement Association - program fee 28,606 79,246
Trustee, management and administration fees 53,551 142,985
Other expenses 33,221 89,915
-----------------------------------------------
Total expenses 445,218 1,244,800
-----------------------------------------------
Net investment income 661,177 2,079,105
-----------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (1,118,882) (6,443,045)
Unrealized appreciation of investments during the period 7,002,726 34,032,248
-----------------------------------------------
Net gain on investments 5,883,844 27,589,203
-----------------------------------------------
Net increase in net assets resulting from operations $6,545,021 $29,668,308
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase in net assets from:
Operations:
Net investment income $661,177 $2,079,105
Net realized loss on investments (1,118,882) (6,443,045)
Unrealized appreciation of investments during the period 7,002,726 34,032,248
-----------------------------------------------
Net increase in net assets resulting from operations 6,545,021 29,668,308
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 18,437,508 58,470,867
Cost of units redeemed (13,504,238) (44,850,923)
Net increase in net assets resulting from
participant transactions 4,933,270 13,619,944
-----------------------------------------------
Total increase in net assets 11,478,291 43,288,252
Net Assets:
Beginning of period 236,266,861 204,456,900
-----------------------------------------------
End of period $247,745,152 $247,745,152
===============================================
Number of units:
Outstanding-beginning of period 9,288,601 8,936,013
Sold 704,988 2,376,512
Redeemed (515,718) (1,834,654)
Outstanding-end of period 9,477,871 9,477,871
===============================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income $0.12 $0.36
Expenses (0.05) (0.14)
-----------------------------------------------
Net investment income 0.07 0.22
Net realized and unrealized gain on investments 0.63 3.04
-----------------------------------------------
Net increase in unit value 0.70 3.26
Net asset value at beginning of period 25.44 22.88
-----------------------------------------------
Net asset value at end of period $26.14 $26.14
===============================================
Ratio of expenses to average net assets* 0.72% 0.74%
Ratio of net investment income to average net assets* 1.07% 1.24%
Portfolio turnover** 11% 23%
Total return 2.76% 14.24%
Number of units outstanding at end of period (in thousands) 9,478 9,478
- ------------------------------------------------------------------------------
*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
24
American Bar Association Members/ State Street Collective Trust
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
September 30, 2003
-----------------------
Assets
Investments, at value (cost $25,178,757) $27,822,387
Cash 2,839
Receivable for investments sold 502,239
Receivable for fund units sold 183,111
Dividends and interest receivable 7,375
Other assets 262
-----------------------
Total assets 28,518,213
-----------------------
Liabilities
Payable for investments purchased 594,101
Payable for fund units purchased 5,860
Accrued expenses 47,145
Other liabilities 0
-----------------------
Total liabilities 647,106
-----------------------
Net Assets $27,871,107
=======================
Net asset value, redemption price and offering
price per unit of beneficial interest
($27,871,107/1,857,528 units outstanding) $15.00
=======================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Investment income:
Dividend income $16,192 $26,460
Interest income 5,370 10,278
------------------------------------------------
Total investment income 21,562 36,738
Expenses:
Investment advisory fee 37,822 76,042
State Street Bank & Trust Company - program fee 17,746 37,428
American Bar Retirement Association - program fee 2,679 5,500
Trustee, management and administration fees 4,925 9,910
Other expenses 3,222 6,371
------------------------------------------------
Total expenses 66,394 135,251
------------------------------------------------
Net investment loss (44,832) (98,513)
------------------------------------------------
Realized and unrealized loss on investments:
Net realized gain on investments sold 1,088,398 1,664,405
Unrealized appreciation of investments during the period 649,775 2,426,814
------------------------------------------------
Net gain on investments 1,738,173 4,091,219
------------------------------------------------
Net increase in net assets resulting from operations $1,693,341 $3,992,706
================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($44,832) ($98,513)
Net realized gain on investments 1,088,398 1,664,405
Unrealized appreciation of investments during the period 649,775 2,426,814
------------------------------------------------
Net increase in net assets resulting from operations 1,693,341 3,992,706
------------------------------------------------
Participant transactions:
Proceeds from sales of units 10,502,314 18,607,923
Cost of units redeemed (1,224,596) (3,296,116)
Net increase in net assets resulting from
participant transactions 9,277,718 15,311,807
------------------------------------------------
Total increase in net assets 10,971,059 19,304,513
Net Assets:
Beginning of period 16,900,048 8,566,594
------------------------------------------------
End of period $27,871,107 $27,871,107
================================================
Number of units:
Outstanding-beginning of period 1,234,172 753,447
Sold 703,410 1,357,364
Redeemed (80,054) (253,283)
Outstanding-end of period 1,857,528 1,857,528
================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Investment income $0.01 $0.03
Expenses (0.05) (0.12)
------------------------------------------------
Net investment loss (0.04) (0.09)
Net realized and unrealized gain on investments 1.35 3.72
------------------------------------------------
Net increase in unit value 1.31 3.63
Net asset value at beginning of period 13.69 11.37
------------------------------------------------
Net asset value at end of period $15.00 $15.00
================================================
Ratio of expenses to average net assets* 1.14% 1.15%
Ratio of net investment income to average net assets* (0.77%) (0.84%)
Portfolio turnover** 37% 119%
Total return 9.56% 31.97%
Number of units outstanding at end of period (in thousands) 1,858 1,858
- ------------------------------------------------------------------------------
*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
September 30, 2003
------------------------
Assets
Investments, at value (cost $22,830,150) $25,400,588
Cash 1,622
Receivable for investments sold 0
Receivable for fund units sold 57,326
Dividends and interest receivable 21,150
Other assets 237
------------------------
Total assets 25,480,923
------------------------
Liabilities
Payable for investments purchased 161,593
Payable for fund units purchased 48,380
Accrued expenses 22,465
Other liabilities 0
------------------------
Total liabilities 232,438
------------------------
Net Assets $25,248,485
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($25,248,485/2,193,637 units outstanding) $11.51
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Investment income:
Dividend income $54,925 $118,218
Interest income 5,447 12,765
------------------------------------------------
Total investment income 60,372 130,983
Expenses:
Investment advisory fee 39,223 83,348
State Street Bank & Trust Company - program fee 16,509 36,200
American Bar Retirement Association - program fee 2,493 5,316
Trustee, management and administration fees 4,593 9,581
Other expenses 2,985 6,135
------------------------------------------------
Total expenses 65,803 140,580
------------------------------------------------
Net investment loss (5,431) (9,597)
------------------------------------------------
Realized and unrealized loss on investments:
Net realized gain (loss) on investments sold 117,220 (3,149)
Unrealized appreciation of investments during the period 648,830 2,729,612
------------------------------------------------
Net gain on investments 766,050 2,726,463
------------------------------------------------
Net increase in net assets resulting from operations $760,619 $2,716,866
================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss ($5,431) ($9,597)
Net realized gain (loss) on investments 117,220 (3,149)
Unrealized appreciation of investments during the period 648,830 2,729,612
------------------------------------------------
Net increase in net assets resulting from operations 760,619 2,716,866
------------------------------------------------
Participant transactions:
Proceeds from sales of units 8,914,376 15,691,716
Cost of units redeemed (1,051,852) (2,086,442)
Net increase in net assets resulting from
participant transactions 7,862,524 13,605,274
------------------------------------------------
Total increase in net assets 8,623,143 16,322,140
Net Assets:
Beginning of period 16,625,342 8,926,345
------------------------------------------------
End of period $25,248,485 $25,248,485
================================================
Number of units:
Outstanding-beginning of period 1,501,946 912,372
Sold 782,680 1,475,465
Redeemed (90,989) (194,200)
Outstanding-end of period 2,193,637 2,193,637
================================================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
------------------------------------------------
Investment income $0.03 $0.09
Expenses (0.04) (0.10)
----------------------------------------------
Net investment loss (0.01) (0.01)
Net realized and unrealized gain on investments 0.45 1.74
----------------------------------------------
Net increase in unit value 0.44 1.73
Net asset value at beginning of period 11.07 9.78
----------------------------------------------
Net asset value at end of period $11.51 $11.51
==============================================
Ratio of expenses to average net assets* 1.21% 1.24%
Ratio of net investment income to average net assets* (0.10%) (0.08%)
Portfolio turnover** 3% 13%
Total return 3.98% 17.65%
Number of units outstanding at end of period (in thousands) 2,194 2,194
- ------------------------------------------------------------------------------
*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
September 30, 2003
------------------------
Assets
Investments, at value (cost $265,288,651) $284,755,985
Cash 17,880
Receivable for investments sold 795,267
Receivable for fund units sold 323,702
Dividends and interest receivable 149,108
Other assets 4,621
------------------------
Total assets 286,046,563
------------------------
Liabilities
Payable for investments purchased 1,239,120
Payable for fund units purchased 0
Accrued expenses 401,056
Other liabilities 0
------------------------
Total liabilities 1,640,176
------------------------
Net Assets $284,406,387
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($284,406,387/5,348,694 units outstanding) $53.17
========================
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 For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Investment income:
Dividend income $426,906 $1,355,060
Interest income 44,632 130,009
-----------------------------------------------
Total investment income 471,538 1,485,069
Expenses:
Investment advisory fee 307,055 800,605
State Street Bank & Trust Company - program fee 217,476 598,657
American Bar Retirement Association - program fee 32,868 87,230
Trustee, management and administration fees 61,356 157,371
Other expenses 38,397 99,249
-----------------------------------------------
Total expenses 657,152 1,743,112
-----------------------------------------------
Net investment loss (185,614) (258,043)
-----------------------------------------------
Realized and unrealized loss on investments:
Net realized gain (loss) on investments sold 790,712 (15,854,806)
Unrealized appreciation of investments during the period 15,548,198 69,402,704
-----------------------------------------------
Net gain on investments 16,338,910 53,547,898
-----------------------------------------------
Net increase in net assets resulting from operations $16,153,296 $53,289,855
===============================================
The accompanying notes are an integral part of these financial statements
34
American Bar Association Members/ State Street Collective Trust
Small-Cap Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
July 1, 2003 January 1, 2003
to September 30, 2003 to September 30, 2003
-----------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment loss $(185,614) $(258,043)
Net realized gain (loss) on investments 790,712 (15,854,806)
Unrealized appreciation of investments during the period 15,548,198 69,402,704
-----------------------------------------------
Net increase in net assets resulting from operations 16,153,296 53,289,855
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 9,817,471 19,200,004
Cost of units redeemed (3,074,768) (11,384,341)
Net increase in net assets resulting from
participant transactions 6,742,703 7,815,663
-----------------------------------------------
Total increase in net assets 22,895,999 61,105,518
Net Assets:
Beginning of period 261,510,388 223,300,869
-----------------------------------------------
End of period $284,406,387 $284,406,387
===============================================
Number of units:
Outstanding-beginning of period 5,221,289 5,207,132
Sold