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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 SEPTEMBER 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)
Balanced Fund
Statement of Assets and Liabilities................. 1
Statement of Operations............................. 2
Statement of Changes in Net Assets...................3
Per-Unit Data and Ratios.............................4
Index Equity Fund
Statement of Assets and Liabilities................. 5
Statement of Operations............................. 6
Statement of Changes in Net Assets...................7
Per-Unit Data and Ratios.............................8
Intermediate Bond Fund
Statement of Assets and Liabilities................. 9
Statement of Operations............................ 10
Statement of Changes in Net Assets..................11
Per-Unit Data and Ratios............................12
International Equity Fund
Statement of Assets and Liabilities................ 13
Statement of Operations............................ 14
Statement of Changes in Net Assets..................15
Per-Unit Data and Ratios............................16
Large-Cap Growth Equity Fund
Statement of Assets and Liabilities................ 17
Statement of Operations............................ 18
Statement of Changes in Net Assets..................19
Per-Unit Data and Ratios............................20
Large-Cap Value Equity Fund
Statement of Assets and Liabilities................ 21
Statement of Operations............................ 22
Statement of Changes in Net Assets..................23
Per-Unit Data and Ratios............................24
Mid-Cap Growth Equity Fund
Statement of Assets and Liabilities................ 25
Statement of Operations............................ 26
Statement of Changes in Net Assets..................27
Per-Unit Data and Ratios............................28
i
Page No.
--------
Mid-Cap Value Equity Fund
Statement of Assets and Liabilities................ 29
Statement of Operations............................ 30
Statement of Changes in Net Assets..................31
Per-Unit Data and Ratios............................32
Small-Cap Equity Fund
Statement of Assets and Liabilities................ 33
Statement of Operations............................ 34
Statement of Changes in Net Assets..................35
Per-Unit Data and Ratios............................36
Stable Asset Return Fund
Statement of Assets and Liabilities................ 37
Statement of Operations............................ 38
Statement of Changes in Net Assets..................39
Per-Unit Data and Ratios............................40
Structured Portfolio Service - Conservative Portfolio
Statement of Assets and Liabilities................ 41
Statement of Operations............................ 42
Statement of Changes in Net Assets..................43
Per-Unit Data and Ratios............................44
Structured Portfolio Service - Moderate Portfolio
Statement of Assets and Liabilities................ 45
Statement of Operations............................ 46
Statement of Changes in Net Assets..................47
Per-Unit Data and Ratios............................48
Structured Portfolio Service - Aggressive Portfolio
Statement of Assets and Liabilities................ 49
Statement of Operations............................ 50
Statement of Changes in Net Assets..................51
Per-Unit Data and Ratios............................52
Notes to Unaudited Financial Statements...................53
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations...............61
Item 4. Procedures and Controls...........................66
PART II. OTHER INFORMATION
Item 2. Changes in Securities and Use of Proceeds.........66
Item 5. Other Information.................................66
Item 6. Exhibits and Reports on Form 8-K..................68
SIGNATURES.....................................................69
CERTIFICATIONS.................................................70
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, 2002
------------------
Assets
Investments, at value (cost $459,177,972) $401,270,984
Cash 258,652
Receivable for investments sold 204,257
Receivable for fund units sold 0
Dividends and interest receivable 1,529,440
Other assets 19,136
------------------
Total assets 403,282,469
------------------
Liabilities
Payable for investments purchased 49,356,389
Payable for fund units purchased 1,104,862
Accrued expenses 365,802
Other liabilities 5,147
------------------
Total liabilities 50,832,200
------------------
Net Assets $352,450,269
==================
Net asset value, redemption price and offering price
per unit of beneficial interest ($352,450,269/6,585,440
units outstanding) $ 53.52
==================
The accompanying notes are an integral part of these financial statements.
1
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
BALANCED FUND
STATEMENT OF OPERATIONS
UNAUDITED
FOR THE PERIOD FOR THE PERIOD
JULY 1, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income:
Dividend income $ 714,141 $ 2,342,368
Interest income 2,273,179 7,529,749
------------------------------------------------
Total investment income 2,987,320 9,872,117
Expenses:
Investment advisory fee 217,056 717,420
State Street Bank& Trust Company - program fee 331,531 1,027,246
American Bar Retirement Association - program fee 47,539 151,145
Trustee, management and administration fees 85,832 266,265
Other expenses and taxes 58,119 184,927
------------------------------------------------
Total expenses 740,077 2,347,003
------------------------------------------------
Net investment income 2,247,243 7,525,114
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized gain on investments sold 304,424 814,997
Unrealized depreciation of investments
during the period (43,882,615) (90,585,758)
------------------------------------------------
Net loss on investments (43,578,191) (89,770,761)
------------------------------------------------
Net decrease in net assets resulting
from operations $(41,330,948) $(82,245,647)
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $ 2,247,243 $ 7,525,114
Net realized gain on investments 304,424 814,997
Unrealized depreciation of
investments during the period (43,882,615) (90,585,758)
-------------------------------------
Net decrease in net assets resulting
from operations (41,330,948) (82,245,647)
-------------------------------------
Participant transactions:
Proceeds from sales of units 3,631,816 15,736,590
Cost of units redeemed (21,439,880) (39,197,257)
Net decrease in net assets resulting
from participant transactions (17,808,064) (23,460,667)
-------------------------------------
Total decrease in net assets (59,139,012) (105,706,314)
Net Assets:
Beginning of period 411,589,281 458,156,583
-------------------------------------
End of period $ 352,450,269 $ 352,450,269
=====================================
Number of units:
Outstanding-beginning of period 6,907,629 6,995,400
Sold 63,788 251,841
Redeemed (385,977) (661,801)
Outstanding-end of period 6,585,440 6,585,440
=====================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income $0.45 $1.43
Expenses (0.11) (0.34)
------------------------------------------------
Net investment income 0.34 1.09
Net realized and unrealized loss on investments (6.40) (13.06)
------------------------------------------------
Net decrease in unit value (6.06) (11.97)
Net asset value at beginning of period 59.58 65.49
------------------------------------------------
Net asset value at end of period $53.52 $53.52
================================================
Ratio of expenses to average net assets* 0.78% 0.74%
Ratio of net investment income to average net assets* 2.37% 2.38%
Portfolio turnover** 53% 135%
Total return (10.00%) (18.00%)
Number of units outstanding at end of period
(in thousands) 6,585 6,585
- ---------------------------------------------------------------
*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, 2002
--------------------
Assets
Investments, at value (cost $318,108,189) $198,134,240
Cash 0
Receivable for investments sold 1,874,113
Receivable for fund units sold 0
Dividends and interest receivable 0
Other assets 3,723
--------------------
Total assets 200,012,076
--------------------
Liabilities
Payable for investments purchased 0
Payable for fund units purchased 667,609
Accrued expenses 100,293
Other liabilities 0
--------------------
Total liabilities 767,902
--------------------
Net Assets $199,244,174
====================
Net asset value, redemption price and offering
price per unit of beneficial interest
($199,244,174/10,328,339 units outstanding) $ 19.29
====================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, TO SEPTEMBER 30,
2002 2002
-----------------------------------------
Investment income:
Dividend income $0 $595
Interest income 0 0
-----------------------------------------
Total investment income 0 595
Expenses:
Investment advisory fee 0 0
State Street Bank & Trust Company - program fee 190,923 598,391
American Bar Retirement Association - program fee 27,372 88,067
Trustee, management and administration fees 49,430 155,139
Other expenses and taxes 30,730 92,335
-----------------------------------------
Total expenses 298,455 933,932
-----------------------------------------
Net investment loss (298,455) (933,337)
-----------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (5,113,719) (7,582,780)
Unrealized depreciation of investments during the period (36,698,632) (67,653,430)
-----------------------------------------
Net loss on investments (41,812,351) (75,236,210)
-----------------------------------------
Net decrease in net assets resulting from operations $(42,110,806) $(76,169,547)
=========================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, TO SEPTEMBER 30,
2002 2002
--------------------------------------
Decrease in net assets from:
Operations:
Net investment loss $ (298,455) $ (933,337)
Net realized loss on investments (5,113,719) (7,582,780)
Unrealized depreciation of investments
during the period (36,698,632) (67,653,430)
--------------------------------------
Net decrease in net assets resulting
from operations (42,110,806) (76,169,547)
--------------------------------------
Participant transactions:
Proceeds from sales of units 6,973,440 27,762,284
Cost of units redeemed (7,963,423) (15,525,787)
Net increase (decrease) in net assets
resulting from participant transactions (989,983) 12,236,497
--------------------------------------
Total decrease in net assets (43,100,789) (63,933,050)
Net Assets:
Beginning of period 242,344,963 263,177,224
--------------------------------------
End of period $ 199,244,174 $ 199,244,174
======================================
Number of units:
Outstanding-beginning of period 10,387,829 9,881,870
Sold 333,098 1,138,905
Redeemed (392,588) (692,436)
Outstanding-end of period 10,328,339 10,328,339
======================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, TO SEPTEMBER 30,
2002 2002
------------------------------------
Investment income $ 0.00 $ 0.00
Expenses (0.03) (0.09)
------------------------------------
Net investment loss (0.03) (0.09)
Net realized and unrealized loss on investments (4.01) (7.25)
------------------------------------
Net decrease in unit value (4.04) (7.34)
Net asset value at beginning of period 23.33 26.63
------------------------------------
Net asset value at end of period $ 19.29 $ 19.29
====================================
Ratio of expenses to average net assets* 0.54% 0.51%
Ratio of net investment income to average net assets* (0.54)% (0.51)%
Portfolio turnover** 4% 7%
Total return (17.31)% (27.57)%
Number of units outstanding at end of period (in thousands) 10,328 10,328
------------------------------------
- ----------
* 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, 2002
------------------------
Assets
Investments, at value (cost $333,981,695) $336,953,194
Cash 8,857,756
Receivable for investments sold 19,488,773
Receivable for fund units sold 493,326
Dividends and interest receivable 1,727,599
Other assets 2,875
------------------------
Total assets 367,523,523
------------------------
Liabilities
Payable for investments purchased 159,243,629
Payable for fund units purchased 197,464
Other liabilities 177,424
------------------------
Total liabilities 163,549,848
------------------------
Net Assets $203,973,675
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($203,973,675/12,075,816 units outstanding) $ 16.89
========================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income:
Dividend income $45,348 $4,271,713
Interest income 1,694,456 1,694,878
------------------------------------------------
Total investment income 1,739,804 5,966,591
Expenses:
Investment advisory fee 147,299 147,299
State Street Bank & Trust Company - program fee 175,088 459,848
American Bar Retirement Association - program fee 25,068 67,460
Trustee, management and administration fees 45,284 119,103
Other expenses and taxes 28,155 71,209
------------------------------------------------
Total expenses 420,894 864,919
------------------------------------------------
Net investment income 1,318,910 5,101,672
------------------------------------------------
Realized and unrealized gain on investments:
Net realized gain on investments sold 11,532,399 11,571,694
Unrealized depreciation of investments
during the period (4,120,141) (1,162,760)
------------------------------------------------
Net gain on investments 7,412,258 10,408,934
------------------------------------------------
Net increase in net assets resulting from operations $8,731,168 $15,510,606
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Increase in net assets from:
Operations:
Net investment income $1,318,910 $5,101,672
Net realized gain on investments 11,532,399 11,571,694
Unrealized depreciation of investments
during the period (4,120,141) (1,162,760)
------------------------------------------------
Net increase in net assets resulting
from operations 8,731,168 15,510,606
------------------------------------------------
Participant transactions:
Proceeds from sales of units 11,216,520 22,462,128
Cost of units redeemed (2,734,759) (10,424,313)
Net increase in net assets resulting
from participant transactions 8,481,761 12,037,815
------------------------------------------------
Total increase in net assets 17,212,929 27,548,421
Net Assets:
Beginning of period 186,760,746 176,425,254
------------------------------------------------
End of period $203,973,675 $203,973,675
================================================
Number of units:
Outstanding-beginning of period 11,552,763 11,324,956
Sold 687,844 1,399,627
Redeemed (164,791) (648,767)
Outstanding-end of period 12,075,816 12,075,816
==========================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income $0.14 $0.51
Expenses (0.04) (0.07)
------------------------------------------------
Net investment income 0.10 0.44
Net realized and unrealized gain on investments 0.62 0.87
------------------------------------------------
Net increase in unit value 0.72 1.31
Net asset value at beginning of period 16.17 15.58
------------------------------------------------
Net asset value at end of period $16.89 $16.89
================================================
Ratio of expenses to average net assets* 0.84% 0.61%
Ratio of net investment income to average net assets* 2.63% 3.62%
Portfolio turnover** 308% 332%
Total return 4.35% 8.29%
Number of units outstanding at end of period
(in thousands) 12,076 12,076
- ----------------
* Annualized
** Not annualized. Reflects purchases and sales of shares of the registered
investment company in which the fund invested until July 1, 2002 rather
than turnover of the underlying portfolio of such registered investment
company.
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, 2002
------------------------
Assets
Investments, at value (cost $88,833,409) $38,135,875
Cash 542
Foreign currency, at value (cost $553,239) 34,986,130
Receivable for investments sold 0
Receivable for fund units sold 1,081,599
Dividends and interest receivable 807,579
Other assets 4,289
------------------------
Total assets 75,016,014
------------------------
Liabilities
Payable for investments purchased 1,884,383
Payable for fund units purchased 10,075
Accrued expenses 74,965
Other liabilities 8,683
------------------------
Total liabilities 1,978,106
------------------------
Net Assets $73,037,908
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($73,037,908/5,612,969 units outstanding) $13.01
========================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income:
Dividend income $156,912 $616,228
Interest income 4,890 16,602
------------------------------------------------
Total investment income 161,802 632,830
Expenses:
Investment advisory fee 38,669 122,706
State Street Bank & Trust Company - program fee 58,476 174,665
American Bar Retirement Association - program fee 10,602 30,620
Trustee, management and administration fees 18,439 53,963
Other expenses and taxes 27,287 97,717
------------------------------------------------
Total expenses 153,473 479,671
------------------------------------------------
Net investment income 8,329 153,159
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (5,363,462) (12,388,302)
Unrealized depreciation of investments
during the period (12,009,293) (9,612,862)
------------------------------------------------
Net loss on investments (17,372,755) (22,001,164)
------------------------------------------------
Net decrease in net assets resulting from operations $(17,364,426) $(21,848,005)
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $8,329 $153,159
Net realized loss on investments (5,363,462) (12,388,302)
Unrealized depreciation of investments
during the period (12,009,293) (9,612,862)
------------------------------------------------
Net decrease in net assets resulting
from operations (17,364,426) (21,848,005)
------------------------------------------------
Participant transactions:
Proceeds from sales of units 17,385,099 40,852,730
Cost of units redeemed (14,378,629) (34,967,535)
Net increase in net assets resulting
from participant transactions 3,006,470 5,885,195
------------------------------------------------
Total decrease in net assets (14,357,956) (15,962,810)
Net Assets:
Beginning of period 87,395,864 89,000,718
------------------------------------------------
End of period $73,037,908 $73,037,908
================================================
Number of units:
Outstanding-beginning of period 5,394,851 5,223,848
Sold 1,233,031 2,655,107
Redeemed (1,014,913) (2,265,986)
Outstanding-end of period 5,612,969 5,612,969
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Investment income $0.03 $0.12
Expenses (0.03) (0.09)
-----------------------------------------------
Net investment income 0.00 0.03
Net realized and unrealized loss on investments (3.19) (4.06)
-----------------------------------------------
Net decrease in unit value (3.19) (4.03)
Net asset value at beginning of period 16.20 17.04
-----------------------------------------------
Net asset value at end of period $13.01 $13.01
===============================================
Ratio of expenses to average net assets* 0.77% 0.75%
Ratio of net investment income to average net assets* 0.04% 0.24%
Portfolio turnover** 21% 40%
Total return (19.67%) (23.62%)
Number of units outstanding at end of period
(in thousands) 5,613 5,613
- ----------------
* 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, 2002
------------------------
Assets
Investments, at value (cost $859,478,291) $630,434,072
Cash 8,333
Receivable for investments sold 3,277,261
Receivable for fund units sold 0
Dividends and interest receivable 675,012
Other assets 24,005
------------------------
Total assets 634,418,683
------------------------
Liabilities
Payable for investments purchased 1,652,238
Payable for fund units purchased 1,631,852
Accrued expenses 733,853
Other liabilities 34,754
------------------------
Total liabilities 4,052,697
------------------------
Net Assets $630,365,986
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($630,365,986/20,712,450 units outstanding) $30.43
========================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Investment income:
Dividend income $2,048,549 $6,554,615
Interest income 67,863 312,585
-----------------------------------------------
Total investment income 2,116,412 6,867,200
Expenses:
Investment advisory fee 357,648 1,248,513
State Street Bank & Trust Company - program fee 619,440 2,084,969
American Bar Retirement Association - program fee 88,824 307,064
Trustee, management and administration fees 160,418 540,502
Other expenses and taxes 107,543 366,678
-----------------------------------------------
Total expenses 1,333,873 4,547,726
Net investment income 782,539 2,319,474
-----------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (10,560,146) (65,805,333)
Unrealized depreciation of investments
during the period (120,588,176) (264,918,645)
-----------------------------------------------
Net loss on investments (131,148,322) (330,723,978)
-----------------------------------------------
Net decrease in net assets resulting
from operations ($130,365,783) ($328,404,504)
===============================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $782,539 $2,319,474
Net realized loss on investments (10,560,146) (65,805,333)
Unrealized depreciation of investments
during the period (120,588,176) (264,918,645)
-----------------------------------------------
Net decrease in net assets resulting
from operations (130,365,783) (328,404,504)
-----------------------------------------------
Participant transactions:
Proceeds from sales of units (707,994) 20,640,035
Cost of units redeemed (31,470,438) (80,135,265)
Net decrease in net assets resulting
from participant transactions (32,178,432) (59,495,230)
-----------------------------------------------
Total decrease in net assets (162,544,215) (387,899,734)
Net Assets:
Beginning of period 792,910,201 1,018,265,720
-----------------------------------------------
End of period $630,365,986 $630,365,986
===============================================
Number of units:
Outstanding-beginning of period 21,688,435 22,363,376
Sold (17,770) 477,231
Redeemed (958,215) (2,128,157)
Outstanding-end of period 20,712,450 20,712,450
===============================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Investment income $0.10 $0.31
Expenses (0.06) (0.21)
-----------------------------------------------
Net investment income 0.04 0.10
Net realized and unrealized loss on investments (6.17) (15.20)
-----------------------------------------------
Net decrease in unit value (6.13) (15.10)
Net asset value at beginning of period 36.56 45.53
-----------------------------------------------
Net asset value at end of period $30.43 $30.43
===============================================
Ratio of expenses to average net assets* 0.75% 0.71%
Ratio of net investment income to average net assets* 0.44% 0.36%
Portfolio turnover** 5% 24%
Total return (16.75)% (33.16)%
Number of units outstanding at end of period
(in thousands) 20,712 20,712
- ----------------
* Annualized
** Not annualized
The accompanying notes are an integral part of these financial statements.
20
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
LARGE-CAP VALUE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
UNAUDITED
SEPTEMBER 30, 2002
------------------------
Assets
Investments, at value (cost $230,738,130) $184,970,682
Cash 0
Receivable for investments sold 383
Receivable for fund units sold 1,106,287
Dividends and interest receivable 321,436
Other assets 3,427
------------------------
Total assets 186,402,215
------------------------
Liabilities
Payable for investments purchased 37,749
Payable for fund units purchased 815,095
Accrued expenses 134,484
Other liabilities 0
------------------------
Total liabilities 987,328
------------------------
Net Assets $185,414,887
========================
Net asset value, redemption price and offering
price per unit of beneficial interest
($185,414,887/8,889,839 units outstanding) $20.86
========================
The accompanying notes are an integral part of these financial statements.
21
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
LARGE-CAP VALUE EQUITY FUND
STATEMENT OF OPERATIONS
UNAUDITED
FOR THE PERIOD FOR THE PERIOD
JULY 1, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income:
Dividend income $1,045,965 $3,060,645
Interest income 12,822 67,603
------------------------------------------------
Total investment income 1,058,787 3,128,248
Expenses:
Investment advisory fee 124,122 390,878
State Street Bank & Trust Company - program fee 183,034 548,487
American Bar Retirement Association - program fee 26,249 80,710
Trustee, management and administration fees 47,394 142,249
Other expenses and taxes 29,464 84,918
------------------------------------------------
Total expenses 410,263 1,247,242
------------------------------------------------
Net investment income 648,524 1,881,006
------------------------------------------------
Realized and unrealized gain (loss) on investments:
Net realized loss on investments sold (5,536,885) (3,896,890)
Unrealized depreciation of investments
during the period (39,922,209) (51,891,964)
------------------------------------------------
Net loss on investments (45,459,094) (55,788,854)
------------------------------------------------
Net decrease in net assets resulting
from operations $(44,810,570) $(53,907,848)
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
-----------------------------------------------
Decrease in net assets from:
Operations:
Net investment income $648,524 $1,881,006
Net realized loss on investments (5,536,885) (3,896,890)
Unrealized depreciation of investments
during the period (39,922,209) (51,891,964)
-----------------------------------------------
Net decrease in net assets resulting
from operations (44,810,570) (53,907,848)
-----------------------------------------------
Participant transactions:
Proceeds from sales of units 9,873,157 71,090,581
Cost of units redeemed (18,500,049) (53,165,489)
Net increase (decrease) in net assets
resulting from participant transactions (8,626,892) 17,925,092
-----------------------------------------------
Total decrease in net assets (53,437,462) (35,982,756)
Net Assets:
Beginning of period 238,852,349 221,397,643
-----------------------------------------------
End of period $185,414,887 $185,414,887
===============================================
Number of units:
Outstanding-beginning of period 9,280,026 8,321,228
Sold 425,616 2,677,397
Redeemed (815,803) (2,108,786)
Outstanding-end of period 8,889,839 8,889,839
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income $0.12 $0.36
Expenses (0.05) (0.14)
------------------------------------------------
Net investment income 0.07 0.22
Net realized and unrealized loss on investments (4.95) (5.97)
------------------------------------------------
Net decrease in unit value (4.88) (5.75)
Net asset value at beginning of period 25.74 26.61
------------------------------------------------
Net asset value at end of period $20.86 $20.86
================================================
Ratio of expenses to average net assets* 0.78% 0.74%
Ratio of net investment income to average net assets* 1.24% 1.11%
Portfolio turnover** 3% 17%
Total return (18.97%) (21.61%)
Number of units outstanding at end of period
(in thousands) 8,890 8,890
- ----------------
* Annualized
** Not annualized. With respect to the portion of the fund's assets invested
in a collective investment fund, reflects purchases and sales 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 FUND
STATEMENT OF ASSETS AND LIABILITIES
UNAUDITED
SEPTEMBER 30, 2002
-----------------------
Assets1
Investments, at value (cost $6,514,461) $6,322,453
Cash 0
Receivable for investments sold 166,106
Receivable for fund units sold 0
Dividends and interest receivable 1,535
Other assets 300
-----------------------
Total assets 6,490,394
-----------------------
Liabilities
Payable for investments purchased 124,488
Payable for fund units purchased 27,868
Accrued expenses 11,485
Other liabilities 15
-----------------------
Total liabilities 163,856
-----------------------
Net Assets $6,326,538
=======================
Net asset value, redemption price and offering
price per unit of beneficial interest
($6,326,538/591,056 units outstanding) $10.70
=======================
The accompanying notes are an integral part of these financial statements.
25
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
MID-CAP GROWTH FUND
STATEMENT OF OPERATIONS
UNAUDITED
FOR THE PERIOD
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
-----------------------
Investment income:
Dividend income $2,754
Interest income 4,415
-----------------------
Total investment income 7,169
Expenses:
Investment advisory fee 8,356
State Street Bank & Trust Company - program fee 4,244
American Bar Retirement Association - program fee 785
Trustee, management and administration fees 1,188
Other expenses and taxes 759
-----------------------
Total expenses 15,332
-----------------------
Net investment loss (8,163)
-----------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (520,432)
Unrealized depreciation of investments
during the period (192,008)
-----------------------
Net loss on investments (712,440)
-----------------------
Net decrease in net assets resulting
from operations $(720,603)
=======================
The accompanying notes are an integral part of these financial statements.
26
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
MID-CAP GROWTH FUND
STATEMENT OF CHANGES IN NET ASSETS
UNAUDITED
FOR THE PERIOD
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
-----------------------
Increase in net assets from:
Operations:
Net investment loss $ (8,163)
Net realized loss on investments (520,432)
Unrealized depreciation of investments
during the period (192,008)
-----------------------
Net decrease in net assets resulting
from operations (720,603)
-----------------------
Participant transactions:
Proceeds from sales of units 7,359,470
Cost of units redeemed (312,329)
Net increase in net assets resulting
from participant transactions 7,047,141
-----------------------
Total increase in net assets 6,326,538
Net Assets:
Beginning of period 0
-----------------------
End of period $6,326,538
=======================
Number of units:
Outstanding-beginning of period 0
Sold 619,446
Redeemed (28,390)
Outstanding-end of period 591,056
=======================
The accompanying notes are an integral part of these financial statements.
27
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
MID-CAP GROWTH FUND
PER-UNIT DATA AND RATIOS
UNAUDITED
Selected data for a unit outstanding throughout the period:
FOR THE PERIOD
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
-----------------------
Investment income $0.01
Expenses (0.03)
-----------------------
Net investment income (loss) (0.02)
Net realized and unrealized gain (loss) on investments (1.28)
-----------------------
Net increase (decrease) in unit value (1.30)
Net asset value at beginning of period 12.00
-----------------------
Net asset value at end of period $10.70
=======================
Ratio of expenses to average net assets* 1.14%
Ratio of net investment income (loss) to average net assets* (0.61)
Portfolio turnover** 43%
Total return (10.83%)
Number of units outstanding at end of period
(in thousands) 591
- ----------------
* 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, 2002
------------------
Assets
Investments, at value (cost $7,507,968,) $7,037,178
Cash 30
Receivable for investments sold 57,633
Receivable for fund units sold 65,744
Dividends and interest receivable 7,058
Other assets 31
------------------
Total assets 7,167,674
------------------
Liabilities
Payable for investments purchased 202,826
Payable for fund units purchased 59,017
Accrued expenses 13,649
Other liabilities 0
------------------
Total liabilities 275,492
------------------
Net Assets $6,892,182
==================
Net asset value, redemption price and offering price
per unit of beneficial interest ($6,892,182/739,398
units outstanding) $ 9.32
==================
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
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
---------------------
Investment income:
Dividend income $ 18,179
Interest income 4,850
---------------------
Total investment income 23,029
Expenses:
Investment advisory fee 10,286
State Street Bank & Trust Company - program fee 4,838
American Bar Retirement Association - program fee 687
Trustee, management and administration fees 1,248
Other expenses and taxes 774
---------------------
Total expenses 17,833
---------------------
Net investment income 5,196
---------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (8,007)
Unrealized depreciation of investments during the period (470,790)
---------------------
Net loss on investments (478,797)
---------------------
Net decrease in net assets resulting from operations ($473,601)
=====================
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
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
---------------------
Increase in net assets from:
Operations:
Net investment income $5,196
Net realized loss on investments (8,007)
Unrealized depreciation of investments during the period (470,790)
---------------------
Net decrease in net assets resulting from operations (473,601)
---------------------
Participant transactions:
Proceeds from sales of units 7,486,398
Cost of units redeemed (120,615)
Net increase in net assets resulting from participant transactions 7,365,783
---------------------
Total increase in net assets 6,892,182
Net Assets:
Beginning of period 0
---------------------
End of period $6,892,182
=====================
Number of units:
Outstanding-beginning of period 0
Sold 751,757
Redeemed (12,359)
Outstanding-end of period 739,398
=====================
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
JULY 15, 2002
(FUND INCEPTION)
TO SEPTEMBER 30, 2002
---------------------
Investment income $0.03
Expenses (0.03)
---------------------
Net investment income 0.00
Net realized and unrealized gain (loss) on investments (0.68)
---------------------
Net increase (decrease) in unit value (0.68)
Net asset value at beginning of period 10.00
---------------------
Net asset value at end of period $9.32
=====================
Ratio of expenses to average net assets* 1.28%
Ratio of net investment income to average net assets* 0.37%
Portfolio turnover** 1%
Total return (6.78)%
Number of units outstanding at end of period (in thousands) 739
- ----------------
* 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, 2002
------------------
Assets
Investments, at value (cost $294,136,316) $214,583,990
Cash 1,340
Receivable for investments sold 2,174,135
Receivable for fund units sold 0
Dividends and interest receivable 191,579
Other assets 4,568
------------------
Total assets 216,955,612
------------------
Liabilities
Payable for investments purchased 3,091,930
Payable for fund units purchased 502,733
Accrued expenses 389,895
Other liabilities 35,093
------------------
Total liabilities 4,019,651
------------------
Net Assets $212,935,961
==================
Net asset value, redemption price and offering price
per unit of beneficial interest ($212,935,961/5,288,100
units outstanding) $40.27
==================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income:
Dividend income $452,097 $1,308,126
Interest income 69,646 538,926
------------------------------------------------
Total investment income 521,743 1,847,052
Expenses:
Investment advisory fee 253,707 898,829
State Street Bank & Trust Company - program fee 207,239 698,136
American Bar Retirement Association - program fee 29,731 102,877
Trustee, management and administration fees 53,674 181,066
Other expenses and taxes 32,926 106,850
------------------------------------------------
Total expenses 577,277 1,987,758
------------------------------------------------
Net investment loss (55,534) (140,706)
------------------------------------------------
Realized and unrealized loss on investments:
Net realized loss on investments sold (26,249,973) (30,141,209)
Unrealized depreciation of investments during the period (30,981,123) (76,624,474)
------------------------------------------------
Net loss on investments (57,231,096) (106,765,683)
------------------------------------------------
Net decrease in net assets resulting from operations $(57,286,630) ($106,906,389)
================================================
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, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Decrease in net assets from:
Operations:
Net investment loss $(55,534) $(140,706)
Net realized loss on investments (26,249,973) (30,141,209)
Unrealized depreciation of investments during the period (30,981,123) (76,624,474)
------------------------------------------------
Net decrease in net assets resulting from operations (57,286,630) (106,906,389)
------------------------------------------------
Participant transactions:
Proceeds from sales of units 310,223 12,446,765
Cost of units redeemed (10,745,332) (23,862,875)
Net decrease in net assets resulting from participant transactions (10,435,109) (11,416,110)
------------------------------------------------
Total decrease in net assets (67,721,739) (118,322,499)
Net Assets:
Beginning of period 280,657,700 331,258,460
------------------------------------------------
End of period $212,935,961 $212,935,961
================================================
Number of units:
Outstanding-beginning of period 5,526,663 5,548,719
Sold 9,189 219,932
Redeemed (247,752) (480,551)
Outstanding-end of period 5,288,100 5,288,100
================================================
The accompanying notes are an integral part of these financial statements.
35
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
SMALL CAP 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, 2002 January 1, 2002
to September 30, 2002 to September 30, 2002
------------------------------------------------
Investment income $0.10 $0.34
Expenses (0.11) (0.36)
------------------------------------------------
Net investment loss (0.01) (0.02)
Net realized and unrealized loss on investments (10.50) (19.41)
------------------------------------------------
Net decrease in unit value (10.51) (19.43)
Net asset value at beginning of period 50.78 59.70
------------------------------------------------
Net asset value at end of period $40.27 $40.27
================================================
Ratio of expenses to average net assets* 0.97% 0.97%
Ratio of net investment income to average net assets* (0.09)% (0.07)%
Portfolio turnover** 21% 69%
Total return (20.74)% (32.58)%
Number of units outstanding at end of period (in thousands) 5,288 5,288
- -----------------
* Annualized
** Not annualized
The accompanying notes are an integral part of these financial statements.
36
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF ASSETS AND LIABILITIES
UNAUDITED
September 30, 2002
------------------
Assets
Investments, at value (cost $873,363,662.) $873,363,662
Cash $ 0
Interest Receivable 3,107,186
Receivable for fund units sold 0
Other assets 12,456
------------------
Total assets 876,483,304
------------------
Liabilities
Payable for fund units redeemed 1,197,047
Accrued expenses 410,176
------------------
Total liabilities 1,607,223
------------------
Net Assets $874,876,081
==================
Net asset value, redemption price and offering price
per unit of beneficial interest ($874,876,081/31,727,261
units outstanding) 27.57
==================
The accompanying notes are an integral part of these financial statements.
37
AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST
STABLE ASSET RETURN FUND
STATEMENT OF OPERATIONS
UNAUDITED
FOR THE PERIOD FOR THE PERIOD
JULY 1, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Interest income $9,559,004 $28,664,343
------------------------------------------------
Expenses:
State Street Bank & Trust Company - program fee 750,840 1,994,857
American Bar Retirement Association - program fee 107,539 292,735
Trustee, management and administration fees 194,242 516,729
Other expenses and taxes 120,769 308,739
------------------------------------------------
Total expenses 1,173,390 3,113,060
------------------------------------------------
Net investment income $8,385,614 $25,551,283
================================================
The accompanying notes are an integral part of these financial statements.
38
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
JULY 1, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Increase in net assets from:
Operations:
Net investment income and net increase in net
assets resulting from operations 8,385,614 25,551,283
------------------------------------------------
Participant transactions:
Proceeds from sales of units 75,284,029 158,480,052
Cost of units redeemed (23,466,867) (107,015,018)
Net increase in net assets resulting from
participant transactions 51,817,162 51,465,034
------------------------------------------------
Total increase in net assets 60,202,776 77,016,317
------------------------------------------------
Net Assets:
Beginning of period 814,673,305 797,859,764
------------------------------------------------
End of period $874,876,081 $874,876,081
================================================
Number of units:
Outstanding-beginning of period 29,835,864 29,854,186
Sold 2,746,441 5,825,701
Redeemed (855,044) (3,952,626)
Outstanding-end of period 31,727,261 31,727,261
================================================
The accompanying notes are an integral part of these financial statements.
39
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
JULY 1, 2002 JANUARY 1, 2002
TO SEPTEMBER 30, 2002 TO SEPTEMBER 30, 2002
------------------------------------------------
Investment income $0.30 $0.94
Expenses (0.04) (0.10)
------------------------------------------------
Net investment income 0.26 0.84
Net realized and unrealized gain on investments 0.00 0.00
------------------------------------------------
Net increase in unit value 0.26 0.84
Net asset value at beginning of period 27.31 26.73
------------------------------------------------
Net asset value at end of period $27.57 $27.57
================================================
Ratio of expenses to average net assets* .55% .51%
Ratio of net investment income to average net assets* 3.90% 4.18%
Total return 3.92% 4.25%
Number of units outstanding at end of period (in thousands) 31,727 31,727
- ----------------
* Annualized
The accompanying notes are an integral part of these financial statements.