Back to GetFilings.com
FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2002
OR
[_] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the transition period from to Commission file No. 333-84814
AMERICAN BAR ASSOCIATION MEMBERS/STATE STREET COLLECTIVE TRUST
(Exact name of registrant as specified in its charter)
MASSACHUSETTS 04-6691601
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
225 FRANKLIN STREET, BOSTON, MASSACHUSETTS 02110
(Address of principal executive offices)
(Zip Code)
(617) 786-3000
(Registrant's telephone number, including area code)
NOT APPLICABLE
(Former name, former address and former fiscal year,
if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d)of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
--- ---
AMERICAN BAR ASSOCIATION MEMBERS/
STATE STREET COLLECTIVE TRUST
FORM 10-Q
TABLE OF CONTENTS
Page No.
--------
PART I. FINANCIAL INFORMATION
Item 1.Financial Statements (Unaudited)
Aggressive Equity Fund
Statement of Assets and Liabilities................. 1
Statement of Operations............................. 2
Statement of Changes in Net Assets...................3
Per-Unit Data and Ratios.............................4
Balanced Fund
Statement of Assets and Liabilities................. 5
Statement of Operations............................. 6
Statement of Changes in Net Assets...................7
Per-Unit Data and Ratios.............................8
Growth Equity Fund
Statement of Assets and Liabilities................. 9
Statement of Operations............................ 10
Statement of Changes in Net Assets..................11
Per-Unit Data and Ratios............................12
Index Equity Fund
Statement of Assets and Liabilities................ 13
Statement of Operations............................ 14
Statement of Changes in Net Assets..................15
Per-Unit Data and Ratios............................16
Intermediate Bond Fund
Statement of Assets and Liabilities................ 17
Statement of Operations............................ 18
Statement of Changes in Net Assets..................19
Per-Unit Data and Ratios............................20
International Equity Fund
Statement of Assets and Liabilities................ 21
Statement of Operations............................ 22
Statement of Changes in Net Assets..................23
Per-Unit Data and Ratios............................24
Stable Asset Return Fund
Statement of Assets and Liabilities................ 25
Statement of Operations............................ 26
Statement of Changes in Net Assets..................27
Per-Unit Data and Ratios............................28
Value Equity Fund
Statement of Assets and Liabilities................ 29
Statement of Operations............................ 30
Statement of Changes in Net Assets..................31
i
Page No.
--------
Per-Unit Data and Ratios............................32
Structured Portfolio Service - Conservative Portfolio
Statement of Assets and Liabilities................ 33
Statement of Operations............................ 34
Statement of Changes in Net Assets..................35
Per-Unit Data and Ratios............................36
Structured Portfolio Service - Moderate Portfolio
Statement of Assets and Liabilities................ 37
Statement of Operations............................ 38
Statement of Changes in Net Assets..................39
Per-Unit Data and Ratios............................40
Structured Portfolio Service - Aggressive Portfolio
Statement of Assets and Liabilities................ 41
Statement of Operations............................ 42
Statement of Changes in Net Assets..................43
Per-Unit Data and Ratios............................44
Notes to unaudited financial statements........................45
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations...............52
PART II. OTHER INFORMATION
Item 5. Other Information.................................55
Item 6. Exhibits and Reports on Form 8-K..................57
SIGNATURES.....................................................58
ii
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $329,329,290) $280,758,084
Cash 605
Receivable for investments sold 767,322
Receivable for fund units sold 412,097
Dividends and interestreceivable 175,903
Other assets 100,927
------------
Total assets 282,214,938
------------
Liabilities
Payable for investments purchased 1,157,596
Payable for fund units purchased 0
Accrued expenses 399,642
Other liabilities 0
------------
Total liabilities 1,557,238
------------
Net Assets $280,657,700
============
Net asset value, redemption price and offering price per
unit of beneficial interest ($280,657,700/5,526,663
units outstanding) $ 50.78
============
1
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Investment income:
Dividend income $ 302,416 $ 856,029
Interest income 326,310 469,280
-----------------------------------------
Total investment income 628,726 1,325,309
Expenses:
Investment advisory fee 315,911 645,122
State Street Bank & Trust Company - program fee 241,616 490,897
American Bar Retirement Association - program fee 36,477 73,146
Trustee, management and administration fees 63,436 127,392
Other expenses and taxes 38,760 73,924
-----------------------------------------
Total expenses 696,200 1,410,481
-----------------------------------------
Net investment loss (67,474) (85,172)
-----------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (5,866,933) (3,891,237)
Unrealized depreciation of investments during the period (44,771,216) (45,643,351)
-----------------------------------------
Net loss on investments (50,638,149) (49,534,588)
-----------------------------------------
Net decrease in net assets resulting from operations $(50,705,623) $(49,619,760)
=========================================
2
American Bar Association Members/ State Street Collective Trust
Aggressive Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Decrease in net assets from:
Operations:
Net investment loss $ (67,474) $ (85,172)
Net realized loss on investments (5,866,933) (3,891,237)
Unrealized depreciation of investments during the period (44,771,216) (45,643,351)
-----------------------------------------
Net decrease in net assets resulting from operations (50,705,623) (49,619,760)
-----------------------------------------
Participant transactions:
Proceeds from sales of units 4,580,323 12,136,543
Cost of units redeemed (6,139,085) (13,117,543)
Net decrease in net assets resulting from participant transactions (1,558,762) (981,000)
-----------------------------------------
Total decrease in net assets (52,264,385) (50,600,760)
Net Assets:
Beginning of period 332,922,085 331,258,460
-----------------------------------------
End of period $ 280,657,700 $ 280,657,700
=========================================
Number of units:
Outstanding-beginning of period 5,556,994 5,548,719
Sold 80,858 210,743
Redeemed (111,189) (232,799)
Outstanding-end of period 5,526,663 5,526,663
=========================================
3
American Bar Association Members/ State Street Collective Trust
Aggressive 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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
--------------------------------------------
Investment income $ 0.11 $ 0.24
Expenses (0.13) (0.25)
--------------------------------------------
Net investment loss (0.02) (0.01)
Net realized and unrealized loss on investments (9.11) (8.91)
--------------------------------------------
Net decrease in unit value (9.13) (8.92)
Net asset value at beginning of period 59.91 59.70
--------------------------------------------
Net asset value at end of period $ 50.78 $ 50.78
============================================
Ratio of expenses to average net assets* 0.91% 0.90%
Ratio of net investment income to average net assets* (0.09)% (0.05)%
Portfolio turnover** 21% 32%
Number of units outstanding at end of period (in thousands) 5,527 5,527
- ----------
* Annualized
** Not annualized
4
American Bar Association Members/ State Street Collective Trust
Balanced Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $485,862,685) $471,838,313
Cash 0
Receivable for investments sold 5,812,242
Receivable for fund units sold 294,583
Dividends and interest receivable 2,094,510
Other assets 7,618
------------
Total assets 480,047,266
------------
Liabilities
Payable for investments purchased 68,122,637
Payable for fund units purchased 0
Accrued expenses 334,954
Other liabilities 394
------------
Total liabilities 68,457,985
------------
Net Assets $411,589,281
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($411,589,281/ 6,907,629 units outstanding) $ 59.58
============
5
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, 2002
to June 30, 2002 to June 30, 2002
---------------------------------------------
Investment income:
Dividend income $ 784,792 $ 1,628,227
Interest income 2,531,605 5,256,570
---------------------------------------------
Total investment income 3,316,397 6,884,797
Expenses:
Investment advisory fee 247,518 500,364
State Street Bank & Trust Company - program fee 343,472 695,715
American Bar Retirement Association - program fee 51,836 103,606
Trustee, management and administration fees 90,146 180,433
Other expenses and taxes 58,226 126,808
---------------------------------------------
Total expenses 791,198 1,606,926
---------------------------------------------
Net investment income 2,525,199 5,277,871
---------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain (loss) on investments sold (1,140,319) 510,573
Unrealized depreciation of investments during the period (46,117,336) (46,833,290)
---------------------------------------------
Net loss on investments (47,257,655) (46,322,717)
---------------------------------------------
Net decrease in net assets resulting from operations $(44,732,456) $(41,044,846)
=============================================
6
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, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $ 2,525,199 $ 5,277,871
Net realized gain (loss) on investments (1,140,319) 510,573
Unrealized depreciation of investments during the period (46,117,336) (46,833,290)
-----------------------------------------------
Net decrease in net assets resulting from operations (44,732,456) (41,044,846)
Participant transactions:
Proceeds from sales of units 6,426,602 12,234,921
Cost of units redeemed (7,745,778) (17,757,377)
Net decrease in net assets resulting from participant transactions (1,319,176) (5,522,456)
-----------------------------------------------
Total decrease in net assets (46,051,632) (46,567,302)
Net Assets:
Beginning of period 457,640,913 458,156,583
-----------------------------------------------
End of period $ 411,589,281 $ 411,589,281
===============================================
Number of units:
Outstanding-beginning of period 6,932,310 6,995,400
Sold 98,373 188,053
Redeemed (123,054) (275,824)
Outstanding-end of period 6,907,629 6,907,629
===============================================
7
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, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------------
Investment income $ 0.48 $ 0.99
Expenses (0.11) (0.23)
-------------------------------------------------
Net investment income 0.37 0.76
Net realized and unrealized loss on investments (6.81) (6.67)
-------------------------------------------------
Net decrease in unit value (6.44) (5.91)
Net asset value at beginning of period 66.02 65.49
-------------------------------------------------
Net asset value at end of period $ 59.58 $ 59.58
=================================================
Ratio of expenses to average net assets* 0.72% 0.72%
Ratio of net investment income to average net assets* 2.31% 2.38%
Portfolio turnover** 31% 72%
Number of units outstanding at end of period (in thousands) 6,908 6,908
- ----------
* Annualized
** Not annualized
8
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $896,970,814) $788,435,608
Cash 111,310
Receivable for investments sold 47,360,809
Receivable for fund units sold 0
Dividends and interest receivable 684,948
Other assets 8,866
------------
Total assets 836,601,541
------------
Liabilities
Payable for investments purchased 42,746,524
Payable for fund units purchased 246,319
Accrued expenses 693,994
Other liabilities 4,503
------------
Total liabilities 43,691,340
------------
Net Assets $792,910,201
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($792,910,201/21,688,435 units outstanding) $ 36.56
============
9
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Investment income:
Dividend income $ 2,190,467 $ 4,506,066
Interest income 164,449 244,722
-------------------------------------------
Total investment income 2,354,916 4,750,788
Expenses:
Investment advisory fee 429,285 890,865
State Street Bank & Trust Company - program fee 697,454 1,465,529
American Bar Retirement Association - program fee 105,331 218,240
Trustee, management and administration fees 183,174 380,084
Other expenses and taxes 119,019 259,135
-------------------------------------------
Total expenses 1,534,263 3,213,853
Net investment income 820,653 1,536,935
-------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (42,225,975) (55,245,187)
Unrealized depreciation of investments during the period (135,570,205) (144,330,469)
-------------------------------------------
Net loss on investments (177,796,180) (199,575,656)
-------------------------------------------
Net decrease in net assets resulting from operations $(176,975,527) $(198,038,721)
===========================================
10
American Bar Association Members/ State Street Collective Trust
Growth Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
---------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $ 820,653 $ 1,536,935
Net realized loss on investments (42,225,975) (55,245,187)
Unrealized depreciation of investments during the period (135,570,205) (144,330,469)
---------------------------------------------
Net decrease in net assets resulting from operations (176,975,527) (198,038,721)
---------------------------------------------
Participant transactions:
Proceeds from sales of units 10,014,630 21,348,029
Cost of units redeemed (28,629,516) (48,664,827)
Net decrease in net assets resulting from participant transactions (18,614,886) (27,316,798)
---------------------------------------------
Total decrease in net assets (195,590,413) (225,355,519)
Net Assets:
Beginning of period 988,500,614 1,018,265,720
---------------------------------------------
End of period $ 792,910,201 $ 792,910,201
=============================================
Number of units:
Outstanding-beginning of period 22,163,686 22,363,376
Sold 241,649 495,001
Redeemed (716,900) (1,169,942)
Outstanding-end of period 21,688,435 21,688,435
=============================================
11
American Bar Association Members/ State Street Collective Trust
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
----------------------------------------
Investment income $ 0.11 $ 0.21
Expenses (0.07) (0.14)
----------------------------------------
Net investment income 0.04 0.07
Net realized and unrealized loss on investments (8.08) (9.04)
----------------------------------------
Net decrease in unit value (8.04) (8.97)
Net asset value at beginning of period 44.60 45.53
----------------------------------------
Net asset value at end of period $ 36.56 $ 36.56
========================================
Ratio of expenses to average net assets* 0.69% 0.69%
Ratio of net investment income to average net assets* 0.37% 0.33%
Portfolio turnover** 14% 17%
Number of units outstanding at end of period (in thousands) 21,688 21,688
- ----------
* Annualized
** Not annualized
12
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $324,005,629) $240,730,312
Cash 0
Receivable for investments sold 1,664,232
Receivable for fund units sold 49,037
Dividends and interest receivable 0
Other assets 2,477
------------
Total assets 242,446,058
------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 0
Accrued expenses 101,095
Other liabilities 0
------------
Total liabilities 101,095
------------
Net Assets $242,344,963
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($242,344,963/10,387,829 units outstanding) $ 23.33
============
13
American Bar Association Members/ State Street Collective Trust
Index Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Investment income:
Dividend income $ 595 $ 595
Interest income 0 0
-----------------------------------------
Total investment income 595 595
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 202,656 407,468
American Bar Retirement Association - program fee 30,584 60,695
Trustee, management and administration fees 53,191 105,709
Other expenses and taxes 32,504 61,605
-----------------------------------------
Total expenses 318,935 635,477
-----------------------------------------
Net investment loss (318,340) (634,882)
-----------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (1,964,702) (2,469,061)
Unrealized depreciation of investments during the period (34,157,770) (30,954,798)
-----------------------------------------
Net loss on investments (36,122,472) (33,423,859)
-----------------------------------------
Net decrease in net assets resulting from operations ($36,440,812) ($34,058,741)
=========================================
14
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Decrease in net assets from:
Operations:
Net investment loss $ (318,340) $ (634,882)
Net realized loss on investments (1,964,702) (2,469,061)
Unrealized depreciation of investments during the period (34,157,770) (30,954,798)
-----------------------------------------
Net decrease in net assets resulting from operations (36,440,812) (34,058,741)
-----------------------------------------
Participant transactions:
Proceeds from sales of units 12,224,385 20,788,844
Cost of units redeemed (4,788,512) (7,562,364)
Net increase in net assets resulting from participant transactions 7,435,873 13,226,480
-----------------------------------------
Total decrease in net assets (29,004,939) (20,832,261)
Net Assets:
Beginning of period 271,349,902 263,177,224
-----------------------------------------
End of period $ 242,344,963 $ 242,344,963
=========================================
Number of units:
Outstanding-beginning of period 10,102,133 9,881,870
Sold 481,545 805,807
Redeemed (195,849) (299,848)
Outstanding-end of period 10,387,829 10,387,829
=========================================
15
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
--------------------------------------------
Investment income $ 0.00 $ 0.00
Expenses (0.03) (0.06)
--------------------------------------------
Net investment loss (0.03) (0.06)
Net realized and unrealized loss on investments (3.50) (3.24)
--------------------------------------------
Net decrease in unit value (3.53) (3.30)
Net asset value at beginning of period 26.86 26.63
--------------------------------------------
Net asset value at end of period $ 23.33 $ 23.33
============================================
Ratio of expenses to average net assets* 0.49% 0.49%
Ratio of net investment income to average net assets* (0.49)% (0.49)%
Portfolio turnover** 3% 3%
Number of units outstanding at end of period (in thousands) 10,388 10,388
- ----------
* 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 portfolios of such collective investment fund.
16
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $179,202,061) $186,187,125
Cash 0
Receivable for investments sold 2,983,514
Receivable for fund units sold 0
Dividends and interest receivable 648,270
Other assets 1,734
------------
Total assets 189,820,643
------------
Liabilities
Payable for investments purchased 2,517,450
Payable for fund units purchased 466,064
Accrued expenses 76,383
Other liabilities 0
------------
Total liabilities 3,059,897
------------
Net Assets $186,760,746
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($186,760,746/11,552,763 units outstanding) $ 16.17
============
17
American Bar Association Members/ State Street Collective Trust
Intermediate Bond Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Investment income:
Dividend income $2,206,197 $4,226,365
Interest income 422 422
------------------------------------------
Total investment income 2,206,619 4,226,787
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 145,021 284,760
American Bar Retirement Association - program fee 21,871 42,392
Trustee, management and administration fees 38,035 73,819
Other expenses and taxes 23,252 43,054
------------------------------------------
Total expenses 228,179 444,025
------------------------------------------
Net investment income 1,978,440 3,782,762
------------------------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 116,353 39,295
Unrealized appreciation of investments during the period 3,702,163 2,957,381
------------------------------------------
Net gain on investments 3,818,516 2,996,676
------------------------------------------
Net increase in net assets resulting from operations $5,796,956 $6,779,438
==========================================
18
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Increase in net assets from:
Operations:
Net investment income $ 1,978,440 $ 3,782,762
Net realized gain on investments 116,353 39,295
Unrealized appreciation of investments during the period 3,702,163 2,957,381
-------------------------------------------
Net increase in net assets resulting from operations 5,796,956 6,779,438
-------------------------------------------
Participant transactions:
Proceeds from sales of units 4,505,719 11,245,608
Cost of units redeemed (3,917,584) (7,689,554)
Net increase in net assets resulting from participant transactions 588,135 3,556,054
-------------------------------------------
Total increase in net assets 6,385,091 10,335,492
Net Assets:
Beginning of period 180,375,655 176,425,254
-------------------------------------------
End of period $ 186,760,746 $ 186,760,746
===========================================
Number of units:
Outstanding-beginning of period 11,515,317 11,324,956
Sold 282,050 711,783
Redeemed (244,604) (483,976)
Outstanding-end of period 11,552,763 11,552,763
===========================================
19
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Investment income $ 0.21 $ 0.37
Expenses (0.02) (0.04)
-------------------------------------------
Net investment income 0.19 0.33
Net realized and unrealized gain on investments 0.32 0.26
-------------------------------------------
Net increase in unit value 0.51 0.59
Net asset value at beginning of period 15.66 15.58
-------------------------------------------
Net asset value at end of period $ 16.17 $ 16.17
===========================================
Ratio of expenses to average net assets* 0.49% 0.49%
Ratio of net investment income to average net assets* 4.32% 4.16%
Portfolio turnover** 5% 8%
Number of units outstanding at end of period (in thousands) 11,553 11,553
- ----------
* Annualized
** Not annualized. Reflects purchases and sales of shares of the registered
investment company in which the fund invests, rather than turnover of the
underlying portfolio of such registered investment company.
20
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $91,297,963) $87,592,718
Cash 673
Receivable for investments sold 90,535
Receivable for fund units sold 22,030
Dividends and interest receivable 166,955
Other assets 7,685
-----------
Total assets 87,880,596
-----------
Liabilities
Payable for investments purchased 200,911
Payable for fund units purchased 203,099
Accrued expenses 78,376
Other liabilities 2,346
-----------
Total liabilities 484,732
-----------
Net Assets $87,395,864
===========
Net asset value, redemption price and offering
price per unit of beneficial interest
($87,395,864/5,394,851 units outstanding) $ 16.20
===========
21
American Bar Association Members/ State Street Collective Trust
International Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Investment income:
Dividend income $ 323,464 $ 459,316
Interest income 6,266 11,712
------------------------------------------
Total investment income 329,730 471,028
Expenses:
Investment advisory fee 42,624 84,037
State Street Bank & Trust Company - program fee 58,476 115,221
American Bar Retirement Association - program fee 10,602 20,612
Trustee, management and administration fees 18,439 35,897
Other expenses and taxes 44,576 70,431
------------------------------------------
Total expenses 174,717 326,198
------------------------------------------
Net investment income 155,013 144,830
------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (4,286,022) (7,024,840)
Unrealized appreciation (depreciation) of investments during the period (105,131) 2,396,431
------------------------------------------
Net loss on investments (4,391,153) (4,628,409)
------------------------------------------
Net decrease in net assets resulting from operations $(4,236,140) $(4,483,579)
==========================================
22
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
----------------------------------------
Decrease in net assets from:
Operations:
Net investment income $ 155,013 $ 144,830
Net realized loss on investments (4,286,022) (7,024,840)
Unrealized appreciation (depreciation) of investments during the period (105,131) 2,396,431
----------------------------------------
Net decrease in net assets resulting from operations (4,236,140) (4,483,579)
----------------------------------------
Participant transactions:
Proceeds from sales of units 14,729,275 23,467,631
Cost of units redeemed (13,326,621) (20,588,906)
Net increase in net assets resulting from participant transactions 1,402,654 2,878,725
----------------------------------------
Total decrease in net assets (2,833,486) (1,604,854)
Net Assets:
Beginning of period 90,229,350 89,000,718
----------------------------------------
End of period $ 87,395,864 $ 87,395,864
========================================
Number of units:
Outstanding-beginning of period 5,318,274 5,223,849
Sold 878,937 1,422,076
Redeemed (802,360) (1,251,074)
Outstanding-end of period 5,394,851 5,394,851
========================================
23
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
----------------------------------------------
Investment income $ 0.06 $ 0.09
Expenses (0.03) (0.06)
----------------------------------------------
Net investment income 0.03 0.03
Net realized and unrealized loss on investments (0.80) (0.87)
----------------------------------------------
Net decrease in unit value (0.77) (0.84)
Net asset value at beginning of period 16.97 17.04
----------------------------------------------
Net asset value at end of period $ 16.20 $ 16.20
==============================================
Ratio of expenses to average net assets* 0.78% 0.74%
Ratio of net investment income to average net assets* 0.69% 0.33%
Portfolio turnover** 19% 31%
Number of units outstanding at end of period (in thousands) 5,395 5,395
- ----------
* 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.
24
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $812,153,335.) $812,153,335
Cash $ 0
Interest Receivable 3,140,247
Receivable for fund units sold 411,292
Other assets 7,563
------------
Total assets 815,712,437
------------
Liabilities
Payable for fund units redeemed 710,556
Accrued expenses 328,576
------------
Total liabilities 1,039,132
------------
Net Assets $814,673,305
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($814,673,305/814,673,305 units outstanding) 1.00
============
25
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Interest income $ 9,499,309 $19,105,339
-------------------------------------------
Expenses:
State Street Bank & Trust Company - program fee 626,723 1,244,017
American Bar Retirement Association - program fee 94,491 185,196
Trustee, management and administration fees 164,321 322,487
Other expenses and taxes 100,453 187,970
-------------------------------------------
Total expenses 985,988 1,939,670
-------------------------------------------
Net investment income $ 8,513,321 $17,165,669
===========================================
26
American Bar Association Members/ State Street Collective Trust
Stable Asset Return Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
--------------------------------------------
Increase in net assets from:
Operations:
Net investment income and net increase in net
assets resulting from operations 8,513,321 17,165,669
--------------------------------------------
Distributions from investment income (8,513,321) (17,165,669)
--------------------------------------------
Participant transactions:
Proceeds from sales of units 53,013,941 83,196,023
Units issued in connection with reinvestment
of net investment income 8,513,321 17,165,669
Cost of units redeemed (36,602,816) (83,548,151)
Net increase in net assets resulting from
participant transactions 24,924,446 16,813,541
--------------------------------------------
Total increase in net assets 24,924,446 16,813,541
--------------------------------------------
Net Assets:
Beginning of period 789,748,859 797,859,764
--------------------------------------------
End of period $ 814,673,305 $ 814,673,305
============================================
27
American Bar Association Members/ State Street Collective Trust
Stable Asset Return 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, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Investment income $ 0.012 $ 0.024
Expenses (0.001) (0.002)
-----------------------------------------
Net investment income 0.011 0.022
Reinvestment of net investment income (0.011) (0.022)
-----------------------------------------
Net increase in unit value 0.00 0.00
Net asset value at beginning of period 1.00 1.00
-----------------------------------------
Net asset value at end of period $ 1.00 $ 1.00
=========================================
Ratio of expenses to average net assets* .49% .49%
Ratio of net investment income to average net assets* 4.26% 4.33%
Number of units outstanding at end of period (in thousands) 814,673 814,673
- ----------
* Annualized
28
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
------------
Assets
Investments, at value (cost $244,062,868) $238,217,628
Cash 0
Receivable for investments sold 410,955
Receivable for fund units sold 48,056
Dividends and interest receivable 318,381
Other assets 2,233
------------
Total assets 238,997,253
------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 0
Accrued expenses 144,904
Other liabilities 0
------------
Total liabilities 144,904
------------
Net Assets $238,852,349
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($238,852,349 / 9,280,026 units outstanding) $ 25.74
============
29
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
---------------------------------------------
Investment income:
Dividend income $ 1,065,668 $ 2,014,680
Interest income 28,896 54,781
---------------------------------------------
Total investment income 1,094,564 2,069,461
Expenses:
Investment advisory fee 138,368 266,756
State Street Bank & Trust Company - program fee 191,208 365,453
American Bar Retirement Association - program fee 28,844 54,461
Trustee, management and administration fees 50,168 94,855
Other expenses and taxes 30,269 55,454
---------------------------------------------
Total expenses 438,857 836,979
---------------------------------------------
Net investment income 655,707 1,232,482
---------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 1,040,784 1,639,995
Unrealized depreciation of investments during the period (22,212,088) (11,969,755)
---------------------------------------------
Net loss on investments (21,171,304) (10,329,760)
---------------------------------------------
Net decrease in net assets resulting from operations $(20,515,597) $ (9,097,278)
=============================================
30
American Bar Association Members/ State Street Collective Trust
Value Equity Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Increase in net assets from:
Operations:
Net investment income $ 655,707 $ 1,232,482
Net realized gain on investments 1,040,784 1,639,995
Unrealized depreciation of investments during the period (22,212,088) (11,969,755)
-------------------------------------------
Net decrease in net assets resulting from operations (20,515,597) (9,097,278)
-------------------------------------------
Participant transactions:
Proceeds from sales of units 38,933,306 61,217,424
Cost of units redeemed (17,490,216) (34,665,440)
Net increase in net assets resulting from participant transactions 21,443,090 26,551,984
-------------------------------------------
Total increase in net assets 927,493 17,454,706
Net Assets:
Beginning of period 237,924,856 221,397,643
-------------------------------------------
End of period $ 238,852,349 $ 238,852,349
===========================================
Number of units:
Outstanding-beginning of period 8,503,863 8,321,228
Sold 1,425,439 2,251,781
Redeemed (649,276) (1,292,983)
Outstanding-end of period 9,280,026 9,280,026
===========================================
31
American Bar Association Members/ State Street Collective Trust
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, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
-----------------------------------------
Investment income $ 0.12 $ 0.24
Expenses (0.05) (0.10)
-----------------------------------------
Net investment income 0.07 0.14
Net realized and unrealized loss on investments (2.31) (1.01)
-----------------------------------------
Net decrease in unit value (2.24) (0.87)
Net asset value at beginning of period 27.98 26.61
-----------------------------------------
Net asset value at end of period $ 25.74 $ 25.74
=========================================
Ratio of expenses to average net assets* 0.72% 0.72%
Ratio of net investment income to average net assets* 1.07% 1.06%
Portfolio turnover** 5% 11%
Number of units outstanding at end of period (in thousands) 9,280 9,280
- ----------
* Annualized
** Not annualized. With respect to the portion of the fund's assets invested in
a collective investment fund, represents purchases and sales of units of the
collective investment fund rather than turnover of the underlying portfolio
of such collective investment fund.
32
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $29,439,394) $30,108,713
Cash 6,568
Receivable for investments sold 474,104
Receivable for fund units sold 14,184
Dividends and interest receivable 0
Other assets 0
-----------
Total assets 30,603,569
-----------
Liabilities
Payable for investments purchased 723,305
Payable for fund units purchased 0
Accrued expenses 0
Other liabilities 0
-----------
Total liabilities 723,305
-----------
Net Assets $29,880,264
===========
Net asset value, redemption price and offering
price per unit of beneficial interest
($29,880,264/1,850,967 units outstanding) $ 16.14
===========
33
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
---------------------------------------------
Investment income:
Dividend income $ 0 $ 0
Interest income 0 0
---------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 0 0
American Bar Retirement Association - program fee 0 0
Trustee, management and administration fees 0 0
Other expenses and taxes 0 0
Total expenses 0 0
---------------------------------------------
Net investment income 0 0
---------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 367,860 699,303
Unrealized depreciation of investments during the period (1,188,946) (1,240,158)
---------------------------------------------
Net loss on investments (821,086) (540,855)
---------------------------------------------
Net decrease in net assets resulting from operations $ (821,086) $ (540,855)
=============================================
34
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $ 0 $ 0
Net realized gain on investments 367,860 699,303
Unrealized depreciation of investments during the period (1,188,946) (1,240,158)
------------------------------------------
Net decrease in net assets resulting from operations (821,086) (540,855)
------------------------------------------
Participant transactions:
Proceeds from sales of units 1,444,435 3,007,312
Cost of units redeemed (1,938,227) (3,928,617)
Net decrease in net assets resulting from participant transactions (493,792) (921,305)
------------------------------------------
Total decrease in net assets (1,314,878) (1,462,160)
Net Assets:
Beginning of period 31,195,142 31,342,424
------------------------------------------
End of period $ 29,880,264 $ 29,880,264
==========================================
Number of units:
Outstanding-beginning of period 1,880,701 1,906,106
Sold 87,728 182,673
Redeemed (117,462) (237,812)
Outstanding-end of period 1,850,967 1,850,967
==========================================
35
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Conservative 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, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Investment income $ 0.00 $ 0.00
Expenses 0.00 0.00
------------------------------------------
Net investment income 0.00 0.00
Net realized and unrealized loss on investments (0.45) (0.30)
------------------------------------------
Net decrease in unit value (0.45) (0.30)
Net asset value at beginning of period 16.59 16.44
------------------------------------------
Net asset value at end of period $ 16.14 $ 16.14
==========================================
Ratio of expenses to average net assets* 0.00% 0.00%
Ratio of net investment income to average net assets* 0.00% 0.00%
Portfolio turnover** 9% 16%
Number of units outstanding at end of period (in thousands) 1,851 1,851
- ----------
* Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which
the portfolio invests rather than the turnover of such underlying funds.
36
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $116,452,081) $114,873,461
Cash 0
Receivable for investments sold 1,954,842
Receivable for fund units sold 36,258
Dividends and interest receivable 0
Other assets 0
------------
Total assets 116,864,561
------------
Liabilities
Payable for investments purchased 1,986,602
Payable for fund units purchased 0
Accrued expenses 0
Other liabilities 0
------------
Total liabilities 1,986,602
------------
Net Assets $114,877,959
============
Net asset value, redemption price and offering
price per unit of beneficial interest
($ 114,877,959/6,993,818 units outstanding) $ 16.43
============
37
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Operations
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Investment income:
Dividend income $ 0 $ 0
Interest income 0 0
------------------------------------------
Total investment income 0 0
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 0 0
American Bar Retirement Association - program fee 0 0
Trustee, management and administration fees 0 0
Other expenses and taxes 0 0
------------------------------------------
Total expenses 0 0
------------------------------------------
Net investment income 0 0
------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 1,034,201 2,282,712
Unrealized depreciation of investments during the period (7,847,579) (8,190,014)
------------------------------------------
Net loss on investments (6,813,378) (5,907,302)
------------------------------------------
Net decrease in net assets resulting from operations $(6,813,378) $(5,907,302)
==========================================
38
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate Fund
Statement of Changes in Net Assets
Unaudited
For the period For the period
April 1, 2002 January 1, 2002
to June 30, 2002 to June 30, 2002
------------------------------------------
Increase (decrease) in net assets from:
Operations:
Net investment income $ 0 $ 0
Net realized gain on investments 1,034,201 2,282,712
Unrealized depreciation of investments during the period (7,847,579) (8,190,014)
------------------------------------------
Net decrease in net assets resulting from operations (6,813,378) (5,907,302)
------------------------------------------
Participant transactions:
Proceeds from sales of units 7,515,370 14,171,629
Cost of units redeemed (1,657,152) (4,241,848)
Net increase in net assets resulting from participant transactions 5,858,218 9,929,781
------------------------------------------
Total increase (decrease) in net assets (955,160) 4,022,479
Net Assets:
Beginning of period 115,833,119 110,855,480
------------------------------------------
End of period $ 114,877,959 $ 114,877,959
==========================================
Number of units:
Outstanding-beginning of period 6,652,479 6,417,587
Sold 438,589 824,194
Redeemed (97,250) (247,963)
Outstanding-end of period 6,993,818 6,993,818
==========================================
39
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Moderate 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, 2002
to June 30, 2002 to June 30, 2002
-------------------------------------------
Investment income $ 0.00 $ 0.00
Expenses 0.00 0.00
-------------------------------------------
Net investment income 0.00 0.00
Net realized and unrealized loss on investments (0.99) (0.88)
-------------------------------------------
Net decrease in unit value (0.98) (0.84)
Net asset value at beginning of period 17.41 17.27
-------------------------------------------
Net asset value at end of period $ 16.43 $ 16.43
===========================================
Ratio of expenses to average net assets* 0.00% 0.00%
Ratio of net investment income to average net assets* 0.00% 0.00%
Portfolio turnover** 5% 10%
Number of units outstanding at end of period (in thousands) 6,994 6,994
- ----------
* Annualized
** Not annualized. Reflects purchases and sales of units of the funds in which
the portfolio invests rather than the turnover of such underlying funds.
40
American Bar Association Members/ State Street Collective Trust
Structured Portfolio Service- Aggressive Fund
Statement of Assets and Liabilities
Unaudited
June 30, 2002
-------------
Assets
Investments, at value (cost $97,119,910) $92,410,191
Cash 0
Receivable for investments sold 1,191,870
Receivable for fund units sold 45,750
Dividends and interest re