AMERICAN BAR ASSOCIATION MEMBERS STATE STREET COLLECTIVE TR - 10-Q Quarterly Report

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the quarterly period ended March 31, 2004.

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the transition period from to

Commission file number 333-113653

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 incorporation or organization)		(I.R.S. Employer Identification No.)

225 Franklin Street Boston, Massachusetts		02110 (Zip Code)
(Address of principal executive offices)

Registrant’s telephone number : (617) 786-3000

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No

Indicate by check mark whether the registrant is an accelerated filer (as defined in Rule 12b-2 of the Act) Yes X No

TABLE OF CONTENTS


				Page
PART I. FINANCIAL INFORMATION				1

Item 1.	Financial Statements (Unaudited)			1
		Balanced Fund		1
			Statement of Assets and Liabilities	1
			Statement of Operations	2
			Statement of Changes in Net Assets	3
			Financial Highlights	4
		Index Equity Fund		5
			Statement of Assets and Liabilities	5
			Statement of Operations	6
			Statement of Changes in Net Assets	7
			Financial Highlights	8
		Intermediate Bond Fund		9
			Statement of Assets and Liabilities	9
			Statement of Operations	10
			Statement of Changes in Net Assets	11
			Financial Highlights	12
		International Equity Fund		13
			Statement of Assets and Liabilities	13
			Statement of Operations	14
			Statement of Changes in Net Assets	15
			Financial Highlights	16
		Large-Cap Growth Equity Fund		17
			Statement of Assets and Liabilities	17
			Statement of Operations	18
			Statement of Changes in Net Assets	19
			Financial Highlights	20
		Large-Cap Value Equity Fund		21
			Statement of Assets and Liabilities	21
			Statement of Operations	22
			Statement of Changes in Net Assets	23
			Financial Highlights	24
		Mid-Cap Growth Equity Fund		25
			Statement of Assets and Liabilities	25
			Statement of Operations	26
			Statement of Changes in Net Assets	27
			Financial Highlights	28
		Mid-Cap Value Equity Fund		29
			Statement of Assets and Liabilities	29
			Statement of Operations	30
			Statement of Changes in Net Assets	31
			Financial Highlights	32
		Small-Cap Equity Fund		33
			Statement of Assets and Liabilities	33
			Statement of Operations	34
			Statement of Changes in Net Assets	35
			Financial Highlights	36
		Stable Asset Return Fund		37
			Statement of Assets and Liabilities	37
			Statement of Operations	38


				Page
			Statement of Changes in Net Assets	39
			Financial Highlights	40
		Structured Portfolio Service - Conservative Portfolio		41
			Statement of Assets and Liabilities	41
			Statement of Operations	42
			Statement of Changes in Net Assets	43
			Financial Highlights	44
		Structured Portfolio Service - Moderate Portfolio		45
			Statement of Assets and Liabilities	45
			Statement of Operations	46
			Statement of Changes in Net Assets	47
			Financial Highlights	48
		Structured Portfolio Service - Aggressive Portfolio		49
			Statement of Assets and Liabilities	49
			Statement of Operations	50
			Statement of Changes in Net Assets	51
			Financial Highlights	52
		Notes to Unaudited Financial Statements		53
Item 2.	Management’s Discussion and Analysis of Financial Conditions and Results of Operations			66
Item 4.	Controls and Procedures			72

PART II. OTHER INFORMATION				73

Item 2.	Changes in Securities, Use of Proceeds and Issuer Purchases of Equity Securities			73
Item 6.	Exhibits and Reports on Form 8-K			73
SIGNATURES				74

PART I. FINANCIAL INFORMATION.

Item 1. FINANCIAL STATEMENTS (UNAUDITED).

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2004
Assets
Investments, at value (cost $420,298,842)	$	482,913,965
Cash		67,897
Receivable for investments sold		10,845,346
Receivable for fund units sold		373,579
Dividends and interest receivable		1,422,996

Total assets		495,623,783

Liabilities
Payable for investments purchased		28,639,968
Investment advisory fee payable		90,557
State Street Bank and Trust Company—program fee payable		110,976
Trustee, management and administration fees payable		30,938
American Bar Retirement Association—program fee payable		17,850
Other accruals		16,260

Total liabilities		28,906,549

Net assets (equivalent to $ 73.54 per unit based on 6,346,540 units outstanding)	$	466,717,234

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Operations

Unaudited


	For the period January 1, 2004 to March 31, 2004
Investment Income
Dividends (net of foreign tax expense of $28,902)	$	1,063,195
Interest		1,701,916
Securities Lending income		3,870

Total investment income		2,768,981

Expenses
Investment advisory fee		268,378
State Street Bank and Trust Company—program fee		337,120
American Bar Retirement Association—program fee		52,234
Trustee, management and administration fees		91,337
Reports to unitholders		22,848
Legal and audit fees		28,120
Registration fees		1,758
Other fees		5,858

Total expenses		807,653

Net investment income		1,961,328

Net Realized and Unrealized Gain on Investments:
Net realized gain		5,097,546
Change in net unrealized appreciation		2,950,727

Net realized and unrealized gain on investments		8,048,273

Net increase in net assets resulting from operations	$	10,009,601

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2004 to March 31, 2004
From operations
Net investment income	$	1,961,328
Net realized gain on investments		5,097,546
Net change in unrealized appreciation on investments		2,950,727

Net increase in net assets resulting from operations		10,009,601

From unitholder transactions
Proceeds from units issued		10,440,541
Cost of units redeemed		(11,593,886	)
Net decrease in net assets resulting from unitholder transactions		(1,153,345	)

Net increase in net assets		8,856,256
Net Assets
Beginning of period		457,860,978

End of period	$	466,717,234

Number of Units
Outstanding-beginning of period		6,362,019
Sold		141,363
Redeemed		(156,842	)

Outstanding-end of period		6,346,540

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2004 to March 31, 2004
Investment income	$	0.43
Net expenses†		(0.13	)

Net investment income		0.30
Net realized and unrealized gain on investments		1.27

Net increase in unit value		1.57
Net asset value at beginning of period		71.97

Net asset value at end of period	$	73.54

Ratio of net expenses to average net assets*†		0.69	%
Ratio of net investment income to average net assets*		1.67	%
Portfolio turnover**		16	%
Total return		2.18	%
Number of units outstanding at end of period (in thousands)		6,347

Annualized

Not annualized

†

Net expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment fund in which the Fund invests.

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2004
Assets
Investments, at value:
State Street Bank and Trust Company Russell 3000 Index Securities Lending Fund (cost $357,121,077 and units 38,594,613)	$	343,993,790
Cash		762,766
Receivable for fund units sold		1,195,729

Total assets		345,952,285

Liabilities
Payable for investments purchased		762,726
State Street Bank and Trust Company—program fee payable		74,223
Trustee, management and administration fees payable		20,848
American Bar Retirement Association—program fee payable		12,060
Other accruals		8,784

Total liabilities		878,641

Net assets (equivalent to $ 27.67 per unit based on 12,470,096 units outstanding)	$	345,073,644

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2004 to March 31, 2004
Investment Income
Securities Lending income from underlying fund	$	7,429

Expenses
State Street Bank and Trust Company—program fee		238,666
Trustee, management and administration fees		64,682
American Bar Retirement Association—program fee		36,986
Reports to unitholders		16,174
Legal and audit fees		19,907
Registration fees		1,244
Other fees		4,147

Total expenses		381,806

Net investment loss		(374,377	)

Net Realized and Unrealized Gain (Loss) on Investments
Net realized loss		(1,143,861	)
Change in net unrealized appreciation on investments		8,108,739

Net realized and unrealized gain on investments		6,964,878

Net increase in net assets resulting from operations	$	6,590,501

The accompanying notes are an integral part of these financial statements.

American Bar Association Members/ State Street Collective Trust

Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2004 to March 31, 2004
From operations
Net investment loss	$	(374,377	)
Net realized loss on investments

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