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

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EX-32.1 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex321.htm
EX-31.1 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex311.htm
EX-31.2 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex312.htm
EX-32.2 - CERTIFICATION - AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR	dex322.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 June 30, 2011

¨	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/

NORTHERN TRUST COLLECTIVE TRUST

(Exact Name of Registrant as Specified in Its Charter)


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

50 South LaSalle Street Chicago, Illinois		60603
(Address of Principal Executive Offices)		(Zip Code)

(312) 630-6000

(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


	Page
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


		Page
	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

	Collective Trust		85
	Combined Statement of Assets and Liabilities		85
	Combined Statement of Operations		87
	Combined Statement of Changes in Net Assets		88

	Notes to Financial Statements (Unaudited)		89

	Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		124

	Item 4. Controls and Procedures		143

PART II.	OTHER INFORMATION		144

	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		144

	Item 6. Exhibits		144

SIGNATURES			145

PART I. FINANCIAL INFORMATION.

Item 1.

FINANCIAL STATEMENTS (UNAUDITED).

American Bar Association Members/Northern Trust Collective Trust

Stable Asset Return Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments, at value (including Wrapper Contracts, at Value of $4,050,825 and $0, respectively) (cost $857,098,086 and $858,340,833, respectively)	$	880,650,777		$	871,972,224
Northern Trust Global Investments—Government Short Term Investment Fund (cost $109,669,845 and $117,393,773, respectively)		109,669,845			117,393,773
Receivable for fund units sold		197,098			—
Interest and dividends receivable		878			23,255
Other assets		285			—

Total assets		990,518,883			989,389,252

Liabilities
Payable for fund units redeemed		—			2,478,152
Investment advisory fee payable		—			217,418
ING—program fee payable		413,413			432,908
Trustee, management and administration fees payable		69,893			75,108
ABA Retirement Funds—program fee payable		57,341			61,088
Payable for legal and audit services		—	(a)		86,401
Other accruals		317,018			117,794

Total liabilities		857,665			3,468,869

Net Assets at fair value		989,661,218			985,920,383

Adjustment from fair value to contract value for fully benefit responsive contracts		(23,552,691	)		(13,631,391	)


Net Assets (equivalent to $35.84 and $35.65 per unit based on 26,955,986 and 27,272,253 units outstanding, respectively)	$	966,108,527		$	972,288,992

(a)	Payable for legal and audit services fee is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Stable Asset Return Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011		For the period April 1, 2010 to June 30, 2010		For the period January 1, 2011 to June 30, 2011		For the period January 1, 2010 to June 30, 2010
Investment income
Dividends	$	4,536,295	$	5,303,300	$	9,394,246	$	10,928,981
Interest—affiliated issuers		44,109		—		92,767		—

Total investment income		4,580,404		5,303,300		9,487,013		10,928,981

Expenses
ING—program fee		1,255,220		1,293,035		2,518,581		2,570,517
Trustee, management and administration fees		213,356		243,787		426,745		488,549
Investment advisory fee		361,396		—		719,037		—
ABA Retirement Funds—program fee		175,136		181,939		349,560		364,120
Legal and audit fees		75,478		105,264		152,049		213,031
Compliance consultant fees		39,647		77,711		79,864		157,270
Reports to unitholders		6,377		58,283		12,836		117,952
Registration fees		52,649		11,657		106,058		23,591
Other fees		9,530		43,094		19,160		87,213

Total expenses		2,188,789		2,014,770		4,383,890		4,022,243

Net investment income (loss)		2,391,615		3,288,530		5,103,123		6,906,738


Net increase (decrease) in net assets resulting from operations	$	2,391,615	$	3,288,530	$	5,103,123	$	6,906,738

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

American Bar Association Members/Northern Trust Collective Trust

Stable Asset Return Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	5,103,123

Net increase (decrease) in net assets resulting from operations		5,103,123


From unitholder transactions
Proceeds from units issued		142,239,209
Cost of units redeemed		(153,522,797	)

Net increase (decrease) in net assets from unitholder transactions		(11,283,588	)


Net increase (decrease) in net assets		(6,180,465	)

Net Assets
Beginning of period		972,288,992

End of period	$	966,108,527


Number of units
Outstanding-beginning of period		27,272,253
Issued		3,978,492
Redeemed		(4,294,759	)

Outstanding-end of period		26,955,986

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

American Bar Association Members/Northern Trust Collective Trust

Stable Asset Return Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	0.17		$	0.19		$	0.35		$	0.39
Expenses†,††		(0.08	)		(0.07	)		(0.16	)		(0.14	)

Net investment income (loss)		0.09			0.12			0.19			0.25
Net realized and unrealized gain (loss)		—			—			—			—

Net increase (decrease) in unit value		0.09			0.12			0.19			0.25
Net asset value at beginning of period		35.75			35.35			35.65			35.22

Net asset value at end of period	$	35.84		$	35.47		$	35.84		$	35.47


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.91	%		0.82	%		0.92	%		0.82	%
Ratio of net investment income (loss) to average net assets*		0.99	%		1.34	%		1.07	%		1.41	%
Total return**		0.25	%		0.34	%		0.53	%		0.71	%
Net assets at end of period (in thousands)	$	966,109		$	989,888		$	966,109		$	989,888

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††	Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests.

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

American Bar Association Members/Northern Trust Collective Trust

Bond Core Plus Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments, at value (cost $331,095,816 and $379,530,896, respectively)	$	336,543,978	^(a)	$	377,219,613	^(b)
Investments in collective investment funds, at value (cost $34,404,928 and $29,724,352, respectively)		34,069,032			29,486,260
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $811,652 and units of 0 and 811,652, respectively)		—			811,652
Foreign currency, at value (cost $39,531 and $377,392, respectively)		39,900			384,300
Cash held at broker (Restricted $0)		8,000			—
Deposit with broker for open swap contracts		30,000			1,010,000
Deposit with broker for investments sold on TBA commitment transactions		960,000			653,000
Receivable for investments sold on TBA commitment transactions		39,611,641			88,944,496
Receivable for investments sold		119,031,766			64,515,525
Receivable for fund units sold		14,233			—
Interest and dividends receivable		2,360,568			2,615,814
Receivable for futures variation margin		50,800			2,800
Unrealized appreciation of forward currency exchange contracts		30,909			80,308
Swap premiums paid		40,529			47,124
Unrealized appreciation on swap agreements		458,554			388,862
Other assets		38			—

Total assets		533,249,948			566,159,754

Liabilities
Securities sold, not yet purchased, at fair value (proceeds $37,404,531 and $20,061,562, respectively)		37,201,452			20,012,349
Options written, at value (premium received $23,460 and $0, respectively)		19,550			—
Due to custodian		914,446			6,657
Payable for cash collateral received on securities loaned		34,404,928			29,724,352
Payable for investments purchased on TBA commitment transactions		25,053,438			115,200,156
Payable for investments purchased		60,229,915			18,097,210
Payable for fund units redeemed		2,200,000			760,491
Swap premiums received		17,847			29,823
Unrealized depreciation on swap agreements		287,446			292,117
Due to broker for open swap contracts		260,000			813,000
Due to broker for investments purchased on TBA commitment transactions		936,250			936,250
Payable for futures variation margin		102,288			—
Unrealized depreciation of forward currency exchange contracts		274,618			738,989
Investment advisory fee payable		77,662			89,288
ING—program fee payable		164,008			173,257
Trustee, management and administration fees payable		27,756			30,100
ABA Retirement Funds—program fee payable		22,762			24,484
Other accruals		124,155			79,517

Total liabilities		162,318,521			187,008,040

Net Assets (equivalent to $26.17 and $25.61 per unit based on 14,172,649 and 14,807,254 units outstanding, respectively)	$	370,931,427		$	379,151,714

(a)	Includes securities on loan with a value of $33,725,267 (See Note 6).

(b)	Includes securities on loan with a value of $29,129,396 (See Note 6).

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

American Bar Association Members/Northern Trust Collective Trust

Bond Core Plus Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Dividends (net of foreign tax expense of $0, $0, $0, and $26, respectively)	$	28,125		$	42,093		$	56,250		$	74,129
Interest		2,661,465			3,504,959			5,673,338			7,486,196
Interest—affiliated issuers		1,443			—			21,142			—
Securities lending income, net		12,980			7,148			22,009			14,112

Total investment income		2,704,013			3,554,200			5,772,739			7,574,437


Expenses
ING—program fee		492,555			503,470			988,486			1,000,000
Trustee, management and administration fees		83,739			94,899			167,485			190,031
Investment advisory fee		236,525			261,843			455,653			523,763
ABA Retirement Funds—program fee		68,738			70,836			137,192			141,647
Legal and audit fees		29,568			40,992			59,593			82,852
Compliance consultant fees		15,531			30,263			31,301			61,167
Reports to unitholders		2,498			22,697			5,031			45,875
Registration fees		20,625			4,539			41,568			9,174
Other fees		5,583			16,782			10,309			33,919

Total expenses		955,362			1,046,321			1,896,618			2,088,428


Net investment income (loss)		1,748,651			2,507,879			3,876,121			5,486,009


Net realized and unrealized gain (loss)

Net realized gain (loss) on:
Investments		(185,185	)		4,566,002			(3,629,905	)		5,923,221
Foreign currency transactions		(664,292	)		(462,543	)		(1,023,986	)		(100,868	)
Futures contracts		272,513			1,261,641			282,665			2,241,768
Swap contracts		—			70,523			—			195,107

Net realized gain (loss)		(576,964	)		5,435,623			(4,371,226	)		8,259,228


Change in net unrealized appreciation (depreciation) on:
Investments		4,404,156			2,626,715			7,818,736			3,090,514
Foreign currency transactions		478,073			596,196			413,143			758,463
Futures contracts		209,854			(106,658	)		435,771			598,458
Swap contracts		26,391			478,351			80,634			359,492
Written options		(2,012	)		—			3,910			—

Change in net unrealized appreciation (depreciation)		5,116,462			3,594,604			8,752,194			4,806,927


Net realized and unrealized gain (loss)		4,539,498			9,030,227			4,380,968			13,066,155


Net increase (decrease) in net assets resulting from operations	$	6,288,149		$	11,538,106		$	8,257,089		$	18,552,164

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

American Bar Association Members/Northern Trust Collective Trust

Bond Core Plus Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	3,876,121
Net realized gain (loss)		(4,371,226	)
Change in net unrealized appreciation (depreciation)		8,752,194

Net increase (decrease) in net assets resulting from operations		8,257,089


From unitholder transactions
Proceeds from units issued		25,354,395
Cost of units redeemed		(41,831,771	)

Net increase (decrease) in net assets from unitholder transactions		(16,477,376	)

Net increase (decrease) in net assets		(8,220,287	)

Net Assets
Beginning of period		379,151,714

End of period	$	370,931,427


Number of units
Outstanding-beginning of period		14,807,254
Issued		980,546
Redeemed		(1,615,151	)

Outstanding-end of period		14,172,649

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

American Bar Association Members/Northern Trust Collective Trust

Bond Core Plus Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	0.19		$	0.23		$	0.40		$	0.48
Expenses†,††		(0.07	)		(0.06	)		(0.13	)		(0.13	)

Net investment income (loss)		0.12			0.17			0.27			0.35
Net realized and unrealized gain (loss)		0.31			0.58			0.29			0.84

Net increase (decrease) in unit value		0.43			0.75			0.56			1.19
Net asset value at beginning of period		25.74			24.53			25.61			24.09

Net asset value at end of period	$	26.17		$	25.28		$	26.17		$	25.28


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		1.02	%		1.10	%		1.01	%		1.09	%
Ratio of net investment income (loss) to average net assets*		1.86	%		2.63	%		2.07	%		2.87	%
Portfolio turnover**,†††		56	%		223	%		162	%		377	%
Total return**		1.67	%		3.06	%		2.19	%		4.94	%
Net assets at end of period (in thousands)	$	370,931		$	377,563		$	370,931		$	377,563

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††	Expenses include only those expenses charged directly to the Fund and do 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/Northern Trust Collective Trust

Large Cap Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments, at value (cost $605,633,058 and $615,029,284, respectively)	$	769,059,838	^(a)	$	770,762,769	^(b)
Investments in collective investment funds, at value (cost $65,884,368 and $97,823,074, respectively)		65,383,563			98,849,450
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $12,301,884 and $11,753,747 and units of 12,301,884 and 11,753,747, respectively)		12,301,884			11,753,747
Receivable for investments sold		2,156,920			2,268,053
Receivable for fund units sold		2,200,000			—
Interest and dividends receivable		924,052			915,063
Tax reclaims receivable		44,955			28,085

Total assets		852,071,212			884,577,167

Liabilities
Due to custodian		—			2,141
Payable for cash collateral received on securities loaned		34,411,791			74,079,560
Payable for investments purchased		4,617,958			692,830
Payable for fund units redeemed		1,803,079			2,047,339
Investment advisory fee payable		192,301			191,636
ING—program fee payable		357,151			343,228
Trustee, management and administration fees payable		60,393			59,617
ABA Retirement Funds—program fee payable		49,548			48,480
Other accruals		268,346			176,617

Total liabilities		41,760,567			77,641,448

Net Assets (equivalent to $14.99 and $14.03 per unit based on 54,043,216 and 57,526,392 units outstanding, respectively)	$	810,310,645		$	806,935,719

(a)	Includes securities on loan with a value of $33,626,927 (See Note 6).

(b)	Includes securities on loan with a value of $72,424,395 (See Note 6).

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011		For the period January 1, 2010 to June 30, 2010
Investment income
Dividends (net of foreign tax expense of $0, $15,857, $0, and $17,231, respectively)	$	3,616,253		$	2,294,046		$	6,828,625	$	5,874,535
Interest—affiliated issuers		8,692			—			17,473		—
Securities lending income, net		12,267			28,906			34,373		79,013

Total investment income		3,637,212			2,322,952			6,880,471		5,953,548

Expenses
ING—program fee		1,086,686			1,017,401			2,155,586		2,044,680
Trustee, management and administration fees		184,776			188,989			365,354		386,017
Investment advisory fee		579,296			528,420			1,149,414		1,039,747
ABA Retirement Funds—program fee		151,678			145,502			299,286		291,999
Legal and audit fees		64,304			82,843			129,130		169,790
Compliance consultant fees		33,777			61,159			67,826		125,348
Reports to unitholders		5,432			45,869			10,901		94,011
Registration fees		44,855			9,174			90,072		18,802
Other fees		8,122			33,917			16,272		69,513

Total expenses		2,158,926			2,113,274			4,283,841		4,239,907


Net investment income (loss)		1,478,286			209,678			2,596,630		1,713,641


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		19,459,374			6,728,226			45,559,610		63,737,068

Net realized gain (loss)		19,459,374			6,728,226			45,559,610		63,737,068


Change in net unrealized appreciation (depreciation) on:
Investments		(11,917,858	)		(100,481,526	)		6,166,114		(117,638,638	)
Foreign currency transactions		—			—			3		—

Change in net unrealized appreciation (depreciation)		(11,917,858	)		(100,481,526	)		6,166,117		(117,638,638	)


Net realized and unrealized gain (loss)		7,541,516			(93,753,300	)		51,725,727		(53,901,570	)

Net increase (decrease) in net assets resulting from operations	$	9,019,802		$	(93,543,622	)	$	54,322,357	$	(52,187,929	)

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	2,596,630
Net realized gain (loss) from investments and foreign currency transactions		45,559,610
Change in net unrealized appreciation (depreciation)		6,166,117

Net increase (decrease) in net assets resulting from operations		54,322,357


From unitholder transactions
Proceeds from units issued		31,223,544
Cost of units redeemed		(82,170,975	)

Net increase (decrease) in net assets from unitholder transactions		(50,947,431	)


Net increase (decrease) in net assets		3,374,926

Net Assets
Beginning of period		806,935,719

End of period	$	810,310,645

Number of units
Outstanding-beginning of period		57,526,392
Issued		2,123,302
Redeemed		(5,606,478	)

Outstanding-end of period		54,043,216

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	0.07		$	0.03		$	0.13		$	0.09
Expenses†,††		(0.04	)		(0.04	)		(0.08	)		(0.07	)

Net investment income (loss)		0.03			(0.01	)		0.05			0.02
Net realized and unrealized gain (loss)		0.13			(1.51	)		0.91			(0.90	)

Net increase (decrease) in unit value		0.16			(1.52	)		0.96			(0.88	)
Net asset value at beginning of period		14.83			12.79			14.03			12.15

Net asset value at end of period	$	14.99		$	11.27		$	14.99		$	11.27


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		1.06	%		1.09	%		1.06	%		1.08	%
Ratio of net investment income (loss) to average net assets*		0.73	%		0.11	%		0.64	%		0.44	%
Portfolio turnover**,†††		13	%		9	%		32	%		88	%
Total return**		1.08	%		(11.88	)%		6.84	%		(7.24	)%
Net assets at end of period (in thousands)	$	810,311		$	697,772		$	810,311		$	697,772

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††	Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests.

†††	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/Northern Trust Collective Trust

Small-Mid Cap Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments, at value (cost $245,279,474 and $227,724,348, respectively)	$	295,958,834	^(a)	$	292,662,140	^(b)
Investments in collective investment funds, at value (cost $79,883,519 and $138,560,174, respectively)		79,218,582			138,034,316
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $6,321,846 and $6,510,912 and units of 6,321,846 and 6,510,912, respectively)		6,321,846			6,510,912
Receivable for investments sold		3,070,859			1,840,260
Interest and dividends receivable		246,078			258,002
Tax reclaims receivable		3,655			4,109

Total assets		384,819,854			439,309,739

Liabilities
Payable for cash collateral received on securities loaned		66,374,658			127,436,357
Payable for investments purchased		5,059,135			912,845
Payable for fund units redeemed		190,124			946,349
Investment advisory fee payable		122,017			124,067
ING—program fee payable		139,904			130,216
Trustee, management and administration fees payable		23,658			22,604
ABA Retirement Funds—program fee payable		19,400			18,381
Other accruals		104,330			67,702

Total liabilities		72,033,226			129,658,521


Net Assets (equivalent to $17.82 and $16.56 per unit based on 17,550,449 and 18,701,043 units outstanding, respectively)	$	312,786,628		$	309,651,218

(a)	Includes securities on loan with a value of $64,761,761 (See Note 6).

(b)	Includes securities on loan with a value of $124,279,421 (See Note 6).

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

American Bar Association Members/Northern Trust Collective Trust

Small-Mid Cap Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Dividends (net of foreign tax expense of $424, $0, $52, and $79, respectively)	$	908,117		$	893,271		$	1,920,690		$	1,832,598
Interest—affiliated issuers		3,645			—			7,848			—
Securities lending income, net		94,563			69,007			178,809			156,994

Total investment income		1,006,325			962,278			2,107,347			1,989,592


Expenses
ING—program fee		428,882			383,557			841,119			750,571
Trustee, management and administration fees		72,899			71,609			142,556			142,022
Investment advisory fee		376,246			360,781			746,583			716,826
ABA Retirement Funds—program fee		59,841			54,837			116,780			107,176
Legal and audit fees		25,157			31,244			50,259			62,348
Compliance consultant fees		13,215			23,066			26,399			46,029
Reports to unitholders		2,125			17,299			4,243			34,521
Registration fees		17,549			3,460			35,058			6,904
Other fees		3,177			12,824			6,763			25,525

Total expenses		999,091			958,677			1,969,760			1,891,922


Net investment income (loss)		7,234			3,601			137,587			97,670


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		21,758,447			10,327,934			37,522,292			25,641,414
Foreign currency transactions		—			(405	)		—			(405	)

Net realized gain (loss)		21,758,447			10,327,529			37,522,292			25,641,009


Change in net unrealized appreciation (depreciation) on:
Investments		(25,022,841	)		(38,193,147	)		(14,397,511	)		(27,151,702	)
Foreign currency transactions		—			(44	)		—			(240	)

Change in net unrealized appreciation (depreciation)		(25,022,841	)		(38,193,191	)		(14,397,511	)		(27,151,942	)


Net realized and unrealized gain (loss)		(3,264,394	)		(27,865,662	)		23,124,781			(1,510,933	)


Net increase (decrease) in net assets resulting from operations	$	(3,257,160	)	$	(27,862,061	)	$	23,262,368		$	(1,413,263	)

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

American Bar Association Members/Northern Trust Collective Trust

Small-Mid Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	137,587
Net realized gain (loss) from investments and foreign currency transactions		37,522,292
Change in net unrealized appreciation (depreciation)		(14,397,511	)

Net increase (decrease) in net assets resulting from operations		23,262,368


From unitholder transactions
Proceeds from units issued		14,230,708
Cost of units redeemed		(34,357,666	)

Net increase (decrease) in net assets from unitholder transactions		(20,126,958	)


Net increase (decrease) in net assets		3,135,410

Net Assets
Beginning of period		309,651,218

End of period	$	312,786,628

Number of units
Outstanding-beginning of period		18,701,043
Issued		815,297
Redeemed		(1,965,891	)

Outstanding-end of period		17,550,449

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

American Bar Association Members/Northern Trust Collective Trust

Small-Mid Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	0.06		$	0.05		$	0.12		$	0.10
Expenses†,††		(0.06	)		(0.05	)		(0.11	)		(0.09	)

Net investment income (loss)		—			—			0.01			0.01
Net realized and unrealized gain (loss)		(0.18	)		(1.41	)		1.25			(0.13	)

Net increase (decrease) in unit value		(0.18	)		(1.41	)		1.26			(0.12	)
Net asset value at beginning of period		18.00			14.61			16.56			13.32

Net asset value at end of period	$	17.82		$	13.20		$	17.82		$	13.20


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		1.26	%		1.32	%		1.25	%		1.32	%
Ratio of net investment income (loss) to average net assets*		0.01	%		0.00	%***		0.09	%		0.07	%
Portfolio turnover**,†††		42	%		39	%		64	%		64	%
Total return**		(1.00	)%		(9.65	)%		7.61	%		(0.90	)%
Net assets at end of period (in thousands)	$	312,787		$	259,786		$	312,787		$	259,786

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

***	Amounts less than 0.005% are rounded to zero.

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

††	Expenses include only those expenses charged directly to the Fund and do 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/Northern Trust Collective Trust

International All Cap Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments, at value (cost $142,395,047 and $140,011,607, respectively)	$	162,856,145	(a)	$	159,857,822	(b)
Investments in collective investment funds, at value (cost $13,773,430 and $16,297,602, respectively)		13,673,676			16,696,553
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $4,064,258 and $3,830,446 and units of 4,064,258 and 3,830,446, respectively)		4,064,258			3,830,446
Foreign currency, at value (cost $960,046 and $491,659, respectively)		968,571			515,235
Receivable for investments sold		265,021			384,883
Receivable for fund units sold		16,936			—
Interest and dividends receivable		519,441			151,178
Unrealized appreciation of forward currency exchange contracts		189			44
Tax reclaims receivable		447,871			397,033

Total assets		182,812,108			181,833,194

Liabilities
Payable for cash collateral received on securities loaned		6,553,806			9,120,065
Payable for investments purchased		1,079,215			89,105
Payable for fund units redeemed		—			349,987
Unrealized depreciation of forward currency exchange contracts		581			130
Investment advisory fee payable		74,924			68,776
ING—program fee payable		77,132			70,586
Trustee, management and administration fees payable		13,048			12,265
ABA Retirement Funds—program fee payable		10,711			9,974
Other accruals		57,314			39,805

Total liabilities		7,866,731			9,760,693

Net Assets (equivalent to $28.78 and $27.30 per unit based on 6,078,670 and 6,302,196 units outstanding, respectively)	$	174,945,377		$	172,072,501

(a)	Includes securities on loan with a value of $6,259,077 (See Note 6).

(b)	Includes securities on loan with a value of $8,869,194 (See Note 6).

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

American Bar Association Members/Northern Trust Collective Trust

International All Cap Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Dividends (net of foreign tax expense of $132,963, $0, $209,202 and $61,443, respectively)	$	2,443,942		$	1,885,826		$	3,351,759		$	2,861,498
Interest—affiliated issuers		2,707			—			4,691			—
Securities lending income, net		45,723			32,229			55,697			39,092

Total investment income		2,492,372			1,918,055			3,412,147			2,900,590


Expenses
ING—program fee		233,504			204,336			461,038			413,003
Trustee, management and administration fees		39,725			38,441			78,161			78,469
Investment advisory fee		216,377			185,189			425,309			379,777
ABA Retirement Funds—program fee		32,610			29,214			64,028			58,971
Legal and audit fees		13,844			16,641			27,575			34,294
Compliance consultant fees		7,272			12,285			14,484			25,317
Reports to unitholders		1,170			9,214			2,328			18,988
Registration fees		9,657			1,843			19,234			3,798
Other fees		1,825			6,812			3,795			14,039

Total expenses		555,984			503,975			1,095,952			1,026,656


Net investment income (loss)		1,936,388			1,414,080			2,316,195			1,873,934


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		2,213,739			1,480,758			6,667,831			7,478,510
Foreign currency transactions		74,216			(750,673	)		105,333			(326,894	)

Net realized gain (loss)		2,287,955			730,085			6,773,164			7,151,616


Change in net unrealized appreciation (depreciation) on:
Investments		(544,969	)		(24,109,255	)		116,178			(28,382,788	)
Foreign currency transactions		10,714			2,446			(18,920	)		10,287

Change in net unrealized appreciation (depreciation)		(534,255	)		(24,106,809	)		97,258			(28,372,501	)


Net realized and unrealized gain (loss)		1,753,700			(23,376,724	)		6,870,422			(21,220,885	)


Net increase (decrease) in net assets resulting from operations	$	3,690,088		$	(21,962,644	)	$	9,186,617		$	(19,346,951	)

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

American Bar Association Members/Northern Trust Collective Trust

International All Cap Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	2,316,195
Net realized gain (loss) from investments and foreign currency transactions		6,773,164
Change in net unrealized appreciation (depreciation)		97,258

Net increase (decrease) in net assets resulting from operations		9,186,617


From unitholder transactions
Proceeds from units issued		13,506,807
Cost of units redeemed		(19,820,548	)

Net increase (decrease) in net assets from unitholder transactions		(6,313,741	)


Net increase (decrease) in net assets		2,872,876

Net Assets
Beginning of period		172,072,501

End of period	$	174,945,377


Number of units
Outstanding-beginning of period		6,302,196
Issued		481,013
Redeemed		(704,539	)

Outstanding-end of period		6,078,670

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

American Bar Association Members/Northern Trust Collective Trust

International All Cap Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	0.40		$	0.29		$	0.55		$	0.44
Expenses†,††		(0.09	)		(0.08	)		(0.17	)		(0.16	)

Net investment income (loss)		0.31			0.21			0.38			0.28
Net realized and unrealized gain (loss)		0.29			(3.55	)		1.10			(3.21	)

Net increase (decrease) in unit value		0.60			(3.34	)		1.48			(2.93	)
Net asset value at beginning of period		28.18			25.32			27.30			24.91

Net asset value at end of period	$	28.78		$	21.98		$	28.78		$	21.98


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		1.26	%		1.30	%		1.26	%		1.30	%
Ratio of net investment income (loss) to average net assets*		4.40	%		3.65	%		2.67	%		2.37	%
Portfolio turnover**,†††		10	%		13	%		22	%		74	%
Total return**		2.13	%		(13.19	)%		5.42	%		(11.76	)%
Net assets at end of period (in thousands)	$	174,945		$	142,824		$	174,945		$	142,824

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††	Expenses include only those expenses charged directly to the Fund and do 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/Northern Trust Collective Trust

Bond Index Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in collective investment funds, at value:
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $60,858,034 and $54,048,934 and units of 5,622,280 and 5,051,720, respectively)	$	64,538,155	$	56,452,974
Cash		—		739
Receivable for fund units sold		31,498		413,741
Other assets		63		—

Total assets		64,569,716		56,867,454

Liabilities
Payable for investments purchased		31,498		413,741
Investment advisory fee payable		11,357		—
ING—program fee payable		27,441		25,198
Trustee, management and administration fees payable		4,633		4,385
ABA Retirement Funds—program fee payable		3,809		3,566
Payable for legal and audit services		5,582		—	(a)
Payable for compliance consultant fees		6,178		—	(b)
Other accruals		6,963		21,814

Total liabilities		97,461		468,704


Net Assets (equivalent to $12.60 and $12.32 per unit based on 5,115,448 and 4,578,551 units outstanding, respectively)	$	64,472,255	$	56,398,750

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Bond Index Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		78,111			57,203			151,985			107,766
Trustee, management and administration fees		13,288			10,793			25,765			20,479
Investment advisory fee		6,110			4,284			12,181			8,174
ABA Retirement Funds—program fee		10,907			8,047			21,106			15,258
Legal and audit fees		4,778			4,659			9,261			8,920
Compliance consultant fees		2,510			3,439			4,864			6,585
Reports to unitholders		404			2,579			782			4,938
Registration fees		3,333			516			6,460			988
Other fees		604			1,908			1,168			3,652

Total expenses		120,045			93,428			233,572			176,760


Net investment income (loss)		(120,045	)		(93,428	)		(233,572	)		(176,760	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		130,618			41,419			300,982			95,717

Net realized gain (loss)		130,618			41,419			300,982			95,717

Change in net unrealized appreciation (depreciation) on:
Investments		1,186,213			1,485,580			1,276,081			2,109,569

Change in net unrealized appreciation (depreciation)		1,186,213			1,485,580			1,276,081			2,109,569

Net realized and unrealized gain (loss)		1,316,831			1,526,999			1,577,063			2,205,286


Net increase (decrease) in net assets resulting from operations	$	1,196,786		$	1,433,571		$	1,343,491		$	2,028,526

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

American Bar Association Members/Northern Trust Collective Trust

Bond Index Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(233,572	)
Net realized gain (loss)		300,982
Change in net unrealized appreciation (depreciation)		1,276,081

Net increase (decrease) in net assets resulting from operations		1,343,491


From unitholder transactions
Proceeds from units issued		16,467,259
Cost of units redeemed		(9,737,245	)

Net increase (decrease) in net assets from unitholder transactions		6,730,014

Net increase (decrease) in net assets		8,073,505

Net Assets
Beginning of period		56,398,750

End of period	$	64,472,255


Number of units
Outstanding-beginning of period		4,578,551
Issued		1,322,179
Redeemed		(785,282	)

Outstanding-end of period		5,115,448

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

American Bar Association Members/Northern Trust Collective Trust

Bond Index Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.02	)		(0.03	)		(0.05	)		(0.05	)

Net investment income (loss)		(0.02	)		(0.03	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss)		0.27			0.43			0.33			0.63

Net increase (decrease) in unit value		0.25			0.40			0.28			0.58
Net asset value at beginning of period		12.35			11.83			12.32			11.65

Net asset value at end of period	$	12.60		$	12.23		$	12.60		$	12.23


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.78	%		0.86	%		0.80	%		0.86	%
Ratio of net investment income (loss) to average net assets*		(0.78	)%		(0.86	)%		(0.80	)%		(0.86	)%
Portfolio turnover**,†††		3	%		3	%		7	%		9	%
Total return**		2.02	%		3.38	%		2.27	%		4.98	%
Net assets at end of period (in thousands)	$	64,472		$	46,340		$	64,472		$	46,340

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.020% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Large Cap Index Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $113 and units of 0 and 113, respectively)	$	—	$	113
Investments in collective investment funds, at value:
SSgA S&P 500^® Index Non-Lending Series Fund Class A (cost $55,486,071 and $47,692,232 and units of 2,900,495 and 2,603,083, respectively)		65,136,406		55,135,902
Receivable for investments sold		115,510		—
Receivable for fund units sold		—		433,088

Total assets		65,251,916		55,569,103

Liabilities
Payable for investments purchased		—		433,088
Payable for fund units redeemed		115,510		—
Investment advisory fee payable		5,926		—
ING—program fee payable		28,002		22,068
Trustee, management and administration fees payable		4,707		3,839
ABA Retirement Funds—program fee payable		3,873		3,122
Payable for legal and audit services		5,744		—	(a)
Other Accruals		14,081		16,084

Total liabilities		177,843		478,201

Net Assets (equivalent to $18.91 and $17.90 per unit based on 3,441,116 and 3,076,880 units outstanding, respectively)	$	65,074,073	$	55,090,902

(a)	Payable for legal and audit services fee is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		83,321			53,032			158,956			99,651
Trustee, management and administration fees		14,142			10,016			26,920			18,956
Investment advisory fee		3,050			1,978			5,995			3,774
ABA Retirement Funds—program fee		11,609			7,469			22,054			14,117
Legal and audit fees		4,962			4,321			9,612			8,269
Compliance consultant fees		2,607			3,190			5,049			6,105
Reports to unitholders		419			2,393			811			4,579
Registration fees		3,462			479			6,705			916
Other fees		649			1,769			1,237			3,385

Total expenses		124,221			84,647			237,339			159,752


Net investment income (loss)		(124,221	)		(84,647	)		(237,339	)		(159,752	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		797,910			87,278			1,225,849			232,670

Net realized gain (loss)		797,910			87,278			1,225,849			232,670

Change in net unrealized appreciation (depreciation) on:
Investments		(723,890	)		(5,053,422	)		2,206,665			(3,261,946	)

Change in net unrealized appreciation (depreciation)		(723,890	)		(5,053,422	)		2,206,665			(3,261,946	)

Net realized and unrealized gain (loss)		74,020			(4,966,144	)		3,432,514			(3,029,276	)


Net increase (decrease) in net assets resulting from operations	$	(50,201	)	$	(5,050,791	)	$	3,195,175		$	(3,189,028	)

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(237,339	)
Net realized gain (loss)		1,225,849
Change in net unrealized appreciation (depreciation)		2,206,665

Net increase (decrease) in net assets resulting from operations		3,195,175


From unitholder transactions
Proceeds from units issued		19,853,992
Cost of units redeemed		(13,065,996	)

Net increase (decrease) in net assets from unitholder transactions		6,787,996


Net increase (decrease) in net assets		9,983,171

Net Assets
Beginning of period		55,090,902

End of period	$	65,074,073


Number of units
Outstanding-beginning of period		3,076,880
Issued		1,061,559
Redeemed		(697,323	)

Outstanding-end of period		3,441,116

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

American Bar Association Members/Northern Trust Collective Trust

Large Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.04	)		(0.04	)		(0.07	)		(0.07	)

Net investment income (loss)		(0.04	)		(0.04	)		(0.07	)		(0.07	)
Net realized and unrealized gain (loss)		0.02			(1.87	)		1.08			(1.03	)

Net increase (decrease) in unit value		(0.02	)		(1.91	)		1.01			(1.10	)
Net asset value at beginning of period		18.93			16.49			17.90			15.68

Net asset value at end of period	$	18.91		$	14.58		$	18.91		$	14.58


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.79	%		0.84	%		0.78	%		0.84	%
Ratio of net investment income (loss) to average net assets*		(0.79	)%		(0.84	)%		(0.78	)%		(0.84	)%
Portfolio turnover**,†††		5	%		4	%		9	%		11	%
Total return**		(0.11	)%		(11.58	)%		5.64	%		(7.02	)%
Net assets at end of period (in thousands)	$	65,074		$	37,973		$	65,074		$	37,973

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.010% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

All Cap Index Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $611 and units of 0 and 611, respectively)	$	—	$	611
Investments in collective investment funds, at value:
SSgA Russell All Cap^® Index Non-Lending Series Fund Class A (cost $246,854,826 and $252,922,382 and units of 17,347,329 and 17,928,521, respectively)		302,086,396		293,418,183
Cash		186,342		—
Receivable for investments sold		—		511,260

Total assets		302,272,738		293,930,054

Liabilities
Payable for fund units redeemed		186,342		511,260
Investment advisory fee payable		54,416		—
ING—program fee payable		134,174		122,391
Trustee, management and administration fees payable		22,692		21,243
ABA Retirement Funds—program fee payable		18,643		17,274
Payable for legal and audit services		28,420		26,129
Payable for compliance consultant fees		32,015		14,606
Other accruals		38,813		74,957

Total liabilities		515,515		787,860


Net Assets (equivalent to $37.67 and $35.54 per unit based on 8,011,062 and 8,247,938 units outstanding, respectively)	$	301,757,223	$	293,142,194

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

American Bar Association Members/Northern Trust Collective Trust

All Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—

Expenses
ING—program fee		406,101			355,962			797,367			697,956
Trustee, management and administration fees		69,076			67,138			135,177			132,735
Investment advisory fee		27,154			33,767			57,513			66,712
ABA Retirement Funds—program fee		56,702			50,677			110,735			99,448
Legal and audit fees		24,025			28,990			47,844			57,949
Compliance consultant fees		12,620			21,402			25,130			42,781
Reports to unitholders		2,030			16,052			4,039			32,086
Registration fees		16,758			3,210			33,372			6,417
Other fees		3,033			11,869			6,030			23,725

Total expenses		617,499			589,067			1,217,207			1,159,809


Net investment income (loss)		(617,499	)		(589,067	)		(1,217,207	)		(1,159,809	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		2,379,322			1,978,604			3,860,639			4,047,803


Net realized gain (loss)		2,379,322			1,978,604			3,860,639			4,047,803


Change in net unrealized appreciation (depreciation) on:
Investments		(2,425,343	)		(33,020,558	)		14,735,769			(19,390,920	)


Change in net unrealized appreciation (depreciation)		(2,425,343	)		(33,020,558	)		14,735,769			(19,390,920	)


Net realized and unrealized gain (loss)		(46,021	)		(31,041,954	)		18,596,408			(15,343,117	)


Net increase (decrease) in net assets resulting from operations	$	(663,520	)	$	(31,631,021	)	$	17,379,201		$	(16,502,926	)

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

American Bar Association Members/Northern Trust Collective Trust

All Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(1,217,207	)
Net realized gain (loss)		3,860,639
Change in net unrealized appreciation (depreciation)		14,735,769

Net increase (decrease) in net assets resulting from operations		17,379,201


From unitholder transactions
Proceeds from units issued		21,872,210
Cost of units redeemed		(30,636,382	)

Net increase (decrease) in net assets from unitholder transactions		(8,764,172	)


Net increase (decrease) in net assets		8,615,029

Net Assets
Beginning of period		293,142,194

End of period	$	301,757,223


Number of units
Outstanding-beginning of period		8,247,938
Issued		588,145
Redeemed		(825,021	)

Outstanding-end of period		8,011,062

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

American Bar Association Members/Northern Trust Collective Trust

All Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.08	)		(0.07	)		(0.15	)		(0.14	)

Net investment income (loss)		(0.08	)		(0.07	)		(0.15	)		(0.14	)
Net realized and unrealized gain (loss)		0.01			(3.62	)		2.28			(1.77	)

Net increase (decrease) in unit value		(0.07	)		(3.69	)		2.13			(1.91	)
Net asset value at beginning of period		37.74			32.38			35.54			30.60

Net asset value at end of period	$	37.67		$	28.69		$	37.67		$	28.69


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.81	%		0.87	%		0.81	%		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.81	)%		(0.87	)%		(0.81	)%		(0.87	)%
Portfolio turnover**,†††		1	%		8	%		2	%		18	%
Total return**		(0.19	)%		(11.40	)%		5.99	%		(6.24	)%
Net assets at end of period (in thousands)	$	301,757		$	244,260		$	301,757		$	244,260

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

†††	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/Northern Trust Collective Trust

Mid Cap Index Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $90 and units of 0 and 90, respectively)	$	—	$	90
Investments in collective investment funds, at value:
SSgA S&P MidCap^® Index Non-Lending Series Fund Class A (cost $52,598,317 and $35,944,250 and units of 1,741,700 and 1,313,540, respectively)		63,892,537		44,387,144
Receivable for investments sold		159,983		—
Receivable for fund units sold		—		657,452

Total assets		64,052,520		45,044,686

Liabilities
Payable for investments purchased		—		657,452
Payable for fund units redeemed		159,983		—
Investment advisory fee payable		10,328		—
ING—program fee payable		27,791		17,373
Trustee, management and administration fees payable		4,582		3,028
ABA Retirement Funds—program fee payable		3,830		2,462
Other accruals		17,916		15,963

Total liabilities		224,430		696,278


Net Assets (equivalent to $26.70 and $24.69 per unit based on 2,390,810 and 1,796,377 units outstanding, respectively)	$	63,828,090	$	44,348,408

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

American Bar Association Members/Northern Trust Collective Trust

Mid Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		79,313			41,509			142,529			76,286
Trustee, management and administration fees		13,447			7,843			24,132			14,515
Investment advisory fee		5,509			3,938			10,779			7,290
ABA Retirement Funds—program fee		11,039			5,848			19,774			10,807
Legal and audit fees		4,747			3,383			8,693			6,335
Compliance consultant fees		2,493			2,498			4,566			4,677
Reports to unitholders		401			1,873			734			3,508
Registration fees		3,311			375			6,063			702
Other fees		620			1,386			1,120			2,595

Total expenses		120,880			68,653			218,390			126,715


Net investment income (loss)		(120,880	)		(68,653	)		(218,390	)		(126,715	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		794,556			212,896			1,175,526			388,692


Net realized gain (loss)		794,556			212,896			1,175,526			388,692


Change in net unrealized appreciation (depreciation) on:
Investments		(1,279,589	)		(3,534,367	)		2,851,326			(1,302,907	)


Change in net unrealized appreciation (depreciation)		(1,279,589	)		(3,534,367	)		2,851,326			(1,302,907	)


Net realized and unrealized gain (loss)		(485,033	)		(3,321,471	)		4,026,852			(914,215	)


Net increase (decrease) in net assets resulting from operations	$	(605,913	)	$	(3,390,124	)	$	3,808,462		$	(1,040,930	)

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

American Bar Association Members/Northern Trust Collective Trust

Mid Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(218,390	)
Net realized gain (loss)		1,175,526
Change in net unrealized appreciation (depreciation)		2,851,326

Net increase (decrease) in net assets resulting from operations		3,808,462


From unitholder transactions
Proceeds from units issued		28,429,902
Cost of units redeemed		(12,758,682	)

Net increase (decrease) in net assets from unitholder transactions		15,671,220

Net increase (decrease) in net assets		19,479,682

Net Assets
Beginning of period		44,348,408

End of period	$	63,828,090


Number of units
Outstanding-beginning of period		1,796,377
Issued		1,081,299
Redeemed		(486,866	)

Outstanding-end of period		2,390,810

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

American Bar Association Members/Northern Trust Collective Trust

Mid Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.05	)		(0.05	)		(0.10	)		(0.09	)

Net investment income (loss)		(0.05	)		(0.05	)		(0.10	)		(0.09	)
Net realized and unrealized gain (loss)		(0.20	)		(2.04	)		2.11			(0.26	)

Net increase (decrease) in unit value		(0.25	)		(2.09	)		2.01			(0.35	)
Net asset value at beginning of period		26.95			21.40			24.69			19.66

Net asset value at end of period	$	26.70		$	19.31		$	26.70		$	19.31


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.82	%		0.87	%		0.80	%		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.82	)%		(0.87	)%		(0.80	)%		(0.87	)%
Portfolio turnover**,†††		4	%		8	%		7	%		16	%
Total return**		(0.93	)%		(9.77	)%		8.14	%		(1.78	)%
Net assets at end of period (in thousands)	$	63,828		$	29,383		$	63,828		$	29,383

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

†††	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/Northern Trust Collective Trust

Small Cap Index Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $54 and units of 0 and 54, respectively)	$	—	$	54
Investments in collective investment funds, at value:
SSgA Russell Small Cap^® Index Non-Lending Series Fund Class A (cost $31,251,369 and $21,991,797 and units of 1,473,408 and 1,138,075, respectively)		36,888,231		26,818,749
Receivable for fund units sold		29,714		269,225

Total assets		36,917,945		27,088,028

Liabilities
Payable for investments purchased		29,714		269,225
Investment advisory fee payable		6,456		—
ING—program fee payable		16,362		10,017
Trustee, management and administration fees payable		2,781		1,745
ABA Retirement Funds—program fee payable		2,268		1,419
Payable for legal and audit services		3,182		—	(a)
Payable for compliance consultant fees		3,400		—	(b)
Other accruals		4,252		9,553

Total liabilities		68,415		291,959

Net Assets (equivalent to $27.49 and $25.98 per unit based on 1,340,417 and 1,031,517 units outstanding, respectively)	$	36,849,530	$	26,796,069

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Small Cap Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		48,109			25,227			87,357			46,236
Trustee, management and administration fees		8,167			4,765			14,802			8,796
Investment advisory fee		3,456			2,427			6,744			4,452
ABA Retirement Funds—program fee		6,705			3,551			12,129			6,547
Legal and audit fees		2,849			2,055			5,299			3,840
Compliance consultant fees		1,496			1,517			2,783			2,835
Reports to unitholders		241			1,138			448			2,126
Registration fees		1,988			228			3,697			426
Other fees		370			842			679			1,573

Total expenses		73,381			41,750			133,938			76,831

Net investment income (loss)		(73,381	)		(41,750	)		(133,938	)		(76,831	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		607,612			182,563			1,018,185			250,644

Net realized gain (loss)		607,612			182,563			1,018,185			250,644

Change in net unrealized appreciation (depreciation) on:
Investments		(1,254,305	)		(2,324,515	)		809,910			(943,687	)

Change in net unrealized appreciation (depreciation)		(1,254,305	)		(2,324,515	)		809,910			(943,687	)

Net realized and unrealized gain (loss)		(646,693	)		(2,141,952	)		1,828,095			(693,043	)

Net increase (decrease) in net assets resulting from operations	$	(720,074	)	$	(2,183,702	)	$	1,694,157		$	(769,874	)

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

American Bar Association Members/Northern Trust Collective Trust

Small Cap Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(133,938	)
Net realized gain (loss)		1,018,185
Change in net unrealized appreciation (depreciation)		809,910

Net increase (decrease) in net assets resulting from operations		1,694,157


From unitholder transactions
Proceeds from units issued		17,077,996
Cost of units redeemed		(8,718,692	)

Net increase (decrease) in net assets from unitholder transactions		8,359,304


Net increase (decrease) in net assets		10,053,461

Net Assets
Beginning of period		26,796,069

End of period	$	36,849,530


Number of units
Outstanding-beginning of period		1,031,517
Issued		632,582
Redeemed		(323,682	)

Outstanding-end of period		1,340,417

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

American Bar Association Members/Northern Trust Collective Trust

Small Cap Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.06	)		(0.04	)		(0.11	)		(0.09	)

Net investment income (loss)		(0.06	)		(0.04	)		(0.11	)		(0.09	)
Net realized and unrealized gain (loss)		(0.44	)		(2.23	)		1.62			(0.41	)

Net increase (decrease) in unit value		(0.50	)		(2.27	)		1.51			(0.50	)
Net asset value at beginning of period		27.99			22.44			25.98			20.67

Net asset value at end of period	$	27.49		$	20.17		$	27.49		$	20.17


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.81	%		0.87	%		0.80	%		0.87	%
Ratio of net investment income (loss) to average net assets*		(0.81	)%		(0.87	)%		(0.80	)%		(0.87	)%
Portfolio turnover**,†††		6	%		12	%		11	%		21	%
Total return**		(1.79	)%		(10.12	)%		5.81	%		(2.42	)%
Net assets at end of period (in thousands)	$	36,850		$	17,731		$	36,850		$	17,731

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

†††	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/Northern Trust Collective Trust

International Index Equity Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $87 and units of 0 and 87, respectively)	$	—	$	87
Investments in collective investment funds, at value:
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $49,251,933 and $39,231,983 and units of 3,990,192 and 3,283,291, respectively)		55,802,840		44,193,095
Receivable for investments sold		25,259		—
Receivable for fund units sold		—		1,216,106
Other assets		—		25

Total assets		55,828,099		45,409,313

Liabilities
Payable for investments purchased		—		1,216,106
Payable for fund units redeemed		25,259		—
Investment advisory fee payable		29,240		—
ING—program fee payable		24,238		17,216
Trustee, management and administration fees payable		4,062		3,003
ABA Retirement Funds—program fee payable		3,355		2,442
Payable for legal and audit services		4,731		—	(a)
Payable for compliance consultant fees		5,111		—	(b)
Other accruals		6,318		29,468

Total liabilities		102,314		1,268,235


Net Assets (equivalent to $29.94 and $28.94 per unit based on 1,861,457 and 1,525,410 units outstanding, respectively)	$	55,725,785	$	44,141,078

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

International Index Equity Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—

Expenses
ING—program fee		68,984			37,016			128,961			70,463
Trustee, management and administration fees		11,738			6,991			21,867			13,408
Investment advisory fee		15,951			7,072			31,100			13,519
ABA Retirement Funds—program fee		9,635			5,212			17,916			9,982
Legal and audit fees		4,167			3,015			7,847			5,851
Compliance consultant fees		2,189			2,226			4,122			4,320
Reports to unitholders		353			1,669			663			3,239
Registration fees		2,908			334			5,474			648
Other fees		537			1,235			1,001			2,396

Total expenses		116,462			64,770			218,951			123,826

Net investment income (loss)		(116,462	)		(64,770	)		(218,951	)		(123,826	)

Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		101,626			(24,976	)		209,165			2,440

Net realized gain (loss)		101,626			(24,976	)		209,165			2,440

Change in net unrealized appreciation (depreciation) on:
Investments		137,434			(3,773,588	)		1,589,795			(3,340,404	)

Change in net unrealized appreciation (depreciation)		137,434			(3,773,588	)		1,589,795			(3,340,404	)

Net realized and unrealized gain (loss)		239,060			(3,798,564	)		1,798,960			(3,337,964	)

Net increase (decrease) in net assets resulting from operations	$	122,598		$	(3,863,334	)	$	1,580,009		$	(3,461,790	)

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

American Bar Association Members/Northern Trust Collective Trust

International Index Equity Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(218,951	)
Net realized gain (loss)		209,165
Change in net unrealized appreciation (depreciation)		1,589,795

Net increase (decrease) in net assets resulting from operations		1,580,009

From unitholder transactions
Proceeds from units issued		16,013,219
Cost of units redeemed		(6,008,521	)

Net increase (decrease) in net assets from unitholder transactions		10,004,698

Net increase (decrease) in net assets		11,584,707
Net Assets
Beginning of period		44,141,078

End of period	$	55,725,785

Number of units
Outstanding-beginning of period		1,525,410
Issued		538,575
Redeemed		(202,528	)

Outstanding-end of period		1,861,457

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

American Bar Association Members/Northern Trust Collective Trust

International Index Equity Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.07	)		(0.06	)		(0.13	)		(0.12	)

Net investment income (loss)		(0.07	)		(0.06	)		(0.13	)		(0.12	)
Net realized and unrealized gain (loss)		0.16			(3.29	)		1.13			(2.90	)

Net increase (decrease) in unit value		0.09			(3.35	)		1.00			(3.02	)
Net asset value at beginning of period		29.85			26.61			28.94			26.28

Net asset value at end of period	$	29.94		$	23.26		$	29.94		$	23.26


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.87	%		0.92	%		0.88	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%		(0.92	)%		(0.88	)%		(0.92	)%
Portfolio turnover**,†††		1	%		4	%		3	%		9	%
Total return**		0.30	%		(12.59	)%		3.46	%		(11.49	)%
Net assets at end of period (in thousands)	$	55,726		$	27,312		$	55,726		$	27,312

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.052% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Real Asset Return Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $27 and units of 0 and 27, respectively)	$	—		$	27
Investments in collective investment funds, at value:
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $9,816,944 and $5,540,816 and units of 473,540 and 275,552, respectively)		10,375,268			5,707,777
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $4,593,854 and $3,227,671 and units of 174,624 and 141,916, respectively)		5,206,068			3,816,552
SSgA Dow Jones UBS-Commodity Index^SMNon-Lending Series Fund Class A (cost $4,914,369 and $2,745,087 and units of 536,932 and 332,103, respectively)		5,163,142			3,279,185
Receivable for investments sold		83,962			—
Receivable for fund units sold		130,076			38,418

Total assets		20,958,516			12,841,959

Liabilities
Payable for investments purchased		214,038			38,418
Investment advisory fee payable		6,492			—
ING—program fee payable		8,783			5,478
Trustee, management and administration fees payable		1,498			954
ABA Retirement Funds—program fee payable		1,226			776
Payable for legal and audit services		—	(a)		1,122
Payable for compliance consultant fees		—	(b)		627
Other accruals		5,490			5,139

Total liabilities		237,527			52,514


Net Assets (equivalent to $17.42 and $16.62 per unit based on 1,189,716 and 769,370 units outstanding, respectively)	$	20,720,989		$	12,789,445

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Real Asset Return Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		24,523			11,310			43,395			19,386
Trustee, management and administration fees		4,179			2,135			7,367			3,683
Investment advisory fee		3,779			1,929			6,642			3,329
ABA Retirement Funds—program fee		3,431			1,589			6,037			2,742
Legal and audit fees		1,516			921			2,683			1,608
Compliance consultant fees		796			680			1,409			1,187
Reports to unitholders		127			510			226			890
Registration fees		1,057			102			1,871			178
Other fees		205			377			356			658

Total expenses		39,613			19,553			69,986			33,661


Net investment income (loss)		(39,613	)		(19,553	)		(69,986	)		(33,661	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		447,539			276,859			671,525			334,521

Net realized gain (loss)		447,539			276,859			671,525			334,521

Change in net unrealized appreciation (depreciation) on:
Investments		(248,466	)		(345,765	)		129,371			(247,547	)

Change in net unrealized appreciation (depreciation)		(248,466	)		(345,765	)		129,371			(247,547	)


Net realized and unrealized gain (loss)		199,073			(68,906	)		800,896			86,974


Net increase (decrease) in net assets resulting from operations	$	159,460		$	(88,459	)	$	730,910		$	53,313

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

American Bar Association Members/Northern Trust Collective Trust

Real Asset Return Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(69,986	)
Net realized gain (loss)		671,525
Change in net unrealized appreciation (depreciation)		129,371

Net increase (decrease) in net assets resulting from operations		730,910


From unitholder transactions
Proceeds from units issued		10,533,520
Cost of units redeemed		(3,332,886	)

Net increase (decrease) in net assets from unitholder transactions		7,200,634

Net increase (decrease) in net assets		7,931,544

Net Assets
Beginning of period		12,789,445

End of period	$	20,720,989


Number of units
Outstanding-beginning of period		769,370
Issued		615,059
Redeemed		(194,713	)

Outstanding-end of period		1,189,716

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

American Bar Association Members/Northern Trust Collective Trust

Real Asset Return Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.04	)		(0.04	)		(0.07	)		(0.07	)

Net investment income (loss)		(0.04	)		(0.04	)		(0.07	)		(0.07	)
Net realized and unrealized gain (loss)		0.21			(0.08	)		0.87			0.23

Net increase (decrease) in unit value		0.17			(0.12	)		0.80			0.16
Net asset value at beginning of period		17.25			14.79			16.62			14.51

Net asset value at end of period	$	17.42		$	14.67		$	17.42		$	14.67


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.82	%		0.91	%		0.82	%		0.91	%
Ratio of net investment income (loss) to average net assets*		(0.82	)%		(0.91	)%		(0.82	)%		(0.91	)%
Portfolio turnover**,†††		8	%		15	%		17	%		21	%
Total return**		0.99	%		(0.81	)%		4.81	%		1.10	%
Net assets at end of period (in thousands)	$	20,721		$	8,730		$	20,721		$	8,730

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

†††	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/Northern Trust Collective Trust

Lifetime Income Retirement Date Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in collective investment funds, at value:
SSgA Target Retirement Income Non-Lending Series Fund Class A (cost $33,596,033 and $33,661,787 and units of 2,875,677 and 2,920,687, respectively)	$	36,483,716	$	35,550,602
Cash		—		74
Receivable for investments sold		—		258,989
Receivable for fund units sold		117,186		—

Total assets		36,600,902		35,809,665

Liabilities
Due to custodian		117,186		—
Payable for fund units redeemed		—		258,989
Retirement Date Fund management fee payable		15,968		17,113
ING—program fee payable		16,362		15,495
Trustee, management and administration fees payable		3,583		3,442
ABA Retirement Funds—program fee payable		2,266		2,199
Other accruals		11,923		7,464

Total liabilities		167,288		304,702


Net Assets (equivalent to $12.36 and $11.91 per unit based on 2,948,669 and 2,982,118 units outstanding, respectively)	$	36,433,614	$	35,504,963

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

American Bar Association Members/Northern Trust Collective Trust

Lifetime Income Retirement Date Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		48,175			43,610			94,928			82,841
Trustee, management and administration fees		10,602			8,230			20,755			15,748
Retirement Date Fund management fee		8,016			8,271			17,015			15,821
ABA Retirement Funds—program fee		6,716			6,141			13,171			11,735
Legal and audit fees		2,904			3,552			5,728			6,864
Compliance consultant fees		1,526			2,622			3,009			5,067
Reports to unitholders		246			1,966			484			3,800
Registration fees		2,027			393			3,996			760
Other fees		407			1,454			762			2,810

Total expenses		80,619			76,239			159,848			145,446


Net investment income (loss)		(80,619	)		(76,239	)		(159,848	)		(145,446	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		255,498			709,704			490,936			821,165

Net realized gain (loss)		255,498			709,704			490,936			821,165

Change in net unrealized appreciation (depreciation) on:
Investments		294,179			(1,435,702	)		998,868			(779,444	)

Change in net unrealized appreciation (depreciation)		294,179			(1,435,702	)		998,868			(779,444	)


Net realized and unrealized gain (loss)		549,677			(725,998	)		1,489,804			41,721


Net increase (decrease) in net assets resulting from operations	$	469,058		$	(802,237	)	$	1,329,956		$	(103,725	)

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

American Bar Association Members/Northern Trust Collective Trust

Lifetime Income Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(159,848	)
Net realized gain (loss)		490,936
Change in net unrealized appreciation (depreciation)		998,868

Net increase (decrease) in net assets resulting from operations		1,329,956


From unitholder transactions
Proceeds from units issued		4,945,870
Cost of units redeemed		(5,347,175	)

Net increase (decrease) in net assets from unitholder transactions		(401,305	)


Net increase (decrease) in net assets		928,651

Net Assets
Beginning of period		35,504,963

End of period	$	36,433,614


Number of units
Outstanding-beginning of period		2,982,118
Issued		405,421
Redeemed		(438,870	)

Outstanding-end of period		2,948,669

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

American Bar Association Members/Northern Trust Collective Trust

Lifetime Income Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.03	)		(0.03	)		(0.05	)		(0.05	)

Net investment income (loss)		(0.03	)		(0.03	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss)		0.19			(0.24	)		0.50			0.03

Net increase (decrease) in unit value		0.16			(0.27	)		0.45			(0.02	)
Net asset value at beginning of period		12.20			11.19			11.91			10.94

Net asset value at end of period	$	12.36		$	10.92		$	12.36		$	10.92


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.87	%		0.92	%		0.89	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.87	)%		(0.92	)%		(0.89	)%		(0.92	)%
Portfolio turnover**,†††		6	%		21	%		10	%		31	%
Total return**		1.31	%		(2.41	)%		3.78	%		(0.18	)%
Net assets at end of period (in thousands)	$	36,434		$	31,990		$	36,434		$	31,990

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.030% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

2010 Retirement Date Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in collective investment funds, at value:
SSgA Target Retirement 2010 Non-Lending Series Fund Class A (cost $61,030,109 and $65,124,151 and units of 4,995,059 and 5,438,050, respectively)	$	66,788,938	$	69,514,596
Cash		—		146
Receivable for investments sold		119,364		—
Receivable for fund units sold		—		21,845

Total assets		66,908,302		69,536,587

Liabilities
Payable for investments purchased		—		21,845
Payable for fund units redeemed		119,364		—
Retirement Date Fund management fee payable		32,611		31,464
ING—program fee payable		30,383		29,424
Trustee, management and administration fees payable		6,655		6,498
ABA Retirement Funds—program fee payable		4,228		4,151
Payable for legal and audit services		6,553		6,207
Other accruals		16,406		8,463

Total liabilities		216,200		108,052

Net Assets (equivalent to $14.82 and $14.24 per unit based on 4,498,719 and 4,877,243 units outstanding, respectively)	$	66,692,102	$	69,428,535

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

American Bar Association Members/Northern Trust Collective Trust

2010 Retirement Date Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		92,406			83,022			183,123			164,231
Trustee, management and administration fees		20,380			15,674			40,088			31,242
Retirement Date Fund management fee		17,201			15,750			36,062			31,385
ABA Retirement Funds—program fee		12,910			11,697			25,439			23,278
Legal and audit fees		5,541			6,765			11,029			13,625
Compliance consultant fees		2,911			4,994			5,793			10,059
Reports to unitholders		468			3,746			931			7,544
Registration fees		3,865			749			7,693			1,509
Other fees		700			2,770			1,392			5,579

Total expenses		156,382			145,167			311,550			288,452

Net investment income (loss)		(156,382	)		(145,167	)		(311,550	)		(288,452	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		1,355,360			527,446			1,759,102			875,522

Net realized gain (loss)		1,355,360			527,446			1,759,102			875,522

Change in net unrealized appreciation (depreciation) on:
Investments		(255,842	)		(2,013,718	)		1,368,384			(413,479	)

Change in net unrealized appreciation (depreciation)		(255,842	)		(2,013,718	)		1,368,384			(413,479	)

Net realized and unrealized gain (loss)		1,099,518			(1,486,272	)		3,127,486			462,043

Net increase (decrease) in net assets resulting from operations	$	943,136		$	(1,631,439	)	$	2,815,936		$	173,591

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

American Bar Association Members/Northern Trust Collective Trust

2010 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(311,550	)
Net realized gain (loss)		1,759,102
Change in net unrealized appreciation (depreciation)		1,368,384

Net increase (decrease) in net assets resulting from operations		2,815,936


From unitholder transactions
Proceeds from units issued		10,112,074
Cost of units redeemed		(15,664,443	)

Net increase (decrease) in net assets from unitholder transactions		(5,552,369	)

Net increase (decrease) in net assets		(2,736,433	)

Net Assets
Beginning of period		69,428,535

End of period	$	66,692,102


Number of units
Outstanding-beginning of period		4,877,243
Issued		691,345
Redeemed		(1,069,869	)

Outstanding-end of period		4,498,719

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

American Bar Association Members/Northern Trust Collective Trust

2010 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.03	)		(0.03	)		(0.07	)		(0.06	)

Net investment income (loss)		(0.03	)		(0.03	)		(0.07	)		(0.06	)
Net realized and unrealized gain (loss)		0.23			(0.31	)		0.65			0.09

Net increase (decrease) in unit value		0.20			(0.34	)		0.58			0.03
Net asset value at beginning of period		14.62			13.12			14.24			12.75

Net asset value at end of period	$	14.82		$	12.78		$	14.82		$	12.78


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.89	%		0.92	%		0.90	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.89	)%		(0.92	)%		(0.90	)%		(0.92	)%
Portfolio turnover**,†††		6	%		12	%		10	%		26	%
Total return**		1.37	%		(2.59	)%		4.07	%		0.24	%
Net assets at end of period (in thousands)	$	66,692		$	61,563		$	66,692		$	61,563

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.030% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

2020 Retirement Date Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $275 and units of 0 and 275, respectively)	$	—	$	275
Investments in collective investment funds, at value:
SSgA Target Retirement 2020 Non-Lending Series Fund Class A (cost $133,322,515 and $123,528,089 and units of 10,584,205 and 10,044,096, respectively)		150,401,557		135,866,487
Receivable for fund units sold		71,523		461,938

Total assets		150,473,080		136,328,700

Liabilities
Payable for investments purchased		71,523		461,938
Retirement Date Fund management fee payable		68,902		58,970
ING—program fee payable		67,118		55,248
Trustee, management and administration fees payable		14,699		12,208
ABA Retirement Funds—program fee payable		9,312		7,799
Payable for legal and audit services		13,737		—	(a)
Payable for compliance consultant fees		15,188		—	(b)
Other accruals		18,574		28,107

Total liabilities		279,053		624,270


Net Assets (equivalent to $17.23 and $16.48 per unit based on 8,716,317 and 8,237,096 units outstanding, respectively)	$	150,194,027	$	135,704,430

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

2020 Retirement Date Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		196,958			148,201			379,690			289,223
Trustee, management and administration fees		43,403			27,968			83,096			55,012
Retirement Date Fund management fee		37,522			28,101			74,291			55,264
ABA Retirement Funds—program fee		27,494			20,863			52,729			40,974
Legal and audit fees		11,791			12,068			22,963			24,000
Compliance consultant fees		6,193			8,909			12,061			17,718
Reports to unitholders		996			6,682			1,938			13,289
Registration fees		8,224			1,336			16,017			2,657
Other fees		1,492			4,941			2,902			9,826

Total expenses		334,073			259,069			645,687			507,963


Net investment income (loss)		(334,073	)		(259,069	)		(645,687	)		(507,963	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		1,018,848			779,126			2,213,239			1,212,811

Net realized gain (loss)		1,018,848			779,126			2,213,239			1,212,811


Change in net unrealized appreciation (depreciation) on:
Investments		409,380			(6,779,284	)		4,740,644			(2,860,232	)

Change in net unrealized appreciation (depreciation)		409,380			(6,779,284	)		4,740,644			(2,860,232	)

Net realized and unrealized gain (loss)		1,428,228			(6,000,158	)		6,953,883			(1,647,421	)


Net increase (decrease) in net assets resulting from operations	$	1,094,155		$	(6,259,227	)	$	6,308,196		$	(2,155,384	)

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

American Bar Association Members/Northern Trust Collective Trust

2020 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(645,687	)
Net realized gain (loss)		2,213,239
Change in net unrealized appreciation (depreciation)		4,740,644

Net increase (decrease) in net assets resulting from operations		6,308,196


From unitholder transactions
Proceeds from units issued		27,314,580
Cost of units redeemed		(19,133,179	)

Net increase (decrease) in net assets from unitholder transactions		8,181,401


Net increase (decrease) in net assets		14,489,597

Net Assets
Beginning of period		135,704,430

End of period	$	150,194,027


Number of units
Outstanding-beginning of period		8,237,096
Issued		1,609,266
Redeemed		(1,130,045	)

Outstanding-end of period		8,716,317

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

American Bar Association Members/Northern Trust Collective Trust

2020 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.04	)		(0.04	)		(0.08	)		(0.07	)

Net investment income (loss)		(0.04	)		(0.04	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss)		0.17			(0.79	)		0.83			(0.21	)

Net increase (decrease) in unit value		0.13			(0.83	)		0.75			(0.28	)
Net asset value at beginning of period		17.10			15.00			16.48			14.45

Net asset value at end of period	$	17.23		$	14.17		$	17.23		$	14.17


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.89	%		0.92	%		0.89	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.89	)%		(0.92	)%		(0.89	)%		(0.92	)%
Portfolio turnover**,†††		3	%		11	%		7	%		25	%
Total return**		0.76	%		(5.53	)%		4.55	%		(1.94	)%
Net assets at end of period (in thousands)	$	150,194		$	107,850		$	150,194		$	107,850

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.030% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

2030 Retirement Date Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $221 and units of 0 and 221, respectively)	$	—	$	221
Investments in collective investment funds, at value:
SSgA Target Retirement 2030 Non-Lending Series Fund Class A (cost $99,532,345 and $96,155,242 and units of 7,788,847 and 7,760,728, respectively)		114,636,252		108,526,023
Receivable for investments sold		139,667		22,508

Total assets		114,775,919		108,548,752

Liabilities
Payable for fund units redeemed		139,667		22,508
Retirement Date Fund management fee payable		53,511		48,332
ING—program fee payable		52,092		44,292
Trustee, management and administration fees payable		11,409		9,803
ABA Retirement Funds—program fee payable		7,224		6,263
Payable for legal and audit services		10,811		9,567
Other accruals		26,697		13,044

Total liabilities		301,411		153,809


Net Assets (equivalent to $19.34 and $18.45 per unit based on 5,920,023 and 5,874,159 units outstanding, respectively)	$	114,474,508	$	108,394,943

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

American Bar Association Members/Northern Trust Collective Trust

2030 Retirement Date Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		154,938			114,914			300,735			219,161
Trustee, management and administration fees		34,129			21,690			65,799			41,681
Retirement Date Fund management fee		28,646			21,792			56,389			41,872
ABA Retirement Funds—program fee		21,619			16,180			41,754			31,047
Legal and audit fees		9,229			9,360			18,113			18,185
Compliance consultant fees		4,848			6,910			9,514			13,425
Reports to unitholders		780			5,182			1,529			10,068
Registration fees		6,438			1,036			12,634			2,013
Other fees		1,329			3,832			2,450			7,445

Total expenses		261,956			200,896			508,917			384,897

Net investment income (loss)		(261,956	)		(200,896	)		(508,917	)		(384,897	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		1,774,296			155,329			3,000,375			(37,756	)

Net realized gain (loss)		1,774,296			155,329			3,000,375			(37,756	)

Change in net unrealized appreciation (depreciation) on:
Investments		(1,115,850	)		(6,833,605	)		2,733,126			(2,983,481	)

Change in net unrealized appreciation (depreciation)		(1,115,850	)		(6,833,605	)		2,733,126			(2,983,481	)

Net realized and unrealized gain (loss)		658,446			(6,678,276	)		5,733,501			(3,021,237	)

Net increase (decrease) in net assets resulting from operations	$	396,490		$	(6,879,172	)	$	5,224,584		$	(3,406,134	)

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

American Bar Association Members/Northern Trust Collective Trust

2030 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(508,917	)
Net realized gain (loss)		3,000,375
Change in net unrealized appreciation (depreciation)		2,733,126

Net increase (decrease) in net assets resulting from operations		5,224,584


From unitholder transactions
Proceeds from units issued		17,664,465
Cost of units redeemed		(16,809,484	)

Net increase (decrease) in net assets from unitholder transactions		854,981

Net increase (decrease) in net assets		6,079,565

Net Assets
Beginning of period		108,394,943

End of period	$	114,474,508


Number of units
Outstanding-beginning of period		5,874,159
Issued		926,973
Redeemed		(881,109	)

Outstanding-end of period		5,920,023

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

American Bar Association Members/Northern Trust Collective Trust

2030 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.04	)		(0.03	)		(0.08	)		(0.07	)

Net investment income (loss)		(0.04	)		(0.03	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss)		0.11			(1.24	)		0.97			(0.51	)

Net increase (decrease) in unit value		0.07			(1.27	)		0.89			(0.58	)
Net asset value at beginning of period		19.27			16.72			18.45			16.03

Net asset value at end of period	$	19.34		$	15.45		$	19.34		$	15.45


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.89	%		0.92	%		0.89	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.89	)%		(0.92	)%		(0.89	)%		(0.92	)%
Portfolio turnover**,†††		4	%		9	%		9	%		21	%
Total return**		0.36	%		(7.60	)%		4.82	%		(3.62	)%
Net assets at end of period (in thousands)	$	114,475		$	83,136		$	114,475		$	83,136

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.030% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

2040 Retirement Date Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $0 and $131 and units of 0 and 131, respectively)	$	—	$	131
Investments in collective investment funds, at value:
SSgA Target Retirement 2040 Non-Lending Series Fund Class A (cost $64,277,180 and $58,128,417 and units of 4,992,211 and 4,645,229, respectively)		74,823,265		66,022,644
Receivable for investments sold		117,931		—
Receivable for fund units sold		—		46,485

Total assets		74,941,196		66,069,260

Liabilities
Payable for investments purchased		—		46,485
Payable for fund units redeemed		117,931		—
Retirement Date Fund management fee payable		33,802		28,448
ING—program fee payable		32,879		26,294
Trustee, management and administration fees payable		7,198		5,795
ABA Retirement Funds—program fee payable		4,549		3,703
Payable for legal and audit services		6,732		5,805
Other accruals		16,542		7,914

Total liabilities		219,633		124,444


Net Assets (equivalent to $21.61 and $20.59 per unit based on 3,456,981 and 3,203,304 units outstanding, respectively)	$	74,721,563	$	65,944,816

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

American Bar Association Members/Northern Trust Collective Trust

2040 Retirement Date Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		97,114			70,955			186,170			136,767
Trustee, management and administration fees		21,394			13,393			40,739			26,016
Retirement Date Fund management fee		18,460			13,458			35,937			26,137
ABA Retirement Funds—program fee		13,553			9,992			25,851			19,377
Legal and audit fees		5,809			5,779			11,258			11,347
Compliance consultant fees		3,051			4,266			5,913			8,377
Reports to unitholders		490			3,200			950			6,283
Registration fees		4,052			640			7,853			1,257
Other fees		358			2,366			1,540			4,646

Total expenses		164,281			124,049			316,211			240,207


Net investment income (loss)		(164,281	)		(124,049	)		(316,211	)		(240,207	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		493,118			(58,522	)		1,007,434			(294,968	)

Net realized gain (loss)		493,118			(58,522	)		1,007,434			(294,968	)

Change in net unrealized appreciation (depreciation) on:
Investments		(326,283	)		(4,982,580	)		2,651,858			(2,307,131	)

Change in net unrealized appreciation (depreciation)		(326,283	)		(4,982,580	)		2,651,858			(2,307,131	)

Net realized and unrealized gain (loss)		166,835			(5,041,102	)		3,659,292			(2,602,099	)


Net increase (decrease) in net assets resulting from operations	$	2,554		$	(5,165,151	)	$	3,343,081		$	(2,842,306	)

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

American Bar Association Members/Northern Trust Collective Trust

2040 Retirement Date Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(316,211	)
Net realized gain (loss)		1,007,434
Change in net unrealized appreciation (depreciation)		2,651,858

Net increase (decrease) in net assets resulting from operations		3,343,081


From unitholder transactions
Proceeds from units issued		13,016,364
Cost of units redeemed		(7,582,698	)

Net increase (decrease) in net assets from unitholder transactions		5,433,666


Net increase (decrease) in net assets		8,776,747

Net Assets
Beginning of period		65,944,816

End of period	$	74,721,563


Number of units
Outstanding-beginning of period		3,203,304
Issued		609,421
Redeemed		(355,744	)

Outstanding-end of period		3,456,981

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

American Bar Association Members/Northern Trust Collective Trust

2040 Retirement Date Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.05	)		(0.04	)		(0.09	)		(0.08	)

Net investment income (loss)		(0.05	)		(0.04	)		(0.09	)		(0.08	)
Net realized and unrealized gain (loss)		0.05			(1.67	)		1.11			(0.82	)

Net increase (decrease) in unit value		—			(1.71	)		1.02			(0.90	)
Net asset value at beginning of period		21.61			18.64			20.59			17.83

Net asset value at end of period	$	21.61		$	16.93		$	21.61		$	16.93


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.89	%		0.92	%		0.89	%		0.92	%
Ratio of net investment income (loss) to average net assets*		(0.89	)%		(0.92	)%		(0.89	)%		(0.92	)%
Portfolio turnover**,†††		2	%		8	%		4	%		21	%
Total return**		0.00	%		(9.17	)%		4.95	%		(5.05	)%
Net assets at end of period (in thousands)	$	74,722		$	51,234		$	74,722		$	51,234

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.030% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Conservative Risk Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $951,477 and $966,209 and units of 951,477 and 966,209, respectively)	$	951,477		$	966,209
Investments in collective investment funds, at value:
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $10,562,392 and $8,604,186 and units of 940,959 and 785,284, respectively)		10,801,266			8,775,547
SSgA Russell All Cap^® Index Non-Lending Series Fund Class A (cost $2,172,548 and $2,573,201 and units of 137,451 and 182,600, respectively)		2,393,576			2,988,439
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $2,177,339 and $1,542,057 and units of 103,739 and 76,418, respectively)		2,272,926			1,582,916
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $841,531 and $861,116 and units of 31,892 and 37,381, respectively)		950,796			1,005,281
SSgA International Index Non-Lending Series Fund Class A (cost $1,554,652 and $841,624 and units of 114,001 and 69,588, respectively)		1,638,654			950,505
Cash		53,500			—
Receivable for fund units sold		—			8,869
Interest and dividends receivable		73			84

Total assets		19,062,268			16,277,850

Liabilities
Payable for investments purchased		25,581			8,337
Payable for fund units redeemed		30,968			—
Investment advisory fee payable		3,419			—
ING—program fee payable		8,022			6,886
Trustee, management and administration fees payable		1,345			1,206
ABA Retirement Funds—program fee payable		1,123			981
Payable for legal and audit services		—	(a)		1,438
Payable for compliance consultant fees		—	(b)		803
Payable for reports to unitholders		—	(c)		277
Other accruals		5,699			3,693

Total liabilities		76,157			23,621


Net Assets (equivalent to $16.24 and $15.64 per unit based on 1,169,343 and 1,039,603 units outstanding, respectively)	$	18,986,111		$	16,254,229

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

(c)	Payable for reports to unitholders fee is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Conservative Risk Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Interest	$	—		$	311 $			—		$	556
Interest—affiliated issuers		267			—			615			—


Total investment income		267			311			615			556


Expenses
ING—program fee		24,030			10,794			45,058			19,412
Trustee, management and administration fees		4,107			2,037			7,661			3,688
Investment advisory fee		1,845			1,226			3,639			2,221
ABA Retirement Funds—program fee		3,372			1,516			6,277			2,746
Legal and audit fees		1,453			879			2,746			1,608
Compliance consultant fees		763			649			1,442			1,187
Reports to unitholders		123			487			232			891
Registration fees		1,013			97			1,915			178
Other fees		183			361			346			659

Total expenses		36,889			18,046			69,316			32,590


Net investment income (loss)		(36,622	)		(17,735	)		(68,701	)		(32,034	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		618,668			60,768			879,472			173,701

Net realized gain (loss)		618,668			60,768			879,472			173,701


Change in net unrealized appreciation (depreciation) on:
Investments		(235,473	)		(129,311	)		(131,748	)		(51,303	)

Change in net unrealized appreciation (depreciation)		(235,473	)		(129,311	)		(131,748	)		(51,303	)


Net realized and unrealized gain (loss)		383,195			(68,543	)		747,724			122,398


Net increase (decrease) in net assets resulting from operations	$	346,573		$	(86,278	)	$	679,023		$	90,364

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

American Bar Association Members/Northern Trust Collective Trust

Conservative Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(68,701	)
Net realized gain (loss)		879,472
Change in net unrealized appreciation (depreciation)		(131,748	)

Net increase (decrease) in net assets resulting from operations		679,023


From unitholder transactions
Proceeds from units issued		9,286,719
Cost of units redeemed		(7,233,860	)

Net increase (decrease) in net assets from unitholder transactions		2,052,859

Net increase (decrease) in net assets		2,731,882

Net Assets
Beginning of period		16,254,229

End of period	$	18,986,111


Number of units
Outstanding-beginning of period		1,039,603
Issued		582,186
Redeemed		(452,446	)

Outstanding-end of period		1,169,343

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

American Bar Association Members/Northern Trust Collective Trust

Conservative Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income(a)†	$	—		$	—		$	—		$	—
Expenses†,††		(0.03	)		(0.03	)		(0.06	)		(0.06	)

Net investment income (loss)		(0.03	)		(0.03	)		(0.06	)		(0.06	)
Net realized and unrealized gain (loss)		0.33			(0.10	)		0.66			0.29

Net increase (decrease) in unit value		0.30			(0.13	)		0.60			0.23
Net asset value at beginning of period		15.94			14.75			15.64			14.39

Net asset value at end of period	$	16.24		$	14.62		$	16.24		$	14.62


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.81	%		0.88	%		0.81	%		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.81	)%		(0.87	)%		(0.80	)%		(0.87	)%
Portfolio turnover**,†††		24	%		8	%		41	%		21	%
Total return**		1.88	%		(0.88	)%		3.84	%		1.60	%
Net assets at end of period (in thousands)	$	18,986		$	8,902		$	18,986		$	8,902

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

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.019% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Moderate Risk Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $998,429 and $973,216 and units of 998,429 and 973,216, respectively)	$	998,429		$	973,216
Investments in collective investment funds, at value:
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $14,209,235 and $10,110,886 and units of 1,291,612 and 937,926, respectively)		14,826,414			10,481,329
SSgA Russell All Cap^® Index Non-Lending Series Fund Class A (cost $11,462,725 and $10,388,430 and units of 744,692 and 741,375, respectively)		12,968,061			12,133,340
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $8,389,136 and $4,102,914 and units of 635,360 and 346,298, respectively)		8,885,504			4,661,174
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $2,697,117 and $1,427,317 and units of 129,945 and 71,964, respectively)		2,847,102			1,490,671
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $1,847,980 and $1,584,565 and units of 72,942 and 72,339, respectively)		2,174,633			1,945,415
SSgA Dow Jones UBS-Commodity Index^SMNon-Lending Series Fund Class A (cost $910,545 and $438,428 and units of 97,303 and 53,563, respectively)		935,664			528,886
Receivable for investments sold		115,214			22,679
Receivable for fund units sold		20,980			—
Interest and dividends receivable		158			183

Total assets		43,772,159			32,236,893

Liabilities
Payable for investments purchased		140,714			64,642
Payable for fund units redeemed		—			23,359
Investment advisory fee payable		10,474			—
ING—program fee payable		19,115			12,677
Trustee, management and administration fees payable		3,223			2,209
ABA Retirement Funds—program fee payable		2,633			1,796
Payable for legal and audit services		—	(a)		2,788
Other accruals		12,486			11,190

Total liabilities		188,645			118,661

Net Assets (equivalent to $19.12 and $18.34 per unit based on 2,279,413 and 1,751,335 units outstanding, respectively)	$	43,583,514		$	32,118,232

(a)	Payable for legal and audit services fee is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Moderate Risk Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Interest	$	—		$	286		$	—		$	495
Interest—affiliated issuers		364			—			616			—

Total investment income		364			286			616			495


Expenses
ING—program fee		54,775			27,080			99,086			47,679
Trustee, management and administration fees		9,292			5,112			16,777			9,059
Investment advisory fee		5,796			3,079			10,580			5,457
ABA Retirement Funds—program fee		7,628			3,810			13,747			6,748
Legal and audit fees		3,307			2,206			6,075			3,950
Compliance consultant fees		1,737			1,629			3,191			2,917
Reports to unitholders		280			1,221			514			2,187
Registration fees		2,307			244			4,238			437
Other fees		418			903			766			1,617

Total expenses		85,540			45,284			154,974			80,051


Net investment income (loss)		(85,176	)		(44,998	)		(154,358	)		(79,556	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		1,313,906			102,883			1,679,541			295,200

Net realized gain (loss)		1,313,906			102,883			1,679,541			295,200


Change in net unrealized appreciation (depreciation) on:
Investments		(904,050	)		(1,207,447	)		(67,635	)		(814,515	)

Change in net unrealized appreciation (depreciation)		(904,050	)		(1,207,447	)		(67,635	)		(814,515	)

Net realized and unrealized gain (loss)		409,856			(1,104,564	)		1,611,906			(519,315	)


Net increase (decrease) in net assets resulting from operations	$	324,680		$	(1,149,562	)	$	1,457,548		$	(598,871	)

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

American Bar Association Members/Northern Trust Collective Trust

Moderate Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(154,358	)
Net realized gain (loss)		1,679,541
Change in net unrealized appreciation (depreciation)		(67,635	)

Net increase (decrease) in net assets resulting from operations		1,457,548


From unitholder transactions
Proceeds from units issued		15,789,764
Cost of units redeemed		(5,782,030	)

Net increase (decrease) in net assets from unitholder transactions		10,007,734

Net increase (decrease) in net assets		11,465,282

Net Assets
Beginning of period		32,118,232

End of period	$	43,583,514


Number of units
Outstanding-beginning of period		1,751,335
Issued		834,457
Redeemed		(306,379	)

Outstanding-end of period		2,279,413

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

American Bar Association Members/Northern Trust Collective Trust

Moderate Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income(a)†	$	—		$	—		$	—		$	—
Expenses†,††		(0.04	)		(0.03	)		(0.08	)		(0.07	)

Net investment income (loss)		(0.04	)		(0.03	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss)		0.21			(0.83	)		0.86			(0.25	)

Net increase (decrease) in unit value		0.17			(0.86	)		0.78			(0.32	)
Net asset value at beginning of period		18.95			16.97			18.34			16.43

Net asset value at end of period	$	19.12		$	16.11		$	19.12		$	16.11


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.81	%		0.88	%		0.80	%		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.81	)%		(0.88	)%		(0.80	)%		(0.87	)%
Portfolio turnover**,†††		13	%		5	%		19	%		12	%
Total return**		0.90	%		(5.07	)%		4.25	%		(1.95	)%
Net assets at end of period (in thousands)	$	43,584		$	21,263		$	43,584		$	21,263

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

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.024% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Aggressive Risk Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments in affiliated funds, at value:
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $45 and $25 and units of 45 and 25, respectively)	$	45	$	25
Investments in collective investment funds, at value:
SSgA U.S. Bond Index Non-Lending Series Fund Class A (cost $2,288,870 and $1,641,065 and units of 205,440 and 150,070, respectively)		2,358,251		1,677,035
SSgA Russell All Cap Index Non-Lending Series Fund Class A (cost $6,262,992 and $6,224,255 and units of 401,510 and 429,499, respectively)		6,991,895		7,029,176
SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A (cost $4,533,045 and $2,560,647 and units of 342,706 and 210,738, respectively)		4,792,742		2,836,537
SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A (cost $310,696 and $0 and units of 14,334 and 0 for June 30, 2011 and December 31, 2010, respectively)		314,065		—
SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A (cost $692,863 and $653,650 and units of 26,461 and 28,027, respectively)		788,878		753,734
SSgA Dow Jones UBS-Commodity Index^SMNon-Lending Series Fund Class A (cost $608,790 and $337,145 and units of 65,064 and 40,396, respectively)		625,652		398,866
Cash		15,314		—
Receivable for fund units sold		—		286,854

Total assets		15,886,842		12,982,227

Liabilities
Payable for investments purchased		—		286,854
Payable for fund units redeemed		15,359		—
Investment advisory fee payable		4,126		—
ING—program fee payable		6,895		4,852
Trustee, management and administration fees payable		1,152		838
ABA Retirement Funds—program fee payable		976		681
Payable for legal and audit services		1,385		—	(a)
Payable for compliance consultant fees		1,498		—	(b)
Other accruals		1,854		5,384

Total liabilities		33,245		298,609


Net Assets (equivalent to $22.28 and $21.25 per unit based on 711,541 and 596,907 units outstanding, respectively)	$	15,853,597	$	12,683,618

(a)	Payable for legal and audit services fee is included in other accruals.

(b)	Payable for compliance consultant fees is included in other accruals.

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

American Bar Association Members/Northern Trust Collective Trust

Aggressive Risk Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income	$	—		$	—		$	—		$	—


Expenses
ING—program fee		20,260			8,880			37,893			15,293
Trustee, management and administration fees		3,469			1,676			6,447			2,907
Investment advisory fee		2,073			1,009			4,432			1,751
ABA Retirement Funds—program fee		2,847			1,248			5,282			2,165
Legal and audit fees		1,223			723			2,308			1,269
Compliance consultant fees		643			534			1,213			937
Reports to unitholders		103			401			195			703
Registration fees		853			80			1,610			140
Other fees		160			296			301			520

Total expenses		31,631			14,847			59,681			25,685


Net investment income (loss)		(31,631	)		(14,847	)		(59,681	)		(25,685	)


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		646,966			67,582			809,594			183,638

Net realized gain (loss)		646,966			67,582			809,594			183,638


Change in net unrealized appreciation (depreciation) on:
Investments		(589,259	)		(745,648	)		(104,359	)		(646,700	)


Change in net unrealized appreciation (depreciation)		(589,259	)		(745,648	)		(104,359	)		(646,700	)

Net realized and unrealized gain (loss)		57,707			(678,066	)		705,235			(463,062	)


Net increase (decrease) in net assets resulting from operations	$	26,076		$	(692,913	)	$	645,554		$	(488,747	)

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

American Bar Association Members/Northern Trust Collective Trust

Aggressive Risk Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	(59,681	)
Net realized gain (loss)		809,594
Change in net unrealized appreciation (depreciation)		(104,359	)

Net increase (decrease) in net assets resulting from operations		645,554


From unitholder transactions
Proceeds from units issued		5,893,677
Cost of units redeemed		(3,369,252	)

Net increase (decrease) in net assets from unitholder transactions		2,524,425


Net increase (decrease) in net assets		3,169,979

Net Assets
Beginning of period		12,683,618

End of period	$	15,853,597


Number of units
Outstanding-beginning of period		596,907
Issued		267,142
Redeemed		(152,508	)

Outstanding-end of period		711,541

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

American Bar Association Members/Northern Trust Collective Trust

Aggressive Risk Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income†	$	—		$	—		$	—		$	—
Expenses†,††		(0.05	)		(0.04	)		(0.09	)		(0.08	)

Net investment income (loss)		(0.05	)		(0.04	)		(0.09	)		(0.08	)
Net realized and unrealized gain (loss)		0.09			(1.71	)		1.12			(0.91	)

Net increase (decrease) in unit value		0.04			(1.75	)		1.03			(0.99	)
Net asset value at beginning of period		22.24			19.38			21.25			18.62

Net asset value at end of period	$	22.28		$	17.63		$	22.28		$	17.63


Ratios/Supplemental Data:
Ratio of expenses to average net assets*,††		0.83	%		0.88	%		0.83	%		0.88	%
Ratio of net investment income (loss) to average net assets*		(0.83	)%		(0.88	)%		(0.83	)%		(0.88	)%
Portfolio turnover**,†††		21	%		8	%		28	%		20	%
Total return**		0.18	%		(9.03	)%		4.85	%		(5.32	)%
Net assets at end of period (in thousands)	$	15,854		$	6,962		$	15,854		$	6,962

*	Annualized for periods less than one year.

**	Not annualized for periods less than one year.

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

††

Expenses include only those expenses charged directly to the Fund and do not include expenses charged to the collective investment fund in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying fund were 0.027% and are deducted from the value of the funds in which this Fund invests and is included in this Fund’s total return.

†††	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/Northern Trust Collective Trust

Balanced Fund

Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
American Bar Association Members/Northern Trust Collective Trust investment funds, at value:
Bond Core Plus Fund (cost $79,619,757 and $80,939,686 and units of 3,971,648 and 4,112,205, respectively)	$	103,945,960	$	105,297,110
Large Cap Equity Fund (cost $109,362,694 and $118,437,213 and units of 10,562,424 and 11,731,536, respectively)		158,372,978		164,558,249
Cash		—		567
Receivable for investments sold		2,946,883		747,497

Total assets		265,265,821		270,603,423


Liabilities
Payable for investments purchased		2,200,000		—
Payable for fund units redeemed		746,883		747,497

Total liabilities		2,946,883		747,497

Net Assets (equivalent to $97.34 and $92.71 per unit based on 2,694,905 and 2,910,655 units outstanding, respectively)	$	262,318,938	$	269,855,926

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

American Bar Association Members/Northern Trust Collective Trust

Balanced Fund

Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011		For the period January 1, 2010 to June 30, 2010
Investment income (loss)	$	—		$	—		$	—	$	—


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Bond Core Plus Fund		1,617,026			3,597,975			2,405,071		5,362,926
Large Cap Equity Fund		4,136,265			1,136,429			7,869,135		3,602,395

Net realized gain (loss)		5,753,291			4,734,404			10,274,206		8,965,321

Change in net unrealized appreciation (depreciation) on:
Investments		(2,175,982	)		(20,773,582	)		2,858,027		(14,252,056	)

Change in net unrealized appreciation (depreciation)		(2,175,982	)		(20,773,582	)		2,858,027		(14,252,056	)

Net realized and unrealized gain (loss)		3,577,309			(16,039,178	)		13,132,233		(5,286,735	)


Net increase (decrease) in net assets resulting from operations	$	3,577,309		$	(16,039,178	)	$	13,132,233	$	(5,286,735	)

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

American Bar Association Members/Northern Trust Collective Trust

Balanced Fund

Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net realized gain (loss)	$	10,274,206
Change in net unrealized appreciation (depreciation)		2,858,027

Net increase (decrease) in net assets resulting from operations		13,132,233


From unitholder transactions
Proceeds from units issued		256,987
Cost of units redeemed		(20,926,208	)

Net increase (decrease) in net assets from unitholder transactions		(20,669,221	)


Net increase (decrease) in net assets		(7,536,988	)

Net Assets
Beginning of period		269,855,926

End of period	$	262,318,938


Number of units
Outstanding-beginning of period		2,910,655
Issued		2,653
Redeemed		(218,403	)

Outstanding-end of period		2,694,905

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

American Bar Association Members/Northern Trust Collective Trust

Balanced Fund

Financial Highlights

Unaudited

(For a unit outstanding throughout the period)


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Net investment income (loss)	$	—		$	—		$	—		$	—
Net realized and unrealized gain (loss)		1.29			(5.11	)		4.63			(1.89	)

Net increase (decrease) in unit value		1.29			(5.11	)		4.63			(1.89	)
Net asset value at beginning of period		96.05			85.93			92.71			82.71

Net asset value at end of period	$	97.34		$	80.82		$	97.34		$	80.82


Ratios/Supplemental Data:
Portfolio turnover(a)*		2	%		3	%		4	%		4	%
Total return*		1.34	%		(5.95	)%		4.99	%		(2.29	)%
Net assets at end of period (in thousands)	$	262,319		$	253,195		$	262,319		$	253,195

(a)

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 portfolio of the Bond Core Plus Fund and Large Cap Equity Fund.

*	Not annualized for periods less than one year.

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

American Bar Association Members/ Northern Trust Collective Trust

Combined Statement of Assets and Liabilities


	June 30, 2011 Unaudited		December 31, 2010
Assets
Investments, at value (cost $2,181,501,481 and $2,220,636,968, respectively)	$	2,445,069,572	$	2,472,474,568
Northern Trust Global Investments—Government Short Term Investment Fund, at value (cost $109,669,845 and $117,393,773, respectively)		109,669,845		117,393,773
Investments in collective investment funds, at value (cost $382,928,696 and $465,484,499, respectively)		454,663,791		552,921,938
Northern Trust Global Investments—Collective Short Term Investment Fund (cost $24,637,939 and $24,847,816 and units of 24,637,940 and 24,847,816, respectively)		24,637,939		24,847,816
SSgA collective investment funds (cost $978,906,355 and $893,834,323 and units of 70,851,911 and 67,110,058, respectively)		1,128,788,850		1,007,928,764
Foreign currency, at value (cost $999,577 and $869,051, respectively)		1,008,471		899,535
Cash		255,156		1,526
Cash held at broker (restricted $0 and $0, respectively)		8,000		—
Deposit with broker for open swap contracts		30,000		1,010,000
Deposit with broker for investments sold on TBA commitment transactions		960,000		653,000
Receivable for investments sold on TBA commitment transactions		39,611,641		88,944,496
Receivable for investments sold		128,348,339		70,571,654
Receivable for fund units sold		2,829,244		3,854,021
Interest and dividends receivable		4,051,248		3,963,579
Receivable for futures variation margin		50,800		2,800
Unrealized appreciation of forward currency exchange contracts		31,098		80,352
Tax reclaims receivable		496,481		429,227
Swap premiums paid		40,529		47,124
Unrealized appreciation on swap agreements		458,554		388,862
Other assets		386		25

Total assets		4,341,009,944		4,346,413,060

Liabilities
Securities sold, not yet purchased, at fair value (proceeds $37,404,531 and $20,061,562, respectively)		37,201,452		20,012,349
Due to custodian		1,031,632		8,798
Written options, at value (premium received $23,460 and $0 respectively)		19,550		—
Payable for cash collateral received on securities loaned		141,745,183		240,360,334
Payable for investments purchased on TBA commitment transactions		25,053,438		115,200,156
Payable for investments purchased		73,699,291		23,710,121
Payable for fund units redeemed		5,850,469		8,145,931
Swap premiums received		17,847		29,823
Unrealized depreciation on swap agreements		287,446		292,117
Due to broker for open swap contracts		260,000		813,000
Due to broker for investments purchased on TBA commitment transactions		936,250		936,250
Payable for futures variation margin		102,288		—
Unrealized depreciation of forward currency exchange contracts		275,199		739,119
Investment advisory fee payable		609,138		473,767
Retirement Date Fund management fee payable		204,794		184,327
ING—program fee payable		1,651,265		1,565,104
Trustee, management and administration fees payable		288,967		279,890
ABA Retirement Funds—program fee payable		229,077		221,041
Payable for legal and audit services		351,371		324,203

American Bar Association Members/ Northern Trust Collective Trust

Combined Statement of Assets and Liabilities


	June 30, 2011 Unaudited			December 31, 2010
Payable for compliance consultant fees		395,404			181,227
Payable for Registration fees		—			170,967
Payable for reports to unitholders		—			123,981
Other accruals		478,669			312,482

Total liabilities		290,688,730			414,084,987

Net Assets at fair value		4,050,321,214			3,932,328,073

Adjustment from fair value to contract value for fully benefit responsive contracts		(23,552,691	)		(13,631,391	)

Net Assets	$	4,026,768,523		$	3,918,696,682

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

American Bar Association Members/ Northern Trust Collective Trust

Combined Statement of Operations

Unaudited


	For the period April 1, 2011 to June 30, 2011			For the period April 1, 2010 to June 30, 2010			For the period January 1, 2011 to June 30, 2011			For the period January 1, 2010 to June 30, 2010
Investment income
Dividends	$	11,532,732		$	10,418,536		$	21,551,570		$	21,571,741
Interest		2,661,465			3,505,556			5,673,338			7,487,247
Interest—affiliated issuers		61,227			—			145,152			—
Securities lending income, net		165,533			137,290			290,888			289,211

Total investment income		14,420,957			14,061,382			27,660,948			29,348,199


Expenses
ING—program fee		4,973,965			4,490,514			9,802,043			8,871,122
Trustee, management and administration fees		875,308			843,186			1,717,693			1,683,013
Retirement Date Fund management fee		109,845			87,372			219,694			170,479
Investment advisory fee		1,844,538			1,396,942			3,645,601			2,776,792
ABA Retirement Funds—program fee		694,170			636,168			1,360,847			1,260,884
Legal and audit fees		296,652			365,660			590,065			735,935
Compliance consultant fees		155,825			269,949			309,933			543,308
Reports to unitholders		25,063			202,461			49,815			407,478
Registration fees		206,931			40,492			411,588			81,495
Other fees		39,327			149,738			78,349			301,295

Total expenses		9,221,624			8,482,482			18,185,628			16,831,801

Net investment income (loss)		5,199,333			5,578,900			9,475,320			12,516,398


Net realized and unrealized gain (loss)
Net realized gain (loss) on:
Investments		61,735,509			32,936,283			116,695,598			120,327,334
Foreign currency transactions		(590,076	)		(1,213,621	)		(918,653	)		(428,167	)
Futures contracts		272,513			1,261,641			282,665			2,241,768
Swap contracts		—			70,523			—			195,107

Net realized gain (loss)		61,417,946			33,054,826			116,059,610			122,336,042

Change in net unrealized appreciation (depreciation) on:
Investments		(42,588,638	)		(251,624,725	)		38,349,599			(221,568,797	)
Foreign currency transactions		488,787			598,598			394,226			768,510
Futures contracts		209,854			(106,658	)		435,771			598,458
Written options		(2,012	)		—			3,910			—
Swap contracts		26,391			478,351			80,634			359,492

Change in net unrealized appreciation (depreciation)		(41,865,618	)		(250,654,434	)		39,264,140			(219,842,337	)

Net realized and unrealized gain (loss)		19,552,328			(217,599,608	)		155,323,750			(97,506,295	)


Net increase (decrease) in net assets resulting from operations	$	24,751,661		$	(212,020,708	)	$	164,799,070		$	(84,989,897	)

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

American Bar Association Members/ Northern Trust Collective Trust

Combined Statement of Changes in Net Assets

Unaudited


	For the six-month period ended June 30, 2011
From operations
Net investment income (loss)	$	9,475,320
Net realized gain (loss)		116,059,610
Change in net unrealized appreciation (depreciation)		39,264,140

Net increase (decrease) in net assets resulting from operations		164,799,070


From unitholder transactions
Proceeds from units issued		461,083,261
Cost of units redeemed		(517,810,490	)

Net increase (decrease) in net assets from unitholder transactions		(56,727,229	)

Net increase (decrease) in net assets		108,071,841

Net Assets
Beginning of period		3,918,696,682

End of period	$	4,026,768,523


Number of units
Outstanding-beginning of period		177,107,601
Issued		20,146,912
Redeemed		(22,707,606	)

Outstanding-end of period		174,546,907

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

American Bar Association Members/Northern Trust Collective Trust

Notes to Financial Statements

Unaudited

1. Description of the Collective Trust

The American Bar Association Members/Northern Trust Collective Trust (formerly known as the American Bar Association Members/State Street Collective Trust, referred to herein as the “Collective Trust”) was organized on August 8, 1991. From December 1, 2004 and through June 30, 2010, State Street Bank and Trust Company of New Hampshire (“State Street”) acted as trustee of the Collective Trust. Effective July 1, 2010, Northern Trust Investments, Inc. (“Northern Trust Investments” or the “Trustee”) was substituted for State Street as trustee of the Collective Trust. In connection therewith, the name of the Collective Trust was changed from “American Bar Association Members/State Street Collective Trust” to “American Bar Association Members/Northern Trust Collective Trust.” From and after July 1, 2010, Northern Trust Investments, as trustee of the Collective Trust, has exclusive discretion and control over the assets of the Collective Trust. Further, effective July 1, 2010, The Northern Trust Company (“Northern Trust”) was substituted for State Street Bank and Trust Company (“State Street Bank”) as trustee of the American Bar Association Members Retirement Trust and the American Bar Association Members Pooled Trust for Retirement Plans.

Northern Trust Investments is an Illinois banking corporation with trust powers and a wholly-owned subsidiary of Northern Trust, which is an Illinois banking corporation and a wholly-owned subsidiary of Northern Trust Corporation, a publicly-traded financial holding company registered with the Board of Governors of the Federal Reserve System pursuant to the Federal Bank Holding Company Act of 1956, as amended.

Northern Trust Investments delegated to Northern Trust the responsibility to provide certain services to the Collective Trust on behalf of Northern Trust Investments. In addition, Northern Trust is the primary custodian and, based on instructions from ING Institutional Plan Services, LLC, a Delaware limited liability company (“ING Services”), 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 ABA Retirement Funds Program (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.

The Collective Trust is maintained exclusively for the collective investment of monies administered on behalf of participants in the Program. The Collective Trust offers twenty separate collective investment funds, comprised of 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. SARF may invest in investment contracts, including Traditional Investment Contracts and synthetic guaranteed investment contracts (“SGICs”, “Security-Backed Contracts” or “Wrap Contracts”) with associated underlying assets, and high quality, fixed income instruments. Such investments may be made directly by the Fund or indirectly through its investment in other collective investment funds maintained by one or more banks, including Northern Trust Investments.

Bond Core Plus 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.

American Bar Association Members/Northern Trust Collective Trust

Notes to Financial Statements—Continued

Unaudited

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.

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.

International All Cap 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 of the U.S. investment-grade bond market represented by the Barclays Capital U.S. Aggregate Bond Index, after taking into account Fund expenses. As of June 30, 2011, 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 upon request.

Large Cap Index Equity Fund—replication of the total return of the S&P 500^®, after taking into account Fund expenses. As of June 30, 2011, 100% of the Fund’s net 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 upon request.

All Cap Index Equity Fund—replication of the total return of the Russell 3000^® Index, after taking into account Fund expenses. As of June 30, 2011, 100% of the Fund’s net assets were invested in the SSgA Russell All Cap^® Index Non-Lending Series Fund Class A, which is a separate collective investment fund maintained by State Street Bank that invests in securities contained in the Russell 3000^® Index. This underlying fund’s annual financial statements are available upon request.

Mid Cap Index Equity Fund—replication of the total return of the S&P MidCap 400^®, after taking into account Fund expenses. As of June 30, 2011, 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 upon request.

Small Cap Index Equity Fund—replication of the total return of the Russell 2000^® Index, after taking into account Fund expenses. As of June 30, 2011, 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 upon request.

International Index Equity Fund—replication of the total return of the Morgan Stanley Capital International All-Country World Ex-U.S. (“MSCI ACWI ex-US”) Index, after taking into account Fund expenses. As of June 30, 2011, 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 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 Index^SM 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 commodity

American Bar Association Members/Northern Trust Collective Trust

Notes to Financial Statements—Continued

Unaudited

futures, real estate investment trusts, which we refer to as REITs and Treasury Inflation Protected Securities, which we refer to as U.S. TIPS.

Retirement Date Funds

Retirement Date Funds—a series of diversified 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 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 a quarterly 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. As of June 30, 2011, each of the Funds invested 100% of its assets in separate State Street Bank collective investment funds listed below.

Lifetime Income Retirement Date Fund—invests 100% of its net assets in the SSgA Target Retirement Income Non-Lending Series Fund Class A.

2010 Retirement Date Fund—invests 100% of its net assets in the SSgA Target Retirement 2010 Non-Lending Series Fund Class A.

2020 Retirement Date Fund—invests 100% of its net assets in the SSgA Target Retirement 2020 Non-Lending Series Fund Class A.

2030 Retirement Date Fund—invests 100% of its net assets in the SSgA Target Retirement 2030 Non-Lending Series Fund Class A.

2040 Retirement Date Fund—invests 100% of its net assets in the SSgA Target Retirement 2040 Non-Lending Series Fund Class A.

Each of these underlying funds’ annual financial statements is available upon request.

Target Risk Funds

Target Risk Funds—a series of diversified 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, SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A and Northern Trust Global Investments Collective Short Term Investment Fund. 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, commodities and 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 Index^SM 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, SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A, and Northern Trust Global Investments Collective Short Term

American Bar Association Members/Northern Trust Collective Trust

Notes to Financial Statements—Continued

Unaudited

Investment Fund. 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, commodities and 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 Index^SM 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 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.

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 June 30, 2011, 40.4% and 59.6% 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 Managed funds (Large Cap Equity Fund, Small-Mid Cap Equity Fund, International All Cap Equity Fund and Bond Core Plus Fund) may invest in Northern Trust Global Investments (“NTGI”) – Collective Short Term Investment Fund (“STIF”) and SARF may invest in the NTGI Collective Government Short-Term Investment Fund (“GSTIF”). The annual financial statements of STIF and GSTIF are available upon request.

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

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 U.S. Generally Accepted Accounting Principles (“GAAP”). Certain prior-year amounts have been reclassified to conform to the current year presentation.

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Quarterly Reports on Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2010, as filed with the SEC on March 18, 2011.

Basis of Presentation

Pursuant to rules and regulations of the SEC, combined financial statements are presented for the Collective Trust as a whole, as the SEC registrant, and also for each Fund and the Balanced Fund individually. The Collective Trust’s Declaration of Trust provides that any creditor of, or other person having any claim of any type against, a Fund (including the Balanced Fund), may look only to the assets of such Fund for payment of obligations of such Fund, and that every contract, instrument, certificate or undertaking of or on behalf of any Fund shall be conclusively deemed to have been executed only by or for that Fund and no Fund shall be answerable for any obligation assumed or liability incurred by any other Fund. Accordingly, the assets of each Fund comprising the Collective Trust include only those funds and other assets that are paid to, held by or distributed to the Collective Trust on account of and for the benefit of that Fund, including, without limitation, funds delivered to the Collective Trust for the purchase of Units in that Fund.

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Notes to Financial Statements—Continued

Unaudited

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 the 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.

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 the Balanced Fund’s investments. These inputs are summarized in the three broad levels as follows:

•

Level 1 - unadjusted 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).

Northern Trust Investments has delegated to Northern Trust 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. Northern Trust generally values each Fund’s and the Balanced Fund’s portfolio of securities, such as equities, based on closing market prices or readily available market quotations and classifies these securities as Level 1. When closing market prices or market quotations are not readily available or are considered by Northern Trust to be unreliable, the fair value of the particular securities or assets is determined in good faith by Northern Trust Investments pursuant to procedures adopted by Northern Trust Investments. For market prices and quotations, as well as some fair value methods of pricing, Northern Trust and Northern Trust Investments may rely upon securities prices provided by pricing services, the persons or entities Northern Trust Investments 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 Northern Trust 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, Northern Trust Investments endeavors to value the security at the amount the owner might reasonably expect to receive upon the security’s current sale. In so doing, the Trustee considers all factors it deems appropriate, including, if relevant, external factors such as general market developments and news events. These investments are typically classified as Level 2 or 3 depending upon the priority of the significant inputs.

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, the Trustee will utilize a fair value statistical 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. These securities are generally reflected as Level 2. If a significant event occurs other than general movements in the U.S. markets, Northern Trust 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 Northern Trust Investment’s fair value procedures.

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Notes to Financial Statements—Continued

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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.

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. 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. These are typically categorized as Level 2.

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 and are categorized as 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 utilizing interest rate yield curve data that 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. These are typically categorized as Level 2.

Futures and option 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 and are categorized as Level 1.

Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. These investments are categorized as Level 2.

STIF and GSTIF are 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 Level 3 corporate bond amount in the Bond Core Plus Fund consists of a single private placement position; unobservable market data was used to price this position. The Level 3 equity amount in the Small-Mid Cap Equity Fund 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.

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements for any of the Funds and the Balanced Fund for the six-month period ended June 30, 2011.

The following is a summary of the valuation of 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 as of June 30, 2011:


Stable Asset Return Fund	Level 1		Level 2		Level 3		Total
Assets
Investments in securities	$	—	$	880,650,777	$	—	$	880,650,777
Short-Term Investments	$	—	$	109,669,845	$	—	$	109,669,845

Total	$	—	$	990,320,622	$	—	$	990,320,622

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Notes to Financial Statements—Continued

Unaudited


Bond Core Plus Fund **	Level 1			Level 2			Level 3		Total
Assets
Fixed Income
U.S. Corporate Asset-Backed Securities	$	—		$	1,995,398		$	—	$	1,995,398
U.S. Government & Agency Obligations		—			231,468,943			—		231,468,943
Foreign Government Obligations		—			9,324,817			—		9,324,817
Municipals		—			530,995			—		530,995
Corporate Bonds		—			81,436,099			4,370,000		85,806,099
Bank Loans		—			5,827,726			—		5,827,726
Convertible Preferred Stock		1,590,000			—			—		1,590,000
ABA Members Collateral Fund		—			34,069,032			—		34,069,032
Derivatives*		574,173			489,463			—		1,063,636

Total	$	2,164,173		$	365,142,473		$	4,370,000	$	371,676,646


Liabilities
Fixed Income
U.S. Government & Agency Obligations	$	—		$	(37,201,452	)	$	—	$	(37,201,452	)
Written Options		(19,550	)							(19,550	)
Derivatives*		(136,677	)		(562,064	)		—		(698,741	)

Total	$	(156,227	)	$	(37,763,516	)	$	—	$	(37,919,743	)


Bond Core Plus Fund Level 3 Roll Forward	Corporate Bonds
Balance as of January 1, 2011	$	4,104,000
Accrued discounts/premiums		—
Realized gain (loss)		—
Unrealized gain (loss)		266,000
Purchases		—
Sales		—
Transfers into Level 3		—
Transfers (out) of Level 3		—

Balance as of June 30, 2011	$	4,370,000

The amount of change in unrealized gain (loss) on investments held by the Bond Core Plus Fund in Level 3 securities still held at June 30, 2011 was $(38,000), which is included in the statement of operations as part of the net change in unrealized gain (loss) on investments.


Large Cap Equity Fund **	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Consumer Discretionary	$	103,679,474	$	—	$	—	$	103,679,474
Consumer Staples		69,569,208		—		—		69,569,208
Energy		88,392,908		—		—		88,392,908
Financial		76,250,352		—		—		76,250,352
Health Care		128,592,893		—		—		128,592,893
Industrial		83,074,739		—		—		83,074,739
Information Technology		145,047,696		—		—		145,047,696
Material		27,549,126		—		—		27,549,126
Telecommunication Services		24,117,967		—		—		24,117,967
Utilities		22,785,475		—		—		22,785,475
Investment Funds		—		31,307,735		—		31,307,735

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Notes to Financial Statements—Continued

Unaudited


Large Cap Equity Fund **	Level 1		Level 2		Level 3		Total
ABA Members Collateral Fund		—		34,075,828		—		34,075,828
Short-Term Investments		—		12,301,884		—		12,301,884

Total	$	769,059,838	$	77,685,447	$	—	$	846,745,285


Small-Mid Cap Equity Fund **	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Consumer Discretionary	$	39,783,058	$	—	$	—	$	39,783,058
Consumer Staples		10,795,796		—		—		10,795,796
Energy		24,413,980		—		—		24,413,980
Financial		59,394,693		—		14,828		59,409,521
Health Care		35,921,245		—		—		35,921,245
Industrial		42,479,797		—		—		42,479,797
Information Technology		51,198,968		—		—		51,198,968
Material		18,422,032		—		—		18,422,032
Telecommunication Service		2,016,843		—		—		2,016,843
Utilities		11,517,594		—		—		11,517,594
Investment Funds		—		13,491,940		—		13,491,940
ABA Members Collateral Fund		—		65,726,642		—		65,726,642
Short-Term Investments		—		6,321,846		—		6,321,846

Total	$	295,944,006	$	85,540,428	$	14,828	$	381,499,262


Small-Mid Cap Equity Fund Level 3 Roll Forward	Common Stock and/or Other Equity Investments
Balance as of January 1, 2011	$	14,828
Accrued discounts/premiums		—
Realized gain (loss)		—
Unrealized appreciation (depreciation)		—
Purchases		—
Sales		—
Transfers into Level 3		—
Transfers (out) of Level 3		—

Balance as of June 30, 2011	$	14,828

The amount of change in unrealized gain (loss) on investments held by the Small-Mid Cap Equity Fund in Level 3 securities at June 30, 2011 was $0, which is included in the statement of operations as part of the net change in unrealized gain (loss) on investments.

American Bar Association Members/Northern Trust Collective Trust

Notes to Financial Statements—Continued

Unaudited


International All Cap Equity Fund **	Level 1		Level 2		Level 3		Total
Assets
Common Stock and/or Other Equity Investments
Australia	$	—	$	4,025,376	$	—	$	4,025,376
Austria		—		813,497		—		813,497
Belgium		319,055		2,466,371		—		2,785,426
Brazil		1,863,640		—		—		1,863,640
Canada		2,681,509		—		—		2,681,509
China		224,400		1,437,484		—		1,661,884
Czech Republic		—		779,204		—		779,204
Denmark		—		200,593		—		200,593
Finland		—		854,010		—		854,010
France		—		12,813,237		—		12,813,237
Germany		440,096		13,313,455		—		13,753,551
Greece		—		2,358,965		—		2,358,965
Hong Kong		—		5,873,067		—		5,873,067
Ireland		1,129,541		1,182,073		—		2,311,614
Israel		392,265		404,917		—		797,182
Italy		—		2,810,832		—		2,810,832
Japan		297,800		25,799,260		—		26,097,060
Luxembourg		—		478,832		—		478,832
Malaysia		—		590,452		—		590,452
Mexico		808,528		—		—		808,528
Netherlands		227,616		6,845,227		—		7,072,843
Norway		—		1,240,900		—		1,240,900
Papua New Guinea		—		1,405,107		—		1,405,107
Philippines		806,925		—		—		806,925
Poland		—		1,728,840		—		1,728,840
Portugal		—		289,337		—		289,337
Singapore		—		3,503,753		—		3,503,753
South Africa		—		6,076,670		—		6,076,670
South Korea		—		4,421,071		—		4,421,071
Spain		—		2,480,580		—		2,480,580
Sweden		—		3,014,796		—		3,014,796
Switzerland		1,151,245		12,096,369		—		13,247,614
Taiwan		412,492		5,395,927		—		5,808,419
Thailand		—		1,217,775		—		1,217,775
United Kingdom		3,747,095		21,830,017		—		25,577,112
United States		605,944		—		—		605,944
ABA Members Collateral Fund		—		6,489,821		—		6,489,821
Exchange-Traded Fund		7,183,855		—		—		7,183,855

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Notes to Financial Statements—Continued

Unaudited


International All Cap Equity Fund **	Level 1		Level 2			Level 3		Total
Assets
Short-Term Investments		—		4,064,258			—		4,064,258
Derivatives*		—		189			—		189

Total	$	22,292,006	$	158,302,262		$	—	$	180,594,268


Liabilities
Derivatives*	$	—	$	(581	)	$	—	$	(581	)

Total	$	—	$	(581	)	$	—	$	(581	)

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

For Level 2 investments, all applicable Funds (Bond Core Plus Fund, International All Cap Equity Fund, Large Cap Equity Fund and Small-Mid Cap Equity Fund) value their direct and indirect investments in the ABA Members Collateral Fund at their fair values, and have recognized unrealized losses. However, the Funds have continued to value their investments in the ABA Members Collateral Fund for purposes of participant transactions at the amortized cost based values used by the ABA Members Collateral Fund for daily transactions. See Note 6. Securities Lending for further information about the ABA Members Collateral Fund.


Bond Index Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	64,538,155	$	—	$	64,538,155

Total	$	—	$	64,538,155	$	—	$	64,538,155


Large Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	65,136,406	$	—	$	65,136,406

Total	$	—	$	65,136,406	$	—	$	65,136,406


All Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	302,086,396	$	—	$	302,086,396

Total	$	—	$	302,086,396	$	—	$	302,086,396


Mid Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	63,892,537	$	—	$	63,892,537

Total	$	—	$	63,892,537	$	—	$	63,892,537


Small Cap Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	36,888,231	$	—	$	36,888,231

Total	$	—	$	36,888,231	$	—	$	36,888,231


International Index Equity Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	55,802,840	$	—	$	55,802,840

Total	$	—	$	55,802,840	$	—	$	55,802,840

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Notes to Financial Statements—Continued

Unaudited


Real Asset Return Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	20,744,478	$	—	$	20,744,478

Total	$	—	$	20,744,478	$	—	$	20,744,478


Lifetime Income Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	36,483,716	$	—	$	36,483,716

Total	$	—	$	36,483,716	$	—	$	36,483,716


2010 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	66,788,938	$	—	$	66,788,938

Total	$	—	$	66,788,938	$	—	$	66,788,938


2020 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	150,401,557	$	—	$	150,401,557

Total	$	—	$	150,401,557	$	—	$	150,401,557


2030 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	114,636,252	$	—	$	114,636,252

Total	$	—	$	114,636,252	$	—	$	114,636,252


2040 Retirement Date Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	74,823,265	$	—	$	74,823,265

Total	$	—	$	74,823,265	$	—	$	74,823,265


Conservative Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	18,057,218	$	—	$	18,057,218
Short-Term Investments		—		951,477		—		951,477

Total	$	—	$	19,008,695	$	—	$	19,008,695


Moderate Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	42,637,378	$	—	$	42,637,378
Short-Term Investments		—		998,429		—		998,429

Total	$	—	$	43,635,807	$	—	$	43,635,807


Aggressive Risk Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	15,871,483	$	—	$	15,871,483

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Notes to Financial Statements—Continued

Unaudited


Short-Term Investments		—		45		—		45

Total	$	—	$	15,871,528	$	—	$	15,871,528


Balanced Fund	Level 1		Level 2		Level 3		Total
Assets
Collective Investment Funds	$	—	$	262,318,938	$	—	$	262,318,938

Total	$	—	$	262,318,938	$	—	$	262,318,938

B. Stable Asset Return Fund (“SARF”)

The Trustee restructured the SARF on December 8, 2010. In connection therewith, effective December 8, 2010, the Trustee entered into Investment Advisor Agreements with Galliard Capital Management, Inc. (“Galliard”), Jennison Associates LLC (“Jennison”) and Pacific Investment Management Company, LLC (“PIMCO”), pursuant to which Galliard, Jennison and PIMCO, respectively, will provide investment advisory services with respect to portions of the Stable Asset Return Fund. In addition, Galliard is responsible for making recommendations regarding the appointment and retention of investment advisors for the portions of the Stable Asset Return Fund for which it does not serve as an investment advisor. As of June 30, 2011, approximately 56%, 17% and 16% of the assets of the Stable Asset Return Fund were allocated to Galliard, Jennison and PIMCO, respectively. In addition, as of June 30, 2011, approximately 12% of the assets of the Fund were allocated to the NTGI Collective Government Short-Term Investment Fund, which provides a “liquidity buffer” for the Stable Asset Return Fund.

In connection with the restructuring of the Stable Asset Return Fund described above, effective as of the close of business on December 7, 2010, the Trustee terminated the Investment Management Agreement dated as of July 1, 2010 between the Trustee and State Street Global Advisors, a division of State Street Bank and Trust Company (“State Street Bank”), pursuant to which State Street Bank provided investment advisory services with respect to the Stable Asset Return Fund.

Prior to December 8, 2010, the SARF invested in Stable Asset Fund Trust (“SAFT”), a collective fund whose investments include insurance company, bank and financial institution investment contracts, high quality short-term fixed income securities and investments in STIF and the State Street Bank Mortgage Backed Securities Non-Lending Fund. SAFT had entered into a global fully benefit responsive investment contract with four different financial institutions which are so called “SGICs”, “Security-Backed Contracts” or “Wrap Contracts” as described below. On a daily basis, the SARF accrued dividend income based on the income credited by SAFT. The SARF did not distribute income and any increase to net assets was reflected by an increase in the unit value. Each month the dividend income earned by the SARF was reinvested into SAFT. At the time of the sale of SAFT, investments and cash were delivered in-kind to the Stable Asset Return Fund. No gain/loss was realized on the transaction.

The SARF invests in SGICs, which are fully benefit responsive book value contracts with underlying fixed income securities. The SARF has entered into such investment contracts with four different financial institutions which allow participants to transact at contract value (principal plus accrued interest) without experiencing the price fluctuations of the underlying fixed income securities. SGICs are offered only to qualified employer-sponsored defined contribution plans that allow the net assets of the SARF to be reported at contract value. The minimum quality for SGIC issuers is A3/A- and all fixed income securities must be rated investment grade (BBB-/Baa3 or better) at the time of purchase. The Statement of Assets and Liabilities presents the fair value of the investment contracts held with a separate adjustment to contract value. The Statements of Operations and Changes in Net Assets were prepared on a contract value basis.

The SGICs that the SARF has invested in “wrap” specific fixed income investments owned by the SARF and amortizes the realized and unrealized gains or losses on those investments over the Fund’s duration via the Fund’s crediting rate (which is the rate earned by participants in the SARF on the reference investments). As long as the requirements of the SGICs are satisfied, the issuer provides assurance that the adjustments to the interest

100

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Notes to Financial Statements—Continued

Unaudited

crediting rate do not result in a future interest crediting rate that is less than zero. An interest crediting rate less than zero would result in a loss of principal or accrued interest.

Risks arise when entering into any investment contract due to the potential inability of the issuer or contract holder to meet the terms of the contract. In addition, security-backed contracts have the risk of default or the lack of liquidity of the underlying portfolio assets.

The primary variables impacting the future crediting rates of security-backed contracts include:

•

the current yield of the assets underlying the contract,

•

the duration of the assets underlying the contract, and

•

the existing difference between the fair value and contract value of the assets within the contract.

SARF uses the following compound crediting rate formula for security-backed contracts:

CR = [(FV/CV)^(1/D)*(1+Y)]-1-F, where:

CR = crediting rate

FV = fair value of underlying portfolio

CV = contract value

D = weighted average duration of the underlying portfolio

Y = annualized weighted average yield to maturity of the underlying portfolio

F = wrap contract and investment advisory fees

The investment advisory fee for the SARF, which is included as part of the crediting rate, is disclosed for financial reporting purposes and is shown as “Investment advisory fee” in the accompanying Statement of Operations in the amount of $636,993 for the six-month period ended June 30, 2011.

Because changes in market interest rates affect the yield to maturity and the market value of the underlying investments, they can have a material impact on the wrap contract’s interest crediting rate. In addition, participant withdrawals and transfers from the SARF are paid at contract value but funded through the market value liquidation of the underlying investments, which may also impact the interest crediting rate. Gains and losses in the market value of the underlying investments relative to the wrap contract value are included in Adjustment from Fair Value to Contract Value on the SARF’s Statement of Assets and Liabilities. If the Adjustment from Fair Value to Contract Value is positive for a given contract, this indicates that the wrap contract value is greater than the market value of the underlying investments. To the extent that the underlying portfolio of a security-backed contract has unrealized and/or realized losses, a positive adjustment is made to the adjustment from fair value to contract value under contract value accounting. As a result, the future crediting rate may be lower over time than the then-current market rates. Similarly, if the underlying portfolio generates unrealized and/or realized gains, a negative adjustment is made to the adjustment from fair value to contract value, and the future crediting rate may be higher than the then-current market rates.

All wrap contracts provide for a minimum interest crediting rate of zero percent, under certain conditions. In the event that the interest crediting rate should fall to zero and the requirements of the wrap contract are satisfied, the wrap issuers would pay the shortfall needed to maintain the interest crediting rate at zero. This helps to protect participants’ principal and accrued interest.

i. Events Limiting Contract Value Treatment

SGICs 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.

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Only an event initiated by the Trustee at the level of the Collective Trust, such as termination of the SARF, would have the potential to limit the ability of the SARF to transact at contract value with plan participants. As of June 30, 2011, the occurrence of an event that would limit the ability of the SARF to transact at contract value with the participants was not probable.

ii. Termination Events by the Issuer

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

If an event of default, within the meaning of a SGIC, occurs and is not cured, the non-defaulting party may terminate the contract. The following (among other events) may cause the SARF 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 the SARF’s Investment Guidelines.

The issuer may be in default if it breaches a material obligation under the SGIC; 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, the SARF were unable to obtain a replacement SGIC, withdrawing plans may experience losses if the value of the SARF’s assets no longer covered by the contract is below contract value. The SARF may seek to add additional SGIC issuers over time to diversify the SARF’s exposure to such risk, but there is no assurance that the SARF will be able to do so. The combination of the default of a SGIC issuer and an inability to obtain a replacement agreement and/or an agreed upon plan with the issuer to converge fair value and contract value (in the event fair value is less than contract value) could render the SARF unable to achieve its objective of maintaining a stable contract value.

The terms of a SGIC generally provide for settlement of payments only upon termination of the contract or total liquidation of the covered investments. 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 the SARF the excess, if any, of contract value over market value on the date of termination. If a SGIC terminates due to a decline in the ratings of the issuer, the issuer may be required to pay to the SARF 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 the SARF the excess of contract value over market value to the extent necessary for the SARF to satisfy outstanding contract value withdrawal requests. Contract termination also may occur by either party upon election and notice.

iii. Adjustments to Contract Value

At June 30, 2011, all SGICs held by the SARF were deemed fully benefit-responsive. The change in the difference between the fair value and contract value of the SARF’s fully benefit-responsive investment contracts during the six-month period ended June 30, 2011 is reflected below:


	June 30, 2011			December 31, 2010			Change
Investments (at fair value)	$	880,650,777		$	871,972,224		$	8,678,553
Investments (at contract value)		857,098,086			858,340,833			(1,242,747	)
Adjustment to fair value		(23,552,691	)		(13,631,391	)		(9,921,300	)

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

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of return to be earned by the SARF and make an assumption that there is no change in the duration of the underlying investment portfolio.

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


	Weighted Average Credit Interest Rate			50% Decrease			25% Decrease			25% Increase			50% Increase
June 30, 2011		1.71	%
September 30, 2011					2.14	%		2.23	%		2.40	%		2.47	%
December 31, 2011					2.00	%		2.12	%		2.36	%		2.47	%
March 31, 2012					1.88	%		2.03	%		2.32	%		2.47	%
June 30, 2012					1.76	%		1.94	%		2.29	%		2.46	%

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


	Weighted Average Credit Interest Rate			50% Decrease			25% Decrease			25% Increase			50% Increase
June 30, 2011		1.71	%
September 30, 2011					2.22	%		2.31	%		2.48	%		2.56	%
December 31, 2011					2.08	%		2.20	%		2.43	%		2.55	%
March 31, 2012					1.94	%		2.10	%		2.39	%		2.54	%
June 30, 2012					1.83	%		2.01	%		2.36	%		2.53	%

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 Collective 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)	1.55	%
Based on interest rate credited to participants (2)	1.70	%

(1)	Computed by dividing the annualized one-day actual earnings of the Fund on June 30, 2011 by the fair value of investments on June 30, 2011.

(2)	Computed by dividing the annualized one-day earnings credited to participants on June 30, 2011 by the fair value of investments on June 30, 2011.

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.

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

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gains and losses reported by a Fund or the Balanced Fund may include a component attributable to investment income of the underlying funds.

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 year-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 Collective Trust has received a favorable determination letter dated March 9, 1992 from the Internal Revenue Service, which concluded that the Collective 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. For the open tax years as of December 31, 2010, 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.

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 and Roll Transactions

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

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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 Note 2.A. “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.

The Funds and the Balanced Fund through their investments in other collective funds may have exposure indirectly to this type of derivative instrument.

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 June 30, 2011, the Bond Core Plus Fund held the following futures contracts:


Futures Contracts	Number of Contracts		Notional Value		Settlement Month	Unrealized Appreciation/ (Depreciation)
Long
90 Day Eurodollar		479	$	119,247,050	December 2011	$	347,800
90 Day Eurodollar		213		51,242,475	September 2015		(90,883	)
90 Day Eurodollar		107		25,795,025	June 2015		(45,794	)
90 Day Eurodollar		82		20,014,150	March 2012		135,095
90 Day Eurodollar		79		19,654,213	March 2012		91,213
5 Year Eurodollar		4		466,320	September 2011		65

						$	437,496

For the six-month period ended June 30, 2011, the Bond Core Plus Fund had an average notional exposure of $35,302,266 related to futures contracts.

The Funds and the Balanced Fund through their investments in other collective funds may have exposure indirectly to this type of derivative instrument.

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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 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 June 30, 2011, the Bond Core Plus Fund held the following forward foreign currency contracts:


Type	Counterparty	Currency	Contract Amount in Local Currency		Contract Value in US Dollar		Settlement Date		Unrealized Appreciation/ (Depreciation)
Purchase	Morgan Stanley & Co., Inc.	Brazilian Real		393,075	$	231,003		7/5/2011	$	20,532
Purchase	UBS AG	Brazilian Real		255,315		155,433		8/2/2011		6,784
Purchase	Morgan Stanley & Co., Inc.	Brazilian Real		137,760		83,607		9/2/2011		3,414
Purchase	JPMorgan Chase Bank, N.A.	Euro		708,000		1,032,395		7/18/2011		(6,215	)
Purchase	JPMorgan Chase Bank, N.A.	Euro		906,000		1,319,970		7/18/2011		(6,807	)
Purchase	Morgan Stanley & Co., Inc.	Mexican Peso		45,147		3,692		7/7/2011		162
Purchase	Morgan Stanley & Co., Inc.	Mexican Peso		45,147		3,788		11/18/2011		17
Sale	Bank of America, N.A.	Australian Dollar		8,794,000		9,162,469		7/29/2011		(233,807	)
Sale	UBS AG	Brazilian Real		255,315		156,252		7/5/2011		(7,129	)
Sale	Morgan Stanley & Co., Inc.	Brazilian Real		137,760		84,645		7/5/2011		(3,510	)
Sale	UBS AG	Brazilian Real		255,315		157,933		8/2/2011		(4,285	)
Sale	JPMorgan Chase Bank, N.A.	Euro		1,949,000		2,812,232		7/18/2011		(12,662	)
Sale	JPMorgan Chase Bank, N.A.	Euro		5,000		7,059		7/18/2011		(188	)
Sale	Morgan Stanley & Co., Inc.	Mexican Peso		45,147		3,838		7/7/2011		(15	)

									$	(243,709	)

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As of June 30, 2011, the International All Cap Equity Fund held the following forward foreign currency contracts:


Type	Counterparty	Currency	Contract Amount in Local Currency		Contract Value in US Dollar		Settlement Date		Unrealized Appreciation/ (Depreciation)
Purchase	UBS AG	British Pound		8,140	$	13,027		7/1/2011	$	38
Purchase	UBS AG	British Pound		13,804		22,120		7/4/2011		34
Purchase	Brown Brothers Harriman	Norwegian Krone		623,357		115,823		7/5/2011		(324	)
Sale	UBS AG	Japanese Yen		1,056,197		13,027		7/1/2011		(93	)
Sale	UBS AG	Japanese Yen		1,793,927		22,120		7/4/2011		(164	)
Sale	CSFB Global Foreign Exchange London	Japanese Yen		279,000		3,467		7/5/2011		1
Sale	Hong Kong Bank Kuala Lumpur	Malaysian Ringgit		21,648		7,175		7/1/2011		6
Sale	Hong Kong Bank Kuala Lumpur	Malaysian Ringgit		59,697		19,823		7/5/2011		61
Sale	Hong Kong Bank Kuala Lumpur	Malaysian Ringgit		8,477		2,805		7/5/2011		9
Sale	Hong Kong Shanghai Bank Seoul	South Korean Won		25,168,987		23,613		7/5/2011		40

									$	(392	)

For the six-month period ended June 30, 2011, the Bond Core Plus Fund and International All Cap Equity Fund had an average notional exposure of $10,725,651 and $31,682,266, respectively, related to forward foreign currency contracts.

The Funds and the Balanced Fund through their investments in other collective funds may have exposure indirectly to this type of derivative instrument.

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 or receipts 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

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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.

As of June 30, 2011, the Bond Core Plus Fund held the following interest rate swap contracts:


				Rate Type
Notional Amount	Swap Counterparty (a)	Termination Date		Floating Rate (b)	Fixed Rate			Market Value			Premiums Paid/ (received)			Unrealized Appreciation/ (Depreciation)
3,908,759 BRL	Morgan Stanley Capital Services Inc.		01/02/2012	CDI-BRL		10.115	%	$	(230,981	)	$	(8,998	)	$	(221,983	)
2,547,544 BRL	UBS Ag		01/02/2012	CDI-BRL		10.575	%		(70,371	)		(4,908	)		(65,463	)
621,657 BRL	UBS Ag		01/02/2012	CDI-BRL		11.020	%		7,204			—			7,204
13,254,914 BRL	Merrill Lynch Capital Services, Inc.		01/02/2014	CDI-BRL		11.860	%		129,243			26,082			103,161
6,233,423 BRL	Barclays Bank PLC		01/02/2014	CDI-BRL		11.990	%		23,850			2,333			21,517
4,605,045 BRL	Morgan Stanley Capital Services Inc.		01/02/2013	CDI-BRL		12.590	%		78,991			5,808			73,183
15,910,274 BRL	Credit Suisse First Boston International		01/02/2013	CDI-BRL		12.480	%		229,342			(3,169	)		232,511
1,455,962 BRL	Barclays Bank PLC		01/02/2013	CDI-BRL		11.910	%		9,398			6,306			3,092
22,800,000 MXN	Morgan Stanley Capital Services Inc.		03/05/2013	CDI-MXN		6.500	%		17,114			(772	)		17,886

								$	193,790		$	22,682		$	171,108

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

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

(c)	CDI – MXN is the interbank lending rate of Mexico as published by the Central Bank of Mexico.

For the six-month period ended June 30, 2011, the Bond Core Plus Fund had an average notional exposure of $4,066,667 related to interest rate swap contracts.

The Funds and the Balanced Fund through their investments in other collective funds may have exposure indirectly to this type of derivative instrument.

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

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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.

As of June 30, 2011, the Bond Core Plus Fund held the following written option contracts:


Written Put Option Contracts	Number of Contracts		Premium
Outstanding , beginning of Year		—	$	—
Options Written		23		23,460
Options Exercised		—		—
Options Expired		—		—
Options Closed		—		—

Outstanding, period end		23		23,460

For the six-month period ended June 30, 2011, the Bond Core Plus Fund had an average notional exposure of $3,910 related to written option contracts.

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. Realized 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.

The Funds and the Balanced Fund through their investments in other collective funds may have exposure indirectly to this type of derivative instrument.

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L. 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 to the Bond Core Plus Fund 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.

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 June 30, 2011 is presented as Deposit with broker or Due to broker, respectively, on the accompanying Statement of Assets and Liabilities.

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


		June 30, 2011
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Futures Contracts (a)	$	574,173	$	—	$	574,173
	Forward Contracts (b)		—		30,909		30,909
	Swap Contracts (c)		458,554		—		458,554

	Total Value	$	1,032,727	$	30,909	$	1,063,636

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		December 31, 2010
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Futures Contracts (a)	$	2,538	$	—	$	2,538
	Forward Contracts (b)		—		80,308		80,308
	Swap Contracts (c)		388,862		—		388,862

	Total Value	$	391,400	$	80,308	$	471,708

Liability Derivatives


		June 30, 2011
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Futures Contracts (a)	$	136,677	$	—	$	136,677
	Forward Contracts (b)		—		274,618		274,618
	Swap Contracts (c)		287,446		—		287,446
	Options Contracts (d)		19,550				19,550

	Total Value	$	443,673	$	274,618	$	718,291


		December 31, 2010
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Futures Contracts (a)	$	813	$	—	$	813
	Forward Contracts (b)		—		738,989		738,989
	Swap Contracts (c)		292,117		—		292,117

	Total Value	$	292,930	$	738,989	$	1,031,919

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

(a)	Net Assets Unrealized-Appreciation/Depreciation (Includes cumulative appreciation/depreciation of futures contracts as reported in Note 2.H: Futures Contracts. Only current day’s variation margin is reported within the Statement of Assets and Liabilities)

(b)	Gross unrealized appreciation/depreciation of forward currency exchange contracts

(c)	Swap contracts, at value

(d)	Options written, at value

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		For the six-month period ended June 30, 2011
		Interest Rate Risk		Foreign Exchange Risk			Total
Bond Core Plus Fund	Realized gain (loss)
	Futures Contracts (a)	$	282,665	$	—		$	282,665
	Forward Contracts (b)		—		(1,023,986	)		(1,023,986	)
	Swap Contracts (c)		—		—			—

	Total Value	$	282,665	$	(1,023,986	)	$	(741,321	)


		For the six-month period ended June 30, 2010
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Realized gain (loss)
	Futures Contracts (a)	$	2,241,768	$	—	$	2,241,768
	Forward Contracts (b)		—		643,517		643,517
	Swap Contracts (c)		195,107		—		195,107

	Total Value	$	2,436,875	$	643,517	$	3,080,392

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


		For the six-month period ended June 30, 2011
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Change in Unrealized Appreciation (Depreciation)
	Futures Contracts (a)	$	435,771	$	—	$	435,771
	Forward Contracts (b)		—		413,143		413,143
	Swap Contracts (c)		80,634		—		80,634
	Written Options (d)		3,910				3,910

	Total Value	$	520,315	$	413,143	$	933,458

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		For the six-month period ended June 30, 2010
		Interest Rate Risk		Foreign Exchange Risk		Total
Bond Core Plus Fund	Change in Unrealized Appreciation (Depreciation)
	Futures Contracts (a)	$	598,458	$	—	$	598,458
	Forward Contracts (b)		—		758,219		758,219
	Swap Contracts (c)		359,492		—		359,492

	Total Value	$	957,950	$	758,219	$	1,716,169

Each of the above derivatives is 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

(d)	Net unrealized appreciation/(depreciation) Written Options

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

Prior to July 1, 2010, State Street had retained the services of the Investment Advisors listed below to advise it with respect to its investment responsibility and had allocated the assets of certain of the Funds among the Investment Advisors. In connection with the substitution of Northern Trust Investments for State Street as trustee of the Collective Trust effective July 1, 2010, State Street terminated the Investment Advisor Agreements between it and the Investment Advisors. Northern Trust Investments entered into successor Investment Advisor Agreements with such Investment Advisors with the same or better terms as the previous contracts with State Street pursuant to which the Investment Advisors continue to provide investment advice to one or more of the Funds offered as investment options under the Program. As of June 30, 2011, the line-up of Investment Advisors to the Funds is as follows:


Investment Advisor		Fund to which the Investment Advisor Provides Investment Advice
Galliard Capital Management, Inc.		Stable Asset Return Fund
Pacific Investment Management Company, LLC		Stable Asset Return Fund and Bond Core Plus Fund
Columbus Circle Investors		Large Cap Equity Fund
C.S. McKee, L.P.		Large Cap Equity Fund
Delaware Investment Advisers		Large Cap Equity Fund
Jennison Associates LLC		Stable Asset Return Fund and Large Cap Equity Fund
Allianz Global Investors Capital LLC		Small-Mid Cap Equity Fund

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Investment Advisor		Fund to which the Investment Advisor Provides Investment Advice
Denver Investment Advisors LLC		Small-Mid Cap Equity Fund
Frontier Capital Management Co. LLC		Small-Mid Cap Equity Fund
LSV Asset Management		Small-Mid Cap Equity Fund and International All Cap Equity Fund
Lombardia Capital Partners, LLC		Small-Mid Cap Equity Fund
Riverbridge Partners LLC		Small-Mid Cap Equity Fund
Systematic Financial Management, L.P.		Small-Mid Cap Equity Fund
TCW Investment Management Company		Small-Mid Cap Equity Fund
Altrinsic Global Advisors LLC		International All Cap Equity Fund
Eagle Global Advisors LLC		International All Cap Equity Fund
First State Investments International Limited		International All Cap Equity Fund
Martin Currie Inc.		International All Cap Equity Fund

Northern Trust Investments has entered into agreements for the services of the Investment Advisors listed above to advise it with respect to its investment responsibility and has allocated the assets of certain of the Funds among the Investment Advisors. Subject to review by Northern Trust Investments, each Investment Advisor invests and reinvests the assets allocated to it in accordance with the investment policies of the applicable Fund as described above. Northern Trust Investments exercises discretion with respect to the selection and retention of the Investment Advisors, consistent with the investment policy for the Program developed by Northern Trust Investments and approved by ABA Retirement Funds. Northern Trust Investments may remove an Investment Advisor at any time and Northern Trust Investments may also change at any time the allocation of assets among Investment Advisors where a fund has more than one Investment Advisor.

In addition, effective July 1, 2010, Northern Trust Investments entered into Investment Management Agreements with State Street Bank pursuant to which the assets of certain of the Funds continue, as of and after July 1, 2010, to be invested in collective investment funds maintained by State Street Global Advisors, a division of State Street Bank. The Investment Management Agreement with State Street Bank with respect to the SARF was terminated on December 8, 2010, while the agreement with respect to the Index Funds remains in place.

A fee is paid to each Investment Advisor 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 incurred for each Investment Advisor during the three-month and six-month periods ended June 30, 2011 and June 30, 2010 are listed below; the annual asset-based fees range from the highest rate of .65% to the lowest rate of .15% among the various Investment Advisors.


Investment Advisor	Fees for the three-month period ended June 30, 2011		Fees for the six-month period ended June 30, 2011		Fees for the three-month period ended June 30, 2010		Fees for the six-month period ended June 30, 2010
Altrinsic Global Advisors, LLC (International All Cap Equity Fund)	$	43,830	$	86,828	$	41,765	$	92,377
C.S. McKee, L.P. (Large Cap Equity Fund)		170,460		340,085		156,622		330,842
Columbus Circle Investors (Large Cap Equity Fund)		169,199		336,775		156,317		277,324
Delaware Investment Advisers (Large Cap Equity Fund)		124,366		247,312		113,450		203,019
Denver Investment Advisors LLC (Small-Mid Cap Equity Fund)		78,987		172,167		66,447		126,563
Eagle Global Advisors LLC (International All Cap Equity Fund)		25,763		50,958		23,883		51,201
First State Investments International Limited (International All Cap Equity Fund)		61,796		121,023		42,706		86,980
Frontier Capital Management Co. LLC (Small-Mid Cap Equity Fund)		34,065		67,674		31,842		62,888

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Investment Advisor	Fees for the three-month period ended June 30, 2011		Fees for the six-month period ended June 30, 2011		Fees for the three-month period ended June 30, 2010		Fees for the six-month period ended June 30, 2010
Galliard Capital Management, Inc. (Stable Asset Return Fund) *		180,773		360,952		—		—
Jennison Associates, LLC (Stable Asset Return Fund) *		43,076		85,679		—		—
Jennison Associates LLC (Large Cap Equity Fund)		103,603		206,020		94,668		208,635
Lombardia Capital Partners, LLC (Small-Mid Cap Equity Fund) **		26,168		26,168		—		—
LSV Asset Management (International All Cap Equity Fund)		43,823		86,723		41,373		75,589
LSV Asset Management (Small-Mid Cap Equity Fund)		57,401		124,696		47,551		91,902
Martin Currie Inc. (International All Cap Equity Fund)		35,326		70,047		33,409		70,515
OFI Institutional Asset Management, Inc. (Small-Mid Cap Equity Fund) ***		—		—		46,259		97,862
Allianz Global Investors Capital LLC (Small-Mid Cap Equity Fund)		37,963		76,236		35,869		70,187
Pacific Investment Management Company LLC (Bond Core Plus Fund)		235,447		453,457		261,843		523,763
Pacific Investment Management Company, LLC (Stable Asset Return Fund) *		96,402		190,362		—		—
Riverbridge Partners (Small-Mid Cap Equity Fund)		42,084		83,336		38,676		77,007
Systematic Financial Management, L.P. (Small-Mid Cap Equity Fund)		56,792		112,850		62,019		122,761
TCW Investment Management Company (Small-Mid Cap Equity Fund)		37,942		75,465		35,213		70,059

	$	1,705,266	$	3,374,813	$	1,329,912	$	2,639,474

*	Fee listed is from December 8, 2010, the date on which such Investment Advisor commenced providing investment advice with respect to the Stable Asset Return Fund.

**	Fee listed is from May 10, 2011, the date on which Lombardia Capital Partners, LLC commenced providing investment advice with respect to the Small-Mid Cap Equity Fund.

***	Effective June 17, 2010, the Investment Advisory Agreement between OFI Institutional Asset Management, Inc. and State Street was terminated.

Program Fee

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 based on net asset value and are accrued daily and paid monthly from the assets of the Funds.

The ABA Retirement Funds Program fee is based on the value of Program assets and the following annual fee rate in effect during the six-month period ended June 30, 2011 and during the year ended December 31, 2010:

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Value of 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	%

For the three-month periods ended June 30, 2011 and June 30, 2010 and for the six-month periods ended June 30, 2011 and June 30, 2010, the ABA Retirement Funds received Program fees of $694,170, $636,168, $1,360,847 and $1,260,884, respectively. This Program fee is accrued daily and paid monthly based on the aggregate assets of the Funds and the Balanced Fund as of the last business day of the preceding month. The Funds and the Balanced Fund bear their respective portions of this Program fee pro rata based on their respective net assets as of the time of calculation thereof.

Effective 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	%

For the three-month periods ended June 30, 2011 and June 30, 2010 and for the six-month periods ended June 30, 2011 and June 30, 2010, the Program fee paid to ING Services was $4,973,965, $4,490,514, $9,802,043 and $8,871,122, respectively.

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. 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. A service penalty of $50,000 was imposed on ING Services during the six-month period ended June 30, 2011, and is reflected net of the fees stated above.

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 Northern Trust. No separate fee is charged for benefit payments; rather, Northern Trust retains any earnings attributable to outstanding benefit checks, and these earnings have been taken into account in setting Northern Trust’s fees under the Program.

Trust Management, Administration and Custody Fee

A fee was paid to State Street Bank for the six-month period ended June 30, 2010 for its trust management, administration and custody of the assets in the investment options (other than Self-Managed Brokerage Accounts). This trust, management, administration and custody fee was accrued daily and paid monthly at the following annual

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rates based on the aggregate assets of the Funds and the Balanced Fund as of the last business day of the preceding month:


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

For the three-month and six-month periods ended June 30, 2010, State Street Bank received trust, management and administration fees of $843,186 and $1,683,013, respectively.

From on or about July 1, 2009 through June 30, 2010, the Collective Trust paid Northern Trust an annual fee of $500,000 for its services as investment fiduciary. Northern Trust’s annual fee accrued on a daily basis and was paid monthly from the assets of the respective Funds, which bore their respective portions of this fee based on their respective net asset values as of the time of calculation of the fee. For the six month period ended June 30, 2010, the investment fiduciary fee paid to Northern Trust totaled $250,000.

Effective July 1, 2010, a fee is paid to Northern Trust 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, excluding the Retirement Date Funds, at the following annual rates:


Value of Assets	Rate
First $1 billion		.115	%
Next $2 billion		.080	%
Over $3 billion		.065	%

Northern Trust is paid a trust, management and administration fee at an annual rate of .115% of the value of assets held by the respective Retirement Date Funds.

For the three-month and six-month periods ended June 30, 2011, Northern Trust received trust, management and administration fees of $875,308 and $1,717,693, respectively.

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.

Until June 30, 2010, the fees for the indexed portions of the Managed Funds and the fees for the respective Index Funds were 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	%

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

Effective July 1, 2010, 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		.04	%
Mid Cap Index Equity Fund		.04	%
Small Cap Index Equity Fund		.04	%
International Index Equity Fund		.12	%
Large Cap Equity Fund		.03	%
Small-Mid Cap Equity Fund		.04	%
International All Cap Equity Fund		.12	%

State Street Bank received the following fees paid from the Funds listed below during the three-month and six-month periods ended June 30, 2011 and June 30, 2010:


	Fees for the three-month period ended June 30, 2011		Fees for the six-month period Ended June 30, 2011		Fees for the three-month period ended June 30, 2010		Fees for the six-month period Ended June 30, 2010
Bond Index Fund	$	6,110	$	12,181	$	4,284	$	8,174
Large Cap Index Equity Fund		3,050		5,995		1,978		3,774
All Cap Index Equity Fund		27,154		57,513		33,767		66,712
Mid Cap Index Equity Fund		5,509		10,779		3,938		7,290
Small Cap Index Equity Fund		3,456		6,744		2,427		4,452
International Index Equity Fund		15,951		31,100		7,072		13,519
Large Cap Equity Fund		6,664		9,500		8,343		20,907
Small-Mid Cap Equity Fund		2,760		3,744		940		1,632
International All Cap Equity Fund		4,211		6,658		2,052		3,114

	$	74,865	$	144,214	$	64,801	$	129,574

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The Real Asset Return Fund is subject to an annual management fee of .078% of the assets invested in the Real Asset Return Fund, payable to State Street Bank. The fee is accrued daily and paid monthly. Prior to July 1, 2010, the Real Asset Return Fund was subject to a management fee of .09% of the total assets invested in the Real Asset Return Fund, payable to State Street Bank. For the three-month periods ended June 30, 2011 and June 30, 2010, and for the six-month periods ended June 30, 2011 and June 30, 2010, State Street Bank received Real Asset Return Fund management fees of $3,779, $1,929, $6,642 and $3,329, respectively.

The Retirement Date Funds are subject to an annual management fee of .10% of the assets invested in the Retirement Date Funds, payable to State Street Bank. The fee is accrued daily and paid monthly. For the three-month periods ended June 30, 2011 and June 30, 2010, and for the six-month periods ended June 30, 2011 and June 30, 2010, State Street Bank received Retirement Date Funds management fees of $109,845, $87,372, $219,694 and $170,479, respectively.

Effective July 1, 2010, the Target Risk Funds are subject to an annual management fees of .042%, .055% and .063% of the assets invested in the Conservative Risk Fund, Moderate Risk Funds and Aggressive Risk Fund, respectively, payable to State Street Bank. The fee is accrued daily and paid monthly. Prior to July 1, 2010, the Target Risk Funds were subject to an annual management fee of .06% of the assets invested in the Target Risk Funds, payable to State Street Bank. For the three-month periods ended June 30, 2011 and June 30, 2010, and for the six-month periods ended June 30, 2011 and June 30, 2010, State Street Bank received Target Risk Fund management fees of $9,714, $5,314, $18,651 and $9,429, respectively.

Investment Advisor Fees –Managed Funds

From July 1, 2010 through December 8, 2010, the Stable Asset Return Fund paid State Street Bank a fee at the annual rate of .05% of the assets of the Fund, which was accrued on a daily basis and paid monthly from the assets of the Fund. The amount paid to State Street Bank for the period from July 1, 2010 through December 8, 2010 was $217,418. No fee structure was in place prior to July 1, 2010.

Effective December 8, 2010, the new investment advisors for the Stable Asset Return Fund are paid a weighted average fee at an annual rate of approximately .15%.

If the aggregate market value of the Bond Core Plus Fund’s assets and the assets of certain other unaffiliated accounts totals $600 million or above (as of June 30, 2011, the aggregate value of such assets was $2.3 billion), the Fund pays its Investment Advisor a fee at the following annual rate:


Value of Assets	Rate
First $600 million		.25	%
Next $700 million		.20
Over $1300 million		.15

If the aggregate market value of the Fund’s assets and the assets of certain other unaffiliated accounts falls below $600 million, the following fee schedule applies:


Value of Assets	Rate
First $25 million		.50	%
Next $25 million		.375
Over $50 million		.25

The table below provides the respective blended annual rates of aggregate fees payable by each of the Large Cap Equity Fund, the Small-Mid Cap Equity Fund and the International All Cap Equity Fund to its respective Investment Advisors. These aggregate advisory fee rates are stated as a percentage of the assets of each Fund and are calculated utilizing assets, fee rates and asset allocations as of June 30, 2011:


Fund	Rate
Large Cap Equity Fund		.285	%
Small-Mid Cap Equity Fund		.476
International All Cap Equity Fund		.493

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Northern Trust Investments is paid a fee of .15% of the excess cash in the Managed Funds (Large Cap Equity Fund, Small-Mid Cap Equity Fund, International All Cap Equity Fund, Bond Core Plus Fund and the SARF) that is swept to the STIF for the Managed Funds and to the GSTIF for the SARF. Northern Trust Investments was paid $5,004, $2,059, $1,628, $1,078 and $41,145 for the three-month period ended June 30, 2011, and was paid $9,722, $4,247, $3,072, $2,196 and $82,044 for the six-month period ended June 30, 2011, from the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International All Cap Equity Fund, Bond Core Plus Fund and the SARF, respectively.

The Balanced Fund ceased offering its units on July 2, 2009 and investment of the equity portion of the Balanced Fund was invested through the Large Cap Equity Fund and investment of the debt portion of the Balanced Fund was invested through the Bond Core Plus Fund. Effective with this change, fees are no longer charged directly to the Balanced Fund as the fees are charged to the Large Cap Equity Fund and the Bond Core Plus Fund in which the Balanced Fund invests.

Operational and Offering Costs

Recurring expenses incurred in connection with operating the Collective Trust, such as printing, legal, registration, consulting and auditing expenses, are considered operational expenses and are accrued throughout the year. For the three-month and six-month periods ended June 30, 2011, these expenses totaled $723,798 and $1,439,750, respectively. Fees in the amount of approximately $54,567 for the registration of $470 million of Units with the SEC were paid during 2011 and are an operational cost. These operational costs are allocated to all of the Funds and the Balanced Fund based on net assets.

For purposes of these fee allocations, assets of the Balanced Fund invested through the Large Cap Equity Fund or the Bond Core Plus Fund are included under the Large Cap Equity Fund or the Bond Core Plus Fund, as applicable, and not under the Balanced Fund.

4. Purchases and Sales of Securities

The aggregate cost of purchases and proceeds from sales of securities and the Funds’ assets invested in collective investment funds, excluding U.S. Government securities and short-term investments were as follows:


	For the six-month period ended June 30, 2011
	Purchases		Sales
Bond Core Plus Fund	$	17,180,544	$	5,180,547
Large Cap Equity Fund		255,191,709		302,418,482
Small-Mid Cap Equity Fund		199,184,076		216,766,163
International All Cap Equity Fund		37,485,362		41,594,372
Bond Index Fund		10,411,628		3,903,510
Large Cap Index Equity Fund		12,049,165		5,481,175
All Cap Index Equity Fund		6,886,659		16,814,854
Mid Cap Index Equity Fund		19,363,647		3,885,105
Small Cap Index Equity Fund		11,992,330		3,750,943
International Index Equity Fund		11,188,550		1,377,764
Real Asset Return Fund		10,044,712		2,904,645
Lifetime Income Retirement Date Fund		3,764,617		4,321,308
2010 Retirement Date Fund		6,745,497		12,598,641
2020 Retirement Date Fund		17,469,087		9,887,900
2030 Retirement Date Fund		10,861,634		10,484,906
2040 Retirement Date Fund		8,321,279		3,179,951
Conservative Risk Fund		8,820,248		6,813,443

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	For the six-month period ended June 30, 2011
	Purchases		Sales
Moderate Risk Fund		17,020,161		7,235,503
Aggressive Risk Fund		6,601,985		4,131,085
Balanced Fund		11,976,372		32,645,026

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


	For six-month period ended June 30, 2011
	Purchases		Sales
Bond Core Plus Fund	$	476,889,878	$	527,730,252

5. Risks Associated with Investments of the Collective Trust

The Funds and the Balanced Fund are subject to a variety of market and financial risks applicable to those markets. 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 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 prevailing 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 is dependent 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 quality, 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, Funds that invest in fixed income securities may rely on ratings issued by one or more nationally recognized credit rating agencies to assess the credit quality of securities in

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Unaudited

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.

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 2010 which adversely affected the Funds and the Balanced Fund to the extent invested in those sectors during 2010.

6. Securities Lending

Certain Funds and the Balanced Fund are authorized to participate in the direct 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 ABA Members Collateral Fund (as defined below).

Effective July 1, 2010 and thereafter, the Funds that directly engage in securities lending (Bond Core Plus Fund, International All Cap Equity Fund, Large Cap Equity Fund and Small-Mid Cap Equity Fund) and the Balanced Fund which indirectly engages in securities lending no longer invest in the State Street Quality D Short-Term Investment Fund (“Quality D”). Instead, the cash collateral received by the Funds that directly engage in securities lending was reinvested in a newly formed cash collateral pooled fund (the “ABA Members Collateral Fund”) managed by State Street Bank as securities lending agent (“Lending Agent”) and dedicated solely to the Funds that directly engage in securities lending. At the time of its formation, the ABA Members Collateral Fund had a comparable investment portfolio and net asset value per unit as did Quality D. Thereafter, the overall level of securities loans made by the Funds will have a direct impact on the overall level of cash collateral held in the ABA Members Collateral Fund. For purposes of daily admissions and redemptions, the short-term portfolio instruments in the ABA Members Collateral Fund are currently valued on the basis of amortized cost, as provided for in the Investment Guidelines of the ABA Members Collateral Fund. Participant units in the ABA Members Collateral Fund are issued and redeemed on each business day (“valuation date”). Participant units in the ABA Members Collateral Fund, were, through June 30, 2011, 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 the ABA Members Collateral Fund, the Lending Agent will notify the Trustee that “special circumstances” exist and continued redemption at a constant $1.00 net asset value would create inequitable results for the unitholders. In these circumstances, the Lending Agent, in its sole discretion and acting in a manner it deems appropriate and fair on behalf of all of the 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 ABA Members Collateral Fund’s per unit net asset values, and the net asset value of the Funds and the Balanced Fund investing directly or indirectly in the ABA Members Collateral Fund, are reflected 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 GAAP valuation of the ABA Members Collateral 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.

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During the year ended December 31, 2010, certain Funds (the All Cap Index Equity Fund and the Retirement Date Funds) also invested in collective investment funds which lend a portion of their securities to qualified Borrowers under identical collateral requirements described above. In July 2010, State Street Bank notified clients that, effective August 2010, they were terminating the withdrawal limitations that were put in place in March 2009 relating to the State Street Bank common and collective trust funds that engage in securities lending. The Trustee determined it was in the best interests of the Collective Trust to redeem the remaining balance from the State Street Bank collective lending funds which redemption was completed on September 16, 2010. From and after September 16, 2010, the All Cap Index Equity Fund and the Retirement Date Funds are non-lending funds.

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 June 30, 2011, the Funds’ fair value of securities on loan and investments of collateral value received at amortized cost and fair value for securities loaned was as follows:


			Investments of Collateral Received
Fund	Fair Value of Loaned Securities		Amortized Cost		Fair Value
Bond Core Plus Fund	$	33,725,267	$	34,404,928	$	34,069,032
Large Cap Equity Fund		33,626,927		34,411,791		34,075,828
Small-Mid Cap Equity Fund		64,761,761		66,374,658		65,726,642
International All Cap Equity Fund		6,259,077		6,553,806		6,489,821

Units of the ABA Members Collateral Fund continue to be issued and redeemed at a constant $1.00 net asset value per unit; however, certain dollar amount withdrawal limitations would apply to redemptions in connection with discontinuing participation in the securities lending program. At June 30, 2011, the market value of the investments in the ABA Members Collateral Fund, as reported by its trustee, was approximately 99.024% of amortized cost. The accompanying financial statements of the Funds and the Balanced Fund have valued their direct investments in the ABA Members Collateral Fund at their fair values, and have recognized unrealized losses. However, the Funds and the Balanced Fund have continued to value their investments in the ABA Members Collateral Fund for purposes of participant transactions at the amortized cost-based values used by the ABA Members Collateral Fund for daily transactions.

7. Participant Ownership

As of June 30, 2011, the following Fund had a participant owning greater than 5% of the outstanding units of such Fund: One participant owned 6.10% of the outstanding units of the 2010 Retirement Date Fund.

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Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Quarter and Six Month Period Ended June 30, 2011

Stable Asset Return Fund

The Stable Asset Return Fund seeks to provide current income consistent with the preservation of principal and liquidity. The Stable Asset Return Fund invests in investment contracts, which we refer to as Traditional Investment Contracts, so-called “Synthetic GICs” with associated underlying assets, and high-quality, fixed-income instruments. Such investments may be made directly by the Fund or indirectly through its investment in other collective investment funds maintained by one or more banks, including Northern Trust Investments, Inc., which we refer to as Northern Trust Investments.

For the quarter ended June 30, 2011, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.25%. By comparison, the 3 Year Constant Maturity Treasury Yield produced an investment record of 0.24% for the same period. The 3 Year Constant Maturity Treasury Yield does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that benchmark or for fund expenses. Further, the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average produced an investment record of 0.46% for the period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 0.53%. By comparison, 3 Year Constant Maturity Treasury Yield produced an investment record of 0.53% for the same period while the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average produced an investment record of 0.95% for the 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 benchmark or for fund expenses.

Effective with the reorganization of the Stable Asset Return Fund on December 8, 2010, the benchmark for the Fund is the 3 Year Constant Maturity Treasury Yield. The Stable Asset Return Fund outperformed the 3 Year Constant Maturity Treasury Yield but underperformed the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average (the historical benchmark prior to the reorganization of the Fund) for the quarter ended June 30, 2011. The fund’s market to book value ratio increased slightly during the quarter from 101.3% to 102.0%, reflecting strong performance in the underlying fixed income bond portfolios. Positions in government agency mortgage backed securities and the defensive corporate sectors all posted positive excess returns. The credit quality of the underlying bond portfolios remained high with 78% of the securities rated U.S. Treasury/Agency or AAA.

The Stable Asset Return Fund performed in line with the 3 Year Constant Maturity Treasury Yield but underperformed the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average for the six month period ended June 30, 2011. During this time, an underweight to Treasurys added value, though the yield moderately fell as interest reinvestment rates remained low. The current crediting rate of 1.7% will increase to approximately 2.0% as of August 1, 2011 based on data available on June 30, 2011. For a further discussion of the Fund’s crediting rate, please see Note 2, “Summary of Significant Accounting Policies—Stable Asset Return Fund (‘SARF’).”

Bond Core Plus Fund

The Bond Core Plus 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 June 30, 2011, 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 1.67%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 2.29% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 2.19%, compared to an investment record of 2.72% for the benchmark 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 underperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended June 30, 2011. Falling interest rates as well as continued sovereign debt concerns in Greece drove the underperformance.

The Bond Core Plus Fund underperformed the Barclays Capital U.S. Aggregate Bond Index for the six month period ended June 30, 2011. Falling interest rates in the second quarter (reversing the course of the first quarter) as well as continued sovereign debt concerns in Greece drove the underperformance.

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Large Cap Equity Fund

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 Northern Trust Investments. 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 Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended June 30, 2011, the Large Cap Equity Fund experienced a total return, net of expenses, of 1.08%. By comparison, the Russell 1000^® Index produced an investment record of 0.12% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 6.84%, compared to an investment record of 6.37% for the benchmark 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 quarter ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 23% as of June 30, 2011) 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. Strong stock selection in the defensive-oriented healthcare sector more than overcame weakness within the industrials sector. In contrast to the first quarter, higher quality and larger capitalization companies which are typically the focus of the investment discipline exhibited stronger relative performance.

For the quarter ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Led by the financials and healthcare sectors, six sectors exhibited strong performance. Despite weakness among the banks and other financials, holdings in American Express were a major contributor, with the stock rising over 15% on shrinking loan losses and increased spending by more affluent consumers.

For the quarter ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Outperformance was driven by an underweight to financials as well as an overweight and good stock selection in healthcare, which was the best performing sector in the index.

For the quarter ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 20% as of June 30, 2011) 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. Gains were strong in consumer staples, consumer discretionary, and healthcare sectors, while the energy, information technology, industrials, and financials sectors performed poorly. Consumer discretionary positions contributed most to portfolio returns as both security selection and an overweight position in the sector were beneficial.

For the six month period ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 23% as of June 30, 2011) 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. Poor stock selection within technology and financials sectors and an underweight in energy were most detrimental to performance.

For the six month period ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. An underweight to the poor performing financials sector as well as strong stock selection in the healthcare sector were the primary drivers of outperformance.

For the six month period ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. The primary drivers of performance were an underweight to the poor performing financials sector and positive stock selection in the energy and healthcare sectors.

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For the six month period ended June 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 20% as of June 30, 2011) 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. Gains were strongest in the utilities, healthcare, energy, and consumer staples sectors. Security selection and an overweight position in consumer discretionary and information technology were also positive.

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.

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 Northern Trust Investments. 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 Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended June 30, 2011, the Small-Mid Cap Equity Fund experienced a total return, net of expenses, of -1.0%. By comparison, the Russell 2500™ Index produced an investment record of -0.59% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 7.61%, compared to an investment record of 8.06% for the benchmark 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 June 30, 2011, 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 June 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. While there are several sectors that provided positive results during the quarter, the three most significant contributors were the healthcare, energy and consumer staples sectors. However, consumer cyclicals and utilities were modest detractors.

For the period from on or about May 10, 2011 (the date on which Lombardia Capital Partners, LLC commenced providing investment assistance with respect to the Small Mid-Cap Equity Fund) to June 30, 2011, the portion of the Small Mid-Cap Equity Fund advised with the assistance of Lombardia Capital Partners, LLC (approximately 14% as of June 30, 2011) 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. Good stock selection in five of ten sectors was modestly offset by weak selection in the industrials and health care sectors.

For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of June 30, 2011) 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. Overweights to the industrials and information technology sectors were the leading contributors to underperformance. Additionally, stock selection in materials and processing detracted from relative performance.

For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 14% as of June 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. An overweight to information technology as well as an underweight to the utilities sector were the leading drivers of underperformance. A slightly smaller average capitalization size as well as a value bias relative to the Index also detracted from performance.

For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 10% as of June 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection in technology accounted for the vast majority of the portfolio’s underperformance as many of the winners earlier in the year fell and were sold off in profit-taking and sector rotation. Returns were also curtailed to a lesser extent by security selection in healthcare and an overweight to energy.

For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection in the information technology sector was a lead driver of performance. Additionally, stock selection in, and an overweight to, the healthcare sector helped produce positive returns, while stock selection in the consumer sectors detracted from performance.

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For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 14% as of June 30, 2011) 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. Outperformance was driven primarily by stock selection, while sector allocation, in aggregate, detracted from results. Stock selection in the consumer discretionary, information technology and industrials sectors added the most value, while the healthcare and consumer staples sectors performed poorly.

For the quarter ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Strong stock selection in both the information technology and consumer staples sectors were the leading drivers of outperformance. Stock selection in retailers and consumer discretionary also added value.

For the six month period ended June 30, 2011, 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 June 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. The top contributing sectors in the first six months of the year were consumer staples, basic materials, and interest rate sensitive securities. Within the consumer staples holdings, Tupperware Brands was the key driver in the sector’s outperformance. However, holdings in the technology, utilities, and REIT sectors detracted from performance.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of June 30, 2011) 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. Performance was hindered most by stock selection within the consumer discretionary sector. While no single stock was down substantially, a number were negatively affected by rising oil prices, which tends to depress consumer spending.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 14% as of June 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. An overweight to information technology as well as an underweight to the utilities sector were the leading drivers of underperformance. A slightly smaller average capitalization size as well as a value bias relative to the Index also detracted from performance.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 10% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Security selection in the technology and consumer discretionary sectors contributed positively during this time period. Atheros Communications and Terremark Worldwide were two of the largest contributors to the portfolio for the period as both contracted to be acquired at premiums in the month of January.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of June 30, 2011) positively contributed to the performance of the Fund, but underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. While stock selection within the information technology sector contributed to the performance of the portfolio, this was offset slightly by the portfolio’s underweight to the energy sector, which benefitted from rising crude oil prices.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 14% as of June 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Outperformance was driven primarily by stock selection, while sector allocation, in aggregate, detracted from results. Stock selection in the consumer discretionary, information technology and industrials sectors added the most value, while the healthcare and consumer staples sectors performed relatively poorly.

For the six month period ended June 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of June 30, 2011) positively contributed to the performance of the

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Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Stock selection in the information technology, consumer staples, energy and healthcare sectors all contributed to strong relative returns.

International All Cap Equity Fund

The International All Cap 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 international (non-U.S.) stock markets.

For the quarter ended June 30, 2011, the International All Cap Equity Fund experienced a total return, net of expenses, of 2.13%. By comparison, the Morgan Stanley Capital International (“MSCI”) All-Country World (“ACWI”) ex-US Index produced an investment record 0.38% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 5.42%, compared to an investment record of 3.80% for the benchmark 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 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 Northern Trust Investments. 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 Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI Europe, Australasia, Far East (“EAFE”) Value ND Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily driven by an underweight in financials as well as positions in the healthcare and consumer staples sectors.

For the quarter ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 15% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. An overweight to information technology and an underweight to materials were the primary drivers of strong performance. Performance was also enhanced by good stock selection in eight of the ten sectors as well as an underweight to Japan.

For the quarter ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 22% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Stock selection in Taiwan was positive over the quarter, particularly in the technology sector. An overweight in the consumer staples sector and stock selection in the telecom services sector were also positive to relative performance.

For the quarter ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. In general, sector allocation was slightly negative over the period, although stock selection added value. An overweight along with positive stock selection in the healthcare sector also improved relative performance.

For the quarter ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Outperformance was driven largely by stock selection and, in particular, a bias towards higher quality stocks. From a sector standpoint, consumer discretionary, telecommunications, materials, energy, healthcare and industrials all added value.

For the six month period ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of June 30, 2011) positively contributed to the performance of the Fund, but underperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Holdings in the information technology, industrial, and materials sectors all had a negative impact on relative performance.

For the six month period ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 15% as of June 30, 2011) positively contributed to the performance of the Fund, as

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well as outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Stock selection in the financials, energy and industrials sectors all contributed to performance and was positive in seven of ten sectors. Regionally, the portfolio benefited from being underweight to Japan and overweight to Germany and Switzerland during the period.

For the six month period ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 22% as of June 30, 2011) negatively contributed to the performance of the Fund, but outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. An overweight position and strong stock selection in the telecom services sector and stock selection in the financials sector produced positive relative returns over the six month period. Regionally, the portfolio benefited from stock selection in Taiwan.

For the six month period ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. An overweight to the healthcare sector added value, and stock selection was strong in the healthcare, financials, and telecom sectors.

For the six month period ended June 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of June 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily driven by stock selection, with sector allocation mildly detracting from performance. Stock selection was also particularly strong in the consumer discretionary, healthcare, industrials and energy sectors.

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 June 30, 2011, the Bond Index Fund experienced a total return, net of expenses, of 2.02%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 2.29% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 2.27%, compared to an investment record of 2.72% for the benchmark 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 and six month period ended June 30, 2011 was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking expenses into account.

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 market capitalization.

For the quarter ended June 30, 2011, the Large Cap Index Equity Fund experienced a total return, net of expenses, of -0.11%. By comparison, the S&P 500 produced an investment record of 0.10% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 5.64%, compared to an investment record of 6.02% for the benchmark 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 and six month period ended June 30, 2011 was consistent with the S&P 500 after taking expenses into account.

All Cap Index Equity Fund

The All Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of 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.

For the quarter ended June 30, 2011, the All Cap Index Equity Fund experienced a total return, net of expenses, of -0.19%. By comparison, the Russell 3000 Index produced an investment record of -0.03% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 5.99%, compared to an investment record of 6.35% for the benchmark 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.

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The performance of the All Cap Index Equity Fund for the quarter and six month period ended June 30, 2011 was consistent with the Russell 3000 Index after taking into account expenses.

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 June 30, 2011, represented approximately 7% of the U.S. equity market based on market capitalization.

For the quarter ended June 30, 2011, the Mid Cap Index Equity Fund experienced a total return, net of expenses, of -0.93%. By comparison, the S&P MidCap 400 produced an investment record of -0.73% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 8.14%, compared to an investment record of 8.56% for the benchmark 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 and six month period ended June 30, 2011 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.

For the quarter ended June 30, 2011, the Small Cap Index Equity Fund experienced a total return, net of expenses, of -1.79%. By comparison, the Russell 2000 Index produced an investment record of -1.61% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 5.81%, compared to an investment record of 6.21% for the benchmark 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 and six month period ended June 30, 2011 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 1,870 securities in 44 markets, with securities of emerging markets representing approximately 24% of the Index.

For the quarter ended June 30, 2011, the International Index Equity Fund experienced a total return, net of expenses, of 0.30%. By comparison, the MSCI ACWI ex-US Index produced an investment record of 0.38% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 3.46%, compared to an investment record of 3.80% for the benchmark 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 and six month period ended June 30, 2011 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 and Trust Company, which we refer to as State Street Bank. During the quarter ended June 30, 2011, 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.

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The composite benchmark for the Real Asset Return Fund is the composite investment record of the benchmarks for the three underlying asset classes to which the Real Asset Return Fund allocates assets. During the quarter ended June 30, 2011, 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 was weighted based on the Fund’s target allocations to the asset classes to which these underlying benchmarks relate.

For the quarter ended June 30, 2011, the Fund experienced a total return, net of expenses, of 0.99%. By comparison, the composite benchmark produced an investment record of 1.23% for the same period. For the six month period ended June 30, 2011, the Fund experienced a total return, net of expenses, of 4.81%, compared to an investment record of 5.29% for the benchmark for the same period. None of the indices comprising the composite benchmark includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of the Real Asset Return Fund for the quarter and six month period ended June 30, 2011 was consistent with its composite benchmark after taking expenses into account.

Retirement Date Funds

The Retirement Date Funds provide a series of diversified investment funds each of which is designed to correspond to a particular time horizon to retirement. Each Retirement Date Fund has an initial investment strategy representing specific risk and reward characteristics that take into account 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 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 considerably 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 retiring in or around the year 2010. The 2020 Retirement Date Fund currently seeks to provide a mix of long-term capital appreciation and stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide mostly 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 June 30, 2011, 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 Non-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 Non-Lending Series Fund, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund, the SSgA S&P MidCap^® Index Non-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 investment record of the respective benchmarks for the underlying asset classes to which each Retirement Date Fund allocates its assets from time to time. During the quarter ended June 30, 2011, 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 IMI 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 underlying benchmarks relate.

For the quarter ended June 30, 2011, the Retirement Date Funds experienced a total return, net of expenses, of 1.31% for the Lifetime Income Retirement Date Fund, 1.37% for the 2010 Retirement Date Fund, 0.76% for the 2020 Retirement Date Fund, 0.36% for the 2030 Retirement Date Fund and 0.00% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 1.54%, 1.59%, 0.92%, 0.52% and 0.20%, respectively, for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the quarter ended June 30, 2011 was consistent with its respective composite benchmark after taking into account expenses.

For the six month period ended June 30, 2011, the Retirement Date Funds experienced a total return, net of expenses, of 3.78% for the Lifetime Income Retirement Date Fund, 4.07% for the 2010 Retirement Date Fund, 4.55% for the 2020 Retirement Date Fund,

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4.82% for the 2030 Retirement Date Fund and 4.95% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 4.24%, 4.60%, 4.95%, 5.15% and 5.38%, respectively, for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the six month period ended June 30, 2011 was consistent with its respective composite benchmark after taking into account expenses and the effect of participation in securities lending.

Target Risk Funds

The Target Risk Funds provide a series of diversified investment funds each of which is designed to correspond to a particular investment risk level. Each Target Risk Fund has an investment strategy representing specific 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 26%). 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.

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 June 30, 2011, 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 Dow Jones UBS-Commodity Index Non-Lending Series Fund.

The composite benchmark for each of the Target Risk Funds is the composite investment record of the respective benchmarks for the underlying asset classes to which each Target Risk Fund allocates its assets. During the quarter ended June 30, 2011, 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 Merrill Lynch 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 underlying benchmarks relate.

For the quarter ended June 30, 2011, the Target Risk Funds experienced a total return, net of expenses, of 1.88% for the Conservative Risk Fund, 0.90% for the Moderate Risk Fund and 0.18% for the Aggressive Risk Fund. By comparison, the composite benchmark for each Target Risk Fund produced an investment record of 2.05%, 1.09% and 0.36%, respectively, for the same period. For the six month period ended June 30, 2011, the Target Risk Funds experienced a total return, net of expenses, of 3.84% for the Conservative Risk Fund, 4.25% for the Moderate Risk Fund and 4.85% for the Aggressive Risk Fund, compared to an investment record of 4.23%, 4.69% and 5.22%, respectively, of the respective composite benchmark for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Target Risk Fund for the quarter and the six month period ended June 30, 2011 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 June 30, 2011, the Balanced Fund experienced a total return, net of expenses, of 1.34%. 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 1.00% for the same period. For the six month period ended June 30, 2011, the Balanced Fund experienced a total return, net of expenses, of 4.99%, as compared to an investment record of 4.93% for the benchmark for the 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.

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For the quarter ended June 30, 2011, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, outperformed the Russell 1000 Index. For the six month period ended June 30, 2011, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, outperformed the Russell 1000 Index. Please refer to the discussion of the investment performance of the Large Cap Equity Fund for such periods, above, for a description of the performance of the equity segment of the Balanced Fund for such periods.

For the quarter ended June 30, 2011, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed the Barclays Capital U.S. Aggregate Bond Index. For the six month period ended June 30, 2011, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed the Barclays Capital U.S. Aggregate Bond Index. Please refer to a discussion of the investment performance of the Bond Core Plus Fund for such periods, above, for a description of the performance of the debt segment of the Balanced Fund for such periods.

Quarter and Six Month Period Ended June 30, 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 and managed 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 June 30, 2010, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.34%. 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 0.64% 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 credit quality, the combination benchmark less 0.5% per year, on an annualized basis, produced an investment record of 0.52% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of 0.71%, compared to an investment record of 1.33% for the combination benchmark for the same period and an investment record of 1.08% for the combination benchmark less 0.5% per year 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 June 30, 2010. The portfolio’s interest rate sensitivity and asset allocation continue to be managed in a conservative fashion with investments remaining focused on Treasurys, agency debentures and agency mortgaged-backed securities. The decline in interest rates during the quarter improved the market-to-book ratio but also reduced the yield in the portfolio. The duration of the portfolio was reduced during the quarter, which will be a benefit in the event of an increase in interest rates or widening in credit spreads.

The Stable Asset Return Fund underperformed the combination benchmark less 0.5% per year for the six month period ended June 30, 2010. As a whole, the portfolio has been positioned more conservatively and with a shorter duration bias than the combination benchmark. While this conservative posture has been a positive in these volatile markets, the short duration positioning has been a negative factor as rates have recently rallied approximately 50 basis points. With shorter-term interest rates at or near historic lows, the portfolio’s positioning leads to a lower yield than the benchmark. However, the portfolio 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 June 30, 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 3.06%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 3.49% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of 4.94%, compared to an investment record of 5.33% for the benchmark 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.

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The Bond Core Plus Fund underperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended June 30, 2010. Underperformance was primarily attributable to a small allocation to high yield corporate bonds and a focus on financials in the investment grade corporate sector. An overweight to the U.S. added value, as did the portfolio’s curve steepening bias.

The Bond Core Plus Fund underperformed the Barclays Capital U.S. Aggregate Bond Index for the six month period ended June 30, 2010. A small allocation to high yield corporate bonds detracted from returns as corporate bonds underperformed like-duration Treasuries. However, a focus on high yield bank credits mitigated negative returns as banking credit spreads tightened in June.

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 June 30, 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 Northern Trust Investments, N.A., which we refer to as Northern Trust Investments. 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 Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended June 30, 2010, the Large Cap Equity Fund experienced a total return, net of expenses, of -11.88%. By comparison, the Russell 1000 Index produced an investment record of -11.44% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -7.24%, compared to an investment record of -6.40% for the benchmark 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 quarter ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 21% as of June 30, 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. Negative stock selection in the consumer discretionary sector, primarily among retail holdings, had the biggest negative impact on relative returns. Within the information technology sector, favorable issue selection, primarily within the semiconductor sector, added value.

For the quarter ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 27% as of June 30, 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. Solid issue selection in the consumer discretionary and healthcare sectors boosted relative returns. However, poor stock selection within the energy sector accounted for a significant portion of the performance shortfall.

For the quarter ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 25% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Outperformance was attributable to a combination of good stock selection and sector allocations. Given the pull-back in the market, the portfolio’s overweight to defensive sectors like healthcare and consumer staples added relative value.

For the quarter ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 18% as of June 30, 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. Underperformance was primarily attributable to poor stock selection. Stock selection in the consumer discretionary, financial and healthcare sectors had the greatest impact on relative performance of the portfolio.

For the quarter ended June 30, 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. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

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 June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 21% as of June 30, 2010) positively contributed to the performance

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of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Favorable stock selection and no exposure to the energy sector positively contributed to relative results.

For the six month period ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 27% as of June 30, 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. Stock selection was the main driver of performance during the period, while the biggest detractors were investments in the energy and technology sectors.

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 June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 25% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily attributable to stock selection, especially within the healthcare, materials and information technology sectors.

For the six month period ended June 30, 2010, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 18% as of June 30, 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. Underperformance in the period was primarily attributable to stock selection, with technology, consumer discretionary and financial sectors detracting the most from relative results.

For the six month period ended June 30, 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. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

Small-Mid Cap Equity Fund

For the quarter ended June 30, 2010, the Small-Mid Cap Equity Fund experienced a total return, net of expenses, of -9.65%. By comparison, the Russell 2500^TM Index produced an investment record of -10.00% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -0.90%, compared to an investment record of -1.70% for the benchmark 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. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

For the quarter ended June 30, 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 22% as of June 30, 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. Outperformance was primarily attributable to good stock selection across most sectors.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of June 30, 2010) negatively 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. Driving relative returns was stock selection in the industrials and healthcare sectors. In addition, stock selection was strong in energy, as holdings in land-based resources performed well.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of June 30, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Within the healthcare, consumer discretionary and consumer staples sectors, favorable stock selection added value. However, strength in those areas was not sufficient to offset shortfall elsewhere. Lackluster stock selection in the technology sector had the biggest negative impact on relative returns.

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For the period from April 1, 2010 to June 17, 2010 (the date of termination of the investment advisory agreement with OFI Institutional Asset Management, Inc.), the portion of the Small-Mid Cap Equity Fund formerly advised with the assistance of OFI Institutional Asset Management, Inc. (approximately 15% as of such termination on June 17, 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. Stock selection was positive in most sectors, with selection in consumer discretionary, consumer staples and industrials being particularly strong.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 10% as of June 30, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Overall stock selection was the largest detractor from relative results while sector allocations had a marginal impact. The portfolio held relatively weaker positions in the financials sector, which provided the largest headwind. Positions in technology and consumer staples also detracted from performance while healthcare positions were additive.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. The largest contributor to performance was stock selection in the healthcare and financials sectors. The portfolio’s focus on personalized medicine contributed to relative returns as stocks falling under that category helped performance.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 15% as of June 30, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Underperformance was due in part to poor stock selection in the energy sector due to exposure to offshore drillers and metallurgical coal. Poor stock selection in the materials and financials sectors and an underweight to utilities and consumer staples further detracted.

For the quarter ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Strong stock selection in the technology and energy sectors were primary contributors to relative performance.

For the six month period ended June 30, 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 22% as of June 30, 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. Strong stock selection and sector allocation played a major role in driving relative returns, with stock selection in the energy and information technology sectors being the strongest contributors to relative performance.

For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of June 30, 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. Relative returns were hampered by stock selection in the financials sector, as holdings in some asset management firms underperformed. Conversely, stock selection in the energy and healthcare sectors was additive.

For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of June 30, 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. Strong stock selection across most sectors helped drive performance. The leading sector contributors during the period were the healthcare, consumer discretionary and consumer staples sectors.

For the period from January 1, 2010 to June 17, 2010 (the date of termination of the investment advisory agreement with OFI Institutional Asset Management, Inc.), the portion of the Small-Mid Cap Equity Fund formerly advised with the assistance of OFI Institutional Asset Management, Inc. (approximately 15% as of such termination on June 17, 2010) positively contributed to the performance of the Fund, but underperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Underperformance was primarily attributable to stock selection in the technology sector. However, the portfolio benefitted from strong stock selection in the consumer discretionary sector.

For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 10% as of June 30, 2010) negatively contributed to the performance of the Fund, but was in line with the investment record of the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection in the healthcare and consumer discretionary sectors was particularly strong. Positions within the energy sector produced relatively weaker results.

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For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Outperformance was due to a combination of good stock selection and sector allocations. Stock selection was positive in most sectors, with selections in healthcare, financial and information technology being particularly strong. Additionally, no exposure to the energy sector, which was the worst performing sector in the benchmark, positively contributed to relative results.

For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 15% as of June 30, 2010) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Overall stock selection was the largest detractor while sector allocations had a marginal impact. The portfolio held relatively weaker positions in the financials sector, which provided the largest headwind. Positions in the technology sector also detracted from performance while positions in healthcare and consumer discretionary were additive.

For the six month period ended June 30, 2010, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Driving relative returns was stock selection in the technology, industrial and energy sectors.

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.

For the quarter ended June 30, 2010, the International All Cap Equity Fund experienced a total return, net of expenses, of -13.19%. By comparison, the Morgan Stanley Capital International (“MSCI”) All-Country World (“ACWI”) ex-US Index produced an investment record of -12.45% for the same period and the MSCI Europe, Australasia, Far East Index, which we refer to as the MSCI Europe, Australasia, Far East (“EAFE”) Index, produced an investment record of -13.97% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -11.76%, compared to an investment record of -11.06% for the MSCI ACWI ex-US Index and -13.23% for the MSCI EAFE Index for the same period. Neither the MSCI ACWI ex-US Index nor the MSCI EAFE Index includes an allowance for the fees that an investor would pay for investing in the securities that comprise those Indices or for fund expenses.

For the quarter ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 24% as of June 30, 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. Regionally, an overweight to Canada, specifically with positions in gold-related companies, positively contributed to relative returns. The portfolio also benefited from a slight overweight to Japan and the yen and a modest underweight to Europe and the euro.

For the quarter ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 15% as of June 30, 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. Stock selection in the materials sector was a significant detractor from relative performance. Positions in the industrial, consumer discretionary and telecomm sectors also negatively impacted performance. The portfolio’s overweight in consumer staples and underweight in financials helped to offset negative performance.

For the quarter ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 18% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. The portfolio benefited from strong stock selection as well as strong sector and country positioning. Strong stock selection in the materials sector was a main contributor to relative performance, and an underweight to materials also helped relative returns.

For the quarter ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 24% as of June 30, 2010) negatively contributed to the performance of the Fund, but outperformed

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the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. The biggest contributor to relative returns was strong stock selection in the materials and healthcare sectors. Regionally, the portfolio benefitted by strong stock selection and a slight overweight in Japan.

For the quarter ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of June 30, 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. Weak stock selection across the sectors was the main contributor to the performance shortfall. An overweight in the consumer discretionary sector also negatively impacted performance. Regionally, an underweight and poor stock selection in the U.K. detracted from relative results.

For the six month period ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 24% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Regionally, stock selection in continental Europe and Japan boosted relative returns. Strong stock selection throughout the portfolio was the driving force on relative results.

For the six month period ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 15% as of June 30, 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. Underperformance was primarily attributable to stock selection in the consumer discretionary and financials sectors. Regionally, positions in continental Europe and Japan underperformed, while positions in the Pacific (excluding Japan) and the U.K. contributed positively to relative performance.

For the six month period ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 18% as of June 30, 2010) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. The portfolio benefited from strong stock selection as well as strong sector and country positioning. In particular, stock selection in the information technology and telecom services sectors positively contributed to relative results. Regionally, the portfolio benefited from stock selection in Brazil and South Africa.

For the period from on or about January 19, 2010 (the date on which LSV Asset Management commenced providing investment assistance with respect to the International All Cap Equity Fund) to June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 24% as of June 30, 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. Strong holdings in Japan led performance for the period. Stock selection in the financials and healthcare sectors was also additive.

For the six month period ended June 30, 2010, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of June 30, 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. Underperformance was due primarily to poor stock selection. An overweight in the financials and consumer discretionary sectors also contributed to the performance shortfall. Regionally, lackluster stock selection across all sectors had a negative impact on relative returns.

Bond Index Fund

For the quarter ended June 30, 2010, the Bond Index Fund experienced a total return, net of expenses, of 3.38%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 3.49% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of 4.98%, compared to an investment record of 5.33% for the benchmark 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 and six month period ended June 30, 2010 was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking expenses into account.

Large Cap Index Equity Fund

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For the quarter ended June 30, 2010, the Large Cap Index Equity Fund experienced a total return, net of expenses, of -11.58%. By comparison, the S&P 500 produced an investment record of -11.43% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -7.02%, compared to an investment record of -6.65% for the benchmark 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 and six month period ended June 30, 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 June 30, 2010, the All Cap Index Equity Fund experienced a total return, net of expenses, of -11.40%. By comparison, the Russell 3000 Index produced an investment record of -11.32% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -6.24%, compared to an investment record of -6.05% for the benchmark 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 and six month period ended June 30, 2010 was consistent with the Russell 3000 Index after taking into account expenses and the effect of participation in securities lending. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

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 June 30, 2010, the Mid Cap Index Equity Fund experienced a total return, net of expenses, of -9.77%. By comparison, the S&P MidCap 400 produced an investment record of -9.59% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -1.78%, compared to an investment record of -1.36 % for the benchmark 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 and six month period ended June 30, 2010 was consistent with the S&P MidCap 400 after taking expenses into account.

Small Cap Index Equity Fund

For the quarter ended June 30, 2010, the Small Cap Index Equity Fund experienced a total return, net of expenses, of -10.12%. By comparison, the Russell 2000 Index produced an investment record of -9.92% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -2.42%, compared to an investment record of -1.95% for the benchmark 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 and six month period ended June 30, 2010 was consistent with the Russell 2000 Index after taking expenses into account.

International Index Equity Fund

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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 June 30, 2010, the International Index Equity Fund experienced a total return, net of expenses, of -12.59%. By comparison, the MSCI ACWI ex-US Index produced an investment record of -12.45% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of -11.49%, compared to an investment record of -11.06% for the benchmark 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 and six month period ended June 30, 2010 was consistent with the MSCI ACWI ex-US Index after taking expenses into account.

Real Asset Return Fund

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 June 30, 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 June 30, 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 June 30, 2010, the Fund experienced a total return, net of expenses, of -0.81%. By comparison, the composite benchmark produced an investment record of -0.55% for the same period. For the six month period ended June 30, 2010, the Fund experienced a total return, net of expenses, of 1.10%, compared to an investment record of 1.43% for the benchmark for the same period. None of the indices comprising the composite benchmark include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of the Real Asset Return Fund for the quarter and six month period ended June 30, 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 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.

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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 June 30, 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 June 30, 2010, the Retirement Date Funds experienced a total return, net of expenses, of -2.41% for the Lifetime Income Retirement Date Fund, -2.59% for the 2010 Retirement Date Fund, -5.53% for the 2020 Retirement Date Fund, -7.60% for the 2030 Retirement Date Fund and -9.17% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of -2.25%, -2.57%, -5.53%, -7.58% and -9.11%, respectively, for the same period. None of the indices comprising the composite benchmarks include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the quarter ended June 30, 2010 was consistent with its respective composite benchmark after taking into account expenses, the effect of participation in securities lending and differences in rebalancing frequency in as much as the target asset allocations of each Retirement Date Fund is rebalanced quarterly and its composite benchmark’s component weights remain static. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

For the six month period ended June 30, 2010, the Retirement Date Funds experienced a total return, net of expenses, of -0.18% for the Lifetime Income Retirement Date Fund, 0.24% for the 2010 Retirement Date Fund, -1.94% for the 2020 Retirement Date Fund, -3.62% for the 2030 Retirement Date Fund and -5.05% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 0.41%, 0.57%, -1.71%, -3.45% and -4.79%, respectively, for the same period. None of the indices comprising the composite benchmarks include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the six month period ended June 30, 2010 was consistent with its respective composite benchmark after taking into account expenses, the effect of participation in securities lending and differences in rebalancing frequency in as much as the target asset allocations of each Retirement Date Fund is rebalanced quarterly and its composite benchmark’s component weights remain static. Please see “—Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010” for a discussion of the effect of participation in the State Street Bank securities lending program on the financial statement-reported performance of the Fund.

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.

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 June 30, 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, the SSgA Short Term Investment Fund and the SSgA Dow Jones UBS-Commodity Index Non-Lending Series Fund.

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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 June 30, 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 Merrill Lynch 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 June 30, 2010, the Target Risk Funds experienced a total return, net of expenses, of -0.88% for the Conservative Risk Fund, -5.07% for the Moderate Risk Fund and -9.03% for the Aggressive Risk Fund. By comparison, the composite benchmark for each Target Risk Fund produced an investment record of -0.78%, -5.00% and -8.91%, respectively, for the same period. For the six month period ended June 30, 2010, the Target Risk Funds experienced a total return, net of expenses, of 1.60% for the Conservative Risk Fund, -1.95% for the Moderate Risk Fund and -5.32% for the Aggressive Risk Fund, compared to an investment record of 1.98%, -1.57% and -4.96%, respectively, of the respective composite benchmark for the same period. None of the indices comprising the composite benchmarks include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Target Risk Fund for the quarter and six month period ended June 30, 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.

For the quarter ended June 30, 2010, the Balanced Fund experienced a total return, net of expenses, of -5.95%. 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 -5.59% for the same period. For the six month period ended June 30, 2010, the Balanced Fund experienced a total return, net of expenses, of -2.29%, as compared to an investment record of -1.63% for the benchmark for the 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 June 30, 2010, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, underperformed the Russell 1000 Index. For the six month period ended June 30, 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 such periods.

For the quarter ended June 30, 2010, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed the Barclays Capital U.S. Aggregate Bond Index. For the six month period ended June 30, 2010, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed 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 such periods.

Effect on Performance of Certain Funds that Participate in Securities Lending for the Quarter and Six Month Period Ended June 30, 2010

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 may from time to time differ from the per Unit net asset values calculated for purposes of transactions effected by Participants in their accounts. The difference is driven by differing methods of valuation of securities lending cash collateral funds referred to below as “cash collateral funds.”

The Funds listed in the table below, either directly or indirectly through their investment in other funds and accounts managed by State Street Bank or its affiliates, participated during the periods here under discussion 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. State Street Bank has informed the

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Collective Trust that none of the securities in the cash collateral funds was in default at June 30, 2010 and therefore purchases and redemptions of units in the cash collateral funds continued at that time to be transacted at a value equivalent to $1.00 per unit (100% of principal invested). On June 30, 2010, a voluntary cash contribution was made by State Street Corporation to the Series Quality Trust for SSgA Funds Trust Fund (“Quality Trust”), the cash collateral fund utilized in connection with indirect participation in the State Street Bank securities lending program, to establish a fair market net asset value per unit of Quality Trust of approximately $1.00, resulting in such cash collateral fund having a net asset value of $1.00 per unit on a market basis at June 30, 2010. However, on a market basis at June 30, 2010, the State Street Quality D Short-Term Investment Fund (“Quality D”), the cash collateral fund utilized in connection with direct participation in the State Street Bank securities lending program, had a net asset value of $.989 per unit. These net asset values compared to aggregate values of Quality Trust and Quality D ranging from $.988 to $.991 per unit at March 31, 2010 and $.977 to $.984 per unit at December 31, 2009.

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 and six month period ended June 30, 2010. The effect on reported performance of each relevant Fund for the quarter and six month period ended June 30, 2010 as a result of participation in the State Street Bank securities lending program is presented in the tables below.

Funds that participated directly in the State Street Bank securities lending program:


	2010
	Quarter			Six Month Period
Bond Core Plus Fund		-0.07	%		-0.07	%
International All Cap Equity Fund		0.00			0.11
Large Cap Equity Fund		0.03			0.12
Small-Mid Cap Equity Fund		0.04			0.44
Balanced Fund		-0.01			0.05

Funds that participated indirectly in the State Street Bank securities lending program:


	2010
	Quarter			Six Month Period
All Cap Index Equity Fund		0.08	%		0.19	%
Lifetime Income Retirement Date Fund		0.05			0.10
2010 Retirement Date Fund		0.12			0.24
2020 Retirement Date Fund		0.11			0.21
2030 Retirement Date Fund		0.10			0.18
2040 Retirement Date Fund		0.08			0.16

The unrealized gains reflected in the financial statements were the result of reversals of unrealized losses recognized in previous periods. The unrealized losses reflected in the financial statements were the result of changes in the relative size of the investments of the affected Funds in Quality D.

In the case of the Funds that participate directly in the State Street Bank securities lending program, any unrealized losses (net of any previously unrealized gains partially reversing these losses) 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. Further, 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 June 30, 2010 levels. However, all of the Funds that have participated directly or indirectly in the State Street Bank securities lending program 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.

Item 4.

CONTROLS AND PROCEDURES.

Conclusion Regarding the Effectiveness of Disclosure Controls and Procedures: Under the supervision and with the participation of the Principal Executive Officer and Principal 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 Principal Executive Officer and Principal Financial Officer have concluded that its disclosure controls and procedures are effective as of June 30, 2011.

Internal Control Over Financial Reporting: Under the supervision and with the participation of the Principal Executive Officer and Principal Financial Officer, the Collective Trust evaluated any change in its internal control over financial reporting that

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occurred during the fiscal quarter ended June 30, 2011 and determined that no change in the Collective Trust’s internal control over financial reporting occurred during the fiscal quarter ended June 30, 2011 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 June 30, 2011, the Collective Trust issued an aggregate of approximately $299 million 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.


10.6.4		Purchase Order No. 5 to the Program Services Agreement between ING Life Insurance and Annuity Company and the ABA Retirement Funds effective June 28, 2011, included as Exhibit 10.6.4 to Registrant’s Current Report on Form 8-K filed July 1, 2011 and incorporated herein by reference thereto.

10.6.5		Purchase Order No. 6 to the Program Services Agreement between ING Life Insurance and Annuity Company and the ABA Retirement Funds effective June 28, 2011, included as Exhibit 10.6.5 to Registrant’s Current Report on Form 8-K filed July 1, 2011 and incorporated herein by reference thereto.

31.1		Certification of Thomas R. Benzmiller 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 Randal Rein 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 Thomas R. Benzmiller 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 Randal Rein pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS*		XBRL Instance Document.

101.SCH*		XBRL Taxonomy Extension Schema Document.

101.CAL*		XBRL Taxonomy Extension Calculation Linkbase Document.

101.DEF*		XBRL Taxonomy Extension Definition Linkbase Document.

101.LAB*		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE*		XBRL Extension Presentation Linkbase Document.

*	To be filed by amendment.

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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/ NORTHERN TRUST COLLECTIVE TRUST

August 15, 2011	By:	/s/ Thomas R. Benzmiller
	Name:	Thomas R. Benzmiller
	Title:	Principal Executive Officer

August 15, 2011	By:	/s/ Randal Rein
	Name:	Randal Rein
	Title:	Principal Financial Officer and Principal Accounting Officer

145

EXHIBIT INDEX


10.6.4		Purchase Order No. 5 to the Program Services Agreement between ING Life Insurance and Annuity Company and the ABA Retirement Funds effective June 28, 2011, included as Exhibit 10.6.4 to Registrant’s Current Report on Form 8-K filed July 1, 2011 and incorporated herein by reference thereto.

10.6.5		Purchase Order No. 6 to the Program Services Agreement between ING Life Insurance and Annuity Company and the ABA Retirement Funds effective June 28, 2011, included as Exhibit 10.6.5 to Registrant’s Current Report on Form 8-K filed July 1, 2011 and incorporated herein by reference thereto.

31.1		Certification of Thomas R. Benzmiller 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 Randal Rein 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 Thomas R. Benzmiller 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 Randal Rein pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

146

AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR - FORM 10-Q - August 15, 2011

Attached files