AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR - FORM 10-Q

AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR - FORM 10-Q - May 17, 2010

Attached files

Attached files

AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR Reports

file	filename
EX-32.2 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex322.htm
EX-31.2 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex312.htm
EX-31.1 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex311.htm
EX-32.1 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex321.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2010

¨	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 33-50080

AMERICAN BAR ASSOCIATION MEMBERS/

STATE STREET COLLECTIVE TRUST

(Exact Name of Registrant as Specified in Its Charter)


New Hampshire		04-6691601
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

20 Trafalgar Square, Suite 449 Nashua, New Hampshire		03063
(Address of Principal Executive Offices)		(Zip Code)

(603) 589-4097

(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 has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ¨ No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large Accelerated Filer ¨	Accelerated Filer ¨	Non-Accelerated Filer x	Smaller reporting company ¨
		(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

TABLE OF CONTENTS


		Page
PART I.	FINANCIAL INFORMATION	1

	Item 1. Financial Statements (Unaudited)	1

	Stable Asset Return Fund	1
	Statement of Assets and Liabilities	1
	Statement of Operations	2
	Statement of Changes in Net Assets	3
	Financial Highlights	4

	Bond Core Plus Fund	5
	Statement of Assets and Liabilities	5
	Statement of Operations	6
	Statement of Changes in Net Assets	7
	Financial Highlights	8

	Large Cap Equity Fund	9
	Statement of Assets and Liabilities	9
	Statement of Operations	10
	Statement of Changes in Net Assets	11
	Financial Highlights	12

	Small-Mid Cap Equity Fund	13
	Statement of Assets and Liabilities	13
	Statement of Operations	14
	Statement of Changes in Net Assets	15
	Financial Highlights	16

	International All Cap Equity Fund	17
	Statement of Assets and Liabilities	17
	Statement of Operations	18
	Statement of Changes in Net Assets	19
	Financial Highlights	20

	Bond Index Fund	21
	Statement of Assets and Liabilities	21
	Statement of Operations	22
	Statement of Changes in Net Assets	23
	Financial Highlights	24

	Large Cap Index Equity Fund	25
	Statement of Assets and Liabilities	25
	Statement of Operations	26
	Statement of Changes in Net Assets	27
	Financial Highlights	28

	All Cap Index Equity Fund	29
	Statement of Assets and Liabilities	29
	Statement of Operations	30
	Statement of Changes in Net Assets	31
	Financial Highlights	32


		Mid Cap Index Equity Fund		33
		Statement of Assets and Liabilities		33
		Statement of Operations		34
		Statement of Changes in Net Assets		35
		Financial Highlights		36

		Small Cap Index Equity Fund		37
		Statement of Assets and Liabilities		37
		Statement of Operations		38
		Statement of Changes in Net Assets		39
		Financial Highlights		40

		International Index Equity Fund		41
		Statement of Assets and Liabilities		41
		Statement of Operations		42
		Statement of Changes in Net Assets		43
		Financial Highlights		44

		Real Asset Return Fund		45
		Statement of Assets and Liabilities		45
		Statement of Operations		46
		Statement of Changes in Net Assets		47
		Financial Highlights		48

		Lifetime Income Retirement Date Fund		49
		Statement of Assets and Liabilities		49
		Statement of Operations		50
		Statement of Changes in Net Assets		51
		Financial Highlights		52

		2010 Retirement Date Fund		53
		Statement of Assets and Liabilities		53
		Statement of Operations		54
		Statement of Changes in Net Assets		55
		Financial Highlights		56

		2020 Retirement Date Fund		57
		Statement of Assets and Liabilities		57
		Statement of Operations		58
		Statement of Changes in Net Assets		59
		Financial Highlights		60

		2030 Retirement Date Fund		61
		Statement of Assets and Liabilities		61
		Statement of Operations		62
		Statement of Changes in Net Assets		63
		Financial Highlights		64

		2040 Retirement Date Fund		65
		Statement of Assets and Liabilities		65
		Statement of Operations		66
		Statement of Changes in Net Assets		67
		Financial Highlights		68


	Conservative Risk Fund	69
	Statement of Assets and Liabilities	69
	Statement of Operations	70
	Statement of Changes in Net Assets	71
	Financial Highlights	72

	Moderate Risk Fund	73
	Statement of Assets and Liabilities	73
	Statement of Operations	74
	Statement of Changes in Net Assets	75
	Financial Highlights	76

	Aggressive Risk Fund	77
	Statement of Assets and Liabilities	77
	Statement of Operations	78
	Statement of Changes in Net Assets	79
	Financial Highlights	80

	Balanced Fund	81
	Statement of Assets and Liabilities	81
	Statement of Operations	82
	Statement of Changes in Net Assets	83
	Financial Highlights	84

	Notes to Unaudited Financial Statements	85

	Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	112

	Item 4. Controls and Procedures	127

PART II.	OTHER INFORMATION	127

	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	127

	Item 6. Exhibits	127

SIGNATURES		128

PART I.

FINANCIAL INFORMATION.

Item 1.

FINANCIAL STATEMENTS (UNAUDITED).

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
American Bar Association Members/State Street Collective Trust investment funds, at value:
Stable Asset Fund Trust (cost $981,156,956 and units of 981,156,956)	$	986,232,875
Receivable for fund units sold		993,474

Total assets		987,226,349

Liabilities
Payable for fund units redeemed		1,236,635
ING—program fee payable		417,381
Trustee, management and administration fees payable		83,247
ABA Retirement Funds—program fee payable		59,602
Payable for legal and audit services		142,919
Payable for compliance consultant fees		100,776
Payable for reports to unitholders		64,615
Other accruals		67,219

Total liabilities		2,172,394

Net Assets at fair value		985,053,955

Adjustment from fair value to contract value for fully benefit responsive contracts		(5,075,919	)


Net Assets (equivalent to $35.35 per unit based on 27,724,076 units outstanding)	$	979,978,036

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	5,625,681


Expenses
ING—program fee		1,277,482
Trustee, management and administration fees		244,762
ABA Retirement Funds—program fee		182,181
Legal and audit fees		107,767
Compliance consultant fees		79,559
Reports to unitholders		59,669
Registration fees		11,934
Other fees		44,119

Total expenses		2,007,473


Net increase (decrease) in net assets resulting from operations	$	3,618,208

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	3,618,208

Net increase (decrease) in net assets resulting from operations		3,618,208


From unitholder transactions
Proceeds from units issued		68,639,693
Cost of units redeemed		(99,272,461	)

Net increase (decrease) in net assets from unitholder transactions		(30,632,768	)


Net increase (decrease) in net assets		(27,014,560	)

Net Assets
Beginning of period		1,006,992,596

End of period	$	979,978,036


Number of units
Outstanding-beginning of period		28,591,946
Issued		1,945,320
Redeemed		(2,813,190	)

Outstanding-end of period		27,724,076

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

American Bar Association Members/ State Street Collective Trust

Stable Asset Return Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	0.20
Expenses(†)††		(0.07	)

Net investment income (loss)		0.13

Net increase (decrease) in unit value		0.13
Net asset value at beginning of period		35.22

Net asset value at end of period	$	35.35


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.82	%
Ratio of net investment income (loss) to average net assets*		1.47	%
Total return**		0.37	%
Net assets at end of period (in thousands)	$	979,978

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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 a portion of its assets.

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

American Bar Association Members/ State Street Collective Trust

Bond Core Plus Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments, at value (cost $307,474,343)	$	307,217,257	^(a)
Investments in affiliated issuers, at value (cost $34,854,470)		34,539,210
Foreign currency, at value (cost $619,453)		611,638
Cash		85,218
Deposit with broker for open futures contracts		18,000
Deposit with broker for open swap contracts		140,000
Receivable for investments sold on delayed delivery basis		108,593,516
Receivable for investments sold		6,415,936
Receivable for fund units sold		2,316,681
Interest receivable		2,448,200
Gross unrealized appreciation of forward currency exchange contracts		291,275
Receivable for futures variation margin		56,274
Tax reclaims receivable		13,772
Swap contracts, at value (cost $40,380)		48,720
Other assets		486

Total assets		462,796,183

Liabilities
Payable for cash collateral received on securities loaned		33,360,844
Payable for investments purchased on a delayed delivery basis		36,910,469
Payable for investments purchased		7,396,590
Payable for fund units redeemed		45,523
Swap contracts, at value (proceeds $97,228)		291,751
Due to broker for open forward currency exchange contracts		881,000
Due to broker for open swap contracts		270,000
Due to broker for investments purchased or sold on a delayed delivery basis		1,666,250
Gross unrealized depreciation of forward currency exchange contracts		8,229
Investment advisory fee payable		90,044
ING—program fee payable		162,949
Trustee, management and administration fees payable		32,524
ABA Retirement Funds—program fee payable		23,272
Other accruals		136,856

Total liabilities		81,276,301

Net Assets (equivalent to $24.53 per unit based on 15,552,436 units outstanding)	$	381,519,882

(a)	Includes securities on loan with a value of $32,696,688 (see Note 6).

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

American Bar Association Members/ State Street Collective Trust

Bond Core Plus Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income
Dividends (net of foreign tax expense of $26)	$	30,585
Dividends—affiliated issuers		1,451
Interest—unaffiliated issuers		3,981,237
Securities lending income, net		6,964

Total investment income		4,020,237


Expenses
ING—program fee		496,530
Trustee, management and administration fees		95,132
Investment advisory fee		261,920
ABA Retirement Funds—program fee		70,811
Legal and audit fees		41,860
Compliance consultant fees		30,904
Reports to unitholders		23,178
Registration fees		4,635
Other fees		17,137

Total expenses		1,042,107


Net investment income (loss)		2,978,130


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		1,357,219
Foreign currency transactions		361,675
Futures contracts		980,127
Swap contracts		124,584

Net realized gain (loss)		2,823,605


Change in net unrealized appreciation (depreciation) on:
Investments		463,799
Foreign currency transactions		162,267
Futures contracts		705,116
Swap contracts		(118,859	)

Change in net unrealized appreciation (depreciation)		1,212,323


Net realized and unrealized gain (loss)		4,035,928


Net increase (decrease) in net assets resulting from operations	$	7,014,058

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

American Bar Association Members/ State Street Collective Trust

Bond Core Plus Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	2,978,130
Net realized gain (loss) from investments and foreign currency transactions		2,823,605
Change in net unrealized appreciation (depreciation)		1,212,323

Net increase (decrease) in net assets resulting from operations		7,014,058


From unitholder transactions
Proceeds from units issued		15,195,879
Cost of units redeemed		(26,936,549	)

Net increase (decrease) in net assets from unitholder transactions		(11,740,670	)


Net increase (decrease) in net assets		(4,726,612	)

Net Assets
Beginning of period		386,246,494

End of period	$	381,519,882


Number of units
Outstanding-beginning of period		16,032,577
Issued		621,508
Redeemed		(1,101,649	)

Outstanding-end of period		15,552,436

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

American Bar Association Members/ State Street Collective Trust

Bond Core Plus Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	0.25
Expenses(†)††		(0.07	)

Net investment income (loss)		0.18
Net realized and unrealized gain (loss)		0.26

Net increase (decrease) in unit value		0.44
Net asset value at beginning of period		24.09

Net asset value at end of period	$	24.53


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		1.09	%
Ratio of net investment income (loss) to average net assets*		3.12	%
Portfolio turnover**		151	%
Total return**		1.83	%
Net assets at end of period (in thousands)	$	381,520

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

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

American Bar Association Members/ State Street Collective Trust

Large Cap Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments, at value (cost $612,466,453)	$	718,686,238	^(a)
Investments in affiliated issuers, at value (cost $204,621,894)		211,218,012
Cash		6,421
Receivable for investments sold		8,015,093
Receivable for fund units sold		43,252
Interest and dividends receivable		1,835,530
Tax reclaims receivable		22,368

Total assets		939,826,914

Liabilities
Payable for cash collateral received on securities loaned		123,373,083
Payable for investments purchased		5,781,669
Payable for fund units redeemed		2,470,990
Investment advisory fee payable		372,217
ING—program fee payable		343,107
Trustee, management and administration fees payable		71,345
ABA Retirement Funds—program fee payable		46,728
Other accruals		284,297

Total liabilities		132,743,436


Net Assets (equivalent to $12.79 per unit based on 63,122,929 units outstanding)	$	807,083,478

(a)	Includes securities on loan with a value of $120,569,934 (see Note 6).

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

American Bar Association Members/ State Street Collective Trust

Large Cap Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income
Dividends (net of foreign tax expense of $1,374)	$	3,570,101
Dividends—affiliated issuers		10,388
Securities lending income, net		50,107

Total investment income		3,630,596

Expenses
ING—program fee		1,027,279
Trustee, management and administration fees		197,028
Investment advisory fee		511,327
ABA Retirement Funds—program fee		146,497
Legal and audit fees		86,947
Compliance consultant fees		64,189
Reports to unitholders		48,142
Registration fees		9,628
Other fees		35,596

Total expenses		2,126,633


Net investment income (loss)		1,503,963


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		52,708,759
Investments—affiliated issuers		4,300,083

Net realized gain (loss)		57,008,842


Change in net unrealized appreciation (depreciation)		(17,157,112	)


Net realized and unrealized gain (loss)		39,851,730


Net increase (decrease) in net assets resulting from operations	$	41,355,693

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

American Bar Association Members/ State Street Collective Trust

Large Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	1,503,963
Net realized gain (loss)		57,008,842
Change in net unrealized appreciation (depreciation)		(17,157,112	)

Net increase (decrease) in net assets resulting from operations		41,355,693


From unitholder transactions
Proceeds from units issued		9,051,799
Cost of units redeemed		(54,959,964	)

Net increase (decrease) in net assets from unitholder transactions		(45,908,165	)


Net increase (decrease) in net assets		(4,552,472	)

Net Assets
Beginning of period		811,635,950

End of period	$	807,083,478


Number of units
Outstanding-beginning of period		66,821,577
Issued		736,586
Redeemed		(4,435,234	)

Outstanding-end of period		63,122,929

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

American Bar Association Members/ State Street Collective Trust

Large Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	0.06
Expenses(†)††		(0.03	)

Net investment income (loss)		0.03
Net realized and unrealized gain (loss)		0.61

Net increase (decrease) in unit value		0.64
Net asset value at beginning of period		12.15

Net asset value at end of period	$	12.79


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		1.07	%
Ratio of net investment income (loss) to average net assets*		0.76	%
Portfolio turnover**†††		78	%
Total return**		5.27	%
Net assets at end of period (in thousands)	$	807,083

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	With respect to a portion of the Fund’s assets invested in collective investment funds, portfolio turnover reflects purchases and sales of such collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Small-Mid Cap Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments, at value (cost $223,584,019)	$	280,248,585	^(a)
Investments in affiliated issuers, at value (cost $176,522,640)		174,874,473
Cash		33,303
Receivable for investments sold		3,041,556
Receivable for fund units sold		63,905
Interest and dividends receivable		228,528
Tax reclaims receivable		1,203

Total assets		458,491,553

Liabilities
Due to custodian		1,302
Payable for cash collateral received on securities loaned		162,135,474
Payable for investments purchased		2,144,524
Payable for fund units redeemed		87,297
Investment advisory fee payable		140,033
ING—program fee payable		125,261
Trustee, management and administration fees payable		25,723
ABA Retirement Funds—program fee payable		17,046
Other accruals		100,572

Total liabilities		164,777,232


Net Assets (equivalent to $14.61 per unit based on 20,110,313 units outstanding)	$	293,714,321

(a)	Includes securities on loan with a value of $158,025,159 (see Note 6).

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

American Bar Association Members/ State Street Collective Trust

Small-Mid Cap Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income
Dividends (net of foreign tax expense of $132)	$	936,657
Dividends—affiliated issuers		2,670
Securities lending income, net		87,987

Total investment income		1,027,314


Expenses
ING—program fee		367,014
Trustee, management and administration fees		70,413
Investment advisory fee		356,045
ABA Retirement Funds—program fee		52,339
Legal and audit fees		31,104
Compliance consultant fees		22,963
Reports to unitholders		17,222
Registration fees		3,444
Other fees		12,701

Total expenses		933,245


Net investment income (loss)		94,069


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		14,138,582
Investments—affiliated issuers		1,174,898

Net realized gain (loss)		15,313,480


Change in net unrealized appreciation (depreciation) on:
Investments		11,041,445
Foreign currency transactions		(196	)

Change in net unrealized appreciation (depreciation)		11,041,249


Net realized and unrealized gain (loss)		26,354,729


Net increase (decrease) in net assets resulting from operations	$	26,448,798

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

American Bar Association Members/ State Street Collective Trust

Small-Mid Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	94,069
Net realized gain (loss)		15,313,480
Change in net unrealized appreciation (depreciation)		11,041,249

Net increase (decrease) in net assets resulting from operations		26,448,798


From unitholder transactions
Proceeds from units issued		4,839,623
Cost of units redeemed		(20,772,721	)

Net increase (decrease) in net assets from unitholder transactions		(15,933,098	)


Net increase (decrease) in net assets		10,515,700

Net Assets
Beginning of period		283,198,621

End of period	$	293,714,321


Number of units
Outstanding-beginning of period		21,254,601
Issued		349,284
Redeemed		(1,493,572	)

Outstanding-end of period		20,110,313

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

American Bar Association Members/ State Street Collective Trust

Small-Mid Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	0.05
Expenses(†)††		(0.04	)

Net investment income (loss)		0.01
Net realized and unrealized gain (loss)		1.28

Net increase (decrease) in unit value		1.29
Net asset value at beginning of period		13.32

Net asset value at end of period	$	14.61


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		1.32	%
Ratio of net investment income (loss) to average net assets*		0.13	%
Portfolio turnover**†††		25	%
Total return**		9.68	%
Net assets at end of period (in thousands)	$	293,714

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	With respect to a portion of the Fund’s assets invested in collective investment funds, portfolio turnover reflects purchases and sales of such collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

International All Cap Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments, at value (cost $137,805,020)	$	153,764,552	^(a)
Investments in affiliated issuers, at value (cost $23,459,942)		23,421,262
Foreign currency, at value (cost $981,366)		985,079
Receivable for investments sold		386,232
Receivable for fund units sold		140,413
Interest and dividends receivable		642,412
Tax reclaims receivable		230,426

Total assets		179,570,376

Liabilities
Due to custodian		42,141
Payable for cash collateral received on securities loaned		12,524,510
Payable for investments purchased		758,595
Payable for fund units redeemed		26,579
Investment advisory fee payable		80,509
ING—program fee payable		69,226
Trustee, management and administration fees payable		13,907
ABA Retirement Funds—program fee payable		9,438
Other liabilities		69,009
Other accruals		55,389

Total liabilities		13,649,303


Net Assets (equivalent to $25.32 per unit based on 6,552,521 units outstanding)	$	165,921,073

(a)	Includes securities on loan with a value of $12,065,397 (see Note 6).

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

American Bar Association Members/ State Street Collective Trust

International All Cap Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income
Dividends (net of foreign tax expense of $66,655)	$	972,808
Dividends—affiliated issuers		2,864
Securities lending income, net		6,863

Total investment income		982,535


Expenses
ING—program fee		208,667
Trustee, management and administration fees		40,028
Investment advisory fee		194,588
ABA Retirement Funds—program fee		29,757
Legal and audit fees		17,653
Compliance consultant fees		13,032
Reports to unitholders		9,774
Registration fees		1,955
Other fees		7,227

Total expenses		522,681


Net investment income (loss)		459,854


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		5,997,752
Foreign currency transactions		423,779

Net realized gain (loss)		6,421,531


Change in net unrealized appreciation (depreciation) on:
Investments		(4,273,533	)
Foreign currency transactions		7,841


Change in net unrealized appreciation (depreciation)		(4,265,692	)


Net realized and unrealized gain (loss)		2,155,839


Net increase (decrease) in net assets resulting from operations	$	2,615,693

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

American Bar Association Members/ State Street Collective Trust

International All Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	459,854
Net realized gain (loss) from investments and foreign currency transactions		6,421,531
Change in net unrealized appreciation (depreciation)		(4,265,692	)

Net increase (decrease) in net assets resulting from operations		2,615,693


From unitholder transactions
Proceeds from units issued		9,124,779
Cost of units redeemed		(11,347,336	)

Net increase (decrease) in net assets from unitholder transactions		(2,222,557	)


Net increase (decrease) in net assets		393,136

Net Assets
Beginning of period		165,527,937

End of period	$	165,921,073


Number of units
Outstanding-beginning of period		6,644,427
Issued		368,144
Redeemed		(460,050	)

Outstanding-end of period		6,552,521

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

American Bar Association Members/ State Street Collective Trust

International All Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	0.15
Expenses(†)††		(0.08	)

Net investment income (loss)		0.07
Net realized and unrealized gain (loss)		0.34

Net increase (decrease) in unit value		0.41
Net asset value at beginning of period		24.91

Net asset value at end of period	$	25.32


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		1.30	%
Ratio of net investment income (loss) to average net assets*		1.14	%
Portfolio turnover**†††		58	%
Total return**		1.65	%
Net assets at end of period (in thousands)	$	165,921

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	With respect to a portion of the Fund’s assets invested in collective investment funds, portfolio turnover reflects purchases and sales of such collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Bond Index Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investment in affiliated fund, at value:
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $39,495,022 and units of 3,774,285)	$	40,267,850
Receivable for fund units sold		39,413

Total assets		40,307,263

Liabilities
Payable for investments purchased		27,608
Payable for fund units redeemed		11,805
Investment advisory fee payable		1,419
ING—program fee payable		17,006
Trustee, management and administration fees payable		3,382
ABA Retirement Funds—program fee payable		2,426
Payable for legal and audit services		4,834
Payable for compliance consultant fees		3,409
Payable for reports to unitholders		2,186
Other accruals		2,274

Total liabilities		76,349


Net Assets (equivalent to $11.83 per unit based on 3,399,422 units outstanding)	$	40,230,914

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

American Bar Association Members/ State Street Collective Trust

Bond Index Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		50,563
Trustee, management and administration fees		9,686
Investment advisory fee		3,890
ABA Retirement Funds—program fee		7,211
Legal and audit fees		4,261
Compliance consultant fees		3,146
Reports to unitholders		2,359
Registration fees		472
Other fees		1,744

Total expenses		83,332


Net investment income (loss)		(83,332	)


Net realized and unrealized gain (loss) on investment in affiliated fund
Net realized gain (loss)		54,298

Change in net unrealized appreciation (depreciation)		623,989

Net realized and unrealized gain (loss)		678,287


Net increase (decrease) in net assets resulting from operations	$	594,955

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

American Bar Association Members/ State Street Collective Trust

Bond Index Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(83,332	)
Net realized gain (loss)		54,298
Change in net unrealized appreciation (depreciation)		623,989

Net increase (decrease) in net assets resulting from operations		594,955


From unitholder transactions
Proceeds from units issued		9,198,171
Cost of units redeemed		(5,331,333	)

Net increase (decrease) in net assets from unitholder transactions		3,866,838


Net increase (decrease) in net assets		4,461,793

Net Assets
Beginning of period		35,769,121

End of period	$	40,230,914


Number of units
Outstanding-beginning of period		3,069,305
Issued		782,048
Redeemed		(451,931	)

Outstanding-end of period		3,399,422

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

American Bar Association Members/ State Street Collective Trust

Bond Index Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.02	)

Net investment income (loss)		(0.02	)
Net realized and unrealized gain (loss)		0.20

Net increase (decrease) in unit value		0.18
Net asset value at beginning of period		11.65

Net asset value at end of period	$	11.83


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.86	%
Ratio of net investment income (loss) to average net assets*		(0.86	)%
Portfolio turnover**†††		6	%
Total return**		1.55	%
Net assets at end of period (in thousands)	$	40,231

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in a collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

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

American Bar Association Members/ State Street Collective Trust

Large Cap Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investment in affiliated fund, at value:
SSgA S&P 500^® Index Non-Lending Series Fund Class A (cost $35,487,267 and units of 2,011,178)	$	38,998,757
Receivable for fund units sold		30,494

Total assets		39,029,251

Liabilities
Payable for investments purchased		21,867
Payable for fund units redeemed		8,627
Investment advisory fee payable		677
ING—program fee payable		15,998
Trustee, management and administration fees payable		3,176
ABA Retirement Funds—program fee payable		2,280
Payable for legal and audit services		4,428
Payable for compliance consultant fees		3,123
Payable for reports to unitholders		2,002
Other accruals		2,083

Total liabilities		64,261


Net Assets (equivalent to $16.49 per unit based on 2,362,707 units outstanding)	$	38,964,990

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

American Bar Association Members/ State Street Collective Trust

Large Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		46,619
Trustee, management and administration fees		8,940
Investment advisory fee		1,796
ABA Retirement Funds—program fee		6,648
Legal and audit fees		3,948
Compliance consultant fees		2,915
Reports to unitholders		2,186
Registration fees		437
Other fees		1,616

Total expenses		75,105


Net investment income (loss)		(75,105	)


Net realized and unrealized gain (loss) on investment in affiliated fund
Net realized gain (loss)		145,392

Change in net unrealized appreciation (depreciation)		1,791,476


Net realized and unrealized gain (loss)		1,936,868


Net increase (decrease) in net assets resulting from operations	$	1,861,763

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

American Bar Association Members/ State Street Collective Trust

Large Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(75,105	)
Net realized gain (loss)		145,392
Change in net unrealized appreciation (depreciation)		1,791,476

Net increase (decrease) in net assets resulting from operations		1,861,763


From unitholder transactions
Proceeds from units issued		8,466,091
Cost of units redeemed		(5,605,168	)

Net increase (decrease) in net assets from unitholder transactions		2,860,923


Net increase (decrease) in net assets		4,722,686

Net Assets
Beginning of period		34,242,304

End of period	$	38,964,990


Number of units
Outstanding-beginning of period		2,184,145
Issued		535,844
Redeemed		(357,282	)

Outstanding-end of period		2,362,707

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

American Bar Association Members/ State Street Collective Trust

Large Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.03	)

Net investment income (loss)		(0.03	)
Net realized and unrealized gain (loss)		0.84

Net increase (decrease) in unit value		0.81
Net asset value at beginning of period		15.68

Net asset value at end of period	$	16.49


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.84	%
Ratio of net investment income (loss) to average net assets*		(0.84	)%
Portfolio turnover**†††		7	%
Total return**		5.17	%
Net assets at end of period (in thousands)	$	38,965

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in a collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

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

American Bar Association Members/ State Street Collective Trust

All Cap Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Russell All Cap^® Index Securities Lending Series Fund Class I (cost $140,615,238 and units of 8,394,232)	$	157,979,455
SSgA Russell All Cap Index Non-Lending Series Fund Class A (cost $107,504,602 and units of 7,974,744)		118,257,481
Receivable for fund units sold		548,175

Total assets		276,785,111

Liabilities
Payable for investments purchased		436,007
Payable for fund units redeemed		112,168
Investment advisory fee payable		11,617
ING—program fee payable		115,340
Trustee, management and administration fees payable		23,009
ABA Retirement Funds—program fee payable		15,902
Payable for legal and audit services		35,484
Payable for compliance consultant fees		25,021
Payable for reports to unitholders		16,043
Other accruals		16,689

Total liabilities		807,280


Net Assets (equivalent to $32.38 per unit based on 8,523,415 units outstanding)	$	275,977,831

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

American Bar Association Members/ State Street Collective Trust

All Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		341,994
Trustee, management and administration fees		65,597
Investment advisory fee		32,945
ABA Retirement Funds—program fee		48,771
Legal and audit fees		28,959
Compliance consultant fees		21,379
Reports to unitholders		16,034
Registration fees		3,207
Other fees		11,856

Total expenses		570,742


Net investment income (loss)		(570,742	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		2,069,199

Change in net unrealized appreciation (depreciation)		13,629,638


Net realized and unrealized gain (loss)		15,698,837


Net increase (decrease) in net assets resulting from operations	$	15,128,095

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

American Bar Association Members/ State Street Collective Trust

All Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(570,742	)
Net realized gain (loss)		2,069,199
Change in net unrealized appreciation (depreciation)		13,629,638

Net increase (decrease) in net assets resulting from operations		15,128,095


From unitholder transactions
Proceeds from units issued		13,017,697
Cost of units redeemed		(18,652,051	)

Net increase (decrease) in net assets from unitholder transactions		(5,634,354	)


Net increase (decrease) in net assets		9,493,741

Net Assets
Beginning of period		266,484,090

End of period	$	275,977,831


Number of units
Outstanding-beginning of period		8,708,063
Issued		417,878
Redeemed		(602,526	)

Outstanding-end of period		8,523,415

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

American Bar Association Members/ State Street Collective Trust

All Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.07	)

Net investment income (loss)		(0.07	)
Net realized and unrealized gain (loss)		1.85

Net increase (decrease) in unit value		1.78
Net asset value at beginning of period		30.60

Net asset value at end of period	$	32.38


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%
Portfolio turnover**†††		9	%
Total return**		5.82	%
Net assets at end of period (in thousands)	$	275,978

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Mid Cap Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investment in affiliated fund, at value:
SSgA S&P MidCap^® Index Non-Lending Series Fund Class A (cost $26,057,742 and units of 1,015,160)	$	29,550,298
Receivable for fund units sold		82,558

Total assets		29,632,856

Liabilities
Payable for investments purchased		58,459
Payable for fund units redeemed		24,099
Investment advisory fee payable		1,241
ING—program fee payable		12,354
Trustee, management and administration fees payable		2,450
ABA Retirement Funds—program fee payable		1,758
Payable for legal and audit services		3,264
Payable for compliance consultant fees		2,301
Payable for reports to unitholders		1,476
Other accruals		1,535

Total liabilities		108,937


Net Assets (equivalent to $21.40 per unit based on 1,379,703 units outstanding)	$	29,523,919

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

American Bar Association Members/ State Street Collective Trust

Mid Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		34,777
Trustee, management and administration fees		6,672
Investment advisory fee		3,352
ABA Retirement Funds—program fee		4,959
Legal and audit fees		2,952
Compliance consultant fees		2,179
Reports to unitholders		1,635
Registration fees		327
Other fees		1,209

Total expenses		58,062


Net investment income (loss)		(58,062	)


Net realized and unrealized gain (loss) on investment in affiliated fund
Net realized gain (loss)		175,796
Change in net unrealized appreciation (depreciation)		2,231,460

Net realized and unrealized gain (loss)		2,407,256


Net increase (decrease) in net assets resulting from operations	$	2,349,194

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

American Bar Association Members/ State Street Collective Trust

Mid Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(58,062	)
Net realized gain (loss)		175,796
Change in net unrealized appreciation (depreciation)		2,231,460

Net increase (decrease) in net assets resulting from operations		2,349,194


From unitholder transactions
Proceeds from units issued		7,274,260
Cost of units redeemed		(5,410,710	)

Net increase (decrease) in net assets from unitholder transactions		1,863,550


Net increase (decrease) in net assets		4,212,744

Net Assets
Beginning of period		25,311,175

End of period	$	29,523,919


Number of units
Outstanding-beginning of period		1,287,394
Issued		360,421
Redeemed		(268,112	)

Outstanding-end of period		1,379,703

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

American Bar Association Members/ State Street Collective Trust

Mid Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.04	)

Net investment income (loss)		(0.04	)
Net realized and unrealized gain (loss)		1.78

Net increase (decrease) in unit value		1.74
Net asset value at beginning of period		19.66

Net asset value at end of period	$	21.40


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%
Portfolio turnover**†††		9	%
Total return**		8.85	%
Net assets at end of period (in thousands)	$	29,524

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in a collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

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

American Bar Association Members/ State Street Collective Trust

Small Cap Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investment in affiliated fund, at value:
SSgA Russell Small Cap Index Non-Lending Series Fund Class A (cost $16,088,149 and units of 891,256)	$	18,032,775
Receivable for fund units sold		17,061

Total assets		18,049,836

Liabilities
Payable for investments purchased		16,998
Payable for fund units redeemed		63
Investment advisory fee payable		726
ING—program fee payable		7,555
Trustee, management and administration fees payable		1,500
ABA Retirement Funds—program fee payable		1,077
Payable for legal and audit services		2,019
Payable for compliance consultant fees		1,424
Payable for reports to unitholders		913
Other accruals		949

Total liabilities		33,224


Net Assets (equivalent to $22.44 per unit based on 802,780 units outstanding)	$	18,016,612

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

American Bar Association Members/ State Street Collective Trust

Small Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		21,009
Trustee, management and administration fees		4,031
Investment advisory fee		2,025
ABA Retirement Funds—program fee		2,996
Legal and audit fees		1,785
Compliance consultant fees		1,318
Reports to unitholders		988
Registration fees		198
Other fees		731

Total expenses		35,081


Net investment income (loss)		(35,081	)


Net realized and unrealized gain (loss) on investment in affiliated fund
Net realized gain (loss)		68,081

Change in net unrealized appreciation (depreciation)		1,380,828

Net realized and unrealized gain (loss)		1,448,909

Net increase (decrease) in net assets resulting from operations	$	1,413,828

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

American Bar Association Members/ State Street Collective Trust

Small Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(35,081	)
Net realized gain (loss)		68,081
Change in net unrealized appreciation (depreciation)		1,380,828

Net increase (decrease) in net assets resulting from operations		1,413,828


From unitholder transactions
Proceeds from units issued		3,767,088
Cost of units redeemed		(2,672,370	)

Net increase (decrease) in net assets from unitholder transactions		1,094,718


Net increase (decrease) in net assets		2,508,546

Net Assets
Beginning of period		15,508,066

End of period	$	18,016,612


Number of units
Outstanding-beginning of period		750,212
Issued		179,163
Redeemed		(126,595	)

Outstanding-end of period		802,780

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

American Bar Association Members/ State Street Collective Trust

Small Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.05	)

Net investment income (loss)		(0.05	)
Net realized and unrealized gain (loss)		1.82

Net increase (decrease) in unit value		1.77
Net asset value at beginning of period		20.67

Net asset value at end of period	$	22.44


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%
Portfolio turnover**†††		9	%
Total return**		8.56	%
Net assets at end of period (in thousands)	$	18,017

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in a collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

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

American Bar Association Members/ State Street Collective Trust

International Index Equity Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investment in affiliated fund, at value:
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $27,098,586 and units of 2,306,135)	$	28,358,542
Receivable for fund units sold		78,276

Total assets		28,436,818

Liabilities
Payable for investments purchased		51,192
Payable for fund units redeemed		27,084
Investment advisory fee payable		2,308
ING—program fee payable		11,709
Trustee, management and administration fees payable		2,326
ABA Retirement Funds—program fee payable		1,669
Payable for legal and audit services		3,164
Payable for compliance consultant fees		2,231
Payable for reports to unitholders		1,430
Other accruals		1,488

Total liabilities		104,601


Net Assets (equivalent to $26.61 per unit based on 1,064,563 units outstanding)	$	28,332,217

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

American Bar Association Members/ State Street Collective Trust

International Index Equity Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		33,447
Trustee, management and administration fees		6,417
Investment advisory fee		6,447
ABA Retirement Funds—program fee		4,770
Legal and audit fees		2,836
Compliance consultant fees		2,094
Reports to unitholders		1,570
Registration fees		314
Other fees		1,161

Total expenses		59,056


Net investment income (loss)		(59,056	)


Net realized and unrealized gain (loss) on investment in affiliated fund
Net realized gain (loss)		27,416

Change in net unrealized appreciation (depreciation)		433,184


Net realized and unrealized gain (loss)		460,600


Net increase (decrease) in net assets resulting from operations	$	401,544

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

American Bar Association Members/ State Street Collective Trust

International Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(59,056	)
Net realized gain (loss)		27,416
Change in net unrealized appreciation (depreciation)		433,184

Net increase (decrease) in net assets resulting from operations		401,544


From unitholder transactions
Proceeds from units issued		6,775,128
Cost of units redeemed		(3,190,930	)

Net increase (decrease) in net assets from unitholder transactions		3,584,198


Net increase (decrease) in net assets		3,985,742

Net Assets
Beginning of period		24,346,475

End of period	$	28,332,217


Number of units
Outstanding-beginning of period		926,417
Issued		262,058
Redeemed		(123,912	)

Outstanding-end of period		1,064,563

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

American Bar Association Members/ State Street Collective Trust

International Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.06	)

Net investment income (loss)		(0.06	)
Net realized and unrealized gain (loss)		0.39

Net increase (decrease) in unit value		0.33
Net asset value at beginning of period		26.28

Net asset value at end of period	$	26.61


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		5	%
Total return**		1.26	%
Net assets at end of period (in thousands)	$	28,332

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	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.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in a collective investment fund, rather than portfolio turnover of the underlying portfolio of such collective investment fund.

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

American Bar Association Members/ State Street Collective Trust

Real Asset Return Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $3,369,723 and units of 175,407)	$	3,438,860
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $2,185,087 and units of 117,108)		2,701,692
SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund Class A (cost $1,728,327 and units of 217,988)		1,751,315
Receivable for fund units sold		481,630

Total assets		8,373,497

Liabilities
Payable for investments purchased		481,563
Payable for fund units redeemed		66
Investment advisory fee payable		534
ING—program fee payable		2,951
Trustee, management and administration fees payable		587
ABA Retirement Funds—program fee payable		421
Other accruals		1,958

Total liabilities		488,080


Net Assets (equivalent to $14.79 per unit based on 533,223 units outstanding)	$	7,885,417

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

American Bar Association Members/ State Street Collective Trust

Real Asset Return Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		8,076
Trustee, management and administration fees		1,548
Investment advisory fee		1,400
ABA Retirement Funds—program fee		1,153
Legal and audit fees		687
Compliance consultant fees		507
Reports to unitholders		380
Registration fees		76
Other fees		281

Total expenses		14,108


Net investment income (loss)		(14,108	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		57,662

Change in net unrealized appreciation (depreciation)		98,218


Net realized and unrealized gain (loss)		155,880


Net increase (decrease) in net assets resulting from operations	$	141,772

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

American Bar Association Members/ State Street Collective Trust

Real Asset Return Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(14,108	)
Net realized gain (loss)		57,662
Change in net unrealized appreciation (depreciation)		98,218

Net increase (decrease) in net assets resulting from operations		141,772


From unitholder transactions
Proceeds from units issued		2,971,452
Cost of units redeemed		(598,933	)

Net increase (decrease) in net assets from unitholder transactions		2,372,519


Net increase (decrease) in net assets		2,514,291

Net Assets
Beginning of period		5,371,126

End of period	$	7,885,417


Number of units
Outstanding-beginning of period		370,249
Issued		204,186
Redeemed		(41,212	)

Outstanding-end of period		533,223

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

American Bar Association Members/ State Street Collective Trust

Real Asset Return Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.03	)

Net investment income (loss)		(0.03	)
Net realized and unrealized gain (loss)		0.31

Net increase (decrease) in unit value		0.28
Net asset value at beginning of period		14.51

Net asset value at end of period	$	14.79


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.91	%
Ratio of net investment income (loss) to average net assets*		(0.91	)%
Portfolio turnover**†††		5	%
Total return**		1.93	%
Net assets at end of period (in thousands)	$	7,885

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Target Retirement Income Securities Lending Series Fund Class I (cost $18,045,993 and units of 1,571,332)	$	19,222,099
SSgA Target Retirement Income Non-Lending Series Fund Class A (cost $11,622,236 and units of 1,100,001)		12,500,416
Receivable for fund units sold		90,007

Total assets		31,812,522

Liabilities
Payable for investments purchased		80,705
Payable for fund units redeemed		9,302
Retirement Date Fund management fee payable		2,671
ING—program fee payable		13,261
Trustee, management and administration fees payable		2,640
ABA Retirement Funds—program fee payable		1,891
Other accruals		10,528

Total liabilities		120,998


Net Assets (equivalent to $11.19 per unit based on 2,833,271 units outstanding)	$	31,691,524

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

American Bar Association Members/ State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		39,231
Trustee, management and administration fees		7,518
Retirement Date Fund management fee		7,550
ABA Retirement Funds—program fee		5,594
Legal and audit fees		3,312
Compliance consultant fees		2,445
Reports to unitholders		1,834
Registration fees		367
Other fees		1,356

Total expenses		69,207


Net investment income (loss)		(69,207	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		111,461

Change in net unrealized appreciation (depreciation)		656,258


Net realized and unrealized gain (loss)		767,719


Net increase (decrease) in net assets resulting from operations	$	698,512

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

American Bar Association Members/ State Street Collective Trust

Lifetime Income Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(69,207	)
Net realized gain (loss)		111,461
Change in net unrealized appreciation (depreciation)		656,258

Net increase (decrease) in net assets resulting from operations		698,512


From unitholder transactions
Proceeds from units issued		2,839,154
Cost of units redeemed		(780,082	)

Net increase (decrease) in net assets from unitholder transactions		2,059,072


Net increase (decrease) in net assets		2,757,584

Net Assets
Beginning of period		28,933,940

End of period	$	31,691,524


Number of units
Outstanding-beginning of period		2,645,849
Issued		258,368
Redeemed		(70,946	)

Outstanding-end of period		2,833,271

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

American Bar Association Members/ State Street Collective Trust

Lifetime Income Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.02	)

Net investment income (loss)		(0.02	)
Net realized and unrealized gain (loss)		0.27

Net increase (decrease) in unit value		0.25
Net asset value at beginning of period		10.94

Net asset value at end of period	$	11.19


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		9	%
Total return**		2.29	%
Net assets at end of period (in thousands)	$	31,692

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

2010 Retirement Date Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Target Retirement 2010 Securities Lending Series Fund Class I (cost $36,382,868 and units of 3,234,409)	$	39,281,900
SSgA Target Retirement 2010 Non-Lending Series Fund Class A (cost $22,019,914 and units of 2,036,532)		23,874,263
Receivable for investments sold		875,694
Receivable for fund units sold		31,388

Total assets		64,063,245

Liabilities
Payable for fund units redeemed		907,082
Retirement Date Fund management fee payable		5,473
ING—program fee payable		27,224
Trustee, management and administration fees payable		5,410
ABA Retirement Funds—program fee payable		3,876
Other accruals		21,870

Total liabilities		970,935


Net Assets (equivalent to $13.12 per unit based on 4,808,290 units outstanding)	$	63,092,310

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

American Bar Association Members/ State Street Collective Trust

2010 Retirement Date Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		81,209
Trustee, management and administration fees		15,568
Retirement Date Fund management fee		15,635
ABA Retirement Funds—program fee		11,581
Legal and audit fees		6,860
Compliance consultant fees		5,065
Reports to unitholders		3,798
Registration fees		760
Other fees		2,809

Total expenses		143,285


Net investment income (loss)		(143,285	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		348,076
Change in net unrealized appreciation (depreciation)		1,600,239


Net realized and unrealized gain (loss)		1,948,315


Net increase (decrease) in net assets resulting from operations	$	1,805,030

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

American Bar Association Members/ State Street Collective Trust

2010 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(143,285	)
Net realized gain (loss)		348,076
Change in net unrealized appreciation (depreciation)		1,600,239

Net increase (decrease) in net assets resulting from operations		1,805,030


From unitholder transactions
Proceeds from units issued		5,634,090
Cost of units redeemed		(6,317,685	)

Net increase (decrease) in net assets from unitholder transactions		(683,595	)


Net increase (decrease) in net assets		1,121,435

Net Assets
Beginning of period		61,970,875

End of period	$	63,092,310


Number of units
Outstanding-beginning of period		4,859,187
Issued		437,317
Redeemed		(488,214	)

Outstanding-end of period		4,808,290

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

American Bar Association Members/ State Street Collective Trust

2010 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.03	)

Net investment income (loss)		(0.03	)
Net realized and unrealized gain (loss)		0.40

Net increase (decrease) in unit value		0.37
Net asset value at beginning of period		12.75

Net asset value at end of period	$	13.12


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		14	%
Total return**		2.90	%
Net assets at end of period (in thousands)	$	63,092

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

2020 Retirement Date Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Target Retirement 2020 Securities Lending Series Fund Class I (cost $65,928,237 and units of 5,893,236)	$	71,319,944
SSgA Target Retirement 2020 Non-Lending Series Fund Class A (cost $36,849,400 and units of 3,332,489)		40,819,653
Receivable for investments sold		264,817
Receivable for fund units sold		71,524

Total assets		112,475,938

Liabilities
Payable for fund units redeemed		336,341
Retirement Date Fund management fee payable		9,650
ING—program fee payable		47,892
Trustee, management and administration fees payable		9,533
ABA Retirement Funds—program fee payable		6,834
Other accruals		37,682

Total liabilities		447,932


Net Assets (equivalent to $15.00 per unit based on 7,470,139 units outstanding)	$	112,028,006

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

American Bar Association Members/ State Street Collective Trust

2020 Retirement Date Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		141,022
Trustee, management and administration fees		27,044
Retirement Date Fund management fee		27,163
ABA Retirement Funds—program fee		20,111
Legal and audit fees		11,932
Compliance consultant fees		8,809
Reports to unitholders		6,607
Registration fees		1,321
Other fees		4,885

Total expenses		248,894


Net investment income (loss)		(248,894	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		433,685

Change in net unrealized appreciation (depreciation)		3,919,052


Net realized and unrealized gain (loss)		4,352,737


Net increase (decrease) in net assets resulting from operations	$	4,103,843

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

American Bar Association Members/ State Street Collective Trust

2020 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(248,894	)
Net realized gain (loss)		433,685
Change in net unrealized appreciation (depreciation)		3,919,052

Net increase (decrease) in net assets resulting from operations		4,103,843


From unitholder transactions
Proceeds from units issued		9,967,278
Cost of units redeemed		(8,611,347	)

Net increase (decrease) in net assets from unitholder transactions		1,355,931


Net increase (decrease) in net assets		5,459,774

Net Assets
Beginning of period		106,568,232

End of period	$	112,028,006

Number of units
Outstanding-beginning of period		7,372,493
Issued		681,229
Redeemed		(583,583	)

Outstanding-end of period		7,470,139

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

American Bar Association Members/ State Street Collective Trust

2020 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.03	)

Net investment income (loss)		(0.03	)
Net realized and unrealized gain (loss)		0.58

Net increase (decrease) in unit value		0.55
Net asset value at beginning of period		14.45

Net asset value at end of period	$	15.00


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		13	%
Total return**		3.81	%
Net assets at end of period (in thousands)	$	112,028

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

2030 Retirement Date Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Target Retirement 2030 Securities Lending Series Fund Class I (cost $50,865,168 and units of 4,569,006)	$	54,782,384
SSgA Target Retirement 2030 Non-Lending Series Fund Class A (cost $27,407,045 and units of 2,454,769)		30,934,994
Receivable for fund units sold		81,495

Total assets		85,798,873

Liabilities
Payable for investments purchased		77,043
Payable for fund units redeemed		4,452
Retirement Date Fund management fee payable		7,217
ING—program fee payable		35,838
Trustee, management and administration fees payable		7,130
ABA Retirement Funds—program fee payable		5,110
Payable for legal and audit services		10,487
Other accruals		17,068

Total liabilities		164,345


Net Assets (equivalent to $16.72 per unit based on 5,121,834 units outstanding)	$	85,634,528

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

American Bar Association Members/ State Street Collective Trust

2030 Retirement Date Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		104,247
Trustee, management and administration fees		19,991
Retirement Date Fund management fee		20,080
ABA Retirement Funds—program fee		14,867
Legal and audit fees		8,825
Compliance consultant fees		6,515
Reports to unitholders		4,886
Registration fees		977
Other fees		3,613

Total expenses		184,001


Net investment income (loss)		(184,001	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		(193,085	)

Change in net unrealized appreciation (depreciation)		3,850,124


Net realized and unrealized gain (loss)		3,657,039


Net increase (decrease) in net assets resulting from operations	$	3,473,038

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

American Bar Association Members/ State Street Collective Trust

2030 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(184,001	)
Net realized gain (loss)		(193,085	)
Change in net unrealized appreciation (depreciation)		3,850,124

Net increase (decrease) in net assets resulting from operations		3,473,038


From unitholder transactions
Proceeds from units issued		10,136,859
Cost of units redeemed		(5,000,384	)

Net increase (decrease) in net assets from unitholder transactions		5,136,475


Net increase (decrease) in net assets		8,609,513

Net Assets
Beginning of period		77,025,015

End of period	$	85,634,528


Number of units
Outstanding-beginning of period		4,804,674
Issued		623,099
Redeemed		(305,939	)

Outstanding-end of period		5,121,834

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

American Bar Association Members/ State Street Collective Trust

2030 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.04	)

Net investment income (loss)		(0.04	)
Net realized and unrealized gain (loss)		0.73

Net increase (decrease) in unit value		0.69
Net asset value at beginning of period		16.03

Net asset value at end of period	$	16.72


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		12	%
Total return**		4.30	%
Net assets at end of period (in thousands)	$	85,635

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

2040 Retirement Date Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Target Retirement 2040 Securities Lending Series Fund Class I (cost $29,132,005 and units of 2,719,531)	$	32,987,906
SSgA Target Retirement 2040 Non-Lending Series Fund Class A (cost $17,837,591 and units of 1,592,408)		20,373,266
Receivable for fund units sold		76,793

Total assets		53,437,965

Liabilities
Payable for investments purchased		75,444
Payable for fund units redeemed		1,349
Retirement Date Fund management fee payable		4,529
ING—program fee payable		22,492
Trustee, management and administration fees payable		4,474
ABA Retirement Funds—program fee payable		3,206
Payable for legal and audit services		6,661
Other accruals		10,842

Total liabilities		128,997


Net Assets (equivalent to $18.64 per unit based on 2,859,653 units outstanding)	$	53,308,968

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

American Bar Association Members/ State Street Collective Trust

2040 Retirement Date Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		65,812
Trustee, management and administration fees		12,623
Retirement Date Fund management fee		12,679
ABA Retirement Funds—program fee		9,385
Legal and audit fees		5,568
Compliance consultant fees		4,111
Reports to unitholders		3,083
Registration fees		617
Other fees		2,280

Total expenses		116,158


Net investment income (loss)		(116,158	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		(236,446	)

Change in net unrealized appreciation (depreciation)		2,675,449


Net realized and unrealized gain (loss)		2,439,003


Net increase (decrease) in net assets resulting from operations	$	2,322,845

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

American Bar Association Members/ State Street Collective Trust

2040 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(116,158	)
Net realized gain (loss)		(236,446	)
Change in net unrealized appreciation (depreciation)		2,675,449

Net increase (decrease) in net assets resulting from operations		2,322,845


From unitholder transactions
Proceeds from units issued		5,930,460
Cost of units redeemed		(4,557,833	)

Net increase (decrease) in net assets from unitholder transactions		1,372,627


Net increase (decrease) in net assets		3,695,472

Net Assets
Beginning of period		49,613,496

End of period	$	53,308,968


Number of units
Outstanding-beginning of period		2,782,633
Issued		329,255
Redeemed		(252,235	)

Outstanding-end of period		2,859,653

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

American Bar Association Members/ State Street Collective Trust

2040 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.04	)

Net investment income (loss)		(0.04	)
Net realized and unrealized gain (loss)		0.85

Net increase (decrease) in unit value		0.81
Net asset value at beginning of period		17.83

Net asset value at end of period	$	18.64


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.92	)%
Portfolio turnover**†††		13	%
Total return**		4.54	%
Net assets at end of period (in thousands)	$	53,309

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Conservative Risk Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
State Street Bank and Trust Company Short Term Investment Fund (cost $421,749 and units of 421,749)	$	421,749
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $3,892,399 and units of 372,336)		3,972,458
SSgA Russell All Cap Index Non-Lending Series Fund Class A (cost $1,134,390 and units of 85,236)		1,263,964
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $708,390 and units of 36,841)		722,265
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $362,074 and units of 18,785)		433,359
SSgA International Index Non-Lending Series Fund Class A (cost $376,107 and units of 31,098)		397,246
Receivable for investments sold		75,232
Receivable for fund units sold		6,478
Interest receivable		88

Total assets		7,292,839

Liabilities
Payable for investments purchased		69,895
Payable for fund units redeemed		204
Investment advisory fee payable		374
ING—program fee payable		3,095
Trustee, management and administration fees payable		615
ABA Retirement Funds—program fee payable		444
Other accruals		2,050

Total liabilities		76,677


Net Assets (equivalent to $14.75 per unit based on 489,238 units outstanding)	$	7,216,162

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

American Bar Association Members/ State Street Collective Trust

Conservative Risk Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	245


Expenses
ING—program fee		8,618
Trustee, management and administration fees		1,651
Investment advisory fee		995
ABA Retirement Funds—program fee		1,230
Legal and audit fees		729
Compliance consultant fees		538
Reports to unitholders		404
Registration fees		81
Other fees		298

Total expenses		14,544


Net investment income (loss)		(14,299	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		112,933

Change in net unrealized appreciation (depreciation)		78,008


Net realized and unrealized gain (loss)		190,941


Net increase (decrease) in net assets resulting from operations	$	176,642

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

American Bar Association Members/ State Street Collective Trust

Conservative Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(14,299	)
Net realized gain (loss)		112,933
Change in net unrealized appreciation (depreciation)		78,008

Net increase (decrease) in net assets resulting from operations		176,642


From unitholder transactions
Proceeds from units issued		2,501,653
Cost of units redeemed		(1,105,507	)

Net increase (decrease) in net assets from unitholder transactions		1,396,146


Net increase (decrease) in net assets		1,572,788

Net Assets
Beginning of period		5,643,374

End of period	$	7,216,162


Number of units
Outstanding-beginning of period		392,122
Issued		172,710
Redeemed		(75,594	)

Outstanding-end of period		489,238

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

American Bar Association Members/ State Street Collective Trust

Conservative Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†(a)	$	0.00
Expenses(†)††		(0.03	)

Net investment income (loss)		(0.03	)
Net realized and unrealized gain (loss)		0.39

Net increase (decrease) in unit value		0.36
Net asset value at beginning of period		14.39

Net asset value at end of period	$	14.75


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.86	)%
Portfolio turnover**†††		14	%
Total return**		2.50	%
Net assets at end of period (in thousands)	$	7,216

(a)	Amounts less than $0.005 per unit are rounded to zero.

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Moderate Risk Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
State Street Bank and Trust Company Short Term Investment Fund (cost $386,236 and units of 386,236)	$	386,236
SSgA Russell All Cap Index Non-Lending Series Fund Class A (cost $5,950,446 and units of 452,054)		6,703,502
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $6,019,813 and units of 577,375)		6,160,016
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $2,338,445 and units of 206,269)		2,536,488
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $882,081 and units of 47,120)		1,087,068
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $885,507 and units of 46,204)		905,834
SSgA Dow Jones UBS-Commodity Index^SM Non-Lending Series Fund Class A (cost $356,851 and units of 45,080)		362,172
Receivable for investments sold		191,068
Receivable for fund units sold		40,303
Interest receivable		76

Total assets		18,372,763

Liabilities
Payable for investments purchased		254,480
Payable for fund units redeemed		399
Investment advisory fee payable		889
ING—program fee payable		7,362
Trustee, management and administration fees payable		1,462
ABA Retirement Funds—program fee payable		1,050
Other accruals		4,926

Total liabilities		270,568


Net Assets (equivalent to $16.97 per unit based on 1,066,885 units outstanding)	$	18,102,195

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

American Bar Association Members/ State Street Collective Trust

Moderate Risk Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	209


Expenses
ING—program fee		20,599
Trustee, management and administration fees		3,947
Investment advisory fee		2,378
ABA Retirement Funds—program fee		2,938
Legal and audit fees		1,744
Compliance consultant fees		1,288
Reports to unitholders		966
Registration fees		193
Other fees		714

Total expenses		34,767


Net investment income (loss)		(34,558	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		192,317

Change in net unrealized appreciation (depreciation)		392,932


Net realized and unrealized gain (loss)		585,249


Net increase (decrease) in net assets resulting from operations	$	550,691

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

American Bar Association Members/ State Street Collective Trust

Moderate Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(34,558	)
Net realized gain (loss)		192,317
Change in net unrealized appreciation (depreciation)		392,932

Net increase (decrease) in net assets resulting from operations		550,691


From unitholder transactions
Proceeds from units issued		5,402,636
Cost of units redeemed		(1,432,624	)

Net increase (decrease) in net assets from unitholder transactions		3,970,012


Net increase (decrease) in net assets		4,520,703

Net Assets
Beginning of period		13,581,492

End of period	$	18,102,195


Number of units
Outstanding-beginning of period		826,808
Issued		326,627
Redeemed		(86,550	)

Outstanding-end of period		1,066,885

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

American Bar Association Members/ State Street Collective Trust

Moderate Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†(a)	$	0.00
Expenses(†)††		(0.04	)

Net investment income (loss)		(0.04	)
Net realized and unrealized gain (loss)		0.58

Net increase (decrease) in unit value		0.54
Net asset value at beginning of period		16.43

Net asset value at end of period	$	16.97


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%
Portfolio turnover**†††		7	%
Total return**		3.29	%
Net assets at end of period (in thousands)	$	18,102

(a)	Amounts less than $0.005 per unit are rounded to zero.

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Aggressive Risk Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
Investments in affiliated funds, at value:
SSgA Russell All Cap Index Non-Lending Series Fund Class A (cost $2,940,466 and units of 217,074)	$	3,218,987
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $1,223,972 and units of 104,708)		1,287,595
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $768,898 and units of 73,255)		781,556
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $301,258 and units of 15,222)		351,162
SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund Class A (cost $176,143 and units of 21,855)		175,581
Receivable for investments sold		75,271
Receivable for fund units sold		8,702

Total assets		5,898,854

Liabilities
Payable for investments purchased		45,975
Payable for fund units redeemed		173
Investment advisory fee payable		284
ING—program fee payable		2,348
Trustee, management and administration fees payable		466
ABA Retirement Funds—program fee payable		336
Other accruals		1,509

Total liabilities		51,091


Net Assets (equivalent to $19.38 per unit based on 301,806 units outstanding)	$	5,847,763

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

American Bar Association Members/ State Street Collective Trust

Aggressive Risk Fund

Statement of Operations

Unaudited


	For the period January 1, 2010 to March 31, 2010
Investment income	$	—


Expenses
ING—program fee		6,413
Trustee, management and administration fees		1,231
Investment advisory fee		742
ABA Retirement Funds—program fee		917
Legal and audit fees		546
Compliance consultant fees		403
Reports to unitholders		302
Registration fees		60
Other fees		224

Total expenses		10,838


Net investment income (loss)		(10,838	)


Net realized and unrealized gain (loss) on investments in affiliated funds
Net realized gain (loss)		116,056

Change in net unrealized appreciation (depreciation)		98,948


Net realized and unrealized gain (loss)		215,004


Net increase (decrease) in net assets resulting from operations	$	204,166

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

American Bar Association Members/ State Street Collective Trust

Aggressive Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the period January 1, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	(10,838	)
Net realized gain (loss)		116,056
Change in net unrealized appreciation (depreciation)		98,948

Net increase (decrease) in net assets resulting from operations		204,166


From unitholder transactions
Proceeds from units issued		2,443,937
Cost of units redeemed		(1,012,023	)

Net increase (decrease) in net assets from unitholder transactions		1,431,914


Net increase (decrease) in net assets		1,636,080

Net Assets
Beginning of period		4,211,683

End of period	$	5,847,763


Number of units
Outstanding-beginning of period		226,145
Issued		129,821
Redeemed		(54,160	)

Outstanding-end of period		301,806

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

American Bar Association Members/ State Street Collective Trust

Aggressive Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period January 1, 2010 to March 31, 2010
Investment income†	$	—
Expenses(†)††		(0.04	)

Net investment income (loss)		(0.04	)
Net realized and unrealized gain (loss)		0.80

Net increase (decrease) in unit value		0.76
Net asset value at beginning of period		18.62

Net asset value at end of period	$	19.38


Ratios/Supplemental Data:
Ratio of expenses to average net assets*††		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.88	)%
Portfolio turnover**†††		14	%
Total return**		4.08	%
Net assets at end of period (in thousands)	$	5,848

*	Annualized.

**	Not annualized.

†	Calculations prepared using the daily average number of units outstanding during the period.

††	Expenses includes only those expenses charged directly to the Fund and does not include expenses charged to the collective investment funds in which the Fund invests a portion of its assets.

†††	Portfolio turnover reflects purchases and sales of the Fund’s assets invested in collective investment funds, rather than portfolio turnover of the underlying portfolios of such collective investment funds.

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

American Bar Association Members/ State Street Collective Trust

Balanced Fund

Statement of Assets and Liabilities

Unaudited


	March 31, 2010
Assets
American Bar Association Members/State Street Collective Trust investment funds, at value:
Bond Core Plus Fund (cost $88,167,718 and units of 4,544,048)	$	111,470,935	^(a)
Large Cap Equity Fund (cost $130,685,719 and units of 13,068,293)		167,089,893	^(a)
Receivable for investments sold		2,196,811

Total assets		280,757,639


Liabilities
Payable for investments purchased		2,183,211
Payable for fund units redeemed		13,600

Total liabilities		2,196,811

Net Assets (equivalent to $85.93 per unit based on 3,241,852 units outstanding)	$	278,560,828

(a)	Indicates an affiliated issuer.

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, 2010 to March 31, 2010
Net investment income (loss)	$	—


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Bond Core Plus Fund		1,764,951
Large-Cap Equity Fund		2,465,966

Net realized gain (loss)		4,230,917


Change in net unrealized appreciation (depreciation)		6,521,526


Net realized and unrealized gain (loss)		10,752,443


Net increase (decrease) in net assets resulting from operations	$	10,752,443

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, 2010 to March 31, 2010
From operations
Net investment income (loss)	$	—
Net realized gain (loss)		4,230,917
Change in net unrealized appreciation (depreciation)		6,521,526

Net increase (decrease) in net assets resulting from operations		10,752,443


From unitholder transactions
Proceeds from units issued		10,546
Cost of units redeemed		(17,005,034	)

Net increase (decrease) in net assets from unitholder transactions		(16,994,488	)


Net increase (decrease) in net assets		(6,242,045	)

Net Assets
Beginning of period		284,802,873

End of period	$	278,560,828


Number of units
Outstanding-beginning of period		3,443,359
Issued		151
Redeemed		(201,658	)

Outstanding-end of period		3,241,852

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, 2010 to March 31, 2010
Net investment income (loss)	$	—
Net realized and unrealized gain (loss)		3.22

Net increase (decrease) in unit value		3.22
Net asset value at beginning of period		82.71

Net asset value at end of period	$	85.93


Ratios/Supplemental Data:
Portfolio turnover*†		1	%
Total return*		3.89	%
Net assets at end of period (in thousands)	$	278,561

*	Not annualized.

†

With respect to the portion of the Fund’s assets invested in the Bond Core Plus Fund and Large Cap Equity Fund, portfolio turnover reflects purchases and sales of the Bond Core Plus Fund and Large Cap Equity Fund, rather than portfolio turnover of the underlying portfolios of the Bond Core Plus Fund and Large Cap Equity Fund.

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

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements

(Unaudited)

1. Description of the Trust

American Bar Association Members/State Street Collective Trust (the “Trust” or the “Collective Trust”) was organized on August 8, 1991 under the American Bar Association Members/State Street Collective Trust Declaration of Trust, as amended and restated on December 5, 1991 and as amended thereafter. Since December 1, 2004, State Street Bank and Trust Company of New Hampshire (“State Street” or the “Trustee”) acts as trustee of the Collective Trust. The Trust is maintained exclusively for the collective investment of monies administered on behalf of participants in the ABA Retirement Funds Program (the “Program”). The Trust offers twenty separate collective investment funds, including five Managed Funds, six Index Funds, the Real Asset Return Fund, five Retirement Date Funds and three Target Risk Funds (collectively, the “Funds”). The Funds are investment options under the Program, which is sponsored by ABA Retirement Funds. Effective July 2, 2009, units of the Balanced Fund ceased to be offered and thus the Balanced Fund is no longer an investment option under the Program, although certain assets held under the Program continue to be invested in the Balanced Fund. The objectives and principal strategies of the Funds and the Balanced Fund are as follows:

Managed Funds

Stable Asset Return Fund (“SARF”)—current income consistent with preserving principal and maintaining liquidity. As of March 31, 2010, SARF invested all of its assets in the State Street Global Advisors (“SSgA”) Stable Asset Fund Trust (“SAFT”), a separate State Street Bank and Trust Company (“State Street Bank”) collective investment fund which invests in investment contracts (“Traditional Investment Contracts”), “Synthetic Investment Contracts,” which represent individual high quality fixed income and asset backed securities subject to benefit responsive wrap contracts issued by financial institutions (“Benefit Responsive Providers”), and collective investment funds maintained by State Street Bank that invest in high quality fixed income and asset backed securities. SAFT also invests a portion of its assets in the State Street Bank Short Term Investment Fund (“STIF”), a short-term income collective investment fund maintained by State Street Bank in order to maintain liquidity for SAFT (a so-called cash buffer, the “Cash Buffer”). The Stable Asset Return Fund is the only investor in SAFT, while retirement plans other than those adopted under the Program also invest in STIF. The annual financial statements of STIF and SAFT are available from State Street Bank upon request.

Bond Core Plus Fund (formerly Intermediate Bond Fund)—invests primarily in debt securities of varying maturities, with an average portfolio duration of three to six years, with the objective of achieving a total return from current income and capital appreciation.

Large Cap Equity Fund—long term growth of capital and some dividend income through investment in common stocks and equity-type securities of large-capitalization U.S. companies with market capitalizations, at the time of purchase, of greater than $1 billion. Invests in common stocks and SSgA Russell Large Cap^® Index Non-Lending Series Fund Class A and the SSgA Russell Large-Cap^® Index Securities Lending Series Fund Class I, each of which is a separate collective investment fund maintained by State Street Bank that invests in securities contained in the Russell 1000^® Index. As of March 31, 2010, 2.4% of the Fund’s net assets were invested in the SSgA Russell Large Cap^® Index Non-Lending Series Fund Class A and 7.2% of the Fund’s net assets were invested in the SSgA Russell Large-Cap^® Index Securities Lending Series Fund Class I. These underlying funds’ annual financial statements are available from State Street Bank upon request.

Small-Mid Cap Equity Fund—long term growth of capital through investment in common stocks and equity-type securities of U.S. companies with market capitalizations, at the time of purchase, of between $100 million and $20 billion. Invests in common stocks and the SSgA Russell Small Cap^® Index Securities Lending Series Fund Class I and the SSgA S&P MidCap^® Index Non-Lending Series Fund Class A, each of which is a separate collective investment fund maintained by State Street Bank that invests

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

in securities contained in the Russell 2000^® Index. As of March 31, 2010, less than 0.1% of the Fund’s net assets were invested in the SSgA Russell Small Cap^® Index Securities Lending Series Fund Class I and 3.3% of the Fund’s net assets were invested in the SSgA S&P MidCap^® Index Non-Lending Series Fund Class A. These underlying funds’ annual financial statements are available from State Street Bank upon request.

International All Cap Equity Fund (formerly International Equity Fund)—long term growth of capital primarily through investment in common stocks and other equity securities of non-U.S. domiciled companies.

Index Funds

Bond Index Fund—replication of the total return, after taking into account Fund expenses, of the U.S. investment-grade bond market represented by the Barclays Capital U.S. Aggregate Bond Index. As of March 31, 2010, 100% of the Fund’s net assets were invested indirectly through the SSgA U.S. Bond Index Non-Lending Series Fund Class A, which is a collective investment fund maintained by State Street Bank that invests in securities in the Barclays Capital U.S. Aggregate Bond Index. This underlying fund’s annual financial statements are available from State Street Bank upon request.

Large Cap Index Equity Fund—replication of the total return, after taking into account Fund expenses, of the S&P 500^®. As of March 31, 2010, 100% of the Fund’s assets were invested indirectly through the SSgA S&P 500^® Index Non-Lending Series Fund Class A, which is a collective investment fund maintained by State Street Bank that invests in securities in the S&P 500^®. This underlying fund’s annual financial statements are available from State Street Bank upon request.

All Cap Index Equity Fund (formerly Index Equity Fund)—replication of the total return, after taking into account Fund expenses, of the Russell 3000^® Index. As of March 31, 2010, 57.2% of the Fund’s net assets in aggregate were invested in the SSgA Russell All Cap^® Index Securities Lending Series Fund Class I and 42.8% of the Fund’s net assets in aggregate were invested in the SSgA Russell All Cap^® Index Non-Lending Series Fund Class A, each of which is a separate collective investment fund maintained by State Street Bank that invests in securities contained in the Russell 3000^® Index. These underlying funds’ annual financial statements are available from State Street Bank upon request.

Mid Cap Index Equity Fund—replication of the total return, after taking into account Fund expenses, of the S&P MidCap 400^®. As of March 31, 2010, 100% of the Fund’s net assets were invested indirectly through the SSgA S&P MidCap^® Index Non-Lending Series Fund Class A, which is a collective investment fund maintained by State Street Bank that invests in securities contained in the S&P MidCap 400^®. This underlying fund’s annual financial statements are available from State Street Bank upon request.

Small Cap Index Equity Fund—replication of the total return, after taking into account Fund expenses, of the Russell 2000^® Index. As of March 31, 2010, 100% of the Fund’s net assets were invested indirectly through the SSgA Russell Small Cap^® Index Non-Lending Series Fund Class A, which is a collective investment fund maintained by State Street Bank that invests in securities in the Russell 2000^® Index. This underlying fund’s annual financial statements are available from State Street Bank upon request.

International Index Equity Fund—replication of the total return, after taking into account Fund expenses, of the Morgan Stanley Capital International All-Country World Ex-U.S. (“MSCI ACWI ex-US”) Index. As of March 31, 2010, 100% of the Fund’s net assets were invested indirectly through the SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A, which is a collective investment fund maintained by State Street Bank that invests in securities in the MSCI ACWI ex-US Index. This underlying fund’s annual financial statements are available from State Street Bank upon request.

Real Asset Return Fund

Real Asset Return Fund—capital appreciation in excess of inflation as measured by the All Items Less Food and Energy Consumer Price Index for All Urban Consumers for the U.S. City Average, 1982-84 = 100, which we refer to as the Core Consumer Price Index or Core CPI (which excludes food and energy). The Fund invests in the SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund Class A, SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A and SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A, which comprise a diversified portfolio of primarily Treasury Inflation Protected Securities, which we refer to as U.S. TIPS, commodity futures and real estate investment trusts, which we refer to as REITs.

Retirement Date Funds

Retirement Date Funds—a series of balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. The five Retirement Date Funds, designated as the Lifetime Income Retirement Date Fund, 2010 Retirement Date Fund, 2020 Retirement Date Fund, 2030 Retirement Date Fund and 2040 Retirement

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

Date Fund, respectively, offer five separate “target retirement date” strategies. With the exception of the Lifetime Income Retirement Date Fund, which is designed for those currently beyond their retirement date, each Retirement Date Fund’s asset mix will, over time, become progressively more conservative as the specified date to most conservative asset mix draws nearer.

The Retirement Date Funds utilize a broad range of asset classes and an annual rebalancing process to provide diversification of returns and risks consistent with the stated time horizon to most conservative asset mix. Investment in each such asset class is obtained by investing in index strategies or other pooled strategies designed for low tracking error. Each of the Funds currently invests 100% of its assets in separate State Street Bank collective investment funds listed below.

Lifetime Income Retirement Date Fund—invests in the SSgA Target Retirement Income Securities Lending Series Fund Class I and the SSgA Target Retirement Income Non-Lending Series Fund Class A. As of March 31, 2010, 60.7% of the Fund’s net assets were invested in the Lending Series Fund and 39.3% were invested in the Non-Lending Series Fund.

2010 Retirement Date Fund—invests in the SSgA Target Retirement 2010 Securities Lending Series Fund Class I and the SSgA Target Retirement 2010 Non-Lending Series Fund Class A. As of March 31, 2010, 62.3% of the Fund’s net assets were invested in the Lending Series Fund and 37.7% were invested in the Non-Lending Series Fund.

2020 Retirement Date Fund—invests in the SSgA Target Retirement 2020 Securities Lending Series Fund Class I and the SSgA Target Retirement 2020 Non-Lending Series Fund Class A. As of March 31, 2010, 63.6% of the Fund’s net assets were invested in the Lending Series Fund and 36.4% were invested in the Non-Lending Series Fund.

2030 Retirement Date Fund—invests in the SSgA Target Retirement 2030 Securities Lending Series Fund Class I and the SSgA Target Retirement 2030 Non-Lending Series Fund Class A. As of March 31, 2010, 64.0% of the Fund’s net assets were invested in the Lending Series Fund and 36.0% were invested in the Non-Lending Series Fund.

2040 Retirement Date Fund—invests in the SSgA Target Retirement 2040 Securities Lending Series Fund Class I and the SSgA Target Retirement 2040 Non-Lending Series Fund Class A. As of March 31, 2010, 61.9% of the Fund’s net assets were invested in the Lending Series Fund and 38.1% were invested in the Non-Lending Series Fund.

Each of these underlying funds’ annual financial statements is available from State Street Bank upon request.

Target Risk Funds

Target Risk Funds—a series of balanced investment funds each of which is designed to correspond to a particular investment risk level. The three Target Risk Funds, designated as the Conservative Risk Fund, the Moderate Risk Fund and the Aggressive Risk Fund, offer three separate strategies, each with a distinct asset mix.

The Conservative Risk Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds and cash-equivalent investments, and allocates its assets among these investments according to a fixed strategic asset allocation strategy. The Fund invests in SSgA International Index Non-Lending Series Fund Class A, SSgA U.S. Bond Index Non-Lending Series Fund Class A, SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A, SSgA Russell All Cap Index Non-Lending Series Fund Class A, and SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A. The Conservative Risk Fund is the most conservative strategy among the Target Risk Funds. The Conservative Risk Fund is designed for investors who prefer lower volatility of returns and higher expected income.

The Moderate Risk Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds or cash-equivalent investments, and allocates its assets among these investments according to a fixed strategic asset allocation strategy. The Fund invests in SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A, SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund Class A, SSgA U.S. Bond Index Non-Lending Series Fund Class A, SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A, SSgA Russell All Cap Index Non-Lending Series Fund Class A, and SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A. The Moderate Risk Fund is designed for investors who seek a combination of capital appreciation and income. This Fund is expected to have higher volatility of returns than the Conservative Risk Fund but lower volatility than the Aggressive Risk Fund.

The Aggressive Risk Fund invests in a combination of U.S. stocks, non-U.S. stocks, bonds or cash-equivalent investments, and allocates its assets among these investments according to a fixed strategic asset allocation strategy. The Fund invests in SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A, SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund Class A, SSgA U.S. Bond Index Non-Lending Series Fund Class A, SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A, and SSgA Russell All Cap Index Non-Lending Series Fund Class A. The Aggressive Risk Fund is designed for investors who want to maximize growth and capital appreciation. This Fund is expected to have the highest volatility of returns among the Target Risk Funds.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

Balanced Fund

Balanced Fund—current income and long-term capital appreciation through investment in common stocks, other equity-type securities and debt securities. As of March 31, 2010, 40.0% and 60.0% of the Fund’s net assets were invested in the Bond Core Plus Fund and Large Cap Equity Fund, respectively. The Fund ceased offering its units on July 2, 2009.

All the Funds and the Balanced Fund may invest in STIF. The annual financial statements of STIF are available from State Street Bank upon request.

Funds in the Trust that participate directly in securities lending and the Balanced Fund may have cash collateral invested in the State Street Quality D Short-Term Investment Fund (“Quality D”). State Street Bank serves as the trustee for Quality D. For purposes of daily admissions and redemptions, the short-term portfolio instruments in Quality D are currently valued on the basis of amortized cost, as provided for in the Declaration of Trust of Quality D. Participant units in Quality D are issued and redeemed on each business day (“valuation date”). Participant units in Quality D are currently purchased and redeemed at a constant net asset value of $1.00 per unit for normal course transactions, such as new loans and returns of borrowed securities and adjustments upon the mark to market of securities on loan. In the event that a significant disparity develops between the constant net asset value and the market-based net asset value of Quality D, the trustee of Quality D may in its discretion determine that “special circumstances” exist and continued redemption at a constant $1.00 net asset value would create inequitable results for the Quality D unitholders. In these circumstances, the trustee of Quality D, in its sole discretion and acting in a manner it deems appropriate and fair on behalf of all of the Quality D unitholders, may direct that units be redeemed for all transactions or certain transactions at the market-based net asset value, engage in in-kind redemptions, or take other action to avoid inequitable results to unitholders until such time as the disparity between the market-based and the constant net asset value per unit is deemed to be immaterial.

The trustee for Quality D has informed the Trust that a disparity between the constant or amortized cost net asset value and the net asset value based on fair market value has existed during the three-month period ended March 31, 2010 and is primarily attributable to unrealized losses on longer duration instruments stemming from a lack of liquidity in the secondary market rather than from any impairment to the underlying assets. The trustee of Quality D continues to believe that these longer duration instruments will mature at par and that selling these assets in the short term would result in realized losses that would not be in the best interest of all unitholders of Quality D. Accordingly, the trustee for Quality D has applied withdrawal safeguards. In order to maintain long-term value for all unitholders in Quality D, any unitholder in Quality D, including the Funds and the Balanced Fund, that expressly or otherwise effectively terminates its participation in the securities lending program would, on redemption, receive an in-kind pro rata share of the securities held by Quality D. The trustee of Quality D continues, however, to transact normal daily activity, such as new loans, loan returns, plan participant-directed transactions and daily marks to market, at $1.00 per unit. The financial statements of Quality D are available from State Street Bank upon request.

State Street Bank collective investment funds in which the Funds and the Balanced Fund invest may participate in securities lending and may invest their cash collateral in Series Quality Trust for SSgA Funds Trust Fund (“Quality Trust”), a fund that operates in a manner similar to Quality D (collectively with Quality D, the “Cash Collateral Funds”). This fund also has experienced a discrepancy between constant asset values and net asset values based on fair market values of these securities for the same reasons as described above, and also has imposed withdrawal safeguards for participants terminating participation in the securities lending program, although the trustee of Quality Trust currently permits limited monthly withdrawals by investors in Quality Trust. The financial statements of Quality Trust are available from State Street Bank upon request.

Although the level of redemptions in connection with plan activity is being monitored by the Trustee, as to the Funds and the Balanced Fund, and State Street Bank, as to the Cash Collateral Funds, no plan withdrawal decisions initiated by a plan sponsor have been limited by the Funds or the Balanced Fund through March 31, 2010. If the level of redemption activity, either through participant activity or plan activity, were to materially increase in the future, the Trustee, as to the Funds and the Balanced Fund, and State Street Bank, as to the Cash Collateral Funds, retain the right to impose limitations on such activity.

The Cash Collateral Funds’ per unit net asset values, and the net asset value of the Funds and the Balanced Fund investing directly or indirectly in Cash Collateral Funds, reflected in their financial statements are based on United States generally accepted accounting principles (“GAAP”) at fair value and differ from the per unit net asset values calculated for purpose of transactions experienced by participants in their accounts. The difference is driven by the GAAP valuation of the Cash Collateral Funds (See Note 6). Such difference in valuation as of March 31, 2010 has narrowed from the difference in valuation as of December 31, 2008 and December 31, 2009, reflecting higher GAAP valuations of the Cash Collateral Funds on March 31, 2010.

The Trust may offer and sell an unlimited number of units representing interests in separate Funds of the Trust, each unit to be offered and sold at the per unit net asset value of the corresponding Fund.

State Street offers and administers the investment options for the Program available under the Collective Trust.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

State Street is a non-depository trust company established under the laws of the State of New Hampshire and is a wholly-owned subsidiary of State Street Bank. State Street has assumed responsibility for administering the Collective Trust and providing investment options for the Program. State Street Bank is a trust company established under the laws of The Commonwealth of Massachusetts and is a wholly-owned subsidiary of State Street Corporation, a Massachusetts corporation and a holding company registered under the Federal Bank Holding Company Act of 1956, as amended.

State Street has delegated to State Street Bank the responsibility to provide certain services to the Collective Trust on behalf of State Street. In addition, State Street Bank is the primary custodian and, based on instructions from ING Institutional Plan Services, LLC, a Delaware limited liability company (“ING Services”), as discussed below, effects investment and transfer transactions and distributes all benefits provided by the plans to the participants or, in the case of some individually designed plans, to the respective trustees of such plans. ING Services or an affiliate thereof provides recordkeeping, communication, marketing and administration services to the Program. ING Services is responsible for the maintenance of individual account records or accrued benefit information for participants whose employers choose to have the Program’s administrator maintain those account records. ING Services also provides certain account and investment information to employers and participants, manages the receipt of all plan contributions, forwards investment and transaction instructions to the appropriate parties and forwards instructions relating to distribution of benefits provided by the plans.

2. Summary of Significant Accounting Policies

The accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and certain financial data have been prepared in conformity with GAAP.

A. Security Valuation

The Collective Trust follows authoritative accounting guidance that governs the application of GAAP that requires fair value measurements of the Funds’ and Balanced Fund’s assets and liabilities. Fair value is an estimate of the price a Fund would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market for the security.

All Funds (Other than SARF) and the Balanced Fund: State Street has delegated to State Street Bank the responsibility to determine the value of each Fund and the Balanced Fund based on the market value of each Fund’s and the Balanced Fund’s portfolio of securities. State Street Bank generally values each Fund’s and the Balanced Fund’s portfolio of securities based on closing market prices or readily available market quotations. When closing market prices or market quotations are not readily available or are considered by State Street Bank to be unreliable, the fair value of the particular securities or assets is determined in good faith by State Street pursuant to procedures adopted by State Street. For market prices and quotations, as well as some fair value methods of pricing, State Street Bank and State Street may rely upon securities prices provided by pricing services, the persons or entities State Street has retained to assist it in the exercise of its investment responsibility with respect to the Funds and the Balanced Fund (the “Investment Advisors”) or independent dealers.

When State Street Bank determines that the closing market price on the primary exchange where the security is traded is not readily available or no longer accurately reflects the value of the security at the time of calculation of the Fund’s or Balanced Fund’s net asset value, State Street endeavors to value the security at the amount the owner might reasonably expect to receive upon the security’s current sale. In so doing, management considers all factors it deems appropriate, including, if relevant, external factors such as general market developments and news events.

With respect to non-U.S. securities, if a significant event has occurred between the closing of the foreign exchange or market on which such securities trade and the calculation of net asset value, a valuation adjustment may be appropriate. Specifically, under appropriate circumstances, State Street will utilize a fair value model for the International All Cap Equity Fund to make fair value adjustments to the prices of non-U.S. securities based on movements in the U.S. markets after the close of foreign markets. If a significant event occurs other than general movements in the U.S. markets, State Street Bank will determine whether that event might affect the value of the non-U.S. securities and whether, if so, the securities should be valued in accordance with State Street’s fair value procedures.

Unless believed no longer to accurately reflect value or to be reliable, foreign securities not traded directly or in the form of American Depositary Receipts (ADRs) in the United States are valued in the local currency at the last sale price on the applicable exchange on which such securities trade and such values are converted into the U.S. dollar equivalent at current exchange rates.

Other fixed income securities may be priced using a pricing matrix to determine the value of fixed income securities that do not trade daily. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities and historical trading patterns in the market for fixed income securities. To the extent that a Fund or the Balanced Fund invests in the shares of bank collective trust funds or of other registered open-end investment companies that are not traded on an exchange (mutual funds), such shares are valued at their net asset values per share as reported by the funds.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

United States Treasury securities and other obligations issued or guaranteed by the United States Government, its agencies or instrumentalities are valued at representative quoted prices provided by a vendor.

Swaps are marked-to-market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation.

Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded.

The short-term portfolio instrument of STIF is valued on the basis of amortized cost, which approximates fair value, unless otherwise determined by the trustee of such fund. Amortized cost involves valuing an instrument initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates or changes in the creditworthiness of the issuer of the instrument on the market value of the instrument.

The Funds and the Balanced Fund follow a three-tiered hierarchy based on the use of observable market data and unobservable inputs to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about uncertainty, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Various inputs are used in determining the value of the Funds’ and Balanced Fund’s investments. These inputs are summarized in the three broad levels as follows:

•

Level 1 – quoted prices in active markets for identical securities.

•

Level 2 – other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others in active markets and markets that are not active.

•

Level 3 – significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments).

A Fund or Balanced Fund may record changes to valuations based on the amount that might reasonably be expected to be received for a security upon its current sale consistent with the fair value measurement objective. Each determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to, the type of the security, the existence of any contractual restrictions on the security’s disposition, the price of comparable securities, quotations or evaluated prices from broker-dealers and/ or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold, and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and movement of the market in which the security is normally traded. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value realized upon sale.

Level 2 All applicable Funds value their direct and indirect investments in Cash Collateral Funds at their fair values, and have recognized unrealized losses. However, the Funds have continued to value their investments in the Cash Collateral Funds for purposes of participant transactions at the amortized cost based values used by the Cash Collateral Funds for daily transactions.

The following is a summary of the inputs used in valuing the Funds’ and the Balanced Fund’s assets and liabilities, as well as a reconciliation of Level 3 assets for which significant unobservable inputs were used in determining value:


Bond Core Plus Fund	Level 1		Level 2		Level 3		Total
Assets
Fixed Income
U.S. Corporate Asset-Backed Securities	$	—	$	3,320,611	$	—	$	3,320,611
U.S. Government & Agency Obligations		—		187,355,733		—		187,355,733
Foreign Government Obligations		—		10,810,666		—		10,810,666
Municipals		—		10,232,043		—		10,232,043
Corporate Bonds		—		63,839,166		—		63,839,166

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)


Bond Core Plus Fund	Level 1			Level 2			Level 3		Total
Bank Loans		—			8,002,932			—		8,002,932
Convertible Preferred Stock		1,460,250			—			—		1,460,250
Short-Term Investments		—			56,735,066			—		56,735,066
Derivatives*		1,396,163			11,456			—		1,407,619

Total	$	2,856,413		$	340,307,673		$	—	$	343,164,086


Liabilities
Derivatives*	$	(9,666	)	$	(197,639	)		—	$	(207,305	)

Total	$	(9,666	)	$	(197,639	)	$	—	$	(207,305	)

*	Derivatives include unrealized appreciation/depreciation on open futures contracts, foreign forward currency contracts and interest rate swap contracts.

Financial instruments that trade in markets that are not considered to be active but are valued with standard inputs, such as listed in approximate order of priority for use when available, include benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers and reference data including market research publications. Evaluators may prioritize inputs differently on any given day for any security, and not all inputs listed are available for use in the evaluation process on any given day for each security evaluation. The financial instruments classified within Level 2 include, U.S. Corporate Asset-Backed Securities, U.S. Government & Agency Obligations, Foreign Government Obligations, Municipals, Corporate Bonds, and Bank Loans.

Level 2 interest rate swaps are marked-to-market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation. An industry recognized model is used to calculate the value of interest rate swaps. The model discounts the cash flows at each coupon adjustment date. The Investment Advisor trading desk provides interest rate yield curve data, this data is based on current market sentiment and is validated against recent trading activity. Interest rates are compared with the market in order to validate results.


Large Cap Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Basic Materials	$	23,037,809	$	—	$	—	$	23,037,809
Communications		84,900,271		—		—		84,900,271
Consumer, Cyclical		75,243,848		—		—		75,243,848
Consumer, Non-Cyclical		200,086,301		—		—		200,086,301
Energy		78,213,488		—		—		78,213,488
Financial		79,792,975		—		—		79,792,975
Industrial		66,167,105		—		—		66,167,105
Technology		89,889,394		—		—		89,889,394
Utilities		21,355,047		—		—		21,355,047
Collective Investment Funds		—		77,316,043		—		77,316,043
Short-Term Investments		—		133,901,969		—		133,901,969

Total	$	718,686,238	$	211,218,012	$	—	$	929,904,250


International All Cap Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Australia	$	—	$	4,429,523	$	—	$	4,429,523
Austria		—		1,331,193		—		1,331,193
Belgium		—		2,084,880		—		2,084,880
Bermuda		—		509,102		—		509,102
Brazil		—		2,478,844		—		2,478,844
Canada		4,595,732		—		—		4,595,732
Cayman Islands		236,730		901,216		—		1,137,946
China		—		997,607		—		997,607
Czech Republic		—		571,688		—		571,688

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)


Denmark		—		522,671		—		522,671
Finland		—		1,419,533		—		1,419,533
France		—		12,074,712		—		12,074,712
Germany		—		11,107,299		—		11,107,299
Greece		—		1,605,730		—		1,605,730
Hong Kong		495,240		2,677,435		—		3,172,675
Hungary		—		46,063		—		46,063
Ireland		—		1,552,625		—		1,552,625
Israel		1,160,486		—		—		1,160,486
Italy		—		3,177,497		—		3,177,497
Japan		—		28,335,904		—		28,335,904
Korea, Republic of		—		3,327,640		—		3,327,640
Luxembourg		1,263,619		—		—		1,263,619
Malaysia		—		734,309		—		734,309
Mexico		689,456		—		—		689,456
Netherlands		—		3,589,942		—		3,589,942
New Zealand		—		158,394		—		158,394
Norway		—		1,716,712		—		1,716,712
Papua New Guinea		—		657,536		—		657,536
Philippines		1,005,394		—		—		1,005,394
Portugal		—		766,337		—		766,337
Singapore		—		2,860,191		—		2,860,191
South Africa		—		4,024,646		—		4,024,646
Spain		—		4,132,887		—		4,132,887
Sweden		—		1,263,623		—		1,263,623
Switzerland		467,376		11,250,821		—		11,718,197
Taiwan		1,462,087		2,222,001		—		3,684,088
Thailand		—		1,948,362		—		1,948,362
Turkey		—		721,420		—		721,420
United Kingdom		3,391,222		22,269,808		—		25,661,030
United States		1,529,061		—		—		1,529,061
Collective Investment Funds		—		7,471,216		—		7,471,216
Short-Term Investments		—		15,950,044		—		15,950,044

Total	$	16,296,403	$	160,889,411	$	—	$	177,185,814

Level 2 consists of non-U.S. equities which receive price quotes from all primary and secondary exchanges, however, if a significant event has occurred between the closing of the foreign exchange or market on which such securities trade, a valuation adjustment may be appropriate. Specifically, under appropriate circumstances, State Street will utilize a fair value model for the International All Cap Equity Fund to make fair value adjustments to the prices of non-U.S. securities based on movements in the U.S. markets after the close of foreign markets.


Small-Mid Cap Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Basic Materials	$	13,478,907	$	—	$	—	$	13,478,907
Communications		16,639,453		—		—		16,639,453
Consumer, Cyclical		42,837,319		—		—		42,837,319
Consumer, Non-Cyclical		57,648,880		—		—		57,648,880
Energy		17,212,869		—		14,828		17,227,697
Financial		53,328,238		—		—		53,328,238
Industrial		39,283,371		—		—		39,283,371
Technology		29,361,263		—		—		29,361,263
Utilities		10,443,457		—		—		10,443,457
Collective Investment Funds		—		14,271,183		—		14,271,183
Short-Term Investments		—		160,603,290		—		160,603,290

Total	$	280,233,757	$	174,874,473	$	14,828	$	455,123,058

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)


Small-Mid Cap Equity Fund Level 3 Roll Forward	Common Stock and/or Other Equity Investments
Balance as of January 1, 2010	$	308,692
Accrued discounts/premiums		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		(293,864	)
Net purchases (sales)		—
Net transfers in and/or out of Level 3		—

Balance as of March 31, 2010	$	14,828

The Level 3 equity amount consists of a single private equity position, it is not traded in an active market and is subject to transfer restrictions. The main input to determine fair market value is based solely on cash assets less accrued liabilities for estimated tax and administrative expenses.


Balanced Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	278,560,828	$	—	$	278,560,828

Total	$	—	$	278,560,828	$	—	$	278,560,828


All Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	276,236,936	$	—	$	276,236,936

Total	$	—	$	276,236,936	$	—	$	276,236,936


Stable Asset Return Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	986,232,875	$	—	$	986,232,875

Total	$	—	$	986,232,875	$	—	$	986,232,875


Lifetime Income Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	31,722,515	$	—	$	31,722,515

Total	$	—	$	31,722,515	$	—	$	31,722,515


2010 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	63,156,163	$	—	$	63,156,163

Total	$	—	$	63,156,163	$	—	$	63,156,163


2020 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	112,139,597	$	—	$	112,139,597

Total	$	—	$	112,139,597	$	—	$	112,139,597


2030 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	85,717,378	$	—	$	85,717,378

Total	$	—	$	85,717,378	$	—	$	85,717,378


2040 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	53,361,172	$	—	$	53,361,172

Total	$	—	$	53,361,172	$	—	$	53,361,172

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)


International Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	28,358,542	$	—	$	28,358,542

Total	$	—	$	28,358,542	$	—	$	28,358,542


Small Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	18,032,775	$	—	$	18,032,775

Total	$	—	$	18,032,775	$	—	$	18,032,775


Mid Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	29,550,298	$	—	$	29,550,298

Total	$	—	$	29,550,298	$	—	$	29,550,298


Large Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	38,998,757	$	—	$	38,998,757

Total	$	—	$	38,998,757	$	—	$	38,998,757


Bond Index Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	40,267,850	$	—	$	40,267,850

Total	$	—	$	40,267,850	$	—	$	40,267,850


Conservative Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	6,789,292	$	—	$	6,789,292
Short-Term Investments		—		421,749		—		421,749

Total	$	—	$	7,211,041	$	—	$	7,211,041


Moderate Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	17,755,080	$	—	$	17,755,080
Short-Term Investments		—		386,236		—		386,236

Total	$	—	$	18,141,316	$	—	$	18,141,316


Aggressive Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	5,814,881	$	—	$	5,814,881

Total	$	—	$	5,814,881	$	—	$	5,814,881


Real Asset Return Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	7,891,867	$	—	$	7,891,867

Total	$	—	$	7,891,867	$	—	$	7,891,867

For all funds other than the Bond Core Plus Fund, Level 2 Collective Investment Funds are funds with market value determined by a custodian using observable inputs to calculate the transaction price. In addition to their specified investments, the funds may also engage in transactions in derivatives, including, but not limited to, futures, swaps, options and other derivative instruments (including but not limited to equity index futures, foreign currency forwards and similar derivatives) or other investments as State Street Bank deems appropriate under the circumstances.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

B. Stable Asset Return Fund

SARF invests in SAFT, whose investments include insurance company, bank and financial institution investment contracts, high quality short-term income securities and investments in STIF and the State Street Bank Mortgage Backed Securities Non-Lending Fund. SAFT has entered into a global fully benefit responsive investment contract with four different financial institutions which are so called “Synthetic GICs” or “Synthetic Investment Contracts” as described below. On a daily basis, SARF accrues dividend income based on the income credited by SAFT. SARF does not distribute income and any increase to the net assets is reflected by an increase to the unit value. Each month the dividend income earned by SARF is reinvested into SAFT. As a result of its investment in SAFT, SARF is subject to the specialized accounting provisions described below. The Statement of Assets and Liabilities presents the fair value of the investment contracts held by SAFT with a separate adjustment to contract value. The Statements of Operations and Changes in Net Assets were prepared on a contract value basis. Because SARF invests only in SAFT, the Trust is providing the following accounting policies of SAFT:

i. Basis of Accounting

Investments held by an investment company are reported at fair value. However, contract value is the relevant measurement attribute for that portion of the net assets of an investment company attributable to fully benefit-responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the underlying defined contribution plans. The Statement of Assets and Liabilities presents the fair value of the investment contracts as well as the adjustment of the fully benefit responsive investment contracts from fair value to contract value. The Statements of Operations and Changes in Net Assets were prepared on a contract value basis.

ii. Value of Investments

SAFT may invest in guaranteed investment contracts (“Traditional GIC” or “GICs”), bank investment contracts and/or a wrapped portfolio of fixed income instruments (“Synthetic Investment Contracts” or “Synthetic GICs”). Collectively, these contracts are referred to as investment contracts.

Investments in bank, insurance company and other financial institution investment contracts (“GICs”) are stated at contract value. An investment contract is generally permitted to be valued at contract value, rather than fair value, to the extent it is fully benefit-responsive and held by a trust offered only to qualified employer-sponsored defined contribution plans. An investment contract is considered fully benefit-responsive if: 1) it is effected directly between SAFT and the issuer and may not be transferred without the consent of the issuer, 2) either the repayment of principal and interest is a financial obligation of the issuer (i.e., for traditional investment contracts) or the issuer of a wrap contract provides assurance that the contract crediting rate will not be adjusted to less than zero (i.e., for Synthetic GICs), 3) the contract requires all permitted participant-initiated transactions with the trust to occur at contract value without limitation, 4) it is improbable that an event will occur that would limit the ability of SAFT to transact at contract value with both the issuer and unitholders of SAFT, and 5) SAFT allows unitholders reasonable access to their funds. Investment contracts that do not meet the criteria for valuation at contract value will be valued at fair value as determined by the Trustee, and such value may be more or less than contract value.

The fair value of traditional GICs is determined using a discounted cash flow methodology where the individual contract cash flows are discounted at the prevailing interpolated swap rate as of period end.

A traditional GIC is a group annuity contract that pays a specified rate of return for a specific period of time and guarantees a fixed return after any benefit responsive payments are made to participants. The issuer of a traditional GIC takes a deposit from SAFT and purchases investments that are held in the issuer’s general account. The traditional GIC issuer is contractually obligated to repay the principal and a specified interest rate that is guaranteed to SAFT.

Events disqualifying an underlying investment include but are not limited to bankruptcy of the security issuer or default or restricted liquidity of the security. The portfolio is owned by SAFT. SAFT purchases a wrap contract from an insurance company, bank or other financial services institution (Benefit Responsive Providers), if available. The portfolio, coupled with the wrap contract, attempts to replicate the characteristics of a traditional GIC. Synthetic Investment Contracts represent individual high quality fixed income and asset backed securities subject to benefit responsive wrap contracts issued by financial institutions. Individual assets of the Synthetic Investment Contract are generally valued at representative quoted market prices. Short-term securities, if any, are valued at amortized cost, which approximates market value. Debt securities are valued on the basis of valuations furnished by a pricing service approved by the Trustee of SAFT, which determines valuations using methods based on market transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Investments in registered investment companies or collective investment funds are valued at the net asset value per share/unit on the valuation date. Securities for which market quotations are not readily available, or that have quotations which management believes are not appropriate, are valued at fair value as determined in good faith by the Trustee of SAFT or its agent. The fair value of the wrap contracts is determined using the market approach discounting methodology which incorporates the difference between current market level rates for contract level wrap fees and the wrap fee being charged. The difference is calculated as a dollar value and discounted by the prevailing interpolated swap rate as of period-end.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

A bank investment contract is an investment contract issued by a bank, with features (other than annuity provisions) comparable to a GIC.

Synthetic Investment Contracts generally require a Cash Buffer of a certain level to be maintained in order to provide liquidity for the stable value fund. The wrap contracts in place as of March 31, 2010 held by SAFT require a Cash Buffer of a minimum of 20% of the net asset value of SAFT. At March 31, 2010, the Cash Buffer was 31.8% of such net assets.

A Synthetic Investment Contract attempts to protect principal and accumulated interest and credits a stated interest rate for a specified period of time (e.g. monthly or quarterly). Under the terms of the wrap contracts, assets subject to Synthetic Investment Contracts are credited at a rate (the “Crediting Rate”) agreed to with the issuer of the benefit-responsive Investment Contract (which rate is adjusted periodically, but not below zero, to reflect the performance of the underlying securities of the Synthetic Investment Contract) for purposes of permitting the contract to be benefit-responsive. Investment gains and losses are amortized over the expected duration through the calculation of the applicable Crediting Rate to SAFT on a prospective basis. The Crediting Rate is primarily based on the current yield-to-maturity of the covered investments, plus or minus amortization of the difference between the market value and contract value of the covered investments over the duration of the covered investments at the time of computation. The Crediting Rate is most impacted by the change in the annual effective yield to maturity of the underlying securities, but is also affected by the differential between the contract value and the market value of the covered investments. This difference is amortized over the duration of the covered investments. Depending on the change in duration from each reset period, the magnitude of the impact to the Crediting Rate of the contract to market difference is heightened or lessened. The Crediting Rate can be adjusted periodically and is usually adjusted either monthly or quarterly, but in no event is the Crediting Rate less than zero. The Crediting Rate may be impacted by, among other things, volatility and illiquidity in the fixed-income securities market. If the market value of the underlying investments held by SAFT as a whole is lower than their contract value, the Crediting Rate may be lower than the return on the underlying investments. Significant additional contributions from participants may in certain cases increase market value attributed to the underlying investments and increase the Crediting Rate and SAFT’s return. Redemptions may have an opposite effect, where if SAFT experiences significant redemptions when the market value is below the contract value, SAFT’s return and the Crediting Rate may be reduced to zero.

iii. Events Limiting Contract Value Treatment

Investment contracts are valued at contract value principally because participants are able to transact at contract value when initiating benefit-responsive withdrawals, taking loans or making investment option transfers permitted by the participating plan. A benefit-responsive withdrawal includes a payment to a participant arising from retirement, termination of employment, disability or death. In the normal course, participant events are predictive (for participants as a group) such that the economic integrity of investment contracts is largely unaffected by participant withdrawals.

Employer initiated events, if material, may affect the underlying economics of investment contracts. These events include plant closings, layoffs, plan termination, bankruptcy or reorganization, merger, early retirement incentive programs, tax disqualification of a trust or other events. The occurrence of one or more employer initiated events could limit SAFT’s ability to transact at contract value with plan participants.

For example, retirement benefit payments that occur because an employer has offered a subsidized early retirement program will not transact at contract value unless the scope of the program is not material or the investment contract includes a “contract value corridor.” Whether an employer-initiated event is probable is foremost within the knowledge of the employer, but in the normal course may be communicated to the investment manager of SAFT. While the investment manager may take action to minimize or eliminate the impact of the employer initiated event, there is no assurance that the issuer will continue to transact at contract value once the corridor is used. In that case, SAFT would be unable to maintain the ability to transact at contract value.

As of March 31, 2010, the occurrence of an event that would limit the ability of SAFT to transact at contract value with the participants is not probable. Please refer to Note 9 for information on events subsequent to March 31, 2010.

iv. Termination Events by the Issuer

Investment contracts generally impose conditions on both SAFT and the issuer. Assuming conditions are met and neither SAFT nor the issuer is in default, SAFT can buy and sell covered investments and process withdrawals through the sale of covered investments in accordance with SAFT’s liquidity hierarchy.

If an event of default, within the meaning of an investment contract, occurs and is not cured, the non-defaulting party may terminate the contract. The following (among other events) may cause SAFT to be in default: a breach of material obligation under the contract; a material misrepresentation; a material amendment to the trust agreement, in the administration of the trust or in the investment of fund assets without consent from the issuer; and an uncured violation of SAFT’s Investment Guidelines.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

The issuer may be in default if it breaches a material obligation under the investment contract; makes a material misrepresentation; has a decline in its long-term credit rating below a threshold set forth in the contract; or is acquired or reorganized and the successor issuer does not satisfy the investment or credit guidelines applicable to issuers. If, in the event of default of an issuer, SAFT were unable to obtain a replacement investment contract, withdrawing plans may experience losses if the value of SAFT’s assets no longer covered by the contract is below contract value. SAFT may seek to add additional issuers over time to diversify SAFT’s exposure to such risk, but there is no assurance that SAFT will be able to do so, especially in light of the recent withdrawal of several large issuers of wrap contracts from the Synthetic Investment Contract market and the dearth of new issuers of wrap contracts. The combination of the default of an issuer and an inability to obtain a replacement agreement could render SAFT unable to achieve its objective of maintaining a stable contract value.

The terms of an investment contract generally provide for settlement of payments only upon termination of the contract or total liquidation of the covered investments. Generally, payments under a global Synthetic Investment Contract will be made pro rata, based on the percentage of investments covered by each issuer. Contract termination occurs whenever the contract value or market value of the covered investments reaches zero or upon certain events of default. If the contract terminates due to issuer default (other than a default occurring because of a decline in its rating), the issuer will generally be required to pay to SAFT the excess, if any, of contract value over market value on the date of termination. If a Synthetic Investment Contract terminates due to a decline in the ratings of the issuer, the issuer may be required to pay to SAFT the cost of acquiring a replacement contract (i.e. replacement cost) within the meaning of the contract. If the contract terminates when the market value equals zero, the issuer must pay to SAFT the excess of contract value over market value to the extent necessary for SAFT to satisfy outstanding contract value withdrawal requests. Contract termination also may occur by either party upon election and notice.

At any time after the second anniversary of the contract, the issuer may elect to terminate the contract by giving notice to the trustee of SAFT. If, at any time prior to dates agreed to in each contract for the receipt of such notice, the trustee objects to such election, the trustee shall be deemed to have made an immunization election and the immunization provisions of the contract apply. The immunization provisions give the issuer the right to request that its wrapped portion of SAFT be managed according to more conservative immunization investment guidelines provided for in the contract.

Effective February 9, 2009, Bank of America, N.A. (“Bank of America”) excluded from the coverage of its Synthetic Investment Contracts, including its Synthetic Investment Contract with SAFT, any net increases in the amount subject to such Synthetic Investment Contract (other than increases in the value of underlying securities and any interest earned thereon). This action by Bank of America has resulted in the other current Benefit Responsive Providers not covering their respective shares (25% each) of any such net increases. Any such net increases have been allocated to SAFT’s Cash Buffer which is invested in Short-Term Investment Products, and will likely be so allocated in the foreseeable future. At the discretion of State Street, net new participant cash flows will be invested in traditional GICs or in the Cash Buffer through portfolio cash vehicles going forward; although it is anticipated that any net new participant cash flows will be invested in the Cash Buffer in the foreseeable future. Please see Note 9 for certain subsequent events relating to the Benefit Responsive Providers, including termination notices issued by UBS AG (“UBS”) and JPMorgan Chase Bank, N.A. (“JPMorgan”).

v. Investment Transactions and Income

Investment transactions are accounted for on the trade date. Interest income is recorded on the accrual basis. Income from investment contracts is recorded at the contract rate, which in the case of synthetic investment contracts is referred to as the crediting rate. Crediting rates on synthetic contracts are net of fees to the issuer of the wrap contract (wrap fees) and custody fees on underlying assets. For fully benefit-responsive synthetic investment contracts, earnings on the underlying assets are factored into the next computation of the crediting rate re-set. Interest income is accrued and reinvested daily. Reinvested units are issued to unitholders on a pro-rata basis.

vi. Issuances and Redemptions of SAFT Units

Issuances and redemptions of participant units are made on each business day (“valuation date”). Participant units are typically purchased and redeemed at a constant net asset value of $1.00 per unit. In the event that a significant disparity develops between the constant net asset value and the market-based net asset value of units of SAFT, the trustee may determine that continued redemption at a constant $1.00 net asset value would create inequitable results for SAFT’s unitholders. In these circumstances, the trustee, in its sole discretion and acting on behalf of SAFT’s unitholders, may direct that units be redeemed at the market-based net asset value until such time as the disparity between the market-based and the constant net asset value per unit is deemed to be immaterial.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

vii. Industry Concentration of Investments

SAFT maintains investment contracts issued by insurance companies, banks and other financial institutions as required by its Declaration of Trust. The issuing institutions’ ability to meet their contractual obligations under the respective contracts may be affected by future economic and regulatory developments in the insurance and banking industries, respectively.

viii. Adjustments to Contract Value

At March 31, 2010, all investment contracts held by SAFT were deemed fully benefit-responsive. The change in the difference between the fair value and contract value of SAFT’s fully benefit-responsive investment contracts during 2010 is reflected below:


	March 31, 2010			December 31, 2009			Change
Net assets (at fair value)	$	986,233,189		$	1,015,748,390		$	(29,515,201	)
Net assets (at contract value)		981,157,270			1,007,415,006			(26,257,736	)
Adjustment to fair value		(5,075,919	)		(8,333,384	)		3,257,465

Sensitivity Analysis

The following tables are intended to provide certain sensitivity analyses disclosures. These are estimates calculated based on the current Crediting Rate, are not intended to serve as a projection or guarantee of future rates of return to be earned by SAFT and make an assumption that there is no change in the duration of the underlying investment portfolio, which will likely not be the case if replacement wrap providers can not be secured to replace JPMorgan and UBS (see Note 9).

Hypothetical change in current yield and no participant transactions, base case¹.


	Weighted Average Credit Interest Rate		50% Decrease		25% Decrease		25% Increase		50% Increase
March 31, 2010	2.34	%
June 30, 2010			2.04	%	2.10	%	2.22	%	2.27	%
September 30, 2010			1.89	%	2.01	%	2.25	%	2.35	%
December 31, 2010			1.76	%	1.94	%	2.27	%	2.43	%
March 31, 2011			1.65	%	1.87	%	2.29	%	2.49	%

Hypothetical change in current yield and 10% participant redemptions, base case².


	Weighted Average Credit Interest Rate		50% Decrease		25% Decrease		25% Increase		50% Increase
March 31, 2010	2.34	%
June 30, 2010			2.18	%	2.19	%	2.20	%	2.19	%
September 30, 2010			2.01	%	2.09	%	2.23	%	2.28	%
December 31, 2010			1.86	%	2.00	%	2.25	%	2.37	%
March 31, 2011			1.74	%	1.92	%	2.27	%	2.44	%

1	Assumes an immediate hypothetical change in market yield (relative to current contract value yield), with no change to the duration of the underlying investment portfolio and no contributions or withdrawals.

Assumes an immediate hypothetical change in market yield (relative to current contract value yield), combined with an immediate, one-time hypothetical 10% decrease in the net assets of the trust due to participant-initiated unitholder transfers, with no change to the duration of the underlying investment portfolio.

Average yields


Based on actual income (1)	1.48	%
Based on interest rate credited to participants (2)	2.29	%

(1)	Computed by dividing the annualized one-day actual earnings of the Fund on March 31, 2010 by the fair value of investments on March 31, 2010.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

(2)	Computed by dividing the annualized one-day earnings credited to participants on March 31, 2010 by the fair value of investments on March 31, 2010.

C. Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date on which the order to buy or sell is executed). Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Interest income is increased by accretion of discount and reduced by amortization of premium. Realized gains and losses are reported on the basis of the identified cost of securities delivered. Distributions received from collective investment funds, if any, retain the character as earned by the underlying funds.

A Fund’s portfolio of investments may include securities purchased on a when-issued basis, which may be settled in the month after the issue date. Interest income is not accrued until the settlement date.

Certain collective investment funds and registered investment companies in which certain of the Funds or the Balanced Fund invest may retain investment income and net realized gains. Accordingly, realized and unrealized gains and losses reported by a Fund or the Balanced Fund may include a component attributable to investment income of the underlying funds.

All securities lending income earned by the Funds or the Balanced Fund is credited on a cash basis generally in the month following the month in which it is earned due to the immateriality of the amounts. This method is applied to the income both from the Funds and the Balanced Fund lending securities directly and from collective investment funds in which certain Funds and the Balanced Fund are invested and which lend a portion of their securities.

D. Foreign Currency Transactions

The accounting records of the Funds and the Balanced Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing rates of exchange at period-end. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

Reported net realized gains and losses on foreign currency transactions represent net gains and losses from disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The effects of changes in foreign currency exchange rates on investments in securities and derivatives (other than foreign currency contracts) are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investments in securities.

Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.

E. Income Taxes

The Trust has received a favorable determination letter dated March 9, 1992 from the Internal Revenue Service, which concluded that the Trust is a trust arrangement described in Rev. Rul. 81-100, 1981, C.B. 326 (subsequently modified by Rev. Rul. 2004-67, 2004-28 I.R.B. 28) and exempt from Federal income tax pursuant to Section 501(a) of the Internal Revenue Code. Accordingly, no provision for Federal income taxes is required.

Management is required to determine whether a tax position of the Collective Trust is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit to be recognized is measured as the largest amount of benefit that is greater than fifty percent likely of being realized upon ultimate settlement which could result in the Collective Trust recording a tax liability that would reduce net assets. Management determined that no uncertainties would have a material impact on the Collective Trust’s financial statements. Authoritative accounting guidance establishes financial accounting and disclosure requirements for recognition and measurement of tax positions taken or expected to be taken in any tax jurisdiction. However, management’s conclusions regarding tax liabilities may be subject to review and adjustment at a later date based on factors including, but not limited to, further guidance and on-going analyses of tax laws, regulations and interpretations thereof.

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

F. Sales and Redemptions of Units of Participation and Distributions

The units offered represent interests in the Funds established under the Collective Trust. The Collective Trust may offer and sell an unlimited number of units. Each unit will be offered and sold daily at the offering Fund’s net asset value. The Collective Trust ceased offering units of the Balanced Fund on July 2, 2009 although assets held under the Program and invested therein through July 1, 2009 may continue to remain invested therein.

Pursuant to the Collective Trust’s Declaration of Trust, the Funds and the Balanced Fund are not required to distribute their net investment income or gains from the sale of portfolio investments.

G. TBA Commitments

The Bond Core Plus Fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price for a TBA has been established, the principal value has not been finalized. However, the amount of the TBA commitment will not fluctuate more than 1.0% from the principal amount. The Bond Core Plus Fund holds, and maintains until the settlement date, cash or liquid securities in an amount sufficient to meet the purchase price. TBA commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, and such risk is in addition to the risk of decline in the value of other assets of the Bond Core Plus Fund. These contracts also present a risk from the potential inability of counterparties to meet their contractual obligations. During the period prior to settlement, the Bond Core Plus Fund will not be entitled to accrue interest and/or receive principal payments on the securities to be purchased. Unsettled TBA commitments are valued at the current market value of the underlying securities, generally according to the procedures described under “Security Valuation” above. The Bond Core Plus Fund may dispose of a commitment prior to settlement if the Investment Advisor to the Bond Core Plus Fund deems it appropriate to do so. Upon settlement date, the Bond Core Plus Fund may take delivery of the securities or defer (roll) the delivery to the next month.

H. Futures Contracts

The Bond Core Plus Fund uses, on a limited basis, futures contracts to manage exposure to the bond market, and as a substitute for acquiring market positions in securities comparable to those held by the Fund (with respect to the portion of its portfolio that is held in cash items). Buying futures tends to increase a fund’s exposure to the underlying instrument. Selling futures tends to decrease a fund’s exposure to the underlying instrument, or hedge other investments. Futures contracts involve, to varying degrees, credit and market risks.

The Fund enters into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or from illiquidity in the secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying index.

Upon entering into a futures contract, the Fund is required to deposit either in cash or securities an amount (“initial margin”) equal to a certain percentage of the nominal value of the contract. Subsequent payments are made or received by the Fund periodically, depending on the daily fluctuation in the value of the underlying securities, and are recorded as unrealized gains or losses by the Fund. A gain or loss is realized when the contract is closed or expires.

At March 31, 2010, the Bond Core Plus Fund held the following futures contracts:


Futures Contracts	Number of Contracts	Notional Cost		Settlement Month	Unrealized Appreciation/ (Depreciation)
Long
90 Day Eurodollar Futures	286	$	70,347,938	September 2010	$	769,537
90 Day Eurodollar Futures	128		31,638,850	June 2010		242,750
2 Year U.S. Treasury Futures	19		4,123,547	June 2010		(1,437	)
90 Day Euribor Futures	20		6,676,274	December 2010		12,849
Germany Federal Republic Bonds	60		9,959,497	June 2010		50,349
Germany Federal Republic Bonds	60		9,471,633	June 2010		29,403

					$	1,103,451

I. Forward Foreign Currency Contracts

The Bond Core Plus Fund and the International All Cap Equity Fund use forward foreign currency contracts to facilitate transactions in foreign securities or as a hedge against the foreign currency exposure of either specific transactions or portfolio positions. When entering into a forward foreign currency contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Such contracts are valued based upon the difference in the forward

100

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Fund records realized gains or losses at the time the forward contract is extinguished by entry into a closing transaction or by delivery of the currency. Risks in foreign currency contracts arise from the possible inability of counterparties to meet the contracts’ terms and from movements in currency values.

As of March 31, 2010, the Bond Core Plus Fund held the following forward foreign currency contracts:


Type	Currency	Principal Amount Covered by Contract		US Dollar Cost		Settlement Date	Unrealized Appreciation/ (Depreciation)
Purchase	Brazilian Real	$	393,075	$	224,460	04/05/10	$	(4,213	)
Purchase	Brazilian Real		393,075		218,533	06/02/10		(870	)
Purchase	Mexican Peso		1,924,572		144,228	04/22/10		11,685
Sale	Australian Dollar		642,000		588,008	04/30/10		285
Sale	Australian Dollar		17,000		15,136	04/01/10		(467	)
Sale	Australian Dollar		625,000		570,978	04/01/10		(2,679	)
Sale	Brazilian Real		393,075		221,201	04/05/10		954
Sale	Euro		2,737,000		3,865,602	04/26/10		162,114
Sale	Euro		2,738,000		3,727,560	04/26/10		22,719
Sale	Euro		436,000		593,654	04/26/10		3,694
Sale	Euro		3,915,000		5,387,287	04/26/10		89,824

							$	283,046

J. Interest Rate Swap Contracts

The Bond Core Plus Fund invests in swap contracts. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund uses interest rate swap contracts to manage its exposure to interest rates. Interest rate swap contracts typically represent the exchange of commitments to make variable rate and fixed rate payments with respect to a notional amount of principal. Swap contracts typically have a term of one to ten years, but typically require periodic interim settlement in cash, at which time the specified variable interest rate is reset for the next settlement period. During the period that the swap contract is open, the contract is marked-to-market as the net amount due to or from the Fund in accordance with the terms of the contract based on the closing level of the interest accrual through valuation date. Changes in the value of swap contracts are recorded as unrealized gains or losses. Periodic cash settlements on interest rate swaps are recorded as adjustments to realized gains or losses. Up-front payments are recorded to realized gains or losses upon termination of the swap contract.

Entering into a swap contract involves, to varying degrees, elements of credit, market and interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities. Notional principal amounts are used to express the extent of involvement in the transactions, but are not delivered under the contracts. Accordingly, credit risk is limited to any amounts receivable from the counterparty. To reduce credit risk from potential counterparty default, the Fund enters into swap contracts with counterparties whose creditworthiness has been approved by the Investment Advisor to the Fund. The Fund bears the market risk arising from any change in interest rates. Based on market fluctuation cash collateral may be exchanged between the parties to decrease the amount of counterparty default risk.

At March 31, 2010, the Bond Core Plus Fund held the following interest rate swap contracts:


						Rate Type
Notional Amount	Net Cost/ (Proceeds)			Swap Counterparty	Termination Date	Floating Rate	Fixed Rate		Unrealized Appreciation/ (Depreciation)
6,100,000 BRL	$	(61,765	)	Morgan Stanley (a)	01/02/2012	CDI-Brazil (b)	10.115	%	$	(144,508	)
4,000,000 BRL		(35,463	)	UBS (a)	01/02/2012	CDI-Brazil (b)	10.575	%		(45,323	)
800,000 BRL		—		UBS (a)	01/02/2012	CDI-Brazil (b)	11.020	%		2,577
19,500,000 BRL		37,264		Merrill Lynch (a)	01/02/2012	CDI-Brazil (b)	10.990	%		8,879
9,600,000 BRL		3,116		Barclays (a)	01/02/2014	CDI-Brazil (b)	11.990	%		(7,808	)

	$	(56,848	)						$	(186,183	)

(a)	Fund receives the fixed rate and pays the floating rate.

101

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

(b)	CDI – Brazil is the interbank lending rate of Brazil as published by the Central Bank of Brazil.

K. Option and Swaption Contracts

The Bond Core Plus Fund purchases or writes option contracts to manage exposure to fluctuations in interest rates or hedge the fair value of other Fund investments. The premium paid by the Fund for the purchase of a call or put option is included in the Fund’s Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current market value of the option purchased. If an option which the Fund has purchased expires on its stipulated expiration date, the Fund realizes a loss for the amount of the cost of the option. If the Fund enters into a closing transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid.

The premium received by the Fund for a written option is recorded as a liability. The liability is marked-to-market based on the option’s quoted daily settlement price. When an option expires or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund is obligated to purchase.

The Bond Core Plus Fund may also purchase or write swaption contracts to manage exposure to fluctuations in interest rates or hedge the fair value of other Fund investments. Swaption contracts entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. If a call swaption is exercised, the purchaser will enter into a swap to receive the fixed rate and pay a floating rate in exchange. Exercising a put would entitle the purchaser to pay a fixed rate and receive a floating rate.

Swaption contracts are marked-to-market at the net amount due to or from the Fund in accordance with the terms of the contract based on the closing level of the relevant market rate of interest. Changes in the value of the swaption are reported as unrealized gains or losses. Gain or loss is recognized when the swaption contract expires or is closed. When the Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the swaption written. Premiums received from writing swaptions that expire unexercised are treated by the Fund on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss.

Entering into option and swaption contracts involves, to varying degrees, elements of credit, market and interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities. To reduce credit risk from potential counterparty default, the Fund enters into these contracts with counterparties whose creditworthiness has been approved by the advisor. The Fund bears the market risk arising from any change in index values or interest rates.

For the three-month period ended March 31, 2010, the Fund had not written any call or put options or entered into any swaption contracts.

L. Additional Derivative Disclosure

The Bond Core Plus Fund has entered into futures contracts to adjust interest rate exposures and to replicate bond positions. A futures contract frequently offers the opportunity to outperform securities due to cheapness of futures contracts and active management of the liquid, short duration securities backing the futures. The Bond Core Plus Fund uses futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

102

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

The Bond Core Plus Fund has entered into foreign currency contracts. The Fund may enter into these contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of the Fund’s securities or as a part of an investment strategy. A foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a foreign currency contract fluctuates with changes in foreign currency exchange rates. Foreign currency contracts are marked–to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are recorded upon delivery or receipt of the currency. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

The Bond Core Plus Fund has entered into interest rate swap agreements. Interest rate swaps provide the Fund with an effective and usually less expensive means to adjust quickly portfolio duration, maturity mix and sector exposure. Interest rate swap agreements involve the exchange by the Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Swap agreements are privately negotiated agreements between the Fund and counterparty. Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statement of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued pursuant to guidelines established by the Trustee. Payments received or made at the beginning of the measurement period are reflected as such on the Statement of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.

Derivative Market and Credit Risk

In the normal course of business the Bond Core Plus Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk).

Similar to credit risk, the Bond Core Plus Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Bond Core Plus Fund has unsettled or open transactions will default. The potential loss could exceed the value of the financial assets recorded in the financial statements. Financial assets, which potentially expose the Bond Core Plus Fund to credit risk, consist principally of cash due from counterparties and investments.

The Investment Advisor seeks to minimize credit risks to the Bond Core Plus Fund by performing extensive reviews of each counterparty and obtains approval from the Investment Advisor’s counterparty risk committee prior to entering into transactions with a third party. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once the Bond Core Plus Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

The Bond Core Plus Fund restricts its exposure to credit losses by entering into master agreements with counterparties (approved brokers) with whom it undertakes a significant volume of transactions to include certain safeguards for derivatives and non-standard settlement trades. The credit risk associated with favorable contracts is reduced by master netting arrangements so that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. The Bond Core Plus Fund’s overall exposure to credit risk on derivative instruments subject to master netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.

The Bond Core Plus Fund is party to the International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, over- the-counter derivative and foreign exchange contracts, entered into by the Bond Core Plus Fund with those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.

103

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

The considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”) between the Bond Core Plus Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. Cash collateral provided, and received by, the Bond Core Plus Fund for each type of derivative contract at March 31, 2010 is presented as Deposit with broker or Due to broker, respectively, on the accompanying Statement of Assets and Liabilities.

At March 31, 2010, the Bond Core Plus Fund had the following derivatives (not designated as hedges) grouped into appropriate risk categories that illustrate how and why the Fund uses derivative instruments:

Asset Derivatives


		Interest Rate Contracts		Foreign Exchange Contracts		Credit Derivatives		Equity Contracts		Total
Bond Core Plus Fund	Futures Contracts (a)	$	1,104,888	$	—	$	—	$	—	$	1,104,888
	Forward Contracts (b)		—		291,275		—		—		291,275
	Swap Contracts (c)		48,720		—		—		—		48,720

	Total Value	$	1,153,608	$	291,275	$	—	$	—	$	1,444,883

Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts.

(a)	Net Assets Unrealized-Appreciation (Includes cumulative appreciation/depreciation of futures contracts as reported in Note H: Futures Contracts. Only current day’s variation margin is reported within the Statement of Assets and Liabilities)

(b)	Gross unrealized appreciation of forward currency exchange contracts

(c)	Swap contracts, at value

Liability Derivatives


		Interest Rate Contracts		Foreign Exchange Contracts		Credit Derivatives		Equity Contracts		Total
Bond Core Plus Fund	Futures Contracts (a)	$	1,437	$	—	$	—	$	—	$	1,437
	Forward Contracts (b)		—		8,229		—		—		8,229
	Swap Contracts (c)		291,751		—		—		—		291,751

	Total Value	$	293,188	$	8,229	$	—	$	—	$	301,417

Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts.

(a)	Net Assets Unrealized-Depreciation (Includes cumulative appreciation/depreciation of futures contracts as reported in Note H: Futures Contracts. Only current day’s variation margin is reported within the Statement of Assets and Liabilities)

(b)	Gross unrealized depreciation of forward currency exchange contracts

(c)	Swap contracts, at value


		Interest Rate Contracts		Foreign Exchange Contracts		Credit Derivatives		Equity Contracts		Total
Bond Core Plus Fund	Realized gain (loss)
	Futures Contracts (a)	$	980,127	$	—	$	—	$	—	$	980,127
	Forward Contracts (b)		—		418,496		—		—		418,496
	Swap Contracts (c)		124,584		—		—		—		124,584

	Total Value	$	1,104,711	$	418,496	$	—	$	—	$	1,523,207

104

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

Each of the above derivatives is located in the following Statement of Operations accounts.

(a)	Net realized gain/(loss) futures contracts

(b)	Net realized gain/(loss) foreign currency transactions (Statement of Operations includes both forwards and foreign currency transactions)

(c)	Net realized gain/(loss) swap contracts


		Interest Rate Contracts			Foreign Exchange Contracts		Credit Derivatives		Equity Contracts		Total
Bond Core Plus Fund	Change in Unrealized Appreciation (Depreciation)
	Futures Contracts (a)	$	705,116		$	—	$	—	$	—	$	705,116
	Forward Contracts (b)		—			171,219		—		—		171,219
	Swap Contracts (c)		(118,859	)		—		—		—		(118,859	)

	Total Value	$	586,257		$	171,219	$	—	$	—	$	757,476

Each of the above derivatives are located in the following Statement of Operations accounts.

(a)	Net unrealized appreciation/(depreciation) futures contracts

(b)	Net unrealized appreciation/(depreciation) foreign currency transactions (Statement of Operations includes both forwards and foreign currency transactions)

(c)	Net unrealized appreciation/(depreciation) swap contracts

The volumes indicated in the associated futures, forward foreign currency and interest rate swap footnotes are indicative of the amounts throughout the period.

M. Use of Estimates

The preparation of financial statements in accordance with GAAP in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

N. Indemnifications

In the normal course of business, the Collective Trust enters into contracts that contain a variety of representations and that may contain general indemnifications. The Collective Trust’s maximum exposure under these provisions is unknown, as this would involve future claims that may be made against the Collective Trust. The Collective Trust expects the risk of loss to be remote.

3. Investment Advisory, Investment Management and Related Party Transactions

State Street has retained the services of the Investment Advisors listed below to advise it with respect to its investment responsibility and has allocated the assets of certain of the Funds among the Investment Advisors. Each Investment Advisor recommends to State Street investments and reinvestments of the assets allocated to it in accordance with the investment policies of the applicable Fund as described above. State Street exercises discretion with respect to the selection and retention of the Investment Advisors and may remove an Investment Advisor at any time, in certain cases upon consultation with Northern Trust as investment fiduciary, and otherwise subject to consultation with ABA Retirement Funds.

A fee is paid to each Investment Advisor for certain of the Funds based on the value of the assets allocated to that Investment Advisor and the respective breakpoints agreed to in the Investment Advisor’s contract. These fees are accrued on a daily basis and paid monthly or quarterly from the allocated assets. Actual fees paid to each Investment Advisor during the three-month period ended March 31, 2010 are listed below and the asset based fees range from the highest rate of .75% to the lowest rate of .18% among the various Investment Advisors.

105

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)


Investment Advisor	Fees for the Period Ended March 31, 2010
Altrinsic Global Advisors, LLC (International All Cap Equity Fund)	$	50,612
C.S. McKee, L.P. (Large Cap Equity Fund)		174,220
Columbus Circle Investors (Large Cap Equity Fund)		121,007
Delaware Investment Advisers (Large Cap Equity Fund)		89,569
Denver Investment Advisors LLC (Small-Mid Cap Equity Fund)		60,116
Eagle Global Advisors LLC (International All Cap Equity Fund)		27,318
First State Investments International Limited (International All Cap Equity Fund)		44,274
Frontier Capital Management Co. LLC (Small-Mid Cap Equity Fund)		31,046
Jennison Associates LLC (Large Cap Equity Fund)		113,967
LSV Asset Management (International All Cap Equity Fund)		34,216
LSV Asset Management (Small-Mid Cap Equity Fund)		44,351
Martin Currie Inc. (International All Cap Equity Fund)		37,106
OFI Institutional Asset Management, Inc. (Small-Mid Cap Equity Fund)		51,603
Oppenheimer Capital LLC (Small-Mid Cap Equity Fund)		34,318
Pacific Investment Management Company LLC (Bond Core Plus Fund)		261,920
Riverbridge Partners (Small-Mid Cap Equity Fund)		38,331
Systematic Financial Management, L.P. (Small-Mid Cap Equity Fund)		60,742
TCW Investment Management Company (Small-Mid Cap Equity Fund)		34,846

	$	1,309,562

A separate program fee (“Program fee”) is paid to each of the Program recordkeeper and ABA Retirement Funds. These fees are allocated to each Fund and the Balanced Fund based on net asset value and are accrued daily and paid monthly from the assets of the Funds and the Balanced Fund.

The ABA Retirement Funds Program fee is based on the value of Program assets and the following annual fee rates in effect during the three-month period ended March 31, 2010:


Value of Program Assets	Rate of ABA Retirement Funds Program Fee
First $3 billion	.075	%
Next $1 billion	.065	%
Next $1 billion	.035	%
Next $1 billion	.025	%
Over $6 billion	.015	%

ABA Retirement Funds received Program fees of $624,716 for the three-month period ended March 31, 2010. These fees are allocated to each Fund and the Balanced Fund based on net asset value.

Since May 1, 2009, the Collective Trust pays a Program fee to ING Services equal to (A) $135,250 for each of the first twelve calendar months after that date, (B) $177,850 for each of the next twelve calendar months, and (C) $152,850 for each of the remaining calendar months of the term of the Program Services Agreement among ABA Retirement Funds, ING Life Insurance and Annuity Company and ING Services; plus, for each calendar month of the term of the Program Services Agreement, a fee based on the aggregate assets of the Funds and the Balanced Fund at the following annual rate:


Value of Assets	Rate of ING Services Program Expense Fee
First $4 billion	.470	%
Next $1 billion	.360	%
Next $1 billion	.215	%
Over $6 billion	.220	%

106

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

For the three-month period ended March 31, 2010, the Program fee paid to ING Services was $4,380,608.

This Program fee is accrued daily and paid monthly based on the aggregate assets of the Funds as of the last Business Day of the preceding month. The Funds bear their respective portions of this Program fee pro rata based on their respective net asset values as of the time of calculation thereof. This Program fee attributable to the Balanced Fund is accrued and paid from the Bond Fund Core Plus Fund and the Large Cap Equity Fund in which the Balanced Fund invests. The Program Services Agreement contains certain service standards applicable to the performance of recordkeeping services by ING Services and imposes penalties that reduce the Program fee if these service standards are not met. No service penalties were imposed for the three-month period ended March 31, 2010.

Benefit payments under the Program generally are made by check. Within two business days before the check becomes payable, funds for the payment of benefits are transferred to a non-interest bearing account with State Street Bank. No separate fee is charged for benefit payments; rather, State Street Bank retains any earnings attributable to outstanding benefit checks, and these earnings have been taken into account in setting State Street Bank’s fees under the Program.

A fee is paid to State Street Bank for its trust management, administration and custody of the assets in the investment options (other than Self-Managed Brokerage Accounts). This fee is accrued on a daily basis and paid monthly from the net assets of the Funds and the Balanced Fund at the following rates:


Value of Assets in all Funds	Rate
First $1.0 billion	.202	%
Next $1.8 billion	.067	%
Over $2.8 billion	.029	%

For the three-month period ended March 31, 2010, State Street Bank received trust, management and administration fees of $839,827.

From on or about July 1, 2009 until September 30, 2011, or if earlier, upon the effective date of a Succession Agreement dated as of July 1, 2009 among The Northern Trust Company (“Northern Trust”), Northern Trust Investments, N.A., State Street and State Street Bank, which effective date is expected to occur on or about July 1, 2010, although it may occur later, the Collective Trust pays Northern Trust an annual fee of $500,000 for its services as investment fiduciary. Northern Trust’s annual fee accrues on a daily basis and is paid monthly from the assets of the respective Funds, which bear their respective portions of this fee based on their respective net asset values as of the time of calculation of the fee.

Management Fees—Index Funds and Indexed Portions of Managed Funds

A fee is paid to State Street Bank for the investment management services it performs relating to the assets in the Index Funds listed below and the indexed portions of the Large Cap Equity Fund, the Small-Mid Cap Equity Fund and the International All Cap Equity Fund. These fees are accrued on a daily basis and paid monthly from the relevant assets of the respective Funds and are based on respective net asset values as of the time of calculation. The fees for the indexed portions of the Managed Funds and the fees for the respective Index Funds are at the following annual rates:


Fund	Rate
Bond Index Fund	.04	%
Large Cap Index Equity Fund	.02	%
All Cap Index Equity Fund	.05	%
Mid Cap Index Equity Fund	.05	%
Small Cap Index Equity Fund	.05	%
International Index Equity Fund	.10	%
Large Cap Equity Fund	.05	%
Small-Mid Cap Equity Fund	.05	%
International All Cap Equity Fund	.12	%

107

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

State Street Bank received the following fees paid from the Funds listed below during the three-month period ended March 31, 2010:


Bond Index Fund	$	3,890
Large Cap Index Equity Fund		1,796
All Cap Index Equity Fund		32,945
Mid Cap Index Equity Fund		3,352
Small Cap Index Equity Fund		2,025
International Index Equity Fund		6,447
Large Cap Equity Fund		12,564
Small-Mid Cap Equity Fund		692
International All Cap Equity Fund		1,062

	$	64,773

The Real Asset Return Fund is subject to a management fee of .09% of the total annual assets invested in the Real Asset Return Fund, payable to State Street Bank. The fee is accrued daily and paid monthly. For the three-month period ended March 31, 2010, State Street Bank received investment management fees of $1,400.

The Retirement Date Funds are subject to a management fee of .10% of the total annual assets invested in the Retirement Date Funds, payable to State Street Bank. The fee is accrued daily and paid monthly. For the three-month period ended March 31, 2010, State Street Bank received Retirement Date Fund management fees of $83,107.

The Target Risk Funds are subject to a management fee of .06% of the total annual assets invested in the Target Risk Funds, payable to State Street Bank. The fee is accrued daily and paid monthly. For the three-month period ended March 31, 2010, State Street Bank received investment management fees of $4,115.

4. Purchases and Sales of Securities

The aggregate cost of purchases and proceeds from sales of securities excluding U.S. Government securities and short-term investments were as follows:


	For the Period Ended March 31, 2010
	Purchases		Sales
Aggressive Risk Fund	$	2,060,477	$	675,493
All Cap Index Equity Fund		24,611,315		30,806,279
Balanced Fund		2,183,211		19,177,699
Bond Core Plus Fund		20,431,342		13,442,858
Bond Index Fund		6,224,989		2,435,857
Conservative Risk Fund		2,171,305		881,999
International All Cap Equity Fund		91,402,910		90,387,571
International Index Equity Fund		4,941,086		1,410,896
Large Cap Equity Fund		603,771,877		650,542,470
Large Cap Index Equity Fund		5,273,238		2,481,949
Mid Cap Index Equity Fund		4,106,461		2,295,318
Moderate Risk Fund		4,925,974		1,076,205
Real Asset Return Fund		2,679,822		319,571
Small Cap Index Equity Fund		2,479,552		1,416,778
Small-Mid Cap Equity Fund		69,012,387		86,651,458
Lifetime Income Retirement Date Fund		4,847,162		2,854,482
2010 Retirement Date Fund		9,073,993		9,897,926
2020 Retirement Date Fund		15,624,625		14,508,990
2030 Retirement Date Fund		14,383,386		9,421,910
2040 Retirement Date Fund		7,743,688		6,482,462

108

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

The aggregate cost of purchases and proceeds from sales of U.S. Government securities were as follows:

5. Risks Associated with Investments of the Trust

The Funds and the Balanced Fund to the extent invested in the equity markets are subject to a variety of market and financial risks. Common stocks, the most familiar type of equity security, represent an equity (ownership) interest in a corporation. Although common stocks and other equity securities have a history of long-term growth in value, their prices may fluctuate dramatically in the short term in response to changes in market conditions, interest rates and other company, political and economic developments. In addition, investments in non-U.S. securities, including emerging markets equities, and in small capitalization and mid-capitalization equity securities, involve special risks. For instance, smaller companies may be impacted by economic conditions more severely. Foreign securities risks include less investor protections, government failure or nationalization of businesses, exchange rate risk and exchange restrictions, poorly developed financial reporting requirements, broker/dealer regulation, or foreign government taxation, financial markets or legal systems. Certain Funds and the Balanced Fund, in addition to the more general risks associated with equity investing, are subject to the more particular risks associated with investing in value stocks or growth stocks, as different types of stocks tend to shift into and out of favor depending on market and economic conditions. The value of the Funds and the Balanced Fund to the extent so invested in the equity markets will fluctuate, and the holders of units in the Funds and the Balanced Fund should be able to tolerate changes, sometimes sudden or substantial, in the value of their investment.

The Funds and the Balanced Fund, to the extent invested in fixed income securities, including all lending through collateral holdings, are subject to the risks associated with investing in such instruments. Fixed-income securities such as bonds are issued to evidence loans that investors make to corporations and governments, either foreign or domestic. If prevailing interest rates fall, the market value of fixed-income securities that trade on a yield basis tends to rise. On the other hand, if prevailing interest rates rise, the market value of fixed-income securities generally will fall. In general, the shorter the maturity, the lower the yield but the greater the price stability. These factors may have an effect on the value of the Funds and the Balanced Fund. A change in the level of interest rates will tend to cause the net asset value of the Funds or the Balanced Fund to change. If such interest rate changes are sustained over time, the yield of the Funds or the Balanced Fund will fluctuate accordingly.

Fixed-income securities, including corporate bonds, also are subject to credit risk. When a security is purchased, its anticipated yield depends on the timely payment by the borrower of each interest and principal installment. Credit analysis and bond ratings take into account the relative likelihood that such timely payment will result. Bonds with a lower credit rating tend to have higher yields than bonds of similar maturity with a better credit rating. However, to the extent the Funds or the Balanced Fund invest in securities with medium or lower credit qualities, they are subject to a higher level of credit risk than investments in investment-grade securities. The credit quality of non investment-grade securities is considered speculative by recognized ratings agencies with respect to the issuer’s continuing ability to pay interest and principal. Lower-grade securities may have less liquidity and a higher incidence of default than higher-grade securities. Furthermore, as economic, political and business developments unfold, lower-quality bonds, which possess lower levels of protection with respect to timely payment, usually exhibit more price fluctuation than do higher-quality bonds of like maturity and the value of the Funds and the Balanced Fund will reflect this volatility. Moreover, the Funds and the Balanced Fund rely to a significant extent on ratings issued by one or more nationally recognized credit rating agencies to assess the credit quality of securities in which they propose to invest. There may be limitations on the quality of such ratings. For instance, certain asset backed securities such as subprime collateralized mortgage obligations (“CMOs”) and securities backed by bond insurance that initially received relatively high ratings were, in connection with the credit markets turbulence, subsequently significantly downgraded. There is a risk of loss associated with securities even if initially highly rated, particularly in the case of collateralized debt obligations and other structured-finance investments that are often of relatively higher complexity.

109

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

Recent events in both the equity and fixed income markets and in particular the financial sector have resulted in an unusually high degree of volatility in the market, the Funds and the Balanced Fund. Certain sectors of the fixed income markets also experienced an unusually high degree of illiquidity during 2009 which adversely affected the Funds and the Balanced Fund to the extent invested in those sectors during 2009. The Collective Trust’s investment in the financial sector has contributed to the volatility of the unit value of the Funds and the Balanced Fund.

6. Securities Lending Income

The Funds and the Balanced Fund are authorized to participate in the securities lending program administered by State Street Bank, under which securities held by the Funds and the Balanced Fund are loaned by State Street Bank, as the Funds’ and the Balanced Fund’s lending agent, to certain brokers and other financial institutions (the “Borrowers”). The Borrowers provide cash, securities or letters of credit as collateral against loans in an amount at least equal to 100% of the fair value of the loaned securities. The Borrowers are required to maintain the collateral at not less than 100% of the fair value of the loaned securities. Cash collateral is invested in the State Street Quality D Short-Term Investment Fund.

The Funds and the Balanced Fund are subject to the risks associated with the lending of securities, including the risks associated with defaults by the Borrowers of such securities and the credit, liquidity and other risks arising out of the investment of cash collateral received from the Borrowers.

Certain Funds and the Balanced Fund also invest in collective investment funds which lend a portion of their securities to qualified Borrowers under identical collateral requirements described above.

A portion of the income generated upon investment of cash collateral is remitted to the Borrowers, and the remainder is allocated between the Fund or the Balanced Fund lending the securities and State Street Bank in its capacity as lending agent.

At March 31, 2010, the Funds’ fair value of securities on loan and collateral value received at amortized cost and fair value for securities loaned was as follows:


			Collateral Received
Fund	Fair Value of Loaned Securities		Amortized Cost		Fair Value
Bond Core Plus Fund	$	32,696,688	$	33,360,844	$	33,045,584
International All Cap Equity Fund		12,065,397		12,524,510		12,406,153
Large Cap Equity Fund		120,569,934		123,373,083		122,207,207
Small-Mid Cap Equity Fund		158,025,159		162,135,474		160,603,294

As discussed in Note 1, units of Quality D continue to be issued and redeemed at a constant $1.00 net asset value per unit; however, certain limitations on withdrawals would apply to redemptions in connection with discontinuing participation in the securities lending program. At March 31, 2010, the market value of the investments in Quality D, as reported by its trustee, was approximately 99.055% of amortized cost. Furthermore, as reported by the trustee as of March 31, 2010, all investments in Quality D were performing in accordance with their respective terms. The accompanying financial statements of the Funds and the Balanced Fund have valued their direct and indirect investments in the Cash Collateral Funds at their fair values, and have recognized unrealized losses. However, the Funds and the Balanced Fund have continued to value their investments in the Cash Collateral Funds for purposes of participant transactions at the amortized cost based values used by the Cash Collateral Funds for daily transactions.

7. Participant Ownership

As of March 31, 2010, the following Funds had participants owning greater than 5% of the outstanding units of a Fund. Two participants owned 8.75% and 6.04%, respectively of the outstanding units of the Real Asset Return Fund. In addition, one participant owned 5.23% of the outstanding units of the Lifetime Income Retirement Date Fund and one participant owned 5.75% of the outstanding units of the 2010 Retirement Date Fund.

8. Changes and Anticipated Changes to the Program

Effective on January 19, 2010 the line-up of Investment Advisors to State Street with respect to the Large Cap Equity Fund was modified by the addition of two new Investment Advisors, Delaware Investment Advisers and Columbus Circle Investors. As of March 31, 2010, approximately 21%, 24%, 18%, 27% and 10% of the assets of the Large Cap Equity Fund were allocated to, respectively, Columbus Circle Investors, Delaware Investment Advisers, Jennison Associates LLC, C.S. McKee, L.P. and the indexed portion of the Fund.

110

American Bar Association Members/State Street Collective Trust

Notes to Financial Statements—Continued

(Unaudited)

Effective on January 19, 2010, the line-up of Investment Advisors to State Street with respect to the International All Cap Equity Fund was modified by the addition of a new Investment Advisor, LSV Asset Management. As of March 31, 2010, approximately 25%, 17%, 17%, 25% and 17% of the assets of the International All Cap Equity Fund were allocated to, respectively, Altrinsic Global Advisors, LLC, Eagle Global Advisors LLC, First State Investments International Limited and LSV Asset Management and Martin Currie Inc.

Northern Trust, acting through its wholly-owned subsidiary Northern Trust Investments, is expected to be substituted for State Street as trustee of the Collective Trust no later than September 30, 2011, although the substitution is currently expected to occur on or about July 1, 2010. From and after the date of the substitution, Northern Trust Investments, as trustee of the Collective Trust, will have exclusive discretion and control over the assets of the Collective Trust, and Northern Trust no longer will act as investment fiduciary.

Upon the substitution of Northern Trust Investments for State Street as the trustee of the Collective Trust, State Street will no longer serve as trustee of the Collective Trust and the Declaration of Trust of the Collective Trust is expected to be amended and restated as the American Bar Association Members/Northern Trust Collective Trust.

9. Subsequent Events

Management has reviewed events and transactions for subsequent events requiring recognition and disclosure in these financial statements. Management has determined that no material events require recognition and disclosure in the Fund’s financial statements through this date although we do note the following:

On April 21, 2010, UBS, one of the four Benefit Responsive Providers for SAFT, issued a sixty day termination notice with respect to its Synthetic Investment Contract with SAFT. On the next day, JPMorgan issued a sixty day termination notice of its Synthetic Investment Contract with SAFT. These terminations by UBS and JPMorgan do not adversely affect the book value (“contract value”) protections afforded under these Synthetic Investment Contracts during the sixty day notice period, or, as discussed below, after a controlled liquidation under the terms of these two Synthetic Investment Contracts (a so-called Immunization). Of the $981 million in investments in SAFT as of March 31, 2010, $638 million is attributable to investments subject to Benefit Responsive Contracts and 50% of this amount is affected by the termination notices from UBS and JPMorgan. There is an excess of $2.2 million of fair market value above book value on the investments attributable to these affected contracts as of March 31, 2010.

State Street Bank has been engaged in, and anticipates further, discussions with potential replacement Benefit Responsive Providers for the two Synthetic Investment Contracts that are subject to the sixty day notice periods, which expire on June 20, 2010 and June 21, 2010, respectively. However, no assurances can be given that one or more replacement Benefit Responsive Providers can be identified to replace UBS and JPMorgan or any other Benefit Responsive Provider that could, in the future, elect to terminate its Synthetic Investment Contract with SAFT or that the terms offered by any such potential Benefit Responsive Providers will be acceptable to SAFT and SARF. It is very likely that the fees payable to any replacement Benefit Responsive Providers will increase significantly from the low rates currently in effect, thereby resulting in lower investment returns and crediting rate for SAFT and SARF. It is also likely that any replacement Benefit Responsive Providers will impose additional restrictions and requirements under their Synthetic Investment Contracts in order to reduce the risk that they will be required to make payments under any such Synthetic Investment Contracts in the future.

If State Street Bank cannot secure acceptable replacement Synthetic Investment Contracts, SAFT will exercise its rights under the existing Synthetic Investment Contract with UBS and JPMorgan by not later than the end of the sixty day termination period referred to above to provide for an orderly liquidation of the investments related to each such Synthetic Investment Contract over not less than a two-year period for UBS and an estimated two and one-half year period for JPMorgan in accordance with the terms of the Synthetic Investment Contract applicable to each of UBS and JPMorgan.

During this controlled liquidation period under the existing Synthetic Investment Contract with each of UBS and JPMorgan, State Street Bank expects that the investments subject to these two existing Synthetic Investment Contracts will continue to be accounted for and valued at book value (contract value). This liquidation process will require the continued shortening of the duration and eventual maturity of the investments applicable to these two Synthetic Investment Contracts. This will likely result in lower current investment returns on those investments and a lower crediting rate for SAFT and SARF if short-term interest rates remain at current levels and replacement Benefit Responsive Providers cannot be found on acceptable terms during the liquidation period.

Throughout the controlled liquidation process described above, SAFT will continue to seek replacement Benefit Responsive Providers, although no assurances can be given that such effort will be successful in light of the limited number of qualified financial institutions willing to act as a Benefit Responsive Provider.

111

Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Quarter Ended March 31, 2010

Stable Asset Return Fund

The Stable Asset Return Fund seeks to provide current income consistent with the preservation of principal and liquidity. The Fund does not make any direct investments, but invests all of its assets indirectly through the State Street Global Advisors Stable Asset Fund Trust, which we refer to as SAFT, a collective investment fund maintained by State Street Bank and Trust Company, which we refer to as State Street Bank. State Street Global Advisors, which we refer to as SSgA, is the investment management division of State Street Bank. SAFT in turn invests in investment contracts, which we refer to as Traditional Investment Contracts, so called “Synthetic GICs”, which represent individual high-quality fixed-income and asset-backed instruments subject to benefit responsive wrap contracts, and collective investment funds maintained by State Street Bank that invest in high-quality fixed income and asset-backed securities. SAFT also invests a portion of its assets in the SSgA Short Term Investment Fund, which we refer to as STIF, a short-term income collective investment fund maintained by State Street Bank. STIF also invests in high-quality short-term fixed income and asset-backed instruments.

For the quarter ended March 31, 2010, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.37%. By comparison, a combination of the Ryan Labs Three Year GIC Index and the iMoneyNet MFR Prime Institutional Money Market Fund Average, weighted 70%/30%, respectively, produced an investment record of 0.68% for the same period. Further, to account for reductions in the Fund’s yield due to increases in money market-type investments resulting from uncertainties in the Synthetic GIC market and an increased emphasis on benchmark credit quality, the combination benchmark less 0.5% per year, on an annualized basis, produced an investment record of 0.56% for the same period. The Ryan Labs Three Year GIC Index portion of the combination benchmark does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that Index or for fund expenses.

The Stable Asset Return Fund underperformed the combination benchmark less 0.5% per year for the quarter ended March 31, 2010. The portfolio’s interest rate sensitivity and asset allocation continue to be managed in a relatively conservative fashion to maintain a higher degree of liquidity and lower amount of market value variation. This strategy leads to a lower yield than that of the benchmark but will benefit in the event of an increase in interest rates or widening in credit spreads.

Bond Core Plus Fund

The Bond Core Plus Fund, formerly named the Intermediate Bond Fund, seeks to achieve a total return from current income and capital appreciation by investing primarily in a diversified portfolio of fixed income securities.

For the quarter ended March 31, 2010, the Bond Core Plus Fund, which is advised with the assistance of Pacific Investment Management Company LLC, experienced a total return, net of expenses, of 1.83%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 1.78% for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The Bond Core Plus Fund outperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended March 31, 2010. The Fund held U.S. securities with an average duration below that of the Index, which was neutral for relative returns, as the 10-year Treasury yield fell one basis point during the quarter. Additionally, interest rate exposure in Europe contributed to performance, as the 10-year Bond yield fell 10 basis points to end the quarter at 3.10%. The Fund’s selection in the U.S. slightly contributed to performance, as the yield curve steepened 19 basis points; the 2-year yield finished the quarter down 12 basis points while the 30-year yield rose 7 basis points. The Fund’s selection was also positive in Europe due to its select money-market futures positions, as short-term interest rates remained on hold. On a duration-adjusted basis, sectors that trade at a spread to U.S. Treasuries experienced mixed performance. An underweight in agency mortgage-backed securities compared to the Index detracted from performance; however, favorable coupon selection partially mitigated this negative impact. A modest underweight in the corporate sector compared to the Index slightly detracted from returns. However, this negative impact was more than offset by a focus on the financials sector, which experienced positive returns during the quarter. Beyond core sectors, an allocation to high yield financials added to returns, as high yield financials outperformed like-duration Treasuries and the overall high yield corporate market. The Fund’s selection in municipal bonds also added to performance, which outperformed like-duration Treasuries for the quarter. Additionally, modest exposure to emerging local rates, specifically Brazil, added to returns as rates fell in this country.

112

For the quarter ended March 31, 2010, the Bond Core Plus Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the Bond Core Plus Fund for the quarter ended March 31, 2010 was positively impacted by 0.01 percentage point as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Fund based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses in the cash collateral funds associated with the State Street Bank securities lending program.

Large Cap Equity Fund

The Large Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of larger-capitalization U.S. companies with market capitalizations, at the time of purchase, of greater than $1 billion. A portion of the Fund (approximately 10% as of March 31, 2010) is invested to replicate the performance of the Russell 1000^® Index, which is comprised of the approximately 1,000 largest companies in the Russell 3000^® Index. The remainder of the Fund is actively managed.

The Large Cap Equity Fund uses a “multi-manager” approach whereby the Fund’s assets are allocated to one or more Investment Advisors, in percentages determined at the discretion of State Street Bank and Trust Company of New Hampshire, which we refer to as State Street, subject to consultation with The Northern Trust Company, which we refer to as Northern Trust. Effective on or about January 19, 2010, the line-up of Investment Advisors to State Street with respect to the Large Cap Equity Fund was modified by the addition of two new Investment Advisors, Columbus Circle Investors and Delaware Investment Advisers. Each Investment Advisor acts independently from the others and uses its own distinct investment style in selecting securities. Each Investment Advisor must operate within the constraints of the Fund’s investment objective, strategies and restrictions and subject to the general supervision of State Street. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended March 31, 2010, the Large Cap Equity Fund experienced a total return, net of expenses, of 5.27%. By comparison, the Russell 1000 Index produced an investment record of 5.70% for the same period. The Russell 1000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

For the period from on or about January 19, 2010 (the date on which Columbus Circle Investors commenced providing investment assistance with respect to the Large Cap Equity Fund) to March 31, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 21% as of March 31, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection was the primary contributor to outperformance of the portfolio as compared to the Index for the quarter.

For the quarter ended March 31, 2010, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 27% as of March 31, 2010) positively contributed to the performance of the Fund, but underperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Underperformance of the portfolio in the quarter is primarily attributable to an underweight in the financial sector as compared to the Index.

For the period from on or about January 19, 2010 (the date on which Delaware Investment Advisers commenced providing investment assistance with respect to the Large Cap Equity Fund) to March 31, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 24% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Underperformance of the portfolio relative to the Index is primarily attributable to underweight allocations and less cyclically-oriented holdings in the financials, industrials and consumer discretionary sectors.

For the quarter ended March 31, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 18% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Natural gas producer Southwestern Energy, which fell on weak natural gas prices, was a notable detractor from portfolio returns, and information technology, wireless semiconductor manufacturer Qualcomm declined on disappointing fourth-quarter earnings that reflected weaker-than-expected average selling prices and uncertainty about a recovery in demand for 3G chipsets.

113

For the quarter ended March 31, 2010, the performance of the indexed portion of the Large Cap Equity Fund was consistent with the Russell 1000 Index after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2010, the Large Cap Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the Large Cap Equity Fund for the quarter ended March 31, 2010 was positively impacted by 0.09 percentage point as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Fund based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses in the cash collateral funds associated with the State Street Bank securities lending program.

Small-Mid Cap Equity Fund

The Small-Mid Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of U.S. companies with market capitalizations, at the time of purchase, of between $100 million and $20 billion. A portion of the Fund (approximately 3% as of March 31, 2010) is invested to replicate the performance of the Russell 2000 Index, which is comprised of the approximately 2,000 smallest companies in the Russell 3000 Index. The remainder of the Fund is actively managed.

The Small-Mid Cap Equity Fund uses a “multi-manager” approach whereby the Fund’s assets are allocated to one or more Investment Advisors, in percentages determined at the discretion of State Street, subject to consultation with Northern Trust. Each Investment Advisor acts independently from the others and uses its own distinct investment style in selecting securities. Each Investment Advisor must operate within the constraints of the Fund’s investment objective, strategies and restrictions and subject to the general supervision of State Street. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended March 31, 2010, the Small-Mid Cap Equity Fund experienced a total return, net of expenses, of 9.68%. By comparison, the Russell 2500^TM Index produced an investment record of 9.21% for the same period. The Russell 2500 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Denver Investment Advisors LLC (d/b/a Denver Investments) (approximately 15% as of March 31, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Capital goods, consumer cyclical and interest-rate sensitive sectors were key contributors to outperformance of the portfolio in the quarter.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Underperformance is primarily attributable to several of the portfolio’s best performing energy and technology holdings of 2009 experiencing profit-taking during the quarter.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 14% as of March 31, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Sector selection contributed to relative returns of the portfolio while stock selection was mixed. An overweight to health care and technology detracted from performance of the portfolio in the quarter as both sectors trailed the market. However, an underweight to energy and utilities sectors positively contributed to relative returns in the quarter. Stock selection was particularly strong in the consumer discretionary and health care sectors but detracted in the financial and energy sectors.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of OFI Institutional Asset Management, Inc. (approximately 14% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Materials was the portfolio’s top-performing sector in the quarter while the industrials sector was the weakest.

114

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Oppenheimer Capital LLC (approximately 10% as of March 31, 2010) had a neutral contribution to the performance of the Fund, but outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Positive relative returns in the quarter were driven by security selection in financials, health care, industrials, and consumer discretionary stocks.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 9% as of March 31, 2010) negatively contributed to the performance of the Fund, but outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Performance of the portfolio in the quarter benefitted from stock selection in the information technology sector and an underweight to the energy sector.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 15% as of March 31, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Sector allocation was essentially neutral compared to the Index while stock selection was the primary contributor to the performance of the portfolio in the quarter. Stock selection had a positive effect in seven of the ten economic sectors and was most pronounced in the information technology, consumer staples and energy sectors and least beneficial in the financials sector.

For the quarter ended March 31, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of March 31, 2010) neutrally contributed to the performance of the Fund, but outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. The best performing sector in the quarter was information technology while the second best performing sector was energy. However, weak stock selection in the industrial sector detracted from performance of the portfolio.

For the quarter ended March 31, 2010, the performance of the indexed portion of the Small-Mid Cap Equity Fund was consistent with the Russell 2000 Index after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2010, the Small-Mid Cap Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the Small-Mid Cap Equity Fund for the quarter ended March 31, 2010 was positively impacted by 0.38 percentage point as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Fund based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses in the cash collateral funds associated with the State Street Bank securities lending program.

International All Cap Equity Fund

The International All Cap Equity Fund, formerly named the International Equity Fund, seeks to provide long-term capital appreciation through a diversified portfolio of primarily non-U.S. equity securities. The Fund seeks to diversify investments broadly among developed and emerging countries and generally to have at least three different countries represented in the portfolio. The Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to broad measures of the international (non-U.S.) stock market. A portion of the Fund (approximately 4% as of March 31, 2010) is invested to replicate the performance of the MSCI ACWI ex-US Index. The remainder of the Fund is actively managed.

For the quarter ended March 31, 2010, the International All Cap Equity Fund experienced a total return, net of expenses, of 1.65%. By comparison, the MSCI ACWI ex-US Index produced an investment record of 1.58% for the same period and the MSCI Europe, Australasia, Far East Index, which we refer to as the MSCI EAFE Index, produced an investment record of 0.87% for the same period. Neither the MSCI ACWI ex-US Index nor the MSCI EAFE Index include an allowance for the fees that an investor would pay for investing in the securities that comprise those Indices or for fund expenses.

The International All Cap Equity Fund uses a “multi-manager” approach whereby the Fund’s assets are allocated to one or more Investment Advisors, in percentages determined at the discretion of State Street, subject to consultation with Northern Trust. Effective on or about January 19, 2010, the line-up of Investment Advisors to State Street with respect to the International All Cap Equity Fund was modified by the addition of a new Investment Advisor, LSV Asset Management. Each Investment Advisor acts independently from the others and uses its own distinct investment style in selecting securities. Each Investment Advisor must operate within the constraints of the Fund’s investment objective, strategies and restrictions and subject to the general supervision of State Street. The performance of each Investment Advisor may be measured in the context of its own investment style.

115

For the quarter ended March 31, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 24% as of March 31, 2010) positively contributed to the performance of the Fund, as well as/but outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Outperformance of the portfolio in the quarter relative to the Index was driven largely by favorable stock selection, with the most favorable attribution derived from holdings in the technology, financial, and consumer staples sectors.

For the quarter ended March 31, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 16% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Strong selection in industrials and materials sectors contributed to the performance of the portfolio, but stock selection in financials, emerging markets and telecommunication services and utilities sectors detracted from performance of the portfolio.

For the quarter ended March 31, 2010, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 16% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Underperformance of the portfolio in the quarter is primarily attributable to stock selection in the materials and telecom services sectors and an overweight position in Taiwan Semiconductor.

For the period from on or about January 19, 2010 to March 31, 2010, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 24% as of March 31, 2010) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. While value stocks trailed in the period, stock selection in the financials and health care sectors added value to the portfolio. The portfolio’s defensive positioning had a negative impact on performance as an underweight to the materials sector and an overweight to the telecom and health care sectors detracted from performance in the period.

For the quarter ended March 31, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 16% as of March 31, 2010) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. The largest negative contributors to relative performance in the quarter were Banco Santander, which is perceived to be vulnerable to sovereign-default risk in southern Europe, Société Générale, which fell due to its exposure to sovereign risk in emerging European markets, and HSBC, whose results were not as strong as the market had anticipated and which offered a muted forecast for 2010.

For the quarter ended March 31, 2010, the performance of the indexed portion of the International All Cap Equity Fund was consistent with the MSCI ACWI ex-US Index after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2010, the International All Cap Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the International All Cap Equity Fund for the quarter ended March 31, 2010 was positively impacted by 0.10 percentage point as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Fund based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses in the cash collateral funds associated with the State Street Bank securities lending program.

Bond Index Fund

The Bond Index Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Barclays Capital U.S. Aggregate Bond Index by investing generally in securities which are representative of the domestic investment grade bond market as included in such Index.

For the quarter ended March 31, 2010, the Bond Index Fund experienced a total return, net of expenses, of 1.55%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 1.78% for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Bond Index Fund for the quarter ended March 31, 2010 was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking expenses into account.

116

Large Cap Index Equity Fund

The Large Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P 500^® by investing generally in securities included in such Index. The S&P 500 represents approximately 75% of the U.S. equity market based on the market capitalization of the companies in the S&P 500.

For the quarter ended March 31, 2010, the Large Cap Index Equity Fund experienced a total return, net of expenses, of 5.17%. By comparison, the S&P 500 produced an investment record of 5.39% for the same period. The S&P 500 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Large Cap Index Equity Fund for the quarter ended March 31, 2010 was consistent with the S&P 500 after taking expenses into account.

All Cap Index Equity Fund

The All Cap Index Equity Fund, formerly named the Index Equity Fund, seeks to replicate, after taking into account Fund expenses, the total return of the Russell 3000 Index by investing in stocks included in the Russell 3000 Index, with the overall objective of achieving long-term growth of capital. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on the market capitalization of the companies in the Russell 3000 Index.

For the quarter ended March 31, 2010, the All Cap Index Equity Fund experienced a total return, net of expenses, of 5.82%. By comparison, the Russell 3000 Index produced an investment record of 5.94% for the same period. The Russell 3000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the All Cap Index Equity Fund for the quarter ended March 31, 2010 was consistent with the Russell 3000 Index after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2010, the All Cap Index Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the All Cap Index Equity Fund for the quarter ended March 31, 2010 was positively impacted by 0.10 percentage point as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Fund based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses in the cash collateral funds associated with the State Street Bank securities lending program.

Mid Cap Index Equity Fund

The Mid Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P MidCap 400^® by investing generally in securities included in such Index. The S&P MidCap 400 includes 400 companies and, as of December 31, 2009, represented approximately 7% of the U.S. equity market based on the market capitalization of the companies in the S&P MidCap 400.

For the quarter ended March 31, 2010, the Mid Cap Index Equity Fund experienced a total return, net of expenses, of 8.85%. By comparison, the S&P MidCap 400 produced an investment record of 9.09% for the same period. The S&P MidCap 400 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Mid-Cap Index Equity Fund for the quarter ended March 31, 2010 was consistent with the S&P MidCap 400 after taking expenses into account.

Small Cap Index Equity Fund

The Small Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Russell 2000^® Index by investing generally in securities included in such Index. The Russell 2000 Index is comprised of the approximately 2,000 companies in the Russell 3000 Index with the smallest market capitalization and represents approximately 10% of the Russell 3000 Index total market capitalization.

117

For the quarter ended March 31, 2010, the Small Cap Index Equity Fund experienced a total return, net of expenses, of 8.56%. By comparison, the Russell 2000 Index produced an investment record of 8.85% for the same period. The Russell 2000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Small Cap Index Equity Fund for the quarter ended March 31, 2010 was consistent with the Russell 2000 Index after taking expenses into account.

International Index Equity Fund

The investment objective of the International Index Equity Fund is to replicate, after taking into account Fund expenses, the total rate of return of the MSCI ACWI ex-US Index by investing generally in securities included in such Index. The MSCI ACWI ex-US Index consists of approximately 1,800 securities in 45 markets, with securities of emerging markets representing approximately 20% of the Index.

For the quarter ended March 31, 2010, the International Index Equity Fund experienced a total return, net of expenses, of 1.26%. By comparison, the MSCI ACWI ex-US Index produced an investment record of 1.58% for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the International Index Equity Fund for the quarter ended March 31, 2010 was consistent with the MSCI ACWI ex-US Index after taking expenses into account.

Real Asset Return Fund

The investment objective of the Real Asset Return Fund is to provide capital appreciation in excess of inflation as measured by the All Items Less Food and Energy Consumer Price Index for All Urban Consumers for the U.S. City Average, 1982-84 = 100 through investment in a diversified portfolio of primarily Treasury Inflation Protected Securities, commodity futures and real estate investment trusts.

The Fund seeks to achieve its objective by investing indirectly in various index or other collective investment funds maintained by State Street Bank. During the quarter ended March 31, 2010, these funds included the SSgA/Tuckerman REIT Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund and the SSgA Dow Jones UBS-Commodity Index^SM Non-Lending Series Fund.

The composite benchmark for the Real Asset Return Fund is the composite performance of the benchmarks for the three underlying asset classes to which the Real Asset Return Fund allocates assets. During the quarter ended March 31, 2010, the composite benchmark for the Real Asset Return Fund included the Dow Jones U.S. Select REIT Index, the Dow Jones-UBS Commodity Index and the Barclays Capital U.S. Treasury Inflation Protected Securities Index and were weighted based on the Fund’s target allocations to the asset classes to which such benchmarks relate.

For the quarter ended March 31, 2010, the Fund experienced a total return, net of expenses, of 1.93%. By comparison, the composite benchmark produced an investment record of 2.00% for the same period.

The performance of the Real Asset Return Fund for the quarter ended March 31, 2010 was consistent with its composite benchmark after taking expenses into account.

Retirement Date Funds

The Retirement Date Funds provide a series of balanced investment funds each of which is designed by State Street Bank to correspond to a particular time horizon to retirement. Each Retirement Date Fund has a different initial investment strategy representing different risk and reward characteristics that reflect the remaining time horizon to the most conservative investment mix. The longer the time horizon to the year in which a Retirement Date Fund will reach its most conservative investment mix, the greater

118

is the Retirement Date Fund’s initial risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who have reached or are beyond their retirement date and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has a target equity exposure of 30%). The 2010 Retirement Date Fund currently seeks to provide a blend of capital appreciation and stability of principal for participants planning to retire in or around the year 2010. The 2020 Retirement Date Fund currently seeks to provide long-term capital appreciation and more limited stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2030 and is comprised mainly of stocks for higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2040 and is comprised mainly of stocks for significant growth potential.

The Retirement Date Funds seek to achieve their objectives by investing in various index or other collective investment funds maintained by State Street Bank. During the quarter ended March 31, 2010, these funds included, in the case of some or all of the Retirement Date Funds and in varying allocations, the SSgA U.S. Long Government Bond Index Securities Lending Series Fund, the SSgA U.S. Long Government Bond Index Non-Lending Series Fund, the SSgA U.S. Bond Index Securities Lending Series Fund, the SSgA U.S. Bond Index Non-Lending Series Fund, the SSgA U.S. High Yield Bond Index Non-Lending Series Fund, the SSgA U.S. Short-Term Government/Credit Bond Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund, the SSgA S&P 500^® Index Securities Lending Series Fund, SSgA S&P 500^® Index Non-Lending Series Fund, the SSgA Global Equity ex U.S. Index Securities Lending Series Fund, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund, the SSgA S&P MidCap Index Securities Lending Series Fund, the SSgA S&P MidCap^® Index Non-Lending Series Fund, the SSgA Russell Small Cap^® Index Securities Lending Series Fund, the SSgA Russell Small Cap Index Non-Lending Series Fund and the SSgA/Tuckerman Global Real Estate Securities Index Non-Lending Series Fund.

The composite benchmark for each of the Retirement Date Funds is the composite performance of respective benchmarks for the underlying asset classes to which each of the Retirement Date Funds allocates assets from time to time. During the quarter ended March 31, 2010, the respective benchmarks comprising the composite benchmarks included some or all of the Barclays Capital U.S. Long Government Bond Index, the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital US High Yield Very Liquid Index, the Barclays Capital 1-3 Year Government/Credit Index, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, the S&P 500, the MSCI ACWI ex-US Index, the S&P MidCap 400, the Russell 2000 Index and the FTSE EPRA/NAREIT Global Developed Liquid Index and were weighted based on each Fund’s respective target allocations to the asset classes to which such benchmarks relate.

For the quarter ended March 31, 2010, the Retirement Date Funds experienced a total return, net of expenses, of 2.29% for the Lifetime Income Retirement Date Fund, 2.90% for the 2010 Retirement Date Fund, 3.81% for the 2020 Retirement Date Fund, 4.30% for the 2030 Retirement Date Fund and 4.54% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 2.72%, 3.22%, 4.04%, 4.47% and 4.75%, respectively, for the same period.

The performance of each Retirement Date Fund for the quarter ended March 31, 2010 was consistent with its respective composite benchmark after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2010, the Retirement Date Funds participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the Retirement Date Funds for the quarter ended March 31, 2010 was positively impacted by 0.05 percentage point for the Lifetime Income Retirement Date Fund, 0.11 percentage point for the 2010 Retirement Date Fund, 0.09 percentage point for the 2020 Retirement Date Fund, 0.08 percentage point for the 2030 Retirement Date Fund and 0.07 percentage point for the 2040 Retirement Date Fund as a result of such participation. As discussed below under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” actual returns experienced by Participants in the Funds based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses associated with the State Street Bank securities lending program.

Target Risk Funds

The Target Risk Funds provide a series of balanced investment funds each of which is designed to correspond to a particular investment risk level. Each Target Risk Fund has a different investment strategy representing different risk and reward characteristics. The Conservative Risk Fund seeks to avoid significant loss of principal and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has a target equity exposure of 29%). The Moderate Risk Fund seeks to provide long-term capital appreciation and more limited stability of principal for participants. The Aggressive Risk Fund seeks to provide long-term capital appreciation for participants and is comprised mainly of stocks for maximum growth potential.

119

The Target Risk Funds seek to achieve their objectives by investing in various index or other collective investment funds maintained by State Street Bank. During the quarter ended March 31, 2010, these funds included, in the case of some or all of the Target Risk Funds and in varying allocations, the SSgA Russell All Cap Index Non-Lending Series Fund, the SSgA International Index Non-Lending Series Fund, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund, the SSgA/Tuckerman REIT Index Non-Lending Series Fund, the SSgA U.S. Bond Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund and the SSgA Short Term Investment Fund.

The composite benchmark for each of the Target Risk Funds is the composite performance of respective benchmarks for the underlying asset classes to which each of the Target Risk Funds allocates assets. During the quarter ended March 31, 2010, the respective benchmarks comprising the composite benchmarks included some or all of the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, the Dow Jones U.S. Select REIT Index, the Dow Jones-UBS Commodity Index, the Russell 3000^® Index, the Citigroup 3-Month T-Bill, the MSCI EAFE Index and the MSCI ACWI ex-US Index and were weighted based on each Fund’s respective target allocations to the asset classes to which such benchmarks relate.

For the quarter ended March 31, 2010, the Target Risk Funds experienced a total return, net of expenses, of 2.50% for the Conservative Risk Fund, 3.29% for the Moderate Risk Fund and 4.08% for the Aggressive Risk Fund. By comparison, the composite benchmark for each Target Risk Fund produced an investment record of 2.78%, 3.61% and 4.34%, respectively, for the same period.

The performance of each Target Risk Fund for the quarter ended March 31, 2010 was consistent with its respective composite benchmark after taking expenses into account.

Balanced Fund

Certain assets contributed to the Program are held in the Balanced Fund. However, the Collective Trust no longer offers Units in the Balanced Fund.

The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets. The Fund invests in publicly traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities and money market instruments.

For the quarter ended March 31, 2010, the Balanced Fund experienced a total return, net of expenses, of 3.89%. By comparison, a combination of the Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index, weighted 60%/40%, respectively, produced an investment record of 4.20% for the same period. The Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index do not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Indices or for fund expenses.

For the quarter ended March 31, 2010, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, underperformed the Russell 1000 Index. Refer to a discussion of the investment performance of the Large Cap Equity Fund, above, for a description of the performance of the equity segment of the Balanced Fund for the quarter.

For the quarter ended March 31, 2010, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, outperformed the Barclays Capital U.S. Aggregate Bond Index. Refer to a discussion of the investment performance of the Bond Core Plus Fund, above, for a description of the performance of the debt segment of the Balanced Fund for the quarter.

For the quarter ended March 31, 2010, the Balanced Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds that Participate in Securities Lending,” the financial statement-reported performance of the Balanced Fund for the quarter ended March 31, 2010 was positively impacted by 0.06 percentage point as a result of such participation.

Effect on Performance of Certain Funds that Participate in Securities Lending

The per Unit net asset values of the Funds that participate directly or indirectly in the State Street Bank securities lending program as reflected in their financial statements are based on United States generally accepted accounting principles (“GAAP”) and

120

differ from the per Unit net asset values calculated for purposes of transactions experienced by Participants in their accounts. The difference is driven by the valuation of securities lending cash collateral funds referred to below as “cash collateral funds.”

The Funds referred to above, either directly or indirectly through their investment in other funds and accounts managed by State Street Bank or its affiliates, participate in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” The Funds participating in this program typically receive cash collateral at the time of lending with a value in excess of that of the loaned securities, and collateral is increased or decreased, respectively, as the value of the loaned securities increases or decreases. The cash collateral is invested for the account and risk of the participating funds in the cash collateral funds, which are managed by State Street Bank or its affiliates. For purposes of normal daily transaction activity, these cash collateral funds, as permitted under their governing agreements, value their investments on the basis of amortized cost, rather than current market values, to the extent that an investment is not in default or considered to be impaired. State Street Bank has informed the Collective Trust that none of the securities in the cash collateral funds was in default or considered to be impaired at March 31, 2010 and therefore purchases and redemptions of units in the cash collateral funds continue to be transacted at a value equivalent to $1.00 per unit (100% of principal invested), even though, on a market basis at March 31, 2010, the cash collateral funds had net asset values ranging from $.988 to $.991 per unit. These net asset values compare to values ranging from $.977 to $.984 per unit at December 31, 2009 and $.908 to $.935 per unit at December 31, 2008.

For financial reporting purposes under GAAP, each of these Funds has valued its direct and indirect investments in the cash collateral funds at their market values, and has recognized either unrealized gains or unrealized losses in the financial statements for the quarter ended March 31, 2010. Gains positively impacted, and losses negatively impacted, reported performance of each relevant Fund to the extent stated in its respective discussion under Management’s Discussion and Analysis of Financial Condition and Results of Operations—Quarter Ended March 31, 2010. The unrealized gains were the result of partial reversals of unrealized losses recognized in previous periods. These unrealized losses, net of any previously unrealized gains partially reversing these losses, could further reverse, in whole or in part, over time to the extent that principal is eventually recovered on maturities or higher prices are realized upon sale of the underlying securities, although, as with any investment, such events are not assured of occurring, and future losses could be experienced for financial reporting purposes if the net asset values per unit of the cash collateral funds on a market basis decrease from their March 31, 2010 levels. However, these Funds have continued to value their investments in the cash collateral funds for purposes of Participant transactions at amortized-cost based value used by the cash collateral funds for daily transactions. Accordingly, actual returns experienced by Participants in the Funds based on net asset values for transaction purposes do not reflect the impact of any unrealized gains or losses.

For information on the effect of the unrealized gains or losses described above on the performance for financial reporting purposes of a particular Fund, see the discussion related to performance of such Fund above for the quarter ended March 31, 2010.

Quarter Ended March 31, 2009

Stable Asset Return Fund

The Stable Asset Return Fund seeks to provide current income consistent with the preservation of principal and liquidity. The Fund does not make any direct investments, but invests all of its assets indirectly through the State Street Bank and Trust Company ABA Members/Pooled Stable Asset Fund Trust (“SAFT”), a collective investment fund maintained by State Street Bank and Trust Company (“State Street Bank”). SAFT in turn invests in investment contracts, so-called “Synthetic GICs” with associated underlying assets, and high-quality fixed-income instruments, including by investing a portion of its assets in the State Street Bank and Trust Company Yield Enhanced Short-Term Investment Fund (“YES”) or the State Street Bank and Trust Company Short-Term Investment Fund (the “Short-Term Fund”), a collective investment fund maintained by State Street Bank. In March, SAFT sold out of YES and began investing in the Short-Term Fund. The Short-Term Fund invests in high-quality short-term instruments, including obligations of the United States government, notes, bonds and similar debt instruments of corporations, commercial paper, certificates of deposit and time deposits, bankers’ acceptances, supranational and sovereign debt obligations, asset-backed securities, master notes, promissory notes, funding agreements, variable and indexed interest notes and repurchase agreements.

For the quarter ended March 31, 2009, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.61%. By comparison, a combination of the Ryan Labs Three Year GIC Index and the iMoneyNet MFR Prime Institutional Money Market Fund Average, weighted 70%/30%, respectively, produced an investment record of 0.87% for the same period. The Ryan Labs Three Year GIC Index portion of the combination benchmark does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that index or for fund expenses.

The Stable Asset Return Fund underperformed the combination benchmark for the quarter ended March 31, 2009. The underperformance can be attributed to the more conservative positioning in the portfolio that began in the fourth quarter of 2008 and was maintained throughout the first quarter of 2009. Specifically the Fund’s cash position increased by nearly 6% and the money market component of the benchmark lagged the GIC component by nearly 100 basis points. Additionally, the Fund’s investments are

121

primarily focused on segments of the market, such as U.S. Treasuries, agency debentures and agency mortgage-backed securities, that are thought to have a high degree of support from the U.S. Government. Generally, these types of investments have a relatively higher credit quality but lower yield than traditional GICs. These lower-yielding investments were employed to provide a relatively higher degree of stability for the market-to-book ratio which indicates the value of the underlying investments. During the quarter ended March 31, 2009, the market-to-book ratio for the Fund improved.

Intermediate Bond Fund

The Intermediate Bond Fund’s investment objective is to achieve a total return from current income and capital appreciation by investing in a diversified portfolio of fixed income securities.

For the quarter ended March 31, 2009, the Intermediate Bond Fund experienced a total return, net of expenses, of 0.05%. By comparison, the Barclays Capital U.S. Aggregate Bond Index (f/k/a the Lehman Brothers Aggregate Bond Index) produced an investment record of 0.12% for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the index or for fund expenses.

The Intermediate Bond Fund, which is advised with the assistance of Pacific Investment Management Company LLC, outperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended March 31, 2009 after taking into account expenses.

Interest rate strategies detracted from performance during the quarter, with the Fund maintaining an overweight to duration while U.S. Treasuries yields rose. The portfolio’s allocation to shorter maturities in the U.S. and Europe was positive for returns as their respective yield curves steepened generally over the quarter.

An overweight to high quality agency-backed mortgage pass-through securities contributed to performance as these high quality bonds outpaced U.S. Treasuries, benefiting from more purchases by the Federal Reserve of conforming agency mortgages. However, an emphasis on the bonds of financial companies was a detractor from performance during the quarter. While senior debt holdings of financial companies performed relatively well, subordinated issues fared poorly amid uncertainty about U.S. Government policy. A small allocation to real returns bonds contributed to the performance of the portfolio as investors returned to the TIPS market amid worries about longer-term inflation. Modest exposure to municipal bonds also benefited relative performance as holdings in municipal bonds rallied while investors were drawn to attractive yields as compared to yields on U.S. Treasuries. Small holdings in local currency-denominated emerging market bonds, particularly in Brazil, contributed to performance as local currency rates rallied. Finally, holdings of upper-tier non-agency mortgage securities continued to detract from performance as demand remained weak amid a dearth of liquidity.

For the quarter ended March 31, 2009, the Intermediate Bond Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending,” the financial statement-reported performance of the Intermediate Bond Fund was negatively impacted by 0.34 percentage point as a result of such participation.

International Equity Fund

The International Equity Fund’s investment objective is to seek long-term growth of capital through investment primarily in common stocks of established non-U.S. companies. The Fund seeks to diversify investments broadly among developed and emerging countries and generally to have at least three different countries represented in the portion. The International Equity Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to broad measures of the international (non-U.S.) stock market.

For the quarter ended March 31, 2009, the International Equity Fund experienced a total return, net of expenses, of (11.28)%, with certain securities held by the Fund as of that date having been priced based on their fair value. By comparison, the Morgan Stanley Capital International All-Country World Ex-U.S. Free Index (the “MSCI ACWI ex-US Index”) produced an investment record of (10.71)% for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The portion of the International Equity Fund advised with the assistance of JPMorgan Asset Management (UK) Limited outperformed the MSCI ACWI ex-US Index for the quarter ended March 31, 2009.

The first quarter of 2009 was another volatile period for stocks. The year got off to a rocky start as the global recession deepened, undermining the outlook for corporate profits and re-kindling concerns about the financial system. Encouraging trading statements from several major banks combined with the unveiling of TALF (the Obama administration’s long-awaited plan to deal with banks’ toxic assets) triggered a late-quarter rally that enabled markets to stage a partial comeback in March. Ultimately however, it wasn’t enough to make up for earlier losses and the MSCI ACWI ex-US index posted a third straight quarter of double-digit declines.

122

Losses were again widespread across all sectors and almost all major regions. Stocks in the financials sector continued to struggle but, interestingly, consumer discretionary, technology and materials stocks outperformed defensive sectors like healthcare, utilities and consumer staples.

The energy, consumer discretionary, telecommunication and healthcare sectors were the main contributors to relative performance during the quarter. In contrast, utilities and industrials were among the detracting sectors.

In particular, Petrobras, a Brazilian oil and gas company, BG Group, a United Kingdom oil and gas company, and Burberry were among the largest contributors to relative performance. Both Petrobras and BG Group posted double-digit gains as oil prices showed signs of stabilizing. The two companies are working closely together on a number of projects off the shore of Brazil. Burberry also had a strong quarter. Strong promotional activity, a weak pound sterling and expansion into emerging markets have kept revenues growing for the retailer despite a difficult economic environment.

In contrast, companies in the financials sector were among the portfolio’s worst performers, reflecting the overall weakness of that sector. Axa, a French insurance group, and ING, a Dutch insurance and banking group, both suffered large losses. Turmoil in the financial markets has eaten away at the value of the companies’ investments, raising concerns that they may need additional capital. HSBC, a global bank based in the United Kingdom, also saw declines in its shares. Going against earlier statements, the company cut its dividend and raised additional capital as on going problems at its North American consumer finance unit resulted in large losses.

The portion of the International Equity Fund advised with the assistance of Philadelphia International Advisors, LP outperformed the MSCI ACWI ex-US Index for the quarter ended March 31, 2009. The portfolio’s positions in the consumer discretionary, consumer staples, utilities and energy sectors contributed to relative performance, while holdings in the financials and industrial sectors were among the detractors.

For the quarter ended March 31, 2009, the International Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending,” the financial statement-reported performance of the International Equity Fund was positively impacted by 0.38 percentage point as a result of such participation.

Bond Index Fund

The Bond Index Fund seeks to replicate, after taking into account Fund expenses, the total return of the Barclays Capital U.S. Aggregate Bond Index by investing generally in securities which are representative of the domestic investment grade bond market as included in such index.

From its inception on February 2, 2009 to March 31, 2009, the Bond Index Fund experienced a total return, net of expenses, of 0.91%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of (.21)% for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Bond Index Fund for the period from inception to March 31, 2009 exceeded that of the Barclays Capital U.S. Aggregate Bond Index due primarily to several significant purchases of Fund Units having been made on certain days on which the Barclays Capital U.S. Aggregate Bond Index experienced declines, with the result that the Fund’s performance on such days exceeded that of the index due to the time delay involved in the investment of the proceeds of such Units in the index. Otherwise, the performance of the Fund was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking into account expenses.

Large-Cap Index Equity Fund

The Large-Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total return of the S&P 500 Index by investing generally in securities included in such Index. The S&P 500 Index represents approximately 75% of the U.S. equity market based on the market capitalization of the companies in the S&P 500 Index.

From its inception on February 9, 2009 to March 31, 2009, the Large-Cap Index Equity Fund experienced a total return, net of expenses, of (7.42)%. By comparison, the S&P 500 Index produced an investment record of (8.14)% for the same period. The S&P 500 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Large-Cap Index Equity Fund for the period from inception to March 31, 2009 exceeded that of the S&P 500 Index due primarily to several significant purchases of Fund Units having been made on certain days on which the S&P 500

123

Index experienced significant declines, with the result that the Fund’s performance on such days exceeded that of the index due to the time delay involved in the investment of the proceeds of such Units in the index. Otherwise, the performance of the Fund was consistent with the S&P 500 Index after taking into account expenses.

Index Equity Fund

The Index Equity Fund seeks to replicate the total return of the Russell 3000 Index by investing in stocks included in the Russell 3000 Index, with the overall objective of achieving long-term growth of capital. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on market capitalization of the companies in the Russell 3000 Index.

For the quarter ended March 31, 2009, the Index Equity Fund experienced a total return, net of expenses, of (11.15)%. By comparison, the Russell 3000 Index produced an investment record of (10.80)% for the same period. The Russell 3000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Index Equity Fund for the quarter ended March 31, 2009 was consistent with the Russell 3000 Index after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2009, the Index Equity Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending,” the financial statement-reported performance of the Index Equity Fund was negatively impacted by 0.13 percentage point as a result of such participation.

Mid-Cap Index Equity Fund

The investment objective of the Mid-Cap Index Equity Fund is to replicate, after taking into account Fund expenses, the total return of the S&P MidCap 400 Index by investing generally in securities included in such index. The S&P MidCap 400 Index includes 400 companies and represents approximately 7% of the U.S. equity market based on the market capitalization of the companies in the S&P MidCap 400 Index.

From its inception on February 2, 2009 to March 31, 2009, the Mid-Cap Index Equity Fund experienced a total return, net of expenses, of 1.46%. By comparison, the S&P MidCap 400 Index produced an investment record of (2.25)% for the same period. The S&P MidCap 400 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Mid-Cap Index Equity Fund for the period from inception to March 31, 2009 exceeded that of the S&P MidCap 400 Index due primarily to several significant purchases of Fund Units having been made on certain days on which the S&P MidCap 400 Index experienced significant declines, with the result that the Fund’s performance on such days exceeded that of the index due to the time delay involved in the investment of the proceeds of such Units in the index. Otherwise, the performance of the Fund was consistent with the S&P MidCap 400 Index after taking into account expenses.

Small-Cap Index Equity Fund

The investment objective of the Small-Cap Index Equity Fund is to replicate, after taking into account Fund expenses, the total return of the Russell 2000 Index by investing generally in securities included in such Index. The Russell 2000 Index is comprised of the approximately 2,000 companies in the Russell 3000 index with the smallest market capitalization and represents approximately 10% of the Russell 3000 Index total market capitalization.

From its inception on February 2, 2009 to March 31, 2009, the Small-Cap Index Equity Fund experienced a total return, net of expenses, of (1.64)%. By comparison, the Russell 2000 Index produced an investment record of (5.97)% for the same period. The Russell 2000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the Small-Cap Index Equity Fund for the period from inception to March 31, 2009 exceeded that of the Russell 2000 Index due primarily to several significant purchases of Fund Units having been made on certain days on which the Russell 2000 Index experienced significant declines, with the result that the Fund’s performance on such days exceeded that of the index due to the time delay involved in the investment of the proceeds of such Units in the index. Otherwise, the performance of the Fund was consistent with the Russell 2000 Index after taking into account expenses.

124

International Index Equity Fund

The investment objective of the International Index Equity Fund is to replicate, after taking into account Fund expenses, the total rate of return of the MSCI ACWI ex-US Index by investing generally in securities included in such Index. The MSCI ACWI ex-US Index consists of approximately 2,000 securities in 47 markets, with securities of emerging markets representing approximately 18% of the MSCI ACWI ex-US Index.

From its inception on March 2, 2009 to March 31, 2009, the International Index Equity Fund experienced a total return, net of expenses, of 12.20%. By comparison, the MSCI ACWI ex-US Index produced an investment record of 13.38% for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that index or for fund expenses.

The performance of the International Index Equity Fund for the period from inception to March 31, 2009 lagged that of the MSCI ACWI ex-US Index due primarily to several significant purchases of Fund Units having been made on certain days on which the MSCI ACWI ex-US Index experienced significant increases, with the result that the Fund’s performance on such days lagged that of the index due to the time delay involved in the investment of the proceeds of such Units in the index. Otherwise, the performance of the Fund was consistent with the MSCI ACWI ex-US Index after taking into account expenses.

Retirement Date Funds

The Retirement Date Funds provide a series of balanced investment funds each of which is designed to correspond to a particular time horizon to retirement. Each Retirement Date Fund has a different initial investment strategy representing different risk and reward characteristics that reflect a participant’s anticipated time to expected retirement. The longer the time period to expected retirement, the greater is the Retirement Date Fund’s initial risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who are approaching or are beyond their retirement date and is comprised primarily of bonds, investment contracts and high-quality short-term debt instruments (such as those in which the Stable Asset Return Fund invests), and U.S. Treasury Inflation Protected Securities, to provide stability, income and inflation protection, although this Retirement Date Fund also includes 35% equity exposure. The 2010 Retirement Date Fund currently seeks to provide a blend of capital appreciation and stability of principal for participants planning to retire in or around the year 2010. The 2020 Retirement Date Fund currently seeks to provide long-term capital appreciation and more-limited stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2030 and is comprised mainly of stocks for higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2040 and is comprised mainly of stocks for maximum growth potential.

For the quarter ended March 31, 2009, the Retirement Date Funds experienced a total return, net of expenses, of (2.52)% for the Lifetime Income Retirement Date Fund, (5.46)% for the 2010 Retirement Date Fund, (8.23)% for the 2020 Retirement Date Fund, (9.85)% for the 2030 Retirement Date Fund and (10.28)% for the 2040 Retirement Date Fund. The performance of each Retirement Date Fund for the quarter ended March 31, 2009 was consistent with the relevant composite benchmark after taking into account expenses and the effect of participation in securities lending.

For the quarter ended March 31, 2009, the Retirement Date Funds participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending,” the financial statement-reported performance of the Retirement Date Funds was positively impacted by 0.12 percentage point for the Lifetime Income Retirement Date Fund, 0.78 percentage point for the 2010 Retirement Date Fund, 0.70 percentage point for the 2020 Retirement Date Fund, 0.56 percentage points for the 2030 Retirement Date Fund and 0.41 percentage points for the 2040 Retirement Date Fund as a result of such participation.

Balanced Fund

The Balanced Fund invests in publicly-traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities and money market instruments. The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets.

For the quarter ended March 31, 2009, the Balanced Fund experienced a total return, net of expenses, of (4.76)%. By comparison, a combination of the Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index, weighted 60%/40%,

125

respectively, produced an investment record of (6.12)% for the same period. The Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index do not include an allowance for the fees that an investor would pay for investing in the securities that comprise the indices or for fund expenses.

For the quarter ended March 31, 2009, the equity segment of the Balanced Fund, which is advised with the assistance of Capital Guardian Trust Company, outperformed the Russell 1000 Index benchmark.

During the first quarter of 2009, the equity segment of the Balanced Fund declined, although not as much as did the Russell 1000 Index. The portfolio’s holdings in financial stocks detracted from relative performance, but fewer investments in the commercial banks and good stock selection among capital markets companies mitigated the losses and contributed to relative results. In the healthcare sector, where buyout activity was heavy, stock selection contributed to a better-than-benchmark result. Technology stocks were among the largest contributors to relative performance, particularly those in the computer and peripherals industry. Within the materials sector, securities in metals and mining companies performed poorly and detracted from results.

For the quarter ended March 31, 2009, the debt segment of the Balanced Fund, which is advised with the assistance of Pacific Investment Management Company LLC, outperformed the Barclays Capital U.S. Aggregate Bond Index after taking into account expenses.

Interest rate strategies detracted from performance during the quarter, with the segment maintaining an overweight to duration while U.S. Treasuries yields rose. The portfolio’s allocation to shorter maturities in the U.S. and Europe was positive for returns as their respective yield curves steepened generally over the quarter.

For the quarter ended March 31, 2009, the Balanced Fund participated in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” For the reasons described under “—Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending,” the financial statement-reported performance of the Balanced Fund was negatively impacted by 0.17 percentage point as a result of such participation.

Effect on Performance of Certain Funds and Retirement Date Funds that Participate in Securities Lending

The per Unit net asset values of the Funds and Retirement Date Funds reflected in the financial statements are based on United States generally accepted accounting principles (“GAAP”) and differ from the per Unit net asset values calculated for purposes of transactions experienced by Participants in their accounts. The difference is driven by the valuation of securities lending cash collateral funds referred to below as “cash collateral funds”.

The Funds and Retirement Date Funds referred to above, either directly or indirectly through their investment in other funds and accounts managed by State Street Bank or its affiliates, participate in the State Street Bank securities lending program as described in Note 6 of the “Notes to Financial Statements.” The Funds and Retirement Date Funds participating in this program typically receive cash collateral at the time of lending with a value in excess of that of the loaned securities, and collateral is increased or decreased, respectively, as the value of the loaned securities increases or decreases. The cash collateral is invested for the account and risk of the participating funds in the cash collateral funds, which are managed by State Street Bank or its affiliates. For purposes of normal daily transaction activity, these cash collateral funds, as permitted under their governing agreements, value their investments on the basis of amortized cost, rather than current market values, to the extent that an investment is not in default or considered to be impaired. State Street Bank has informed the Collective Trust that none of the securities in the cash collateral funds was in default or considered to be impaired at March 31, 2009 and therefore purchases and redemptions of units in the cash collateral funds continue to be transacted at a value equivalent to 100% of principal invested, even though, on a market basis at March 31, 2009, the cash collateral funds had net asset values ranging from $.935 to $.954 per unit. These net asset values compare to values ranging from $.908 to $.935 per unit at December 31, 2008.

For financial reporting purposes under GAAP, each of these Funds and Retirement Date Funds has valued their direct and indirect investments in the cash collateral funds at their market values, and has recognized either unrealized gains or unrealized losses in the financial statements for the quarter ended March 31, 2009. Gains positively impacted, and losses negatively impacted, reported

126

performance of each relevant Fund or Retirement Date Fund to the extent stated in their respective discussions under Management’s Discussion and Analysis of Financial Condition and Results of Operations—Quarter Ended March 31, 2009. The unrealized gains were the result of partial reversals of unrealized losses recognized as of December 31, 2008. These unrealized losses, net of any unrealized gains reflected during the quarter ended March 31, 2009, could reverse, in whole or in part, over time to the extent that principal is eventually recovered on maturities or higher prices are realized upon sale of the underlying securities, although, as with any investment, such events are not assured of occurring, and future losses could be experienced for financial reporting purposes if the net asset values per unit of the cash collateral funds on a market basis decrease from their March 31, 2009 levels. However, these Funds and Retirement Date Funds have continued to value their investments in the cash collateral funds for purposes of Participant transactions at amortized-cost based value used by the cash collateral funds for daily transactions. Accordingly, actual returns experienced by Participants in the Funds and Retirement Date Funds based on net asset values for transaction purposes do not reflect any unrealized gains or losses.

For information on the effect of the unrealized gains described above on the performance for financial reporting purposes of a particular Fund or Retirement Date Fund, see the discussion related to performance of such Fund or Retirement Date Fund above for the quarter ended March 31, 2009.

Item 4.

CONTROLS AND PROCEDURES.

Conclusion Regarding the Effectiveness of Disclosure Controls and Procedures: Under the supervision and with the participation of the Chief Executive Officer and Chief Financial Officer, the Collective Trust conducted an evaluation of its disclosure controls and procedures (as such term is defined in Rule 13a-15(e) or 15d-15(e) under the Exchange Act). Based on such evaluation, the Collective Trust’s Chief Executive Officer and Chief Financial Officer have concluded that its disclosure controls and procedures are effective as of March 31, 2010.

Internal Control Over Financial Reporting: Under the supervision and with the participation of the Chief Executive Officer and Chief Financial Officer, the Collective Trust evaluated any change in its internal control over financial reporting that occurred during the fiscal quarter ended March 31, 2010 and determined that there was no change in the Collective Trust’s internal control over financial reporting occurred during the fiscal quarter ended March 31, 2010 that has materially affected, or is reasonably likely to materially affect, the Collective Trust’s internal control over financial reporting.

PART II. OTHER INFORMATION.

Item 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

During the quarter ended March 31, 2010, the Collective Trust issued an aggregate of approximately $143,000,000 in unregistered Units. Such Units were offered and sold in reliance upon the exemption from registration under Rule 180 promulgated under the Securities Act of 1933 relating to exemption from registration of interests and participations issued in connection with certain H.R. 10 plans. Proceeds received by the Collective Trust from the sale or transfer of the Units are applied to the applicable Fund.

Item 6.

EXHIBITS.



31.1		Certification of Monet T. Ewing pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Robert E. Fullam pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Monet T. Ewing pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Robert E. Fullam pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

127

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


	AMERICAN BAR ASSOCIATION MEMBERS/ STATE STREET COLLECTIVE TRUST

May 17, 2010	By:	/s/ Monet T. Ewing
	Name:	Monet T. Ewing
	Title:	Chief Executive Officer

May 17, 2010	By:	/s/ Robert E. Fullam
	Name:	Robert E. Fullam
	Title:	Chief Financial Officer

128

EXHIBIT INDEX



31.1		Certification of Monet T. Ewing pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Robert E. Fullam pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Monet T. Ewing pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Robert E. Fullam pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

129

For the Period Ended March 31, 2010

Purchases

Bond Core Plus Fund