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 June 30, 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
(Address of principal executive offices)		(Zip Code)

(617) 786-3000

(Registrant’s telephone number, including Area Code)

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

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

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION


Item 1. Financial Statements (Unaudited)		4
Balanced Fund		4
	Statement of Assets and Liabilities	4
	Statement of Operations	5
	Statement of Changes in Net Assets	6
	Financial Highlights	7
Index Equity Fund		8
	Statement of Assets and Liabilities	8
	Statement of Operations	9
	Statement of Changes in Net Assets	10
	Financial Highlights	11
Intermediate Bond Fund		12
	Statement of Assets and Liabilities	12
	Statement of Operations	13
	Statement of Changes in Net Assets	14
	Financial Highlights	15
International Equity Fund		16
	Statement of Assets and Liabilities	16
	Statement of Operations	17
	Statement of Changes in Net Assets	18
	Financial Highlights	19
Large-Cap Growth Equity Fund		20
	Statement of Assets and Liabilities	20
	Statement of Operations	21
	Statement of Changes in Net Assets	22
	Financial Highlights	23
Large-Cap Value Equity Fund		24
	Statement of Assets and Liabilities	24
	Statement of Operations	25
	Statement of Changes in Net Assets	26
	Financial Highlights	27
Mid-Cap Growth Equity Fund		28
	Statement of Assets and Liabilities	28
	Statement of Operations	29
	Statement of Changes in Net Assets	30
	Financial Highlights	31
Mid-Cap Value Equity Fund		32
	Statement of Assets and Liabilities	32
	Statement of Operations	33
	Statement of Changes in Net Assets	34
	Financial Highlights	35
Small-Cap Equity Fund		36
	Statement of Assets and Liabilities	36
	Statement of Operations	37
	Statement of Changes in Net Assets	38
	Financial Highlights	39


	Stable Asset Return Fund		40
		Statement of Assets and Liabilities	40
		Statement of Operations	41
		Statement of Changes in Net Assets	42
		Financial Highlights	43
	Structured Portfolio Service - Conservative Portfolio		44
		Statement of Assets and Liabilities	44
		Statement of Operations	45
		Statement of Changes in Net Assets	46
		Financial Highlights	47
	Structured Portfolio Service - Moderate Portfolio		48
		Statement of Assets and Liabilities	48
		Statement of Operations	49
		Statement of Changes in Net Assets	50
		Financial Highlights	51
	Structured Portfolio Service - Aggressive Portfolio		52
		Statement of Assets and Liabilities	52
		Statement of Operations	53
		Statement of Changes in Net Assets	54
		Financial Highlights	55
	Notes to Unaudited Financial Statements		56

	Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		69
	Item 4. Controls and Procedures		78

PART II. OTHER INFORMATION

	Item 2. Changes in Securities, Use of Proceeds and Issuer Purchases of Equity Securities		79
	Item 6. Exhibits and Reports on Form 8-K		79
SIGNATURES			80

PART I. FINANCIAL INFORMATION.

Item 1. FINANCIAL STATEMENTS (UNAUDITED).

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Assets and Liabilities

Unaudited


	June 30, 2004
Assets
Investments, at value (cost of $235,179,916)	$	292,222,041
Intermediate Bond Fund (cost of $173,984,004 and units of 9,614,275)		173,984,004
Receivable for investments sold		80,535
Dividends and interest receivable		207,894

Total assets		466,494,474

Liabilities
Payable for investments purchased		21,717
Payable for fund units redeemed		527,204
Investment advisory fee payable		164,797
State Street Bank and Trust Company—program fee payable		66,120
Trustee, management and administration fees payable		18,504
American Bar Retirement Association—program fee payable		10,602
Other accruals		15,582

Total liabilities		824,526

Net assets (equivalent to $ 73.41 per unit based on 6,343,078 units outstanding)	$	465,669,948

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 April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income
Dividends (net of foreign tax expense of $1,548 and $30,450 respectively)	$	973,640		$	2,036,835
Interest		1,744,455			3,446,371
Securities lending income		21,977			25,847

Total investment income		2,740,072			5,509,053

Expenses
Investment advisory fee		265,502			533,880
State Street Bank and Trust Company—program fee		331,885			669,004
American Bar Retirement Association—program fee		51,309			103,543
Trustee, management and administration fees		89,770			181,107
Reports to unitholders		22,997			45,845
Legal and audit fees		28,305			56,425
Registration fees		1,769			3,527
Other fees		5,897			11,755

Total expenses		797,434			1,605,086

Net investment income (loss)		1,942,638			3,903,967

Realized and unrealized gain (loss)
Net realized gain (loss) on:
Investment securities		2,712,294			7,809,840
Intermediate Bond Fund		—			—

Net realized gain (loss)		2,712,294			7,809,840

Change in net unrealized appreciation (depreciation) on:
Investment Securities		(5,572,998	)		(2,622,272	)
Intermediate Bond Fund		—			—

Change in net unrealized appreciation (depreciation)		(5,572,998	)		(2,622,272	)

Net realized and unrealized gain (loss)		(2,860,704	)		5,187,568

Net increase (decrease) in net assets resulting from operations	$	(918,066	)	$	9,091,535

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 April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
From operations
Net investment income (loss)	$	1,942,638		$	3,903,967
Net realized gain (loss)		2,712,294			7,809,840
Change in net unrealized appreciation (depreciation)		(5,572,998	)		(2,622,272	)

Net increase (decrease) in net assets resulting from operations		(918,066	)		9,091,535

From unitholder transactions
Proceeds from units issued		9,647,828			20,088,369
Cost of units redeemed		(9,777,048	)		(21,370,934	)

Net increase (decrease) in net assets resulting from unitholder transactions		(129,220	)		(1,282,565	)

Net increase (decrease) in net assets		(1,047,286	)		7,808,970
Net Assets
Beginning of period		466,717,234			457,860,978

End of period	$	465,669,948		$	465,669,948

Number of units
Outstanding-beginning of period		6,346,540			6,362,019
Issued		131,602			272,965
Redeemed		(135,064	)		(291,906	)

Outstanding-end of period		6,343,078			6,343,078

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 April 1, 2004 to June 30, 2004			For the period January 1, 2004 to June 30, 2004
Investment income	$	0.43		$	0.86
Net expenses†		(0.12	)		(0.25	)

Net investment income (loss)		0.31			0.61
Net realized and unrealized gain (loss)		(0.44	)		0.83

Net increase (decrease) in unit value		(0.13	)		1.44
Net asset value at beginning of period		73.54			71.97

Net asset value at end of period	$	73.41		$	73.41

Ratio of net expenses to average net assets*		0.69	%		0.69	%
Ratio of net investment income (loss) to average net assets*		1.68	%		1.67	%
Portfolio turnover**		46	%		61	%
Total return**		(0.18	)%		2.00	%
Net assets at end of period (in thousands)	$	465,670		$	465,670

*	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 and the Intermediate Bond 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


		June 30, 2004
Assets
Investments, at value:

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